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, 2021 - March 31, 2022
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 semi-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:
3.31.2022
Guggenheim Funds Semi-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-SEMI-0322x0922 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 7 |
ALPHA OPPORTUNITY FUND | 10 |
LARGE CAP VALUE FUND | 28 |
MARKET NEUTRAL REAL ESTATE FUND | 37 |
RISK MANAGED REAL ESTATE FUND | 47 |
SMALL CAP VALUE FUND | 62 |
STYLEPLUS—LARGE CORE FUND | 71 |
STYLEPLUS—MID GROWTH FUND | 81 |
WORLD EQUITY INCOME FUND | 92 |
NOTES TO FINANCIAL STATEMENTS | 102 |
OTHER INFORMATION | 116 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 117 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 123 |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1 |
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 semi-annual period ended March 31, 2022.
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.
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,
April 30, 2022
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 SEMI-ANNUAL REPORT | |
COVID-19 and Other Market Risks. The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
Alpha Opportunity Fund is subject to a number of risks and is not 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. ●In certain circumstances, 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. ● 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. ● 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. ● 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. ● This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund. ● Short selling involves increased risks and costs. You risk paying more for a security than you received from its sale. This strategy may not be suitable for all investors. ● 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.
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. ● 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
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3 |
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. ● As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund. ● Short selling involves increased risks and costs. You risk paying more for a security than you received from its sale. This strategy may not be suitable for all investors. ● 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 you shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● 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. ● 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. ● 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. ● 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 SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 31, 2022 |
In the six months ended March 31, 2022, most major U.S. equity indexes rose slightly amid market volatility resulting from Russia’s attack on Ukraine, COVID-19 shutdowns in China, and the commencement of rate hikes by the Federal Reserve (the “Fed”).
Nevertheless, the U.S. economy appears to remain on a strong footing. The Institute of Supply Management’s March Services Purchasing Managers’ Index showed a continued recovery in the services sector with business activity, employment, and new orders all rising. The March consumer price index (“CPI”) report was encouraging, with core CPI coming in lower than expected at 0.32% month over month, slightly below expectations of 0.5%.
Economic strength continues to embolden the Fed to move aggressively as it attempts to rein in inflation by raising interest rates and shrinking its balance sheet. The Fed is increasingly concerned about inflation and will act aggressively to get monetary policy to what they view is a more appropriate stance. In a recent speech, Lael Brainard, one of the Federal Open Market Committee’s (“FOMC”) traditionally more dovish members, referenced a “rapid pace” of balance sheet reduction and an “expeditious increase” in the fed funds rate, which caused market expectations for the degree of monetary tightening to ramp up.
Brainard’s shift in tone was echoed in the release of the minutes from the March FOMC meeting. The minutes were highly focused on elevated inflation and risks that inflation could stay well above target, as well mentions of an extremely tight labor market. The minutes repeated the phrase that monetary policy would move expeditiously, and contained a section that mentioned many participants would have voted for a 50-basis-point rate hike in March if it weren’t for the uncertainty resulting from the outbreak of war in Ukraine. Given this language, the 50-basis-point move at the May meeting and Fed Chair Jerome Powell’s telegraphing of further 50-basis point hikes came as no surprise. One basis point is equal to 0.01%. The Fed’s strategy at this point is to get rates back to a neutral level as fast as possible, and then see how far into restrictive territory they need to go based on how the economic and financial market data evolve.
A hawkish Fed has historically paved the way for a bullish approach to bonds. Indeed, we believe many fixed-income sectors are now pricing at compelling levels after enduring a first quarter marked by sharply rising yields, a flattening of the Treasury yield curve, and widening spreads. As the Fed races to raise rates during a period of U.S. economic strength and in the face of several global challenges, we remain diligent in our search for attractive entry points exposed by recent market volatility.
For the six-month period ended March 31, 2022, the S&P 500® Index* returned 5.92%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -3.38%. The return of the MSCI Emerging Markets Index* was -8.20%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -5.92% return for the six-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -4.16%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.05% for the six-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 SEMI-ANNUAL REPORT | 5 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2022 |
*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 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 SEMI-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 September 30, 2021 and ending March 31, 2022.
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 SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
Alpha Opportunity Fund | | | | | |
A-Class | 1.76% | 1.39% | $ 1,000.00 | $ 1,013.90 | $ 8.84 |
C-Class | 2.51% | 1.02% | 1,000.00 | 1,010.20 | 12.58 |
P-Class | 1.76% | 1.38% | 1,000.00 | 1,013.80 | 8.84 |
Institutional Class | 1.51% | 1.50% | 1,000.00 | 1,015.00 | 7.59 |
Large Cap Value Fund | | | | | |
A-Class | 1.14% | 11.43% | 1,000.00 | 1,114.30 | 6.01 |
C-Class | 1.89% | 11.01% | 1,000.00 | 1,110.10 | 9.94 |
P-Class | 1.14% | 11.43% | 1,000.00 | 1,114.30 | 6.01 |
Institutional Class | 0.89% | 11.56% | 1,000.00 | 1,115.60 | 4.69 |
Market Neutral Real Estate Fund | | | | | |
A-Class | 1.64% | (0.29%) | 1,000.00 | 997.10 | 8.17 |
C-Class | 2.39% | (0.68%) | 1,000.00 | 993.20 | 11.88 |
P-Class | 1.64% | (0.30%) | 1,000.00 | 997.00 | 8.17 |
Institutional Class | 1.39% | (0.21%) | 1,000.00 | 997.90 | 6.92 |
Risk Managed Real Estate Fund | | | | | |
A-Class | 1.21% | 9.74% | 1,000.00 | 1,097.40 | 6.33 |
C-Class | 1.94% | 9.32% | 1,000.00 | 1,093.20 | 10.12 |
P-Class | 1.29% | 9.69% | 1,000.00 | 1,096.90 | 6.74 |
Institutional Class | 0.91% | 9.88% | 1,000.00 | 1,098.80 | 4.76 |
Small Cap Value Fund | | | | | |
A-Class | 1.30% | 5.91% | 1,000.00 | 1,059.10 | 6.67 |
C-Class | 2.05% | 5.57% | 1,000.00 | 1,055.70 | 10.51 |
P-Class | 1.31% | 5.93% | 1,000.00 | 1,059.30 | 6.73 |
Institutional Class | 1.05% | 6.08% | 1,000.00 | 1,060.80 | 5.39 |
StylePlus—Large Core Fund | | | | | |
A-Class | 1.14% | 4.25% | 1,000.00 | 1,042.50 | 5.81 |
C-Class | 2.09% | 3.76% | 1,000.00 | 1,037.60 | 10.62 |
P-Class | 1.24% | 4.18% | 1,000.00 | 1,041.80 | 6.31 |
Institutional Class | 0.92% | 4.37% | 1,000.00 | 1,043.70 | 4.69 |
StylePlus—Mid Growth Fund | | | | | |
A-Class | 1.29% | (9.84%) | 1,000.00 | 901.60 | 6.12 |
C-Class | 2.25% | (10.27%) | 1,000.00 | 897.30 | 10.64 |
P-Class | 1.42% | (9.89%) | 1,000.00 | 901.10 | 6.73 |
Institutional Class | 1.07% | (9.75%) | 1,000.00 | 902.50 | 5.08 |
World Equity Income Fund | | | | | |
A-Class | 1.21% | 4.53% | 1,000.00 | 1,045.30 | 6.17 |
C-Class | 1.96% | 4.10% | 1,000.00 | 1,041.00 | 9.97 |
P-Class | 1.21% | 4.48% | 1,000.00 | 1,044.80 | 6.17 |
Institutional Class | 0.96% | 4.68% | 1,000.00 | 1,046.80 | 4.90 |
8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
Alpha Opportunity Fund | | | | | |
A-Class | 1.76% | 5.00% | $ 1,000.00 | $ 1,016.16 | $ 8.85 |
C-Class | 2.51% | 5.00% | 1,000.00 | 1,012.42 | 12.59 |
P-Class | 1.76% | 5.00% | 1,000.00 | 1,016.16 | 8.85 |
Institutional Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
Large Cap Value Fund | | | | | |
A-Class | 1.14% | 5.00% | 1,000.00 | 1,019.25 | 5.74 |
C-Class | 1.89% | 5.00% | 1,000.00 | 1,015.51 | 9.50 |
P-Class | 1.14% | 5.00% | 1,000.00 | 1,019.25 | 5.74 |
Institutional Class | 0.89% | 5.00% | 1,000.00 | 1,020.49 | 4.48 |
Market Neutral Real Estate Fund | | | | | |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.75 | 8.25 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.01 | 11.99 |
P-Class | 1.64% | 5.00% | 1,000.00 | 1,016.75 | 8.25 |
Institutional Class | 1.39% | 5.00% | 1,000.00 | 1,018.00 | 6.99 |
Risk Managed Real Estate Fund | | | | | |
A-Class | 1.21% | 5.00% | 1,000.00 | 1,018.90 | 6.09 |
C-Class | 1.94% | 5.00% | 1,000.00 | 1,015.26 | 9.75 |
P-Class | 1.29% | 5.00% | 1,000.00 | 1,018.50 | 6.49 |
Institutional Class | 0.91% | 5.00% | 1,000.00 | 1,020.39 | 4.58 |
Small Cap Value Fund | | | | | |
A-Class | 1.30% | 5.00% | 1,000.00 | 1,018.45 | 6.54 |
C-Class | 2.05% | 5.00% | 1,000.00 | 1,014.71 | 10.30 |
P-Class | 1.31% | 5.00% | 1,000.00 | 1,018.40 | 6.59 |
Institutional Class | 1.05% | 5.00% | 1,000.00 | 1,019.70 | 5.29 |
StylePlus—Large Core Fund | | | | | |
A-Class | 1.14% | 5.00% | 1,000.00 | 1,019.25 | 5.74 |
C-Class | 2.09% | 5.00% | 1,000.00 | 1,014.51 | 10.50 |
P-Class | 1.24% | 5.00% | 1,000.00 | 1,018.75 | 6.24 |
Institutional Class | 0.92% | 5.00% | 1,000.00 | 1,020.34 | 4.63 |
StylePlus—Mid Growth Fund | | | | | |
A-Class | 1.29% | 5.00% | 1,000.00 | 1,018.50 | 6.49 |
C-Class | 2.25% | 5.00% | 1,000.00 | 1,013.71 | 11.30 |
P-Class | 1.42% | 5.00% | 1,000.00 | 1,017.85 | 7.14 |
Institutional Class | 1.07% | 5.00% | 1,000.00 | 1,019.60 | 5.39 |
World Equity Income Fund | | | | | |
A-Class | 1.21% | 5.00% | 1,000.00 | 1,018.90 | 6.09 |
C-Class | 1.96% | 5.00% | 1,000.00 | 1,015.16 | 9.85 |
P-Class | 1.21% | 5.00% | 1,000.00 | 1,018.90 | 6.09 |
Institutional Class | 0.96% | 5.00% | 1,000.00 | 1,020.14 | 4.84 |
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 1.20%, 1.93%, 1.28% and 0.91% 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 182/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period September 30, 2021 to March 31, 2022. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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 |
Safety Insurance Group, Inc. | 1.1% |
MGE Energy, Inc. | 1.1% |
CMS Energy Corp. | 1.1% |
AutoZone, Inc. | 1.1% |
Bristol-Myers Squibb Co. | 1.1% |
Johnson & Johnson | 1.1% |
National Fuel Gas Co. | 1.1% |
Arch Capital Group Ltd. | 1.1% |
Vishay Intertechnology, Inc. | 1.1% |
Mercury General Corp. | 1.1% |
Top Ten Total | 11.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 1.39% | (2.56%) | (0.81%) | 4.54% |
A-Class Shares with sales charge‡ | (3.43%) | (7.20%) | (1.77%) | 4.03% |
C-Class Shares | 1.02% | (3.28%) | (1.58%) | 3.74% |
C-Class Shares with CDSC§ | 0.02% | (4.24%) | (1.58%) | 3.74% |
Institutional Class Shares | 1.50% | (2.31%) | (0.45%) | 4.96% |
Morningstar Long/Short Equity Category Average | 2.16% | 4.80% | 4.72% | 4.43% |
S&P 500 Index | 5.92% | 15.65% | 15.99% | 14.64% |
S&P 500 Index Blended** | 0.05% | 0.06% | 1.13% | 7.09% |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.05% | 0.06% | 1.13% | 0.63% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(05/01/15) |
P-Class Shares | 1.38% | (2.58%) | (0.79%) | 0.90% |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.05% | 0.06% | 1.13% | 0.88% |
Morningstar Long/Short Equity Category Average | 2.16% | 4.80% | 4.72% | 3.39% |
S&P 500 Index | 5.92% | 15.65% | 15.99% | 13.85% |
S&P 500 Index Blended** | 0.05% | 0.06% | 1.13% | 9.16% |
* | 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 03/31/22. |
† | 6 month returns are not annualized. |
‡ | 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 SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
ALPHA OPPORTUNITY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 96.5% |
| | | | | | | | | |
Financial - 23.0% |
Safety Insurance Group, Inc.1 | | | 4,171 | | | $ | 378,935 | |
Arch Capital Group Ltd.*,1 | | | 7,471 | | | | 361,746 | |
Mercury General Corp.1 | | | 6,459 | | | | 355,245 | |
National Bank Holdings Corp. — Class A | | | 8,120 | | | | 327,074 | |
Enstar Group Ltd.* | | | 1,249 | | | | 326,176 | |
Old Republic International Corp.1 | | | 11,223 | | | | 290,339 | |
Travelers Companies, Inc. | | | 1,559 | | | | 284,876 | |
Stewart Information Services Corp. | | | 4,447 | | | | 269,533 | |
Preferred Bank/Los Angeles CA | | | 3,631 | | | | 269,021 | |
Radian Group, Inc. | | | 11,465 | | | | 254,638 | |
AMERISAFE, Inc.1 | | | 4,964 | | | | 246,562 | |
Fulton Financial Corp. | | | 14,633 | | | | 243,200 | |
United Bankshares, Inc. | | | 6,901 | | | | 240,707 | |
MGIC Investment Corp. | | | 17,215 | | | | 233,263 | |
Evercore, Inc. — Class A1 | | | 1,932 | | | | 215,070 | |
PS Business Parks, Inc. REIT | | | 1,253 | | | | 210,604 | |
Everest Re Group Ltd. | | | 698 | | | | 210,363 | |
BankUnited, Inc. | | | 4,771 | | | | 209,733 | |
Fidelity National Financial, Inc. | | | 4,209 | | | | 205,568 | |
HomeStreet, Inc. | | | 4,171 | | | | 197,622 | |
Interactive Brokers Group, Inc. — Class A | | | 2,959 | | | | 195,028 | |
Piper Sandler Cos. | | | 1,453 | | | | 190,706 | |
Markel Corp.* | | | 128 | | | | 188,831 | |
Raymond James Financial, Inc. | | | 1,707 | | | | 187,561 | |
Essent Group Ltd.1 | | | 4,496 | | | | 185,280 | |
Equity Commonwealth REIT*,1 | | | 6,361 | | | | 179,444 | |
Hilltop Holdings, Inc. | | | 5,972 | | | | 175,577 | |
OneMain Holdings, Inc. | | | 3,571 | | | | 169,301 | |
Meta Financial Group, Inc. | | | 2,873 | | | | 157,785 | |
Janus Henderson Group plc | | | 3,903 | | | | 136,683 | |
First American Financial Corp. | | | 2,034 | | | | 131,844 | |
Western Union Co. | | | 6,886 | | | | 129,044 | |
PotlatchDeltic Corp. REIT | | | 2,167 | | | | 114,266 | |
Easterly Government Properties, Inc. REIT | | | 5,274 | | | | 111,492 | |
Citigroup, Inc. | | | 2,019 | | | | 107,815 | |
WP Carey, Inc. REIT | | | 913 | | | | 73,807 | |
Total Financial | | | | | | | 7,764,739 | |
| | | | | | | | | |
Consumer, Non-cyclical - 18.8% |
Bristol-Myers Squibb Co.1 | | | 5,058 | | | | 369,386 | |
Johnson & Johnson1 | | | 2,072 | | | | 367,221 | |
John B Sanfilippo & Son, Inc.1 | | | 4,096 | | | | 341,770 | |
Gilead Sciences, Inc.1 | | | 5,666 | | | | 336,844 | |
Amgen, Inc.1 | | | 1,264 | | | | 305,660 | |
AbbVie, Inc.1 | | | 1,857 | | | | 301,038 | |
Hologic, Inc.*,1 | | | 3,850 | | | | 295,757 | |
Innoviva, Inc.* | | | 13,636 | | | | 263,857 | |
Perdoceo Education Corp.* | | | 22,829 | | | | 262,077 | |
Regeneron Pharmaceuticals, Inc.*,1 | | | 362 | | | | 252,828 | |
Amphastar Pharmaceuticals, Inc.* | | | 6,731 | | | | 241,643 | |
Incyte Corp.*,1 | | | 2,680 | | | | 212,846 | |
Eagle Pharmaceuticals, Inc.*,1 | | | 4,281 | | | | 211,867 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 358 | | | | 201,636 | |
Vertex Pharmaceuticals, Inc.* | | | 709 | | | | 185,028 | |
USANA Health Sciences, Inc.*,1 | | | 2,321 | | | | 184,403 | |
Prestige Consumer Healthcare, Inc.*,1 | | | 3,107 | | | | 164,485 | |
Quest Diagnostics, Inc. | | | 1,162 | | | | 159,032 | |
Molson Coors Beverage Co. — Class B1 | | | 2,972 | | | | 158,645 | |
EVERTEC, Inc. | | | 3,865 | | | | 158,194 | |
Abbott Laboratories | | | 1,283 | | | | 151,856 | |
Merck & Company, Inc.1 | | | 1,770 | | | | 145,228 | |
Vanda Pharmaceuticals, Inc.* | | | 11,926 | | | | 134,883 | |
Royalty Pharma plc — Class A | | | 3,393 | | | | 132,191 | |
Waters Corp.* | | | 403 | | | | 125,087 | |
United Therapeutics Corp.*,1 | | | 664 | | | | 119,128 | |
Pfizer, Inc. | | | 2,133 | | | | 110,425 | |
Exelixis, Inc.* | | | 4,828 | | | | 109,451 | |
Laboratory Corporation of America Holdings* | | | 411 | | | | 108,364 | |
Halozyme Therapeutics, Inc.* | | | 2,227 | | | | 88,813 | |
Corteva, Inc.1 | | | 1,438 | | | | 82,656 | |
Premier, Inc. — Class A | | | 1,906 | | | | 67,835 | |
Total Consumer, Non-cyclical | | | | | | | 6,350,134 | |
| | | | | | | | | |
Industrial - 14.1% |
Vishay Intertechnology, Inc.1 | | | 18,283 | | | | 358,347 | |
3M Co.1 | | | 2,355 | | | | 350,613 | |
Knowles Corp.* | | | 16,192 | | | | 348,614 | |
Garmin Ltd. | | | 2,842 | | | | 337,089 | |
Mueller Industries, Inc. | | | 6,070 | | | | 328,812 | |
Snap-on, Inc.1 | | | 1,415 | | | | 290,754 | |
Sanmina Corp.* | | | 7,033 | | | | 284,274 | |
Sturm Ruger & Company, Inc.1 | | | 4,073 | | | | 283,562 | |
Packaging Corporation of America | | | 1,615 | | | | 252,118 | |
TTM Technologies, Inc.* | | | 16,773 | | | | 248,576 | |
Hillenbrand, Inc.1 | | | 4,458 | | | | 196,910 | |
OSI Systems, Inc.*,1 | | | 2,117 | | | | 180,199 | |
Crane Co.1 | | | 1,634 | | | | 176,929 | |
Eagle Materials, Inc.1 | | | 1,223 | | | | 156,984 | |
Encore Wire Corp.1 | | | 1,257 | | | | 143,386 | |
Louisiana-Pacific Corp. | | | 1,751 | | | | 108,772 | |
Owens Corning1 | | | 1,170 | | | | 107,055 | |
Vontier Corp. | | | 4,092 | | | | 103,896 | |
Albany International Corp. — Class A1 | | | 1,219 | | | | 102,786 | |
Dorian LPG Ltd. | | | 6,587 | | | | 95,446 | |
UFP Industries, Inc. | | | 1,091 | | | | 84,182 | |
Insteel Industries, Inc. | | | 2,167 | | | | 80,157 | |
Keysight Technologies, Inc.* | | | 449 | | | | 70,928 | |
Arrow Electronics, Inc.* | | | 573 | | | | 67,975 | |
Total Industrial | | | | | | | 4,758,364 | |
| | | | | | | | | |
Consumer, Cyclical - 11.1% |
AutoZone, Inc.* | | | 181 | | | | 370,069 | |
Gentex Corp.1 | | | 11,899 | | | | 347,094 | |
Whirlpool Corp.1 | | | 1,668 | | | | 288,197 | |
NVR, Inc.* | | | 60 | | | | 268,036 | |
Cummins, Inc.1 | | | 1,147 | | | | 235,261 | |
Allison Transmission Holdings, Inc.1 | | | 5,693 | | | | 223,507 | |
Dolby Laboratories, Inc. — Class A1 | | | 2,669 | | | | 208,769 | |
Ethan Allen Interiors, Inc. | | | 6,565 | | | | 171,150 | |
Acushnet Holdings Corp.1 | | | 3,869 | | | | 155,766 | |
12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ALPHA OPPORTUNITY FUND | |
| | Shares | | | Value | |
Columbia Sportswear Co. | | | 1,566 | | | $ | 141,770 | |
Tri Pointe Homes, Inc.* | | | 6,546 | | | | 131,444 | |
Brunswick Corp.1 | | | 1,536 | | | | 124,247 | |
Methode Electronics, Inc. | | | 2,597 | | | | 112,320 | |
LKQ Corp. | | | 2,302 | | | | 104,534 | |
PulteGroup, Inc. | | | 2,314 | | | | 96,956 | |
AutoNation, Inc.*,1 | | | 947 | | | | 94,302 | |
Tapestry, Inc. | | | 2,510 | | | | 93,246 | |
Jack in the Box, Inc. | | | 974 | | | | 90,981 | |
Zumiez, Inc.* | | | 2,238 | | | | 85,514 | |
Toll Brothers, Inc. | | | 1,789 | | | | 84,119 | |
Autoliv, Inc. | | | 1,094 | | | | 83,626 | |
Shoe Carnival, Inc. | | | 2,412 | | | | 70,334 | |
MarineMax, Inc.* | | | 1,676 | | | | 67,476 | |
Haverty Furniture Companies, Inc. | | | 2,404 | | | | 65,918 | |
Buckle, Inc.1 | | | 1,568 | | | | 51,807 | |
Total Consumer, Cyclical | | | | | | | 3,766,443 | |
| | | | | | | | | |
Utilities - 10.1% |
MGE Energy, Inc.1 | | | 4,734 | | | | 377,726 | |
CMS Energy Corp. | | | 5,357 | | | | 374,669 | |
National Fuel Gas Co. | | | 5,342 | | | | 366,996 | |
Duke Energy Corp.1 | | | 3,141 | | | | 350,724 | |
IDACORP, Inc.1 | | | 3,007 | | | | 346,887 | |
Portland General Electric Co. | | | 6,118 | | | | 337,408 | |
Chesapeake Utilities Corp.1 | | | 2,291 | | | | 315,608 | |
Otter Tail Corp. | | | 3,095 | | | | 193,437 | |
PPL Corp. | | | 6,720 | | | | 191,923 | |
Southern Co.1 | | | 2,476 | | | | 179,535 | |
American States Water Co.1 | | | 1,662 | | | | 147,951 | |
WEC Energy Group, Inc. | | | 1,374 | | | | 137,139 | |
California Water Service Group | | | 1,619 | | | | 95,974 | |
Total Utilities | | | | | | | 3,415,977 | |
| | | | | | | | | |
Communications - 7.8% |
Verizon Communications, Inc.1 | | | 6,395 | | | | 325,761 | |
Meta Platforms, Inc. — Class A* | | | 1,455 | | | | 323,534 | |
Comcast Corp. — Class A | | | 6,750 | | | | 316,035 | |
Cisco Systems, Inc.1 | | | 3,386 | | | | 188,803 | |
Yelp, Inc. — Class A*,1 | | | 5,530 | | | | 188,628 | |
Viavi Solutions, Inc.*,1 | | | 11,288 | | | | 181,511 | |
Nexstar Media Group, Inc. — Class A | | | 868 | | | | 163,601 | |
Interpublic Group of Companies, Inc. | | | 4,526 | | | | 160,447 | |
Shenandoah Telecommunications Co. | | | 6,017 | | | | 141,881 | |
Omnicom Group, Inc.1 | | | 1,649 | | | | 139,967 | |
Alphabet, Inc. — Class C* | | | 49 | | | | 136,856 | |
InterDigital, Inc. | | | 2,034 | | | | 129,769 | |
Juniper Networks, Inc.1 | | | 2,555 | | | | 94,944 | |
F5, Inc.* | | | 343 | | | | 71,670 | |
NETGEAR, Inc.* | | | 2,589 | | | | 63,897 | |
Total Communications | | | | | | | 2,627,304 | |
| | | | | | | | | |
Technology - 6.1% |
CSG Systems International, Inc. | | | 5,587 | | | | 355,166 | |
Rambus, Inc.*,1 | | | 7,622 | | | | 243,066 | |
NetApp, Inc.1 | | | 2,027 | | | | 168,241 | |
Xperi Holding Corp. | | | 8,003 | | | | 138,612 | |
Intel Corp. | | | 2,688 | | | | 133,217 | |
Progress Software Corp. | | | 2,676 | | | | 126,013 | |
Akamai Technologies, Inc.* | | | 909 | | | | 108,525 | |
ExlService Holdings, Inc.* | | | 724 | | | | 103,728 | |
Lumentum Holdings, Inc.* | | | 996 | | | | 97,210 | |
Ziff Davis, Inc.* | | | 947 | | | | 91,651 | |
Dropbox, Inc. — Class A* | | | 3,152 | | | | 73,284 | |
NetScout Systems, Inc.* | | | 2,276 | | | | 73,014 | |
CommVault Systems, Inc.*,1 | | | 1,075 | | | | 71,326 | |
Genpact Ltd. | | | 1,638 | | | | 71,269 | |
SS&C Technologies Holdings, Inc. | | | 913 | | | | 68,493 | |
Skyworks Solutions, Inc. | | | 509 | | | | 67,839 | |
Qorvo, Inc.* | | | 528 | | | | 65,525 | |
Total Technology | | | | | | | 2,056,179 | |
| | | | | | | | | |
Basic Materials - 4.6% |
Dow, Inc.1 | | | 4,413 | | | | 281,196 | |
LyondellBasell Industries N.V. — Class A | | | 2,680 | | | | 275,558 | |
Westlake Corp. | | | 2,012 | | | | 248,281 | |
International Paper Co.1 | | | 5,066 | | | | 233,796 | |
Minerals Technologies, Inc. | | | 2,295 | | | | 151,814 | |
AdvanSix, Inc. | | | 2,586 | | | | 132,119 | |
Reliance Steel & Aluminum Co. | | | 705 | | | | 129,261 | |
NewMarket Corp. | | | 279 | | | | 90,502 | |
Total Basic Materials | | | | | | | 1,542,527 | |
| | | | | | | | | |
Energy - 0.9% |
Kinder Morgan, Inc. | | | 10,163 | | | | 192,182 | |
Exxon Mobil Corp. | | | 1,438 | | | | 118,765 | |
Total Energy | | | | | | | 310,947 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $32,290,073) | | | | | | | 32,592,614 | |
| | | | | | | | | |
MONEY MARKET FUND† - 4.4% |
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.16%2 | | | 1,469,927 | | | | 1,469,927 | |
Total Money Market Fund | | | | |
(Cost $1,469,927) | | | | | | | 1,469,927 | |
| | | | | | | | | |
Total Investments - 100.9% | | | | |
(Cost $33,760,000) | | $ | 34,062,541 | |
Other Assets & Liabilities, net - (0.9)% | | | (293,126 | ) |
Total Net Assets - 100.0% | | $ | 33,769,415 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ALPHA OPPORTUNITY FUND | |
Custom Basket Swap Agreements |
Counterparty | Reference Obligation | Type | | Financing Rate | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Custom Basket Swap Agreements†† |
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Pay | | 0.73% (Federal Funds Rate + 0.40%) | At Maturity | 02/01/24 | | $ | 7,635,350 | | | $ | 200,766 | |
Goldman Sachs International | GS Equity Custom Basket | Pay | | 0.78% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | | | 7,635,293 | | | | 198,180 | |
| | | | | | | | | | | | | | | $ | 15,270,643 | | | $ | 398,946 | |
OTC Custom Basket Swap Agreements Sold Short†† |
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Receive | | 0.03% (Federal Funds Rate - 0.30%) | At Maturity | 02/01/24 | | $ | 14,657,845 | | | $ | (449,476 | ) |
Goldman Sachs International | GS Equity Custom Basket | Receive | | 0.03% (Federal Funds Rate - 0.20%) | At Maturity | 05/06/24 | | | 14,483,552 | | | | (450,876 | ) |
| | | | | | | | | | | | | | | $ | 29,141,397 | | | $ | (900,352 | ) |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
MS EQUITY LONG CUSTOM BASKET | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Amphastar Pharmaceuticals, Inc. | | | 1,583 | | | | 0.71 | % | | $ | 25,249 | |
AbbVie, Inc. | | | 437 | | | | 0.93 | % | | | 19,318 | |
Innoviva, Inc. | | | 3,208 | | | | 0.81 | % | | | 19,163 | |
Bristol-Myers Squibb Co. | | | 1,190 | | | | 1.14 | % | | | 12,041 | |
Regeneron Pharmaceuticals, Inc. | | | 85 | | | | 0.78 | % | | | 12,034 | |
Vertex Pharmaceuticals, Inc. | | | 167 | | | | 0.57 | % | | | 11,806 | |
Molson Coors Beverage Co. — Class B | | | 1,028 | | | | 0.72 | % | | | 9,317 | |
Amgen, Inc. | | | 297 | | | | 0.94 | % | | | 7,792 | |
Johnson & Johnson | | | 487 | | | | 1.13 | % | | | 7,717 | |
Eagle Pharmaceuticals, Inc. | | | 1,007 | | | | 0.65 | % | | | 6,085 | |
United Therapeutics Corp. | | | 156 | | | | 0.37 | % | | | 4,661 | |
Hologic, Inc. | | | 906 | | | | 0.91 | % | | | 4,608 | |
Exelixis, Inc. | | | 1,136 | | | | 0.34 | % | | | 4,106 | |
Merck & Company, Inc. | | | 416 | | | | 0.45 | % | | | 3,891 | |
Incyte Corp. | | | 630 | | | | 0.66 | % | | | 3,099 | |
Perdoceo Education Corp. | | | 5,371 | | | | 0.81 | % | | | 2,909 | |
Corteva, Inc. | | | 338 | | | | 0.25 | % | | | 2,853 | |
Prestige Consumer Healthcare, Inc. | | | 731 | | | | 0.51 | % | | | 2,628 | |
Quest Diagnostics, Inc. | | | 273 | | | | 0.49 | % | | | 2,028 | |
Halozyme Therapeutics, Inc. | | | 524 | | | | 0.27 | % | | | 1,064 | |
Royalty Pharma plc — Class A | | | 798 | | | | 0.41 | % | | | 225 | |
Premier, Inc. — Class A | | | 448 | | | | 0.21 | % | | | (800 | ) |
Waters Corp. | | | 95 | | | | 0.39 | % | | | (909 | ) |
Abbott Laboratories | | | 302 | | | | 0.47 | % | | | (927 | ) |
John B Sanfilippo & Son, Inc. | | | 963 | | | | 1.05 | % | | | (1,565 | ) |
Laboratory Corporation of America Holdings | | | 96 | | | | 0.33 | % | | | (1,698 | ) |
Pfizer, Inc. | | | 501 | | | | 0.34 | % | | | (3,063 | ) |
EVERTEC, Inc. | | | 909 | | | | 0.49 | % | | | (4,406 | ) |
USANA Health Sciences, Inc. | | | 546 | | | | 0.57 | % | | | (10,343 | ) |
Gilead Sciences, Inc. | | | 1,333 | | | | 1.04 | % | | | (10,868 | ) |
Bio-Rad Laboratories, Inc. — Class A | | | 84 | | | | 0.62 | % | | | (12,019 | ) |
Vanda Pharmaceuticals, Inc. | | | 2,806 | | | | 0.42 | % | | | (14,912 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 101,084 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
AutoZone, Inc. | | | 42 | | | | 1.12 | % | | | 20,312 | |
AutoNation, Inc. | | | 222 | | | | 0.29 | % | | | 4,442 | |
Ethan Allen Interiors, Inc. | | | 1,544 | | | | 0.53 | % | | | 3,192 | |
Allison Transmission Holdings, Inc. | | | 1,339 | | | | 0.69 | % | | | 2,558 | |
Methode Electronics, Inc. | | | 611 | | | | 0.35 | % | | | 524 | |
Tapestry, Inc. | | | 590 | | | | 0.29 | % | | | (18 | ) |
Columbia Sportswear Co. | | | 368 | | | | 0.44 | % | | | (33 | ) |
Zumiez, Inc. | | | 526 | | | | 0.26 | % | | | (1,244 | ) |
Autoliv, Inc. | | | 257 | | | | 0.26 | % | | | (2,635 | ) |
Brunswick Corp. | | | 361 | | | | 0.38 | % | | | (2,794 | ) |
MarineMax, Inc. | | | 394 | | | | 0.21 | % | | | (3,379 | ) |
Jack in the Box, Inc. | | | 229 | | | | 0.28 | % | | | (3,513 | ) |
Haverty Furniture Companies, Inc. | | | 565 | | | | 0.20 | % | | | (3,531 | ) |
Cummins, Inc. | | | 270 | | | | 0.73 | % | | | (3,696 | ) |
Tri Pointe Homes, Inc. | | | 1,540 | | | | 0.40 | % | | | (4,323 | ) |
Shoe Carnival, Inc. | | | 567 | | | | 0.22 | % | | | (4,532 | ) |
14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ALPHA OPPORTUNITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Buckle, Inc. | | | 703 | | | | 0.30 | % | | $ | (4,643 | ) |
LKQ Corp. | | | 541 | | | | 0.32 | % | | | (5,806 | ) |
PulteGroup, Inc. | | | 544 | | | | 0.30 | % | | | (6,163 | ) |
Gentex Corp. | | | 2,799 | | | | 1.07 | % | | | (7,344 | ) |
NVR, Inc. | | | 14 | | | | 0.82 | % | | | (7,503 | ) |
Toll Brothers, Inc. | | | 421 | | | | 0.26 | % | | | (8,564 | ) |
Acushnet Holdings Corp. | | | 910 | | | | 0.48 | % | | | (8,813 | ) |
Dolby Laboratories, Inc. — Class A | | | 628 | | | | 0.64 | % | | | (9,288 | ) |
Whirlpool Corp. | | | 392 | | | | 0.89 | % | | | (17,871 | ) |
Total Consumer, Cyclical | | | | | | | | | | | (74,665 | ) |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Westlake Corp. | | | 473 | | | | 0.76 | % | | | 14,625 | |
LyondellBasell Industries N.V. — Class A | | | 630 | | | | 0.85 | % | | | 7,930 | |
Dow, Inc. | | | 1,038 | | | | 0.87 | % | | | 7,719 | |
AdvanSix, Inc. | | | 608 | | | | 0.41 | % | | | 4,511 | |
NewMarket Corp. | | | 65 | | | | 0.28 | % | | | 770 | |
Reliance Steel & Aluminum Co. | | | 166 | | | | 0.40 | % | | | (631 | ) |
Minerals Technologies, Inc. | | | 540 | | | | 0.47 | % | | | (1,897 | ) |
International Paper Co. | | | 1,192 | | | | 0.72 | % | | | (2,075 | ) |
Total Basic Materials | | | | | | | | | | | 30,952 | |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
CSG Systems International, Inc. | | | 1,314 | | | | 1.09 | % | | | 24,278 | |
Rambus, Inc. | | | 1,793 | | | | 0.75 | % | | | 18,299 | |
ExlService Holdings, Inc. | | | 170 | | | | 0.32 | % | | | 6,494 | |
NetApp, Inc. | | | 477 | | | | 0.52 | % | | | 6,063 | |
Lumentum Holdings, Inc. | | | 234 | | | | 0.30 | % | | | 3,780 | |
Akamai Technologies, Inc. | | | 214 | | | | 0.33 | % | | | 1,434 | |
Dropbox, Inc. — Class A | | | 741 | | | | 0.23 | % | | | 1,053 | |
Genpact Ltd. | | | 385 | | | | 0.22 | % | | | 648 | |
NetScout Systems, Inc. | | | 535 | | | | 0.22 | % | | | 338 | |
Progress Software Corp. | | | 629 | | | | 0.39 | % | | | 303 | |
SS&C Technologies Holdings, Inc. | | | 214 | | | | 0.21 | % | | | (169 | ) |
Skyworks Solutions, Inc. | | | 119 | | | | 0.21 | % | | | (219 | ) |
Ziff Davis, Inc. | | | 222 | | | | 0.28 | % | | | (361 | ) |
Intel Corp. | | | 632 | | | | 0.41 | % | | | (626 | ) |
Qorvo, Inc. | | | 124 | | | | 0.20 | % | | | (976 | ) |
CommVault Systems, Inc. | | | 253 | | | | 0.22 | % | | | (2,853 | ) |
Xperi Holding Corp. | | | 1,883 | | | | 0.43 | % | | | (5,187 | ) |
Total Technology | | | | | | | | | | | 52,299 | |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Mueller Industries, Inc. | | | 1,428 | | | | 1.01 | % | | | 13,791 | |
Packaging Corporation of America | | | 380 | | | | 0.78 | % | | | 8,852 | |
Knowles Corp. | | | 3,809 | | | | 1.07 | % | | | 8,788 | |
Crane Co. | | | 384 | | | | 0.54 | % | | | 5,211 | |
Owens Corning | | | 275 | | | | 0.33 | % | | | 4,661 | |
Encore Wire Corp. | | | 295 | | | | 0.44 | % | | | 4,400 | |
TTM Technologies, Inc. | | | 3,946 | | | | 0.77 | % | | | 3,725 | |
Dorian LPG Ltd. | | | 1,550 | | | | 0.29 | % | | | 2,854 | |
Albany International Corp. — Class A | | | 286 | | | | 0.32 | % | | | 1,986 | |
Sanmina Corp. | | | 1,654 | | | | 0.88 | % | | | 1,615 | |
Keysight Technologies, Inc. | | | 105 | | | | 0.22 | % | | | 678 | |
Snap-on, Inc. | | | 333 | | | | 0.90 | % | | | 306 | |
Louisiana-Pacific Corp. | | | 412 | | | | 0.34 | % | | | (76 | ) |
Insteel Industries, Inc. | | | 509 | | | | 0.25 | % | | | (1,053 | ) |
Arrow Electronics, Inc. | | | 135 | | | | 0.21 | % | | | (1,291 | ) |
Hillenbrand, Inc. | | | 1,049 | | | | 0.61 | % | | | (1,431 | ) |
Sturm Ruger & Company, Inc. | | | 958 | | | | 0.87 | % | | | (2,263 | ) |
UFP Industries, Inc. | | | 256 | | | | 0.26 | % | | | (2,563 | ) |
Vishay Intertechnology, Inc. | | | 4,302 | | | | 1.10 | % | | | (3,935 | ) |
Eagle Materials, Inc. | | | 287 | | | | 0.48 | % | | | (5,093 | ) |
OSI Systems, Inc. | | | 498 | | | | 0.56 | % | | | (5,491 | ) |
Vontier Corp. | | | 962 | | | | 0.32 | % | | | (7,256 | ) |
3M Co. | | | 554 | | | | 1.08 | % | | | (10,981 | ) |
Garmin Ltd. | | | 668 | | | | 1.04 | % | | | (11,478 | ) |
Total Industrial | | | | | | | | | | | 3,956 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Juniper Networks, Inc. | | | 601 | | | | 0.29 | % | | | 8,824 | |
Cisco Systems, Inc. | | | 796 | | | | 0.58 | % | | | 8,011 | |
Omnicom Group, Inc. | | | 388 | | | | 0.43 | % | | | 6,211 | |
Viavi Solutions, Inc. | | | 2,656 | | | | 0.56 | % | | | 3,061 | |
F5, Inc. | | | 80 | | | | 0.22 | % | | | 1,309 | |
Interpublic Group of Companies, Inc. | | | 1,065 | | | | 0.49 | % | | | 1,148 | |
Nexstar Media Group, Inc. — Class A | | | 204 | | | | 0.50 | % | | | 1,144 | |
Alphabet, Inc. — Class C | | | 11 | | | | 0.40 | % | | | (261 | ) |
Comcast Corp. — Class A | | | 1,588 | | | | 0.97 | % | | | (692 | ) |
Meta Platforms, Inc. — Class A | | | 342 | | | | 1.00 | % | | | (920 | ) |
Shenandoah Telecommunications Co. | | | 1,415 | | | | 0.44 | % | | | (945 | ) |
NETGEAR, Inc. | | | 609 | | | | 0.20 | % | | | (2,158 | ) |
InterDigital, Inc. | | | 478 | | | | 0.40 | % | | | (2,237 | ) |
Yelp, Inc. — Class A | | | 1,301 | | | | 0.58 | % | | | (2,389 | ) |
Verizon Communications, Inc. | | | 1,504 | | | | 1.00 | % | | | (4,133 | ) |
Total Communications | | | | | | | | | | | 15,973 | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
National Fuel Gas Co. | | | 1,256 | | | | 1.13 | % | | | 20,415 | |
IDACORP, Inc. | | | 647 | | | | 0.98 | % | | | 11,962 | |
Chesapeake Utilities Corp. | | | 539 | | | | 0.97 | % | | | 9,362 | |
Southern Co. | | | 582 | | | | 0.55 | % | | | 8,069 | |
Portland General Electric Co. | | | 1,314 | | | | 0.95 | % | | | 6,843 | |
Duke Energy Corp. | | | 675 | | | | 0.99 | % | | | 5,367 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ALPHA OPPORTUNITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
CMS Energy Corp. | | | 1,260 | | | | 1.15 | % | | $ | 3,947 | |
MGE Energy, Inc. | | | 1,113 | | | | 1.16 | % | | | 3,659 | |
WEC Energy Group, Inc. | | | 323 | | | | 0.42 | % | | | 1,828 | |
California Water Service Group | | | 381 | | | | 0.30 | % | | | 506 | |
American States Water Co. | | | 23 | | | | 0.03 | % | | | (141 | ) |
Otter Tail Corp. | | | 728 | | | | 0.60 | % | | | (221 | ) |
PPL Corp. | | | 1,581 | | | | 0.59 | % | | | (1,757 | ) |
Total Utilities | | | | | | | | | | | 69,839 | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Arch Capital Group Ltd. | | | 1,757 | | | | 1.08 | % | | | 13,913 | |
Safety Insurance Group, Inc. | | | 981 | | | | 1.17 | % | | | 11,504 | |
Enstar Group Ltd. | | | 294 | | | | 1.01 | % | | | 9,415 | |
Raymond James Financial, Inc. | | | 401 | | | | 0.58 | % | | | 9,123 | |
Markel Corp. | | | 30 | | | | 0.58 | % | | | 7,612 | |
Preferred Bank/Los Angeles CA | | | 854 | | | | 0.83 | % | | | 5,504 | |
Everest Re Group Ltd. | | | 164 | | | | 0.65 | % | | | 5,289 | |
Travelers Companies, Inc. | | | 366 | | | | 0.88 | % | | | 3,671 | |
Equity Commonwealth | | | 1,496 | | | | 0.55 | % | | | 3,226 | |
BankUnited, Inc. | | | 1,122 | | | | 0.65 | % | | | 2,888 | |
Old Republic International Corp. | | | 2,640 | | | | 0.89 | % | | | 2,102 | |
PS Business Parks, Inc. | | | 294 | | | | 0.65 | % | | | 1,986 | |
Western Union Co. | | | 1,620 | | | | 0.40 | % | | | 1,386 | |
WP Carey, Inc. | | | 214 | | | | 0.23 | % | | | 788 | |
Easterly Government Properties, Inc. | | | 1,240 | | | | 0.34 | % | | | 525 | |
United Bankshares, Inc. | | | 1,623 | | | | 0.74 | % | | | 177 | |
Radian Group, Inc. | | | 2,697 | | | | 0.78 | % | | | (140 | ) |
Stewart Information Services Corp. | | | 1,046 | | | | 0.83 | % | | | (589 | ) |
Fulton Financial Corp. | | | 3,443 | | | | 0.75 | % | | | (812 | ) |
Janus Henderson Group plc | | | 918 | | | | 0.42 | % | | | (1,611 | ) |
First American Financial Corp. | | | 478 | | | | 0.41 | % | | | (1,638 | ) |
Interactive Brokers Group, Inc. — Class A | | | 696 | | | | 0.60 | % | | | (1,724 | ) |
HomeStreet, Inc. | | | 981 | | | | 0.61 | % | | | (1,906 | ) |
Fidelity National Financial, Inc. | | | 990 | | | | 0.63 | % | | | (2,175 | ) |
Citigroup, Inc. | | | 475 | | | | 0.33 | % | | | (2,822 | ) |
PotlatchDeltic Corp. | | | 509 | | | | 0.35 | % | | | (2,966 | ) |
OneMain Holdings, Inc. | | | 840 | | | | 0.52 | % | | | (3,991 | ) |
Essent Group Ltd. | | | 1,057 | | | | 0.57 | % | | | (4,091 | ) |
MGIC Investment Corp. | | | 4,050 | | | | 0.72 | % | | | (4,262 | ) |
Piper Sandler Cos. | | | 341 | | | | 0.59 | % | | | (4,314 | ) |
Mercury General Corp. | | | 1,519 | | | | 1.09 | % | | | (4,681 | ) |
National Bank Holdings Corp. — Class A | | | 1,910 | | | | 1.01 | % | | | (5,683 | ) |
Meta Financial Group, Inc. | | | 676 | | | | 0.49 | % | | | (5,737 | ) |
AMERISAFE, Inc. | | | 1,168 | | | | 0.76 | % | | | (7,353 | ) |
Hilltop Holdings, Inc. | | | 1,405 | | | | 0.54 | % | | | (10,172 | ) |
Evercore, Inc. — Class A | | | 454 | | | | 0.66 | % | | | (11,981 | ) |
Total Financial | | | | | | | | | | | 461 | |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Kinder Morgan, Inc. | | | 2,391 | | | | 0.59 | % | | | 823 | |
Exxon Mobil Corp. | | | 338 | | | | 0.37 | % | | | 44 | |
Total Energy | | | | | | | | | | | 867 | |
Total MS Equity Long Custom Basket | | | | | | $ | 200,766 | |
| | | | | | | | | |
MS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Guardant Health, Inc. | | | 1,297 | | | | (0.59 | )% | | | 71,299 | |
CoStar Group, Inc. | | | 2,313 | | | | (1.05 | )% | | | 47,402 | |
Viad Corp. | | | 3,262 | | | | (0.79 | )% | | | 30,061 | |
Equifax, Inc. | | | 633 | | | | (1.02 | )% | | | 19,663 | |
Driven Brands Holdings, Inc. | | | 6,627 | | | | (1.19 | )% | | | 16,462 | |
TransUnion | | | 1,111 | | | | (0.78 | )% | | | 10,524 | |
ASGN, Inc. | | | 1,000 | | | | (0.80 | )% | | | 8,634 | |
Dun & Bradstreet Holdings, Inc. | | | 4,745 | | | | (0.57 | )% | | | 8,483 | |
Natera, Inc. | | | 420 | | | | (0.12 | )% | | | 6,969 | |
Cooper Companies, Inc. | | | 125 | | | | (0.36 | )% | | | 1,378 | |
Verisk Analytics, Inc. — Class A | | | 811 | | | | (1.19 | )% | | | 767 | |
Intellia Therapeutics, Inc. | | | 288 | | | | (0.14 | )% | | | (233 | ) |
Booz Allen Hamilton Holding Corp. | | | 1,053 | | | | (0.63 | )% | | | (1,782 | ) |
Cintas Corp. | | | 664 | | | | (1.93 | )% | | | (3,571 | ) |
UnitedHealth Group, Inc. | | | 142 | | | | (0.49 | )% | | | (3,632 | ) |
Rollins, Inc. | | | 3,906 | | | | (0.93 | )% | | | (7,928 | ) |
Sysco Corp. | | | 1,544 | | | | (0.86 | )% | | | (9,623 | ) |
Bunge Ltd. | | | 1,128 | | | | (0.85 | )% | | | (12,886 | ) |
Quanta Services, Inc. | | | 678 | | | | (0.61 | )% | | | (15,464 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 166,523 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Lyft, Inc. — Class A | | | 3,215 | | | | (0.84 | )% | | | 13,960 | |
Okta, Inc. | | | 156 | | | | (0.16 | )% | | | 7,366 | |
Airbnb, Inc. — Class A | | | 173 | | | | (0.20 | )% | | | 3,613 | |
Trade Desk, Inc. — Class A | | | 519 | | | | (0.25 | )% | | | (1,225 | ) |
Palo Alto Networks, Inc. | | | 49 | | | | (0.21 | )% | | | (2,371 | ) |
DoorDash, Inc. — Class A | | | 483 | | | | (0.39 | )% | | | (9,092 | ) |
Total Communications | | | | | | | | | | | 12,251 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
United Airlines Holdings, Inc. | | | 3,207 | | | | (1.01 | )% | | | 31,926 | |
Delta Air Lines, Inc. | | | 3,779 | | | | (1.02 | )% | | | 23,433 | |
MillerKnoll, Inc. | | | 6,310 | | | | (1.49 | )% | | | 16,819 | |
IAA, Inc. | | | 1,599 | | | | (0.42 | )% | | | 16,636 | |
16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ALPHA OPPORTUNITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Freshpet, Inc. | | | 533 | | | | (0.37 | )% | | $ | 14,972 | |
MGM Resorts International | | | 1,525 | | | | (0.44 | )% | | | 2,336 | |
Copart, Inc. | | | 1,730 | | | | (1.48 | )% | | | 710 | |
American Airlines Group, Inc. | | | 10,552 | | | | (1.31 | )% | | | 527 | |
Southwest Airlines Co. | | | 2,066 | | | | (0.65 | )% | | | (395 | ) |
JetBlue Airways Corp. | | | 3,748 | | | | (0.38 | )% | | | (1,501 | ) |
Royal Caribbean Cruises Ltd. | | | 628 | | | | (0.36 | )% | | | (2,249 | ) |
Hilton Worldwide Holdings, Inc. | | | 450 | | | | (0.47 | )% | | | (3,118 | ) |
Carnival Corp. | | | 2,330 | | | | (0.32 | )% | | | (4,476 | ) |
Lululemon Athletica, Inc. | | | 170 | | | | (0.42 | )% | | | (8,872 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 86,748 | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Western Alliance Bancorporation | | | 1,630 | | | | (0.92 | )% | | | 33,540 | |
Americold Realty Trust | | | 3,162 | | | | (0.60 | )% | | | 28,117 | |
SVB Financial Group | | | 170 | | | | (0.65 | )% | | | 20,680 | |
Sun Communities, Inc. | | | 1,069 | | | | (1.28 | )% | | | 16,401 | |
Equinix, Inc. | | | 245 | | | | (1.24 | )% | | | 12,999 | |
Bank of New York Mellon Corp. | | | 1,011 | | | | (0.34 | )% | | | 12,091 | |
Invitation Homes, Inc. | | | 4,659 | | | | (1.28 | )% | | | 10,217 | |
Equitable Holdings, Inc. | | | 6,535 | | | | (1.38 | )% | | | 7,229 | |
Regions Financial Corp. | | | 2,985 | | | | (0.45 | )% | | | 4,247 | |
RLJ Lodging Trust | | | 15,107 | | | | (1.45 | )% | | | 2,765 | |
Northern Trust Corp. | | | 1,355 | | | | (1.08 | )% | | | 2,217 | |
Signature Bank | | | 364 | | | | (0.73 | )% | | | 2,207 | |
First Republic Bank | | | 475 | | | | (0.53 | )% | | | 1,205 | |
Safehold, Inc. | | | 1,180 | | | | (0.45 | )% | | | 991 | |
UDR, Inc. | | | 1,408 | | | | (0.55 | )% | | | 338 | |
Sunstone Hotel Investors, Inc. | | | 11,590 | | | | (0.93 | )% | | | (216 | ) |
Park Hotels & Resorts, Inc. | | | 10,011 | | | | (1.33 | )% | | �� | (336 | ) |
Wells Fargo & Co. | | | 2,263 | | | | (0.75 | )% | | | (596 | ) |
Bank of America Corp. | | | 1,602 | | | | (0.45 | )% | | | (676 | ) |
Zions Bancorp North America | | | 2,438 | | | | (1.09 | )% | | | (1,126 | ) |
Digital Realty Trust, Inc. | | | 472 | | | | (0.46 | )% | | | (1,250 | ) |
CBRE Group, Inc. — Class A | | | 955 | | | | (0.60 | )% | | | (1,403 | ) |
Goldman Sachs Group, Inc. | | | 528 | | | | (1.19 | )% | | | (1,404 | ) |
State Street Corp. | | | 2,396 | | | | (1.42 | )% | | | (1,834 | ) |
Crown Castle International Corp. | | | 880 | | | | (1.11 | )% | | | (2,696 | ) |
Lincoln National Corp. | | | 903 | | | | (0.40 | )% | | | (3,052 | ) |
KKR & Company, Inc. — Class A | | | 1,716 | | | | (0.68 | )% | | | (4,375 | ) |
Apple Hospitality REIT, Inc. | | | 2,899 | | | | (0.36 | )% | | | (5,750 | ) |
Ryman Hospitality Properties, Inc. | | | 1,661 | | | | (1.05 | )% | | | (6,947 | ) |
SBA Communications Corp. | | | 381 | | | | (0.89 | )% | | | (8,141 | ) |
Xenia Hotels & Resorts, Inc. | | | 4,867 | | | | (0.64 | )% | | | (9,046 | ) |
Apartment Income REIT Corp. | | | 4,892 | | | | (1.78 | )% | | | (10,327 | ) |
Comerica, Inc. | | | 2,135 | | | | (1.32 | )% | | | (13,515 | ) |
Ventas, Inc. | | | 2,457 | | | | (1.04 | )% | | | (14,745 | ) |
Welltower, Inc. | | | 2,016 | | | | (1.32 | )% | | | (18,186 | ) |
Pebblebrook Hotel Trust | | | 6,976 | | | | (1.17 | )% | | | (18,894 | ) |
Kennedy-Wilson Holdings, Inc. | | | 10,855 | | | | (1.81 | )% | | | (19,149 | ) |
Iron Mountain, Inc. | | | 3,476 | | | | (1.31 | )% | | | (25,779 | ) |
Outfront Media, Inc. | | | 6,852 | | | | (1.33 | )% | | | (27,291 | ) |
Host Hotels & Resorts, Inc. | | | 12,551 | | | | (1.66 | )% | | | (33,028 | ) |
Howard Hughes Corp. | | | 2,138 | | | | (1.51 | )% | | | (36,999 | ) |
Total Financial | | | | | | | | | | | (111,517 | ) |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
Entergy Corp. | | | 1,419 | | | | (1.13 | )% | | | (7,677 | ) |
Black Hills Corp. | | | 3,598 | | | | (1.89 | )% | | | (31,003 | ) |
ONE Gas, Inc. | | | 3,001 | | | | (1.81 | )% | | | (32,577 | ) |
CenterPoint Energy, Inc. | | | 9,089 | | | | (1.90 | )% | | | (37,109 | ) |
Atmos Energy Corp. | | | 2,263 | | | | (1.84 | )% | | | (40,752 | ) |
Edison International | | | 3,945 | | | | (1.89 | )% | | | (45,634 | ) |
Total Utilities | | | | | | | | | | | (194,752 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Ceridian HCM Holding, Inc. | | | 1,302 | | | | (0.61 | )% | | | 27,991 | |
Atlassian Corporation plc — Class A | | | 123 | | | | (0.25 | )% | | | 816 | |
Datadog, Inc. — Class A | | | 359 | | | | (0.37 | )% | | | (1,904 | ) |
Bill.com Holdings, Inc. | | | 236 | | | | (0.37 | )% | | | (3,026 | ) |
Zscaler, Inc. | | | 238 | | | | (0.39 | )% | | | (4,460 | ) |
Cloudflare, Inc. — Class A | | | 455 | | | | (0.37 | )% | | | (4,993 | ) |
Leidos Holdings, Inc. | | | 664 | | | | (0.49 | )% | | | (11,273 | ) |
Crowdstrike Holdings, Inc. — Class A | | | 264 | | | | (0.41 | )% | | | (12,137 | ) |
MongoDB, Inc. | | | 153 | | | | (0.46 | )% | | | (12,329 | ) |
KBR, Inc. | | | 3,892 | | | | (1.45 | )% | | | (44,199 | ) |
Total Technology | | | | | | | | | | | (65,514 | ) |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Stericycle, Inc. | | | 3,068 | | | | (1.22 | )% | | | 46,825 | |
Boeing Co. | | | 1,036 | | | | (1.35 | )% | | | 32,927 | |
MSA Safety, Inc. | | | 620 | | | | (0.56 | )% | | | 4,529 | |
Jacobs Engineering Group, Inc. | | | 1,747 | | | | (1.64 | )% | | | 3,815 | |
J.B. Hunt Transport Services, Inc. | | | 442 | | | | (0.61 | )% | | | 1,249 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ALPHA OPPORTUNITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
CH Robinson Worldwide, Inc. | | | 955 | | | | (0.70 | )% | | $ | (793 | ) |
TransDigm Group, Inc. | | | 134 | | | | (0.60 | )% | | | (1,696 | ) |
General Electric Co. | | | 976 | | | | (0.61 | )% | | | (2,242 | ) |
Republic Services, Inc. — Class A | | | 764 | | | | (0.69 | )% | | | (11,736 | ) |
Waste Management, Inc. | | | 736 | | | | (0.80 | )% | | | (14,627 | ) |
Howmet Aerospace, Inc. | | | 3,729 | | | | (0.91 | )% | | | (14,933 | ) |
Tetra Tech, Inc. | | | 939 | | | | (1.06 | )% | | | (50,457 | ) |
Casella Waste Systems, Inc. — Class A | | | 2,449 | | | | (1.46 | )% | | | (70,808 | ) |
Total Industrial | | | | | | | | | | | (77,947 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
NOV, Inc. | | | 5,672 | | | | (0.76 | )% | | | (26,380 | ) |
Range Resources Corp. | | | 2,682 | | | | (0.56 | )% | | | (35,072 | ) |
Patterson-UTI Energy, Inc. | | | 11,648 | | | | (1.23 | )% | | | (88,690 | ) |
Halliburton Co. | | | 7,715 | | | | (1.99 | )% | | | (115,126 | ) |
Total Energy | | | | | | | | | | | (265,268 | ) |
Total MS Equity Short Custom Basket | | | | | | $ | (449,476 | ) |
| | | | | | | | | | | | | |
GS EQUITY LONG CUSTOM BASKET | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Amphastar Pharmaceuticals, Inc. | | | 1,583 | | | | 0.70 | % | | | 25,211 | |
AbbVie, Inc. | | | 437 | | | | 0.93 | % | | | 19,321 | |
Innoviva, Inc. | | | 3,208 | | | | 0.81 | % | | | 19,169 | |
Bristol-Myers Squibb Co. | | | 1,190 | | | | 1.14 | % | | | 12,089 | |
Regeneron Pharmaceuticals, Inc. | | | 85 | | | | 0.78 | % | | | 12,004 | |
Vertex Pharmaceuticals, Inc. | | | 167 | | | | 0.57 | % | | | 11,731 | |
Molson Coors Beverage Co. — Class B | | | 1,028 | | | | 0.72 | % | | | 9,347 | |
Amgen, Inc. | | | 297 | | | | 0.94 | % | | | 8,296 | |
Johnson & Johnson | | | 487 | | | | 1.13 | % | | | 7,917 | |
Eagle Pharmaceuticals, Inc. | | | 1,007 | | | | 0.65 | % | | | 5,860 | |
United Therapeutics Corp. | | | 156 | | | | 0.37 | % | | | 4,744 | |
Hologic, Inc. | | | 906 | | | | 0.91 | % | | | 4,655 | |
Exelixis, Inc. | | | 1,136 | | | | 0.34 | % | | | 4,117 | |
Merck & Company, Inc. | | | 416 | | | | 0.45 | % | | | 3,887 | |
Incyte Corp. | | | 630 | | | | 0.66 | % | | | 2,899 | |
Perdoceo Education Corp. | | | 5,371 | | | | 0.81 | % | | | 2,892 | |
Corteva, Inc. | | | 338 | | | | 0.25 | % | | | 2,869 | |
Prestige Consumer Healthcare, Inc. | | | 731 | | | | 0.51 | % | | | 2,644 | |
Quest Diagnostics, Inc. | | | 273 | | | | 0.49 | % | | | 1,982 | |
Halozyme Therapeutics, Inc. | | | 524 | | | | 0.27 | % | | | 1,081 | |
Royalty Pharma plc — Class A | | | 798 | | | | 0.41 | % | | | 260 | |
Premier, Inc. — Class A | | | 448 | | | | 0.21 | % | | | (806 | ) |
Waters Corp. | | | 95 | | | | 0.39 | % | | | (901 | ) |
Abbott Laboratories | | | 302 | | | | 0.47 | % | | | (968 | ) |
John B Sanfilippo & Son, Inc. | | | 963 | | | | 1.05 | % | | | (1,333 | ) |
Laboratory Corporation of America Holdings | | | 96 | | | | 0.33 | % | | | (1,671 | ) |
Pfizer, Inc. | | | 501 | | | | 0.34 | % | | | (3,067 | ) |
EVERTEC, Inc. | | | 909 | | | | 0.49 | % | | | (4,477 | ) |
USANA Health Sciences, Inc. | | | 546 | | | | 0.57 | % | | | (10,340 | ) |
Gilead Sciences, Inc. | | | 1,333 | | | | 1.04 | % | | | (10,833 | ) |
Bio-Rad Laboratories, Inc. — Class A | | | 84 | | | | 0.62 | % | | | (12,073 | ) |
Vanda Pharmaceuticals, Inc. | | | 2,806 | | | | 0.42 | % | | | (14,979 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 101,527 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
AutoZone, Inc. | | | 42 | | | | 1.12 | % | | | 20,460 | |
AutoNation, Inc. | | | 222 | | | | 0.29 | % | | | 4,416 | |
Ethan Allen Interiors, Inc. | | | 1,544 | | | | 0.53 | % | | | 3,141 | |
Allison Transmission Holdings, Inc. | | | 1,339 | | | | 0.69 | % | | | 2,443 | |
Methode Electronics, Inc. | | | 611 | | | | 0.35 | % | | | 525 | |
Tapestry, Inc. | | | 590 | | | | 0.29 | % | | | (142 | ) |
Columbia Sportswear Co. | | | 368 | | | | 0.44 | % | | | (178 | ) |
Zumiez, Inc. | | | 526 | | | | 0.26 | % | | | (1,510 | ) |
Autoliv, Inc. | | | 257 | | | | 0.26 | % | | | (2,659 | ) |
Brunswick Corp. | | | 361 | | | | 0.38 | % | | | (2,728 | ) |
Jack in the Box, Inc. | | | 229 | | | | 0.28 | % | | | (3,392 | ) |
MarineMax, Inc. | | | 394 | | | | 0.21 | % | | | (3,395 | ) |
Haverty Furniture Companies, Inc. | | | 565 | | | | 0.20 | % | | | (3,541 | ) |
Cummins, Inc. | | | 270 | | | | 0.73 | % | | | (3,734 | ) |
Tri Pointe Homes, Inc. | | | 1,540 | | | | 0.41 | % | | | (4,317 | ) |
Shoe Carnival, Inc. | | | 567 | | | | 0.22 | % | | | (4,498 | ) |
Buckle, Inc. | | | 703 | | | | 0.30 | % | | | (4,712 | ) |
LKQ Corp. | | | 541 | | | | 0.32 | % | | | (5,915 | ) |
PulteGroup, Inc. | | | 544 | | | | 0.30 | % | | | (6,221 | ) |
Gentex Corp. | | | 2,799 | | | | 1.07 | % | | | (7,347 | ) |
NVR, Inc. | | | 14 | | | | 0.82 | % | | | (8,003 | ) |
Toll Brothers, Inc. | | | 421 | | | | 0.26 | % | | | (8,537 | ) |
Acushnet Holdings Corp. | | | 910 | | | | 0.48 | % | | | (8,796 | ) |
Dolby Laboratories, Inc. — Class A | | | 628 | | | | 0.64 | % | | | (9,305 | ) |
Whirlpool Corp. | | | 392 | | | | 0.89 | % | | | (17,906 | ) |
Total Consumer, Cyclical | | | | | | | | | | | (75,851 | ) |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Westlake Corp. | | | 473 | | | | 0.76 | % | | | 14,460 | |
LyondellBasell Industries N.V. — Class A | | | 630 | | | | 0.85 | % | | | 7,928 | |
Dow, Inc. | | | 1,038 | | | | 0.87 | % | | | 7,763 | |
AdvanSix, Inc. | | | 608 | | | | 0.41 | % | | | 4,492 | |
NewMarket Corp. | | | 65 | | | | 0.28 | % | | | 793 | |
18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ALPHA OPPORTUNITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Reliance Steel & Aluminum Co. | | | 166 | | | | 0.40 | % | | $ | (719 | ) |
Minerals Technologies, Inc. | | | 540 | | | | 0.47 | % | | | (1,938 | ) |
International Paper Co. | | | 1,192 | | | | 0.72 | % | | | (2,083 | ) |
Total Basic Materials | | | | | | | | | | | 30,696 | |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
CSG Systems International, Inc. | | | 1,314 | | | | 1.09 | % | | | 24,152 | |
Rambus, Inc. | | | 1,793 | | | | 0.75 | % | | | 18,263 | |
ExlService Holdings, Inc. | | | 170 | | | | 0.32 | % | | | 6,466 | |
NetApp, Inc. | | | 477 | | | | 0.52 | % | | | 6,010 | |
Lumentum Holdings, Inc. | | | 234 | | | | 0.30 | % | | | 3,762 | |
Akamai Technologies, Inc. | | | 214 | | | | 0.33 | % | | | 1,429 | |
Dropbox, Inc. — Class A | | | 741 | | | | 0.23 | % | | | 1,022 | |
Genpact Ltd. | | | 385 | | | | 0.22 | % | | | 633 | |
Progress Software Corp. | | | 629 | | | | 0.39 | % | | | 325 | |
NetScout Systems, Inc. | | | 535 | | | | 0.22 | % | | | 278 | |
SS&C Technologies Holdings, Inc. | | | 214 | | | | 0.21 | % | | | (170 | ) |
Skyworks Solutions, Inc. | | | 119 | | | | 0.21 | % | | | (282 | ) |
Ziff Davis, Inc. | | | 222 | | | | 0.28 | % | | | (412 | ) |
Intel Corp. | | | 632 | | | | 0.41 | % | | | (590 | ) |
Qorvo, Inc. | | | 124 | | | | 0.20 | % | | | (962 | ) |
CommVault Systems, Inc. | | | 253 | | | | 0.22 | % | | | (2,894 | ) |
Xperi Holding Corp. | | | 1,883 | | | | 0.43 | % | | | (5,311 | ) |
Total Technology | | | | | | | | | | | 51,719 | |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Mueller Industries, Inc. | | | 1,428 | | | | 1.01 | % | | | 13,927 | |
Knowles Corp. | | | 3,809 | | | | 1.07 | % | | | 8,994 | |
Packaging Corporation of America | | | 380 | | | | 0.78 | % | | | 8,796 | |
Crane Co. | | | 384 | | | | 0.54 | % | | | 5,243 | |
Encore Wire Corp. | | | 295 | | | | 0.44 | % | | | 4,903 | |
Owens Corning | | | 275 | | | | 0.33 | % | | | 4,669 | |
TTM Technologies, Inc. | | | 3,946 | | | | 0.77 | % | | | 3,630 | |
Dorian LPG Ltd. | | | 1,550 | | | | 0.29 | % | | | 2,827 | |
Albany International Corp. — Class A | | | 286 | | | | 0.32 | % | | | 1,980 | |
Sanmina Corp. | | | 1,654 | | | | 0.88 | % | | | 1,750 | |
Keysight Technologies, Inc. | | | 105 | | | | 0.22 | % | | | 641 | |
Snap-on, Inc. | | | 333 | | | | 0.90 | % | | | 195 | |
Louisiana-Pacific Corp. | | | 412 | | | | 0.34 | % | | | (107 | ) |
Insteel Industries, Inc. | | | 509 | | | | 0.25 | % | | | (659 | ) |
Hillenbrand, Inc. | | | 1,049 | | | | 0.61 | % | | | (1,242 | ) |
Arrow Electronics, Inc. | | | 135 | | | | 0.21 | % | | | (1,288 | ) |
Sturm Ruger & Company, Inc. | | | 958 | | | | 0.87 | % | | | (2,691 | ) |
UFP Industries, Inc. | | | 256 | | | | 0.26 | % | | | (3,052 | ) |
Vishay Intertechnology, Inc. | | | 4,302 | | | | 1.10 | % | | | (4,050 | ) |
Eagle Materials, Inc. | | | 287 | | | | 0.48 | % | | | (5,159 | ) |
OSI Systems, Inc. | | | 498 | | | | 0.56 | % | | | (5,507 | ) |
Vontier Corp. | | | 962 | | | | 0.32 | % | | | (7,204 | ) |
3M Co. | | | 554 | | | | 1.08 | % | | | (10,910 | ) |
Garmin Ltd. | | | 668 | | | | 1.04 | % | | | (11,473 | ) |
Total Industrial | | | | | | | | | | | 4,213 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Juniper Networks, Inc. | | | 601 | | | | 0.29 | % | | | 8,889 | |
Cisco Systems, Inc. | | | 796 | | | | 0.58 | % | | | 8,052 | |
Omnicom Group, Inc. | | | 388 | | | | 0.43 | % | | | 6,234 | |
Viavi Solutions, Inc. | | | 2,656 | | | | 0.56 | % | | | 2,931 | |
F5, Inc. | | | 80 | | | | 0.22 | % | | | 1,298 | |
Nexstar Media Group, Inc. — Class A | | | 204 | | | | 0.50 | % | | | 1,109 | |
Interpublic Group of Companies, Inc. | | | 1,065 | | | | 0.49 | % | | | 1,101 | |
Alphabet, Inc. — Class C | | | 11 | | | | 0.40 | % | | | (279 | ) |
Comcast Corp. — Class A | | | 1,588 | | | | 0.97 | % | | | (792 | ) |
Meta Platforms, Inc. — Class A | | | 342 | | | | 1.00 | % | | | (905 | ) |
Shenandoah Telecommunications Co. | | | 1,415 | | | | 0.44 | % | | | (1,053 | ) |
NETGEAR, Inc. | | | 609 | | | | 0.20 | % | | | (2,227 | ) |
InterDigital, Inc. | | | 478 | | | | 0.40 | % | | | (2,268 | ) |
Yelp, Inc. — Class A | | | 1,301 | | | | 0.58 | % | | | (2,448 | ) |
Verizon Communications, Inc. | | | 1,504 | | | | 1.00 | % | | | (4,131 | ) |
Total Communications | | | | | | | | | | | 15,511 | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
National Fuel Gas Co. | | | 1,256 | | | | 1.10 | % | | | 20,348 | |
IDACORP, Inc. | | | 647 | | | | 0.98 | % | | | 12,054 | |
Chesapeake Utilities Corp. | | | 539 | | | | 0.97 | % | | | 9,282 | |
Southern Co. | | | 582 | | | | 0.55 | % | | | 8,018 | |
Portland General Electric Co. | | | 1,315 | | | | 0.95 | % | | | 6,893 | |
Duke Energy Corp. | | | 674 | | | | 0.99 | % | | | 5,049 | |
CMS Energy Corp. | | | 1,260 | | | | 1.15 | % | | | 3,876 | |
MGE Energy, Inc. | | | 1,113 | | | | 1.16 | % | | | 3,660 | |
WEC Energy Group, Inc. | | | 323 | | | | 0.42 | % | | | 1,805 | |
California Water Service Group | | | 381 | | | | 0.30 | % | | | 566 | |
American States Water Co. | | | 23 | | | | 0.03 | % | | | (144 | ) |
Otter Tail Corp. | | | 728 | | | | 0.60 | % | | | (257 | ) |
PPL Corp. | | | 1,581 | | | | 0.59 | % | | | (1,692 | ) |
Total Utilities | | | | | | | | | | | 69,458 | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Arch Capital Group Ltd. | | | 1,757 | | | | 1.11 | % | | | 13,844 | |
Safety Insurance Group, Inc. | | | 981 | | | | 1.17 | % | | | 11,457 | |
Enstar Group Ltd. | | | 294 | | | | 1.01 | % | | | 10,701 | |
Raymond James Financial, Inc. | | | 401 | | | | 0.58 | % | | | 9,091 | |
Markel Corp. | | | 30 | | | | 0.58 | % | | | 7,566 | |
Preferred Bank/Los Angeles CA | | | 854 | | | | 0.83 | % | | | 5,545 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ALPHA OPPORTUNITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Everest Re Group Ltd. | | | 164 | | | | 0.65 | % | | $ | 5,266 | |
Travelers Companies, Inc. | | | 366 | | | | 0.88 | % | | | 3,696 | |
Equity Commonwealth | | | 1,496 | | | | 0.55 | % | | | 3,206 | |
BankUnited, Inc. | | | 1,122 | | | | 0.65 | % | | | 2,590 | |
Old Republic International Corp. | | | 2,640 | | | | 0.89 | % | | | 2,105 | |
PS Business Parks, Inc. | | | 294 | | | | 0.65 | % | | | 2,026 | |
Western Union Co. | | | 1,620 | | | | 0.40 | % | | | 1,403 | |
WP Carey, Inc. | | | 214 | | | | 0.23 | % | | | 720 | |
Easterly Government Properties, Inc. | | | 1,240 | | | | 0.34 | % | | | 439 | |
United Bankshares, Inc. | | | 1,623 | | | | 0.74 | % | | | 94 | |
Radian Group, Inc. | | | 2,697 | | | | 0.78 | % | | | (253 | ) |
Stewart Information Services Corp. | | | 1,046 | | | | 0.83 | % | | | (577 | ) |
Fulton Financial Corp. | | | 3,443 | | | | 0.75 | % | | | (941 | ) |
Janus Henderson Group plc | | | 918 | | | | 0.42 | % | | | (1,604 | ) |
First American Financial Corp. | | | 478 | | | | 0.41 | % | | | (1,658 | ) |
Interactive Brokers Group, Inc. — Class A | | | 696 | | | | 0.60 | % | | | (1,746 | ) |
HomeStreet, Inc. | | | 981 | | | | 0.61 | % | | | (1,869 | ) |
Fidelity National Financial, Inc. | | | 990 | | | | 0.63 | % | | | (2,317 | ) |
Citigroup, Inc. | | | 475 | | | | 0.33 | % | | | (2,797 | ) |
PotlatchDeltic Corp. | | | 509 | | | | 0.35 | % | | | (3,355 | ) |
OneMain Holdings, Inc. | | | 840 | | | | 0.52 | % | | | (3,975 | ) |
Essent Group Ltd. | | | 1,057 | | | | 0.57 | % | | | (4,125 | ) |
Piper Sandler Cos. | | | 341 | | | | 0.59 | % | | | (4,291 | ) |
MGIC Investment Corp. | | | 4,050 | | | | 0.72 | % | | | (4,388 | ) |
Mercury General Corp. | | | 1,519 | | | | 1.09 | % | | | (4,901 | ) |
National Bank Holdings Corp. — Class A | | | 1,910 | | | | 1.01 | % | | | (5,505 | ) |
Meta Financial Group, Inc. | | | 676 | | | | 0.49 | % | | | (5,813 | ) |
AMERISAFE, Inc. | | | 1,168 | | | | 0.76 | % | | | (7,307 | ) |
Hilltop Holdings, Inc. | | | 1,405 | | | | 0.54 | % | | | (10,185 | ) |
Evercore, Inc. — Class A | | | 454 | | | | 0.66 | % | | | (12,069 | ) |
Total Financial | | | | | | | | | | | 73 | |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Kinder Morgan, Inc. | | | 2,391 | | | | 0.59 | % | | | 821 | |
Exxon Mobil Corp. | | | 338 | | | | 0.37 | % | | | 13 | |
Total Energy | | | | | | | | | | | 834 | |
Total GS Equity Long Custom Basket | | | | | | $ | 198,180 | |
| | | | | | | | | |
GS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Guardant Health, Inc. | | | 1,297 | | | | (0.59 | )% | | | 71,376 | |
CoStar Group, Inc. | | | 2,313 | | | | (1.06 | )% | | | 47,197 | |
Viad Corp. | | | 3,262 | | | | (0.80 | )% | | | 29,789 | |
Equifax, Inc. | | | 633 | | | | (1.04 | )% | | | 19,482 | |
Driven Brands Holdings, Inc. | | | 6,627 | | | | (1.20 | )% | | | 16,660 | |
TransUnion | | | 1,111 | | | | (0.79 | )% | | | 10,441 | |
ASGN, Inc. | | | 1,000 | | | | (0.81 | )% | | | 8,536 | |
Dun & Bradstreet Holdings, Inc. | | | 4,745 | | | | (0.57 | )% | | | 8,494 | |
Natera, Inc. | | | 420 | | | | (0.12 | )% | | | 6,998 | |
Cooper Companies, Inc. | | | 125 | | | | (0.36 | )% | | | 1,411 | |
Verisk Analytics, Inc. — Class A | | | 811 | | | | (1.20 | )% | | | 808 | |
Intellia Therapeutics, Inc. | | | 288 | | | | (0.14 | )% | | | (205 | ) |
Booz Allen Hamilton Holding Corp. | | | 1,053 | | | | (0.64 | )% | | | (1,743 | ) |
UnitedHealth Group, Inc. | | | 142 | | | | (0.50 | )% | | | (3,679 | ) |
Cintas Corp. | | | 664 | | | | (1.95 | )% | | | (3,761 | ) |
Rollins, Inc. | | | 3,906 | | | | (0.95 | )% | | | (8,022 | ) |
Sysco Corp. | | | 1,544 | | | | (0.87 | )% | | | (9,243 | ) |
Bunge Ltd. | | | 1,128 | | | | (0.86 | )% | | | (12,753 | ) |
Quanta Services, Inc. | | | 678 | | | | (0.62 | )% | | | (15,393 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 166,393 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Lyft, Inc. — Class A | | | 3,215 | | | | (0.85 | )% | | | 13,590 | |
Okta, Inc. | | | 156 | | | | (0.16 | )% | | | 7,400 | |
Airbnb, Inc. — Class A | | | 173 | | | | (0.21 | )% | | | 3,726 | |
Trade Desk, Inc. — Class A | | | 519 | | | | (0.25 | )% | | | (1,192 | ) |
Palo Alto Networks, Inc. | | | 49 | | | | (0.21 | )% | | | (2,353 | ) |
DoorDash, Inc. — Class A | | | 483 | | | | (0.39 | )% | | | (8,951 | ) |
Total Communications | | | | | | | | | | | 12,220 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
United Airlines Holdings, Inc. | | | 3,207 | | | | (1.03 | )% | | | 31,985 | |
Delta Air Lines, Inc. | | | 3,779 | | | | (1.03 | )% | | | 23,452 | |
MillerKnoll, Inc. | | | 6,310 | | | | (1.51 | )% | | | 16,819 | |
IAA, Inc. | | | 1,599 | | | | (0.42 | )% | | | 16,503 | |
Freshpet, Inc. | | | 533 | | | | (0.38 | )% | | | 15,033 | |
MGM Resorts International | | | 1,525 | | | | (0.44 | )% | | | 2,300 | |
Copart, Inc. | | | 1,730 | | | | (1.50 | )% | | | 608 | |
American Airlines Group, Inc. | | | 10,552 | | | | (1.33 | )% | | | 372 | |
Southwest Airlines Co. | | | 2,066 | | | | (0.65 | )% | | | (420 | ) |
JetBlue Airways Corp. | | | 3,748 | | | | (0.39 | )% | | | (1,567 | ) |
Royal Caribbean Cruises Ltd. | | | 628 | | | | (0.36 | )% | | | (2,243 | ) |
Hilton Worldwide Holdings, Inc. | | | 450 | | | | (0.47 | )% | | | (3,118 | ) |
Carnival Corp. | | | 2,330 | | | | (0.33 | )% | | | (4,513 | ) |
Lululemon Athletica, Inc. | | | 170 | | | | (0.43 | )% | | | (8,846 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 86,365 | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Western Alliance Bancorporation | | | 1,630 | | | | (0.93 | )% | | | 33,615 | |
20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ALPHA OPPORTUNITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Americold Realty Trust | | | 3,162 | | | | (0.61 | )% | | $ | 27,902 | |
SVB Financial Group | | | 170 | | | | (0.66 | )% | | | 20,878 | |
Sun Communities, Inc. | | | 1,069 | | | | (1.29 | )% | | | 16,256 | |
Equinix, Inc. | | | 245 | | | | (1.25 | )% | | | 12,708 | |
Bank of New York Mellon Corp. | | | 1,011 | | | | (0.35 | )% | | | 11,997 | |
Invitation Homes, Inc. | | | 4,659 | | | | (1.29 | )% | | | 10,170 | |
Equitable Holdings, Inc. | | | 6,535 | | | | (1.39 | )% | | | 6,922 | |
Regions Financial Corp. | | | 2,985 | | | | (0.46 | )% | | | 4,485 | |
Signature Bank | | | 364 | | | | (0.74 | )% | | | 2,171 | |
RLJ Lodging Trust | | | 15,107 | | | | (1.47 | )% | | | 2,099 | |
Safehold, Inc. | | | 1,180 | | | | (0.45 | )% | | | 1,341 | |
First Republic Bank | | | 475 | | | | (0.53 | )% | | | 1,334 | |
Northern Trust Corp. | | | 1,355 | | | | (1.09 | )% | | | 1,280 | |
UDR, Inc. | | | 1,408 | | | | (0.56 | )% | | | 224 | |
Zions Bancorp North America | | | 2,438 | | | | (1.10 | )% | | | (108 | ) |
Park Hotels & Resorts, Inc. | | | 10,011 | | | | (1.35 | )% | | | (136 | ) |
Sunstone Hotel Investors, Inc. | | | 11,590 | | | | (0.94 | )% | | | (581 | ) |
Bank of America Corp. | | | 1,602 | | | | (0.46 | )% | | | (611 | ) |
Wells Fargo & Co. | | | 2,263 | | | | (0.76 | )% | | | (679 | ) |
CBRE Group, Inc. — Class A | | | 955 | | | | (0.60 | )% | | | (1,181 | ) |
Digital Realty Trust, Inc. | | | 472 | | | | (0.46 | )% | | | (1,229 | ) |
State Street Corp. | | | 2,396 | | | | (1.44 | )% | | | (1,768 | ) |
Crown Castle International Corp. | | | 880 | | | | (1.12 | )% | | | (2,842 | ) |
Lincoln National Corp. | | | 903 | | | | (0.41 | )% | | | (2,969 | ) |
KKR & Company, Inc. — Class A | | | 1,716 | | | | (0.69 | )% | | | (4,074 | ) |
Apple Hospitality REIT, Inc. | | | 2,899 | | | | (0.36 | )% | | | (5,808 | ) |
Ryman Hospitality Properties, Inc. | | | 1,661 | | | | (1.06 | )% | | | (7,007 | ) |
Xenia Hotels & Resorts, Inc. | | | 4,867 | | | | (0.65 | )% | | | (7,689 | ) |
SBA Communications Corp. | | | 381 | | | | (0.91 | )% | | | (8,405 | ) |
Apartment Income REIT Corp. | | | 4,892 | | | | (1.81 | )% | | | (11,031 | ) |
Comerica, Inc. | | | 2,135 | | | | (1.33 | )% | | | (13,112 | ) |
Ventas, Inc. | | | 2,457 | | | | (1.05 | )% | | | (14,649 | ) |
Welltower, Inc. | | | 2,016 | | | | (1.34 | )% | | | (18,170 | ) |
Pebblebrook Hotel Trust | | | 6,976 | | | | (1.18 | )% | | | (19,152 | ) |
Kennedy-Wilson Holdings, Inc. | | | 10,855 | | | | (1.83 | )% | | | (19,281 | ) |
Iron Mountain, Inc. | | | 3,476 | | | | (1.33 | )% | | | (26,020 | ) |
Outfront Media, Inc. | | | 6,852 | | | | (1.34 | )% | | | (27,263 | ) |
Host Hotels & Resorts, Inc. | | | 12,551 | | | | (1.68 | )% | | | (33,153 | ) |
Howard Hughes Corp. | | | 2,138 | | | | (1.53 | )% | | | (36,751 | ) |
Total Financial | | | | | | | | | | | (110,287 | ) |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
Entergy Corp. | | | 1,419 | | | | (1.14 | )% | | | (7,449 | ) |
Black Hills Corp. | | | 3,598 | | | | (1.91 | )% | | | (31,538 | ) |
ONE Gas, Inc. | | | 3,001 | | | | (1.83 | )% | | | (32,652 | ) |
CenterPoint Energy, Inc. | | | 9,089 | | | | (1.92 | )% | | | (37,258 | ) |
Atmos Energy Corp. | | | 2,263 | | | | (1.87 | )% | | | (40,916 | ) |
Edison International | | | 3,945 | | | | (1.91 | )% | | | (46,005 | ) |
Total Utilities | | | | | | | | | | | (195,818 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Ceridian HCM Holding, Inc. | | | 1,302 | | | | (0.61 | )% | | | 28,145 | |
Atlassian Corporation plc — Class A | | | 123 | | | | (0.25 | )% | | | 561 | |
Datadog, Inc. — Class A | | | 359 | | | | (0.38 | )% | | | (1,873 | ) |
Bill.com Holdings, Inc. | | | 236 | | | | (0.37 | )% | | | (3,446 | ) |
Zscaler, Inc. | | | 238 | | | | (0.40 | )% | | | (4,387 | ) |
Cloudflare, Inc. — Class A | | | 455 | | | | (0.38 | )% | | | (4,954 | ) |
Leidos Holdings, Inc. | | | 664 | | | | (0.50 | )% | | | (11,267 | ) |
Crowdstrike Holdings, Inc. — Class A | | | 264 | | | | (0.41 | )% | | | (12,139 | ) |
MongoDB, Inc. | | | 153 | | | | (0.47 | )% | | | (12,287 | ) |
KBR, Inc. | | | 3,892 | | | | (1.47 | )% | | | (44,057 | ) |
Total Technology | | | | | | | | | | | (65,704 | ) |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Stericycle, Inc. | | | 3,068 | | | | (1.25 | )% | | | 46,773 | |
Boeing Co. | | | 1,036 | | | | (1.37 | )% | | | 32,793 | |
MSA Safety, Inc. | | | 620 | | | | (0.57 | )% | | | 4,303 | |
Jacobs Engineering Group, Inc. | | | 1,747 | | | | (1.66 | )% | | | 3,832 | |
J.B. Hunt Transport Services, Inc. | | | 442 | | | | (0.61 | )% | | | 1,232 | |
CH Robinson Worldwide, Inc. | | | 955 | | | | (0.71 | )% | | | (1,130 | ) |
TransDigm Group, Inc. | | | 134 | | | | (0.60 | )% | | | (1,719 | ) |
General Electric Co. | | | 976 | | | | (0.62 | )% | | | (2,164 | ) |
Republic Services, Inc. — Class A | | | 764 | | | | (0.70 | )% | | | (11,837 | ) |
Waste Management, Inc. | | | 736 | | | | (0.81 | )% | | | (14,622 | ) |
Howmet Aerospace, Inc. | | | 3,729 | | | | (0.93 | )% | | | (15,166 | ) |
Tetra Tech, Inc. | | | 939 | | | | (1.07 | )% | | | (50,593 | ) |
Casella Waste Systems, Inc. — Class A | | | 2,449 | | | | (1.48 | )% | | | (70,880 | ) |
Total Industrial | | | | | | | | | | | (79,178 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
NOV, Inc. | | | 5,672 | | | | (0.77 | )% | | | (26,598 | ) |
Range Resources Corp. | | | 2,682 | | | | (0.56 | )% | | | (34,855 | ) |
Patterson-UTI Energy, Inc. | | | 11,648 | | | | (1.24 | )% | | | (88,649 | ) |
Halliburton Co. | | | 7,715 | | | | (2.02 | )% | | | (114,765 | ) |
Total Energy | | | | | | | | | | | (264,867 | ) |
Total GS Equity Short Custom Basket | | | | | | $ | (450,876 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
ALPHA OPPORTUNITY FUND | |
* | 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 equity custom basket swap collateral at March 31, 2022. |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | 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. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 32,592,614 | | | $ | — | | | $ | — | | | $ | 32,592,614 | |
Money Market Fund | | | 1,469,927 | | | | — | | | | — | | | | 1,469,927 | |
Equity Custom Basket Swap Agreements** | | | — | | | | 398,946 | | | | — | | | | 398,946 | |
Total Assets | | $ | 34,062,541 | | | $ | 398,946 | | | $ | — | | | $ | 34,461,487 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Custom Basket Swap Agreements** | | $ | — | | | $ | 900,352 | | | $ | — | | | $ | 900,352 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
March 31, 2022 |
Assets: |
Investments, at value (cost $33,760,000) | | $ | 34,062,541 | |
Cash | | | 295 | |
Unrealized appreciation on OTC swap agreements | | | 398,946 | |
Prepaid expenses | | | 57,406 | |
Receivables: |
Swap settlement | | | 210,020 | |
Dividends | | | 24,017 | |
Interest | | | 59 | |
Total assets | | | 34,753,284 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 900,352 | |
Payable for: |
Management fees | | | 25,176 | |
Trustees’ fees* | | | 9,069 | |
Transfer agent/maintenance fees | | | 4,835 | |
Fund accounting/administration fees | | | 2,969 | |
Distribution and service fees | | | 1,247 | |
Due to Investment Adviser | | | 628 | |
Fund shares redeemed | | | 35 | |
Miscellaneous | | | 39,558 | |
Total liabilities | | | 983,869 | |
Net assets | | $ | 33,769,415 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 60,952,487 | |
Total distributable earnings (loss) | | | (27,183,072 | ) |
Net assets | | $ | 33,769,415 | |
| | | | | |
A-Class: |
Net assets | | $ | 2,975,557 | |
Capital shares outstanding | | | 163,935 | |
Net asset value per share | | $ | 18.15 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 19.06 | |
| | | | | |
C-Class: |
Net assets | | $ | 241,022 | |
Capital shares outstanding | | | 15,172 | |
Net asset value per share | | $ | 15.89 | |
| | | | | |
P-Class: |
Net assets | | $ | 1,832,144 | |
Capital shares outstanding | | | 100,128 | |
Net asset value per share | | $ | 18.30 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 28,720,692 | |
Capital shares outstanding | | | 1,078,065 | |
Net asset value per share | | $ | 26.64 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended March 31, 2022 |
Investment Income: |
Dividends | | $ | 393,565 | |
Interest | | | 145 | |
Total investment income | | | 393,710 | |
| | | | | |
Expenses: |
Management fees | | | 162,664 | |
Distribution and service fees: |
A-Class | | | 3,815 | |
C-Class | | | 1,355 | |
P-Class | | | 2,381 | |
Transfer agent/maintenance fees: |
A-Class | | | 3,191 | |
C-Class | | | 448 | |
P-Class | | | 1,331 | |
Institutional Class | | | 10,684 | |
Registration fees | | | 25,876 | |
Professional fees | | | 19,192 | |
Fund accounting/administration fees | | | 15,618 | |
Trustees’ fees* | | | 10,128 | |
Custodian fees | | | 8,269 | |
Line of credit fees | | | 575 | |
Miscellaneous | | | 6,929 | |
Recoupment of previously waived fees: |
A-Class | | | 608 | |
C-Class | | | 54 | |
P-Class | | | 405 | |
Institutional Class | | | 12,529 | |
Total expenses | | | 286,052 | |
Less: |
Expenses reimbursed by Adviser: |
A-Class | | | (1,706 | ) |
C-Class | | | (312 | ) |
P-Class | | | (427 | ) |
Institutional Class | | | (2,060 | ) |
Expenses waived by Adviser | | | (497 | ) |
Total waived/reimbursed expenses | | | (5,002 | ) |
Net expenses | | | 281,050 | |
Net investment income | | | 112,660 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 1,492,132 | |
Swap agreements | | | (589,102 | ) |
Net realized gain | | | 903,030 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (254,319 | ) |
Swap agreements | | | (228,495 | ) |
Net change in unrealized appreciation (depreciation) | | | (482,814 | ) |
Net realized and unrealized gain | | | 420,216 | |
Net increase in net assets resulting from operations | | $ | 532,876 | |
* | 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 SEMI-ANNUAL REPORT | 23 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 112,660 | | | $ | 282,314 | |
Net realized gain on investments | | | 903,030 | | | | 923,696 | |
Net change in unrealized appreciation (depreciation) on investments | | | (482,814 | ) | | | 1,826,972 | |
Net increase in net assets resulting from operations | | | 532,876 | | | | 3,032,982 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (25,810 | ) | | | (41,923 | ) |
C-Class | | | (554 | ) | | | (666 | ) |
P-Class | | | (17,637 | ) | | | (18,203 | ) |
Institutional Class | | | (238,313 | ) | | | (351,160 | ) |
Total distributions to shareholders | | | (282,314 | ) | | | (411,952 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 152,037 | | | | 168,044 | |
C-Class | | | 450 | | | | 3,300 | |
P-Class | | | 100,171 | | | | 941,686 | |
Institutional Class | | | 435,662 | | | | 434,959 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 22,965 | | | | 39,965 | |
C-Class | | | 525 | | | | 628 | |
P-Class | | | 17,637 | | | | 18,203 | |
Institutional Class | | | 234,219 | | | | 345,735 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (254,762 | ) | | | (814,018 | ) |
C-Class | | | (41,145 | ) | | | (102,868 | ) |
P-Class | | | (150,451 | ) | | | (351,042 | ) |
Institutional Class | | | (1,950,604 | ) | | | (5,557,148 | ) |
Net decrease from capital share transactions | | | (1,433,296 | ) | | | (4,872,556 | ) |
Net decrease in net assets | | | (1,182,734 | ) | | | (2,251,526 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 34,952,149 | | | | 37,203,675 | |
End of period | | $ | 33,769,415 | | | $ | 34,952,149 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 7,970 | | | | 9,329 | |
C-Class | | | 27 | | | | 215 | |
P-Class | | | 5,306 | | | | 52,371 | |
Institutional Class | | | 15,700 | | | | 16,972 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 1,171 | | | | 2,300 | |
C-Class | | | 31 | | | | 41 | |
P-Class | | | 892 | | | | 1,038 | |
Institutional Class | | | 8,141 | | | | 13,612 | |
Shares redeemed | | | | | | | | |
A-Class | | | (13,672 | ) | | | (46,125 | ) |
C-Class | | | (2,492 | ) | | | (6,688 | ) |
P-Class | | | (7,934 | ) | | | (19,588 | ) |
Institutional Class | | | (71,878 | ) | | | (212,990 | ) |
Net decrease in shares | | | (56,738 | ) | | | (189,513 | ) |
24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 18.05 | | | $ | 16.89 | | | $ | 17.42 | | | $ | 19.15 | | | $ | 21.10 | | | $ | 19.08 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .04 | | | | .10 | | | | .11 | | | | .12 | | | | .10 | | | | .31 | |
Net gain (loss) on investments (realized and unrealized) | | | .22 | | | | 1.27 | | | | (.48 | ) | | | (1.64 | ) | | | (.60 | ) | | | 1.72 | |
Total from investment operations | | | .26 | | | | 1.37 | | | | (.37 | ) | | | (1.52 | ) | | | (.50 | ) | | | 2.03 | |
Less distributions from: |
Net investment income | | | (.16 | ) | | | (.21 | ) | | | (.16 | ) | | | (.21 | ) | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (1.45 | ) | | | (.01 | ) |
Total distributions | | | (.16 | ) | | | (.21 | ) | | | (.16 | ) | | | (.21 | ) | | | (1.45 | ) | | | (.01 | ) |
Net asset value, end of period | | $ | 18.15 | | | $ | 18.05 | | | $ | 16.89 | | | $ | 17.42 | | | $ | 19.15 | | | $ | 21.10 | |
|
Total Returnc | | | 1.39 | % | | | 8.17 | % | | | (2.15 | %) | | | (7.97 | %) | | | (2.90 | %) | | | 10.70 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,976 | | | $ | 3,042 | | | $ | 3,429 | | | $ | 7,326 | | | $ | 11,243 | | | $ | 15,011 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.41 | % | | | 0.56 | % | | | 0.65 | % | | | 0.64 | % | | | 0.51 | % | | | 1.49 | % |
Total expensesd | | | 1.88 | % | | | 1.94 | % | | | 1.73 | % | | | 1.65 | % | | | 1.54 | % | | | 2.21 | % |
Net expensese,f,g | | | 1.76 | % | | | 1.76 | % | | | 1.69 | % | | | 1.64 | % | | | 1.54 | % | | | 2.17 | % |
Portfolio turnover rate | | | 100 | % | | | 169 | % | | | 209 | % | | | 126 | % | | | 255 | % | | | 92 | % |
C-Class | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 15.76 | | | $ | 14.71 | | | $ | 15.16 | | | $ | 16.61 | | | $ | 18.62 | | | $ | 16.96 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.03 | ) | | | (.03 | ) | | | (.02 | ) | | | (.03 | ) | | | (.05 | ) | | | .09 | |
Net gain (loss) on investments (realized and unrealized) | | | .19 | | | | 1.11 | | | | (.43 | ) | | | (1.42 | ) | | | (.51 | ) | | | 1.58 | |
Total from investment operations | | | .16 | | | | 1.08 | | | | (.45 | ) | | | (1.45 | ) | | | (.56 | ) | | | 1.67 | |
Less distributions from: |
Net investment income | | | (.03 | ) | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (1.45 | ) | | | (.01 | ) |
Total distributions | | | (.03 | ) | | | (.03 | ) | | | — | | | | — | | | | (1.45 | ) | | | (.01 | ) |
Net asset value, end of period | | $ | 15.89 | | | $ | 15.76 | | | $ | 14.71 | | | $ | 15.16 | | | $ | 16.61 | | | $ | 18.62 | |
|
Total Returnc | | | 1.02 | % | | | 7.37 | % | | | (2.97 | %) | | | (8.73 | %) | | | (3.65 | %) | | | 9.91 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 241 | | | $ | 277 | | | $ | 354 | | | $ | 702 | | | $ | 1,036 | | | $ | 2,508 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.35 | %) | | | (0.19 | %) | | | (0.15 | %) | | | (0.20 | %) | | | (0.31 | %) | | | 0.47 | % |
Total expensesd | | | 2.75 | % | | | 2.75 | % | | | 2.72 | % | | | 2.55 | % | | | 2.34 | % | | | 2.94 | % |
Net expensese,f,g | | | 2.51 | % | | | 2.51 | % | | | 2.51 | % | | | 2.48 | % | | | 2.31 | % | | | 2.88 | % |
Portfolio turnover rate | | | 100 | % | | | 169 | % | | | 209 | % | | | 126 | % | | | 255 | % | | | 92 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 18.21 | | | $ | 17.06 | | | $ | 17.56 | | | $ | 19.23 | | | $ | 21.19 | | | $ | 19.11 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .04 | | | | .10 | | | | .12 | | | | .11 | | | | .10 | | | | (.06 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .22 | | | | 1.28 | | | | (.49 | ) | | | (1.64 | ) | | | (.61 | ) | | | 2.15 | |
Total from investment operations | | | .26 | | | | 1.38 | | | | (.37 | ) | | | (1.53 | ) | | | (.51 | ) | | | 2.09 | |
Less distributions from: |
Net investment income | | | (.17 | ) | | | (.23 | ) | | | (.13 | ) | | | (.14 | ) | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (1.45 | ) | | | (.01 | ) |
Total distributions | | | (.17 | ) | | | (.23 | ) | | | (.13 | ) | | | (.14 | ) | | | (1.45 | ) | | | (.01 | ) |
Net asset value, end of period | | $ | 18.30 | | | $ | 18.21 | | | $ | 17.06 | | | $ | 17.56 | | | $ | 19.23 | | | $ | 21.19 | |
|
Total Return | | | 1.38 | % | | | 8.17 | % | | | (2.11 | %) | | | (7.99 | %) | | | (2.93 | %) | | | 11.00 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,832 | | | $ | 1,855 | | | $ | 1,161 | | | $ | 1,905 | | | $ | 4,525 | | | $ | 7,720 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.41 | % | | | 0.54 | % | | | 0.70 | % | | | 0.59 | % | | | 0.47 | % | | | (0.31 | %) |
Total expensesd | | | 1.81 | % | | | 1.96 | % | | | 1.67 | % | | | 1.67 | % | | | 1.58 | % | | | 1.75 | % |
Net expensese,f,g | | | 1.76 | % | | | 1.76 | % | | | 1.64 | % | | | 1.66 | % | | | 1.57 | % | | | 1.72 | % |
Portfolio turnover rate | | | 100 | % | | | 169 | % | | | 209 | % | | | 126 | % | | | 255 | % | | | 92 | % |
26 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 26.44 | | | $ | 24.65 | | | $ | 25.37 | | | $ | 27.77 | | | $ | 29.86 | | | $ | 26.82 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .09 | | | | .22 | | | | .25 | | | | .28 | | | | .27 | | | | .12 | |
Net gain (loss) on investments (realized and unrealized) | | | .32 | | | | 1.85 | | | | (.72 | ) | | | (2.37 | ) | | | (.91 | ) | | | 2.93 | |
Total from investment operations | | | .41 | | | | 2.07 | | | | (.47 | ) | | | (2.09 | ) | | | (.64 | ) | | | 3.05 | |
Less distributions from: |
Net investment income | | | (.21 | ) | | | (.28 | ) | | | (.25 | ) | | | (.31 | ) | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (1.45 | ) | | | (.01 | ) |
Total distributions | | | (.21 | ) | | | (.28 | ) | | | (.25 | ) | | | (.31 | ) | | | (1.45 | ) | | | (.01 | ) |
Net asset value, end of period | | $ | 26.64 | | | $ | 26.44 | | | $ | 24.65 | | | $ | 25.37 | | | $ | 27.77 | | | $ | 29.86 | |
|
Total Return | | | 1.50 | % | | | 8.46 | % | | | (1.87 | %) | | | (7.57 | %) | | | (2.50 | %) | | | 11.42 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 28,721 | | | $ | 29,778 | | | $ | 32,260 | | | $ | 79,318 | | | $ | 181,095 | | | $ | 196,180 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.67 | % | | | 0.82 | % | | | 1.00 | % | | | 1.05 | % | | | 0.94 | % | | | 0.40 | % |
Total expensesd | | | 1.53 | % | | | 1.58 | % | | | 1.36 | % | | | 1.22 | % | | | 1.12 | % | | | 1.38 | % |
Net expensese,f,g | | | 1.51 | % | | | 1.50 | % | | | 1.36 | % | | | 1.21 | % | | | 1.12 | % | | | 1.37 | % |
Portfolio turnover rate | | | 100 | % | | | 169 | % | | | 209 | % | | | 126 | % | | | 255 | % | | | 92 | % |
a | Unaudited figures for the period ended March 31, 2022. 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 | 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 periods presented was as follows: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 0.04% | 0.01% | 0.02% | 0.09% | 0.02% | 0.32% |
| | C-Class | 0.04% | 0.01% | 0.01% | 0.04% | 0.07% | 0.64% |
| | P-Class | 0.04% | 0.01% | 0.01% | 0.03% | 0.04% | — |
| | Institutional Class | 0.08% | 0.02% | 0.00%* | 0.00%* | — | 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 periods presented would be: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 1.76% | 1.76% | 1.69% | 1.64% | 1.52% | 2.00% |
| | C-Class | 2.51% | 2.51% | 2.51% | 2.48% | 2.30% | 2.71% |
| | P-Class | 1.76% | 1.76% | 1.64% | 1.66% | 1.56% | 1.68% |
| | Institutional Class | 1.51% | 1.50% | 1.36% | 1.21% | 1.11% | 1.28% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 27 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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 |
Berkshire Hathaway, Inc. — Class B | 2.8% |
Chevron Corp. | 2.6% |
Johnson & Johnson | 2.4% |
Tyson Foods, Inc. — Class A | 2.3% |
JPMorgan Chase & Co. | 2.1% |
Verizon Communications, Inc. | 2.1% |
McKesson Corp. | 1.9% |
Bank of America Corp. | 1.9% |
ConocoPhillips | 1.8% |
Humana, Inc. | 1.7% |
Top Ten Total | 21.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 11.43% | 15.59% | 10.53% | 11.14% |
A-Class Shares with sales charge‡ | 6.13% | 10.09% | 9.46% | 10.60% |
C Class Shares | 11.01% | 14.72% | 9.70% | 10.30% |
C-Class Shares with CDSC§ | 10.01% | 13.72% | 9.70% | 10.30% |
Russell 1000 Value Index | 6.98% | 11.67% | 10.29% | 11.70% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(06/07/13) |
Institutional Class Shares | 11.56% | 15.85% | 10.80% | 10.67% |
Russell 1000 Value Index | 6.98% | 11.67% | 10.29% | 10.57% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(05/01/15) |
P-Class Shares | 11.43% | 15.59% | 10.53% | 9.97% |
Russell 1000 Value Index | 6.98% | 11.67% | 10.29% | 9.56% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | 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 SEMI-ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
LARGE CAP VALUE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 96.4% |
| | | | | | | | | |
Consumer, Non-cyclical - 20.8% |
Johnson & Johnson | | | 5,594 | | | $ | 991,425 | |
Tyson Foods, Inc. — Class A | | | 10,678 | | | | 957,069 | |
McKesson Corp. | | | 2,560 | | | | 783,693 | |
Humana, Inc. | | | 1,615 | | | | 702,799 | |
Medtronic plc | | | 5,688 | | | | 631,083 | |
Quest Diagnostics, Inc. | | | 4,300 | | | | 588,498 | |
Ingredion, Inc. | | | 5,561 | | | | 484,641 | |
Bunge Ltd. | | | 4,271 | | | | 473,269 | |
Henry Schein, Inc.* | | | 5,267 | | | | 459,230 | |
Archer-Daniels-Midland Co. | | | 4,742 | | | | 428,013 | |
Merck & Company, Inc. | | | 5,070 | | | | 415,993 | |
J M Smucker Co. | | | 2,979 | | | | 403,387 | |
Encompass Health Corp. | | | 4,310 | | | | 306,484 | |
HCA Healthcare, Inc. | | | 1,180 | | | | 295,732 | |
Amgen, Inc. | | | 1,160 | | | | 280,511 | |
Pfizer, Inc. | | | 4,927 | | | | 255,071 | |
Bristol-Myers Squibb Co. | | | 2,895 | | | | 211,422 | |
Total Consumer, Non-cyclical | | | | | | | 8,668,320 | |
| | | | | | | | | |
Financial - 16.2% |
Berkshire Hathaway, Inc. — Class B* | | | 3,256 | | | | 1,149,075 | |
JPMorgan Chase & Co. | | | 6,526 | | | | 889,624 | |
Bank of America Corp. | | | 18,761 | | | | 773,329 | |
Allstate Corp. | | | 3,930 | | | | 544,344 | |
Wells Fargo & Co. | | | 10,628 | | | | 515,033 | |
STAG Industrial, Inc. REIT | | | 10,180 | | | | 420,943 | |
Charles Schwab Corp. | | | 4,430 | | | | 373,493 | |
Medical Properties Trust, Inc. REIT | | | 15,422 | | | | 326,021 | |
Voya Financial, Inc. | | | 4,754 | | | | 315,428 | |
KeyCorp | | | 10,260 | | | | 229,619 | |
Zions Bancorp North America | | | 3,490 | | | | 228,804 | |
Park Hotels & Resorts, Inc. REIT | | | 10,682 | | | | 208,620 | |
American Tower Corp. — Class A REIT | | | 809 | | | | 203,237 | |
Gaming and Leisure Properties, Inc. REIT | | | 4,284 | | | | 201,048 | |
Mastercard, Inc. — Class A | | | 531 | | | | 189,769 | |
BOK Financial Corp. | | | 1,601 | | | | 150,414 | |
Total Financial | | | | | | | 6,718,801 | |
| | | | | | | | | |
Technology - 10.6% |
Micron Technology, Inc. | | | 9,002 | | | | 701,166 | |
Activision Blizzard, Inc. | | | 6,233 | | | | 499,326 | |
Apple, Inc. | | | 2,661 | | | | 464,637 | |
Leidos Holdings, Inc. | | | 4,043 | | | | 436,725 | |
DXC Technology Co.* | | | 12,680 | | | | 413,749 | |
KLA Corp. | | | 1,104 | | | | 404,130 | |
Qorvo, Inc.* | | | 2,163 | | | | 268,428 | |
Amdocs Ltd. | | | 2,777 | | | | 228,297 | |
Teradyne, Inc. | | | 1,742 | | | | 205,957 | |
QUALCOMM, Inc. | | | 1,340 | | | | 204,779 | |
Cerner Corp. | | | 2,157 | | | | 201,809 | |
Skyworks Solutions, Inc. | | | 1,419 | | | | 189,124 | |
Intel Corp. | | | 3,738 | | | | 185,255 | |
Total Technology | | | | | | | 4,403,382 | |
| | | | | | | | | |
Energy - 10.6% |
Chevron Corp. | | | 6,513 | | | | 1,060,512 | |
ConocoPhillips | | | 7,490 | | | | 749,000 | |
Marathon Oil Corp. | | | 18,200 | | | | 457,002 | |
Pioneer Natural Resources Co. | | | 1,695 | | | | 423,801 | |
Coterra Energy, Inc. — Class A | | | 15,688 | | | | 423,105 | |
Kinder Morgan, Inc. | | | 16,562 | | | | 313,187 | |
Equities Corp. | | | 8,928 | | | | 307,213 | |
Diamondback Energy, Inc. | | | 1,738 | | | | 238,245 | |
Chesapeake Energy Corp. | | | 2,706 | | | | 235,422 | |
Patterson-UTI Energy, Inc. | | | 12,459 | | | | 192,865 | |
Total Energy | | | | | | | 4,400,352 | |
| | | | | | | | | |
Utilities - 10.0% |
Edison International | | | 9,722 | | | | 681,512 | |
Exelon Corp. | | | 13,360 | | | | 636,337 | |
Duke Energy Corp. | | | 4,939 | | | | 551,489 | |
Pinnacle West Capital Corp. | | | 5,913 | | | | 461,805 | |
OGE Energy Corp. | | | 10,664 | | | | 434,878 | |
NiSource, Inc. | | | 11,350 | | | | 360,930 | |
Black Hills Corp. | | | 4,652 | | | | 358,297 | |
Constellation Energy Corp. | | | 4,453 | | | | 250,481 | |
Sempra Energy | | | 1,478 | | | | 248,482 | |
PPL Corp. | | | 5,782 | | | | 165,134 | |
Total Utilities | | | | | | | 4,149,345 | |
| | | | | | | | | |
Consumer, Cyclical - 8.5% |
Walmart, Inc. | | | 4,354 | | | | 648,398 | |
Delta Air Lines, Inc.* | | | 9,803 | | | | 387,905 | |
Southwest Airlines Co.* | | | 8,084 | | | | 370,247 | |
Whirlpool Corp. | | | 2,065 | | | | 356,791 | |
LKQ Corp. | | | 7,073 | | | | 321,185 | |
DR Horton, Inc. | | | 4,246 | | | | 316,369 | |
PACCAR, Inc. | | | 3,462 | | | | 304,898 | |
Lear Corp. | | | 2,052 | | | | 292,595 | |
Ralph Lauren Corp. — Class A | | | 1,925 | | | | 218,372 | |
PVH Corp. | | | 2,358 | | | | 180,646 | |
Home Depot, Inc. | | | 509 | | | | 152,359 | |
Total Consumer, Cyclical | | | | | | | 3,549,765 | |
| | | | | | | | | |
Communications - 7.5% |
Verizon Communications, Inc. | | | 16,953 | | | | 863,586 | |
Alphabet, Inc. — Class A* | | | 226 | | | | 628,585 | |
Cisco Systems, Inc. | | | 7,671 | | | | 427,735 | |
Comcast Corp. — Class A | | | 8,247 | | | | 386,125 | |
T-Mobile US, Inc.* | | | 2,662 | | | | 341,667 | |
Juniper Networks, Inc. | | | 7,162 | | | | 266,140 | |
Walt Disney Co.* | | | 1,396 | | | | 191,475 | |
Total Communications | | | | | | | 3,105,313 | |
| | | | | | | | | |
Industrial - 6.6% |
Johnson Controls International plc | | | 7,830 | | | | 513,413 | |
L3Harris Technologies, Inc. | | | 1,908 | | | | 474,081 | |
FedEx Corp. | | | 2,006 | | | | 464,168 | |
Knight-Swift Transportation Holdings, Inc. | | | 7,758 | | | | 391,469 | |
Valmont Industries, Inc. | | | 1,520 | | | | 362,672 | |
Curtiss-Wright Corp. | | | 2,333 | | | | 350,323 | |
30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
LARGE CAP VALUE FUND | |
| | Shares | | | Value | |
Advanced Energy Industries, Inc. | | | 2,211 | | | $ | 190,323 | |
Total Industrial | | | | | | | 2,746,449 | |
| | | | | | | | | |
Basic Materials - 5.6% |
Huntsman Corp. | | | 18,108 | | | | 679,231 | |
Westlake Corp. | | | 5,207 | | | | 642,544 | |
Reliance Steel & Aluminum Co. | | | 1,872 | | | | 343,231 | |
Nucor Corp. | | | 1,978 | | | | 294,030 | |
International Flavors & Fragrances, Inc. | | | 1,105 | | | | 145,120 | |
Dow, Inc. | | | 2,118 | | | | 134,959 | |
DuPont de Nemours, Inc. | | | 1,392 | | | | 102,423 | |
Total Basic Materials | | | | | | | 2,341,538 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $28,682,347) | | | | | | | 40,083,265 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 1.0% |
iShares Russell 1000 Value ETF | | | 2,525 | | | | 419,099 | |
Total Exchange-Traded Funds | | | | |
(Cost $399,293) | | | | | | | 419,099 | |
| | | | | | | | | |
MONEY MARKET FUND† - 1.6% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%1 | | | 677,180 | | | | 677,180 | |
Total Money Market Fund | | | | |
(Cost $677,180) | | | | | | | 677,180 | |
| | | | | | | | | |
Total Investments - 99.0% | | | | |
(Cost $29,758,820) | | $ | 41,179,544 | |
Other Assets & Liabilities, net - 1.0% | | | 418,099 | |
Total Net Assets - 100.0% | | $ | 41,597,643 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | 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 March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 40,083,265 | | | $ | — | | | $ | — | | | $ | 40,083,265 | |
Exchange-Traded Funds | | | 419,099 | | | | — | | | | — | | | | 419,099 | |
Money Market Fund | | | 677,180 | | | | — | | | | — | | | | 677,180 | |
Total Assets | | $ | 41,179,544 | | | $ | — | | | $ | — | | | $ | 41,179,544 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
March 31, 2022 |
Assets: |
Investments, at value (cost $29,758,820) | | $ | 41,179,544 | |
Prepaid expenses | | | 48,992 | |
Receivables: |
Securities sold | | | 349,001 | |
Fund shares sold | | | 64,963 | |
Dividends | | | 49,805 | |
Interest | | | 60 | |
Total assets | | | 41,692,365 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 32,864 | |
Management fees | | | 16,756 | |
Professional fees | | | 11,579 | |
Trustees’ fees* | | | 10,745 | |
Distribution and service fees | | | 9,101 | |
Printing fees | | | 4,782 | |
Fund accounting/administration fees | | | 3,932 | |
Transfer agent/maintenance fees | | | 2,112 | |
Miscellaneous | | | 2,851 | |
Total liabilities | | | 94,722 | |
Net assets | | $ | 41,597,643 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 28,023,329 | |
Total distributable earnings (loss) | | | 13,574,314 | |
Net assets | | $ | 41,597,643 | |
| | | | | |
A-Class: |
Net assets | | $ | 38,062,641 | |
Capital shares outstanding | | | 730,596 | |
Net asset value per share | | $ | 52.10 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 54.70 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,433,476 | |
Capital shares outstanding | | | 30,407 | |
Net asset value per share | | $ | 47.14 | |
| | | | | |
P-Class: |
Net assets | | $ | 148,983 | |
Capital shares outstanding | | | 2,871 | |
Net asset value per share | | $ | 51.89 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 1,952,543 | |
Capital shares outstanding | | | 38,088 | |
Net asset value per share | | $ | 51.26 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended March 31, 2022 |
Investment Income: |
Dividends | | $ | 440,261 | |
Interest | | | 111 | |
Total investment income | | | 440,372 | |
| | | | | |
Expenses: |
Management fees | | | 132,272 | |
Distribution and service fees: |
A-Class | | | 47,154 | |
C-Class | | | 6,007 | |
P-Class | | | 229 | |
Transfer agent/maintenance fees: |
A-Class | | | 19,300 | |
C-Class | | | 1,644 | |
P-Class | | | 240 | |
Institutional Class | | | 292 | |
Registration fees | | | 34,571 | |
Fund accounting/administration fees | | | 17,177 | |
Professional fees | | | 12,504 | |
Trustees’ fees* | | | 9,200 | |
Custodian fees | | | 2,426 | |
Line of credit fees | | | 615 | |
Miscellaneous | | | 3,193 | |
Total expenses | | | 286,824 | |
Less: |
Expenses reimbursed by Adviser: |
A-Class | | | (19,300 | ) |
C-Class | | | (1,644 | ) |
P-Class | | | (240 | ) |
Institutional-Class | | | (292 | ) |
Expenses waived by Adviser | | | (31,309 | ) |
Total waived/reimbursed expenses | | | (52,785 | ) |
Net expenses | | | 234,039 | |
Net investment income | | | 206,333 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 2,012,770 | |
Net realized gain | | | 2,012,770 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 2,144,611 | |
Net change in unrealized appreciation (depreciation) | | | 2,144,611 | |
Net realized and unrealized gain | | | 4,157,381 | |
Net increase in net assets resulting from operations | | $ | 4,363,714 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 206,333 | | | $ | 321,913 | |
Net realized gain on investments | | | 2,012,770 | | | | 2,617,799 | |
Net change in unrealized appreciation (depreciation) on investments | | | 2,144,611 | | | | 8,907,008 | |
Net increase in net assets resulting from operations | | | 4,363,714 | | | �� | 11,846,720 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (2,507,851 | ) | | | (2,193,216 | ) |
C-Class | | | (71,394 | ) | | | (62,032 | ) |
P-Class | | | (14,229 | ) | | | (10,031 | ) |
Institutional Class | | | (104,499 | ) | | | (41,693 | ) |
Total distributions to shareholders | | | (2,697,973 | ) | | | (2,306,972 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 824,647 | | | | 1,547,889 | |
C-Class | | | 375,940 | | | | 798,269 | |
P-Class | | | 53,238 | | | | 52,916 | |
Institutional Class | | | 546,976 | | | | 809,667 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 2,467,309 | | | | 2,145,743 | |
C-Class | | | 71,394 | | | | 62,032 | |
P-Class | | | 13,975 | | | | 10,031 | |
Institutional Class | | | 104,499 | | | | 41,693 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (3,448,446 | ) | | | (4,617,822 | ) |
C-Class | | | (262,460 | ) | | | (856,471 | ) |
P-Class | | | (117,058 | ) | | | (79,066 | ) |
Institutional Class | | | (125,157 | ) | | | (132,982 | ) |
Net increase (decrease) from capital share transactions | | | 504,857 | | | | (218,101 | ) |
Net increase in net assets | | | 2,170,598 | | | | 9,321,647 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 39,427,045 | | | | 30,105,398 | |
End of period | | $ | 41,597,643 | | | $ | 39,427,045 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 16,084 | | | | 32,527 | |
C-Class | | | 8,189 | | | | 18,265 | |
P-Class | | | 1,029 | | | | 1,148 | |
Institutional Class | | | 10,804 | | | | 16,692 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 50,292 | | | | 51,016 | |
C-Class | | | 1,605 | | | | 1,616 | |
P-Class | | | 286 | | | | 239 | |
Institutional Class | | | 2,166 | | | | 1,007 | |
Shares redeemed | | | | | | | | |
A-Class | | | (68,135 | ) | | | (99,103 | ) |
C-Class | | | (5,600 | ) | | | (19,854 | ) |
P-Class | | | (2,329 | ) | | | (1,957 | ) |
Institutional Class | | | (2,508 | ) | | | (2,711 | ) |
Net increase (decrease) in shares | | | 11,883 | | | | (1,115 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 50.08 | | | $ | 38.17 | | | $ | 43.56 | | | $ | 48.08 | | | $ | 46.96 | | | $ | 41.78 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .26 | | | | .41 | | | | .97 | | | | .62 | | | | .48 | | | | .37 | |
Net gain (loss) on investments (realized and unrealized) | | | 5.25 | | | | 14.51 | | | | (2.97 | ) | | | (2.66 | ) | | | 4.46 | | | | 6.80 | |
Total from investment operations | | | 5.51 | | | | 14.92 | | | | (2.00 | ) | | | (2.04 | ) | | | 4.94 | | | | 7.17 | |
Less distributions from: |
Net investment income | | | (.43 | ) | | | (1.30 | ) | | | (.70 | ) | | | (.36 | ) | | | (.51 | ) | | | (.58 | ) |
Net realized gains | | | (3.06 | ) | | | (1.71 | ) | | | (2.69 | ) | | | (2.12 | ) | | | (3.31 | ) | | | (1.41 | ) |
Total distributions | | | (3.49 | ) | | | (3.01 | ) | | | (3.39 | ) | | | (2.48 | ) | | | (3.82 | ) | | | (1.99 | ) |
Net asset value, end of period | | $ | 52.10 | | | $ | 50.08 | | | $ | 38.17 | | | $ | 43.56 | | | $ | 48.08 | | | $ | 46.96 | |
|
Total Returnc | | | 11.43 | % | | | 40.59 | % | | | (5.58 | %) | | | (3.59 | %) | | | 10.82 | % | | | 17.68 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 38,063 | | | $ | 36,678 | | | $ | 28,548 | | | $ | 53,248 | | | $ | 56,369 | | | $ | 60,157 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.03 | % | | | 0.88 | % | | | 2.40 | % | | | 1.42 | % | | | 1.03 | % | | | 0.83 | % |
Total expensesd | | | 1.39 | % | | | 1.47 | % | | | 1.46 | % | | | 1.31 | % | | | 1.31 | % | | | 1.30 | % |
Net expensese,f,g | | | 1.14 | % | | | 1.15 | % | | | 1.15 | % | | | 1.15 | % | | | 1.15 | % | | | 1.17 | % |
Portfolio turnover rate | | | 15 | % | | | 19 | % | | | 25 | % | | | 37 | % | | | 24 | % | | | 40 | % |
C-Class | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 45.43 | | | $ | 34.79 | | | $ | 39.77 | | | $ | 44.03 | | | $ | 43.29 | | | $ | 38.68 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .07 | | | | .05 | | | | .62 | | | | .26 | | | | .12 | | | | .03 | |
Net gain (loss) on investments (realized and unrealized) | | | 4.74 | | | | 13.23 | | | | (2.74 | ) | | | (2.40 | ) | | | 4.09 | | | | 6.28 | |
Total from investment operations | | | 4.81 | | | | 13.28 | | | | (2.12 | ) | | | (2.14 | ) | | | 4.21 | | | | 6.31 | |
Less distributions from: |
Net investment income | | | (.04 | ) | | | (.93 | ) | | | (.17 | ) | | | — | | | | (.16 | ) | | | (.29 | ) |
Net realized gains | | | (3.06 | ) | | | (1.71 | ) | | | (2.69 | ) | | | (2.12 | ) | | | (3.31 | ) | | | (1.41 | ) |
Total distributions | | | (3.10 | ) | | | (2.64 | ) | | | (2.86 | ) | | | (2.12 | ) | | | (3.47 | ) | | | (1.70 | ) |
Net asset value, end of period | | $ | 47.14 | | | $ | 45.43 | | | $ | 34.79 | | | $ | 39.77 | | | $ | 44.03 | | | $ | 43.29 | |
|
Total Returnc | | | 11.01 | % | | | 39.55 | % | | | (6.30 | %) | | | (4.28 | %) | | | 9.97 | % | | | 16.74 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,433 | | | $ | 1,191 | | | $ | 911 | | | $ | 1,533 | | | $ | 2,632 | | | $ | 3,461 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.28 | % | | | 0.12 | % | | | 1.69 | % | | | 0.66 | % | | | 0.28 | % | | | 0.08 | % |
Total expensesd | | | 2.32 | % | | | 2.36 | % | | | 2.43 | % | | | 2.18 | % | | | 2.10 | % | | | 2.09 | % |
Net expensese,f,g | | | 1.89 | % | | | 1.89 | % | | | 1.90 | % | | | 1.90 | % | | | 1.90 | % | | | 1.92 | % |
Portfolio turnover rate | | | 15 | % | | | 19 | % | | | 25 | % | | | 37 | % | | | 24 | % | | | 40 | % |
34 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 49.91 | | | $ | 38.06 | | | $ | 43.46 | | | $ | 48.00 | | | $ | 46.91 | | | $ | 41.74 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .24 | | | | .41 | | | | .83 | | | | .61 | | | | .49 | | | | .37 | |
Net gain (loss) on investments (realized and unrealized) | | | 5.25 | | | | 14.46 | | | | (2.82 | ) | | | (2.64 | ) | | | 4.44 | | | | 6.78 | |
Total from investment operations | | | 5.49 | | | | 14.87 | | | | (1.99 | ) | | | (2.03 | ) | | | 4.93 | | | | 7.15 | |
Less distributions from: |
Net investment income | | | (.44 | ) | | | (1.31 | ) | | | (.72 | ) | | | (.39 | ) | | | (.53 | ) | | | (.57 | ) |
Net realized gains | | | (3.06 | ) | | | (1.71 | ) | | | (2.69 | ) | | | (2.12 | ) | | | (3.31 | ) | | | (1.41 | ) |
Total distributions | | | (3.50 | ) | | | (3.02 | ) | | | (3.41 | ) | | | (2.51 | ) | | | (3.84 | ) | | | (1.98 | ) |
Net asset value, end of period | | $ | 51.90 | | | $ | 49.91 | | | $ | 38.06 | | | $ | 43.46 | | | $ | 48.00 | | | $ | 46.91 | |
|
Total Return | | | 11.43 | % | | | 40.60 | % | | | (5.58 | %) | | | (3.58 | %) | | | 10.80 | % | | | 17.63 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 149 | | | $ | 194 | | | $ | 170 | | | $ | 155 | | | $ | 147 | | | $ | 158 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.96 | % | | | 0.87 | % | | | 2.12 | % | | | 1.41 | % | | | 1.03 | % | | | 0.83 | % |
Total expensesd | | | 1.56 | % | | | 1.71 | % | | | 1.72 | % | | | 1.60 | % | | | 1.59 | % | | | 1.69 | % |
Net expensese,f,g | | | 1.14 | % | | | 1.15 | % | | | 1.15 | % | | | 1.15 | % | | | 1.15 | % | | | 1.17 | % |
Portfolio turnover rate | | | 15 | % | | | 19 | % | | | 25 | % | | | 37 | % | | | 24 | % | | | 40 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 49.39 | | | $ | 37.71 | | | $ | 43.08 | | | $ | 47.60 | | | $ | 46.56 | | | $ | 41.84 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .33 | | | | .52 | | | | .98 | | | | .71 | | | | .64 | | | | .51 | |
Net gain (loss) on investments (realized and unrealized) | | | 5.15 | | | | 14.31 | | | | (2.84 | ) | | | (2.63 | ) | | | 4.35 | | | | 6.72 | |
Total from investment operations | | | 5.48 | | | | 14.83 | | | | (1.86 | ) | | | (1.92 | ) | | | 4.99 | | | | 7.23 | |
Less distributions from: |
Net investment income | | | (.55 | ) | | | (1.44 | ) | | | (.82 | ) | | | (.48 | ) | | | (.64 | ) | | | (1.10 | ) |
Net realized gains | | | (3.06 | ) | | | (1.71 | ) | | | (2.69 | ) | | | (2.12 | ) | | | (3.31 | ) | | | (1.41 | ) |
Total distributions | | | (3.61 | ) | | | (3.15 | ) | | | (3.51 | ) | | | (2.60 | ) | | | (3.95 | ) | | | (2.51 | ) |
Net asset value, end of period | | $ | 51.26 | | | $ | 49.39 | | | $ | 37.71 | | | $ | 43.08 | | | $ | 47.60 | | | $ | 46.56 | |
|
Total Return | | | 11.56 | % | | | 40.93 | % | | | (5.35 | %) | | | (3.33 | %) | | | 11.04 | % | | | 17.96 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,953 | | | $ | 1,364 | | | $ | 477 | | | $ | 798 | | | $ | 5,946 | | | $ | 1,681 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.30 | % | | | 1.10 | % | | | 2.50 | % | | | 1.65 | % | | | 1.39 | % | | | 1.13 | % |
Total expensesd | | | 1.07 | % | | | 1.24 | % | | | 1.35 | % | | | 1.14 | % | | | 1.00 | % | | | 1.07 | % |
Net expensese,f,g | | | 0.89 | % | | | 0.89 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.92 | % |
Portfolio turnover rate | | | 15 | % | | | 19 | % | | | 25 | % | | | 37 | % | | | 24 | % | | | 40 | % |
a | Unaudited figures for the period ended March 31, 2022. 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 | 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 periods presented was as follows: |
| | | 03/31/22a | 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% |
g | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods presented would be: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 1.13% | 1.14% | 1.15% | 1.15% | 1.15% | 1.15% |
| | C-Class | 1.88% | 1.89% | 1.90% | 1.90% | 1.90% | 1.90% |
| | P-Class | 1.13% | 1.14% | 1.15% | 1.15% | 1.15% | 1.15% |
| | Institutional Class | 0.88% | 0.89% | 0.90% | 0.90% | 0.90% | 0.90% |
36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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 |
National Storage Affiliates Trust | 4.0% |
Sun Communities, Inc. | 3.6% |
Xenia Hotels & Resorts, Inc. | 3.1% |
Equity Residential | 3.1% |
Gaming and Leisure Properties, Inc. | 3.1% |
AvalonBay Communities, Inc. | 3.1% |
Alexandria Real Estate Equities, Inc. | 2.8% |
Four Corners Property Trust, Inc. | 2.8% |
Ryman Hospitality Properties, Inc. | 2.7% |
Kite Realty Group Trust | 2.5% |
Top Ten Total | 30.8% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | Since
Inception
(02/26/16) |
A-Class Shares | (0.29%) | (0.03%) | 3.75% | 3.47% |
A-Class Shares with sales charge‡ | (5.04%) | (4.77%) | 2.74% | 2.64% |
C-Class Shares | (0.68%) | (0.82%) | 2.94% | 2.67% |
C-Class Shares with CDSC§ | (1.67%) | (1.81%) | 2.94% | 2.67% |
P-Class Shares | (0.30%) | (0.03%) | 3.66% | 3.39% |
Institutional Class Shares | (0.21%) | 0.20% | 3.95% | 3.68% |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.05% | 0.06% | 1.13% | 0.99% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | 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. |
38 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
MARKET NEUTRAL REAL ESTATE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 62.7% |
| | | | | | | | | |
REITs - 62.7% |
REITs-APARTMENTS - 10.3% |
Equity Residential1 | | | 17,909 | | | $ | 1,610,377 | |
AvalonBay Communities, Inc.1 | | | 6,410 | | | | 1,592,052 | |
Invitation Homes, Inc. | | | 31,435 | | | | 1,263,058 | |
American Campus Communities, Inc.1 | | | 15,900 | | | | 889,923 | |
Total REITs-Apartments | | | | | | | 5,355,410 | |
| | | | | | | | | |
REITs-HOTELS - 8.7% |
Xenia Hotels & Resorts, Inc.* | | | 84,591 | | | | 1,631,760 | |
Ryman Hospitality Properties, Inc.*,1 | | | 15,039 | | | | 1,395,168 | |
DiamondRock Hospitality Co.*,1 | | | 82,751 | | | | 835,785 | |
MGM Growth Properties LLC — Class A | | | 17,811 | | | | 689,286 | |
Total REITs-Hotels | | | | | | | 4,551,999 | |
| | | | | | | | | |
REITs-SHOPPING CENTERS - 7.5% |
Kite Realty Group Trust1 | | | 56,908 | | | | 1,295,795 | |
Acadia Realty Trust | | | 51,174 | | | | 1,108,941 | |
Brixmor Property Group, Inc.1 | | | 30,426 | | | | 785,295 | |
SITE Centers Corp.1 | | | 44,158 | | | | 737,880 | |
Total REITs-Shopping Centers | | | | | | | 3,927,911 | |
| | | | | | | | | |
REITs-DIVERSIFIED — 7.5% |
Gaming and Leisure Properties, Inc.1 | | | 34,124 | | | | 1,601,439 | |
VICI Properties, Inc.1 | | | 39,939 | | | | 1,136,664 | |
American Assets Trust, Inc.1 | | | 30,295 | | | | 1,147,877 | |
PS Business Parks, Inc. | | | 176 | | | | 29,582 | |
Total REITs-Diversified | | | | | | | 3,912,562 | |
| | | | | | | | | |
REITs-OFFICE PROPERTY - 7.3% |
Alexandria Real Estate Equities, Inc.1 | | | 7,260 | | | | 1,461,075 | |
Hudson Pacific Properties, Inc.1 | | | 43,105 | | | | 1,196,164 | |
Empire State Realty Trust, Inc. — Class A | | | 114,529 | | | | 1,124,675 | |
Total REITs-Office Property | | | | | | | 3,781,914 | |
| | | | | | | | | |
REITs-SINGLE TENANT - 4.5% |
Four Corners Property Trust, Inc. | | | 53,262 | | | | 1,440,204 | |
Agree Realty Corp.1 | | | 13,613 | | | | 903,359 | |
Total REITs-Single Tenant | | | | | | | 2,343,563 | |
| | | | | | | | | |
REITs-HEALTH CARE - 4.5% |
Ventas, Inc.1 | | | 15,831 | | | | 977,723 | |
Medical Properties Trust, Inc.1 | | | 40,624 | | | | 858,791 | |
Healthpeak Properties, Inc.1 | | | 14,487 | | | | 497,339 | |
Total REITs-Health Care | | | | | | | 2,333,853 | |
| | | | | | | | | |
REITs-STORAGE - 4.0% |
National Storage Affiliates Trust1 | | | 33,192 | | | | 2,083,130 | |
| | | | | | | | | |
REITs-WAREHOUSE/INDUSTRIES - 3.7% |
Rexford Industrial Realty, Inc.1 | | | 15,740 | | | | 1,174,047 | |
Prologis, Inc.1 | | | 4,730 | | | | 763,800 | |
Total REITs-Warehouse/Industries | | | | | | | 1,937,847 | |
| | | | | | | | | |
REITs-MANUFACTURED HOMES - 3.6% |
Sun Communities, Inc.1 | | | 10,658 | | | | 1,868,241 | |
| | | | | | | | | |
REITS-SHOPPING CENTERS - 1.0% |
NETSTREIT Corp. | | | 23,319 | | | | 523,278 | |
Total REITs | | | | | | | 32,622,708 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $28,098,162) | | | | | | | 32,622,708 | |
| | | | | | | | | |
MONEY MARKET FUND† - 44.7% |
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.16%2 | | | 23,236,679 | | | | 23,236,679 | |
Total Money Market Fund | | | | |
(Cost $23,236,679) | | | | | | | 23,236,679 | |
| | | | | | | | | |
Total Investments - 107.4% | | | | |
(Cost $51,334,841) | | $ | 55,859,387 | |
Other Assets & Liabilities, net - (7.4)% | | | (3,859,216 | ) |
Total Net Assets - 100.0% | | $ | 52,000,171 | |
Custom Basket Swap Agreements |
Counterparty | Reference Obligation | Type | | Financing Rate | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Custom Basket Swap Agreements Sold Short†† |
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Receive | | 0.03% (Federal Funds Rate - 0.30%) | At Maturity | 07/22/24 | | $ | 16,848,807 | | | $ | (932,452 | ) |
Goldman Sachs International | GS Equity Custom Basket | Receive | | 0.12% (Federal Funds Rate - 0.21%) | At Maturity | 05/06/24 | | | 17,023,748 | | | | (964,048 | ) |
| | | | | | | | | | | | | | | $ | 33,872,555 | | | $ | (1,896,500 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MARKET NEUTRAL REAL ESTATE FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
MS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
Financial | | | | | | | | | | | | |
Broadstone Net Lease, Inc. | | | 34,376 | | | | (4.43 | )% | | $ | 177,084 | |
Omega Healthcare Investors, Inc. | | | 20,199 | | | | (3.74 | )% | | | 108,523 | |
STORE Capital Corp. | | | 22,205 | | | | (3.85 | )% | | | 102,479 | |
Necessity Retail REIT, Inc. | | | 48,944 | | | | (2.30 | )% | | | 51,517 | |
Office Properties Income Trust | | | 23,505 | | | | (3.59 | )% | | | 50,134 | |
RLJ Lodging Trust | | | 51,466 | | | | (4.30 | )% | | | 48,087 | |
LTC Properties, Inc. | | | 11,005 | | | | (2.51 | )% | | | 37,115 | |
Easterly Government Properties, Inc. | | | 12,873 | | | | (1.62 | )% | | | 10,342 | |
National Health Investors, Inc. | | | 1,150 | | | | (0.40 | )% | | | 9,375 | |
Equity Commonwealth | | | 13,616 | | | | (2.28 | )% | | | (2,631 | ) |
Industrial Logistics Properties Trust | | | 11,571 | | | | (1.56 | )% | | | (7,804 | ) |
Douglas Emmett, Inc. | | | 21,700 | | | | (4.30 | )% | | | (9,325 | ) |
Realty Income Corp. | | | 18,544 | | | | (7.63 | )% | | | (16,423 | ) |
Corporate Office Properties Trust | | | 13,786 | | | | (2.34 | )% | | | (32,096 | ) |
Essential Properties Realty Trust, Inc. | | | 28,556 | | | | (4.29 | )% | | | (41,842 | ) |
Phillips Edison & Company, Inc. | | | 26,925 | | | | (5.50 | )% | | | (51,313 | ) |
Apartment Income REIT Corp. | | | 7,581 | | | | (2.41 | )% | | | (54,407 | ) |
Welltower, Inc. | | | 4,631 | | | | (2.64 | )% | | | (65,785 | ) |
Host Hotels & Resorts, Inc. | | | 30,101 | | | | (3.47 | )% | | | (72,935 | ) |
Camden Property Trust | | | 3,430 | | | | (3.38 | )% | | | (77,127 | ) |
CubeSmart | | | 5,445 | | | | (1.68 | )% | | | (87,660 | ) |
STAG Industrial, Inc. | | | 16,490 | | | | (4.05 | )% | | | (155,475 | ) |
Washington Real Estate Investment Trust | | | 27,074 | | | | (4.10 | )% | | | (163,024 | ) |
Apple Hospitality REIT, Inc. | | | 63,020 | | | | (6.72 | )% | | | (208,938 | ) |
Mid-America Apartment Communities, Inc. | | | 5,640 | | | | (7.01 | )% | | | (429,297 | ) |
Total Financial | | | | | | | | | | | (881,426 | ) |
| | | | | | | | | | | | | |
Exchange-Traded Funds | | | | | | | | | | | | |
Vanguard Real Estate ETF | | | 15,395 | | | | (9.90 | )% | | | (51,026 | ) |
Total MS Equity Short Custom Basket | | | | | | $ | (932,452 | ) |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
GS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
Financial | | | | | | | | | | | | |
Broadstone Net Lease, Inc. | | | 34,376 | | | | (4.38 | )% | | | 169,044 | |
Omega Healthcare Investors, Inc. | | | 20,199 | | | | (3.70 | )% | | | 111,970 | |
STORE Capital Corp. | | | 22,205 | | | | (3.81 | )% | | | 103,521 | |
RLJ Lodging Trust | | | 51,456 | | | | (4.26 | )% | | | 52,440 | |
Necessity Retail REIT, Inc. | | | 48,944 | | | | (2.27 | )% | | | 52,437 | |
Office Properties Income Trust | | | 24,248 | | | | (3.66 | )% | | | 51,565 | |
LTC Properties, Inc. | | | 11,005 | | | | (2.49 | )% | | | 37,404 | |
Easterly Government Properties, Inc. | | | 12,873 | | | | (1.60 | )% | | | 10,376 | |
National Health Investors, Inc. | | | 1,150 | | | | (0.40 | )% | | | 9,378 | |
Equity Commonwealth | | | 13,616 | | | | (2.26 | )% | | | (2,430 | ) |
Industrial Logistics Properties Trust | | | 11,571 | | | | (1.54 | )% | | | (6,906 | ) |
Douglas Emmett, Inc. | | | 21,700 | | | | (4.26 | )% | | | (8,118 | ) |
Realty Income Corp. | | | 18,544 | | | | (7.55 | )% | | | (18,130 | ) |
Corporate Office Properties Trust | | | 12,548 | | | | (2.10 | )% | | | (29,123 | ) |
Essential Properties Realty Trust, Inc. | | | 30,024 | | | | (4.46 | )% | | | (44,897 | ) |
Apartment Income REIT Corp. | | | 7,581 | | | | (2.38 | )% | | | (54,704 | ) |
Phillips Edison & Company, Inc. | | | 26,925 | | | | (5.44 | )% | | | (58,187 | ) |
Welltower, Inc. | | | 4,631 | | | | (2.62 | )% | | | (66,626 | ) |
Host Hotels & Resorts, Inc. | | | 30,101 | | | | (3.44 | )% | | | (73,158 | ) |
Camden Property Trust | | | 3,430 | | | | (3.35 | )% | | | (77,260 | ) |
CubeSmart | | | 5,445 | | | | (1.66 | )% | | | (87,639 | ) |
STAG Industrial, Inc. | | | 16,490 | | | | (4.01 | )% | | | (155,112 | ) |
Washington Real Estate Investment Trust | | | 27,074 | | | | (4.06 | )% | | | (162,613 | ) |
Apple Hospitality REIT, Inc. | | | 71,598 | | | | (7.56 | )% | | | (236,390 | ) |
Mid-America Apartment Communities, Inc. | | | 5,640 | | | | (6.94 | )% | | | (429,059 | ) |
Total Financial | | | | | | | | | | | (912,217 | ) |
| | | | | | | | | | | | | |
Exchange-Traded Funds | | | | | | | | | | | | |
Vanguard Real Estate ETF | | | 15,395 | | | | (9.80 | )% | | | (51,831 | ) |
Total GS Equity Short Custom Basket | | | | | | $ | (964,048 | ) |
40 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
MARKET NEUTRAL REAL ESTATE FUND | |
* | 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 equity custom basket swap collateral at March 31, 2022. |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | 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 March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 32,622,708 | | | $ | — | | | $ | — | | | $ | 32,622,708 | |
Money Market Fund | | | 23,236,679 | | | | — | | | | — | | | | 23,236,679 | |
Total Assets | | $ | 55,859,387 | | | $ | — | | | $ | — | | | $ | 55,859,387 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Custom Basket Swap Agreements** | | $ | — | | | $ | 1,896,500 | | | $ | — | | | $ | 1,896,500 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41 |
MARKET NEUTRAL REAL ESTATE FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
March 31, 2022 |
Assets: |
Investments, at value (cost $51,334,841) | | $ | 55,859,387 | |
Cash | | | 6,720 | |
Prepaid expenses | | | 58,806 | |
Receivables: |
Dividends | | | 120,650 | |
Fund shares sold | | | 29,909 | |
Interest | | | 1,541 | |
Total assets | | | 56,077,013 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 1,896,500 | |
Payable for: |
Swap settlement | | | 2,016,473 | |
Securities purchased | | | 101,173 | |
Management fees | | | 27,366 | |
Fund accounting/administration fees | | | 4,606 | |
Transfer agent/maintenance fees | | | 3,306 | |
Fund shares redeemed | | | 2,836 | |
Trustees’ fees* | | | 1,695 | |
Distribution and service fees | | | 752 | |
Miscellaneous | | | 22,135 | |
Total liabilities | | | 4,076,842 | |
Net assets | | $ | 52,000,171 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 52,114,298 | |
Total distributable earnings (loss) | | | (114,127 | ) |
Net assets | | $ | 52,000,171 | |
| | | | | |
A-Class: |
Net assets | | $ | 449,431 | |
Capital shares outstanding | | | 16,226 | |
Net asset value per share | | $ | 27.70 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 29.08 | |
| | | | | |
C-Class: |
Net assets | | $ | 202,409 | |
Capital shares outstanding | | | 7,658 | |
Net asset value per share | | $ | 26.43 | |
| | | | | |
P-Class: |
Net assets | | $ | 2,269,179 | |
Capital shares outstanding | | | 84,839 | |
Net asset value per share | | $ | 26.75 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 49,079,152 | |
Capital shares outstanding | | | 1,789,003 | |
Net asset value per share | | $ | 27.43 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended March 31, 2022 |
Investment Income: |
Dividends | | $ | 379,593 | |
Interest | | | 2,005 | |
Total investment income | | | 381,598 | |
| | | | | |
Expenses: |
Management fees | | | 311,238 | |
Distribution and service fees: |
A-Class | | | 1,748 | |
C-Class | | | 1,023 | |
P-Class | | | 3,050 | |
Transfer agent/maintenance fees: |
A-Class | | | 4,443 | |
C-Class | | | 226 | |
P-Class | | | 2,582 | |
Institutional Class | | | 38,698 | |
Registration fees | | | 29,211 | |
Fund accounting/administration fees | | | 22,313 | |
Professional fees | | | 19,290 | |
Trustees’ fees* | | | 6,896 | |
Custodian fees | | | 4,865 | |
Line of credit fees | | | 934 | |
Miscellaneous | | | 5,365 | |
Recoupment of previously waived fees: |
C-Class | | | 3 | |
P-Class | | | 151 | |
Institutional Class | | | 4,788 | |
Total expenses | | | 456,824 | |
Less: |
Expenses reimbursed by Adviser: |
A-Class | | | (4,184 | ) |
C-Class | | | (196 | ) |
P-Class | | | (2,345 | ) |
Institutional Class | | | (35,705 | ) |
Expenses waived by Adviser | | | (15,844 | ) |
Total waived/reimbursed expenses | | | (58,274 | ) |
Net expenses | | | 398,550 | |
Net investment loss | | | (16,952 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 2,527,292 | |
Swap agreements | | | (3,440,763 | ) |
Net realized loss | | | (913,471 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 593,317 | |
Swap agreements | | | 250,800 | |
Net change in unrealized appreciation (depreciation) | | | 844,117 | |
Net realized and unrealized loss | | | (69,354 | ) |
Net decrease in net assets resulting from operations | | $ | (86,306 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MARKET NEUTRAL REAL ESTATE FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (16,952 | ) | | $ | 115,196 | |
Net realized loss on investments | | | (913,471 | ) | | | (1,509,328 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 844,117 | | | | 868,339 | |
Net decrease in net assets resulting from operations | | | (86,306 | ) | | | (525,793 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (14,892 | ) |
C-Class | | | — | | | | (844 | ) |
P-Class | | | — | | | | (22,565 | ) |
Institutional Class | | | (161,651 | ) | | | (194,416 | ) |
Total distributions to shareholders | | | (161,651 | ) | | | (232,717 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 117,215 | | | | 1,051,983 | |
C-Class | | | 5,185 | | | | 8,148 | |
P-Class | | | 207,744 | | | | 2,478,276 | |
Institutional Class | | | 4,991,014 | | | | 41,746,970 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 11,281 | |
C-Class | | | — | | | | 844 | |
P-Class | | | — | | | | 22,118 | |
Institutional Class | | | 161,357 | | | | 194,309 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (1,539,819 | ) | | | (10,852,445 | ) |
C-Class | | | (43,438 | ) | | | (92,256 | ) |
P-Class | | | (658,353 | ) | | | (7,967,944 | ) |
Institutional Class | | | (9,437,547 | ) | | | (25,212,495 | ) |
Net increase (decrease) from capital share transactions | | | (6,196,642 | ) | | | 1,388,789 | |
Net increase (decrease) in net assets | | | (6,444,599 | ) | | | 630,279 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 58,444,770 | | | | 57,814,491 | |
End of period | | $ | 52,000,171 | | | $ | 58,444,770 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 4,214 | | | | 37,951 | |
C-Class | | | 195 | | | | 299 | |
P-Class | | | 7,727 | | | | 92,383 | |
Institutional Class | | | 181,158 | | | | 1,518,199 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 409 | |
C-Class | | | — | | | | 32 | |
P-Class | | | — | | | | 830 | |
Institutional Class | | | 5,876 | | | | 7,103 | |
Shares redeemed | | | | | | | | |
A-Class | | | (55,191 | ) | | | (387,212 | ) |
C-Class | | | (1,639 | ) | | | (3,473 | ) |
P-Class | | | (24,538 | ) | | | (298,618 | ) |
Institutional Class | | | (342,722 | ) | | | (919,986 | ) |
Net increase (decrease) in shares | | | (224,920 | ) | | | 47,917 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 43 |
MARKET NEUTRAL REAL ESTATE 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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 27.78 | | | $ | 28.18 | | | $ | 26.95 | | | $ | 25.16 | | | $ | 26.47 | | | $ | 24.45 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.06 | ) | | | (.08 | ) | | | (.02 | ) | | | .25 | | | | .50 | | | | .08 | |
Net gain (loss) on investments (realized and unrealized) | | | (.02 | ) | | | (.24 | ) | | | 2.30 | | | | 1.78 | | | | (.41 | ) | | | 1.94 | |
Total from investment operations | | | (.08 | ) | | | (.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 | | $ | 27.70 | | | $ | 27.78 | | | $ | 28.18 | | | $ | 26.95 | | | $ | 25.16 | | | $ | 26.47 | |
|
Total Returnc | | | (0.29 | %) | | | (1.14 | %) | | | 8.81 | % | | | 8.12 | % | | | 0.13 | % | | | 8.38 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 449 | | | $ | 1,867 | | | $ | 11,723 | | | $ | 2,766 | | | $ | 2,482 | | | $ | 109 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.46 | %) | | | (0.29 | %) | | | (0.06 | %) | | | 0.96 | % | | | 2.00 | % | | | 0.31 | % |
Total expensesd | | | 2.28 | % | | | 2.08 | % | | | 2.38 | % | | | 3.99 | % | | | 5.01 | % | | | 4.88 | % |
Net expensese,f,g | | | 1.64 | % | | | 1.64 | % | | | 1.65 | % | | | 1.62 | % | | | 1.65 | % | | | 1.65 | % |
Portfolio turnover rate | | | 8 | % | | | 264 | % | | | 355 | % | | | 180 | % | | | 216 | % | | | 145 | % |
C-Class | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 26.61 | | | $ | 27.20 | | | $ | 26.07 | | | $ | 24.67 | | | $ | 26.16 | | | $ | 24.35 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.14 | ) | | | (.22 | ) | | | (.15 | ) | | | .05 | | | | .12 | | | | (.11 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (.04 | ) | | | (.29 | ) | | | 2.16 | | | | 1.70 | | | | (.21 | ) | | | 1.92 | |
Total from investment operations | | | (.18 | ) | | | (.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 | | $ | 26.43 | | | $ | 26.61 | | | $ | 27.20 | | | $ | 26.07 | | | $ | 24.67 | | | $ | 26.16 | |
|
Total Returnc | | | (0.68 | %) | | | (1.88 | %) | | | 7.99 | % | | | 7.15 | % | | | (0.59 | %) | | | 7.56 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 202 | | | $ | 242 | | | $ | 333 | | | $ | 135 | | | $ | 134 | | | $ | 143 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.02 | %) | | | (0.83 | %) | | | (0.56 | %) | | | 0.18 | % | | | 0.47 | % | | | (0.52 | %) |
Total expensesd | | | 2.64 | % | | | 2.71 | % | | | 3.17 | % | | | 4.66 | % | | | 5.72 | % | | | 5.70 | % |
Net expensese,f,g | | | 2.39 | % | | | 2.39 | % | | | 2.40 | % | | | 2.40 | % | | | 2.38 | % | | | 2.40 | % |
Portfolio turnover rate | | | 8 | % | | | 264 | % | | | 355 | % | | | 180 | % | | | 216 | % | | | 145 | % |
44 | THE GUGGENHEIM FUNDS SEMI-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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 26.83 | | | $ | 27.23 | | | $ | 26.10 | | | $ | 25.14 | | | $ | 26.48 | | | $ | 24.45 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.04 | ) | | | (.04 | ) | | | — | | | | .20 | | | | .33 | | | | .16 | |
Net gain (loss) on investments (realized and unrealized) | | | (.04 | ) | | | (.28 | ) | | | 2.20 | | | | 1.71 | | | | (.27 | ) | | | 1.87 | |
Total from investment operations | | | (.08 | ) | | | (.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 | | $ | 26.75 | | | $ | 26.83 | | | $ | 27.23 | | | $ | 26.10 | | | $ | 25.14 | | | $ | 26.48 | |
|
Total Return | | | (0.30 | %) | | | (1.17 | %) | | | 8.79 | % | | | 7.80 | % | | | 0.09 | % | | | 8.34 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,269 | | | $ | 2,727 | | | $ | 8,360 | | | $ | 332 | | | $ | 488 | | | $ | 324 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.33 | %) | | | (0.16 | %) | | | 0.00 | % | | | 0.77 | % | | | 1.26 | % | | | 0.52 | % |
Total expensesd | | | 1.88 | % | | | 1.91 | % | | | 2.00 | % | | | 4.05 | % | | | 4.93 | % | | | 5.18 | % |
Net expensese,f,g | | | 1.64 | % | | | 1.64 | % | | | 1.65 | % | | | 1.65 | % | | | 1.65 | % | | | 1.65 | % |
Portfolio turnover rate | | | 8 | % | | | 264 | % | | | 355 | % | | | 180 | % | | | 216 | % | | | 145 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 27.57 | | | $ | 27.92 | | | $ | 26.74 | | | $ | 25.32 | | | $ | 26.57 | | | $ | 24.49 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | — | h | | | .07 | | | | .09 | | | | .31 | | | | .36 | | | | .14 | |
Net gain (loss) on investments (realized and unrealized) | | | (.06 | ) | | | (.31 | ) | | | 2.23 | | | | 1.73 | | | | (.21 | ) | | | 1.94 | |
Total from investment operations | | | (.06 | ) | | | (.24 | ) | | | 2.32 | | | | 2.04 | | | | .15 | | | | 2.08 | |
Less distributions from: |
Net investment income | | | (.08 | ) | | | (.05 | ) | | | (.34 | ) | | | (.39 | ) | | | — | | | | — | |
Net realized gains | | | — | | | | (.06 | ) | | | (.80 | ) | | | (.23 | ) | | | (1.40 | ) | | | — | |
Total distributions | | | (.08 | ) | | | (.11 | ) | | | (1.14 | ) | | | (.62 | ) | | | (1.40 | ) | | | — | |
Net asset value, end of period | | $ | 27.43 | | | $ | 27.57 | | | $ | 27.92 | | | $ | 26.74 | | | $ | 25.32 | | | $ | 26.57 | |
|
Total Return | | | (0.21 | %) | | | (0.87 | %) | | | 9.06 | % | | | 8.19 | % | | | 0.36 | % | | | 8.62 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 49,079 | | | $ | 53,609 | | | $ | 37,399 | | | $ | 5,479 | | | $ | 5,083 | | | $ | 4,995 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.03 | %) | | | 0.27 | % | | | 0.32 | % | | | 1.18 | % | | | 1.39 | % | | | 0.55 | % |
Total expensesd | | | 1.58 | % | | | 1.58 | % | | | 1.85 | % | | | 3.57 | % | | | 4.59 | % | | | 4.52 | % |
Net expensese,f,g | | | 1.39 | % | | | 1.39 | % | | | 1.40 | % | | | 1.40 | % | | | 1.40 | % | | | 1.40 | % |
Portfolio turnover rate | | | 8 | % | | | 264 | % | | | 355 | % | | | 180 | % | | | 216 | % | | | 145 | % |
a | Unaudited figures for the period ended March 31, 2022. 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 | 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 periods presented was as follows: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | — | — | 0.00%* | 0.00%* | — | 0.22% |
| | C-Class | 0.00%* | — | 0.00%* | 0.02% | — | 0.22% |
| | P-Class | 0.01% | — | 0.00%* | 0.01% | — | 0.16% |
| | Institutional Class | 0.02% | — | 0.00%* | 0.03% | — | 0.18% |
g | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods presented would be: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 1.64% | 1.63% | 1.65% | 1.62% | 1.65% | 1.63% |
| | C-Class | 2.39% | 2.38% | 2.40% | 2.40% | 2.37% | 2.37% |
| | P-Class | 1.63% | 1.63% | 1.64% | 1.65% | 1.65% | 1.63% |
| | Institutional Class | 1.38% | 1.39% | 1.40% | 1.40% | 1.40% | 1.38% |
h | Less than $0.01 per share. |
46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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. | 9.4% |
Equinix, Inc. | 5.2% |
Public Storage | 3.8% |
AvalonBay Communities, Inc. | 3.7% |
Equity Residential | 3.6% |
Simon Property Group, Inc. | 3.4% |
Invitation Homes, Inc. | 2.7% |
Alexandria Real Estate Equities, Inc. | 2.7% |
Ventas, Inc. | 2.5% |
Welltower, Inc. | 2.5% |
Top Ten Total | 39.5% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 47 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | Since
Inception
(03/28/14) |
A Class Shares | 9.74% | 23.25% | 12.14% | 12.11% |
A-Class Shares with sales charge‡ | 4.52% | 17.39% | 11.05% | 11.43% |
C Class Shares | 9.32% | 22.26% | 11.27% | 11.25% |
C-Class Shares with CDSC§ | 8.32% | 21.26% | 11.27% | 11.25% |
Institutional Class Shares | 9.88% | 23.59% | 12.44% | 12.43% |
FTSE NAREIT Equity REITs Total Return Index | 11.83% | 26.49% | 9.63% | 9.96% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(05/01/15) |
P-Class Shares | 9.69% | 23.16% | 12.08% | 10.52% |
FTSE NAREIT Equity REITs Total Return Index | 11.83% | 26.49% | 9.63% | 8.85% |
* | 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 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | 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. |
48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
RISK MANAGED REAL ESTATE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 89.9% |
| | | | | | | | | |
REITs - 89.9% |
REITs-APARTMENTS - 15.9% |
AvalonBay Communities, Inc.1 | | | 86,479 | | | $ | 21,478,789 | |
Equity Residential1 | | | 231,244 | | | | 20,793,460 | |
Invitation Homes, Inc. | | | 389,881 | | | | 15,665,419 | |
Essex Property Trust, Inc.1 | | | 26,341 | | | | 9,100,289 | |
American Campus Communities, Inc.1 | | | 123,141 | | | | 6,892,202 | |
UDR, Inc. | | | 95,952 | | | | 5,504,766 | |
Mid-America Apartment Communities, Inc.1 | | | 23,750 | | | | 4,974,438 | |
American Homes 4 Rent — Class A1 | | | 108,752 | | | | 4,353,343 | |
Camden Property Trust | | | 16,489 | | | | 2,740,472 | |
Total REITs-Apartments | | | | | | | 91,503,178 | |
| | | | | | | | | |
REITs-DIVERSIFIED - 15.2% |
Equinix, Inc.1 | | | 40,486 | | | | 30,025,227 | |
Digital Realty Trust, Inc.1 | | | 98,654 | | | | 13,989,137 | |
Gaming and Leisure Properties, Inc.1 | | | 225,128 | | | | 10,565,257 | |
VICI Properties, Inc.1 | | | 300,725 | | | | 8,558,634 | |
Duke Realty Corp. | | | 139,114 | | | | 8,076,959 | |
DigitalBridge Group, Inc.*,1 | | | 650,560 | | | | 4,684,032 | |
WP Carey, Inc.1 | | | 40,941 | | | | 3,309,670 | |
Crown Castle International Corp. | | | 12,993 | | | | 2,398,508 | |
American Tower Corp. — Class A1 | | | 9,425 | | | | 2,367,749 | |
American Assets Trust, Inc. | | | 45,463 | | | | 1,722,593 | |
EPR Properties1 | | | 26,947 | | | | 1,474,270 | |
PS Business Parks, Inc. | | | 1,973 | | | | 331,622 | |
Total REITs-Diversified | | | | | | | 87,503,658 | |
| | | | | | | | | |
REITs-WAREHOUSE/INDUSTRIES - 12.0% |
Prologis, Inc.1 | | | 334,907 | | | | 54,080,782 | |
Rexford Industrial Realty, Inc. | | | 146,281 | | | | 10,911,100 | |
Americold Realty Trust1 | | | 100,554 | | | | 2,803,446 | |
Terreno Realty Corp. | | | 17,614 | | | | 1,304,317 | |
Total REITs-Warehouse/Industries | | | | | | | 69,099,645 | |
| | | | | | | | | |
REITs-STORAGE - 9.6% |
Public Storage | | | 55,698 | | | | 21,737,815 | |
National Storage Affiliates Trust1 | | | 164,434 | | | | 10,319,878 | |
Extra Space Storage, Inc.1 | | | 50,144 | | | | 10,309,606 | |
Life Storage, Inc.1 | | | 47,447 | | | | 6,662,912 | |
Iron Mountain, Inc.1 | | | 111,269 | | | | 6,165,415 | |
Total REITs-Storage | | | | | | | 55,195,626 | |
| | | | | | | | | |
REITs-HEALTH CARE - 9.1% |
Ventas, Inc.1 | | | 237,329 | | | | 14,657,439 | |
Welltower, Inc.1 | | | 147,313 | | | | 14,162,672 | |
Medical Properties Trust, Inc. | | | 455,827 | | | | 9,636,183 | |
Healthpeak Properties, Inc.1 | | | 246,437 | | | | 8,460,182 | |
Healthcare Trust of America, Inc. — Class A1 | | | 87,859 | | | | 2,753,501 | |
Sabra Health Care REIT, Inc. | | | 146,413 | | | | 2,180,090 | |
CareTrust REIT, Inc. | | | 37,147 | | | | 716,937 | |
Total REITs-Health Care | | | | | | | 52,567,004 | |
| | | | | | | | | |
REITs-OFFICE PROPERTY - 7.5% |
Alexandria Real Estate Equities, Inc.1 | | | 77,381 | | | | 15,572,926 | |
Boston Properties, Inc.1 | | | 73,028 | | | | 9,406,006 | |
Hudson Pacific Properties, Inc.1 | | | 226,389 | | | | 6,282,295 | |
Kilroy Realty Corp. | | | 46,230 | | | | 3,532,897 | |
Highwoods Properties, Inc.1 | | | 54,376 | | | | 2,487,158 | |
Cousins Properties, Inc.1 | | | 52,895 | | | | 2,131,140 | |
SL Green Realty Corp. | | | 26,094 | | | | 2,118,311 | |
Empire State Realty Trust, Inc. — Class A1 | | | 180,490 | | | | 1,772,412 | |
Orion Office REIT, Inc. | | | 8,864 | | | | 124,097 | |
Total REITs-Office Property | | | | | | | 43,427,242 | |
| | | | | | | | | |
REITs-SHOPPING CENTERS - 6.2% |
Kite Realty Group Trust1 | | | 321,791 | | | | 7,327,181 | |
Kimco Realty Corp.1 | | | 234,961 | | | | 5,803,537 | |
Acadia Realty Trust | | | 260,210 | | | | 5,638,751 | |
Brixmor Property Group, Inc.1 | | | 211,167 | | | | 5,450,220 | |
Regency Centers Corp.1 | | | 66,330 | | | | 4,731,982 | |
NETSTREIT Corp. | | | 141,112 | | | | 3,166,553 | |
SITE Centers Corp. | | | 126,877 | | | | 2,120,115 | |
Federal Realty Investment Trust | | | 11,636 | | | | 1,420,407 | |
Total REITs-Shopping Centers | | | | | | | 35,658,746 | |
| | | | | | | | | |
REITs-HOTELS - 4.2% |
Xenia Hotels & Resorts, Inc.* | | | 364,155 | | | | 7,024,550 | |
Ryman Hospitality Properties, Inc.* | | | 69,327 | | | | 6,431,466 | |
MGM Growth Properties LLC — Class A | | | 136,900 | | | | 5,298,030 | |
DiamondRock Hospitality Co.*,1 | | | 440,939 | | | | 4,453,484 | |
Pebblebrook Hotel Trust1 | | | 49,933 | | | | 1,222,360 | |
Total REITs-Hotels | | | | | | | 24,429,890 | |
| | | | | | | | | |
REITs-SINGLE TENANT - 3.9% |
Realty Income Corp.1 | | | 103,448 | | | | 7,168,946 | |
Agree Realty Corp.1 | | | 99,892 | | | | 6,628,833 | |
Four Corners Property Trust, Inc. | | | 233,592 | | | | 6,316,328 | |
National Retail Properties, Inc.1 | | | 52,525 | | | | 2,360,474 | |
Total REITs-Single Tenant | | | | | | | 22,474,581 | |
| | | | | | | | | |
REITs-REGIONAL MALLS - 3.4% |
Simon Property Group, Inc.1 | | | 147,313 | | | | 19,380,498 | |
| | | | | | | | | |
REITs-MANUFACTURED HOMES - 2.9% |
Sun Communities, Inc.1 | | | 64,339 | | | | 11,277,983 | |
Equity LifeStyle Properties, Inc.1 | | | 67,917 | | | | 5,194,292 | |
Total REITs-Manufactured Homes | | | | | | | 16,472,275 | |
| | | | | | | | | |
Total REITs | | | | | | | 517,712,343 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $417,361,823) | | | | | | | 517,712,343 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
RISK MANAGED REAL ESTATE FUND | |
| | Shares | | | Value | |
MONEY MARKET FUND† - 10.1% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%2 | | | 58,366,894 | | | $ | 58,366,894 | |
Total Money Market Fund | | | | |
(Cost $58,366,894) | | | | | | | 58,366,894 | |
| | | | | | | | | |
Total Investments - 100.0% | | | | |
(Cost $475,728,717) | | | 576,079,237 | |
| | | | | | | | | |
COMMON STOCKS SOLD SHORT† - (7.9)% |
REITs - (7.9)% |
REITs-STORAGE - (0.2)% |
CubeSmart | | | 16,347,348 | | | | (850,604 | ) |
Total REITs-Storage | | | | | | | (850,604 | ) |
| | | | | | | | | |
REITs-WAREHOUSE/INDUSTRIES - (0.4)% |
Industrial Logistics Properties Trust | | | 34,734 | | | | (787,420 | ) |
STAG Industrial, Inc. | | | 36,011 | | | | (1,489,055 | ) |
Total REITS-Warehouse/Industries | | | | | | | (2,276,475 | ) |
| | | | | | | | | |
REITs-SHOPPING CENTERS - (0.5)% |
Phillips Edison & Company, Inc. | | | 80,819 | | | | (2,779,365 | ) |
| | | | | | | | | |
REITs-HEALTH CARE - (0.8)% |
National Health Investors, Inc. | | | 3,451 | | | | (203,644 | ) |
LTC Properties, Inc. | | | 32,432 | | | | (1,247,659 | ) |
Welltower, Inc.1 | | | 13,904 | | | | (1,336,731 | ) |
Omega Healthcare Investors, Inc. | | | 59,521 | | | | (1,854,674 | ) |
Total REITs-Health Care | | | | | | | (4,642,708 | ) |
| | | | | | | | | |
REITs-DIVERSIFIED - (1.1)% |
Digital Realty Trust, Inc.1 | | | 6,722 | | | | (953,180 | ) |
Necessity Retail REIT, Inc. | | | 146,910 | | | | (1,162,058 | ) |
Washington Real Estate Investment Trust | | | 81,267 | | | | (2,072,309 | ) |
Broadstone Net Lease, Inc. | | | 103,184 | | | | (2,247,348 | ) |
Total REITs-Diversified | | | | | | | (6,434,895 | ) |
| | | | | | | | | |
REITs-APARTMENTS - (1.1)% |
Apartment Income REIT Corp. | | | 22,784 | | | | (1,218,033 | ) |
Camden Property Trust | | | 10,299 | | | | (1,711,694 | ) |
Mid-America Apartment Communities, Inc.1 | | | 16,932 | | | | (3,546,407 | ) |
Total REITs-Apartments | | | | | | | (6,476,134 | ) |
| | | | | | | | | |
REITs-OFFICE PROPERTY - (1.2)% |
Easterly Government Properties, Inc. | | | 38,641 | | | | (816,878 | ) |
Corporate Office Properties Trust | | | 30,123 | | | | (859,710 | ) |
Equity Commonwealth* | | | 40,872 | | | | (1,152,999 | ) |
Office Properties Income Trust | | | 71,670 | | | | (1,844,069 | ) |
Douglas Emmett, Inc. | | | 65,137 | | | | (2,176,879 | ) |
Total REITs-Office Property | | | | | | | (6,850,535 | ) |
| | | | | | | | | |
REITs-SINGLE TENANT - (1.3)% |
Essential Properties Realty Trust, Inc. | | | 62,469 | | | | (1,580,466 | ) |
STORE Capital Corp. | | | 66,746 | | | | (1,950,986 | ) |
Realty Income Corp.1 | | | 55,663 | | | | (3,857,446 | ) |
Total REITs-Single Tenant | | | | | | | (7,388,898 | ) |
| | | | | | | | | |
REITs-HOTELS - (1.3)% |
Host Hotels & Resorts, Inc. | | | 90,484 | | | | (1,758,104 | ) |
RLJ Lodging Trust | | | 154,467 | | | | (2,174,895 | ) |
Apple Hospitality REIT, Inc. | | | 202,029 | | | | (3,630,461 | ) |
Total REITs-Hotels | | | | | | | (7,563,460 | ) |
| | | | | | | | | |
Total REITs | | | | | | | (45,263,074 | ) |
| | | | | | | | | |
Total Common Stocks Sold Short | | | | |
(Proceeds $44,774,769) | | | | | | | (45,263,074 | ) |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS SOLD SHORT† - (0.9)% |
Vanguard Real Estate ETF | | | 50,196 | | | | (5,439,741 | ) |
Total Exchange-Traded Funds Sold Short | | | | |
(Proceeds $5,468,077) | | | | | | | (5,439,741 | ) |
| | | | | | | | | |
Total Securities Sold Short - (8.8)% | | | | |
(Proceeds $50,242,846) | | $ | (50,702,815 | ) |
Other Assets & Liabilities, net - 8.8% | | | 50,644,049 | |
Total Net Assets - 100.0% | | $ | 576,020,471 | |
50 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
RISK MANAGED REAL ESTATE FUND | |
Custom Basket Swap Agreements |
Counterparty | Reference Obligation | Type | | Financing Rate | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Custom Basket Swap Agreements†† |
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Pay | | 0.73% (Federal Funds Rate + 0.40%) | At Maturity | 06/12/24 | | $ | 46,556,641 | | | $ | 5,815,049 | |
Goldman Sachs International | GS Equity Custom Basket | Pay | | 0.78% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | | | 46,363,568 | | | | 5,808,088 | |
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Pay | | 0.73% (Federal Funds Rate + 0.40%) | At Maturity | 10/22/25 | | | 10,956,616 | | | | 2,379,025 | |
Goldman Sachs International | GS Equity Custom Basket | Pay | | 0.78% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | | | 10,955,474 | | | | 2,375,947 | |
| | | | | | | | | | | | | | | $ | 114,832,299 | | | $ | 16,378,109 | |
OTC Custom Basket Swap Agreements Sold Short†† |
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Receive | | 0.03% (Federal Funds Rate - 0.30%) | At Maturity | 06/12/24 | | $ | 48,205,954 | | | $ | (1,040,638 | ) |
Goldman Sachs International | GS Equity Custom Basket | Receive | | 0.12% (Federal Funds Rate - 0.21%) | At Maturity | 05/06/24 | | | 48,210,017 | | | | (1,091,434 | ) |
| | | | | | | | | | | | | | | $ | 96,415,971 | | | $ | (2,132,072 | ) |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation | |
MS EQUITY LONG CUSTOM BASKET | | | | | | | | |
Financial | | | | | | | | | | | | |
Prologis, Inc. | | | 7,689 | | | | 11.33 | % | | $ | 480,186 | |
Public Storage | | | 1,300 | | | | 4.63 | % | | | 206,276 | |
AvalonBay Communities, Inc. | | | 1,802 | | | | 4.08 | % | | | 128,372 | |
Equity Residential | | | 4,794 | | | | 3.93 | % | | | 108,808 | |
Extra Space Storage, Inc. | | | 1,170 | | | | 2.20 | % | | | 101,383 | |
Welltower, Inc. | | | 3,438 | | | | 3.02 | % | | | 98,129 | |
Simon Property Group, Inc. | | | 3,438 | | | | 4.13 | % | | | 84,373 | |
Invitation Homes, Inc. | | | 8,000 | | | | 2.93 | % | | | 78,360 | |
Rexford Industrial Realty, Inc. | | | 2,863 | | | | 1.95 | % | | | 74,807 | |
Equinix, Inc. | | | 949 | | | | 6.42 | % | | | 70,112 | |
Alexandria Real Estate Equities, Inc. | | | 1,552 | | | | 2.85 | % | | | 59,215 | |
Life Storage, Inc. | | | 1,107 | | | | 1.42 | % | | | 58,366 | |
Duke Realty Corp. | | | 3,247 | | | | 1.72 | % | | | 57,900 | |
Iron Mountain, Inc. | | | 2,607 | | | | 1.32 | % | | | 53,009 | |
Essex Property Trust, Inc. | | | 614 | | | | 1.94 | % | | | 51,666 | |
National Storage Affiliates Trust | | | 2,675 | | | | 1.53 | % | | | 49,945 | |
Boston Properties, Inc. | | | 1,711 | | | | 2.01 | % | | | 46,848 | |
Ventas, Inc. | | | 5,009 | | | | 2.82 | % | | | 46,476 | |
Mid-America Apartment Communities, Inc. | | | 554 | | | | 1.06 | % | | | 41,655 | |
UDR, Inc. | | | 2,239 | | | | 1.17 | % | | | 41,171 | |
Kimco Realty Corp. | | | 5,485 | | | | 1.24 | % | | | 34,957 | |
Regency Centers Corp. | | | 1,548 | | | | 1.01 | % | | | 34,617 | |
Sun Communities, Inc. | | | 1,128 | | | | 1.80 | % | | | 30,662 | |
Healthpeak Properties, Inc. | | | 5,245 | | | | 1.64 | % | | | 24,891 | |
Equity LifeStyle Properties, Inc. | | | 1,585 | | | | 1.11 | % | | | 23,984 | |
Camden Property Trust | | | 387 | | | | 0.59 | % | | | 23,907 | |
American Campus Communities, Inc. | | | 2,317 | | | | 1.18 | % | | | 23,568 | |
Brixmor Property Group, Inc. | | | 3,863 | | | | 0.91 | % | | | 22,399 | |
American Homes 4 Rent — Class A | | | 2,538 | | | | 0.93 | % | | | 21,766 | |
Realty Income Corp. | | | 2,426 | | | | 1.53 | % | | | 21,265 | |
Gaming and Leisure Properties, Inc. | | | 4,060 | | | | 1.74 | % | | | 18,345 | |
Digital Realty Trust, Inc. | | | 2,146 | | | | 2.78 | % | | | 17,140 | |
MGM Growth Properties LLC — Class A | | | 2,571 | | | | 0.91 | % | | | 16,905 | |
Ryman Hospitality Properties, Inc. | | | 1,092 | | | | 0.92 | % | | | 16,199 | |
DigitalBridge Group, Inc. | | | 15,187 | | | | 1.00 | % | | | 15,154 | |
Kilroy Realty Corp. | | | 1,079 | | | | 0.75 | % | | | 14,122 | |
WP Carey, Inc. | | | 955 | | | | 0.70 | % | | | 12,047 | |
VICI Properties, Inc. | | | 5,642 | | | | 1.47 | % | | | 12,041 | |
Kite Realty Group Trust | | | 5,518 | | | | 1.15 | % | | | 10,102 | |
Sabra Health Care REIT, Inc. | | | 3,509 | | | | 0.48 | % | | | 8,950 | |
Terreno Realty Corp. | | | 411 | | | | 0.28 | % | | | 7,584 | |
SL Green Realty Corp. | | | 585 | | | | 0.43 | % | | | 7,483 | |
Highwoods Properties, Inc. | | | 1,269 | | | | 0.53 | % | | | 7,125 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
RISK MANAGED REAL ESTATE FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
National Retail Properties, Inc. | | | 1,226 | | | | 0.50 | % | | $ | 6,541 | |
Pebblebrook Hotel Trust | | | 1,165 | | | | 0.26 | % | | | 6,394 | |
Hudson Pacific Properties, Inc. | | | 3,774 | | | | 0.96 | % | | | 5,808 | |
Xenia Hotels & Resorts, Inc. | | | 5,537 | | | | 0.97 | % | | | 4,687 | |
EPR Properties | | | 633 | | | | 0.32 | % | | | 4,227 | |
Acadia Realty Trust | | | 4,295 | | | | 0.85 | % | | | 4,108 | |
Medical Properties Trust, Inc. | | | 9,218 | | | | 1.78 | % | | | 3,855 | |
DiamondRock Hospitality Co. | | | 7,390 | | | | 0.68 | % | | | 3,336 | |
SITE Centers Corp. | | | 1,418 | | | | 0.22 | % | | | 1,765 | |
Cousins Properties, Inc. | | | 1,234 | | | | 0.45 | % | | | 1,450 | |
Crown Castle International Corp. | | | 303 | | | | 0.51 | % | | | 286 | |
PS Business Parks, Inc. | | | 27 | | | | 0.04 | % | | | 181 | |
Agree Realty Corp. | | | 1,984 | | | | 1.20 | % | | | (14 | ) |
NETSTREIT Corp. | | | 2,628 | | | | 0.54 | % | | | (42 | ) |
American Tower Corp. — Class A | | | 220 | | | | 0.50 | % | | | (328 | ) |
Healthcare Trust of America, Inc. — Class A | | | 2,051 | | | | 0.59 | % | | | (1,015 | ) |
Federal Realty Investment Trust | | | 271 | | | | 0.30 | % | | | (1,293 | ) |
Orion Office REIT, Inc. | | | 207 | | | | 0.03 | % | | | (1,686 | ) |
Empire State Realty Trust, Inc. — Class A | | | 1,297 | | | | 0.12 | % | | | (1,796 | ) |
Four Corners Property Trust, Inc. | | | 3,587 | | | | 0.89 | % | | | (2,697 | ) |
CareTrust REIT, Inc. | | | 870 | | | | 0.15 | % | | | (2,793 | ) |
Americold Realty Trust | | | 2,347 | | | | 0.60 | % | | | (14,219 | ) |
Total Financial | | | | | | | | | | | 2,379,025 | |
Total MS Equity Long Custom Basket | | | | | | $ | 2,379,025 | |
| | | | | | | | | |
MS EQUITY LONG CUSTOM BASKET | | | | | | | | |
Financial | | | | | | | | | | | | |
AvalonBay Communities, Inc. | | | 9,122 | | | | 4.85 | % | | | 691,891 | |
Equity Residential | | | 25,488 | | | | 4.92 | % | | | 623,538 | |
National Storage Affiliates Trust | | | 47,239 | | | | 6.37 | % | | | 416,246 | |
Ventas, Inc. | | | 22,530 | | | | 2.99 | % | | | 413,940 | |
Prologis, Inc. | | | 6,731 | | | | 2.33 | % | | | 369,318 | |
Rexford Industrial Realty, Inc. | | | 22,401 | | | | 3.59 | % | | | 330,111 | |
Sun Communities, Inc. | | | 15,168 | | | | 5.71 | % | | | 329,394 | |
Ryman Hospitality Properties, Inc. | | | 21,404 | | | | 4.27 | % | | | 311,366 | |
Alexandria Real Estate Equities, Inc. | | | 10,332 | | | | 4.47 | % | | | 297,951 | |
Gaming and Leisure Properties, Inc. | | | 48,565 | | | | 4.90 | % | | | 280,687 | |
American Assets Trust, Inc. | | | 43,116 | | | | 3.51 | % | | | 263,443 | |
Brixmor Property Group, Inc. | | | 43,302 | | | | 2.40 | % | | | 225,018 | |
American Campus Communities, Inc. | | | 22,629 | | | | 2.72 | % | | | 205,936 | |
DiamondRock Hospitality Co. | | | 118,027 | | | | 2.56 | % | | | 181,077 | |
Hudson Pacific Properties, Inc. | | | 61,347 | | | | 3.66 | % | | | 160,637 | |
Invitation Homes, Inc. | | | 44,738 | | | | 3.86 | % | | | 159,734 | |
MGM Growth Properties LLC — Class A | | | 25,348 | | | | 2.11 | % | | | 140,149 | |
Healthpeak Properties, Inc. | | | 20,618 | | | | 1.52 | % | | | 139,337 | |
Xenia Hotels & Resorts, Inc. | | | 120,391 | | | | 4.99 | % | | | 136,757 | |
VICI Properties, Inc. | | | 56,841 | | | | 3.47 | % | | | 132,285 | |
Kite Realty Group Trust | | | 80,992 | | | | 3.96 | % | | | 128,477 | |
SITE Centers Corp. | | | 62,964 | | | | 2.26 | % | | | 60,941 | |
Acadia Realty Trust | | | 72,968 | | | | 3.40 | % | | | 39,328 | |
NETSTREIT Corp. | | | 32,344 | | | | 1.56 | % | | | 38,407 | |
Agree Realty Corp. | | | 19,410 | | | | 2.77 | % | | | 12,062 | |
PS Business Parks, Inc. | | | 1,062 | | | | 0.38 | % | | | 7,128 | |
Medical Properties Trust, Inc. | | | 57,816 | | | | 2.63 | % | | | (37,995 | ) |
Four Corners Property Trust, Inc. | | | 75,803 | | | | 4.40 | % | | | (78,015 | ) |
Empire State Realty Trust, Inc. — Class A | | | 163,108 | | | | 3.44 | % | | | (164,099 | ) |
Total Financial | | | | | | | | | | | 5,815,049 | |
Total MS Equity Long Custom Basket | | | | | | $ | 5,815,049 | |
| | | | | | | | | |
MS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
Financial | | | | | | | | | | | | |
Broadstone Net Lease, Inc. | | | 97,849 | | | | (4.40 | )% | | | 456,262 | |
STORE Capital Corp. | | | 63,340 | | | | (3.84 | )% | | | 333,423 | |
Omega Healthcare Investors, Inc. | | | 57,495 | | | | (3.72 | )% | | | 296,519 | |
Necessity Retail REIT, Inc. | | | 139,316 | | | | (2.29 | )% | | | 137,618 | |
RLJ Lodging Trust | | | 146,504 | | | | (4.28 | )% | | | 121,125 | |
Office Properties Income Trust | | | 67,963 | | | | (3.63 | )% | | | 119,868 | |
LTC Properties, Inc. | | | 31,325 | | | | (2.50 | )% | | | 98,052 | |
National Health Investors, Inc. | | | 3,274 | | | | (0.40 | )% | | | 49,975 | |
Essential Properties Realty Trust, Inc. | | | 81,431 | | | | (4.27 | )% | | | 43,347 | |
Industrial Logistics Properties Trust | | | 32,937 | | | | (1.55 | )% | | | 38,551 | |
Easterly Government Properties, Inc. | | | 36,643 | | | | (1.61 | )% | | | 30,892 | |
Realty Income Corp. | | | 52,785 | | | | (7.59 | )% | | | 9,541 | |
Equity Commonwealth | | | 38,757 | | | | (2.27 | )% | | | (17,526 | ) |
Douglas Emmett, Inc. | | | 61,768 | | | | (4.28 | )% | | | (21,569 | ) |
52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
RISK MANAGED REAL ESTATE FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Corporate Office Properties Trust | | | 39,265 | | | | (2.32 | )% | | $ | (50,696 | ) |
CubeSmart | | | 15,499 | | | | (1.67 | )% | | | (56,174 | ) |
Apartment Income REIT Corp. | | | 21,619 | | | | (2.40 | )% | | | (65,726 | ) |
Phillips Edison & Company, Inc. | | | 76,641 | | | | (5.47 | )% | | | (125,463 | ) |
Welltower, Inc. | | | 13,182 | | | | (2.63 | )% | | | (175,527 | ) |
Host Hotels & Resorts, Inc. | | | 85,866 | | | | (3.46 | )% | | | (181,866 | ) |
Camden Property Trust | | | 9,764 | | | | (3.37 | )% | | | (206,576 | ) |
STAG Industrial, Inc. | | | 46,938 | | | | (4.03 | )% | | | (214,296 | ) |
Washington Real Estate Investment Trust | | | 77,065 | | | | (4.08 | )% | | | (236,430 | ) |
Apple Hospitality REIT, Inc. | | | 191,591 | | | | (7.14 | )% | | | (491,647 | ) |
Mid-America Apartment Communities, Inc. | | | 16,054 | | | | (6.98 | )% | | | (968,131 | ) |
Total Financial | | | | | | | | | | | (1,076,454 | ) |
| | | | | | | | | | | | | |
Exchange-Traded Funds | | | | | | | | | | | | |
Vanguard Real Estate ETF | | | 43,689 | | | | (9.82 | )% | | | 35,816 | |
Total MS Equity Short Custom Basket | | | | | | $ | (1,040,638 | ) |
| | | | | | | | | |
GS EQUITY LONG CUSTOM BASKET | | | | | | | | |
Financial | | | | | | | | | | | | |
Prologis, Inc. | | | 7,689 | | | | 11.33 | % | | | 480,018 | |
Public Storage | | | 1,300 | | | | 4.63 | % | | | 206,124 | |
AvalonBay Communities, Inc. | | | 1,802 | | | | 4.09 | % | | | 128,332 | |
Equity Residential | | | 4,794 | | | | 3.93 | % | | | 108,748 | |
Extra Space Storage, Inc. | | | 1,170 | | | | 2.20 | % | | | 101,345 | |
Welltower, Inc. | | | 3,438 | | | | 3.02 | % | | | 97,969 | |
Simon Property Group, Inc. | | | 3,438 | | | | 4.13 | % | | | 84,271 | |
Invitation Homes, Inc. | | | 8,000 | | | | 2.93 | % | | | 78,327 | |
Rexford Industrial Realty, Inc. | | | 2,863 | | | | 1.95 | % | | | 74,774 | |
Equinix, Inc. | | | 949 | | | | 6.42 | % | | | 70,092 | |
Alexandria Real Estate Equities, Inc. | | | 1,552 | | | | 2.85 | % | | | 59,214 | |
Life Storage, Inc. | | | 1,107 | | | | 1.42 | % | | | 58,386 | |
Duke Realty Corp. | | | 3,247 | | | | 1.72 | % | | | 57,846 | |
Iron Mountain, Inc. | | | 2,607 | | | | 1.32 | % | | | 53,019 | |
Essex Property Trust, Inc. | | | 614 | | | | 1.94 | % | | | 51,638 | |
National Storage Affiliates Trust | | | 2,675 | | | | 1.53 | % | | | 49,962 | |
Boston Properties, Inc. | | | 1,711 | | | | 2.01 | % | | | 46,805 | |
Ventas, Inc. | | | 5,009 | | | | 2.82 | % | | | 46,357 | |
Mid-America Apartment Communities, Inc. | | | 554 | | | | 1.06 | % | | | 41,702 | |
UDR, Inc. | | | 2,239 | | | | 1.17 | % | | | 41,137 | |
Kimco Realty Corp. | | | 5,485 | | | | 1.24 | % | | | 34,925 | |
Regency Centers Corp. | | | 1,548 | | | | 1.01 | % | | | 34,604 | |
Sun Communities, Inc. | | | 1,128 | | | | 1.80 | % | | | 30,522 | |
Healthpeak Properties, Inc. | | | 5,245 | | | | 1.64 | % | | | 24,873 | |
Equity LifeStyle Properties, Inc. | | | 1,585 | | | | 1.11 | % | | | 24,012 | |
Camden Property Trust | | | 387 | | | | 0.59 | % | | | 23,888 | |
American Campus Communities, Inc. | | | 2,317 | | | | 1.18 | % | | | 23,492 | |
Brixmor Property Group, Inc. | | | 3,863 | | | | 0.91 | % | | | 22,475 | |
American Homes 4 Rent — Class A | | | 2,538 | | | | 0.93 | % | | | 21,771 | |
Realty Income Corp. | | | 2,426 | | | | 1.53 | % | | | 21,290 | |
Gaming and Leisure Properties, Inc. | | | 4,060 | | | | 1.74 | % | | | 18,215 | |
Digital Realty Trust, Inc. | | | 2,146 | | | | 2.78 | % | | | 17,107 | |
MGM Growth Properties LLC — Class A | | | 2,571 | | | | 0.91 | % | | | 16,854 | |
Ryman Hospitality Properties, Inc. | | | 1,092 | | | | 0.92 | % | | | 16,198 | |
DigitalBridge Group, Inc. | | | 15,187 | | | | 1.00 | % | | | 15,185 | |
Kilroy Realty Corp. | | | 1,079 | | | | 0.75 | % | | | 14,096 | |
VICI Properties, Inc. | | | 5,642 | | | | 1.47 | % | | | 12,073 | |
WP Carey, Inc. | | | 955 | | | | 0.70 | % | | | 11,989 | |
Kite Realty Group Trust | | | 5,518 | | | | 1.15 | % | | | 10,157 | |
Sabra Health Care REIT, Inc. | | | 3,509 | | | | 0.48 | % | | | 8,977 | |
Terreno Realty Corp. | | | 411 | | | | 0.28 | % | | | 7,589 | |
SL Green Realty Corp. | | | 585 | | | | 0.43 | % | | | 7,484 | |
Highwoods Properties, Inc. | | | 1,269 | | | | 0.53 | % | | | 7,084 | |
Pebblebrook Hotel Trust | | | 1,165 | | | | 0.26 | % | | | 6,363 | |
National Retail Properties, Inc. | | | 1,226 | | | | 0.50 | % | | | 6,286 | |
Hudson Pacific Properties, Inc. | | | 3,774 | | | | 0.96 | % | | | 5,753 | |
Xenia Hotels & Resorts, Inc. | | | 5,537 | | | | 0.97 | % | | | 4,324 | |
EPR Properties | | | 633 | | | | 0.32 | % | | | 4,228 | |
Acadia Realty Trust | | | 4,295 | | | | 0.85 | % | | | 3,940 | |
Medical Properties Trust, Inc. | | | 9,218 | | | | 1.78 | % | | | 3,428 | |
DiamondRock Hospitality Co. | | | 7,390 | | | | 0.68 | % | | | 3,357 | |
Cousins Properties, Inc. | | | 1,234 | | | | 0.45 | % | | | 1,475 | |
SITE Centers Corp. | | | 1,418 | | | | 0.22 | % | | | 1,184 | |
Crown Castle International Corp. | | | 303 | | | | 0.51 | % | | | 242 | |
PS Business Parks, Inc. | | | 17 | | | | 0.03 | % | | | 114 | |
NETSTREIT Corp. | | | 2,652 | | | | 0.54 | % | | | 13 | |
Agree Realty Corp. | | | 1,984 | | | | 1.20 | % | | | (17 | ) |
American Tower Corp. — Class A | | | 220 | | | | 0.50 | % | | | (370 | ) |
Healthcare Trust of America, Inc. — Class A | | | 2,051 | | | | 0.59 | % | | | (1,075 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
RISK MANAGED REAL ESTATE FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Federal Realty Investment Trust | | | 271 | | | | 0.30 | % | | $ | (1,265 | ) |
Orion Office REIT, Inc. | | | 207 | | | | 0.03 | % | | | (1,686 | ) |
Empire State Realty Trust, Inc. — Class A | | | 1,297 | | | | 0.12 | % | | | (1,772 | ) |
Four Corners Property Trust, Inc. | | | 3,587 | | | | 0.89 | % | | | (2,557 | ) |
CareTrust REIT, Inc. | | | 870 | | | | 0.15 | % | | | (2,793 | ) |
Americold Realty Trust | | | 2,347 | | | | 0.60 | % | | | (14,151 | ) |
Total Financial | | | | | | | | | | | 2,375,947 | |
Total GS Equity Long Custom Basket | | | | | | $ | 2,375,947 | |
| | | | | | | | | |
GS EQUITY LONG CUSTOM BASKET | | | | | | | | |
Financial | | | | | | | | | | | | |
AvalonBay Communities, Inc. | | | 9,122 | | | | 4.90 | % | | | 690,257 | |
Equity Residential | | | 25,488 | | | | 4.94 | % | | | 619,982 | |
National Storage Affiliates Trust | | | 47,239 | | | | 6.39 | % | | | 418,777 | |
Ventas, Inc. | | | 22,530 | | | | 3.00 | % | | | 413,770 | |
Prologis, Inc. | | | 6,731 | | | | 2.34 | % | | | 369,055 | |
Sun Communities, Inc. | | | 15,168 | | | | 5.73 | % | | | 330,450 | |
Rexford Industrial Realty, Inc. | | | 22,401 | | | | 3.60 | % | | | 328,662 | |
Ryman Hospitality Properties, Inc. | | | 21,348 | | | | 4.27 | % | | | 312,066 | |
Alexandria Real Estate Equities, Inc. | | | 10,332 | | | | 4.48 | % | | | 288,049 | |
Gaming and Leisure Properties, Inc. | | | 48,565 | | | | 4.92 | % | | | 281,223 | |
American Assets Trust, Inc. | | | 43,116 | | | | 3.52 | % | | | 269,009 | |
Brixmor Property Group, Inc. | | | 43,302 | | | | 2.41 | % | | | 225,313 | |
American Campus Communities, Inc. | | | 22,629 | | | | 2.73 | % | | | 202,274 | |
DiamondRock Hospitality Co. | | | 118,027 | | | | 2.57 | % | | | 177,174 | |
Invitation Homes, Inc. | | | 44,738 | | | | 3.88 | % | | | 161,193 | |
Hudson Pacific Properties, Inc. | | | 61,347 | | | | 3.67 | % | | | 160,077 | |
MGM Growth Properties LLC — Class A | | | 25,348 | | | | 2.12 | % | | | 140,088 | |
Healthpeak Properties, Inc. | | | 20,618 | | | | 1.53 | % | | | 139,361 | |
Xenia Hotels & Resorts, Inc. | | | 120,391 | | | | 5.01 | % | | | 133,201 | |
VICI Properties, Inc. | | | 56,841 | | | | 3.49 | % | | | 131,036 | |
Kite Realty Group Trust | | | 80,992 | | | | 3.98 | % | | | 130,314 | |
SITE Centers Corp. | | | 62,964 | | | | 2.27 | % | | | 47,999 | |
NETSTREIT Corp. | | | 33,803 | | | | 1.64 | % | | | 40,572 | |
Acadia Realty Trust | | | 72,968 | | | | 3.41 | % | | | 38,392 | |
Agree Realty Corp. | | | 18,595 | | | | 2.66 | % | | | 6,945 | |
PS Business Parks, Inc. | | | 660 | | | | 0.24 | % | | | 4,421 | |
Medical Properties Trust, Inc. | | | 57,816 | | | | 2.64 | % | | | (38,244 | ) |
Four Corners Property Trust, Inc. | | | 75,803 | | | | 4.42 | % | | | (70,894 | ) |
Empire State Realty Trust, Inc. — Class A | | | 153,029 | | | | 3.24 | % | | | (142,434 | ) |
Total Financial | | | | | | | | | | | 5,808,088 | |
Total GS Equity Long Custom Basket | | | | | | $ | 5,808,088 | |
| | | | | | | | | |
GS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
Financial | | | | | | | | | | | | |
Broadstone Net Lease, Inc. | | | 97,849 | | | | (4.39 | )% | | | 438,786 | |
STORE Capital Corp. | | | 63,340 | | | | (3.84 | )% | | | 335,420 | |
Omega Healthcare Investors, Inc. | | | 57,495 | | | | (3.72 | )% | | | 303,719 | |
Necessity Retail REIT, Inc. | | | 139,316 | | | | (2.29 | )% | | | 139,483 | |
RLJ Lodging Trust | | | 146,472 | | | | (4.28 | )% | | | 130,955 | |
Office Properties Income Trust | | | 67,963 | | | | (3.63 | )% | | | 124,505 | |
LTC Properties, Inc. | | | 31,325 | | | | (2.50 | )% | | | 99,135 | |
National Health Investors, Inc. | | | 3,274 | | | | (0.40 | )% | | | 50,020 | |
Industrial Logistics Properties Trust | | | 32,937 | | | | (1.55 | )% | | | 40,046 | |
Essential Properties Realty Trust, Inc. | | | 85,565 | | | | (4.49 | )% | | | 36,320 | |
Easterly Government Properties, Inc. | | | 36,643 | | | | (1.61 | )% | | | 30,991 | |
Realty Income Corp. | | | 52,785 | | | | (7.59 | )% | | | 6,536 | |
Equity Commonwealth | | | 38,757 | | | | (2.27 | )% | | | (17,018 | ) |
Douglas Emmett, Inc. | | | 61,768 | | | | (4.28 | )% | | | (18,615 | ) |
Corporate Office Properties Trust | | | 35,758 | | | | (2.12 | )% | | | (42,150 | ) |
CubeSmart | | | 15,499 | | | | (1.67 | )% | | | (56,173 | ) |
Apartment Income REIT Corp. | | | 21,619 | | | | (2.40 | )% | | | (66,883 | ) |
Phillips Edison & Company, Inc. | | | 76,641 | | | | (5.47 | )% | | | (142,129 | ) |
Welltower, Inc. | | | 13,182 | | | | (2.63 | )% | | | (177,342 | ) |
Host Hotels & Resorts, Inc. | | | 85,866 | | | | (3.46 | )% | | | (182,613 | ) |
Camden Property Trust | | | 9,764 | | | | (3.37 | )% | | | (206,816 | ) |
STAG Industrial, Inc. | | | 46,938 | | | | (4.03 | )% | | | (213,554 | ) |
Washington Real Estate Investment Trust | | | 77,065 | | | | (4.08 | )% | | | (235,401 | ) |
Apple Hospitality REIT, Inc. | | | 191,591 | | | | (7.14 | )% | | | (536,455 | ) |
Mid-America Apartment Communities, Inc. | | | 16,054 | | | | (6.97 | )% | | | (967,723 | ) |
Total Financial | | | | | | | | | | | (1,126,956 | ) |
| | | | | | | | | | | | | |
Exchange-Traded Funds | | | | | | | | | | | | |
Vanguard Real Estate ETF | | | 43,689 | | | | (9.82 | )% | | | 35,522 | |
Total GS Equity Short Custom Basket | | | | | | $ | (1,091,434 | ) |
54 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
RISK MANAGED REAL ESTATE FUND | |
* | 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 equity custom basket swap collateral at March 31, 2022. |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | 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 March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 517,712,343 | | | $ | — | | | $ | — | | | $ | 517,712,343 | |
Money Market Fund | | | 58,366,894 | | | | — | | | | — | | | | 58,366,894 | |
Equity Custom Basket Swap Agreements** | | | — | | | | 16,378,109 | | | | — | | | | 16,378,109 | |
Total Assets | | $ | 576,079,237 | | | $ | 16,378,109 | | | $ | — | | | $ | 592,457,346 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks Sold Short | | $ | 45,263,074 | | | $ | — | | | $ | — | | | $ | 45,263,074 | |
Exchange-Traded Funds Sold Short | | | 5,439,741 | | | | — | | | | — | | | | 5,439,741 | |
Equity Custom Basket Swap Agreements** | | | — | | | | 2,132,072 | | | | — | | | | 2,132,072 | |
Total Liabilities | | $ | 50,702,815 | | | $ | 2,132,072 | | | $ | — | | | $ | 52,834,887 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 55 |
RISK MANAGED REAL ESTATE FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
March 31, 2022 |
Assets: |
Investments, at value (cost $475,728,717) | | $ | 576,079,237 | |
Cash | | | 44,873,122 | |
Unrealized appreciation on OTC swap agreements | | | 16,378,109 | |
Prepaid expenses | | | 91,601 | |
Receivables: |
Dividends | | | 1,315,421 | |
Fund shares sold | | | 214,283 | |
Interest | | | 60 | |
Other assets | | | 118,026 | |
Total assets | | | 639,069,859 | |
| | | | | |
Liabilities: |
Securities sold short, at value (proceeds $50,242,846) | | | 50,702,815 | |
Segregated cash due to broker | | | 6,575,030 | |
Unrealized depreciation on OTC swap agreements | | | 2,132,072 | |
Payable for: |
Fund shares redeemed | | | 1,923,661 | |
Swap settlement | | | 1,080,561 | |
Management fees | | | 285,625 | |
Distributions to shareholders | | | 169,874 | |
Securities purchased | | | 99,744 | |
Fund accounting/administration fees | | | 32,293 | |
Distribution and service fees | | | 11,388 | |
Trustees’ fees* | | | 6,455 | |
Transfer agent/maintenance fees | | | 3,495 | |
Due to Investment Adviser | | | 646 | |
Miscellaneous | | | 25,729 | |
Total liabilities | | | 63,049,388 | |
Net assets | | $ | 576,020,471 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 463,100,954 | |
Total distributable earnings (loss) | | | 112,919,517 | |
Net assets | | $ | 576,020,471 | |
| | | | | |
A-Class: |
Net assets | | $ | 12,242,060 | |
Capital shares outstanding | | | 317,069 | |
Net asset value per share | | $ | 38.61 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 40.54 | |
| | | | | |
C-Class: |
Net assets | | $ | 6,840,784 | |
Capital shares outstanding | | | 178,822 | |
Net asset value per share | | $ | 38.25 | |
| | | | | |
P-Class: |
Net assets | | $ | 18,100,971 | |
Capital shares outstanding | | | 466,480 | |
Net asset value per share | | $ | 38.80 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 538,836,656 | |
Capital shares outstanding | | | 13,768,807 | |
Net asset value per share | | $ | 39.13 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
56 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RISK MANAGED REAL ESTATE FUND | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended March 31, 2022 |
Investment Income: |
Dividends | | $ | 3,809,524 | |
Interest | | | 4,820 | |
Total investment income | | | 3,814,344 | |
| | | | | |
Expenses: |
Management fees | | | 2,058,977 | |
Distribution and service fees: |
A-Class | | | 14,487 | |
C-Class | | | 27,599 | |
P-Class | | | 21,899 | |
Transfer agent/maintenance fees: |
A-Class | | | 6,147 | |
C-Class | | | 2,354 | |
P-Class | | | 12,568 | |
Institutional Class | | | 166,753 | |
Fund accounting/administration fees | | | 181,641 | |
Professional fees | | | 31,829 | |
Custodian fees | | | 12,325 | |
Trustees’ fees* | | | 12,305 | |
Line of credit fees | | | 7,354 | |
Interest expense | | | 5,316 | |
Miscellaneous | | | 55,874 | |
Recoupment of previously waived fees: |
A-Class | | | 1,907 | |
C-Class | | | 838 | |
P-Class | | | 6,503 | |
Institutional Class | | | 18,216 | |
Total expenses | | | 2,644,892 | |
Less: |
Expenses reimbursed by Adviser: |
A-Class | | | (2,376 | ) |
C-Class | | | (1,130 | ) |
P-Class | | | (3,479 | ) |
Institutional Class | | | (58,392 | ) |
Expenses waived by Adviser | | | (418 | ) |
Total waived/reimbursed expenses | | | (65,795 | ) |
Net expenses | | | 2,579,097 | |
Net investment income | | | 1,235,247 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | $ | 17,998,324 | |
Investments sold short | | | (1,267,381 | ) |
Swap agreements | | | (2,430,728 | ) |
Net realized gain | | | 14,300,215 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 28,054,694 | |
Investments sold short | | | (676,390 | ) |
Swap agreements | | | 5,343,285 | |
Net change in unrealized appreciation (depreciation) | | | 32,721,589 | |
Net realized and unrealized gain | | | 47,021,804 | |
Net increase in net assets resulting from operations | | $ | 48,257,051 | |
* | 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 SEMI-ANNUAL REPORT | 57 |
RISK MANAGED REAL ESTATE FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,235,247 | | | $ | 4,849,203 | |
Net realized gain on investments | | | 14,300,215 | | | | 36,168,078 | |
Net change in unrealized appreciation (depreciation) on investments | | | 32,721,589 | | | | 70,710,201 | |
Net increase in net assets resulting from operations | | | 48,257,051 | | | | 111,727,482 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (567,053 | ) | | | (933,838 | ) |
C-Class | | | (244,186 | ) | | | (188,880 | ) |
P-Class | | | (787,140 | ) | | | (868,263 | ) |
Institutional Class | | | (26,321,981 | ) | | | (24,055,000 | ) |
Total distributions to shareholders | | | (27,920,360 | ) | | | (26,045,981 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 3,160,824 | | | | 6,697,124 | |
C-Class | | | 2,311,210 | | | | 2,849,191 | |
P-Class | | | 13,120,276 | | | | 8,994,214 | |
Institutional Class | | | 108,704,083 | | | | 169,214,784 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 426,982 | | | | 902,695 | |
C-Class | | | 231,110 | | | | 176,660 | |
P-Class | | | 787,140 | | | | 868,263 | |
Institutional Class | | | 24,104,052 | | | | 19,938,359 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (1,843,036 | ) | | | (14,900,087 | ) |
C-Class | | | (983,829 | ) | | | (1,002,677 | ) |
P-Class | | | (10,835,557 | ) | | | (10,004,722 | ) |
Institutional Class | | | (78,723,147 | ) | | | (95,198,371 | ) |
Net increase from capital share transactions | | | 60,460,108 | | | | 88,535,433 | |
Net increase in net assets | | | 80,796,799 | | | | 174,216,934 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 495,223,672 | | | | 321,006,738 | |
End of period | | $ | 576,020,471 | | | $ | 495,223,672 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 80,755 | | | | 196,140 | |
C-Class | | | 60,634 | | | | 79,979 | |
P-Class | | | 329,233 | | | | 264,152 | |
Institutional Class | | | 2,758,250 | | | | 5,109,785 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 10,506 | | | | 29,406 | |
C-Class | | | 5,729 | | | | 5,791 | |
P-Class | | | 19,268 | | | | 27,797 | |
Institutional Class | | | 585,481 | | | | 626,369 | |
Shares redeemed | | | | | | | | |
A-Class | | | (48,080 | ) | | | (480,725 | ) |
C-Class | | | (25,122 | ) | | | (30,402 | ) |
P-Class | | | (282,415 | ) | | | (295,005 | ) |
Institutional Class | | | (2,034,074 | ) | | | (2,852,113 | ) |
Net increase in shares | | | 1,460,165 | | | | 2,681,174 | |
58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RISK MANAGED REAL ESTATE 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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 36.87 | | | $ | 29.97 | | | $ | 34.11 | | | $ | 28.93 | | | $ | 29.70 | | | $ | 28.87 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .03 | | | | .32 | | | | .31 | | | | .34 | | | | .41 | | | | .03 | |
Net gain (loss) on investments (realized and unrealized) | | | 3.65 | | | | 8.86 | | | | (2.53 | ) | | | 5.65 | | | | .38 | | | | 2.08 | |
Total from investment operations | | | 3.68 | | | | 9.18 | | | | (2.22 | ) | | | 5.99 | | | | .79 | | | | 2.11 | |
Less distributions from: |
Net investment income | | | (.22 | ) | | | (.54 | ) | | | (.63 | ) | | | (.55 | ) | | | (.52 | ) | | | (.57 | ) |
Net realized gains | | | (1.72 | ) | | | (1.74 | ) | | | (1.29 | ) | | | (.26 | ) | | | (1.04 | ) | | | (.71 | ) |
Total distributions | | | (1.94 | ) | | | (2.28 | ) | | | (1.92 | ) | | | (.81 | ) | | | (1.56 | ) | | | (1.28 | ) |
Net asset value, end of period | | $ | 38.61 | | | $ | 36.87 | | | $ | 29.97 | | | $ | 34.11 | | | $ | 28.93 | | | $ | 29.70 | |
|
Total Returnc | | | 9.74 | % | | | 32.13 | % | | | (6.73 | %) | | | 21.12 | % | | | 2.70 | % | | | 7.54 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 12,242 | | | $ | 10,098 | | | $ | 15,857 | | | $ | 16,682 | | | $ | 13,772 | | | $ | 2,196 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.18 | % | | | 0.95 | % | | | 0.99 | % | | | 1.09 | % | | | 1.42 | % | | | 0.09 | % |
Total expensesd | | | 1.25 | % | | | 1.39 | % | | | 1.71 | % | | | 1.89 | % | | | 1.78 | % | | | 1.45 | % |
Net expensese,f,g | | | 1.21 | % | | | 1.38 | % | | | 1.70 | % | | | 1.88 | % | | | 1.76 | % | | | 1.33 | % |
Portfolio turnover rate | | | 27 | % | | | 80 | % | | | 180 | % | | | 122 | % | | | 107 | % | | | 85 | % |
C-Class | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 36.55 | | | $ | 29.76 | | | $ | 33.88 | | | $ | 28.75 | | | $ | 29.54 | | | $ | 28.77 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.10 | ) | | | .05 | | | | .08 | | | | .11 | | | | .15 | | | | (.19 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 3.61 | | | | 8.76 | | | | (2.53 | ) | | | 5.60 | | | | .42 | | | | 2.06 | |
Total from investment operations | | | 3.51 | | | | 8.81 | | | | (2.45 | ) | | | 5.71 | | | | .57 | | | | 1.87 | |
Less distributions from: |
Net investment income | | | (.09 | ) | | | (.28 | ) | | | (.38 | ) | | | (.32 | ) | | | (.32 | ) | | | (.39 | ) |
Net realized gains | | | (1.72 | ) | | | (1.74 | ) | | | (1.29 | ) | | | (.26 | ) | | | (1.04 | ) | | | (.71 | ) |
Total distributions | | | (1.81 | ) | | | (2.02 | ) | | | (1.67 | ) | | | (.58 | ) | | | (1.36 | ) | | | (1.10 | ) |
Net asset value, end of period | | $ | 38.25 | | | $ | 36.55 | | | $ | 29.76 | | | $ | 33.88 | | | $ | 28.75 | | | $ | 29.54 | |
|
Total Returnc | | | 9.32 | % | | | 31.05 | % | | | (7.48 | %) | | | 20.23 | % | | | 1.93 | % | | | 6.71 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 6,841 | | | $ | 5,029 | | | $ | 2,446 | | | $ | 1,721 | | | $ | 867 | | | $ | 725 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.51 | %) | | | 0.16 | % | | | 0.26 | % | | | 0.35 | % | | | 0.53 | % | | | (0.66 | %) |
Total expensesd | | | 1.98 | % | | | 2.21 | % | | | 2.54 | % | | | 2.73 | % | | | 2.71 | % | | | 2.27 | % |
Net expensese,f,g | | | 1.94 | % | | | 2.20 | % | | | 2.51 | % | | | 2.65 | % | | | 2.53 | % | | | 2.08 | % |
Portfolio turnover rate | | | 27 | % | | | 80 | % | | | 180 | % | | | 122 | % | | | 107 | % | | | 85 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 59 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 37.04 | | | $ | 30.12 | | | $ | 34.30 | | | $ | 29.09 | | | $ | 29.85 | | | $ | 29.01 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | — | h | | | .29 | | | | .22 | | | | .60 | | | | .37 | | | | .13 | |
Net gain (loss) on investments (realized and unrealized) | | | 3.68 | | | | 8.91 | | | | (2.48 | ) | | | 5.42 | | | | .43 | | | | 1.98 | |
Total from investment operations | | | 3.68 | | | | 9.20 | | | | (2.26 | ) | | | 6.02 | | | | .80 | | | | 2.11 | |
Less distributions from: |
Net investment income | | | (.20 | ) | | | (.54 | ) | | | (.63 | ) | | | (.55 | ) | | | (.52 | ) | | | (.56 | ) |
Net realized gains | | | (1.72 | ) | | | (1.74 | ) | | | (1.29 | ) | | | (.26 | ) | | | (1.04 | ) | | | (.71 | ) |
Total distributions | | | (1.92 | ) | | | (2.28 | ) | | | (1.92 | ) | | | (.81 | ) | | | (1.56 | ) | | | (1.27 | ) |
Net asset value, end of period | | $ | 38.80 | | | $ | 37.04 | | | $ | 30.12 | | | $ | 34.30 | | | $ | 29.09 | | | $ | 29.85 | |
|
Total Return | | | 9.69 | % | | | 32.03 | % | | | (6.81 | %) | | | 21.12 | % | | | 2.68 | % | | | 7.53 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 18,101 | | | $ | 14,830 | | | $ | 12,152 | | | $ | 33,894 | | | $ | 4,217 | | | $ | 2,564 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.01 | % | | | 0.86 | % | | | 0.70 | % | | | 1.87 | % | | | 1.29 | % | | | 0.42 | % |
Total expensesd | | | 1.33 | % | | | 1.47 | % | | | 1.84 | % | | | 1.93 | % | | | 1.88 | % | | | 1.51 | % |
Net expensese,f,g | | | 1.29 | % | | | 1.45 | % | | | 1.78 | % | | | 1.89 | % | | | 1.78 | % | | | 1.30 | % |
Portfolio turnover rate | | | 27 | % | | | 80 | % | | | 180 | % | | | 122 | % | | | 107 | % | | | 85 | % |
60 | THE GUGGENHEIM FUNDS SEMI-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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 37.34 | | | $ | 30.34 | | | $ | 34.51 | | | $ | 29.27 | | | $ | 30.04 | | | $ | 29.18 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .09 | | | | .41 | | | | .41 | | | | .43 | | | | .46 | | | | .11 | |
Net gain (loss) on investments (realized and unrealized) | | | 3.70 | | | | 8.98 | | | | (2.58 | ) | | | 5.71 | | | | .43 | | | | 2.10 | |
Total from investment operations | | | 3.79 | | | | 9.39 | | | | (2.17 | ) | | | 6.14 | | | | .89 | | | | 2.21 | |
Less distributions from: |
Net investment income | | | (.28 | ) | | | (.65 | ) | | | (.71 | ) | | | (.64 | ) | | | (.62 | ) | | | (.64 | ) |
Net realized gains | | | (1.72 | ) | | | (1.74 | ) | | | (1.29 | ) | | | (.26 | ) | | | (1.04 | ) | | | (.71 | ) |
Total distributions | | | (2.00 | ) | | | (2.39 | ) | | | (2.00 | ) | | | (.90 | ) | | | (1.66 | ) | | | (1.35 | ) |
Net asset value, end of period | | $ | 39.13 | | | $ | 37.34 | | | $ | 30.34 | | | $ | 34.51 | | | $ | 29.27 | | | $ | 30.04 | |
|
Total Return | | | 9.88 | % | | | 32.52 | % | | | (6.48 | %) | | | 21.46 | % | | | 2.98 | % | | | 7.87 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 538,837 | | | $ | 465,267 | | | $ | 290,551 | | | $ | 200,301 | | | $ | 154,245 | | | $ | 123,037 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.48 | % | | | 1.18 | % | | | 1.31 | % | | | 1.38 | % | | | 1.56 | % | | | 0.38 | % |
Total expensesd | | | 0.93 | % | | | 1.10 | % | | | 1.43 | % | | | 1.61 | % | | | 1.51 | % | | | 1.02 | % |
Net expensese,f,g | | | 0.91 | % | | | 1.10 | % | | | 1.43 | % | | | 1.60 | % | | | 1.50 | % | | | 1.01 | % |
Portfolio turnover rate | | | 27 | % | | | 80 | % | | | 180 | % | | | 122 | % | | | 107 | % | | | 85 | % |
a | Unaudited figures for the period ended March 31, 2022. 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 | 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 periods presented was as follows: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 0.03% | 0.01% | 0.02% | 0.03% | 0.03% | 0.02% |
| | C-Class | 0.03% | 0.06% | 0.04% | 0.01% | 0.01% | 0.00%* |
| | P-Class | 0.07% | 0.06% | 0.02% | 0.02% | 0.01% | 0.00%* |
| | Institutional Class | 0.01% | 0.00%* | 0.01% | 0.01% | 0.02% | — |
g | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods presented would be: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 1.20% | 1.21% | 1.23% | 1.27% | 1.29% | 1.30% |
| | C-Class | 1.93% | 2.04% | 2.05% | 2.05% | 2.05% | 2.04% |
| | P-Class | 1.28% | 1.29% | 1.30% | 1.30% | 1.30% | 1.29% |
| | Institutional Class | 0.91% | 0.94% | 0.96% | 1.00% | 1.03% | 0.97% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 61 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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 |
Pioneer Natural Resources Co. | 3.9% |
iShares Russell 2000 Value ETF | 2.8% |
Black Hills Corp. | 1.8% |
LXP Industrial Trust | 1.7% |
Huntsman Corp. | 1.6% |
First Horizon Corp. | 1.6% |
GATX Corp. | 1.5% |
H&E Equipment Services, Inc. | 1.4% |
Physicians Realty Trust | 1.4% |
CNX Resources Corp. | 1.4% |
Top Ten Total | 19.1% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 5.91% | 6.31% | 6.99% | 8.34% |
A-Class Shares with sales charge‡ | 0.90% | 1.27% | 5.96% | 7.81% |
C-Class Shares | 5.57% | 5.57% | 6.19% | 7.53% |
C-Class Shares with CDSC§ | 4.57% | 4.57% | 6.19% | 7.53% |
Institutional Class Shares | 6.08% | 6.60% | 7.25% | 8.59% |
Russell 2000 Value Index | 1.85% | 3.32% | 8.57% | 10.54% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(05/01/15) |
P-Class Shares | 5.93% | 6.32% | 7.00% | 7.30% |
Russell 2000 Value Index | 1.85% | 3.32% | 8.57% | 9.17% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | 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 SEMI-ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
SMALL CAP VALUE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 93.2% |
| | | | | | | | | |
Financial - 26.8% |
LXP Industrial Trust REIT | | | 7,952 | | | $ | 124,846 | |
First Horizon Corp. | | | 5,079 | | | | 119,306 | |
Physicians Realty Trust REIT | | | 6,064 | | | | 106,363 | |
Prosperity Bancshares, Inc. | | | 1,480 | | | | 102,683 | |
Unum Group | | | 3,204 | | | | 100,958 | |
CNO Financial Group, Inc. | | | 3,966 | | | | 99,507 | |
Cathay General Bancorp | | | 2,143 | | | | 95,899 | |
Hanmi Financial Corp. | | | 3,541 | | | | 87,144 | |
BOK Financial Corp. | | | 817 | | | | 76,757 | |
Investors Bancorp, Inc. | | | 5,025 | | | | 75,023 | |
STAG Industrial, Inc. REIT | | | 1,776 | | | | 73,438 | |
Stifel Financial Corp. | | | 1,057 | | | | 71,770 | |
Axis Capital Holdings Ltd. | | | 1,106 | | | | 66,880 | |
Hancock Whitney Corp. | | | 1,273 | | | | 66,387 | |
Simmons First National Corp. — Class A | | | 2,450 | | | | 64,239 | |
MGIC Investment Corp. | | | 4,422 | | | | 59,918 | |
Apple Hospitality REIT, Inc. | | | 2,954 | | | | 53,083 | |
Flagstar Bancorp, Inc. | | | 1,183 | | | | 50,159 | |
Virtu Financial, Inc. — Class A | | | 1,322 | | | | 49,205 | |
Independent Bank Group, Inc. | | | 658 | | | | 46,823 | |
Kennedy-Wilson Holdings, Inc. | | | 1,884 | | | | 45,951 | |
Zions Bancorp North America | | | 686 | | | | 44,974 | |
Old Republic International Corp. | | | 1,688 | | | | 43,668 | |
Sunstone Hotel Investors, Inc. REIT* | | | 3,446 | | | | 40,594 | |
Piedmont Office Realty Trust, Inc. — Class A REIT | | | 2,297 | | | | 39,554 | |
Park Hotels & Resorts, Inc. REIT | | | 1,923 | | | | 37,556 | |
Heartland Financial USA, Inc. | | | 764 | | | | 36,542 | |
First Hawaiian, Inc. | | | 1,283 | | | | 35,783 | |
Trustmark Corp. | | | 1,088 | | | | 33,065 | |
RMR Group, Inc. — Class A | | | 797 | | | | 24,787 | |
Heritage Insurance Holdings, Inc. | | | 2,992 | | | | 21,363 | |
Total Financial | | | | | | | 1,994,225 | |
| | | | | | | | | |
Industrial - 21.9% |
GATX Corp. | | | 917 | | | | 113,094 | |
Kirby Corp.* | | | 1,448 | | | | 104,531 | |
MDU Resources Group, Inc. | | | 3,765 | | | | 100,337 | |
Littelfuse, Inc. | | | 384 | | | | 95,773 | |
Graphic Packaging Holding Co. | | | 4,240 | | | | 84,970 | |
Colfax Corp.* | | | 2,135 | | | | 84,952 | |
Knight-Swift Transportation Holdings, Inc. | | | 1,594 | | | | 80,433 | |
Sanmina Corp.* | | | 1,906 | | | | 77,040 | |
Valmont Industries, Inc. | | | 313 | | | | 74,682 | |
Terex Corp. | | | 1,912 | | | | 68,182 | |
Arcosa, Inc. | | | 1,160 | | | | 66,410 | |
Curtiss-Wright Corp. | | | 394 | | | | 59,163 | |
Daseke, Inc.* | | | 5,826 | | | | 58,668 | |
Zurn Water Solutions Corp. | | | 1,594 | | | | 56,427 | |
Altra Industrial Motion Corp. | | | 1,286 | | | | 50,064 | |
Energizer Holdings, Inc. | | | 1,581 | | | | 48,632 | |
PGT Innovations, Inc.* | | | 2,617 | | | | 47,054 | |
Stoneridge, Inc.* | | | 2,059 | | | | 42,745 | |
Moog, Inc. — Class A | | | 465 | | | | 40,827 | |
Owens Corning | | | 400 | | | | 36,600 | |
Park Aerospace Corp. | | | 2,688 | | | | 35,078 | |
Advanced Energy Industries, Inc. | | | 384 | | | | 33,055 | |
EnerSys | | | 441 | | | | 32,885 | |
Belden, Inc. | | | 570 | | | | 31,578 | |
Plexus Corp.* | | | 378 | | | | 30,924 | |
Kennametal, Inc. | | | 1,077 | | | | 30,813 | |
ChargePoint Holdings, Inc.* | | | 1,362 | | | | 27,077 | |
Smith-Midland Corp.* | | | 939 | | | | 16,667 | |
Total Industrial | | | | | | | 1,628,661 | |
| | | | | | | | | |
Consumer, Cyclical - 12.0% |
H&E Equipment Services, Inc. | | | 2,462 | | | | 107,146 | |
Methode Electronics, Inc. | | | 2,092 | | | | 90,479 | |
Avient Corp. | | | 1,803 | | | | 86,544 | |
MSC Industrial Direct Company, Inc. — Class A | | | 834 | | | | 71,065 | |
Alaska Air Group, Inc.* | | | 1,224 | | | | 71,004 | |
Tenneco, Inc. — Class A* | | | 3,534 | | | | 64,743 | |
Whirlpool Corp. | | | 365 | | | | 63,065 | |
Hawaiian Holdings, Inc.* | | | 3,183 | | | | 62,705 | |
Meritage Homes Corp.* | | | 592 | | | | 46,904 | |
Lakeland Industries, Inc.* | | | 2,166 | | | | 41,566 | |
Rush Enterprises, Inc. — Class A | | | 710 | | | | 36,146 | |
Marriott Vacations Worldwide Corp. | | | 219 | | | | 34,536 | |
Macy’s, Inc. | | | 1,302 | | | | 31,717 | |
Newell Brands, Inc. | | | 1,428 | | | | 30,573 | |
Leggett & Platt, Inc. | | | 876 | | | | 30,485 | |
Dana, Inc. | | | 1,551 | | | | 27,251 | |
Total Consumer, Cyclical | | | | | | | 895,929 | |
| | | | | | | | | |
Energy - 8.7% |
Pioneer Natural Resources Co. | | | 1,159 | | | | 289,785 | |
CNX Resources Corp.* | | | 5,066 | | | | 104,967 | |
Equities Corp. | | | 2,839 | | | | 97,690 | |
Chesapeake Energy Corp. | | | 964 | | | | 83,868 | |
Patterson-UTI Energy, Inc. | | | 4,489 | | | | 69,490 | |
Total Energy | | | | | | | 645,800 | |
| | | | | | | | | |
Consumer, Non-cyclical - 6.0% |
Encompass Health Corp. | | | 1,366 | | | | 97,137 | |
Ingredion, Inc. | | | 966 | | | | 84,187 | |
Central Garden & Pet Co. — Class A* | | | 1,632 | | | | 66,553 | |
US Foods Holding Corp.* | | | 1,618 | | | | 60,885 | |
Integer Holdings Corp.* | | | 637 | | | | 51,323 | |
Pacira BioSciences, Inc.* | | | 596 | | | | 45,487 | |
Perdoceo Education Corp.* | | | 2,215 | | | | 25,428 | |
Emergent BioSolutions, Inc.* | | | 454 | | | | 18,641 | |
Total Consumer, Non-cyclical | | | | | | | 449,641 | |
| | | | | | | | | |
Utilities - 4.7% |
Black Hills Corp. | | | 1,716 | | | | 132,166 | |
OGE Energy Corp. | | | 1,925 | | | | 78,501 | |
Spire, Inc. | | | 714 | | | | 51,237 | |
ALLETE, Inc. | | | 710 | | | | 47,556 | |
Avista Corp. | | | 931 | | | | 42,035 | |
Total Utilities | | | | | | | 351,495 | |
64 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
SMALL CAP VALUE FUND | |
| | Shares | | | Value | |
| | | | | | | | | |
Basic Materials - 4.7% |
Huntsman Corp. | | | 3,206 | | | $ | 120,257 | |
Reliance Steel & Aluminum Co. | | | 396 | | | | 72,607 | |
Ashland Global Holdings, Inc. | | | 645 | | | | 63,474 | |
Element Solutions, Inc. | | | 2,441 | | | | 53,458 | |
Commercial Metals Co. | | | 992 | | | | 41,287 | |
Total Basic Materials | | | | | | | 351,083 | |
| | | | | | | | | |
Technology - 4.3% |
Science Applications International Corp. | | | 908 | | | | 83,690 | |
DXC Technology Co.* | | | 2,413 | | | | 78,736 | |
Conduent, Inc.* | | | 10,165 | | | | 52,452 | |
Amkor Technology, Inc. | | | 2,356 | | | | 51,172 | |
Evolent Health, Inc. — Class A* | | | 1,566 | | | | 50,582 | |
Total Technology | | | | | | | 316,632 | |
| | | | | | | | | |
Communications - 4.1% |
TEGNA, Inc. | | | 3,891 | | | | 87,158 | |
Infinera Corp.* | | | 9,868 | | | | 85,556 | |
Ciena Corp.* | | | 1,008 | | | | 61,115 | |
Gray Television, Inc. | | | 2,657 | | | | 58,640 | |
Audacy, Inc.* | | | 5,002 | | | | 14,456 | |
Total Communications | | | | | | | 306,925 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $5,745,304) | | | | | | | 6,940,391 | |
| | | | | | | | | |
CONVERTIBLE PREFERRED STOCKS††† - 0.0% |
Industrial - 0.0% |
Thermoenergy Corp.*,1 | | | 6,250 | | | | — | |
| | | | | | | | | |
Total Convertible Preferred Stocks | | | | |
(Cost $5,968) | | | | | | | — | |
| | | | | | | | | |
RIGHTS† - 0.2% |
Basic Materials - 0.2% |
Pan American Silver Corp.* | | | 17,705 | | | | 14,872 | |
Total Rights | | | | |
(Cost $—) | | | | | | | 14,872 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 2.9% |
iShares Russell 2000 Value ETF | | | 1,306 | | | | 210,788 | |
Total Exchange-Traded Funds | | | | |
(Cost $214,893) | | | | | | | 210,788 | |
| | | | | | | | | |
MONEY MARKET FUND† - 3.2% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%2 | | | 240,772 | | | | 240,772 | |
Total Money Market Fund | | | | |
(Cost $240,772) | | | | | | | 240,772 | |
| | | | | | | | | |
Total Investments - 99.5% | | | | |
(Cost $6,206,937) | | $ | 7,406,823 | |
Other Assets & Liabilities, net - 0.5% | | | 38,495 | |
Total Net Assets - 100.0% | | $ | 7,445,318 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 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 March 31, 2022. |
| | 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 March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 6,940,391 | | | $ | — | | | $ | — | | | $ | 6,940,391 | |
Convertible Preferred Stocks | | | — | | | | — | | | | — | * | | | — | |
Rights | | | 14,872 | | | | — | | | | — | | | | 14,872 | |
Exchange-Traded Funds | | | 210,788 | | | | — | | | | — | | | | 210,788 | |
Money Market Fund | | | 240,772 | | | | — | | | | — | | | | 240,772 | |
Total Assets | | $ | 7,406,823 | | | $ | — | | | $ | — | | | $ | 7,406,823 | |
* | Security has a market value of $0. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
March 31, 2022 |
Assets: |
Investments, at value (cost $6,206,937) | | $ | 7,406,823 | |
Prepaid expenses | | | 38,306 | |
Receivables: |
Fund shares sold | | | 12,293 | |
Dividends | | | 10,641 | |
Investment Adviser | | | 6,774 | |
Securities sold | | | 2,635 | |
Interest | | | 16 | |
Total assets | | | 7,477,488 | |
| | | | | |
Liabilities: |
Payable for: |
Professional fees | | | 11,178 | |
Printing fees | | | 8,604 | |
Fund accounting/administration fees | | | 4,371 | |
Transfer agent/maintenance fees | | | 3,969 | |
Distribution and service fees | | | 1,538 | |
Trustees’ fees* | | | 542 | |
Fund shares redeemed | | | 3 | |
Miscellaneous | | | 1,965 | |
Total liabilities | | | 32,170 | |
Net assets | | $ | 7,445,318 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 5,981,926 | |
Total distributable earnings (loss) | | | 1,463,392 | |
Net assets | | $ | 7,445,318 | |
| | | | | |
A-Class: |
Net assets | | $ | 4,695,652 | |
Capital shares outstanding | | | 279,468 | |
Net asset value per share | | $ | 16.80 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 17.64 | |
| | | | | |
C-Class: |
Net assets | | $ | 604,512 | |
Capital shares outstanding | | | 39,489 | |
Net asset value per share | | $ | 15.31 | |
| | | | | |
P-Class: |
Net assets | | $ | 59,228 | |
Capital shares outstanding | | | 3,498 | |
Net asset value per share | | $ | 16.93 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 2,085,926 | |
Capital shares outstanding | | | 137,830 | |
Net asset value per share | | $ | 15.13 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended March 31, 2022 |
Investment Income: |
Dividends | | $ | 66,946 | |
Interest | | | 29 | |
Total investment income | | | 66,975 | |
| | | | | |
Expenses: |
Management fees | | | 27,182 | |
Distribution and service fees: |
A-Class | | | 5,742 | |
C-Class | | | 3,649 | |
P-Class | | | 69 | |
Transfer agent/maintenance fees: |
A-Class | | | 9,593 | |
C-Class | | | 2,222 | |
P-Class | | | 215 | |
Institutional Class | | | 3,728 | |
Registration fees | | | 32,165 | |
Fund accounting/administration fees | | | 17,075 | |
Professional fees | | | 13,257 | |
Trustees’ fees* | | | 5,776 | |
Custodian fees | | | 1,713 | |
Line of credit fees | | | 107 | |
Miscellaneous | | | 3,210 | |
Total expenses | | | 125,703 | |
Less: |
Expenses reimbursed by Adviser: |
A-Class | | | (31,902 | ) |
C-Class | | | (5,829 | ) |
P-Class | | | (481 | ) |
Institutional-Class | | | (12,687 | ) |
Expenses waived by Adviser | | | (27,182 | ) |
Total waived/reimbursed expenses | | | (78,081 | ) |
Net expenses | | | 47,622 | |
Net investment income | | | 19,353 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 396,620 | |
Net realized gain | | | 396,620 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (6,341 | ) |
Net change in unrealized appreciation (depreciation) | | | (6,341 | ) |
Net realized and unrealized gain | | | 390,279 | |
Net increase in net assets resulting from operations | | $ | 409,632 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 19,353 | | | $ | 29,932 | |
Net realized gain on investments | | | 396,620 | | | | 781,131 | |
Net change in unrealized appreciation (depreciation) on investments | | | (6,341 | ) | | | 1,804,257 | |
Net increase in net assets resulting from operations | | | 409,632 | | | | 2,615,320 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (18,984 | ) | | | (36,090 | ) |
C-Class | | | (3,436 | ) | | | — | |
P-Class | | | (229 | ) | | | (472 | ) |
Institutional Class | | | (8,467 | ) | | | (13,445 | ) |
Total distributions to shareholders | | | (31,116 | ) | | | (50,007 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 310,939 | | | | 552,766 | |
C-Class | | | 32,770 | | | | 132,046 | |
P-Class | | | 7,336 | | | | 11,399 | |
Institutional Class | | | 618,384 | | | | 716,219 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 18,496 | | | | 35,259 | |
C-Class | | | 3,410 | | | | — | |
P-Class | | | 217 | | | | 472 | |
Institutional Class | | | 8,467 | | | | 13,445 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (405,549 | ) | | | (1,108,297 | ) |
C-Class | | | (227,159 | ) | | | (507,467 | ) |
P-Class | | | (419 | ) | | | (1,829 | ) |
Institutional Class | | | (153,628 | ) | | | (629,091 | ) |
Net increase (decrease) from capital share transactions | | | 213,264 | | | | (785,078 | ) |
Net increase in net assets | | | 591,780 | | | | 1,780,235 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 6,853,538 | | | | 5,073,303 | |
End of period | | $ | 7,445,318 | | | $ | 6,853,538 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 18,992 | | | | 36,752 | |
C-Class | | | 2,209 | | | | 10,139 | |
P-Class | | | 436 | | | | 720 | |
Institutional Class | | | 41,562 | | | | 55,173 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 1,152 | | | | 2,669 | |
C-Class | | | 233 | | | | — | |
P-Class | | | 13 | | | | 35 | |
Institutional Class | | | 586 | | | | 1,133 | |
Shares redeemed | | | | | | | | |
A-Class | | | (24,517 | ) | | | (75,105 | ) |
C-Class | | | (15,238 | ) | | | (36,767 | ) |
P-Class | | | (24 | ) | | | (115 | ) |
Institutional Class | | | (10,477 | ) | | | (43,634 | ) |
Net increase (decrease) in shares | | | 14,927 | | | | (49,000 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 67 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 15.93 | | | $ | 10.61 | | | $ | 12.86 | | | $ | 15.56 | | | $ | 15.74 | | | $ | 13.61 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .04 | | | | .07 | | | | .06 | | | | .10 | | | | .04 | | | | .02 | |
Net gain (loss) on investments (realized and unrealized) | | | .90 | | | | 5.37 | | | | (1.87 | ) | | | (1.28 | ) | | | .91 | | | | 2.20 | |
Total from investment operations | | | .94 | | | | 5.44 | | | | (1.81 | ) | | | (1.18 | ) | | | .95 | | | | 2.22 | |
Less distributions from: |
Net investment income | | | — | | | | (.12 | ) | | | (.18 | ) | | | (.19 | ) | | | (.15 | ) | | | (.09 | ) |
Net realized gains | | | (.07 | ) | | | — | | | | (.26 | ) | | | (1.33 | ) | | | (.98 | ) | | | — | |
Total distributions | | | (.07 | ) | | | (.12 | ) | | | (.44 | ) | | | (1.52 | ) | | | (1.13 | ) | | | (.09 | ) |
Net asset value, end of period | | $ | 16.80 | | | $ | 15.93 | | | $ | 10.61 | | | $ | 12.86 | | | $ | 15.56 | | | $ | 15.74 | |
|
Total Returnc | | | 5.91 | % | | | 51.48 | % | | | (14.79 | %) | | | (6.14 | %) | | | 6.32 | % | | | 16.41 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,696 | | | $ | 4,521 | | | $ | 3,390 | | | $ | 9,751 | | | $ | 11,931 | | | $ | 11,943 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.54 | % | | | 0.47 | % | | | 0.54 | % | | | 0.75 | % | | | 0.29 | % | | | 0.15 | % |
Total expensesd | | | 3.44 | % | | | 4.07 | % | | | 3.23 | % | | | 2.27 | % | | | 2.09 | % | | | 1.87 | % |
Net expensese,f,g | | | 1.30 | % | | | 1.30 | % | | | 1.30 | % | | | 1.30 | % | | | 1.30 | % | | | 1.32 | % |
Portfolio turnover rate | | | 20 | % | | | 28 | % | | | 40 | % | | | 78 | % | | | 18 | % | | | 48 | % |
C-Class | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 14.57 | | | $ | 9.69 | | | $ | 11.75 | | | $ | 14.30 | | | $ | 14.51 | | | $ | 12.57 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.02 | ) | | | (.03 | ) | | | (.02 | ) | | | — | h | | | (.07 | ) | | | (.08 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .83 | | | | 4.91 | | | | (1.73 | ) | | | (1.18 | ) | | | .84 | | | | 2.02 | |
Total from investment operations | | | .81 | | | | 4.88 | | | | (1.75 | ) | | | (1.18 | ) | | | .77 | | | | 1.94 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.05 | ) | | | (.04 | ) | | | — | | | | — | |
Net realized gains | | | (.07 | ) | | | — | | | | (.26 | ) | | | (1.33 | ) | | | (.98 | ) | | | — | |
Total distributions | | | (.07 | ) | | | — | | | | (.31 | ) | | | (1.37 | ) | | | (.98 | ) | | | — | |
Net asset value, end of period | | $ | 15.31 | | | $ | 14.57 | | | $ | 9.69 | | | $ | 11.75 | | | $ | 14.30 | | | $ | 14.51 | |
|
Total Returnc | | | 5.57 | % | | | 50.36 | % | | | (15.43 | %) | | | (6.89 | %) | | | 5.57 | % | | | 15.53 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 605 | | | $ | 762 | | | $ | 765 | | | $ | 1,593 | | | $ | 2,884 | | | $ | 4,281 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.26 | %) | | | (0.25 | %) | | | (0.14 | %) | | | 0.01 | % | | | (0.50 | %) | | | (0.60 | %) |
Total expensesd | | | 4.40 | % | | | 5.04 | % | | | 4.33 | % | | | 3.09 | % | | | 2.94 | % | | | 2.71 | % |
Net expensese,f,g | | | 2.05 | % | | | 2.05 | % | | | 2.06 | % | | | 2.05 | % | | | 2.05 | % | | | 2.07 | % |
Portfolio turnover rate | | | 20 | % | | | 28 | % | | | 40 | % | | | 78 | % | | | 18 | % | | | 48 | % |
68 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 16.05 | | | $ | 10.75 | | | $ | 13.01 | | | $ | 15.73 | | | $ | 15.76 | | | $ | 13.60 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .05 | | | | .07 | | | | .05 | | | | .09 | | | | .05 | | | | .01 | |
Net gain (loss) on investments (realized and unrealized) | | | .90 | | | | 5.42 | | | | (1.86 | ) | | | (1.29 | ) | | | .90 | | | | 2.22 | |
Total from investment operations | | | .95 | | | | 5.49 | | | | (1.81 | ) | | | (1.20 | ) | | | .95 | | | | 2.23 | |
Less distributions from: |
Net investment income | | | — | | | | (.19 | ) | | | (.19 | ) | | | (.19 | ) | | | — | | | | (.07 | ) |
Net realized gains | | | (.07 | ) | | | — | | | | (.26 | ) | | | (1.33 | ) | | | (.98 | ) | | | — | |
Total distributions | | | (.07 | ) | | | (.19 | ) | | | (.45 | ) | | | (1.52 | ) | | | (.98 | ) | | | (.07 | ) |
Net asset value, end of period | | $ | 16.93 | | | $ | 16.05 | | | $ | 10.75 | | | $ | 13.01 | | | $ | 15.73 | | | $ | 15.76 | |
|
Total Return | | | 5.93 | % | | | 51.46 | % | | | (14.66 | %) | | | (6.18 | %) | | | 6.30 | % | | | 16.35 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 59 | | | $ | 49 | | | $ | 26 | | | $ | 47 | | | $ | 15 | | | $ | 14 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.55 | % | | | 0.48 | % | | | 0.46 | % | | | 0.72 | % | | | 0.30 | % | | | 0.09 | % |
Total expensesd | | | 3.80 | % | | | 4.39 | % | | | 4.07 | % | | | 2.73 | % | | | 2.79 | % | | | 3.60 | % |
Net expensese,f,g | | | 1.31 | % | | | 1.30 | % | | | 1.30 | % | | | 1.28 | % | | | 1.30 | % | | | 1.32 | % |
Portfolio turnover rate | | | 20 | % | | | 28 | % | | | 40 | % | | | 78 | % | | | 18 | % | | | 48 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 69 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 14.33 | | | $ | 9.54 | | | $ | 11.60 | | | $ | 14.24 | | | $ | 14.50 | | | $ | 12.54 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .06 | | | | .10 | | | | .09 | | | | .12 | | | | .07 | | | | .04 | |
Net gain (loss) on investments (realized and unrealized) | | | .81 | | | | 4.81 | | | | (1.68 | ) | | | (1.20 | ) | | | .84 | | | | 2.04 | |
Total from investment operations | | | .87 | | | | 4.91 | | | | (1.59 | ) | | | (1.08 | ) | | | .91 | | | | 2.08 | |
Less distributions from: |
Net investment income | | | — | | | | (.12 | ) | | | (.21 | ) | | | (.23 | ) | | | (.19 | ) | | | (.12 | ) |
Net realized gains | | | (.07 | ) | | | — | | | | (.26 | ) | | | (1.33 | ) | | | (.98 | ) | | | — | |
Total distributions | | | (.07 | ) | | | (.12 | ) | | | (.47 | ) | | | (1.56 | ) | | | (1.17 | ) | | | (.12 | ) |
Net asset value, end of period | | $ | 15.13 | | | $ | 14.33 | | | $ | 9.54 | | | $ | 11.60 | | | $ | 14.24 | | | $ | 14.50 | |
|
Total Return | | | 6.08 | % | | | 51.78 | % | | | (14.54 | %) | | | (5.96 | %) | | | 6.64 | % | | | 16.65 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,086 | | | $ | 1,522 | | | $ | 892 | | | $ | 3,143 | | | $ | 3,798 | | | $ | 4,790 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.82 | % | | | 0.75 | % | | | 0.82 | % | | | 0.99 | % | | | 0.50 | % | | | 0.30 | % |
Total expensesd | | | 3.16 | % | | | 3.80 | % | | | 2.86 | % | | | 2.09 | % | | | 1.91 | % | | | 1.56 | % |
Net expensese,f,g | | | 1.05 | % | | | 1.05 | % | | | 1.05 | % | | | 1.05 | % | | | 1.05 | % | | | 1.07 | % |
Portfolio turnover rate | | | 20 | % | | | 28 | % | | | 40 | % | | | 78 | % | | | 18 | % | | | 48 | % |
a | Unaudited figures for the period ended March 31, 2022. 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 | 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 periods presented was as follows: |
| | | 03/31/22a | 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%* |
g | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods presented would be: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | 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 | 1.31% | 1.30% | 1.30% | 1.30% | 1.30% | 1.30% |
| | Institutional Class | 1.05% | 1.05% | 1.05% | 1.05% | 1.05% | 1.05% |
h | Less than $0.01 per share. |
70 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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 Strategy Fund III | 33.1% |
Guggenheim Strategy Fund II | 27.2% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 20.5% |
Apple, Inc. | 1.3% |
Microsoft Corp. | 1.2% |
Alphabet, Inc. — Class C | 0.6% |
Amazon.com, Inc. | 0.5% |
Meta Platforms, Inc. — Class A | 0.3% |
AbbVie, Inc. | 0.3% |
Merck & Company, Inc. | 0.3% |
Top Ten Total | 85.3% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 71 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 4.25% | 13.24% | 14.49% | 13.25% |
A-Class Shares with sales charge‡ | (0.69%) | 7.84% | 13.38% | 12.70% |
C-Class Shares | 3.76% | 12.16% | 13.45% | 12.20% |
C-Class Shares with CDSC§ | 2.79% | 11.16% | 13.45% | 12.20% |
Institutional Class Shares | 4.37% | 13.45% | 14.76% | 13.52% |
S&P 500 Index | 5.92% | 15.65% | 15.99% | 14.64% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(05/01/15) |
P-Class Shares | 4.18% | 13.08% | 14.34% | 12.66% |
S&P 500 Index | 5.92% | 15.65% | 15.99% | 13.85% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | 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. |
72 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
STYLEPLUS—LARGE CORE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 17.0% |
| | | | | | | | | |
Technology - 4.7% |
Apple, Inc. | | | 19,828 | | | $ | 3,462,167 | |
Microsoft Corp. | | | 9,828 | | | | 3,030,071 | |
Broadcom, Inc. | | | 1,070 | | | | 673,758 | |
Intel Corp. | | | 11,838 | | | | 586,691 | |
International Business Machines Corp. | | | 4,424 | | | | 575,208 | |
QUALCOMM, Inc. | | | 3,439 | | | | 525,548 | |
Akamai Technologies, Inc.* | | | 4,045 | | | | 482,932 | |
HP, Inc. | | | 11,806 | | | | 428,558 | |
Hewlett Packard Enterprise Co. | | | 24,466 | | | | 408,827 | |
NVIDIA Corp. | | | 1,467 | | | | 400,286 | |
Texas Instruments, Inc. | | | 2,172 | | | | 398,518 | |
NetApp, Inc. | | | 4,501 | | | | 373,583 | |
Skyworks Solutions, Inc. | | | 2,696 | | | | 359,323 | |
Seagate Technology Holdings plc | | | 3,510 | | | | 315,549 | |
Advanced Micro Devices, Inc.* | | | 1,573 | | | | 171,992 | |
Total Technology | | | | | | | 12,193,011 | |
| | | | | | | | | |
Consumer, Non-cyclical - 3.8% |
AbbVie, Inc. | | | 4,326 | | | | 701,288 | |
Merck & Company, Inc. | | | 8,504 | | | | 697,753 | |
Bristol-Myers Squibb Co. | | | 8,803 | | | | 642,883 | |
Amgen, Inc. | | | 2,486 | | | | 601,165 | |
Vertex Pharmaceuticals, Inc.* | | | 2,113 | | | | 551,430 | |
Gilead Sciences, Inc. | | | 8,394 | | | | 499,023 | |
Hologic, Inc.* | | | 6,349 | | | | 487,730 | |
Avery Dennison Corp. | | | 2,598 | | | | 451,974 | |
Quest Diagnostics, Inc. | | | 3,299 | | | | 451,501 | |
Laboratory Corporation of America Holdings* | | | 1,698 | | | | 447,695 | |
Pfizer, Inc. | | | 8,592 | | | | 444,808 | |
DaVita, Inc.* | | | 3,895 | | | | 440,563 | |
Waters Corp.* | | | 1,404 | | | | 435,788 | |
Regeneron Pharmaceuticals, Inc.* | | | 615 | | | | 429,528 | |
PerkinElmer, Inc. | | | 2,438 | | | | 425,333 | |
Johnson & Johnson | | | 2,376 | | | | 421,098 | |
Incyte Corp.* | | | 4,395 | | | | 349,051 | |
HCA Healthcare, Inc. | | | 1,329 | | | | 333,074 | |
Philip Morris International, Inc. | | | 3,541 | | | | 332,642 | |
Procter & Gamble Co. | | | 1,389 | | | | 212,239 | |
FleetCor Technologies, Inc.* | | | 746 | | | | 185,799 | |
UnitedHealth Group, Inc. | | | 264 | | | | 134,632 | |
Coca-Cola Co. | | | 1,373 | | | | 85,126 | |
Total Consumer, Non-cyclical | | | | | | | 9,762,123 | |
| | | | | | | | | |
Communications - 2.6% |
Alphabet, Inc. — Class C* | | | 602 | | | | 1,681,380 | |
Amazon.com, Inc.* | | | 423 | | | | 1,378,959 | |
Meta Platforms, Inc. — Class A* | | | 3,528 | | | | 784,486 | |
Cisco Systems, Inc. | | | 12,489 | | | | 696,387 | |
Juniper Networks, Inc. | | | 12,864 | | | | 478,026 | |
Motorola Solutions, Inc. | | | 1,936 | | | | 468,899 | |
VeriSign, Inc.* | | | 2,073 | | | | 461,160 | |
Corning, Inc. | | | 8,702 | | | | 321,191 | |
AT&T, Inc. | | | 8,093 | | | | 191,237 | |
F5, Inc.* | | | 842 | | | | 175,936 | |
Verizon Communications, Inc. | | | 1,569 | | | | 79,925 | |
Total Communications | | | | | | | 6,717,586 | |
| | | | | | | | | |
Financial - 2.1% |
Prudential Financial, Inc. | | | 4,345 | | | | 513,449 | |
PNC Financial Services Group, Inc. | | | 2,725 | | | | 502,626 | |
MetLife, Inc. | | | 7,060 | | | | 496,177 | |
Morgan Stanley | | | 5,597 | | | | 489,178 | |
Raymond James Financial, Inc. | | | 4,344 | | | | 477,394 | |
Everest Re Group Ltd. | | | 1,529 | | | | 460,810 | |
Berkshire Hathaway, Inc. — Class B* | | | 1,168 | | | | 412,199 | |
Visa, Inc. — Class A | | | 1,815 | | | | 402,513 | |
Fifth Third Bancorp | | | 7,586 | | | | 326,501 | |
Citigroup, Inc. | | | 6,098 | | | | 325,633 | |
Travelers Companies, Inc. | | | 1,680 | | | | 306,986 | |
Capital One Financial Corp. | | | 1,405 | | | | 184,463 | |
Aflac, Inc. | | | 2,595 | | | | 167,092 | |
JPMorgan Chase & Co. | | | 930 | | | | 126,778 | |
Bank of America Corp. | | | 3,028 | | | | 124,814 | |
Mastercard, Inc. — Class A | | | 251 | | | | 89,702 | |
Total Financial | | | | | | | 5,406,315 | |
| | | | | | | | | |
Consumer, Cyclical - 1.5% |
Tesla, Inc.* | | | 507 | | | | 546,343 | |
McDonald’s Corp. | | | 2,159 | | | | 533,878 | |
AutoZone, Inc.* | | | 251 | | | | 513,190 | |
Yum! Brands, Inc. | | | 3,929 | | | | 465,704 | |
NVR, Inc.* | | | 90 | | | | 402,055 | |
O’Reilly Automotive, Inc.* | | | 572 | | | | 391,797 | |
Whirlpool Corp. | | | 2,117 | | | | 365,775 | |
Domino’s Pizza, Inc. | | | 479 | | | | 194,958 | |
Home Depot, Inc. | | | 609 | | | | 182,292 | |
Lowe’s Companies, Inc. | | | 758 | | | | 153,260 | |
Bath & Body Works, Inc. | | | 3,153 | | | | 150,713 | |
Total Consumer, Cyclical | | | | | | | 3,899,965 | |
| | | | | | | | | |
Industrial - 1.4% |
3M Co. | | | 3,555 | | | | 529,268 | |
Keysight Technologies, Inc.* | | | 2,974 | | | | 469,803 | |
Dover Corp. | | | 2,894 | | | | 454,068 | |
Sealed Air Corp. | | | 6,525 | | | | 436,914 | |
Snap-on, Inc. | | | 2,097 | | | | 430,892 | |
Masco Corp. | | | 7,977 | | | | 406,827 | |
Lockheed Martin Corp. | | | 785 | | | | 346,499 | |
Otis Worldwide Corp. | | | 4,167 | | | | 320,651 | |
Northrop Grumman Corp. | | | 286 | | | | 127,905 | |
Huntington Ingalls Industries, Inc. | | | 609 | | | | 121,459 | |
Total Industrial | | | | | | | 3,644,286 | |
| | | | | | | | | |
Energy - 0.7% |
Exxon Mobil Corp. | | | 6,421 | | | | 530,310 | |
Williams Companies, Inc. | | | 13,152 | | | | 439,408 | |
Kinder Morgan, Inc. | | | 23,190 | | | | 438,523 | |
Chevron Corp. | | | 1,373 | | | | 223,566 | |
Occidental Petroleum Corp. | | | 2,695 | | | | 152,914 | |
Total Energy | | | | | | | 1,784,721 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
STYLEPLUS—LARGE CORE FUND | |
| | Shares | | | Value | |
Basic Materials - 0.2% |
LyondellBasell Industries N.V. — Class A | | | 4,587 | | | $ | 471,635 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $38,944,617) | | | | | | | 43,879,642 | |
| | | | | | | | | |
MUTUAL FUNDS† - 80.8% |
Guggenheim Strategy Fund III1 | | | 3,457,852 | | | | 85,201,486 | |
Guggenheim Strategy Fund II1 | | | 2,854,584 | | | | 70,080,036 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 5,380,456 | | | | 52,674,664 | |
Total Mutual Funds | | | | |
(Cost $210,817,755) | | | | | | | 207,956,186 | |
| | | | | | | | | |
MONEY MARKET FUND† - 3.6% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%2 | | | 9,249,720 | | | | 9,249,720 | |
Total Money Market Fund | | | | |
(Cost $9,249,720) | | | | | | | 9,249,720 | |
| | | | | | | | | |
Total Investments - 101.4% | | | | |
(Cost $259,012,092) | | $ | 261,085,548 | |
Other Assets & Liabilities, net - (1.4)% | | | (3,613,502 | ) |
Total Net Assets - 100.0% | | $ | 257,472,046 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
S&P 500 Index Mini Futures Contracts | | | 9 | | | | Jun 2022 | | | $ | 2,037,488 | | | $ | 123,019 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Equity Index Swap Agreements†† |
Wells Fargo Bank, N.A. | S&P 500 Total Return Index | Pay | 0.81% (Federal Funds Rate + 0.48%) | At Maturity | 12/28/22 | 22,267 | | $ | 212,123,235 | | | $ | (712,121 | ) |
* | 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 March 31, 2022. |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
74 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
STYLEPLUS—LARGE CORE FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 43,879,642 | | | $ | — | | | $ | — | | | $ | 43,879,642 | |
Mutual Funds | | | 207,956,186 | | | | — | | | | — | | | | 207,956,186 | |
Money Market Fund | | | 9,249,720 | | | | — | | | | — | | | | 9,249,720 | |
Equity Futures Contracts** | | | 123,019 | | | | — | | | | — | | | | 123,019 | |
Total Assets | | $ | 261,208,567 | | | $ | — | | | $ | — | | | $ | 261,208,567 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 712,121 | | | $ | — | | | $ | 712,121 | |
** | 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, 2021, 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/1601445/000182126821000490/gugg83048-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 period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
09/30/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 71,198,274 | | | $ | 7,014,842 | | | $ | (6,922,976 | ) | | $ | (37,189 | ) | | $ | (1,172,915 | ) | | $ | 70,080,036 | | | | 2,854,584 | | | $ | 514,842 | |
Guggenheim Strategy Fund III | | | 69,179,563 | | | | 17,625,276 | | | | — | | | | — | | | | (1,603,353 | ) | | | 85,201,486 | | | | 3,457,852 | | | | 625,276 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 75,115,499 | | | | 294,575 | | | | (21,681,982 | ) | | | 308,188 | | | | (1,361,616 | ) | | | 52,674,664 | | | | 5,380,456 | | | | 294,576 | |
| | | $ | 215,493,336 | | | $ | 24,934,693 | | | $ | (28,604,958 | ) | | $ | 270,999 | | | $ | (4,137,884 | ) | | $ | 207,956,186 | | | | | | | $ | 1,434,694 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 75 |
STYLEPLUS—LARGE CORE FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $48,194,337) | | $ | 53,129,362 | |
Investments in affiliated issuers, at value (cost $210,817,755) | | | 207,956,186 | |
Segregated cash with broker | | | 110,500 | |
Prepaid expenses | | | 61,133 | |
Receivables: |
Dividends | | | 282,194 | |
Interest | | | 507 | |
Fund shares sold | | | 119 | |
Total assets | | | 261,540,001 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 266 | |
Segregated cash due to broker | | | 2,270,000 | |
Unrealized depreciation on OTC swap agreements | | | 712,121 | |
Payable for: |
Swap settlement | | | 382,008 | |
Securities purchased | | | 254,043 | |
Fund shares redeemed | | | 154,000 | |
Management fees | | | 149,236 | |
Distribution and service fees | | | 52,469 | |
Variation margin on futures contracts | | | 30,712 | |
Fund accounting/administration fees | | | 15,616 | |
Trustees’ fees* | | | 12,301 | |
Miscellaneous | | | 35,183 | |
Total liabilities | | | 4,067,955 | |
Net assets | | $ | 257,472,046 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 190,949,312 | |
Total distributable earnings (loss) | | | 66,522,734 | |
Net assets | | $ | 257,472,046 | |
| | | | | |
A-Class: |
Net assets | | $ | 249,416,058 | |
Capital shares outstanding | | | 9,155,064 | |
Net asset value per share | | $ | 27.24 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 28.60 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,010,562 | |
Capital shares outstanding | | | 57,669 | |
Net asset value per share | | $ | 17.52 | |
| | | | | |
P-Class: |
Net assets | | $ | 361,942 | |
Capital shares outstanding | | | 13,495 | |
Net asset value per share | | $ | 26.82 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 6,683,484 | |
Capital shares outstanding | | | 247,899 | |
Net asset value per share | | $ | 26.96 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended March 31, 2022 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 374,436 | |
Dividends from securities of affiliated issuers | | | 1,434,694 | |
Interest | | | 908 | |
Total investment income | | | 1,810,038 | |
| | | | | |
Expenses: |
Management fees | | | 990,310 | |
Distribution and service fees: |
A-Class | | | 319,676 | |
C-Class | | | 4,388 | |
P-Class | | | 437 | |
Transfer agent/maintenance fees: |
A-Class | | | 75,499 | |
C-Class | | | 1,164 | |
P-Class | | | 284 | |
Institutional Class | | | 3,437 | |
Fund accounting/administration fees | | | 89,432 | |
Interest expense | | | 13,810 | |
Professional fees | | | 12,106 | |
Trustees’ fees* | | | 9,828 | |
Custodian fees | | | 9,110 | |
Line of credit fees | | | 4,077 | |
Miscellaneous | | | 39,410 | |
Total expenses | | | 1,572,968 | |
Less: |
Expenses waived by Adviser | | | (77,236 | ) |
Net expenses | | | 1,495,732 | |
Net investment income | | | 314,306 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 1,156,601 | |
Investments in affiliated issuers | | | 270,999 | |
Swap agreements | | | 64,631,902 | |
Futures contracts | | | (187,364 | ) |
Net realized gain | | | 65,872,138 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 1,139,679 | |
Investments in affiliated issuers | | | (4,137,884 | ) |
Swap agreements | | | (52,864,815 | ) |
Futures contracts | | | 318,910 | |
Net change in unrealized appreciation (depreciation) | | | (55,544,110 | ) |
Net realized and unrealized gain | | | 10,328,028 | |
Net increase in net assets resulting from operations | | $ | 10,642,334 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
76 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STYLEPLUS—LARGE CORE FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 314,306 | | | $ | 549,916 | |
Net realized gain on investments | | | 65,872,138 | | | | 29,570,890 | |
Net change in unrealized appreciation (depreciation) on investments | | | (55,544,110 | ) | | | 30,655,086 | |
Net increase in net assets resulting from operations | | | 10,642,334 | | | | 60,775,892 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (11,885,985 | ) | | | (18,893,195 | ) |
C-Class | | | (54,594 | ) | | | (129,625 | ) |
P-Class | | | (14,927 | ) | | | (24,513 | ) |
Institutional Class | | | (322,926 | ) | | | (345,692 | ) |
Total distributions to shareholders | | | (12,278,432 | ) | | | (19,393,025 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 3,454,560 | | | | 10,210,123 | |
C-Class | | | 234,039 | | | | 100,074 | |
P-Class | | | 75,037 | | | | 50,547 | |
Institutional Class | | | 4,208,798 | | | | 3,362,734 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 11,200,028 | | | | 17,748,487 | |
C-Class | | | 54,594 | | | | 129,475 | |
P-Class | | | 14,927 | | | | 24,513 | |
Institutional Class | | | 301,038 | | | | 310,274 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (11,174,215 | ) | | | (25,572,115 | ) |
C-Class | | | (138,285 | ) | | | (512,538 | ) |
P-Class | | | (76,623 | ) | | | (2,969 | ) |
Institutional Class | | | (3,764,503 | ) | | | (1,527,547 | ) |
Net increase from capital share transactions | | | 4,389,395 | | | | 4,321,058 | |
Net increase in net assets | | | 2,753,297 | | | | 45,703,925 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 254,718,749 | | | | 209,014,824 | |
End of period | | $ | 257,472,046 | | | $ | 254,718,749 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 122,815 | | | | 398,868 | |
C-Class | | | 13,763 | | | | 5,947 | |
P-Class | | | 2,754 | | | | 2,066 | |
Institutional Class | | | 147,072 | | | | 130,256 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 394,367 | | | | 757,188 | |
C-Class | | | 2,980 | | | | 8,316 | |
P-Class | | | 534 | | | | 1,061 | |
Institutional Class | | | 10,717 | | | | 13,374 | |
Shares redeemed | | | | | | | | |
A-Class | | | (401,060 | ) | | | (1,001,912 | ) |
C-Class | | | (7,277 | ) | | | (30,271 | ) |
P-Class | | | (2,684 | ) | | | (119 | ) |
Institutional Class | | | (140,846 | ) | | | (59,156 | ) |
Net increase in shares | | | 143,135 | | | | 225,618 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 77 |
STYLEPLUS—LARGE CORE 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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 27.35 | | | $ | 23.01 | | | $ | 20.48 | | | $ | 24.78 | | | $ | 25.23 | | | $ | 21.86 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .03 | | | | .06 | | | | .17 | | | | .30 | | | | .30 | | | | .24 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.18 | | | | 6.46 | | | | 2.70 | | | | (.72 | ) | | | 3.52 | | | | 3.72 | |
Total from investment operations | | | 1.21 | | | | 6.52 | | | | 2.87 | | | | (.42 | ) | | | 3.82 | | | | 3.96 | |
Less distributions from: |
Net investment income | | | (.08 | ) | | | (.19 | ) | | | (.31 | ) | | | (.30 | ) | | | (.24 | ) | | | (.16 | ) |
Net realized gains | | | (1.24 | ) | | | (1.99 | ) | | | (.03 | ) | | | (3.58 | ) | | | (4.03 | ) | | | (.43 | ) |
Total distributions | | | (1.32 | ) | | | (2.18 | ) | | | (.34 | ) | | | (3.88 | ) | | | (4.27 | ) | | | (.59 | ) |
Net asset value, end of period | | $ | 27.24 | | | $ | 27.35 | | | $ | 23.01 | | | $ | 20.48 | | | $ | 24.78 | | | $ | 25.23 | |
|
Total Returnc | | | 4.25 | % | | | 29.91 | % | | | 14.18 | % | | | 1.50 | % | | | 16.60 | % | | | 18.58 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 249,416 | | | $ | 247,243 | | | $ | 204,428 | | | $ | 196,563 | | | $ | 217,697 | | | $ | 206,033 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.24 | % | | | 0.23 | % | | | 0.79 | % | | | 1.48 | % | | | 1.27 | % | | | 1.03 | % |
Total expensesd | | | 1.19 | % | | | 1.23 | % | | | 1.32 | % | | | 1.31 | % | | | 1.34 | % | | | 1.38 | % |
Net expensese | | | 1.14 | % | | | 1.17 | % | | | 1.28 | % | | | 1.28 | % | | | 1.31 | % | | | 1.34 | % |
Portfolio turnover rate | | | 30 | % | | | 25 | % | | | 69 | % | | | 51 | % | | | 46 | % | | | 30 | % |
C-Class | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 18.03 | | | $ | 15.87 | | | $ | 14.22 | | | $ | 18.41 | | | $ | 19.74 | | | $ | 17.22 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.07 | ) | | | (.11 | ) | | | (.02 | ) | | | .08 | | | | .06 | | | | .03 | |
Net gain (loss) on investments (realized and unrealized) | | | .80 | | | | 4.34 | | | | 1.87 | | | | (.69 | ) | | | 2.69 | | | | 2.92 | |
Total from investment operations | | | .73 | | | | 4.23 | | | | 1.85 | | | | (.61 | ) | | | 2.75 | | | | 2.95 | |
Less distributions from: |
Net investment income | | | — | | | | (.08 | ) | | | (.17 | ) | | | — | | | | (.05 | ) | | | — | |
Net realized gains | | | (1.24 | ) | | | (1.99 | ) | | | (.03 | ) | | | (3.58 | ) | | | (4.03 | ) | | | (.43 | ) |
Total distributions | | | (1.24 | ) | | | (2.07 | ) | | | (.20 | ) | | | (3.58 | ) | | | (4.08 | ) | | | (.43 | ) |
Net asset value, end of period | | $ | 17.52 | | | $ | 18.03 | | | $ | 15.87 | | | $ | 14.22 | | | $ | 18.41 | | | $ | 19.74 | |
|
Total Returnc | | | 3.76 | % | | | 28.69 | % | | | 13.11 | % | | | 0.60 | % | | | 15.56 | % | | | 17.59 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,011 | | | $ | 869 | | | $ | 1,019 | | | $ | 973 | | | $ | 1,239 | | | $ | 2,376 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.72 | %) | | | (0.67 | %) | | | (0.15 | %) | | | 0.58 | % | | | 0.33 | % | | | 0.19 | % |
Total expensesd | | | 2.15 | % | | | 2.15 | % | | | 2.24 | % | | | 2.23 | % | | | 2.24 | % | | | 2.23 | % |
Net expensese | | | 2.09 | % | | | 2.09 | % | | | 2.20 | % | | | 2.19 | % | | | 2.21 | % | | | 2.20 | % |
Portfolio turnover rate | | | 30 | % | | | 25 | % | | | 69 | % | | | 51 | % | | | 46 | % | | | 30 | % |
78 | THE GUGGENHEIM FUNDS SEMI-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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 26.93 | | | $ | 22.69 | | | $ | 20.21 | | | $ | 24.49 | | | $ | 25.03 | | | $ | 21.75 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .02 | | | | .02 | | | | .14 | | | | .29 | | | | .26 | | | | .22 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.16 | | | | 6.38 | | | | 2.67 | | | | (.73 | ) | | | 3.45 | | | | 3.68 | |
Total from investment operations | | | 1.18 | | | | 6.40 | | | | 2.81 | | | | (.44 | ) | | | 3.71 | | | | 3.90 | |
Less distributions from: |
Net investment income | | | (.05 | ) | | | (.17 | ) | | | (.30 | ) | | | (.26 | ) | | | (.22 | ) | | | (.19 | ) |
Net realized gains | | | (1.24 | ) | | | (1.99 | ) | | | (.03 | ) | | | (3.58 | ) | | | (4.03 | ) | | | (.43 | ) |
Total distributions | | | (1.29 | ) | | | (2.16 | ) | | | (.33 | ) | | | (3.84 | ) | | | (4.25 | ) | | | (.62 | ) |
Net asset value, end of period | | $ | 26.82 | | | $ | 26.93 | | | $ | 22.69 | | | $ | 20.21 | | | $ | 24.49 | | | $ | 25.03 | |
|
Total Return | | | 4.18 | % | | | 29.79 | % | | | 13.98 | % | | | 1.47 | % | | | 16.23 | % | | | 18.43 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 362 | | | $ | 347 | | | $ | 224 | | | $ | 236 | | | $ | 319 | | | $ | 508 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.13 | % | | | 0.09 | % | | | 0.67 | % | | | 1.45 | % | | | 1.06 | % | | | 0.93 | % |
Total expensesd | | | 1.30 | % | | | 1.36 | % | | | 1.46 | % | | | 1.36 | % | | | 1.56 | % | | | 1.47 | % |
Net expensese | | | 1.24 | % | | | 1.30 | % | | | 1.42 | % | | | 1.33 | % | | | 1.53 | % | | | 1.44 | % |
Portfolio turnover rate | | | 30 | % | | | 25 | % | | | 69 | % | | | 51 | % | | | 46 | % | | | 30 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 79 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 27.10 | | | $ | 22.83 | | | $ | 20.31 | | | $ | 24.65 | | | $ | 25.13 | | | $ | 21.78 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .06 | | | | .10 | | | | .21 | | | | .35 | | | | .37 | | | | .32 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.18 | | | | 6.40 | | | | 2.70 | | | | (.75 | ) | | | 3.51 | | | | 3.69 | |
Total from investment operations | | | 1.24 | | | | 6.50 | | | | 2.91 | | | | (.40 | ) | | | 3.88 | | | | 4.01 | |
Less distributions from: |
Net investment income | | | (.14 | ) | | | (.24 | ) | | | (.36 | ) | | | (.36 | ) | | | (.33 | ) | | | (.23 | ) |
Net realized gains | | | (1.24 | ) | | | (1.99 | ) | | | (.03 | ) | | | (3.58 | ) | | | (4.03 | ) | | | (.43 | ) |
Total distributions | | | (1.38 | ) | | | (2.23 | ) | | | (.39 | ) | | | (3.94 | ) | | | (4.36 | ) | | | (.66 | ) |
Net asset value, end of period | | $ | 26.96 | | | $ | 27.10 | | | $ | 22.83 | | | $ | 20.31 | | | $ | 24.65 | | | $ | 25.13 | |
|
Total Return | | | 4.37 | % | | | 30.12 | % | | | 14.44 | % | | | 1.74 | % | | | 16.96 | % | | | 18.96 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 6,683 | | | $ | 6,260 | | | $ | 3,344 | | | $ | 3,747 | | | $ | 6,826 | | | $ | 5,631 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.44 | % | | | 0.38 | % | | | 1.01 | % | | | 1.73 | % | | | 1.57 | % | | | 1.35 | % |
Total expensesd | | | 0.98 | % | | | 1.06 | % | | | 1.08 | % | | | 1.09 | % | | | 1.06 | % | | | 1.05 | % |
Net expensese | | | 0.92 | % | | | 0.99 | % | | | 1.04 | % | | | 1.06 | % | | | 1.03 | % | | | 1.01 | % |
Portfolio turnover rate | | | 30 | % | | | 25 | % | | | 69 | % | | | 51 | % | | | 46 | % | | | 30 | % |
a | Unaudited figures for the period ended March 31, 2022. 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 | 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. |
80 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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 | 35.3% |
Guggenheim Strategy Fund III | 35.0% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 2.1% |
Targa Resources Corp. | 0.5% |
Steel Dynamics, Inc. | 0.5% |
East West Bancorp, Inc. | 0.4% |
Builders FirstSource, Inc. | 0.4% |
Cleveland-Cliffs, Inc. | 0.3% |
Genpact Ltd. | 0.3% |
UMB Financial Corp. | 0.3% |
Top Ten Total | 75.1% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 81 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | (9.84%) | (2.52%) | 13.10% | 11.93% |
A-Class Shares with sales charge‡ | (14.12%) | (7.15%) | 12.01% | 11.39% |
C-Class Shares | (10.27%) | (3.43%) | 12.11% | 10.94% |
C-Class Shares with CDSC§ | (11.07%) | (4.29%) | 12.11% | 10.94% |
Institutional Class Shares | (9.75%) | (2.37%) | 13.30% | 12.07% |
Russell Midcap Growth Index | (10.09%) | (0.89%) | 15.10% | 13.52% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(05/01/15) |
P-Class Shares | (9.89%) | (2.64%) | 12.96% | 10.47% |
Russell Midcap Growth Index | (10.09%) | (0.89%) | 15.10% | 11.98% |
* | 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 Russell Midcap Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | 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. |
82 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
STYLEPLUS—MID GROWTH FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 23.8% |
| | | | | | | | | |
Technology - 4.9% |
Genpact Ltd. | | | 7,164 | | | $ | 311,706 | |
Maximus, Inc. | | | 3,869 | | | | 289,981 | |
Power Integrations, Inc. | | | 2,382 | | | | 220,764 | |
Manhattan Associates, Inc.* | | | 1,550 | | | | 215,001 | |
Synaptics, Inc.* | | | 1,046 | | | | 208,677 | |
ACI Worldwide, Inc.* | | | 6,296 | | | | 198,261 | |
Lumentum Holdings, Inc.* | | | 1,959 | | | | 191,198 | |
CDK Global, Inc. | | | 3,877 | | | | 188,732 | |
Fair Isaac Corp.* | | | 363 | | | | 169,325 | |
Semtech Corp.* | | | 2,440 | | | | 169,189 | |
NetApp, Inc. | | | 2,016 | | | | 167,328 | |
Qualys, Inc.* | | | 1,147 | | | | 163,344 | |
CommVault Systems, Inc.* | | | 2,411 | | | | 159,970 | |
Diodes, Inc.* | | | 1,810 | | | | 157,452 | |
Akamai Technologies, Inc.* | | | 1,291 | | | | 154,133 | |
Teradata Corp.* | | | 3,106 | | | | 153,095 | |
Cirrus Logic, Inc.* | | | 1,692 | | | | 143,465 | |
Lattice Semiconductor Corp.* | | | 2,312 | | | | 140,916 | |
Concentrix Corp. | | | 845 | | | | 140,743 | |
Envestnet, Inc.* | | | 1,882 | | | | 140,096 | |
ExlService Holdings, Inc.* | | | 936 | | | | 134,101 | |
HP, Inc. | | | 3,693 | | | | 134,056 | |
Skyworks Solutions, Inc. | | | 988 | | | | 131,681 | |
Azenta, Inc. | | | 1,567 | | | | 129,873 | |
Blackbaud, Inc.* | | | 2,097 | | | | 125,547 | |
Amkor Technology, Inc. | | | 4,689 | | | | 101,845 | |
Qorvo, Inc.* | | | 780 | | | | 96,798 | |
MKS Instruments, Inc. | | | 616 | | | | 92,400 | |
Seagate Technology Holdings plc | | | 660 | | | | 59,334 | |
Total Technology | | | | | | | 4,689,011 | |
| | | | | | | | | |
Industrial - 4.3% |
Builders FirstSource, Inc.* | | | 5,596 | | | | 361,166 | |
Jabil, Inc. | | | 4,457 | | | | 275,131 | |
Littelfuse, Inc. | | | 1,013 | | | | 252,652 | |
Eagle Materials, Inc. | | | 1,746 | | | | 224,116 | |
UFP Industries, Inc. | | | 2,692 | | | | 207,715 | |
nVent Electric plc | | | 5,952 | | | | 207,011 | |
Trinity Industries, Inc. | | | 5,911 | | | | 203,102 | |
Crane Co. | | | 1,865 | | | | 201,942 | |
Toro Co. | | | 2,317 | | | | 198,080 | |
Louisiana-Pacific Corp. | | | 3,088 | | | | 191,827 | |
Universal Display Corp. | | | 1,104 | | | | 184,313 | |
Lincoln Electric Holdings, Inc. | | | 1,316 | | | | 181,358 | |
National Instruments Corp. | | | 4,435 | | | | 180,017 | |
Acuity Brands, Inc. | | | 847 | | | | 160,337 | |
Lennox International, Inc. | | | 608 | | | | 156,779 | |
Simpson Manufacturing Company, Inc. | | | 1,300 | | | | 141,752 | |
Pentair plc | | | 2,614 | | | | 141,705 | |
TopBuild Corp.* | | | 731 | | | | 132,596 | |
Keysight Technologies, Inc.* | | | 752 | | | | 118,793 | |
Donaldson Company, Inc. | | | 2,124 | | | | 110,299 | |
Sealed Air Corp. | | | 1,624 | | | | 108,743 | |
Carlisle Companies, Inc. | | | 306 | | | | 75,252 | |
II-VI, Inc.* | | | 1,023 | | | | 74,157 | |
Masco Corp. | | | 1,239 | | | | 63,189 | |
Total Industrial | | | | | | | 4,152,032 | |
| | | | | | | | | |
Consumer, Non-cyclical - 4.1% |
Halozyme Therapeutics, Inc.* | | | 6,294 | | | | 251,005 | |
Service Corporation International | | | 3,610 | | | | 237,610 | |
Neurocrine Biosciences, Inc.* | | | 2,504 | | | | 234,750 | |
Molina Healthcare, Inc.* | | | 682 | | | | 227,509 | |
Hologic, Inc.* | | | 2,935 | | | | 225,467 | |
Syneos Health, Inc.* | | | 2,678 | | | | 216,784 | |
Tenet Healthcare Corp.* | | | 2,373 | | | | 203,983 | |
Exelixis, Inc.* | | | 7,599 | | | | 172,269 | |
United Therapeutics Corp.* | | | 960 | | | | 172,234 | |
Tandem Diabetes Care, Inc.* | | | 1,456 | | | | 169,318 | |
Globus Medical, Inc. — Class A* | | | 2,124 | | | | 156,709 | |
Masimo Corp.* | | | 1,063 | | | | 154,709 | |
Incyte Corp.* | | | 1,748 | | | | 138,826 | |
Regeneron Pharmaceuticals, Inc.* | | | 197 | | | | 137,589 | |
Bruker Corp. | | | 2,073 | | | | 133,294 | |
Integra LifeSciences Holdings Corp.* | | | 1,898 | | | | 121,965 | |
Arrowhead Pharmaceuticals, Inc.* | | | 2,502 | | | | 115,067 | |
PerkinElmer, Inc. | | | 644 | | | | 112,352 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 176 | | | | 99,128 | |
H&R Block, Inc. | | | 3,769 | | | | 98,145 | |
Waters Corp.* | | | 299 | | | | 92,807 | |
Vertex Pharmaceuticals, Inc.* | | | 354 | | | | 92,383 | |
Quidel Corp.* | | | 803 | | | | 90,305 | |
Darling Ingredients, Inc.* | | | 884 | | | | 71,056 | |
Avery Dennison Corp. | | | 403 | | | | 70,110 | |
Quest Diagnostics, Inc. | | | 508 | | | | 69,525 | |
Laboratory Corporation of America Holdings* | | | 255 | | | | 67,233 | |
Total Consumer, Non-cyclical | | | | | | | 3,932,132 | |
| | | | | | | | | |
Financial - 3.8% |
East West Bancorp, Inc. | | | 4,950 | | | | 391,149 | |
UMB Financial Corp. | | | 3,145 | | | | 305,568 | |
PacWest Bancorp | | | 6,002 | | | | 258,866 | |
Interactive Brokers Group, Inc. — Class A | | | 3,887 | | | | 256,192 | |
ServisFirst Bancshares, Inc. | | | 2,588 | | | | 246,611 | |
Cathay General Bancorp | | | 5,020 | | | | 224,645 | |
Hancock Whitney Corp. | | | 4,267 | | | | 222,524 | |
Bank of Hawaii Corp. | | | 2,607 | | | | 218,780 | |
Evercore, Inc. — Class A | | | 1,948 | | | | 216,851 | |
Home BancShares, Inc. | | | 8,837 | | | | 199,716 | |
Affiliated Managers Group, Inc. | | | 1,208 | | | | 170,268 | |
Camden Property Trust REIT | | | 967 | | | | 160,716 | |
Janus Henderson Group plc | | | 4,048 | | | | 141,761 | |
Wintrust Financial Corp. | | | 1,494 | | | | 138,837 | |
Synovus Financial Corp. | | | 2,509 | | | | 122,941 | |
Raymond James Financial, Inc. | | | 926 | | | | 101,777 | |
First American Financial Corp. | | | 1,532 | | | | 99,304 | |
Webster Financial Corp. | | | 1,460 | | | | 81,935 | |
Life Storage, Inc. REIT | | | 348 | | | | 48,870 | |
Rexford Industrial Realty, Inc. REIT | | | 648 | | | | 48,334 | |
Total Financial | | | | | | | 3,655,645 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 83 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
STYLEPLUS—MID GROWTH FUND | |
| | Shares | | | Value | |
| | | | | | | | | |
Consumer, Cyclical - 3.5% |
Gentex Corp. | | | 10,377 | | | $ | 302,697 | |
Williams-Sonoma, Inc. | | | 1,693 | | | | 245,485 | |
Brunswick Corp. | | | 2,978 | | | | 240,891 | |
Jack in the Box, Inc. | | | 2,230 | | | | 208,304 | |
Choice Hotels International, Inc. | | | 1,413 | | | | 200,307 | |
Boyd Gaming Corp. | | | 2,920 | | | | 192,078 | |
NVR, Inc.* | | | 41 | | | | 183,158 | |
Tempur Sealy International, Inc. | | | 6,529 | | | | 182,290 | |
Dick’s Sporting Goods, Inc. | | | 1,819 | | | | 181,936 | |
Mattel, Inc.* | | | 7,840 | | | | 174,126 | |
Deckers Outdoor Corp.* | | | 611 | | | | 167,273 | |
RH* | | | 435 | | | | 141,849 | |
AutoNation, Inc.* | | | 1,403 | | | | 139,711 | |
AutoZone, Inc.* | | | 59 | | | | 120,630 | |
YETI Holdings, Inc.* | | | 1,800 | | | | 107,964 | |
Scientific Games Corp. — Class A* | | | 1,815 | | | | 106,631 | |
Papa John’s International, Inc. | | | 949 | | | | 99,911 | |
Wingstop, Inc. | | | 851 | | | | 99,865 | |
Crocs, Inc.* | | | 1,262 | | | | 96,417 | |
Yum! Brands, Inc. | | | 577 | | | | 68,392 | |
Victoria’s Secret & Co.* | | | 1,249 | | | | 64,149 | |
Total Consumer, Cyclical | | | | | | | 3,324,064 | |
| | | | | | | | | |
Basic Materials - 1.6% |
Steel Dynamics, Inc. | | | 5,239 | | | | 437,090 | |
Cleveland-Cliffs, Inc.* | | | 9,733 | | | | 313,500 | |
Olin Corp. | | | 5,149 | | | | 269,190 | |
Ingevity Corp.* | | | 3,898 | | | | 249,745 | |
Valvoline, Inc. | | | 5,190 | | | | 163,796 | |
Royal Gold, Inc. | | | 1,029 | | | | 145,377 | |
Total Basic Materials | | | | | | | 1,578,698 | |
| | | | | | | | | |
Energy - 0.9% |
Targa Resources Corp. | | | 5,891 | | | | 444,558 | |
Antero Midstream Corp. | | | 14,590 | | | | 158,593 | |
CNX Resources Corp.* | | | 4,376 | | | | 90,671 | |
Murphy Oil Corp. | | | 1,956 | | | | 79,003 | |
PDC Energy, Inc. | | | 1,037 | | | | 75,369 | |
Total Energy | | | | | | | 848,194 | |
| | | | | | | | | |
Communications - 0.7% |
Ciena Corp.* | | | 3,498 | | | | 212,084 | |
Motorola Solutions, Inc. | | | 847 | | | | 205,143 | |
Calix, Inc.* | | | 1,763 | | | | 75,650 | |
F5, Inc.* | | | 358 | | | | 74,804 | |
VeriSign, Inc.* | | | 315 | | | | 70,075 | |
Total Communications | | | | | | | 637,756 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $22,930,889) | | | | | | | 22,817,532 | |
| | | | | | | | | |
MUTUAL FUNDS† - 72.4% |
Guggenheim Strategy Fund II1 | | | 1,379,318 | | | | 33,862,266 | |
Guggenheim Strategy Fund III1 | | | 1,363,215 | | | | 33,589,611 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 205,652 | | | | 2,013,329 | |
Total Mutual Funds | | | | |
(Cost $70,413,505) | | | | | | | 69,465,206 | |
| | | | | | | | | |
MONEY MARKET FUND† - 4.1% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%2 | | | 3,921,590 | | | | 3,921,590 | |
Total Money Market Fund | | | | |
(Cost $3,921,590) | | | | | | | 3,921,590 | |
| | | | | | | | | |
Total Investments - 100.3% | | | | |
(Cost $97,265,984) | | $ | 96,204,328 | |
Other Assets & Liabilities, net - (0.3)% | | | (292,256 | ) |
Total Net Assets - 100.0% | | $ | 95,912,072 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
S&P MidCap 400 Index Mini Futures Contracts | | | 6 | | | | Jun 2022 | | | $ | 1,612,620 | | | $ | 89,528 | |
NASDAQ-100 Index Mini Futures Contracts | | | 2 | | | | Jun 2022 | | | | 594,840 | | | | 73,109 | |
S&P 500 Index Mini Futures Contracts | | | 2 | | | | Jun 2022 | | | | 452,775 | | | | 36,362 | |
| | | | | | | | | | | $ | 2,660,235 | | | $ | 198,999 | |
Total Return Swap Agreements |
Counterparty | Index | Type | | Financing Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Equity Index Swap Agreements†† |
Citibank, N.A. | Russell MidCap Growth Index Total Return | Pay | | 0.63% (Federal Funds Rate + 0.30%) | At Maturity | 12/28/22 | 14,430 | | $ | 70,486,510 | | | $ | (9,864,377 | ) |
84 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
STYLEPLUS—MID GROWTH FUND | |
* | 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 March 31, 2022. |
| | 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 March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 22,817,532 | | | $ | — | | | $ | — | | | $ | 22,817,532 | |
Mutual Funds | | | 69,465,206 | | | | — | | | | — | | | | 69,465,206 | |
Money Market Fund | | | 3,921,590 | | | | — | | | | — | | | | 3,921,590 | |
Equity Futures Contracts** | | | 198,999 | | | | — | | | | — | | | | 198,999 | |
Total Assets | | $ | 96,403,327 | | | $ | — | | | $ | — | | | $ | 96,403,327 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 9,864,377 | | | $ | — | | | $ | 9,864,377 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 85 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
STYLEPLUS—MID GROWTH FUND | |
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, 2021, 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/1601445/000182126821000490/gugg83048-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 period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
09/30/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 35,771,287 | | | $ | 2,257,754 | | | $ | (3,560,952 | ) | | $ | (21,510 | ) | | $ | (584,313 | ) | | $ | 33,862,266 | | | | 1,379,318 | | | $ | 257,754 | |
Guggenheim Strategy Fund III | | | 34,436,584 | | | | 5,281,835 | | | | (5,442,973 | ) | | | (18,437 | ) | | | (667,398 | ) | | | 33,589,611 | | | | 1,363,215 | | | | 281,835 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 22,848,856 | | | | 51,820 | | | | (20,747,987 | ) | | | (75,159 | ) | | | (64,201 | ) | | | 2,013,329 | | | | 205,652 | | | | 51,820 | |
| | | $ | 93,056,727 | | | $ | 7,591,409 | | | $ | (29,751,912 | ) | | $ | (115,106 | ) | | $ | (1,315,912 | ) | | $ | 69,465,206 | | | | | | | $ | 591,409 | |
86 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STYLEPLUS—MID GROWTH FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $26,852,478) | | $ | 26,739,122 | |
Investments in affiliated issuers, at value (cost $70,413,506) | | | 69,465,206 | |
Segregated cash with broker | | | 9,120,000 | |
Prepaid expenses | | | 54,995 | |
Receivables: |
Securities sold | | | 720,000 | |
Dividends | | | 107,818 | |
Interest | | | 226 | |
Fund shares sold | | | 203 | |
Total assets | | | 106,207,570 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 9,864,377 | |
Payable for: |
Swap settlement | | | 109,504 | |
Securities purchased | | | 92,970 | |
Management fees | | | 59,370 | |
Fund shares redeemed | | | 50,837 | |
Variation margin on futures contracts | | | 38,845 | |
Distribution and service fees | | | 20,321 | |
Fund accounting/administration fees | | | 6,896 | |
Transfer agent/maintenance fees | | | 6,450 | |
Trustees’ fees* | | | 5,794 | |
Miscellaneous | | | 40,134 | |
Total liabilities | | | 10,295,498 | |
Net assets | | $ | 95,912,072 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 85,265,702 | |
Total distributable earnings (loss) | | | 10,646,370 | |
Net assets | | $ | 95,912,072 | |
| | | | | |
A-Class: |
Net assets | | $ | 93,516,751 | |
Capital shares outstanding | | | 2,101,082 | |
Net asset value per share | | $ | 44.51 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 46.73 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,040,911 | |
Capital shares outstanding | | | 42,112 | |
Net asset value per share | | $ | 24.72 | |
| | | | | |
P-Class: |
Net assets | | $ | 160,047 | |
Capital shares outstanding | | | 3,655 | |
Net asset value per share | | $ | 43.79 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 1,194,363 | |
Capital shares outstanding | | | 26,813 | |
Net asset value per share | | $ | 44.54 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended March 31, 2022 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 96,263 | |
Dividends from securities of affiliated issuers | | | 591,409 | |
Interest | | | 401 | |
Total investment income | | | 688,073 | |
| | | | | |
Expenses: |
Management fees | | | 396,756 | |
Distribution and service fees: |
A-Class | | | 128,741 | |
C-Class | | | 5,898 | |
P-Class | | | 279 | |
Transfer agent/maintenance fees: |
A-Class | | | 44,892 | |
C-Class | | | 1,765 | |
P-Class | | | 247 | |
Institutional Class | | | 883 | |
Fund accounting/administration fees | | | 38,235 | |
Professional fees | | | 15,204 | |
Trustees’ fees* | | | 10,307 | |
Custodian fees | | | 8,859 | |
Interest expense | | | 7,147 | |
Line of credit fees | | | 1,800 | |
Miscellaneous | | | 38,218 | |
Total expenses | | | 699,231 | |
Less: |
Expenses waived by Adviser | | | (14,512 | ) |
Net expenses | | | 684,719 | |
Net investment income | | | 3,354 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 473,338 | |
Investments in affiliated issuers | | | (115,108 | ) |
Swap agreements | | | 22,499,149 | |
Futures contracts | | | (158,008 | ) |
Net realized gain | | | 22,699,371 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (657,435 | ) |
Investments in affiliated issuers | | | (1,315,912 | ) |
Swap agreements | | | (31,630,979 | ) |
Futures contracts | | | 198,999 | |
Net change in unrealized appreciation (depreciation) | | | (33,405,327 | ) |
Net realized and unrealized loss | | | (10,705,956 | ) |
Net decrease in net assets resulting from operations | | $ | (10,702,602 | ) |
* | 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 SEMI-ANNUAL REPORT | 87 |
STYLEPLUS—MID GROWTH FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | 3,354 | | | $ | (51,917 | ) |
Net realized gain on investments | | | 22,699,371 | | | | 20,864,358 | |
Net change in unrealized appreciation (depreciation) on investments | | | (33,405,327 | ) | | | 7,252,977 | |
Net increase (decrease) in net assets resulting from operations | | | (10,702,602 | ) | | | 28,065,418 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (6,756,571 | ) | | | (13,186,487 | ) |
C-Class | | | (132,465 | ) | | | (336,310 | ) |
P-Class | | | (15,261 | ) | | | (24,991 | ) |
Institutional Class | | | (94,156 | ) | | | (238,403 | ) |
Total distributions to shareholders | | | (6,998,453 | ) | | | (13,786,191 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 973,648 | | | | 2,172,972 | |
C-Class | | | 17,179 | | | | 158,772 | |
P-Class | | | 9,446 | | | | 79,809 | |
Institutional Class | | | 152,155 | | | | 682,378 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 6,449,689 | | | | 12,584,969 | |
C-Class | | | 107,727 | | | | 278,491 | |
P-Class | | | 15,261 | | | | 24,991 | |
Institutional Class | | | 89,198 | | | | 228,045 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (4,733,702 | ) | | | (10,248,122 | ) |
C-Class | | | (156,549 | ) | | | (682,043 | ) |
P-Class | | | (59,882 | ) | | | (7,208 | ) |
Institutional Class | | | (188,523 | ) | | | (1,020,174 | ) |
Net increase from capital share transactions | | | 2,675,647 | | | | 4,252,880 | |
Net increase (decrease) in net assets | | | (15,025,408 | ) | | | 18,532,107 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 110,937,480 | | | | 92,405,373 | |
End of period | | $ | 95,912,072 | | | $ | 110,937,480 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 19,940 | | | | 43,004 | |
C-Class | | | 648 | | | | 5,193 | |
P-Class | | | 195 | | | | 1,640 | |
Institutional Class | | | 2,799 | | | | 13,400 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 131,225 | | | | 260,504 | |
C-Class | | | 3,936 | | | | 9,761 | |
P-Class | | | 315 | | | | 525 | |
Institutional Class | | | 1,814 | | | | 4,727 | |
Shares redeemed | | | | | | | | |
A-Class | | | (98,023 | ) | | | (201,221 | ) |
C-Class | | | (5,405 | ) | | | (23,365 | ) |
P-Class | | | (1,417 | ) | | | (151 | ) |
Institutional Class | | | (4,174 | ) | | | (20,266 | ) |
Net increase in shares | | | 51,853 | | | | 93,751 | |
88 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STYLEPLUS—MID GROWTH 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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 52.73 | | | $ | 45.98 | | | $ | 39.64 | | | $ | 49.70 | | | $ | 47.34 | | | $ | 40.52 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | — | | | | (.02 | ) | | | .19 | | | | .45 | | | | .41 | | | | .34 | |
Net gain (loss) on investments (realized and unrealized) | | | (4.87 | ) | | | 13.67 | | | | 7.06 | | | | (1.58 | ) | | | 7.70 | | | | 6.72 | |
Total from investment operations | | | (4.87 | ) | | | 13.65 | | | | 7.25 | | | | (1.13 | ) | | | 8.11 | | | | 7.06 | |
Less distributions from: |
Net investment income | | | — | | | | (.20 | ) | | | (.45 | ) | | | (.41 | ) | | | (.24 | ) | | | (.24 | ) |
Net realized gains | | | (3.35 | ) | | | (6.70 | ) | | | (.46 | ) | | | (8.52 | ) | | | (5.51 | ) | | | — | |
Total distributions | | | (3.35 | ) | | | (6.90 | ) | | | (.91 | ) | | | (8.93 | ) | | | (5.75 | ) | | | (.24 | ) |
Net asset value, end of period | | $ | 44.51 | | | $ | 52.73 | | | $ | 45.98 | | | $ | 39.64 | | | $ | 49.70 | | | $ | 47.34 | |
|
Total Returnc | | | (9.84 | %) | | | 31.07 | % | | | 18.57 | % | | | 2.34 | % | | | 18.51 | % | | | 17.54 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 93,517 | | | $ | 107,983 | | | $ | 89,469 | | | $ | 83,027 | | | $ | 87,509 | | | $ | 77,049 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.01 | % | | | (0.04 | %) | | | 0.46 | % | | | 1.13 | % | | | 0.87 | % | | | 0.78 | % |
Total expensesd | | | 1.31 | % | | | 1.34 | % | | | 1.45 | % | | | 1.44 | % | | | 1.55 | % | | | 1.45 | % |
Net expensese | | | 1.29 | % | | | 1.28 | % | | | 1.40 | % | | | 1.41 | % | | | 1.52 | % | | | 1.42 | % |
Portfolio turnover rate | | | 30 | % | | | 44 | % | | | 82 | % | | | 73 | % | | | 52 | % | | | 43 | % |
C-Class | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 30.92 | | | $ | 29.40 | | | $ | 25.66 | | | $ | 35.78 | | | $ | 35.64 | | | $ | 30.58 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.13 | ) | | | (.29 | ) | | | (.10 | ) | | | .08 | | | | .02 | | | | (.03 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (2.72 | ) | | | 8.51 | | | | 4.53 | | | | (1.68 | ) | | | 5.63 | | | | 5.09 | |
Total from investment operations | | | (2.85 | ) | | | 8.22 | | | | 4.43 | | | | (1.60 | ) | | | 5.65 | | | | 5.06 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.23 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | (3.35 | ) | | | (6.70 | ) | | | (.46 | ) | | | (8.52 | ) | | | (5.51 | ) | | | — | |
Total distributions | | | (3.35 | ) | | | (6.70 | ) | | | (.69 | ) | | | (8.52 | ) | | | (5.51 | ) | | | — | |
Net asset value, end of period | | $ | 24.72 | | | $ | 30.92 | | | $ | 29.40 | | | $ | 25.66 | | | $ | 35.78 | | | $ | 35.64 | |
|
Total Returnc | | | (10.27 | %) | | | 29.88 | % | | | 17.53 | % | | | 1.46 | % | | | 17.51 | % | | | 16.55 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,041 | | | $ | 1,327 | | | $ | 1,510 | | | $ | 1,683 | | | $ | 1,849 | | | $ | 3,984 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.95 | %) | | | (0.94 | %) | | | (0.39 | %) | | | 0.30 | % | | | 0.05 | % | | | (0.08 | %) |
Total expensesd | | | 2.28 | % | | | 2.26 | % | | | 2.32 | % | | | 2.27 | % | | | 2.33 | % | | | 2.31 | % |
Net expensese | | | 2.25 | % | | | 2.20 | % | | | 2.28 | % | | | 2.24 | % | | | 2.30 | % | | | 2.27 | % |
Portfolio turnover rate | | | 30 | % | | | 44 | % | | | 82 | % | | | 73 | % | | | 52 | % | | | 43 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 89 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 51.96 | | | $ | 45.45 | | | $ | 39.17 | | | $ | 49.12 | | | $ | 46.83 | | | $ | 40.27 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.03 | ) | | | (.07 | ) | | | .15 | | | | .41 | | | | .32 | | | | .24 | |
Net gain (loss) on investments (realized and unrealized) | | | (4.79 | ) | | | 13.51 | | | | 6.99 | | | | (1.58 | ) | | | 7.61 | | | | 6.65 | |
Total from investment operations | | | (4.82 | ) | | | 13.44 | | | | 7.14 | | | | (1.17 | ) | | | 7.93 | | | | 6.89 | |
Less distributions from: |
Net investment income | | | — | | | | (.23 | ) | | | (.40 | ) | | | (.26 | ) | | | (.13 | ) | | | (.33 | ) |
Net realized gains | | | (3.35 | ) | | | (6.70 | ) | | | (.46 | ) | | | (8.52 | ) | | | (5.51 | ) | | | — | |
Total distributions | | | (3.35 | ) | | | (6.93 | ) | | | (.86 | ) | | | (8.78 | ) | | | (5.64 | ) | | | (.33 | ) |
Net asset value, end of period | | $ | 43.79 | | | $ | 51.96 | | | $ | 45.45 | | | $ | 39.17 | | | $ | 49.12 | | | $ | 46.83 | |
|
Total Return | | | (9.89 | %) | | | 30.92 | % | | | 18.48 | % | | | 2.22 | % | | | 18.26 | % | | | 17.27 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 160 | | | $ | 237 | | | $ | 116 | | | $ | 93 | | | $ | 125 | | | $ | 121 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.13 | %) | | | (0.14 | %) | | | 0.36 | % | | | 1.04 | % | | | 0.67 | % | | | 0.55 | % |
Total expensesd | | | 1.45 | % | | | 1.43 | % | | | 1.54 | % | | | 1.55 | % | | | 1.68 | % | | | 1.66 | % |
Net expensese | | | 1.42 | % | | | 1.37 | % | | | 1.50 | % | | | 1.51 | % | | | 1.64 | % | | | 1.63 | % |
Portfolio turnover rate | | | 30 | % | | | 44 | % | | | 82 | % | | | 73 | % | | | 52 | % | | | 43 | % |
90 | THE GUGGENHEIM FUNDS SEMI-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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 52.71 | | | $ | 45.98 | | | $ | 39.64 | | | $ | 49.80 | | | $ | 47.48 | | | $ | 40.59 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .06 | | | | .07 | | | | .24 | | | | .51 | | | | .53 | | | | .42 | |
Net gain (loss) on investments (realized and unrealized) | | | (4.88 | ) | | | 13.65 | | | | 7.09 | | | | (1.63 | ) | | | 7.71 | | | | 6.78 | |
Total from investment operations | | | (4.82 | ) | | | 13.72 | | | | 7.33 | | | | (1.12 | ) | | | 8.24 | | | | 7.20 | |
Less distributions from: |
Net investment income | | | — | | | | (.29 | ) | | | (.53 | ) | | | (.52 | ) | | | (.41 | ) | | | (.31 | ) |
Net realized gains | | | (3.35 | ) | | | (6.70 | ) | | | (.46 | ) | | | (8.52 | ) | | | (5.51 | ) | | | — | |
Total distributions | | | (3.35 | ) | | | (6.99 | ) | | | (.99 | ) | | | (9.04 | ) | | | (5.92 | ) | | | (.31 | ) |
Net asset value, end of period | | $ | 44.54 | | | $ | 52.71 | | | $ | 45.98 | | | $ | 39.64 | | | $ | 49.80 | | | $ | 47.48 | |
|
Total Return | | | (9.75 | %) | | | 31.26 | % | | | 18.79 | % | | | 2.42 | % | | | 18.77 | % | | | 17.88 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,194 | | | $ | 1,390 | | | $ | 1,311 | | | $ | 972 | | | $ | 875 | | | $ | 1,743 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.23 | % | | | 0.14 | % | | | 0.58 | % | | | 1.28 | % | | | 1.11 | % | | | 0.95 | % |
Total expensesd | | | 1.10 | % | | | 1.17 | % | | | 1.26 | % | | | 1.31 | % | | | 1.26 | % | | | 1.26 | % |
Net expensese | | | 1.07 | % | | | 1.11 | % | | | 1.22 | % | | | 1.28 | % | | | 1.23 | % | �� | | 1.22 | % |
Portfolio turnover rate | | | 30 | % | | | 44 | % | | | 82 | % | | | 73 | % | | | 52 | % | | | 43 | % |
a | Unaudited figures for the period ended March 31, 2022. 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 | 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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 91 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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
Investments | |
United States | | | 64.2 | % |
United Kingdom | | | 6.1 | % |
Japan | | | 5.2 | % |
Canada | | | 5.1 | % |
Australia | | | 3.4 | % |
France | | | 3.3 | % |
Italy | | | 2.4 | % |
Other | | | 10.3 | % |
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. | 3.0% |
Microsoft Corp. | 2.9% |
Alphabet, Inc. — Class C | 2.3% |
Amazon.com, Inc. | 1.9% |
Johnson & Johnson | 1.5% |
AbbVie, Inc. | 1.3% |
Home Depot, Inc. | 1.1% |
Bristol-Myers Squibb Co. | 1.1% |
Verizon Communications, Inc. | 1.1% |
Intel Corp. | 1.1% |
Top Ten Total | 17.3% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
92 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 4.53% | 7.07% | 9.06% | 8.36% |
A-Class Shares with sales charge‡ | (0.42%) | 1.99% | 8.01% | 7.83% |
C-Class Shares | 4.10% | 6.32% | 8.23% | 7.55% |
C-Class Shares with CDSC§ | 3.32% | 5.53% | 8.23% | 7.55% |
Institutional Class Shares | 4.68% | 7.37% | 9.34% | 8.65% |
MSCI World Index | 2.21% | 10.12% | 12.42% | 10.88% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(05/01/15) |
P-Class Shares | 4.48% | 7.04% | 9.05% | 7.84% |
MSCI World Index | 2.21% | 10.12% | 12.42% | 10.01% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | 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 SEMI-ANNUAL REPORT | 93 |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
WORLD EQUITY INCOME FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 98.1% |
| | | | | | | | | |
Financial - 17.1% |
Prudential Financial, Inc. | | | 3,990 | | | $ | 471,498 | |
Allstate Corp. | | | 3,384 | | | | 468,718 | |
AXA S.A.†† | | | 15,200 | | | | 445,095 | |
Australia & New Zealand Banking Group Ltd.†† | | | 20,200 | | | | 414,000 | |
BNP Paribas S.A.†† | | | 6,700 | | | | 382,977 | |
Assicurazioni Generali SpA†† | | | 16,000 | | | | 366,058 | |
Swiss Re AG†† | | | 3,800 | | | | 361,800 | |
JPMorgan Chase & Co. | | | 2,369 | | | | 322,942 | |
Banco Santander S.A.†† | | | 90,200 | | | | 306,760 | |
American Tower Corp. — Class A REIT | | | 1,142 | | | | 286,893 | |
National Australia Bank Ltd.†† | | | 11,900 | | | | 286,547 | |
Travelers Companies, Inc. | | | 1,560 | | | | 285,059 | |
Goldman Sachs Group, Inc. | | | 830 | | | | 273,983 | |
Swedbank AB — Class A†† | | | 18,100 | | | | 270,330 | |
Vornado Realty Trust REIT | | | 5,800 | | | | 262,856 | |
Canadian Apartment Properties REIT | | | 6,000 | | | | 257,559 | |
Dexus REIT†† | | | 30,500 | | | | 249,011 | |
CNP Assurances†† | | | 10,307 | | | | 248,205 | |
EXOR N.V.†† | | | 3,200 | | | | 243,332 | |
Phoenix Group Holdings plc†† | | | 30,100 | | | | 241,079 | |
Amundi S.A.††,1 | | | 3,500 | | | | 239,400 | |
GPT Group REIT†† | | | 59,806 | | | | 230,736 | |
Sumitomo Mitsui Financial Group, Inc.†† | | | 7,100 | | | | 224,309 | |
Truist Financial Corp. | | | 3,462 | | | | 196,295 | |
Credit Agricole S.A.†† | | | 16,000 | | | | 191,231 | |
Western Union Co. | | | 8,000 | | | | 149,920 | |
Essex Property Trust, Inc. REIT | | | 432 | | | | 149,247 | |
Zurich Insurance Group AG†† | | | 300 | | | | 148,196 | |
Societe Generale S.A.†† | | | 5,000 | | | | 134,075 | |
Mediobanca Banca di Credito Finanziario SpA†† | | | 13,000 | | | | 131,408 | |
Public Storage REIT | | | 329 | | | | 128,402 | |
AvalonBay Communities, Inc. REIT | | | 500 | | | | 124,185 | |
KBC Group N.V.†† | | | 1,700 | | | | 122,008 | |
Gjensidige Forsikring ASA†† | | | 4,700 | | | | 116,577 | |
NN Group N.V.†† | | | 2,000 | | | | 101,386 | |
Mizuho Financial Group, Inc.†† | | | 7,800 | | | | 99,506 | |
Wendel S.A.†† | | | 900 | | | | 91,676 | |
Total Financial | | | | | | | 9,023,259 | |
| | | | | | | | | |
Consumer, Non-cyclical - 16.6% |
Johnson & Johnson | | | 4,460 | | | | 790,446 | |
AbbVie, Inc. | | | 4,089 | | | | 662,868 | |
Bristol-Myers Squibb Co. | | | 8,212 | | | | 599,722 | |
Philip Morris International, Inc. | | | 5,898 | | | | 554,058 | |
Merck & Company, Inc. | | | 6,427 | | | | 527,335 | |
Amgen, Inc. | | | 2,045 | | | | 494,522 | |
Cigna Corp. | | | 2,001 | | | | 479,460 | |
McKesson Corp. | | | 1,500 | | | | 459,195 | |
AmerisourceBergen Corp. — Class A | | | 2,877 | | | | 445,101 | |
Unilever plc†† | | | 9,500 | | | | 431,263 | |
Gilead Sciences, Inc. | | | 6,746 | | | | 401,050 | |
CVS Health Corp. | | | 3,677 | | | | 372,149 | |
Cardinal Health, Inc. | | | 6,425 | | | | 364,298 | |
Kellogg Co. | | | 5,611 | | | | 361,853 | |
Imperial Brands plc†† | | | 16,900 | | | | 355,883 | |
Japan Tobacco, Inc.†† | | | 20,300 | | | | 346,723 | |
Altria Group, Inc. | | | 5,600 | | | | 292,600 | |
Automatic Data Processing, Inc. | | | 1,000 | | | | 227,540 | |
Archer-Daniels-Midland Co. | | | 2,381 | | | | 214,909 | |
Medipal Holdings Corp.†† | | | 12,300 | | | | 202,414 | |
Viatris, Inc. | | | 9,500 | | | | 103,360 | |
Tyson Foods, Inc. — Class A | | | 1,000 | | | | 89,630 | |
Total Consumer, Non-cyclical | | | | | | | 8,776,379 | |
| | | | | | | | | |
Technology - 15.0% |
Apple, Inc. | | | 8,985 | | | | 1,568,871 | |
Microsoft Corp. | | | 5,045 | | | | 1,555,424 | |
Intel Corp. | | | 11,294 | | | | 559,731 | |
Accenture plc — Class A | | | 1,594 | | | | 537,545 | |
Texas Instruments, Inc. | | | 2,857 | | | | 524,202 | |
Oracle Corp. | | | 5,326 | | | | 440,620 | |
International Business Machines Corp. | | | 3,375 | | | | 438,817 | |
HP, Inc. | | | 11,186 | | | | 406,052 | |
Broadridge Financial Solutions, Inc. | | | 2,567 | | | | 399,707 | |
NetApp, Inc. | | | 4,319 | | | | 358,477 | |
Hewlett Packard Enterprise Co. | | | 20,732 | | | | 346,432 | |
NVIDIA Corp. | | | 1,046 | | | | 285,411 | |
KLA Corp. | | | 627 | | | | 229,520 | |
Broadcom, Inc. | | | 300 | | | | 188,904 | |
Intuit, Inc. | | | 220 | | | | 105,785 | |
Total Technology | | | | | | | 7,945,498 | |
| | | | | | | | | |
Communications - 12.4% |
Alphabet, Inc. — Class C* | | | 428 | | | | 1,195,400 | |
Amazon.com, Inc.* | | | 302 | | | | 984,505 | |
Verizon Communications, Inc. | | | 10,990 | | | | 559,831 | |
Motorola Solutions, Inc. | | | 1,744 | | | | 422,397 | |
Comcast Corp. — Class A | | | 8,800 | | | | 412,016 | |
Nippon Telegraph & Telephone Corp.†† | | | 14,000 | | | | 406,811 | |
Thomson Reuters Corp. | | | 3,296 | | | | 357,948 | |
Cisco Systems, Inc. | | | 6,100 | | | | 340,136 | |
Liberty Global plc — Class C* | | | 11,387 | | | | 295,037 | |
Omnicom Group, Inc. | | | 3,000 | | | | 254,640 | |
Corning, Inc. | | | 6,800 | | | | 250,988 | |
Sirius XM Holdings, Inc. | | | 36,100 | | | | 238,982 | |
HKT Trust & HKT Ltd.†† | | | 151,200 | | | | 207,330 | |
Liberty Media Corporation-Liberty SiriusXM — Class C* | | | 4,000 | | | | 182,920 | |
KDDI Corp.†† | | | 4,000 | | | | 131,165 | |
CDW Corp. | | | 700 | | | | 125,223 | |
Telenor ASA†† | | | 6,600 | | | | 94,731 | |
Meta Platforms, Inc. — Class A* | | | 354 | | | | 78,715 | |
Total Communications | | | | | | | 6,538,775 | |
| | | | | | | | | |
Consumer, Cyclical - 10.5% |
Home Depot, Inc. | | | 2,028 | | | | 607,041 | |
McDonald’s Corp. | | | 2,040 | | | | 504,451 | |
Mitsubishi Corp.†† | | | 11,900 | | | | 446,631 | |
Tesla, Inc.* | | | 411 | | | | 442,894 | |
94 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
WORLD EQUITY INCOME FUND | |
| | Shares | | | Value | |
PACCAR, Inc. | | | 4,607 | | | $ | 405,738 | |
Genuine Parts Co. | | | 2,900 | | | | 365,458 | |
Cummins, Inc. | | | 1,545 | | | | 316,895 | |
Best Buy Company, Inc. | | | 3,316 | | | | 301,425 | |
Dollar General Corp. | | | 1,349 | | | | 300,328 | |
Hasbro, Inc. | | | 3,512 | | | | 287,703 | |
Whirlpool Corp. | | | 1,449 | | | | 250,358 | |
Newell Brands, Inc. | | | 10,700 | | | | 229,087 | |
Lear Corp. | | | 1,600 | | | | 228,144 | |
Lowe’s Companies, Inc. | | | 1,045 | | | | 211,289 | |
BorgWarner, Inc. | | | 4,807 | | | | 186,992 | |
Walgreens Boots Alliance, Inc. | | | 4,100 | | | | 183,557 | |
ITOCHU Corp.†† | | | 4,900 | | | | 165,770 | |
Lawson, Inc.†† | | | 3,100 | | | | 118,684 | |
Total Consumer, Cyclical | | | | | | | 5,552,445 | |
| | | | | | | | | |
Industrial - 8.4% |
Waste Connections, Inc. | | | 3,282 | | | | 458,495 | |
Lockheed Martin Corp. | | | 1,026 | | | | 452,876 | |
Northrop Grumman Corp. | | | 925 | | | | 413,679 | |
Packaging Corporation of America | | | 2,575 | | | | 401,983 | |
3M Co. | | | 2,657 | | | | 395,574 | |
TE Connectivity Ltd. | | | 2,672 | | | | 349,979 | |
CK Infrastructure Holdings Ltd.†† | | | 44,900 | | | | 300,165 | |
Aurizon Holdings Ltd.†† | | | 108,600 | | | | 298,562 | |
Amcor plc | | | 26,100 | | | | 295,713 | |
Arrow Electronics, Inc.* | | | 2,100 | | | | 249,123 | |
Poste Italiane SpA††,1 | | | 21,286 | | | | 241,464 | |
Illinois Tool Works, Inc. | | | 1,143 | | | | 239,344 | |
Kyocera Corp.†† | | | 3,700 | | | | 207,079 | |
BAE Systems plc†† | | | 13,000 | | | | 122,055 | |
Total Industrial | | | | | | | 4,426,091 | |
| | | | | | | | | |
Utilities - 6.4% |
Southern Co. | | | 6,950 | | | | 503,945 | |
National Grid plc†† | | | 25,800 | | | | 396,431 | |
SSE plc†† | | | 15,900 | | | | 363,195 | |
Exelon Corp. | | | 6,567 | | | | 312,786 | |
Hong Kong & China Gas Company Ltd.†† | | | 250,000 | | | | 301,996 | |
EDP - Energias de Portugal S.A.†† | | | 54,200 | | | | 266,842 | |
Endesa S.A.†† | | | 11,000 | | | | 239,908 | |
UGI Corp. | | | 6,324 | | | | 229,055 | |
CLP Holdings Ltd.†† | | | 22,000 | | | | 214,069 | |
Power Assets Holdings Ltd. | | | 28,800 | | | | 187,701 | |
Snam SpA†† | | | 31,200 | | | | 179,967 | |
Consolidated Edison, Inc. | | | 1,221 | | | | 115,604 | |
Chubu Electric Power Company, Inc.†† | | | 8,500 | | | | 87,986 | |
Total Utilities | | | | | | | 3,399,485 | |
| | | | | | | | | |
Basic Materials - 6.3% |
Rio Tinto plc†† | | | 6,700 | | | | 535,552 | |
Fortescue Metals Group Ltd.†† | | | 32,900 | | | | 505,833 | |
LyondellBasell Industries N.V. — Class A | | | 4,608 | | | | 473,795 | |
Steel Dynamics, Inc. | | | 5,485 | | | | 457,614 | |
International Paper Co. | | | 8,210 | | | | 378,891 | |
Celanese Corp. — Class A | | | 2,363 | | | | 337,602 | |
Nutrien Ltd. | | | 2,844 | | | | 294,046 | |
Eastman Chemical Co. | | | 2,200 | | | | 246,532 | |
Solvay S.A.*,†† | | | 1,000 | | | | 98,583 | |
Total Basic Materials | | | | | | | 3,328,448 | |
| | | | | | | | | |
Energy - 5.4% |
Suncor Energy, Inc. | | | 15,659 | | | | 509,934 | |
BP plc†† | | | 88,700 | | | | 434,782 | |
TC Energy Corp. | | | 7,600 | | | | 428,766 | |
Tourmaline Oil Corp. | | | 8,021 | | | | 369,664 | |
Eni SpA†† | | | 24,000 | | | | 350,096 | |
ENEOS Holdings, Inc.†† | | | 80,000 | | | | 299,140 | |
Valero Energy Corp. | | | 1,722 | | | | 174,852 | |
Phillips 66 | | | 1,617 | | | | 139,693 | |
Repsol S.A.†† | | | 9,500 | | | | 124,477 | |
Total Energy | | | | | | | 2,831,404 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $48,469,993) | | | | | | | 51,821,784 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 0.8% |
iShares MSCI EAFE ETF | | | 2,966 | | | | 218,298 | |
SPDR S&P 500 ETF Trust | | | 452 | | | | 204,141 | |
Total Exchange-Traded Funds | | | | |
(Cost $409,435) | | | | | | | 422,439 | |
| | | | | | | | | |
MONEY MARKET FUND† - 0.3% |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.16%2 | | | 179,725 | | | | 179,725 | |
Total Money Market Fund | | | | |
(Cost $179,725) | | | | | | | 179,725 | |
| | | | | | | | | |
Total Investments - 99.2% | | | | |
(Cost $49,059,153) | | $ | 52,423,948 | |
Other Assets & Liabilities, net - 0.8% | | | 401,196 | |
Total Net Assets - 100.0% | | $ | 52,825,144 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 95 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
WORLD EQUITY INCOME FUND | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Currency Futures Contracts Sold Short† |
Japanese Yen Futures Contracts | | | 28 | | | | Jun 2022 | | | $ | 2,880,500 | | | $ | 73,407 | |
British Pound Futures Contracts | | | 35 | | | | Jun 2022 | | | | 2,872,844 | | | | 8,080 | |
| | | | | | | | | | | $ | 5,753,344 | | | $ | 81,487 | |
* | 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 | 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 $480,864 (cost $558,603), or 0.9% of total net assets. |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | 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 March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 37,700,495 | | | $ | 14,121,289 | | | $ | — | | | $ | 51,821,784 | |
Exchange-Traded Funds | | | 422,439 | | | | — | | | | — | | | | 422,439 | |
Money Market Fund | | | 179,725 | | | | — | | | | — | | | | 179,725 | |
Currency Futures Contracts** | | | 81,487 | | | | — | | | | — | | | | 81,487 | |
Total Assets | | $ | 38,384,146 | | | $ | 14,121,289 | | | $ | — | | | $ | 52,505,435 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
96 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
March 31, 2022 |
Assets: |
Investments, at value (cost $49,059,153) | | $ | 52,423,948 | |
Foreign currency, at value (cost 45,362) | | | 43,214 | |
Cash | | | 172 | |
Segregated cash with broker | | | 168,000 | |
Prepaid expenses | | | 44,392 | |
Receivables: |
Dividends | | | 162,721 | |
Foreign tax reclaims | | | 73,770 | |
Fund shares sold | | | 9,246 | |
Interest | | | 14 | |
Total assets | | | 52,925,477 | |
| | | | | |
Liabilities: |
Payable for: |
Management fees | | | 24,688 | |
Professional fees | | | 19,341 | |
Distribution and service fees | | | 11,899 | |
Trustees’ fees* | | | 10,663 | |
Fund shares redeemed | | | 8,627 | |
Distributions to shareholders | | | 6,380 | |
Transfer agent/maintenance fees | | | 4,900 | |
Fund accounting/administration fees | | | 4,547 | |
Variation margin on futures contracts | | | 525 | |
Miscellaneous | | | 8,763 | |
Total liabilities | | | 100,333 | |
Net assets | | $ | 52,825,144 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 48,162,175 | |
Total distributable earnings (loss) | | | 4,662,969 | |
Net assets | | $ | 52,825,144 | |
| | | | | |
A-Class: |
Net assets | | $ | 44,105,772 | |
Capital shares outstanding | | | 2,883,104 | |
Net asset value per share | | $ | 15.30 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 16.06 | |
| | | | | |
C-Class: |
Net assets | | $ | 3,235,113 | |
Capital shares outstanding | | | 259,034 | |
Net asset value per share | | $ | 12.49 | |
| | | | | |
P-Class: |
Net assets | | $ | 111,509 | |
Capital shares outstanding | | | 7,202 | |
Net asset value per share | | $ | 15.48 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 5,372,750 | |
Capital shares outstanding | | | 353,791 | |
Net asset value per share | | $ | 15.19 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $42,877) | | $ | 719,409 | |
Total investment income | | | 719,409 | |
| | | | | |
Expenses: |
Management fees | | | 183,245 | |
Distribution and service fees: |
A-Class | | | 56,127 | |
C-Class | | | 16,249 | |
P-Class | | | 146 | |
Transfer agent/maintenance fees: |
A-Class | | | 17,292 | |
C-Class | | | 2,874 | |
P-Class | | | 157 | |
Institutional Class | | | 1,526 | |
Registration fees | | | 33,869 | |
Fund accounting/administration fees | | | 20,948 | |
Professional fees | | | 17,920 | |
Trustees’ fees* | | | 8,084 | |
Custodian fees | | | 6,247 | |
Line of credit fees | | | 812 | |
Interest expense | | | 49 | |
Miscellaneous | | | 2,518 | |
Total expenses | | | 368,063 | |
Less: |
Expenses reimbursed by Adviser: |
A-Class | | | (17,290 | ) |
C-Class | | | (2,875 | ) |
P-Class | | | (157 | ) |
Institutional Class | | | (1,526 | ) |
Expenses waived by Adviser | | | (22,804 | ) |
Total waived/reimbursed expenses | | | (44,652 | ) |
Net expenses | | | 323,411 | |
Net investment income | | | 395,998 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 1,337,752 | |
Futures contracts | | | (128,777 | ) |
Foreign currency transactions | | | (5,829 | ) |
Net realized gain | | | 1,203,146 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 609,794 | |
Futures contracts | | | 93,085 | |
Foreign currency translations | | | (6,177 | ) |
Net change in unrealized appreciation (depreciation) | | | 696,702 | |
Net realized and unrealized gain | | | 1,899,848 | |
Net increase in net assets resulting from operations | | $ | 2,295,846 | |
* | 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 SEMI-ANNUAL REPORT | 97 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 395,998 | | | $ | 762,622 | |
Net realized gain on investments | | | 1,203,146 | | | | 12,880,078 | |
Net change in unrealized appreciation (depreciation) on investments | | | 696,702 | | | | (2,137,068 | ) |
Net increase in net assets resulting from operations | | | 2,295,846 | | | | 11,505,632 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (10,213,331 | ) | | | (878,652 | ) |
C-Class | | | (846,472 | ) | | | (42,902 | ) |
P-Class | | | (27,308 | ) | | | (2,092 | ) |
Institutional Class | | | (888,161 | ) | | | (67,115 | ) |
Total distributions to shareholders | | | (11,975,272 | ) | | | (990,761 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 738,218 | | | | 2,117,138 | |
C-Class | | | 179,742 | | | | 593,534 | |
P-Class | | | 90 | | | | 21,774 | |
Institutional Class | | | 3,267,480 | | | | 628,784 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 9,743,221 | | | | 847,352 | |
C-Class | | | 843,131 | | | | 42,591 | |
P-Class | | | 27,308 | | | | 2,092 | |
Institutional Class | | | 882,778 | | | | 66,615 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (2,500,286 | ) | | | (5,732,483 | ) |
C-Class | | | (306,698 | ) | | | (984,650 | ) |
P-Class | | | (11,878 | ) | | | (19,188 | ) |
Institutional Class | | | (1,028,274 | ) | | | (839,632 | ) |
Net increase (decrease) from capital share transactions | | | 11,834,832 | | | | (3,256,073 | ) |
Net increase in net assets | | | 2,155,406 | | | | 7,258,798 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 50,669,738 | | | | 43,410,940 | |
End of period | | $ | 52,825,144 | | | $ | 50,669,738 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 44,563 | | | | 116,957 | |
C-Class | | | 13,979 | | | | 38,329 | |
P-Class | | | 5 | | | | 1,170 | |
Institutional Class | | | 204,809 | | | | 35,268 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 620,082 | | | | 46,434 | |
C-Class | | | 65,729 | | | | 2,739 | |
P-Class | | | 1,717 | | | | 113 | |
Institutional Class | | | 56,595 | | | | 3,667 | |
Shares redeemed | | | | | | | | |
A-Class | | | (148,544 | ) | | | (318,411 | ) |
C-Class | | | (22,204 | ) | | | (64,340 | ) |
P-Class | | | (747 | ) | | | (1,237 | ) |
Institutional Class | | | (68,002 | ) | | | (46,787 | ) |
Net increase (decrease) in shares | | | 767,982 | | | | (186,098 | ) |
98 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 18.73 | | | $ | 15.03 | | | $ | 15.26 | | | $ | 15.77 | | | $ | 14.84 | | | $ | 13.54 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .13 | | | | .28 | | | | .20 | | | | .35 | | | | .23 | | | | .31 | |
Net gain (loss) on investments (realized and unrealized) | | | .81 | | | | 3.79 | | | | (.12 | )h | | | (.36 | ) | | | .95 | | | | 1.34 | |
Total from investment operations | | | .94 | | | | 4.07 | | | | .08 | | | | (.01 | ) | | | 1.18 | | | | 1.65 | |
Less distributions from: |
Net investment income | | | (.15 | ) | | | (.34 | ) | | | (.27 | ) | | | (.37 | ) | | | (.25 | ) | | | (.35 | ) |
Net realized gains | | | (4.22 | ) | | | (.03 | ) | | | (.04 | ) | | | (.13 | ) | | | — | | | | — | |
Total distributions | | | (4.37 | ) | | | (.37 | ) | | | (.31 | ) | | | (.50 | ) | | | (.25 | ) | | | (.35 | ) |
Net asset value, end of period | | $ | 15.30 | | | $ | 18.73 | | | $ | 15.03 | | | $ | 15.26 | | | $ | 15.77 | | | $ | 14.84 | |
|
Total Returnc | | | 4.53 | % | | | 27.13 | % | | | 0.60 | % | | | 0.14 | % | | | 8.01 | % | | | 12.31 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 44,106 | | | $ | 44,337 | | | $ | 37,911 | | | $ | 60,639 | | | $ | 67,679 | | | $ | 80,598 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.52 | % | | | 1.55 | % | | | 1.36 | % | | | 2.39 | % | | | 1.48 | % | | | 2.23 | % |
Total expensesd | | | 1.37 | % | | | 1.45 | % | | | 1.48 | % | | | 1.37 | % | | | 1.37 | % | | | 1.34 | % |
Net expensese,f,g | | | 1.21 | % | | | 1.21 | % | | | 1.22 | % | | | 1.22 | % | | | 1.22 | % | | | 1.24 | % |
Portfolio turnover rate | | | 88 | % | | | 191 | % | | | 192 | % | | | 127 | % | | | 125 | % | | | 94 | % |
C-Class | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 16.03 | | | $ | 12.87 | | | $ | 13.06 | | | $ | 13.53 | | | $ | 12.72 | | | $ | 11.63 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .06 | | | | .13 | | | | .08 | | | | .21 | | | | .09 | | | | .19 | |
Net gain (loss) on investments (realized and unrealized) | | | .70 | | | | 3.24 | | | | (.10 | )h | | | (.33 | ) | | | .83 | | | | 1.13 | |
Total from investment operations | | | .76 | | | | 3.37 | | | | (.02 | ) | | | (.12 | ) | | | .92 | | | | 1.32 | |
Less distributions from: |
Net investment income | | | (.08 | ) | | | (.18 | ) | | | (.13 | ) | | | (.22 | ) | | | (.11 | ) | | | (.23 | ) |
Net realized gains | | | (4.22 | ) | | | (.03 | ) | | | (.04 | ) | | | (.13 | ) | | | — | | | | — | |
Total distributions | | | (4.30 | ) | | | (.21 | ) | | | (.17 | ) | | | (.35 | ) | | | (.11 | ) | | | (.23 | ) |
Net asset value, end of period | | $ | 12.49 | | | $ | 16.03 | | | $ | 12.87 | | | $ | 13.06 | | | $ | 13.53 | | | $ | 12.72 | |
|
Total Returnc | | | 4.10 | % | | | 26.22 | % | | | (0.13 | %) | | | (0.69 | %) | | | 7.27 | % | | | 11.46 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,235 | | | $ | 3,230 | | | $ | 2,893 | | | $ | 3,366 | | | $ | 4,215 | | | $ | 6,449 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.78 | % | | | 0.81 | % | | | 0.67 | % | | | 1.64 | % | | | 0.71 | % | | | 1.53 | % |
Total expensesd | | | 2.22 | % | | | 2.28 | % | | | 2.40 | % | | | 2.28 | % | | | 2.18 | % | | | 2.19 | % |
Net expensese,f,g | | | 1.96 | % | | | 1.96 | % | | | 1.97 | % | | | 1.97 | % | | | 1.97 | % | | | 1.99 | % |
Portfolio turnover rate | | | 88 | % | | | 191 | % | | | 192 | % | | | 127 | % | | | 125 | % | | | 94 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 99 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 18.91 | | | $ | 15.17 | | | $ | 15.38 | | | $ | 15.92 | | | $ | 15.08 | | | $ | 13.73 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .13 | | | | .30 | | | | .20 | | | | .36 | | | | .24 | | | | .33 | |
Net gain (loss) on investments (realized and unrealized) | | | .81 | | | | 3.80 | | | | (.11 | )h | | | (.39 | ) | | | .95 | | | | 1.35 | |
Total from investment operations | | | .94 | | | | 4.10 | | | | .09 | | | | (.03 | ) | | | 1.19 | | | | 1.68 | |
Less distributions from: |
Net investment income | | | (.15 | ) | | | (.33 | ) | | | (.26 | ) | | | (.38 | ) | | | (.35 | ) | | | (.33 | ) |
Net realized gains | | | (4.22 | ) | | | (.03 | ) | | | (.04 | ) | | | (.13 | ) | | | — | | | | — | |
Total distributions | | | (4.37 | ) | | | (.36 | ) | | | (.30 | ) | | | (.51 | ) | | | (.35 | ) | | | (.33 | ) |
Net asset value, end of period | | $ | 15.48 | | | $ | 18.91 | | | $ | 15.17 | | | $ | 15.38 | | | $ | 15.92 | | | $ | 15.08 | |
|
Total Return | | | 4.48 | % | | | 27.10 | % | | | 0.66 | % | | | 0.06 | % | | | 7.99 | % | | | 12.32 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 112 | | | $ | 118 | | | $ | 94 | | | $ | 129 | | | $ | 195 | | | $ | 355 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.52 | % | | | 1.61 | % | | | 1.36 | % | | | 2.38 | % | | | 1.50 | % | | | 2.28 | % |
Total expensesd | | | 1.56 | % | | | 1.53 | % | | | 1.56 | % | | | 1.44 | % | | �� | 1.40 | % | | | 1.76 | % |
Net expensese,f,g | | | 1.21 | % | | | 1.21 | % | | | 1.22 | % | | | 1.22 | % | | | 1.22 | % | | | 1.24 | % |
Portfolio turnover rate | | | 88 | % | | | 191 | % | | | 192 | % | | | 127 | % | | | 125 | % | | | 94 | % |
100 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 18.61 | | | $ | 14.94 | | | $ | 15.16 | | | $ | 15.71 | | | $ | 14.74 | | | $ | 13.44 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .16 | | | | .33 | | | | .25 | | | | .39 | | | | .29 | | | | .35 | |
Net gain (loss) on investments (realized and unrealized) | | | .80 | | | | 3.75 | | | | (.13 | )h | | | (.37 | ) | | | .93 | | | | 1.33 | |
Total from investment operations | | | .96 | | | | 4.08 | | | | .12 | | | | .02 | | | | 1.22 | | | | 1.68 | |
Less distributions from: |
Net investment income | | | (.16 | ) | | | (.38 | ) | | | (.30 | ) | | | (.44 | ) | | | (.25 | ) | | | (.38 | ) |
Net realized gains | | | (4.22 | ) | | | (.03 | ) | | | (.04 | ) | | | (.13 | ) | | | — | | | | — | |
Total distributions | | | (4.38 | ) | | | (.41 | ) | | | (.34 | ) | | | (.57 | ) | | | (.25 | ) | | | (.38 | ) |
Net asset value, end of period | | $ | 15.19 | | | $ | 18.61 | | | $ | 14.94 | | | $ | 15.16 | | | $ | 15.71 | | | $ | 14.74 | |
|
Total Return | | | 4.68 | % | | | 27.38 | % | | | 0.92 | % | | | 0.40 | % | | | 8.34 | % | | | 12.61 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,373 | | | $ | 2,985 | | | $ | 2,513 | | | $ | 3,458 | | | $ | 19,589 | | | $ | 3,734 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.96 | % | | | 1.82 | % | | | 1.66 | % | | | 2.67 | % | | | 1.85 | % | | | 2.50 | % |
Total expensesd | | | 1.12 | % | | | 1.21 | % | | | 1.50 | % | | | 1.17 | % | | | 1.02 | % | | | 1.09 | % |
Net expensese,f,g | | | 0.96 | % | | | 0.96 | % | | | 0.97 | % | | | 0.97 | % | | | 0.97 | % | | | 0.98 | % |
Portfolio turnover rate | | | 88 | % | | | 191 | % | | | 192 | % | | | 127 | % | | | 125 | % | | | 94 | % |
a | Unaudited figures for the period ended March 31, 2022. 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 | 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 periods presented was as follows: |
| | | 03/31/22a | 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% |
g | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods presented would be: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 1.21% | 1.21% | 1.22% | 1.22% | 1.22% | 1.22% |
| | C-Class | 1.95% | 1.96% | 1.97% | 1.97% | 1.97% | 1.97% |
| | P-Class | 1.21% | 1.21% | 1.22% | 1.22% | 1.22% | 1.22% |
| | Institutional Class | 0.96% | 0.96% | 0.97% | 0.97% | 0.97% | 0.96% |
h | 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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 101 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
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 March 31, 2022, the Trust consisted of nineteen funds.
This report covers the following funds (collectively, the “Funds”):
Fund Name | Investment
Company Type |
Alpha Opportunity Fund | Diversified |
Large Cap Value Fund | Diversified |
Market Neutral Real Estate Fund | Non-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 March 31, 2022, 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
102 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 103 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
(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 March 31, 2022, 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.
104 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 period ended March 31, 2022, 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 0.33% at March 31, 2022.
(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 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:
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
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 105 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 | | $ | 4,333,315 | | | $ | — | |
StylePlus—Mid Growth Fund | Index exposure | | | 2,495,863 | | | | — | |
World Equity Income Fund | Hedge | | | — | | | | 3,005,388 | |
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 | | $ | 217,564,656 | | | $ | — | |
StylePlus—Mid Growth Fund | Index exposure | | | 83,237,258 | | | | — | |
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 | | $ | 16,617,905 | | | $ | 29,441,488 | |
Market Neutral Real Estate Fund | Hedge | | | — | | | | 41,079,540 | |
Risk Managed Real Estate Fund | Hedge, Leverage | | | 139,303,817 | | | | 107,753,025 | |
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 March 31, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Currency/Equity futures contracts | | Variation margin on futures contracts |
Equity swap contracts | Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
106 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at March 31, 2022:
Asset Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk* | | | Total Value at
March 31,
2022 | |
Alpha Opportunity Fund | | $ | — | | | $ | 398,946 | | | $ | — | | | $ | 398,946 | |
Risk Managed Real Estate Fund | | | — | | | | 16,378,109 | | | | — | | | | 16,378,109 | |
StylePlus—Large Core Fund | | | 123,019 | | | | — | | | | — | | | | 123,019 | |
StylePlus—Mid Growth Fund | | | 198,999 | | | | — | | | | — | | | | 198,999 | |
World Equity Income Fund | | | — | | | | — | | | | 81,487 | | | | 81,487 | |
Liability Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk* | | | Total Value at
March 31,
2022 | |
Alpha Opportunity Fund | | $ | — | | | $ | 900,352 | | | $ | — | | | $ | 900,352 | |
Market Neutral Real Estate Fund | | | — | | | | 1,896,500 | | | | — | | | | 1,896,500 | |
Risk Managed Real Estate Fund | | | — | | | | 2,132,072 | | | | — | | | | 2,132,072 | |
StylePlus—Large Core Fund | | | — | | | | 712,121 | | | | — | | | | 712,121 | |
StylePlus—Mid Growth Fund | | | — | | | | 9,864,377 | | | | — | | | | 9,864,377 | |
* | 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 period ended March 31, 2022:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Currency/Equity 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 period ended March 31, 2022:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk | | | Total | |
Alpha Opportunity Fund | | $ | — | | | $ | (589,102 | ) | | $ | — | | | $ | (589,102 | ) |
Market Neutral Real Estate Fund | | | — | | | | (3,440,763 | ) | | | — | | | | (3,440,763 | ) |
Risk Managed Real Estate Fund | | | — | | | | (2,430,728 | ) | | | — | | | | (2,430,728 | ) |
StylePlus—Large Core Fund | | | (187,364 | ) | | | 64,631,902 | | | | — | | | | 64,444,538 | |
StylePlus—Mid Growth Fund | | | (158,008 | ) | | | 22,499,149 | | | | — | | | | 22,341,141 | |
World Equity Income Fund | | | — | | | | — | | | | (128,777 | ) | | | (128,777 | ) |
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk | | | Total | |
Alpha Opportunity Fund | | $ | — | | | $ | (228,495 | ) | | $ | — | | | $ | (228,495 | ) |
Market Neutral Real Estate Fund | | | — | | | | 250,800 | | | | — | | | | 250,800 | |
Risk Managed Real Estate Fund | | | — | | | | 5,343,285 | | | | — | | | | 5,343,285 | |
StylePlus—Large Core Fund | | | 318,910 | | | | (52,864,815 | ) | | | — | | | | (52,545,905 | ) |
StylePlus—Mid Growth Fund | | | 198,999 | | | | (31,630,979 | ) | | | — | | | | (31,431,980 | ) |
World Equity Income Fund | | | — | | | | — | | | | 93,085 | | | | 93,085 | |
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.
108 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Assets1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Assets
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received | | | Net
Amount | |
Alpha Opportunity Fund | Custom basket swap agreements | | $ | 398,946 | | | | — | | | $ | 398,946 | | | $ | (398,946 | ) | | $ | — | | | $ | — | |
Risk Managed Real Estate Fund | Custom basket swap agreements | | | 16,378,109 | | | | — | | | | 16,378,109 | | | | (2,132,072 | ) | | | (6,575,030 | ) | | | 7,671,007 | |
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Liabilities
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
Alpha Opportunity Fund | Custom basket swap agreements | | $ | 900,352 | | | $ | — | | | $ | 900,352 | | | $ | (900,352 | ) | | $ | — | | | $ | — | |
Market Neutral Real Estate Fund | Custom basket swap agreements | | | 1,896,500 | | | | — | | | | 1,896,500 | | | | (1,896,500 | ) | | | — | | | | — | |
Risk Managed Real Estate Fund | Custom basket swap agreements | | | 2,132,072 | | | | — | | | | 2,132,072 | | | | (2,132,072 | ) | | | — | | | | — | |
StylePlus—Large Core Fund | Swap equity contracts | | | 712,121 | | | | — | | | | 712,121 | | | | — | | | | — | | | | 712,121 | |
StylePlus—Mid Growth Fund | Swap equity contracts | | | 9,864,377 | | | | — | | | | 9,864,377 | | | | — | | | | (8,980,000 | ) | | | 884,377 | |
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 March 31, 2022.
Fund | Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Risk Managed Real Estate Fund | Morgan Stanley Capital Services LLC | Custom basket swap agreements | | $ | — | | | $ | 6,575,030 | |
StylePlus—Large Core Fund | Morgan Stanley Capital Services LLC | Futures contracts | | | 110,500 | | | | — | |
| Wells Fargo Bank, N.A. | Total return swap agreements | | | — | | | | 2,270,000 | |
StylePlus—Large Core Fund Total | | | | | 110,500 | | | | 2,270,000 | |
StylePlus—Mid Growth Fund | Citibank, N.A. | Total return swap agreements | | | 8,980,000 | | | | — | |
| Morgan Stanley Capital Services LLC | Futures contracts | | | 140,000 | | | | — | |
StylePlus—Mid Growth Fund Total | | | | | 9,120,000 | | | | — | |
World Equity Income Fund | BofA Securities, Inc. | Futures contracts | | | 168,000 | | | | — | |
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. |
110 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 – 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
(as a % of Net Assets) | |
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
Date | | | Contract
End Date | |
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 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 111 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
| | Limit | | | Effective
Date | | | Contract
End Date | |
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 | |
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 March 31, 2022, 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 | | | 2025 | | | Fund
Total | |
Alpha Opportunity Fund | | | | | | | | | | | | | | | | | | | | |
A-Class | | $ | — | | | $ | 883 | | | $ | 5,716 | | | $ | 1,750 | | | $ | 8,349 | |
C-Class | | | 541 | | | | 949 | | | | 739 | | | | 316 | | | | 2,545 | |
P-Class | | | — | | | | 52 | | | | 3,390 | | | | 454 | | | | 3,896 | |
Institutional Class | | | — | | | | — | | | | 8,793 | | | | 2,482 | | | | 11,275 | |
Large Cap Value Fund | | | | | | | | | | | | | | | | | | | | |
A-Class | | | 75,889 | | | | 123,000 | | | | 115,360 | | | | 48,349 | | | | 362,598 | |
C-Class | | | 5,285 | | | | 6,365 | | | | 5,446 | | | | 2,581 | | | | 19,677 | |
P-Class | | | 627 | | | | 1,005 | | | | 961 | | | | 390 | | | | 2,983 | |
Institutional Class | | | 8,178 | | | | 2,945 | | | | 3,072 | | | | 1,465 | | | | 15,660 | |
Market Neutral Real Estate Fund | | | | | | | | | | | | | | | | | | | | |
A-Class | | | 48,656 | | | | 55,287 | | | | 20,606 | | | | 4,494 | | | | 129,043 | |
C-Class | | | 2,325 | | | | 1,909 | | | | 888 | | | | 254 | | | | 5,376 | |
P-Class | | | 5,318 | | | | 8,658 | | | | 15,753 | | | | 3,006 | | | | 32,735 | |
Institutional Class | | | 87,748 | | | | 79,024 | | | | 103,050 | | | | 50,520 | | | | 320,342 | |
Risk Managed Real Estate Fund | | | | | | | | | | | | | | | | | | | | |
A-Class | | | — | | | | — | | | | — | | | | 1,489 | | | | 1,489 | |
C-Class | | | — | | | | 41 | | | | 501 | | | | 1,135 | | | | 1,677 | |
P-Class | | | — | | | | — | | | | 2,566 | | | | 3,492 | | | | 6,058 | |
Institutional Class | | | — | | | | — | | | | — | | | | 45,505 | | | | 45,505 | |
Small Cap Value Fund | | | | | | | | | | | | | | | | | | | | |
A-Class | | | 78,095 | | | | 118,318 | | | | 126,091 | | | | 49,127 | | | | 371,631 | |
C-Class | | | 16,657 | | | | 25,348 | | | | 24,783 | | | | 8,565 | | | | 75,353 | |
P-Class | | | 446 | | | | 1,268 | | | | 1,282 | | | | 688 | | | | 3,684 | |
Institutional Class | | | 27,841 | | | | 35,467 | | | | 38,236 | | | | 19,701 | | | | 121,245 | |
World Equity Income Fund | | | | | | | | | | | | | | | | | | | | |
A-Class | | | 79,666 | | | | 120,308 | | | | 103,050 | | | | 36,896 | | | | 339,920 | |
C-Class | | | 10,415 | | | | 13,263 | | | | 10,532 | | | | 4,293 | | | | 38,503 | |
P-Class | | | 293 | | | | 359 | | | | 336 | | | | 208 | | | | 1,196 | |
Institutional Class | | | 24,912 | | | | 16,027 | | | | 7,366 | | | | 3,255 | | | | 51,560 | |
For the period ended March 31, 2022, GI recouped amounts from the Funds as follows:
Alpha Opportunity Fund | | $ | 13,596 | |
Market Neutral Real Estate Fund | | | 4,942 | |
Risk Managed Real Estate Fund | | | 27,464 | |
112 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 period ended March 31, 2022, the following Funds waived fees related to investments in affiliated funds:
Fund | | Amount Waived | |
StylePlus—Large Core Fund | | $ | 77,236 | |
StylePlus—Mid Growth Fund | | | 14,512 | |
For the period ended March 31, 2022, GFD retained sales charges of $94,675 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 March 31, 2022, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:
Fund | | Percent of Outstanding
Shares Owned | |
Alpha Opportunity Fund | | | 74 | % |
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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 113 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At March 31, 2022, 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 Cost | | | Tax Unrealized
Appreciation | | | Tax Unrealized
Depreciation | | | Net Unrealized
Appreciation/
(Depreciation) | |
Alpha Opportunity Fund | | $ | 33,957,345 | | | $ | 2,152,113 | | | $ | (2,548,323 | ) | | $ | (396,210 | ) |
Large Cap Value Fund | | | 29,807,004 | | | | 11,694,493 | | | | (321,953 | ) | | | 11,372,540 | |
Market Neutral Real Estate Fund | | | 51,355,461 | | | | 4,841,037 | | | | (2,233,611 | ) | | | 2,607,426 | |
Risk Managed Real Estate Fund | | | 431,793,343 | | | | 114,445,329 | | | | (6,616,213 | ) | | | 107,829,116 | |
Small Cap Value Fund | | | 6,225,254 | | | | 1,537,204 | | | | (355,635 | ) | | | 1,181,569 | |
StylePlus—Large Core Fund | | | 259,287,727 | | | | 6,118,484 | | | | (4,909,765 | ) | | | 1,208,719 | |
StylePlus—Mid Growth Fund | | | 97,431,318 | | | | 1,270,483 | | | | (12,162,851 | ) | | | (10,892,368 | ) |
World Equity Income Fund | | | 49,205,684 | | | | 5,938,133 | | | | (2,638,382 | ) | | | 3,299,751 | |
Note 7 – Securities Transactions
For the period ended March 31, 2022, 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 | | $ | 34,225,600 | | | $ | 35,613,504 | |
Large Cap Value Fund | | | 5,911,343 | | | | 7,149,454 | |
Market Neutral Real Estate Fund | | | 3,451,032 | | | | 21,327,365 | |
Risk Managed Real Estate Fund | | | 154,190,221 | | | | 150,687,886 | |
Small Cap Value Fund | | | 1,799,150 | | | | 1,407,954 | |
StylePlus—Large Core Fund | | | 76,800,758 | | | | 80,056,728 | |
StylePlus—Mid Growth Fund | | | 30,872,256 | | | | 47,866,855 | |
World Equity Income Fund | | | 45,581,396 | | | | 45,330,120 | |
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%.
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 period ended March 31, 2022.
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 March 31, 2022, 74.4% 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
114 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
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 and Other Market Risks.
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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 SEMI-ANNUAL REPORT | 115 |
OTHER INFORMATION (Unaudited) |
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.
116 | THE GUGGENHEIM FUNDS SEMI-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, upon request, by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address*
and Year of Birth | Position(s) Held
with Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022; Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
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). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 117 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s) Held
with Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - continued | | |
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); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
118 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s) Held
with Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 119 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s) Held
with Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022);Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | 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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income 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. |
120 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s) Held
with Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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 President of Mutual Funds Boards, 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); Managing 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) |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s) Held
with Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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: Director, 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. |
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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 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 SEMI-ANNUAL REPORT | 123 |
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 SEMI-ANNUAL REPORT | 125 |
3.31.2022
Guggenheim Funds Semi-Annual Report
|
Guggenheim Diversified Income Fund | | |
Guggenheim High Yield Fund | | |
Guggenheim Core Bond Fund |
Guggenheim Municipal Income Fund | | |
GuggenheimInvestments.com | SBINC-SEMI-0322x0922 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
DIVERSIFIED INCOME FUND | 9 |
HIGH YIELD FUND | 18 |
CORE BOND FUND | 36 |
MUNICIPAL INCOME FUND | 63 |
NOTES TO FINANCIAL STATEMENTS | 77 |
OTHER INFORMATION | 95 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 96 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 102 |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1 |
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 semi-annual period ended March 31, 2022.
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.
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,
April 30, 2022
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 and Other Market Risks. The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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
2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
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 SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 31, 2022 |
In the six-months ended March 31, 2022, the yield on the two-year Treasury rose 200 basis points to 2.28% from 0.28%, and the 10-year Treasury increased by 80 basis points to 2.32% from 1.52%. The spread between the two-year Treasury and 10-year Treasury narrowed to 4 basis points from 124 basis points as the curve flattened amid market volatility resulting from Russia’s attack on Ukraine, COVID-19 shutdowns in China, and the commencement of rate hikes by the Federal Reserve (the “Fed”). One basis point is equal to 0.01%.
Nevertheless, the U.S. economy appears to remain on a strong footing. The Institute of Supply Management’s March Services Purchasing Managers’ Index showed a continued recovery in the services sector with business activity, employment, and new orders all rising. The March consumer price index (“CPI”) report was encouraging, with core CPI coming in lower than expected at 0.32% month over month, slightly below expectations of 0.5%.
Economic strength continues to embolden the Fed to move aggressively as it attempts to rein in inflation by raising interest rates and shrinking its balance sheet. The Fed is increasingly concerned about inflation and will act aggressively to get monetary policy to what they view is a more appropriate stance. In a recent speech, Lael Brainard, one of the Federal Open Market Committee’s (“FOMC”) traditionally more dovish members, referenced a “rapid pace” of balance sheet reduction and an “expeditious increase” in the fed funds rate, which caused market expectations for the degree of monetary tightening to ramp up.
Brainard’s shift in tone was echoed in the release of the minutes from the March FOMC meeting. The minutes were highly focused on elevated inflation and risks that inflation could stay well above target, as well mentions of an extremely tight labor market. The minutes repeated the phrase that monetary policy would move expeditiously, and contained a section that mentioned many participants would have voted for a 50-basis-point rate hike in March if it weren’t for the uncertainty resulting from the outbreak of war in Ukraine. Given this language, the 50-basis point move at the May meeting and Fed Chair Jerome Powell’s telegraphing of further 50-basis point hikes came as no surprise. The Fed’s strategy at this point is to get rates back to a neutral level as fast as possible, and then see how far into restrictive territory they need to go based on how the economic and financial market data evolve.
A hawkish Fed has historically paved the way for a bullish approach to bonds. Indeed, we believe many fixed-income sectors are now pricing at compelling levels after enduring a first quarter marked by sharply rising yields, a flattening of the Treasury yield curve, and widening spreads. As the Fed races to raise rates during a period of U.S. economic strength and in the face of several global challenges, we remain diligent in our search for attractive entry points exposed by recent market volatility.
For the six-month period ended March 31, 2022, the S&P 500® Index* returned 5.92%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -3.38%. The return of the MSCI Emerging Markets Index* was -8.20%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -5.92% return for the six-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -4.16%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.05% for the six-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 SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2022 |
*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 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 SEMI-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 September 30, 2021 and ending March 31, 2022.
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 SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
Diversified Income Fund | | | | | |
A-Class | 0.76% | (0.04%) | $ 1,000.00 | $ 999.60 | $ 3.79 |
C-Class | 1.51% | (0.39%) | 1,000.00 | 996.10 | 7.51 |
P-Class | 0.77% | (0.05%) | 1,000.00 | 999.50 | 3.84 |
Institutional Class | 0.51% | 0.12% | 1,000.00 | 1,001.20 | 2.54 |
High Yield Fund | | | | | |
A-Class | 1.08% | (3.47%) | 1,000.00 | 965.30 | 5.29 |
C-Class | 1.90% | (3.82%) | 1,000.00 | 961.80 | 9.29 |
P-Class | 1.16% | (3.51%) | 1,000.00 | 964.90 | 5.68 |
Institutional Class | 0.87% | (3.30%) | 1,000.00 | 967.00 | 4.27 |
R6-Class | 0.75% | (3.35%) | 1,000.00 | 966.50 | 3.68 |
Core Bond Fund | | | | | |
A-Class | 0.78% | (7.08%) | 1,000.00 | 929.20 | 3.75 |
C-Class | 1.53% | (7.41%) | 1,000.00 | 925.90 | 7.35 |
P-Class | 0.78% | (7.02%) | 1,000.00 | 929.80 | 3.75 |
Institutional Class | 0.49% | (6.90%) | 1,000.00 | 931.00 | 2.36 |
Municipal Income Fund | | | | | |
A-Class | 0.79% | (8.49%) | 1,000.00 | 915.10 | 3.77 |
C-Class | 1.54% | (8.84%) | 1,000.00 | 911.60 | 7.34 |
P-Class | 0.79% | (8.50%) | 1,000.00 | 915.00 | 3.77 |
Institutional Class | 0.54% | (8.37%) | 1,000.00 | 916.30 | 2.58 |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
Diversified Income Fund | | | | | |
A-Class | 0.76% | 5.00% | $ 1,000.00 | $ 1,021.14 | $ 3.83 |
C-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
P-Class | 0.77% | 5.00% | 1,000.00 | 1,021.09 | 3.88 |
Institutional Class | 0.51% | 5.00% | 1,000.00 | 1,022.39 | 2.57 |
High Yield Fund | | | | | |
A-Class | 1.08% | 5.00% | 1,000.00 | 1,019.55 | 5.44 |
C-Class | 1.90% | 5.00% | 1,000.00 | 1,015.46 | 9.55 |
P-Class | 1.16% | 5.00% | 1,000.00 | 1,019.15 | 5.84 |
Institutional Class | 0.87% | 5.00% | 1,000.00 | 1,020.59 | 4.38 |
R6-Class | 0.75% | 5.00% | 1,000.00 | 1,021.19 | 3.78 |
Core Bond Fund | | | | | |
A-Class | 0.78% | 5.00% | 1,000.00 | 1,021.04 | 3.93 |
C-Class | 1.53% | 5.00% | 1,000.00 | 1,017.30 | 7.70 |
P-Class | 0.78% | 5.00% | 1,000.00 | 1,021.04 | 3.93 |
Institutional Class | 0.49% | 5.00% | 1,000.00 | 1,022.49 | 2.47 |
Municipal Income Fund | | | | | |
A-Class | 0.79% | 5.00% | 1,000.00 | 1,020.99 | 3.98 |
C-Class | 1.54% | 5.00% | 1,000.00 | 1,017.25 | 7.75 |
P-Class | 0.79% | 5.00% | 1,000.00 | 1,020.99 | 3.98 |
Institutional Class | 0.54% | 5.00% | 1,000.00 | 1,022.24 | 2.72 |
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
Class | R6-Class |
| | Diversified Income Fund | 0.75% | 1.50% | 0.75% | 0.50% | N/A |
| | High Yield Fund | 1.07% | 1.89% | 1.15% | 0.86% | 0.75% |
| | Core Bond Fund | 0.77% | 1.52% | 0.77% | 0.48% | N/A |
| | Municipal Income Fund | 0.78% | 1.54% | 0.78% | 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 182/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period September 30, 2021 to March 31, 2022. |
8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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 | 24.2% |
Guggenheim RBP Large-Cap Market Fund — Institutional Class | 20.3% |
Guggenheim RBP Dividend Fund — Institutional Class | 10.1% |
Guggenheim Core Bond Fund — Institutional Class | 9.8% |
Guggenheim Floating Rate Strategies Fund — R6-Class | 9.6% |
Guggenheim Risk Managed Real Estate Fund — Institutional Class | 5.1% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 5.1% |
Guggenheim World Equity Income Fund — Institutional Class | 5.0% |
First Trust Energy Income and Growth Fund | 0.3% |
ClearBridge MLP & Midstream Total Return Fund, Inc. | 0.3% |
Top Ten Total | 89.8% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | Since
Inception
(01/29/16) |
A-Class Shares | (0.04%) | 4.37% | 4.38% | 5.87% |
A-Class Shares with sales charge‡ | (4.06%) | 0.20% | 3.53% | 5.17% |
C-Class Shares | (0.39%) | 3.61% | 3.61% | 5.09% |
C-Class Shares with CDSC§ | (1.37%) | 2.61% | 3.61% | 5.09% |
P-Class Shares | (0.05%) | 4.40% | 4.37% | 5.87% |
Institutional Class Shares | 0.12% | 4.66% | 4.64% | 6.14% |
Bloomberg U.S. Aggregate Bond Index | (5.92%) | (4.15%) | 2.14% | 2.07% |
* | 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 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. |
† | 6 month returns are not annualized. |
‡ | 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. |
10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
DIVERSIFIED INCOME FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 89.2% |
Guggenheim High Yield Fund — R6-Class1 | | | 208,517 | | | $ | 2,158,153 | |
Guggenheim RBP Large-Cap Market Fund — Institutional Class*,1 | | | 149,398 | | | | 1,815,189 | |
Guggenheim RBP Dividend Fund — Institutional Class1 | | | 69,586 | | | | 900,445 | |
Guggenheim Core Bond Fund — Institutional Class1 | | | 47,967 | | | | 872,036 | |
Guggenheim Floating Rate Strategies Fund — R6-Class1 | | | 34,826 | | | | 862,642 | |
Guggenheim Risk Managed Real Estate Fund — Institutional Class1 | | | 11,652 | | | | 455,933 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 46,529 | | | | 455,517 | |
Guggenheim World Equity Income Fund — Institutional Class1 | | | 29,424 | | | | 446,956 | |
Total Mutual Funds | | | | |
(Cost $7,933,263) | | | | | | | 7,966,871 | |
| | | | | | | | | |
CLOSED-END FUNDS† - 8.9% |
First Trust Energy Income and Growth Fund | | | 1,500 | | | | 24,330 | |
ClearBridge MLP & Midstream Total Return Fund, Inc. | | | 800 | | | | 23,352 | |
Eaton Vance Tax-Advantaged Dividend Income Fund | | | 797 | | | | 23,097 | |
John Hancock Premium Dividend Fund | | | 1,350 | | | | 22,153 | |
Cohen & Steers REIT and Preferred and Income Fund, Inc. | | | 815 | | | | 21,915 | |
Voya Infrastructure Industrials and Materials Fund | | | 1,850 | | | | 21,516 | |
Eaton Vance Tax-Managed Buy-Write Opportunities Fund | | | 1,370 | | | | 21,399 | |
Eaton Vance Tax-Managed Buy-Write Income Fund | | | 1,250 | | | | 21,125 | |
Calamos Convertible Opportunities and Income Fund | | | 1,594 | | | | 21,041 | |
BlackRock Enhanced Equity Dividend Trust | | | 2,100 | | | | 20,790 | |
PIMCO Dynamic Income Fund | | | 845 | | | | 20,593 | |
BlackRock Floating Rate Income Trust | | | 1,600 | | | | 20,400 | |
DoubleLine Income Solutions Fund | | | 1,400 | | | | 20,328 | |
John Hancock Preferred Income Fund | | | 1,050 | | | | 20,317 | |
Delaware Ivy High Income Opportunities Fund | | | 1,600 | | | | 20,272 | |
PIMCO High Income Fund | | | 3,500 | | | | 20,230 | |
Blackstone Strategic Credit Fund | | | 1,550 | | | | 20,228 | |
BlackRock Limited Duration Income Trust | | | 1,400 | | | | 20,076 | |
Voya Global Equity Dividend and Premium Opportunity Fund | | | 3,400 | | | | 19,924 | |
Neuberger Berman High Yield Strategies Fund, Inc. | | | 1,738 | | | | 19,848 | |
Virtus AllianzGI Diversified Income & Convertible Fund | | | 779 | | | | 19,826 | |
John Hancock Income Securities Trust | | | 1,450 | | | | 19,792 | |
John Hancock Investors Trust | | | 1,178 | | | | 19,790 | |
PIMCO Dynamic Income Opportunities Fund | | | 1,150 | | | | 19,538 | |
Royce Value Trust, Inc. | | | 1,150 | | | | 19,539 | |
KKR Income Opportunities Fund | | | 1,350 | | | | 19,480 | |
Eaton Vance Limited Duration Income Fund | | | 1,650 | | | | 19,305 | |
Pioneer High Income Fund, Inc. | | | 2,350 | | | | 19,082 | |
Eaton Vance Enhanced Equity Income Fund II | | | 908 | | | | 19,068 | |
Reaves Utility Income Fund | | | 550 | | | | 19,014 | |
BlackRock Credit Allocation Income Trust | | | 1,500 | | | | 18,840 | |
Invesco High Income Trust II | | | 1,525 | | | | 18,834 | |
PGIM High Yield Bond Fund, Inc. | | | 1,300 | | | | 18,655 | |
Western Asset Premier Bond Fund | | | 1,550 | | | | 18,600 | |
Western Asset Global Corporate Defined Opportunity Fund, Inc. | | | 1,200 | | | | 17,832 | |
Western Asset Emerging Markets Debt Fund, Inc. | | | 1,650 | | | | 17,704 | |
Western Asset High Income Fund II, Inc. | | | 2,848 | | | | 17,145 | |
Western Asset Mortgage Opportunity Fund, Inc. | | | 1,250 | | | | 16,713 | |
Apollo Senior Floating Rate Fund, Inc. | | | 1,100 | | | | 16,082 | |
PIMCO Corporate & Income Strategy Fund | | | 1,000 | | | | 15,740 | |
Total Closed-End Funds | | | | |
(Cost $740,153) | | | | | | | 793,513 | |
| | | | | | | | | |
MONEY MARKET FUND† - 1.4% |
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.16%2 | | | 128,813 | | | | 128,813 | |
Total Money Market Fund | | | | |
(Cost $128,813) | | | | | | | 128,813 | |
| | | | | | | | | |
Total Investments - 99.5% | | | | |
(Cost $8,802,229) | | $ | 8,889,197 | |
Other Assets & Liabilities, net - 0.5% | | | 41,297 | |
Total Net Assets - 100.0% | | $ | 8,930,494 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
DIVERSIFIED INCOME FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Mutual Funds | | $ | 7,966,871 | | | $ | — | | | $ | — | | | $ | 7,966,871 | |
Closed-End Funds | | | 793,513 | | | | — | | | | — | | | | 793,513 | |
Money Market Fund | | | 128,813 | | | | — | | | | — | | | | 128,813 | |
Total Assets | | $ | 8,889,197 | | | $ | — | | | $ | — | | | $ | 8,889,197 | |
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 period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
09/30/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | | | Capital Gain
Distributions | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Core Bond Fund — Institutional Class | | $ | 766,128 | | | $ | 190,875 | | | $ | — | | | $ | — | | | $ | (84,967 | ) | | $ | 872,036 | | | | 47,967 | | | $ | 10,762 | | | $ | 11,172 | |
Guggenheim Floating Rate Strategies Fund — R6-Class | | | 766,388 | | | | 158,357 | | | | (49,100 | ) | | | (1,482 | ) | | | (11,521 | ) | | | 862,642 | | | | 34,826 | | | | 12,938 | | | | — | |
Guggenheim High Yield Fund — R6-Class | | | 1,918,674 | | | | 437,860 | | | | (69,457 | ) | | | (4,684 | ) | | | (124,240 | ) | | | 2,158,153 | | | | 208,517 | | | | 51,786 | | | | — | |
Guggenheim RBP Dividend Fund — Institutional Class | | | 700,580 | | | | 303,915 | | | | (30,417 | ) | | | 1,715 | | | | (75,348 | ) | | | 900,445 | | | | 69,586 | | | | 5,124 | | | | 125,470 | |
Guggenheim RBP Large-Cap Market Fund — Institutional Class* | | | 1,348,962 | | | | 820,986 | | | | (104,148 | ) | | | 7,712 | | | | (258,323 | ) | | | 1,815,189 | | | | 149,398 | | | | — | | | | 317,345 | |
Guggenheim Risk Managed Real Estate Fund — Institutional Class | | | 360,541 | | | | 98,454 | | | | (21,783 | ) | | | 1,466 | | | | 17,255 | | | | 455,933 | | | | 11,652 | | | | 3,082 | | | | 18,256 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 382,840 | | | | 80,715 | | | | — | | | | — | | | | (8,038 | ) | | | 455,517 | | | | 46,529 | | | | 2,051 | | | | — | |
Guggenheim World Equity Income Fund — Institutional Class | | | 378,399 | | | | 148,035 | | | | — | | | | — | | | | (79,478 | ) | | | 446,956 | | | | 29,424 | | | | 4,142 | | | | 93,852 | |
| | | $ | 6,622,512 | | | $ | 2,239,197 | | | $ | (274,905 | ) | | $ | 4,727 | | | $ | (624,660 | ) | | $ | 7,966,871 | | | | | | | $ | 89,885 | | | $ | 566,095 | |
* | Non-income producing security. |
12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $868,966) | | $ | 922,326 | |
Investments in affiliated issuers, at value (cost $7,933,263) | | | 7,966,871 | |
Prepaid expenses | | | 51,186 | |
Receivables: |
Dividends | | | 24,097 | |
Investment Adviser | | | 9,471 | |
Fund shares sold | | | 10 | |
Interest | | | 7 | |
Total assets | | | 8,973,968 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 22,711 | |
Professional fees | | | 7,487 | |
Trustees’ fees* | | | 3,947 | |
Fund accounting/administration fees | | | 3,787 | |
Transfer agent/maintenance fees | | | 1,968 | |
Distribution and service fees | | | 869 | |
Fund shares redeemed | | | 81 | |
Miscellaneous | | | 2,624 | |
Total liabilities | | | 43,474 | |
Net assets | | $ | 8,930,494 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 8,379,976 | |
Total distributable earnings (loss) | | | 550,518 | |
Net assets | | $ | 8,930,494 | |
| | | | | |
A-Class: |
Net assets | | $ | 331,748 | |
Capital shares outstanding | | | 11,923 | |
Net asset value per share | | $ | 27.82 | |
Maximum offering price per share (Net asset value divided by 96.00%) | | $ | 28.98 | |
| | | | | |
C-Class: |
Net assets | | $ | 873,399 | |
Capital shares outstanding | | | 31,471 | |
Net asset value per share | | $ | 27.75 | |
| | | | | |
P-Class: |
Net assets | | $ | 325,403 | |
Capital shares outstanding | | | 11,695 | |
Net asset value per share | | $ | 27.82 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 7,399,944 | |
Capital shares outstanding | | | 265,922 | |
Net asset value per share | | $ | 27.83 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended March 31, 2022 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | | 35,008 | |
Dividends from securities of affiliated issuers | | | 89,885 | |
Interest | | | 11 | |
Total investment income | | | 124,904 | |
| | | | | |
Expenses: |
Management fees | | | 32,683 | |
Distribution and service fees: |
A-Class | | | 490 | |
C-Class | | | 4,254 | |
P-Class | | | 277 | |
Transfer agent/maintenance fees: |
A-Class | | | 770 | |
C-Class | | | 1,333 | |
P-Class | | | 458 | |
Institutional Class | | | 10,226 | |
Registration fees | | | 33,394 | |
Fund accounting/administration fees | | | 16,475 | |
Professional fees | | | 11,783 | |
Trustees’ fees* | | | 8,567 | |
Custodian fees | | | 3,129 | |
Tax expense | | | 533 | |
Line of credit fees | | | 121 | |
Miscellaneous | | | 2,976 | |
Total expenses | | | 127,469 | |
Less: |
Expenses reimbursed by Adviser: |
A-Class | | | (2,149 | ) |
C-Class | | | (4,304 | ) |
P-Class | | | (1,183 | ) |
Institutional Class | | | (35,717 | ) |
Expenses waived by Adviser | | | (56,684 | ) |
Total waived/reimbursed expenses | | | (100,037 | ) |
Net expenses | | | 27,432 | |
Net investment income | | | 97,472 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 38,677 | |
Investments in affiliated issuers | | | 4,727 | |
Distributions received from affiliated investment companies | | | 566,095 | |
Net realized gain | | | 609,499 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (102,595 | ) |
Investments in affiliated issuers | | | (624,660 | ) |
Net change in unrealized appreciation (depreciation) | | | (727,255 | ) |
Net realized and unrealized loss | | | (117,756 | ) |
Net decrease in net assets resulting from operations | | $ | (20,284 | ) |
* | 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 SEMI-ANNUAL REPORT | 13 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 97,472 | | | $ | 207,930 | |
Net realized gain on investments | | | 609,499 | | | | 301,631 | |
Net change in unrealized appreciation (depreciation) on investments | | | (727,255 | ) | | | 562,987 | |
Net increase (decrease) in net assets resulting from operations | | | (20,284 | ) | | | 1,072,548 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (9,250 | ) | | | (9,389 | ) |
C-Class | | | (15,944 | ) | | | (5,154 | ) |
P-Class | | | (4,390 | ) | | | (4,350 | ) |
Institutional Class | | | (166,303 | ) | | | (219,556 | ) |
Total distributions to shareholders | | | (195,887 | ) | | | (238,449 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 95,120 | | | | 76,986 | |
C-Class | | | 626,708 | | | | 34,067 | |
P-Class | | | 176,252 | | | | 7,814 | |
Institutional Class | | | 542,981 | | | | 53,000 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 9,250 | | | | 9,389 | |
C-Class | | | 15,944 | | | | 5,154 | |
P-Class | | | 4,390 | | | | 4,350 | |
Institutional Class | | | 166,303 | | | | 219,556 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (101,016 | ) | | | (48,400 | ) |
C-Class | | | (260 | ) | | | (7,025 | ) |
P-Class | | | (1,062 | ) | | | (4,588 | ) |
Institutional Class | | | (83,478 | ) | | | (45,672 | ) |
Net increase from capital share transactions | | | 1,451,132 | | | | 304,631 | |
Net increase in net assets | | | 1,234,961 | | | | 1,138,730 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 7,695,533 | | | | 6,556,803 | |
End of period | | $ | 8,930,494 | | | $ | 7,695,533 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 3,311 | | | | 2,729 | |
C-Class | | | 21,982 | | | | 1,197 | |
P-Class | | | 6,249 | | | | 276 | |
Institutional Class | | | 18,805 | | | | 1,849 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 319 | | | | 341 | |
C-Class | | | 551 | | | | 189 | |
P-Class | | | 152 | | | | 159 | |
Institutional Class | | | 5,753 | | | | 7,993 | |
Shares redeemed | | | | | | | | |
A-Class | | | (3,656 | ) | | | (1,686 | ) |
C-Class | | | (9 | ) | | | (249 | ) |
P-Class | | | (36 | ) | | | (167 | ) |
Institutional Class | | | (3,022 | ) | | | (1,603 | ) |
Net increase in shares | | | 50,399 | | | | 11,028 | |
14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 28.45 | | | $ | 25.27 | | | $ | 26.99 | | | $ | 26.70 | | | $ | 27.58 | | | $ | 27.12 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .38 | | | | .73 | | | | .81 | | | | .86 | | | | .91 | | | | .96 | |
Net gain (loss) on investments (realized and unrealized) | | | (.38 | ) | | | 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 | | | (.54 | ) | | | (.85 | ) | | | (.81 | ) | | | (.77 | ) | | | (.90 | ) | | | (.95 | ) |
Net realized gains | | | (.09 | ) | | | — | | | | (.09 | ) | | | (.30 | ) | | | (.19 | ) | | | (.44 | ) |
Total distributions | | | (.63 | ) | | | (.85 | ) | | | (.90 | ) | | | (1.07 | ) | | | (1.09 | ) | | | (1.39 | ) |
Net asset value, end of period | | $ | 27.82 | | | $ | 28.45 | | | $ | 25.27 | | | $ | 26.99 | | | $ | 26.70 | | | $ | 27.58 | |
|
Total Returnc | | | (0.04 | %) | | | 16.10 | % | | | (3.06 | %) | | | 5.31 | % | | | 0.78 | % | | | 7.00 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 332 | | | $ | 340 | | | $ | 267 | | | $ | 278 | | | $ | 141 | | | $ | 138 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.66 | % | | | 2.64 | % | | | 3.14 | % | | | 3.26 | % | | | 3.37 | % | | | 3.53 | % |
Total expensesd | | | 3.16 | % | | | 3.92 | % | | | 4.24 | % | | | 4.03 | % | | | 4.83 | % | | | 4.16 | % |
Net expensese,f,g | | | 0.76 | % | | | 0.78 | % | | | 0.83 | % | | | 0.85 | % | | | 0.84 | % | | | 0.85 | % |
Portfolio turnover rate | | | 5 | % | | | 50 | % | | | 66 | % | | | 58 | % | | | 37 | % | | | 44 | % |
C-Class | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 28.36 | | | $ | 25.19 | | | $ | 27.00 | | | $ | 26.69 | | | $ | 27.56 | | | $ | 27.11 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .25 | | | | .52 | | | | .60 | | | | .69 | | | | .71 | | | | .76 | |
Net gain (loss) on investments (realized and unrealized) | | | (.34 | ) | | | 3.29 | | | | (1.62 | ) | | | .46 | | | | (.69 | ) | | | .87 | |
Total from investment operations | | | (.09 | ) | | | 3.81 | | | | (1.02 | ) | | | 1.15 | | | | .02 | | | | 1.63 | |
Less distributions from: |
Net investment income | | | (.43 | ) | | | (.64 | ) | | | (.70 | ) | | | (.54 | ) | | | (.70 | ) | | | (.74 | ) |
Net realized gains | | | (.09 | ) | | | — | | | | (.09 | ) | | | (.30 | ) | | | (.19 | ) | | | (.44 | ) |
Total distributions | | | (.52 | ) | | | (.64 | ) | | | (.79 | ) | | | (.84 | ) | | | (.89 | ) | | | (1.18 | ) |
Net asset value, end of period | | $ | 27.75 | | | $ | 28.36 | | | $ | 25.19 | | | $ | 27.00 | | | $ | 26.69 | | | $ | 27.56 | |
|
Total Returnc | | | (0.39 | %) | | | 15.24 | % | | | (3.77 | %) | | | 4.50 | % | | | 0.08 | % | | | 6.17 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 873 | | | $ | 254 | | | $ | 197 | | | $ | 816 | | | $ | 145 | | | $ | 137 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.74 | % | | | 1.89 | % | | | 2.26 | % | | | 2.59 | % | | | 2.63 | % | | | 2.78 | % |
Total expensesd | | | 3.82 | % | | | 4.68 | % | | | 4.86 | % | | | 4.74 | % | | | 5.65 | % | | | 5.13 | % |
Net expensese,f,g | | | 1.51 | % | | | 1.52 | % | | | 1.58 | % | | | 1.59 | % | | | 1.59 | % | | | 1.60 | % |
Portfolio turnover rate | | | 5 | % | | | 50 | % | | | 66 | % | | | 58 | % | | | 37 | % | | | 44 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 28.43 | | | $ | 25.25 | | | $ | 26.97 | | | $ | 26.70 | | | $ | 27.58 | | | $ | 27.11 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .20 | | | | .73 | | | | .81 | | | | .85 | | | | .91 | | | | .95 | |
Net gain (loss) on investments (realized and unrealized) | | | (.20 | ) | | | 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 | | | (.52 | ) | | | (.85 | ) | | | (.81 | ) | | | (.79 | ) | | | (.90 | ) | | | (.93 | ) |
Net realized gains | | | (.09 | ) | | | — | | | | (.09 | ) | | | (.30 | ) | | | (.19 | ) | | | (.44 | ) |
Total distributions | | | (.61 | ) | | | (.85 | ) | | | (.90 | ) | | | (1.09 | ) | | | (1.09 | ) | | | (1.37 | ) |
Net asset value, end of period | | $ | 27.82 | | | $ | 28.43 | | | $ | 25.25 | | | $ | 26.97 | | | $ | 26.70 | | | $ | 27.58 | |
|
Total Return | | | (0.05 | %) | | | 16.12 | % | | | (3.03 | %) | | | 5.23 | % | | | 0.82 | % | | | 7.00 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 325 | | | $ | 152 | | | $ | 128 | | | $ | 131 | | | $ | 125 | | | $ | 123 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.40 | % | | | 2.64 | % | | | 3.14 | % | | | 3.22 | % | | | 3.37 | % | | | 3.51 | % |
Total expensesd | | | 3.14 | % | | | 3.92 | % | | | 4.19 | % | | | 3.97 | % | | | 4.82 | % | | | 4.23 | % |
Net expensese,f,g | | | 0.77 | % | | | 0.78 | % | | | 0.83 | % | | | 0.85 | % | | | 0.84 | % | | | 0.85 | % |
Portfolio turnover rate | | | 5 | % | | | 50 | % | | | 66 | % | | | 58 | % | | | 37 | % | | | 44 | % |
16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 28.44 | | | $ | 25.26 | | | $ | 26.98 | | | $ | 26.72 | | | $ | 27.59 | | | $ | 27.11 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .33 | | | | .80 | | | | .87 | | | | .92 | | | | .98 | | | | 1.03 | |
Net gain (loss) on investments (realized and unrealized) | | | (.28 | ) | | | 3.30 | | | | (1.63 | ) | | | .49 | | | | (.70 | ) | | | .89 | |
Total from investment operations | | | .05 | | | | 4.10 | | | | (.76 | ) | | | 1.41 | | | | .28 | | | | 1.92 | |
Less distributions from: |
Net investment income | | | (.57 | ) | | | (.92 | ) | | | (.87 | ) | | | (.85 | ) | | | (.96 | ) | | | (1.00 | ) |
Net realized gains | | | (.09 | ) | | | — | | | | (.09 | ) | | | (.30 | ) | | | (.19 | ) | | | (.44 | ) |
Total distributions | | | (.66 | ) | | | (.92 | ) | | | (.96 | ) | | | (1.15 | ) | | | (1.15 | ) | | | (1.44 | ) |
Net asset value, end of period | | $ | 27.83 | | | $ | 28.44 | | | $ | 25.26 | | | $ | 26.98 | | | $ | 26.72 | | | $ | 27.59 | |
|
Total Return | | | 0.12 | % | | | 16.40 | % | | | (2.82 | %) | | | 5.52 | % | | | 1.06 | % | | | 7.30 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,400 | | | $ | 6,950 | | | $ | 5,965 | | | $ | 6,165 | | | $ | 5,757 | | | $ | 5,619 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.30 | % | | | 2.89 | % | | | 3.39 | % | | | 3.47 | % | | | 3.62 | % | | | 3.78 | % |
Total expensesd | | | 2.80 | % | | | 3.55 | % | | | 3.78 | % | | | 3.58 | % | | | 4.42 | % | | | 3.83 | % |
Net expensese,f,g | | | 0.51 | % | | | 0.53 | % | | | 0.58 | % | | | 0.60 | % | | | 0.60 | % | | | 0.59 | % |
Portfolio turnover rate | | | 5 | % | | | 50 | % | | | 66 | % | | | 58 | % | | | 37 | % | | | 44 | % |
a | Unaudited figures for the period ended March 31, 2022. 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 | 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: |
| | | 03/31/22 | 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% |
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: |
| | | 03/31/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 0.75% | 0.77% | 0.82% | 0.85% | 0.84% | 0.82% |
| | C-Class | 1.50% | 1.51% | 1.57% | 1.59% | 1.58% | 1.57% |
| | P-Class | 0.75% | 0.77% | 0.82% | 0.85% | 0.84% | 0.82% |
| | Institutional Class | 0.50% | 0.57% | 0.57% | 0.60% | 0.59% | 0.57% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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
Investments |
Fixed Income Instruments | |
AAA | 0.7% |
A | 0.3% |
BBB | 3.2% |
BB | 45.7% |
B | 32.3% |
CCC | 8.1% |
NR2 | 3.2% |
Other Instruments | 6.5% |
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) |
NFP Corp., 6.88% | 1.7% |
Rent-A-Center, Inc., 6.38% | 1.5% |
Hunt Companies, Inc., 5.25% | 1.5% |
McGraw-Hill Education, Inc., 5.75% | 1.4% |
Terraform Global Operating LLC, 6.13% | 1.2% |
CPI CG, Inc., 8.63% | 1.2% |
Carpenter Technology Corp., 6.38% | 1.2% |
Artera Services LLC, 9.03% | 1.1% |
GrafTech Finance, Inc., 4.63% | 1.1% |
Bhi Investments LLC, 5.25% | 1.1% |
Top Ten Total | 13.0% |
| | |
“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. |
18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | (3.47%) | 0.60% | 3.72% | 5.63% |
A-Class Shares with sales charge‡ | (7.35%) | (3.44%) | 2.88% | 5.11% |
C-Class Shares | (3.82%) | (0.23%) | 2.93% | 4.82% |
C-Class Shares with CDSC§ | (4.77%) | (1.19%) | 2.93% | 4.82% |
Institutional Class Shares | (3.30%) | 0.82% | 3.96% | 5.90% |
Bloomberg U.S. Corporate High Yield Index | (4.16%) | (0.66%) | 4.69% | 5.75% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(05/01/15) |
P-Class Shares | (3.51%) | 0.47% | 3.65% | 4.30% |
Bloomberg U.S. Corporate High Yield Index | (4.16%) | (0.66%) | 4.69% | 4.90% |
| 6 Month† | 1 Year | Since
Inception
(05/15/17) |
R6-Class Shares | (3.35%) | 0.94% | 3.88% |
Bloomberg U.S. Corporate High Yield Index | (4.16%) | (0.66%) | 4.49% |
* | 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. Corporate High Yield Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | 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. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
HIGH YIELD FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 2.4% |
| | | | | | | | | |
Financial - 1.1% |
KKR Acquisition Holdings I Corp. — Class A*,1 | | | 142,310 | | | $ | 1,398,907 | |
TPG Pace Beneficial II Corp.*,1 | | | 46,138 | | | | 453,075 | |
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | | | 38,845 | | | | 377,185 | |
RXR Acquisition Corp. — Class A*,1 | | | 1,874 | | | | 18,272 | |
Colicity, Inc. — Class A*,1 | | | 1,419 | | | | 13,849 | |
MSD Acquisition Corp. — Class A*,1 | | | 721 | | | | 7,080 | |
Jefferies Financial Group, Inc. | | | 81 | | | | 2,661 | |
Total Financial | | | | | | | 2,271,029 | |
| | | | | | | | | |
Consumer, Cyclical - 0.5% |
Metro-Goldwyn-Mayer, Inc.*,††† | | | 7,040 | | | | 1,004,524 | |
| | | | | | | | | |
Communications - 0.5% |
Vacasa, Inc. — Class A* | | | 117,451 | | | | 971,320 | |
| | | | | | | | | |
Utilities - 0.3% |
TexGen Power LLC††† | | | 26,665 | | | | 619,961 | |
| | | | | | | | | |
Consumer, Non-cyclical - 0.0% |
Cengage Learning Holdings II, Inc.*,†† | | | 2,107 | | | | 36,346 | |
Targus Group International Equity, Inc.*,†††,2 | | | 12,825 | | | | 33,586 | |
Save-A-Lot*,†† | | | 17,185 | | | | 17,185 | |
Spectrum Brands Holdings, Inc. | | | 2 | | | | 177 | |
Crimson Wine Group Ltd.* | | | 8 | | | | 65 | |
Total Consumer, Non-cyclical | | | | | | | 87,359 | |
| | | | | | | | | |
Energy - 0.0% |
Permian Production Partners LLC††† | | | 57,028 | | | | 41,289 | |
Legacy Reserves, Inc.*,††† | | | 3,452 | | | | 22,438 | |
Bruin E&P Partnership Units††† | | | 44,023 | | | | 2,289 | |
Total Energy | | | | | | | 66,016 | |
| | | | | | | | | |
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 $4,021,355) | | | | | | | 5,043,446 | |
| | | | | | | | | |
PREFERRED STOCKS†† - 3.4% |
Financial - 3.4% |
Wells Fargo & Co. |
4.38% | | | 74,000 | | | | 1,550,300 | |
American Equity Investment Life Holding Co. |
5.95% | | | 54,000 | | | | 1,379,700 | |
Charles Schwab Corp. |
4.00%3 | | | 1,325,000 | | | | 1,190,010 | |
Arch Capital Group Ltd. |
4.55% | | | 55,000 | | | | 1,161,050 | |
First Republic Bank |
4.13% | | | 51,775 | | | | 1,067,601 | |
Assurant, Inc. |
5.25% due 01/15/61 | | | 30,000 | | | | 696,600 | |
Total Financial | | | | | | | 7,045,261 | |
| | | | | | | | | |
Industrial - 0.0% |
U.S. Shipping Corp.*,††† | | | 14,718 | | | | — | |
| | | | | | | | | |
Total Preferred Stocks | | | | |
(Cost $8,319,375) | | | | | | | 7,045,261 | |
| | | | | | | | | |
WARRANTS† - 0.0% |
KKR Acquisition Holdings I Corp. | | | | | | | | |
Expiring 12/31/27*,1 | | | 35,577 | | | | 23,481 | |
Acropolis Infrastructure Acquisition Corp. | | | | | | | | |
Expiring 03/31/26*,1 | | | 12,947 | | | | 6,154 | |
RXR Acquisition Corp. | | | | | | | | |
Expiring 03/08/26*,1 | | | 372 | | | | 167 | |
MSD Acquisition Corp. | | | | | | | | |
Expiring 05/13/23*,1 | | | 143 | | | | 112 | |
Colicity, Inc. | | | | | | | | |
Expiring 12/31/27*,1 | | | 281 | | | | 110 | |
SandRidge Energy, Inc. | | | | | | | | |
Expiring 10/04/22*,†† | | | 505 | | | | 10 | |
SandRidge Energy, Inc. | | | | | | | | |
Expiring 10/04/22*,†† | | | 212 | | | | 4 | |
Ginkgo Bioworks Holdings, Inc. | | | | | | | | |
Expiring 12/31/27* | | | 4 | | | | 3 | |
Total Warrants | | | | |
(Cost $92,427) | | | | | | | 30,041 | |
| | | | | | | | | |
MONEY MARKET FUND† - 0.6% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%4 | | | 1,165,055 | | | | 1,165,055 | |
Total Money Market Fund | | | | |
(Cost $1,165,055) | | | | | | | 1,165,055 | |
| | | Face
Amount~ | | | | | |
CORPORATE BONDS†† - 73.9% |
Communications - 15.2% | | | | | | | | |
McGraw-Hill Education, Inc. | | | | | | | | |
5.75% due 08/01/285 | | | 3,175,000 | | | | 3,028,220 | |
8.00% due 08/01/295 | | | 1,525,000 | | | | 1,441,277 | |
Altice France S.A. | | | | | | | | |
5.13% due 07/15/295 | | | 1,450,000 | | | | 1,299,562 | |
5.50% due 10/15/295 | | | 1,250,000 | | | | 1,121,600 | |
8.13% due 02/01/275 | | | 900,000 | | | | 928,017 | |
CSC Holdings LLC | | | | | | | | |
4.13% due 12/01/305 | | | 1,150,000 | | | | 1,008,395 | |
4.63% due 12/01/305 | | | 950,000 | | | | 794,475 | |
6.50% due 02/01/295 | | | 725,000 | | | | 730,756 | |
3.38% due 02/15/315 | | | 850,000 | | | | 716,125 | |
Level 3 Financing, Inc. | | | | | | | | |
3.63% due 01/15/295 | | | 1,825,000 | | | | 1,596,875 | |
4.25% due 07/01/285 | | | 1,150,000 | | | | 1,055,709 | |
20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
HIGH YIELD FUND | |
| | Face
Amount~ | | | Value | |
CCO Holdings LLC / CCO Holdings Capital Corp. | | | | | | | | |
4.50% due 05/01/32 | | | 1,950,000 | | | $ | 1,783,665 | |
4.25% due 01/15/345 | | | 975,000 | | | | 846,783 | |
VZ Secured Financing BV | | | | | | | | |
5.00% due 01/15/325 | | | 2,175,000 | | | | 2,033,625 | |
Vmed O2 UK Financing I plc | | | | | | | | |
4.25% due 01/31/315 | | | 1,125,000 | | | | 1,028,948 | |
4.75% due 07/15/315 | | | 850,000 | | | | 801,125 | |
Virgin Media Secured Finance plc | | | | | | | | |
4.50% due 08/15/305 | | | 1,875,000 | | | | 1,748,438 | |
Cengage Learning, Inc. | | | | | | | | |
9.50% due 06/15/245 | | | 1,739,000 | | | | 1,734,652 | |
LCPR Senior Secured Financing DAC | | | | | | | | |
6.75% due 10/15/275 | | | 1,417,000 | | | | 1,455,684 | |
Telenet Finance Luxembourg Notes SARL | | | | | | | | |
5.50% due 03/01/28 | | | 1,400,000 | | | | 1,351,000 | |
UPC Broadband Finco BV | | | | | | | | |
4.88% due 07/15/315 | | | 1,200,000 | | | | 1,126,644 | |
Houghton Mifflin Harcourt Publishers, Inc. | | | | | | | | |
9.00% due 02/15/255 | | | 1,000,000 | | | | 1,045,000 | |
AMC Networks, Inc. | | | | | | | | |
4.25% due 02/15/29 | | | 1,075,000 | | | | 1,003,185 | |
Sirius XM Radio, Inc. | | | | | | | | |
4.13% due 07/01/305 | | | 800,000 | | | | 748,936 | |
Match Group Holdings II LLC | | | | | | | | |
4.63% due 06/01/285 | | | 600,000 | | | | 581,250 | |
TripAdvisor, Inc. | | | | | | | | |
7.00% due 07/15/255 | | | 275,000 | | | | 284,061 | |
Zayo Group Holdings, Inc. | | | | | | | | |
4.00% due 03/01/275 | | | 300,000 | | | | 276,068 | |
Total Communications | | | | | | | 31,570,075 | |
| | | | | | | | | |
Consumer, Non-cyclical - 13.2% | | | | | | | | |
Rent-A-Center, Inc. | | | | | | | | |
6.38% due 02/15/295,6 | | | 3,331,000 | | | | 3,047,865 | |
CPI CG, Inc. | | | | | | | | |
8.63% due 03/15/265 | | | 2,572,000 | | | | 2,503,276 | |
Sabre GLBL, Inc. | | | | | | | | |
7.38% due 09/01/255 | | | 1,450,000 | | | | 1,514,134 | |
9.25% due 04/15/255 | | | 600,000 | | | | 665,181 | |
BCP V Modular Services Finance II plc | | | | | | | | |
4.75% due 10/30/285 | | | EUR 1,900,000 | | | | 2,011,944 | |
Bausch Health Companies, Inc. | | | | | | | | |
4.88% due 06/01/285 | | | 2,100,000 | | | | 2,010,750 | |
Nielsen Finance LLC / Nielsen Finance Co. | | | | | | | | |
5.88% due 10/01/305 | | | 1,000,000 | | | | 1,002,500 | |
4.75% due 07/15/315 | | | 950,000 | | | | 948,813 | |
Sotheby’s/Bidfair Holdings, Inc. | | | | | | | | |
5.88% due 06/01/295 | | | 1,550,000 | | | | 1,499,625 | |
Prime Security Services Borrower LLC / Prime Finance, Inc. | | | | | | | | |
3.38% due 08/31/275 | | | 1,325,000 | | | | 1,212,229 | |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | | | | | | | | |
7.00% due 12/31/275 | | | 961,000 | | | | 812,045 | |
5.00% due 12/31/265 | | | 350,000 | | | | 322,875 | |
Par Pharmaceutical, Inc. | | | | | | | | |
7.50% due 04/01/275 | | | 1,210,000 | | | | 1,129,112 | |
DaVita, Inc. | | | | | | | | |
3.75% due 02/15/315 | | | 1,225,000 | | | | 1,071,875 | |
KeHE Distributors LLC / KeHE Finance Corp. | | | | | | | | |
8.63% due 10/15/265 | | | 956,000 | | | | 1,013,360 | |
ADT Security Corp. | | | | | | | | |
4.13% due 08/01/295 | | | 1,050,000 | | | | 975,187 | |
Endo Luxembourg Finance Company I SARL / Endo US, Inc. | | | | | | | | |
6.13% due 04/01/295 | | | 950,000 | | | | 866,875 | |
Post Holdings, Inc. | | | | | | | | |
4.50% due 09/15/315 | | | 975,000 | | | | 863,840 | |
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc. | | | | | | | | |
5.00% due 02/01/265 | | | 850,000 | | | | 816,000 | |
Mozart Debt Merger Sub, Inc. | | | | | | | | |
5.25% due 10/01/295 | | | 850,000 | | | | 790,220 | |
Sotheby’s | | | | | | | | |
7.38% due 10/15/275 | | | 700,000 | | | | 716,863 | |
WW International, Inc. | | | | | | | | |
4.50% due 04/15/295 | | | 825,000 | | | | 668,027 | |
Nathan’s Famous, Inc. | | | | | | | | |
6.63% due 11/01/255 | | | 534,000 | | | | 531,330 | |
Lamb Weston Holdings, Inc. | | | | | | | | |
4.13% due 01/31/305 | | | 425,000 | | | | 396,880 | |
Endo Dac / Endo Finance LLC / Endo Finco, Inc. | | | | | | | | |
9.50% due 07/31/275,6 | | | 171,000 | | | | 150,052 | |
Total Consumer, Non-cyclical | | | | | | | 27,540,858 | |
| | | | | | | | | |
Financial - 12.7% | | | | | | | | |
NFP Corp. | | | | | | | | |
6.88% due 08/15/285 | | | 3,750,000 | | | | 3,581,250 | |
Iron Mountain, Inc. | | | | | | | | |
5.63% due 07/15/325 | | | 1,275,000 | | | | 1,256,232 | |
4.88% due 09/15/275 | | | 950,000 | | | | 939,313 | |
4.88% due 09/15/295 | | | 530,000 | | | | 504,491 | |
5.25% due 07/15/305 | | | 475,000 | | | | 465,500 | |
Hunt Companies, Inc. | | | | | | | | |
5.25% due 04/15/295 | | | 3,150,000 | | | | 3,000,847 | |
United Wholesale Mortgage LLC | | | | | | | | |
5.50% due 04/15/295 | | | 1,475,000 | | | | 1,314,254 | |
5.75% due 06/15/275 | | | 1,300,000 | | | | 1,206,342 | |
Jefferies Finance LLC / JFIN Company-Issuer Corp. | | | | | | | | |
5.00% due 08/15/285 | | | 2,400,000 | | | | 2,297,952 | |
OneMain Finance Corp. | | | | | | | | |
3.88% due 09/15/28 | | | 1,225,000 | | | | 1,107,081 | |
4.00% due 09/15/30 | | | 750,000 | | | | 661,875 | |
HUB International Ltd. | | | | | | | | |
5.63% due 12/01/295 | | | 1,000,000 | | | | 955,000 | |
7.00% due 05/01/265 | | | 575,000 | | | | 581,644 | |
Pershing Square Holdings Ltd. | | | | | | | | |
3.25% due 10/01/31 | | | 1,300,000 | | | | 1,172,600 | |
Home Point Capital, Inc. | | | | | | | | |
5.00% due 02/01/265 | | | 1,325,000 | | | | 1,085,586 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
HIGH YIELD FUND | |
| | Face
Amount~ | | | Value | |
Iron Mountain Information Management Services, Inc. | | | | | | | | |
5.00% due 07/15/325 | | | 1,000,000 | | | $ | 937,500 | |
SLM Corp. | | | | | | | | |
3.13% due 11/02/26 | | | 900,000 | | | | 834,750 | |
Starwood Property Trust, Inc. | | | | | | | | |
3.75% due 12/31/245 | | | 425,000 | | | | 412,250 | |
4.38% due 01/15/275 | | | 425,000 | | | | 412,250 | |
USI, Inc. | | | | | | | | |
6.88% due 05/01/255 | | | 775,000 | | | | 777,565 | |
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | | | | | | | | |
3.88% due 03/01/315 | | | 725,000 | | | | 656,125 | |
Wilton Re Finance LLC | | | | | | | | |
5.88% due 03/30/333,5 | | | 650,000 | | | | 655,858 | |
Liberty Mutual Group, Inc. | | | | | | | | |
4.30% due 02/01/615 | | | 750,000 | | | | 596,100 | |
Greystar Real Estate Partners LLC | | | | | | | | |
5.75% due 12/01/255 | | | 500,000 | | | | 503,750 | |
Cushman & Wakefield US Borrower LLC | | | | | | | | |
6.75% due 05/15/285 | | | 450,000 | | | | 470,250 | |
Total Financial | | | | | | | 26,386,365 | |
| | | | | | | | | |
Energy - 9.1% | | | | | | | | |
NuStar Logistics, LP | | | | | | | | |
5.63% due 04/28/27 | | | 1,585,000 | | | | 1,550,724 | |
6.38% due 10/01/30 | | | 850,000 | | | | 861,509 | |
6.00% due 06/01/26 | | | 525,000 | | | | 530,904 | |
Parkland Corp. | | | | | | | | |
4.50% due 10/01/295 | | | 1,275,000 | | | | 1,182,110 | |
4.63% due 05/01/305 | | | 1,100,000 | | | | 1,023,000 | |
Global Partners Limited Partnership / GLP Finance Corp. | | | | | | | | |
7.00% due 08/01/27 | | | 1,200,000 | | | | 1,200,000 | |
6.88% due 01/15/29 | | | 900,000 | | | | 889,448 | |
Exterran Energy Solutions Limited Partnership / EES Finance Corp. | | | | | | | | |
8.13% due 05/01/25 | | | 2,037,000 | | | | 2,054,060 | |
CVR Energy, Inc. | | | | | | | | |
5.75% due 02/15/285,6 | | | 1,725,000 | | | | 1,636,007 | |
5.25% due 02/15/255 | | | 250,000 | | | | 242,642 | |
ITT Holdings LLC | | | | | | | | |
6.50% due 08/01/295 | | | 1,875,000 | | | | 1,731,975 | |
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp. | | | | | | | | |
5.63% due 05/01/275 | | | 1,250,000 | | | | 1,238,550 | |
Rattler Midstream, LP | | | | | | | | |
5.63% due 07/15/255 | | | 1,150,000 | | | | 1,167,250 | |
Occidental Petroleum Corp. | | | | | | | | |
4.63% due 06/15/45 | | | 1,100,000 | | | | 1,067,000 | |
TransMontaigne Partners Limited Partnership / TLP Finance Corp. | | | | | | | | |
6.13% due 02/15/26 | | | 1,000,000 | | | | 988,190 | |
PDC Energy, Inc. | | | | | | | | |
6.13% due 09/15/24 | | | 776,000 | | | | 785,498 | |
Southwestern Energy Co. | | | | | | | | |
5.38% due 02/01/29 | | | 775,000 | | | | 784,688 | |
Basic Energy Services, Inc. | | | | | | | | |
due 10/15/237,8 | | | 1,225,000 | | | | 24,500 | |
Total Energy | | | | | | | 18,958,055 | |
| | | | | | | | | |
Industrial - 9.0% | | | | | | | | |
New Enterprise Stone & Lime Company, Inc. | | | | | | | | |
9.75% due 07/15/285 | | | 1,725,000 | | | | 1,740,094 | |
5.25% due 07/15/285 | | | 675,000 | | | | 648,932 | |
Artera Services LLC | | | | | | | | |
9.03% due 12/04/255 | | | 2,350,000 | | | | 2,348,273 | |
GrafTech Finance, Inc. | | | | | | | | |
4.63% due 12/15/285 | | | 2,500,000 | | | | 2,324,800 | |
Brundage-Bone Concrete Pumping Holdings, Inc. | | | | | | | | |
6.00% due 02/01/265 | | | 2,076,000 | | | | 1,998,627 | |
Cleaver-Brooks, Inc. | | | | | | | | |
7.88% due 03/01/235 | | | 2,000,000 | | | | 1,905,600 | |
TransDigm, Inc. | | | | | | | | |
8.00% due 12/15/255 | | | 950,000 | | | | 993,491 | |
6.25% due 03/15/265 | | | 500,000 | | | | 513,320 | |
Trinity Industries, Inc. | | | | | | | | |
4.55% due 10/01/24 | | | 1,290,000 | | | | 1,311,995 | |
Intertape Polymer Group, Inc. | | | | | | | | |
4.38% due 06/15/295 | | | 850,000 | | | | 875,500 | |
Mauser Packaging Solutions Holding Co. | | | | | | | | |
5.50% due 04/15/245 | | | 800,000 | | | | 796,822 | |
Ball Corp. | | | | | | | | |
3.13% due 09/15/31 | | | 850,000 | | | | 759,645 | |
Howmet Aerospace, Inc. | | | | | | | | |
5.95% due 02/01/37 | | | 650,000 | | | | 692,828 | |
Arcosa, Inc. | | | | | | | | |
4.38% due 04/15/295 | | | 700,000 | | | | 664,125 | |
Masonite International Corp. | | | | | | | | |
5.38% due 02/01/285 | | | 375,000 | | | | 377,812 | |
Summit Materials LLC / Summit Materials Finance Corp. | | | | | | | | |
6.50% due 03/15/275 | | | 350,000 | | | | 356,125 | |
Standard Industries, Inc. | | | | | | | | |
5.00% due 02/15/275 | | | 350,000 | | | | 346,948 | |
Total Industrial | | | | | | | 18,654,937 | |
| | | | | | | | | |
Basic Materials - 6.7% | | | | | | | | |
Carpenter Technology Corp. | | | | | | | | |
6.38% due 07/15/28 | | | 2,475,000 | | | | 2,485,024 | |
7.63% due 03/15/30 | | | 650,000 | | | | 665,541 | |
SCIL IV LLC / SCIL USA Holdings LLC | | | | | | | | |
5.38% due 11/01/265 | | | 1,650,000 | | | | 1,518,000 | |
Minerals Technologies, Inc. | | | | | | | | |
5.00% due 07/01/285 | | | 1,547,000 | | | | 1,473,518 | |
Kaiser Aluminum Corp. | | | | | | | | |
4.63% due 03/01/285 | | | 790,000 | | | | 742,094 | |
4.50% due 06/01/315 | | | 725,000 | | | | 653,653 | |
Clearwater Paper Corp. | | | | | | | | |
4.75% due 08/15/285 | | | 1,375,000 | | | | 1,277,031 | |
22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
HIGH YIELD FUND | |
| | Face
Amount~ | | | Value | |
EverArc Escrow SARL | | | | | | | | |
5.00% due 10/30/295 | | | 1,350,000 | | | $ | 1,233,562 | |
Ingevity Corp. | | | | | | | | |
3.88% due 11/01/285 | | | 675,000 | | | | 610,085 | |
4.50% due 02/01/265 | | | 375,000 | | | | 361,875 | |
Diamond BC BV | | | | | | | | |
4.63% due 10/01/295 | | | 1,050,000 | | | | 942,375 | |
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. | | | | | | | | |
9.00% due 07/01/285 | | | 900,000 | | | | 911,250 | |
Valvoline, Inc. | | | | | | | | |
3.63% due 06/15/315 | | | 600,000 | | | | 518,328 | |
4.25% due 02/15/305 | | | 250,000 | | | | 228,145 | |
Yamana Gold, Inc. | | | | | | | | |
4.63% due 12/15/27 | | | 256,000 | | | | 259,860 | |
Mirabela Nickel Ltd. | | | | | | | | |
due 06/24/197,8 | | | 278,115 | | | | 13,906 | |
Total Basic Materials | | | | | | | 13,894,247 | |
| | | | | | | | | |
Consumer, Cyclical - 4.9% | | | | | | | | |
JB Poindexter & Company, Inc. | | | | | | | | |
7.13% due 04/15/265 | | | 1,225,000 | | | | 1,244,906 | |
Clarios Global, LP | | | | | | | | |
6.75% due 05/15/255 | | | 1,027,000 | | | | 1,063,489 | |
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. | | | | | | | | |
5.75% due 01/20/265 | | | 950,000 | | | | 950,542 | |
CD&R Smokey Buyer, Inc. | | | | | | | | |
6.75% due 07/15/255 | | | 925,000 | | | | 950,438 | |
Wolverine World Wide, Inc. | | | | | | | | |
4.00% due 08/15/295 | | | 1,000,000 | | | | 887,500 | |
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc. | | | | | | | | |
6.63% due 03/01/305 | | | 875,000 | | | | 862,557 | |
Yum! Brands, Inc. | | | | | | | | |
5.38% due 04/01/32 | | | 850,000 | | | | 851,921 | |
Tempur Sealy International, Inc. | | | | | | | | |
3.88% due 10/15/315 | | | 850,000 | | | | 728,875 | |
Boyd Gaming Corp. | | | | | | | | |
8.63% due 06/01/255 | | | 687,000 | | | | 721,597 | |
Asbury Automotive Group, Inc. | | | | | | | | |
5.00% due 02/15/325 | | | 550,000 | | | | 511,247 | |
Six Flags Theme Parks, Inc. | | | | | | | | |
7.00% due 07/01/255 | | | 425,000 | | | | 443,594 | |
Superior Plus, LP | | | | | | | | |
4.25% due 05/18/285 | | | CAD 550,000 | | | | 414,763 | |
Ritchie Bros Holdings Ltd. | | | | | | | | |
4.95% due 12/15/295 | | | CAD 375,000 | | | | 292,545 | |
Allison Transmission, Inc. | | | | | | | | |
4.75% due 10/01/275 | | | 200,000 | | | | 196,750 | |
Total Consumer, Cyclical | | | | | | | 10,120,724 | |
| | | | | | | | | |
Technology - 1.9% | | | | | | | | |
Minerva Merger Sub, Inc. | | | | | | | | |
6.50% due 02/15/305 | | | 2,350,000 | | | | 2,279,794 | |
Boxer Parent Company, Inc. | | | | | | | | |
7.13% due 10/02/255 | | | 875,000 | | | | 906,972 | |
Open Text Holdings, Inc. | | | | | | | | |
4.13% due 12/01/315 | | | 450,000 | | | | 421,313 | |
CDK Global, Inc. | | | | | | | | |
5.25% due 05/15/295 | | | 325,000 | | | | 326,885 | |
Total Technology | | | | | | | 3,934,964 | |
| | | | | | | | | |
Utilities - 1.2% | | | | | | | | |
Terraform Global Operating LLC | | | | | | | | |
6.13% due 03/01/265 | | | 2,630,000 | | | | 2,628,159 | |
Total Corporate Bonds | | | | |
(Cost $163,481,244) | | | 153,688,384 | |
| | | | | |
SENIOR FLOATING RATE INTERESTS††,◊ - 16.7% |
Industrial - 4.9% | | | | | | | | |
Bhi Investments LLC | | | | | | | | |
5.25% ((3 Month USD LIBOR + 4.25%) and (6 Month USD LIBOR + 4.25%), Rate Floor: 5.25%) due 08/28/24 | | | 2,351,225 | | | | 2,304,203 | |
9.75% (3 Month USD LIBOR + 8.75%, Rate Floor: 9.75%) due 02/28/25††† | | | 1,500,000 | | | | 1,473,750 | |
Arcline FM Holdings LLC | | | | | | | | |
5.50% (6 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28 | | | 1,517,375 | | | | 1,495,252 | |
Dispatch Terra Acquisition LLC | | | | | | | | |
5.26% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28 | | | 1,191,622 | | | | 1,164,810 | |
Pro Mach Group, Inc. | | | | | | | | |
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28 | | | 701,816 | | | | 697,928 | |
Aegion Corp. | | | | | | | | |
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 05/17/28††† | | | 696,500 | | | | 691,276 | |
YAK MAT (YAK ACCESS LLC) | | | | | | | | |
10.95% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26 | | | 1,025,000 | | | | 655,149 | |
Michael Baker International LLC | | | | | | | | |
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 12/01/28 | | | 598,500 | | | | 589,522 | |
PECF USS Intermediate Holding III Corp. | | | | | | | | |
4.76% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28 | | | 448,875 | | | | 444,068 | |
ASP Dream Acquisiton Co. LLC | | | | | | | | |
5.15% (3 Month USD Term SOFR + 4.25%, Rate Floor: 5.00%) due 12/15/28††† | | | 400,000 | | | | 394,000 | |
LTI Holdings, Inc. | | | | | | | | |
5.21% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 07/24/26 | | | 374,063 | | | | 369,387 | |
Total Industrial | | | | | | | 10,279,345 | |
| | | | | | | | | |
Consumer, Cyclical - 4.0% | | | | | | | | |
PetSmart LLC | | | | | | | | |
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28 | | | 1,343,250 | | | | 1,337,649 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
HIGH YIELD FUND | |
| | Face
Amount~ | | | Value | |
First Brands Group LLC | | | | | | | | |
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 03/30/27 | | | 1,037,387 | | | $ | 1,027,013 | |
Alexander Mann | | | | | | | | |
5.72% (6 Month GBP LIBOR + 5.00%, Rate Floor: 5.00%) due 06/16/25 | | GBP | 749,100 | | | | 953,606 | |
NES Global Talent | | | | | | | | |
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 05/11/23 | | | 866,366 | | | | 814,384 | |
ScribeAmerica Intermediate Holdco LLC (Healthchannels) | | | | | | | | |
4.96% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25 | | | 755,014 | | | | 684,549 | |
American Tire Distributors, Inc. | | | | | | | | |
7.00% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.00%) due 10/20/28 | | | 675,000 | | | | 667,966 | |
Holding SOCOTEC | | | | | | | | |
5.26% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 06/30/28 | | | 610,000 | | | | 605,425 | |
Accuride Corp. | | | | | | | | |
6.26% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23 | | | 584,124 | | | | 549,953 | |
FR Refuel LLC | | | | | | | | |
5.50% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 11/08/28††† | | | 528,675 | | | | 518,101 | |
EnTrans International LLC | | | | | | | | |
6.46% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 11/01/24 | | | 487,500 | | | | 472,875 | |
Blue Nile, Inc. | | | | | | | | |
8.00% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 02/17/23 | | | 404,286 | | | | 394,684 | |
WW International, Inc. | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 04/13/28 | | | 401,625 | | | | 364,475 | |
Total Consumer, Cyclical | | | | | | | 8,390,680 | |
| | | | | | | | | |
Consumer, Non-cyclical - 3.5% | | | | | | | | |
HAH Group Holding Co. LLC | | | | | | | | |
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27 | | | 1,312,113 | | | | 1,292,431 | |
Blue Ribbon LLC | | | | | | | | |
6.75% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28 | | | 1,126,187 | | | | 1,102,537 | |
SCP Eye Care Services LLC | | | | | | | | |
6.00% (3 Month USD LIBOR + 4.50%, Rate Floor: 6.00%) due 03/16/28 | | | 1,078,498 | | | | 1,059,624 | |
Quirch Foods Holdings LLC | | | | | | | | |
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 10/27/27 | | | 962,813 | | | | 955,591 | |
Gibson Brands, Inc. | | | | | | | | |
5.75% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 08/11/28††† | | | 867,825 | | | | 850,469 | |
Moran Foods LLC | | | | | | | | |
11.75% (3 Month USD LIBOR 0.00%, Rate Floor: 1.00%) (in-kind rate was 10.75%) due 10/01/249 | | | 407,847 | | | | 331,714 | |
8.00% (3 Month USD LIBOR + 0.00%, Rate Floor: 1.00%) (in-kind rate was 7.00%) due 04/01/249 | | | 308,684 | | | | 304,569 | |
8.00% (2 Month USD LIBOR + 0.00%, Rate Floor: 8.00%) due 04/01/24 | | | 40,888 | | | | 40,343 | |
Women’s Care Holdings, Inc. | | | | | | | | |
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28 | | | 669,938 | | | | 659,888 | |
Confluent Health LLC | | | | | | | | |
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/30/28 | | | 411,504 | | | | 406,361 | |
Kronos Acquisition Holdings, Inc. | | | | | | | | |
7.00% (3 Month USD Term SOFR + 6.00%, Rate Floor: 7.00%) due 12/22/26 | | | 300,000 | | | | 297,126 | |
Total Consumer, Non-cyclical | | | | | | | 7,300,653 | |
| | | | | | | | | |
Technology - 2.1% | | | | | | | | |
Datix Bidco Ltd. | | | | | | | | |
4.96% (6 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25††† | | GBP | 1,300,000 | | | | 1,700,262 | |
8.21% (6 Month GBP LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26††† | | GBP | 650,000 | | | | 849,283 | |
Taxware Holdings (Sovos Compliance LLC) | | | | | | | | |
5.00% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28 | | | 637,956 | | | | 635,966 | |
Apttus Corp. | | | | | | | | |
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28 | | | 621,875 | | | | 619,282 | |
Atlas CC Acquisition Corp. | | | | | | | | |
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28 | | | 570,688 | | | | 567,657 | |
Total Technology | | | | | | | 4,372,450 | |
| | | | | | | | | |
Financial - 1.4% | | | | | | | | |
Franchise Group, Inc. | | | | | | | | |
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26 | | | 958,148 | | | | 955,753 | |
Claros Mortgage Trust, Inc. | | | | | | | | |
5.00% (1 Month USD Term SOFR + 4.50%, Rate Floor: 5.00%) due 08/09/26††† | | | 917,000 | | | | 912,415 | |
Avison Young (Canada), Inc. | | | | | | | | |
6.15% ((1 Month USD LIBOR + 5.75%) and (3 Month USD LIBOR + 5.75%), Rate Floor: 5.96%) due 01/30/26 | | | 532,125 | | | | 527,692 | |
Eisner Advisory Group | | | | | | | | |
6.00% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.00%) due 07/28/28 | | | 447,750 | | | | 443,832 | |
Total Financial | | | | | | | 2,839,692 | |
| | | | | | | | | |
Basic Materials - 0.4% | | | | | | | | |
NIC Acquisition Corp. | | | | | | | | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27 | | | 744,490 | | | | 722,155 | |
24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
HIGH YIELD FUND | |
| | Face
Amount~ | | | Value | |
Communications - 0.3% | | | | | | | | |
Cengage Learning Acquisitions, Inc. | | | | | | | | |
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26 | | | 621,875 | | | $ | 616,048 | |
| | | | | | | | | |
Energy - 0.1% | | | | | | | | |
Permian Production Partners LLC | | | | | | | | |
9.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) (in-kind rate was 2.00%) due 11/24/25†††,9 | | | 144,563 | | | | 142,395 | |
Total Senior Floating Rate Interests | | | | |
(Cost $35,196,124) | | | 34,663,418 | |
| |
ASSET-BACKED SECURITIES†† - 1.2% |
Collateralized Loan Obligations - 1.0% |
Barings Middle Market CLO Ltd. | | | | | | | | |
2019-IA, 1.99% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/15/31◊,5 | | | 1,500,000 | | | | 1,500,565 | |
WhiteHorse X Ltd. | | | | | | | | |
2015-10A, 5.54% (3 Month USD LIBOR + 5.30%, Rate Floor: 5.30%) due 04/17/27◊,5 | | | 752,897 | | | | 686,382 | |
Total Collateralized Loan Obligations | | | | | | | 2,186,947 | |
| | | | | | | | | |
Infrastructure - 0.2% | | | | | | | | |
Hotwire Funding LLC | | | | | | | | |
2021-1, 4.46% due 11/20/515 | | | 400,000 | | | | 370,664 | |
Total Asset-Backed Securities | | | | |
(Cost $2,560,652) | | | 2,557,611 | |
| | | | | | | | | |
Total Investments - 98.2% | | | | |
(Cost $214,836,232) | | $ | 204,193,216 | |
Other Assets & Liabilities, net - 1.8% | | | 3,793,346 | |
Total Net Assets - 100.0% | | $ | 207,986,562 | |
Forward Foreign Currency Exchange Contracts†† |
Counterparty | | Currency | | | Type | | | Quantity | | | Contract
Amount | | | Settlement
Date | | | Unrealized
Depreciation | |
Barclays Bank plc | | | EUR | | | | Sell | | | | 56,000 | | 61,737 USD | | | 04/14/22 | | | $ | (249 | ) |
Barclays Bank plc | | | CAD | | | | Sell | | | | 908,000 | | 712,591 USD | | | 04/14/22 | | | | (13,886 | ) |
Barclays Bank plc | | | GBP | | | | Sell | | | | 2,722,000 | | 3,546,184 USD | | | 04/14/22 | | | | (29,347 | ) |
Bank of America, N.A. | | | EUR | | | | Sell | | | | 2,738,000 | | 2,990,211 USD | | | 04/14/22 | | | | (40,465 | ) |
| | | | | | | | | | | | | | | | | | | | | | | $ | (83,947 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
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. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
1 | Special Purpose Acquisition Company (SPAC). |
2 | Affiliated issuer. |
3 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
5 | 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 $130,554,599 (cost $137,872,402), or 62.8% of total net assets. |
6 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At March 31, 2022, the total market value of segregated or earmarked securities was $4,833,924 — See Note 6. |
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 $38,406 (cost $1,471,729), or 0.02% of total net assets — See Note 10. |
9 | 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 |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 3,242,591 | | | $ | 53,531 | | | $ | 1,747,324 | | | $ | 5,043,446 | |
Preferred Stocks | | | — | | | | 7,045,261 | | | | — | * | | | 7,045,261 | |
Warrants | | | 30,027 | | | | 14 | | | | — | | | | 30,041 | |
Money Market Fund | | | 1,165,055 | | | | — | | | | — | | | | 1,165,055 | |
Corporate Bonds | | | — | | | | 153,688,384 | | | | — | | | | 153,688,384 | |
Senior Floating Rate Interests | | | — | | | | 27,131,467 | | | | 7,531,951 | | | | 34,663,418 | |
Asset-Backed Securities | | | — | | | | 2,557,611 | | | | — | | | | 2,557,611 | |
Total Assets | | $ | 4,437,673 | | | $ | 190,476,268 | | | $ | 9,279,275 | | | $ | 204,193,216 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Forward Foreign Currency Exchange Contracts** | | $ | — | | | $ | 83,947 | | | $ | — | | | $ | 83,947 | |
Unfunded Loan Commitments (Note 9) | | | — | | | | — | | | | 11,101 | | | | 11,101 | |
Total Liabilities | | $ | — | | | $ | 83,947 | | | $ | 11,101 | | | $ | 95,048 | |
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
26 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
HIGH YIELD 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 $3,685,046 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 Balance at
March 31, 2022 | | | Valuation Technique | | | Unobservable Inputs | | | Input Range | | | Weighted Average* | |
Assets: | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 1,004,524 | | Third Party Pricing | Vendor Price | | | — | | | | — | |
Common Stocks | | | 619,961 | | Third Party Pricing | Broker Quote | | | — | | | | — | |
Common Stocks | | | 120,550 | | Enterprise Value | Valuation Multiple | | | 3.2x-11.8x | | | | 5.7x | |
Common Stocks | | | 2,289 | | Model Price | Liquidation Value | | | — | | | | — | |
Senior Floating Rate Interests | | | 3,508,656 | | Third Party Pricing | Broker Quote | | | — | | | | — | |
Senior Floating Rate Interests | | | 2,549,545 | | Yield Analysis | Yield | | | 5.6%-8.9% | | | | 6.7 | % |
Senior Floating Rate Interests | | | 1,473,750 | | Model Price | Market Comparable Yields | | | 10.5 | % | | | — | |
Total Assets | | $ | 9,279,275 | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Unfunded Loan Commitments | | $ | 11,101 | | 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 yield, quote, 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 period ended March 31, 2022, the Fund had securities with a total value of $5,715,775 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $5,771,292 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.
Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended March 31, 2022:
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
HIGH YIELD FUND | |
| | | Assets | | | | | | | Liabilities | |
| | Corporate
Bonds | | | Senior Floating
Rate Interests | | | Common
Stocks | | | Total Assets | | | Unfunded Loan
Commitments | |
Beginning Balance | | $ | 539,206 | | | $ | 8,849,956 | | | $ | 237,484 | | | $ | 9,626,646 | | | $ | (622 | ) |
Purchases/(Receipts) | | | — | | | | 2,440,020 | | | | — | | | | 2,440,020 | | | | (3,017 | ) |
(Sales, maturities and paydowns)/Fundings | | | — | | | | (2,470,081 | ) | | | (685 | ) | | | (2,470,766 | ) | | | 692 | |
Amortization of premiums/discounts | | | — | | | | 55,294 | | | | — | | | | 55,294 | | | | — | |
Total realized gains (losses) included in earnings | | | — | | | | (4,150 | ) | | | (5,481 | ) | | | (9,631 | ) | | | 416 | |
Total change in unrealized appreciation (depreciation) included in earnings | | | (99,943 | ) | | | (115,534 | ) | | | (91,294 | ) | | | (306,771 | ) | | | (8,570 | ) |
Transfers into Level 3 | | | — | | | | 4,091,290 | | | | 1,624,485 | | | | 5,715,775 | | | | — | |
Transfers out of Level 3 | | | (439,263 | ) | | | (5,314,844 | ) | | | (17,185 | ) | | | (5,771,292 | ) | | | — | |
Ending Balance | | $ | — | | | $ | 7,531,951 | | | $ | 1,747,324 | | | $ | 9,279,275 | | | $ | (11,101 | ) |
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2022 | | $ | — | | | $ | (30,903 | ) | | $ | (26,197 | ) | | $ | (57,100 | ) | | $ | (8,131 | ) |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
09/30/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | |
Common Stocks | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BP Holdco LLC * | | $ | 16,716 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 16,716 | | | | 23,711 | |
Targus Group International Equity, Inc. * | | | 31,234 | | | | — | | | | — | | | | — | | | | 2,352 | | | | 33,586 | | | | 12,825 | |
| | | $ | 47,950 | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,352 | | | $ | 50,302 | | | | | |
* | Non-income producing security. |
28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $214,823,503) | | $ | 204,142,914 | |
Investments in affiliated issuers, at value (cost $12,729) | | | 50,302 | |
Foreign currency, at value (cost 1,056,661) | | | 1,048,135 | |
Cash | | | 95,195 | |
Prepaid expenses | | | 73,240 | |
Receivables: |
Securities sold | | | 7,283,151 | |
Interest | | | 2,692,838 | |
Fund shares sold | | | 565,643 | |
Dividends | | | 9,844 | |
Total assets | | | 215,961,262 | |
| | | | | |
Liabilities: |
Unfunded loan commitments, at value (Note 9) (commitment fees received $4,005) | | | 11,101 | |
Reverse repurchase agreements( Note 6) | | | 3,685,046 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 83,947 | |
Payable for: |
Securities purchased | | | 3,238,032 | |
Fund shares redeemed | | | 411,285 | |
Distributions to shareholders | | | 348,912 | |
Management fees | | | 116,123 | |
Distribution and service fees | | | 22,777 | |
Fund accounting/administration fees | | | 15,379 | |
Trustees’ fees* | | | 8,978 | |
Transfer agent/maintenance fees | | | 6,119 | |
Miscellaneous | | | 27,001 | |
Total liabilities | | | 7,974,700 | |
Net assets | | $ | 207,986,562 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 244,706,109 | |
Total distributable earnings (loss) | | | (36,719,547 | ) |
Net assets | | $ | 207,986,562 | |
| | | | | |
A-Class: |
Net assets | | $ | 50,808,586 | |
Capital shares outstanding | | | 4,900,794 | |
Net asset value per share | | $ | 10.37 | |
Maximum offering price per share (Net asset value divided by 96.00%) | | $ | 10.80 | |
| | | | | |
C-Class: |
Net assets | | $ | 12,678,319 | |
Capital shares outstanding | | | 1,212,636 | |
Net asset value per share | | $ | 10.46 | |
| | | | | |
P-Class: |
Net assets | | $ | 4,555,551 | |
Capital shares outstanding | | | 439,150 | |
Net asset value per share | | $ | 10.37 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 137,695,864 | |
Capital shares outstanding | | | 16,301,787 | |
Net asset value per share | | $ | 8.45 | |
| | | | | |
R6-Class: |
Net assets | | $ | 2,248,242 | |
Capital shares outstanding | | | 217,278 | |
Net asset value per share | | $ | 10.35 | |
* | 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 SEMI-ANNUAL REPORT | 29 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended March 31, 2022 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 309,474 | |
Interest from securities of unaffiliated issuers | | | 9,151,841 | |
Total investment income | | | 9,461,315 | |
| | | | | |
Expenses: |
Management fees | | | 1,026,057 | |
Distribution and service fees: |
A-Class | | | 67,158 | |
C-Class | | | 74,514 | |
P-Class | | | 6,525 | |
Transfer agent/maintenance fees: |
A-Class | | | 14,425 | |
C-Class | | | 10,593 | |
P-Class | | | 3,316 | |
Institutional Class | | | 84,584 | |
R6-Class | | | 379 | |
Fund accounting/administration fees | | | 114,083 | |
Professional fees | | | 58,657 | |
Trustees’ fees* | | | 13,039 | |
Line of credit fees | | | 12,001 | |
Custodian fees | | | 9,312 | |
Interest expense | | | 1,865 | |
Miscellaneous | | | 61,556 | |
Recoupment of previously waived fees: |
A-Class | | | 7,303 | |
C-Class | | | 586 | |
P-Class | | | 1,515 | |
Institutional Class | | | 19,881 | |
Total expenses | | | 1,587,349 | |
Less: |
Expenses reimbursed by Adviser: |
A-Class | | | (3,441 | ) |
C-Class | | | (726 | ) |
P-Class | | | (1,037 | ) |
Institutional Class | | | (15,023 | ) |
Earnings credits applied | | | (77 | ) |
Total reimbursed expenses | | | (20,304 | ) |
Net expenses | | | 1,567,045 | |
Net investment income | | | 7,894,270 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (1,849,292 | ) |
Forward foreign currency exchange contracts | | | 474,572 | |
Foreign currency transactions | | | 2,369 | |
Net realized loss | | | (1,372,351 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (18,995,706 | ) |
Investments in affiliated issuers | | | 2,352 | |
Forward foreign currency exchange contracts | | | (198,596 | ) |
Foreign currency translations | | | (9,912 | ) |
Net change in unrealized appreciation (depreciation) | | | (19,201,862 | ) |
Net realized and unrealized loss | | | (20,574,213 | ) |
Net decrease in net assets resulting from operations | | $ | (12,679,943 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 7,894,270 | | | $ | 18,058,114 | |
Net realized gain (loss) on investments | | | (1,372,351 | ) | | | 6,250,945 | |
Net change in unrealized appreciation (depreciation) on investments | | | (19,201,862 | ) | | | 16,483,574 | |
Net increase (decrease) in net assets resulting from operations | | | (12,679,943 | ) | | | 40,792,633 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (1,170,150 | ) | | | (2,649,449 | ) |
C-Class | | | (262,225 | ) | | | (646,418 | ) |
P-Class | | | (111,384 | ) | | | (271,158 | ) |
Institutional Class | | | (3,591,766 | ) | | | (9,008,534 | ) |
R6-Class | | | (2,515,504 | ) | | | (6,415,953 | ) |
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 | | | (7,651,029 | ) | | | (18,991,512 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 3,184,586 | | | | 7,498,237 | |
C-Class | | | 413,107 | | | | 3,471,056 | |
P-Class | | | 280,013 | | | | 1,790,815 | |
Institutional Class | | | 15,627,444 | | | | 50,818,387 | |
R6-Class | | | 2,432,618 | | | | 8,946,340 | |
Redemption fees collected | | | | | | | | |
A-Class | | | 4,302 | | | | 1,117 | |
C-Class | | | 1,089 | | | | 327 | |
P-Class | | | 390 | | | | 114 | |
Institutional Class | | | 11,752 | | | | 3,665 | |
R6-Class | | | 953 | | | | 2,525 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 1,054,848 | | | | 2,386,801 | |
C-Class | | | 252,757 | | | | 607,096 | |
P-Class | | | 111,384 | | | | 271,158 | |
Institutional Class | | | 2,920,078 | | | | 6,378,870 | |
R6-Class | | | 2,515,504 | | | | 6,415,953 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (5,909,009 | ) | | | (11,470,510 | ) |
C-Class | | | (3,378,083 | ) | | | (5,211,217 | ) |
P-Class | | | (1,196,491 | ) | | | (2,577,681 | ) |
Institutional Class | | | (39,453,068 | ) | | | (71,490,812 | ) |
R6-Class | | | (122,177,106 | ) | | | (22,971,558 | ) |
Net decrease from capital share transactions | | | (143,302,932 | ) | | | (25,129,317 | ) |
Net decrease in net assets | | | (163,633,904 | ) | | | (3,328,196 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 371,620,466 | | | | 374,948,662 | |
End of period | | $ | 207,986,562 | | | $ | 371,620,466 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31 |
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 296,120 | | | | 692,089 | |
C-Class | | | 37,915 | | | | 317,074 | |
P-Class | | | 25,944 | | | | 167,163 | |
Institutional Class | | | 1,785,709 | | | | 5,775,858 | |
R6-Class | | | 225,132 | | | | 826,869 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 98,971 | | | | 220,568 | |
C-Class | | | 23,491 | | | | 55,629 | |
P-Class | | | 10,432 | | | | 25,050 | |
Institutional Class | | | 335,470 | | | | 723,143 | |
R6-Class | | | 235,274 | | | | 593,662 | |
Shares redeemed | | | | | | | | |
A-Class | | | (554,548 | ) | | | (1,059,043 | ) |
C-Class | | | (315,919 | ) | | | (477,190 | ) |
P-Class | | | (112,550 | ) | | | (239,351 | ) |
Institutional Class | | | (4,546,556 | ) | | | (8,088,067 | ) |
R6-Class | | | (11,796,114 | ) | | | (2,130,982 | ) |
Net decrease in shares | | | (14,251,229 | ) | | | (2,597,528 | ) |
32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 10.98 | | | $ | 10.37 | | | $ | 10.90 | | | $ | 11.04 | | | $ | 11.50 | | | $ | 11.16 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .24 | | | | .49 | | | | .57 | | | | .64 | | | | .68 | | | | .64 | |
Net gain (loss) on investments (realized and unrealized) | | | (.62 | ) | | | .63 | | | | (.50 | ) | | | (.12 | ) | | | (.46 | ) | | | .35 | |
Total from investment operations | | | (.38 | ) | | | 1.12 | | | | .07 | | | | .52 | | | | .22 | | | | .99 | |
Less distributions from: |
Net investment income | | | (.23 | ) | | | (.48 | ) | | | (.60 | ) | | | (.66 | ) | | | (.68 | ) | | | (.65 | ) |
Return of capital | | | — | | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.23 | ) | | | (.51 | ) | | | (.60 | ) | | | (.66 | ) | | | (.68 | ) | | | (.65 | ) |
Redemption fees collected | | | — | c | | | — | c | | | — | c | | | — | c | | | — | c | | | — | c |
Net asset value, end of period | | $ | 10.37 | | | $ | 10.98 | | | $ | 10.37 | | | $ | 10.90 | | | $ | 11.04 | | | $ | 11.50 | |
|
Total Returnd | | | (3.47 | %) | | | 11.02 | % | | | 0.84 | % | | | 4.99 | % | | | 2.00 | % | | | 9.11 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 50,809 | | | $ | 55,550 | | | $ | 53,997 | | | $ | 67,916 | | | $ | 75,028 | | | $ | 126,097 | |
Ratios to average net assets: |
Net investment income (loss) | | | 4.50 | % | | | 4.51 | % | | | 5.44 | % | | | 5.94 | % | | | 6.05 | % | | | 5.63 | % |
Total expensese | | | 1.09 | % | | | 1.07 | % | | | 1.21 | % | | | 1.27 | % | | | 1.35 | % | | | 1.31 | % |
Net expensesf,g,h | | | 1.08 | % | | | 1.05 | % | | | 1.20 | % | | | 1.26 | % | | | 1.33 | % | | | 1.29 | % |
Portfolio turnover rate | | | 25 | % | | | 86 | % | | | 81 | % | | | 61 | % | | | 61 | % | | | 62 | % |
C-Class | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 11.07 | | | $ | 10.46 | | | $ | 10.99 | | | $ | 11.14 | | | $ | 11.60 | | | $ | 11.26 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .20 | | | | .40 | | | | .49 | | | | .56 | | | | .60 | | | | .56 | |
Net gain (loss) on investments (realized and unrealized) | | | (.62 | ) | | | .64 | | | | (.49 | ) | | | (.12 | ) | | | (.46 | ) | | | .35 | |
Total from investment operations | | | (.42 | ) | | | 1.04 | | | | — | | | | .44 | | | | .14 | | | | .91 | |
Less distributions from: |
Net investment income | | | (.19 | ) | | | (.40 | ) | | | (.53 | ) | | | (.59 | ) | | | (.60 | ) | | | (.57 | ) |
Return of capital | | | — | | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.19 | ) | | | (.43 | ) | | | (.53 | ) | | | (.59 | ) | | | (.60 | ) | | | (.57 | ) |
Redemption fees collected | | | — | c | | | — | c | | | — | c | | | — | c | | | — | c | | | — | c |
Net asset value, end of period | | $ | 10.46 | | | $ | 11.07 | | | $ | 10.46 | | | $ | 10.99 | | | $ | 11.14 | | | $ | 11.60 | |
|
Total Returnd | | | (3.82 | %) | | | 10.04 | % | | | 0.09 | % | | | 4.12 | % | | | 1.27 | % | | | 8.38 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 12,678 | | | $ | 16,242 | | | $ | 16,437 | | | $ | 21,935 | | | $ | 22,350 | | | $ | 30,461 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.66 | % | | | 3.67 | % | | | 4.68 | % | | | 5.17 | % | | | 5.31 | % | | | 4.92 | % |
Total expensese | | | 1.91 | % | | | 1.91 | % | | | 2.00 | % | | | 2.03 | % | | | 2.11 | % | | | 2.05 | % |
Net expensesf,g,h | | | 1.90 | % | | | 1.89 | % | | | 1.99 | % | | | 2.02 | % | | | 2.09 | % | | | 2.03 | % |
Portfolio turnover rate | | | 25 | % | | | 86 | % | | | 81 | % | | | 61 | % | | | 61 | % | | | 62 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 10.98 | | | $ | 10.38 | | | $ | 10.91 | | | $ | 11.05 | | | $ | 11.51 | | | $ | 11.17 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .24 | | | | .48 | | | | .57 | | | | .64 | | | | .68 | | | | .64 | |
Net gain (loss) on investments (realized and unrealized) | | | (.62 | ) | | | .62 | | | | (.50 | ) | | | (.12 | ) | | | (.46 | ) | | | .37 | |
Total from investment operations | | | (.38 | ) | | | 1.10 | | | | .07 | | | | .52 | | | | .22 | | | | 1.01 | |
Less distributions from: |
Net investment income | | | (.23 | ) | | | (.47 | ) | | | (.60 | ) | | | (.66 | ) | | | (.68 | ) | | | (.67 | ) |
Return of capital | | | — | | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.23 | ) | | | (.50 | ) | | | (.60 | ) | | | (.66 | ) | | | (.68 | ) | | | (.67 | ) |
Redemption fees collected | | | — | c | | | — | c | | | — | c | | | — | c | | | — | c | | | — | c |
Net asset value, end of period | | $ | 10.37 | | | $ | 10.98 | | | $ | 10.38 | | | $ | 10.91 | | | $ | 11.05 | | | $ | 11.51 | |
|
Total Return | | | (3.51 | %) | | | 10.80 | % | | | 0.80 | % | | | 4.98 | % | | | 1.95 | % | | | 9.24 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,556 | | | $ | 5,660 | | | $ | 5,837 | | | $ | 8,170 | | | $ | 12,124 | | | $ | 16,883 | |
Ratios to average net assets: |
Net investment income (loss) | | | 4.41 | % | | | 4.40 | % | | | 5.42 | % | | | 5.93 | % | | | 6.00 | % | | | 5.58 | % |
Total expensese | | | 1.20 | % | | | 1.20 | % | | | 1.26 | % | | | 1.30 | % | | | 1.45 | % | | | 1.29 | % |
Net expensesf,g,h | | | 1.16 | % | | | 1.16 | % | | | 1.25 | % | | | 1.28 | % | | | 1.39 | % | | | 1.22 | % |
Portfolio turnover rate | | | 25 | % | | | 86 | % | | | 81 | % | | | 61 | % | | | 61 | % | | | 62 | % |
Institutional Class | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 8.94 | | | $ | 8.45 | | | $ | 8.88 | | | $ | 9.01 | | | $ | 9.38 | | | $ | 9.11 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .20 | | | | .41 | | | | .48 | | | | .54 | | | | .58 | | | | .56 | |
Net gain (loss) on investments (realized and unrealized) | | | (.49 | ) | | | .51 | | | | (.39 | ) | | | (.10 | ) | | | (.38 | ) | | | .28 | |
Total from investment operations | | | (.29 | ) | | | .92 | | | | .09 | | | | .44 | | | | .20 | | | | .84 | |
Less distributions from: |
Net investment income | | | (.20 | ) | | | (.40 | ) | | | (.52 | ) | | | (.57 | ) | | | (.57 | ) | | | (.57 | ) |
Return of capital | | | — | | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.20 | ) | | | (.43 | ) | | | (.52 | ) | | | (.57 | ) | | | (.57 | ) | | | (.57 | ) |
Redemption fees collected | | | — | c | | | — | c | | | — | c | | | — | c | | | — | c | | | — | c |
Net asset value, end of period | | $ | 8.45 | | | $ | 8.94 | | | $ | 8.45 | | | $ | 8.88 | | | $ | 9.01 | | | $ | 9.38 | |
|
Total Return | | | (3.30 | %) | | | 11.14 | % | | | 1.14 | % | | | 5.15 | % | | | 2.27 | % | | | 9.56 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 137,696 | | | $ | 167,486 | | | $ | 171,641 | | | $ | 180,442 | | | $ | 125,945 | | | $ | 194,280 | |
Ratios to average net assets: |
Net investment income (loss) | | | 4.68 | % | | | 4.71 | % | | | 5.67 | % | | | 6.17 | % | | | 6.28 | % | | | 6.00 | % |
Total expensese | | | 0.89 | % | | | 0.88 | % | | | 0.98 | % | | | 0.99 | % | | | 1.14 | % | | | 0.94 | % |
Net expensesf,g,h | | | 0.87 | % | | | 0.85 | % | | | 0.96 | % | | | 0.97 | % | | | 1.11 | % | | | 0.93 | % |
Portfolio turnover rate | | | 25 | % | | | 86 | % | | | 81 | % | | | 61 | % | | | 61 | % | | | 62 | % |
34 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Period Ended
September 30,
2017i | |
Per Share Data |
Net asset value, beginning of period | | $ | 10.97 | | | $ | 10.36 | | | $ | 10.89 | | | $ | 11.03 | | | $ | 11.49 | | | $ | 11.45 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .25 | | | | .52 | | | | .60 | | | | .68 | | | | .72 | | | | .24 | |
Net gain (loss) on investments (realized and unrealized) | | | (.61 | ) | | | .63 | | | | (.49 | ) | | | (.12 | ) | | | (.46 | ) | | | .04 | |
Total from investment operations | | | (.36 | ) | | | 1.15 | | | | .11 | | | | .56 | | | | .26 | | | | .28 | |
Less distributions from: |
Net investment income | | | (.26 | ) | | | (.51 | ) | | | (.64 | ) | | | (.70 | ) | | | (.72 | ) | | | (.24 | ) |
Return of capital | | | — | | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.26 | ) | | | (.54 | ) | | | (.64 | ) | | | (.70 | ) | | | (.72 | ) | | | (.24 | ) |
Redemption fees collected | | | — | c | | | — | c | | | — | c | | | — | c | | | — | c | | | — | c |
Net asset value, end of period | | $ | 10.35 | | | $ | 10.97 | | | $ | 10.36 | | | $ | 10.89 | | | $ | 11.03 | | | $ | 11.49 | |
|
Total Return | | | (3.35 | %) | | | 11.35 | % | | | 1.19 | % | | | 5.39 | % | | | 2.34 | % | | | 2.49 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,248 | | | $ | 126,683 | | | $ | 127,037 | | | $ | 151,558 | | | $ | 190,421 | | | $ | 200,099 | |
Ratios to average net assets: |
Net investment income (loss) | | | 4.72 | % | | | 4.80 | % | | | 5.79 | % | | | 6.31 | % | | | 6.41 | % | | | 5.41 | % |
Total expensese | | | 0.75 | % | | | 0.77 | % | | | 0.85 | % | | | 0.89 | % | | | 1.00 | % | | | 0.82 | % |
Net expensesf,g,h | | | 0.75 | % | | | 0.76 | % | | | 0.85 | % | | | 0.88 | % | | | 1.00 | % | | | 0.82 | % |
Portfolio turnover rate | | | 25 | % | | | 86 | % | | | 81 | % | | | 61 | % | | | 61 | % | | | 62 | % |
a | Unaudited figures for the period ended March 31, 2022. 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 | Redemption fees collected are less than $0.01 per share. |
d | Total return does not reflect the impact of any applicable sales charges. |
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 periods presented was as follows: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 0.03% | 0.00%* | 0.05% | 0.05% | — | 0.09% |
| | C-Class | 0.01% | 0.01% | 0.04% | 0.05% | — | 0.06% |
| | P-Class | 0.06% | 0.04% | 0.02% | 0.01% | 0.03% | 0.00%* |
| | Institutional Class | 0.03% | 0.01% | 0.02% | 0.02% | 0.04% | 0.00%* |
| | R6-Class | — | — | 0.00&* | 0.00%* | — | — |
h | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods presented would be: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 1.07% | 1.03% | 1.12% | 1.15% | 1.10% | 1.15% |
| | C-Class | 1.89% | 1.87% | 1.90% | 1.91% | 1.86% | 1.89% |
| | P-Class | 1.15% | 1.14% | 1.16% | 1.16% | 1.16% | 1.08% |
| | Institutional Class | 0.86% | 0.83% | 0.87% | 0.88% | 0.88% | 0.79% |
| | R6-Class | 0.75% | 0.74% | 0.77% | 0.77% | 0.77% | 0.79% |
i | Since commencement of operations: May 15, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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
Investments |
Fixed Income Instruments | |
AAA | 25.7% |
AA | 10.9% |
A | 20.4% |
BBB | 31.5% |
BB | 2.0% |
B | 0.6% |
CCC | 0.0%* |
CC | 0.1% |
C | 0.1% |
NR2 | 1.0% |
Other Instruments | 7.7% |
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, 1.88% | 5.6% |
U.S. Treasury Bonds, 1.88% | 1.2% |
Cerberus Loan Funding XXX, LP, 2.09% | 0.9% |
U.S. Treasury Bonds, 2.00% | 0.9% |
Pershing Square Tontine Holdings Ltd. — Class A | 0.9% |
Woodmont Trust, 2.14% | 0.8% |
Delta Air Lines, Inc., 7.00% | 0.6% |
Mileage Plus Holdings LLC, 6.25% | 0.6% |
Boeing Co., 5.15% | 0.6% |
Octagon Investment Partners 49 Ltd., 1.79% | 0.6% |
Top Ten Total | 12.7% |
| | |
“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. |
* | Less than 0.01%. |
36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | (7.08%) | (4.19%) | 3.05% | 3.88% |
A-Class Shares with sales charge‡ | (10.81%) | (8.02%) | 2.21% | 3.38% |
C-Class Shares | (7.41%) | (4.87%) | 2.30% | 3.12% |
C-Class Shares with CDSC§ | (8.31%) | (5.80%) | 2.30% | 3.12% |
Bloomberg U.S. Aggregate Bond Index | (5.92%) | (4.15%) | 2.14% | 2.24% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(05/01/15) |
P-Class Shares | (7.02%) | (4.13%) | 3.05% | 3.14% |
Bloomberg U.S. Aggregate Bond Index | (5.92%) | (4.15%) | 2.14% | 2.00% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(01/29/13) |
Institutional Class Shares | (6.90%) | (3.86%) | 3.36% | 3.94% |
Bloomberg U.S. Aggregate Bond Index | (5.92%) | (4.15%) | 2.14% | 2.10% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | 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 the 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 SEMI-ANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
CORE BOND FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 1.3% |
| | | | | | | | | |
Financial - 1.3% |
Pershing Square Tontine Holdings Ltd. — Class A*,1 | | | 622,890 | | | $ | 12,389,282 | |
KKR Acquisition Holdings I Corp. — Class A*,1 | | | 299,316 | | | | 2,942,276 | |
RXR Acquisition Corp. — Class A*,1 | | | 72,327 | | | | 705,188 | |
TPG Pace Beneficial II Corp.*,1 | | | 64,278 | | | | 631,210 | |
MSD Acquisition Corp. — Class A*,1 | | | 46,697 | | | | 458,565 | |
AfterNext HealthTech Acquisition Corp. — Class A*,1 | | | 38,300 | | | | 370,744 | |
Conyers Park III Acquisition Corp. — Class A*,1 | | | 35,600 | | | | 347,100 | |
Waverley Capital Acquisition Corp. 1 — Class A*,1 | | | 28,200 | | | | 271,284 | |
Colicity, Inc. — Class A*,1 | | | 25,295 | | | | 246,879 | |
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | | | 24,900 | | | | 241,779 | |
Blue Whale Acquisition Corp. I — Class A*,1 | | | 20,700 | | | | 200,790 | |
Total Financial | | | | | | | 18,805,097 | |
| | | | | | | | | |
Communications - 0.0% |
Figs, Inc. — Class A* | | | 12,590 | | | | 270,937 | |
Vacasa, Inc. — Class A* | | | 31,926 | | | | 264,028 | |
Total Communications | | | | | | | 534,965 | |
| | | | | | | | | |
Industrial - 0.0% |
Constar International Holdings LLC*,††† | | | 68 | | | | — | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $19,061,064) | | | | | | | 19,340,062 | |
| | | | | | | | | |
PREFERRED STOCKS†† - 5.0% |
Financial - 5.0% |
Wells Fargo & Co. |
4.38% | | | 210,000 | | | | 4,399,500 | |
4.70% | | | 148,000 | | | | 3,263,400 | |
3.90% due 12/31/70 | | | 3,250,000 | | | | 3,115,287 | |
First Republic Bank |
4.25% | | | 372,000 | | | | 7,722,720 | |
4.13% | | | 53,200 | | | | 1,096,984 | |
Charles Schwab Corp. |
4.00% due 12/31/70 | | | 8,500,000 | | | | 7,634,020 | |
W R Berkley Corp. |
4.13% due 03/30/61 | | | 282,142 | | | | 6,263,553 | |
4.25% due 09/30/60 | | | 11,828 | | | | 251,463 | |
Bank of America Corp. |
4.13% | | | 148,000 | | | | 3,153,880 | |
4.38% | | | 106,000 | | | | 2,294,900 | |
Markel Corp. |
6.00% due 12/31/70 | | | 5,210,000 | | | | 5,392,350 | |
Bank of New York Mellon Corp. |
3.75% due 12/31/70 | | | 3,900,000 | | | | 3,605,160 | |
4.70% due 12/31/70 | | | 1,060,000 | | | | 1,085,440 | |
JPMorgan Chase & Co. |
3.65%2 | | | 2,350,000 | | | | 2,197,250 | |
4.63% | | | 76,000 | | | | 1,672,760 | |
Globe Life, Inc. |
4.25% due 06/15/61 | | | 160,000 | | | | 3,548,800 | |
MetLife, Inc. |
3.85% due 12/31/70 | | | 3,520,000 | | | | 3,471,424 | |
Public Storage |
4.63% | | | 104,783 | | | | 2,439,348 | |
4.13% | | | 22,087 | | | | 480,613 | |
Arch Capital Group Ltd. |
4.55% | | | 102,000 | | | | 2,153,220 | |
PartnerRe Ltd. |
4.88% | | | 78,457 | | | | 1,777,051 | |
American Financial Group, Inc. |
4.50% due 09/15/60 | | | 77,955 | | | | 1,774,256 | |
RenaissanceRe Holdings Ltd. |
4.20% | | | 82,000 | | | | 1,731,020 | |
CNO Financial Group, Inc. |
5.13% due 11/25/60 | | | 48,000 | | | | 1,065,600 | |
Kuvare US Holdings, Inc. |
7.00% due 02/17/513 | | | 1,000,000 | | | | 1,040,000 | |
Depository Trust & Clearing Corp. |
3.38%2,3 | | | 1,000,000 | | | | 920,000 | |
Assurant, Inc. |
5.25% due 01/15/61 | | | 38,000 | | | | 882,360 | |
Total Financial | | | | | | | 74,432,359 | |
| | | | | | | | | |
Industrial - 0.0% |
Constar International Holdings LLC*,††† | | | 7 | | | | — | |
| | | | | | | | | |
Total Preferred Stocks | | | | |
(Cost $82,765,068) | | | | | | | 74,432,359 | |
| | | | | | | | | |
WARRANTS† - 0.0% |
Pershing Square Tontine Holdings, Ltd. | | | | | | | | |
Expiring 07/24/25*,1 | | | 69,210 | | | | 65,057 | |
KKR Acquisition Holdings I Corp. | | | | | | | | |
Expiring 12/31/27*,1 | | | 74,828 | | | | 49,387 | |
MSD Acquisition Corp. | | | | | | | | |
Expiring 05/13/23*,1 | | | 9,339 | | | | 7,284 | |
RXR Acquisition Corp. | | | | | | | | |
Expiring 03/08/26*,1 | | | 14,463 | | | | 6,508 | |
Conyers Park III Acquisition Corp. | | | | | | | | |
Expiring 08/12/28* | | | 11,866 | | | | 6,064 | |
Ginkgo Bioworks Holdings, Inc. | | | | | | | | |
Expiring 12/31/27* | | | 6,510 | | | | 5,731 | |
AfterNext HealthTech Acquisition Corp. | | | | | | | | |
Expiring 07/09/23* | | | 12,766 | | | | 5,362 | |
Acropolis Infrastructure Acquisition Corp. | | | | | | | | |
Expiring 03/31/26*,1 | | | 8,300 | | | | 3,945 | |
Waverley Capital Acquisition Corp. | | | | | | | | |
Expiring 04/30/27*,1 | | | 9,400 | | | | 3,572 | |
Blue Whale Acquisition Corp. | | | | | | | | |
Expiring 07/30/26*,1 | | | 5,174 | | | | 2,592 | |
38 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND FUND | |
| | Shares | | | Value | |
Colicity, Inc. | | | | | | | | |
Expiring 12/31/27*,1 | | | 5,057 | | | $ | 1,972 | |
Total Warrants | | | | |
(Cost $554,301) | | | | | | | 157,474 | |
| | | | | | | | | |
CLOSED-END FUNDS† - 0.2% |
BlackRock MuniHoldings California Quality Fund, Inc. | | | 118,541 | | | | 1,550,516 | |
BlackRock MuniYield California Quality Fund, Inc. | | | 102,571 | | | | 1,347,783 | |
Total Closed-End Funds | | | | |
(Cost $3,273,258) | | | | | | | 2,898,299 | |
| | | | | | | | | |
MONEY MARKET FUNDS† - 1.2% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%4 | | | 12,625,134 | | | | 12,625,134 | |
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 0.15%4 | | | 5,522,876 | | | | 5,522,876 | |
Total Money Market Funds | | | | |
(Cost $18,148,010) | | | | | | | 18,148,010 | |
| | | Face
Amount~ | | | | | |
CORPORATE BONDS†† - 41.6% |
Financial - 19.0% | | | | | | | | |
Pershing Square Holdings Ltd. | | | | | | | | |
3.25% due 10/01/31 | | | 6,200,000 | | | | 5,592,400 | |
3.25% due 11/15/303 | | | 4,500,000 | | | | 4,129,110 | |
5.50% due 07/15/223 | | | 2,000,000 | | | | 2,012,252 | |
JPMorgan Chase & Co. | | | | | | | | |
3.11% due 04/22/412 | | | 3,530,000 | | | | 3,190,196 | |
2.52% due 04/22/312 | | | 2,210,000 | | | | 2,048,712 | |
2.96% due 05/13/312 | | | 1,870,000 | | | | 1,749,753 | |
4.49% due 03/24/312 | | | 1,600,000 | | | | 1,695,901 | |
Bank of America Corp. | | | | | | | | |
2.59% due 04/29/312 | | | 6,900,000 | | | | 6,365,709 | |
2.68% due 06/19/412 | | | 2,650,000 | | | | 2,237,549 | |
Wells Fargo & Co. | | | | | | | | |
3.07% due 04/30/412 | | | 8,550,000 | | | | 7,686,237 | |
Liberty Mutual Group, Inc. | | | | | | | | |
4.13% due 12/15/512,3 | | | 5,800,000 | | | | 5,466,500 | |
3.95% due 05/15/603 | | | 2,150,000 | | | | 1,956,175 | |
Nationwide Mutual Insurance Co. | | | | | | | | |
4.35% due 04/30/503 | | | 7,410,000 | | | | 7,372,299 | |
Nippon Life Insurance Co. | | | | | | | | |
2.75% due 01/21/512,3 | | | 8,150,000 | | | | 7,314,625 | |
BPCE S.A. | | | | | | | | |
2.28% due 01/20/322,3 | | | 8,200,000 | | | | 7,200,723 | |
Macquarie Bank Ltd. | | | | | | | | |
3.62% due 06/03/303 | | | 7,470,000 | | | | 7,040,396 | |
Teachers Insurance & Annuity Association of America | | | | | | | | |
3.30% due 05/15/503 | | | 7,750,000 | | | | 6,861,322 | |
GLP Capital Limited Partnership / GLP Financing II, Inc. | | | | | | | | |
4.00% due 01/15/31 | | | 4,650,000 | | | | 4,509,942 | |
5.30% due 01/15/29 | | | 1,900,000 | | | | 1,996,083 | |
Wilton RE Ltd. | | | | | | | | |
6.00% †††,2,3,5 | | | 6,350,000 | | | | 6,113,780 | |
Reliance Standard Life Global Funding II | | | | | | | | |
2.75% due 05/07/253 | | | 6,170,000 | | | | 6,050,060 | |
American Equity Investment Life Holding Co. | | | | | | | | |
5.00% due 06/15/27 | | | 5,036,000 | | | | 5,254,177 | |
Reinsurance Group of America, Inc. | | | | | | | | |
3.15% due 06/15/30 | | | 5,350,000 | | | | 5,153,134 | |
GA Global Funding Trust | | | | | | | | |
1.63% due 01/15/263 | | | 5,450,000 | | | | 5,067,708 | |
American International Group, Inc. | | | | | | | | |
4.38% due 06/30/50 | | | 4,280,000 | | | | 4,690,962 | |
Fidelity National Financial, Inc. | | | | | | | | |
3.40% due 06/15/30 | | | 3,630,000 | | | | 3,495,683 | |
2.45% due 03/15/31 | | | 1,210,000 | | | | 1,071,668 | |
Allianz SE | | | | | | | | |
3.20% 2,3,5 | | | 5,000,000 | | | | 4,337,500 | |
Citigroup, Inc. | | | | | | | | |
2.57% due 06/03/312 | | | 4,690,000 | | | | 4,296,543 | |
Maple Grove Funding Trust I | | | | | | | | |
4.16% due 08/15/513 | | | 4,750,000 | | | | 4,282,613 | |
Intercontinental Exchange, Inc. | | | | | | | | |
3.00% due 06/15/50 | | | 2,430,000 | | | | 2,128,320 | |
2.65% due 09/15/40 | | | 2,400,000 | | | | 2,047,848 | |
Iron Mountain, Inc. | | | | | | | | |
5.25% due 07/15/303 | | | 1,719,000 | | | | 1,684,620 | |
4.50% due 02/15/313 | | | 1,481,000 | | | | 1,367,718 | |
5.63% due 07/15/323 | | | 1,000,000 | | | | 985,280 | |
Fairfax Financial Holdings Ltd. | | | | | | | | |
3.38% due 03/03/31 | | | 4,300,000 | | | | 4,010,419 | |
PartnerRe Finance B LLC | | | | | | | | |
4.50% due 10/01/502 | | | 4,040,000 | | | | 3,898,600 | |
Safehold Operating Partnership, LP | | | | | | | | |
2.85% due 01/15/32 | | | 2,428,000 | | | | 2,139,176 | |
2.80% due 06/15/31 | | | 1,931,000 | | | | 1,695,668 | |
Old Republic International Corp. | | | | | | | | |
3.85% due 06/11/51 | | | 4,020,000 | | | | 3,730,452 | |
Macquarie Group Ltd. | | | | | | | | |
2.87% due 01/14/332,3 | | | 2,150,000 | | | | 1,908,269 | |
2.69% due 06/23/322,3 | | | 2,000,000 | | | | 1,760,312 | |
Standard Chartered plc | | | | | | | | |
4.64% due 04/01/312,3 | | | 3,550,000 | | | | 3,660,424 | |
FS KKR Capital Corp. | | | | | | | | |
2.63% due 01/15/27 | | | 2,150,000 | | | | 1,968,922 | |
3.25% due 07/15/27 | | | 1,800,000 | | | | 1,661,538 | |
Massachusetts Mutual Life Insurance Co. | | | | | | | | |
3.38% due 04/15/503 | | | 2,450,000 | | | | 2,200,836 | |
3.20% due 12/01/613 | | | 1,650,000 | | | | 1,347,102 | |
Host Hotels & Resorts, LP | | | | | | | | |
3.50% due 09/15/30 | | | 3,685,000 | | | | 3,513,501 | |
Ares Finance Company II LLC | | | | | | | | |
3.25% due 06/15/303 | | | 3,660,000 | | | | 3,509,641 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND FUND | |
| | Face
Amount~ | | | Value | |
OneAmerica Financial Partners, Inc. | | | | | | | | |
4.25% due 10/15/503 | | | 3,620,000 | | | $ | 3,484,791 | |
National Australia Bank Ltd. | | | | | | | | |
2.99% due 05/21/313 | | | 2,350,000 | | | | 2,132,432 | |
2.33% due 08/21/303 | | | 1,500,000 | | | | 1,304,830 | |
Crown Castle International Corp. | | | | | | | | |
2.90% due 04/01/41 | | | 2,800,000 | | | | 2,317,731 | |
3.30% due 07/01/30 | | | 1,149,000 | | | | 1,098,821 | |
Five Corners Funding Trust II | | | | | | | | |
2.85% due 05/15/303 | | | 3,532,000 | | | | 3,347,187 | |
KKR Group Finance Company VI LLC | | | | | | | | |
3.75% due 07/01/293 | | | 3,230,000 | | | | 3,307,716 | |
First American Financial Corp. | | | | | | | | |
4.00% due 05/15/30 | | | 3,180,000 | | | | 3,184,897 | |
Brookfield Finance, Inc. | | | | | | | | |
3.50% due 03/30/51 | | | 2,550,000 | | | | 2,267,535 | |
4.70% due 09/20/47 | | | 650,000 | | | | 688,933 | |
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | | | | | | | | |
3.88% due 03/01/313 | | | 3,150,000 | | | | 2,850,750 | |
Arch Capital Group Ltd. | | | | | | | | |
3.64% due 06/30/50 | | | 2,900,000 | | | | 2,656,522 | |
UBS Group AG | | | | | | | | |
2.10% due 02/11/322,3 | | | 2,950,000 | | | | 2,579,296 | |
Belrose Funding Trust | | | | | | | | |
2.33% due 08/15/303 | | | 2,780,000 | | | | 2,434,882 | |
Jefferies Group LLC | | | | | | | | |
2.75% due 10/15/32 | | | 2,720,000 | | | | 2,434,060 | |
Sumitomo Life Insurance Co. | | | | | | | | |
3.38% due 04/15/812,3 | | | 2,500,000 | | | | 2,403,000 | |
ABN AMRO Bank N.V. | | | | | | | | |
2.47% due 12/13/292,3 | | | 2,600,000 | | | | 2,376,391 | |
Equitable Holdings, Inc. | | | | | | | | |
7.00% due 04/01/28 | | | 2,050,000 | | | | 2,375,115 | |
Corebridge Financial, Inc. | | | | | | | | |
3.90% due 04/05/323 | | | 1,600,000 | | | | 1,597,632 | |
4.35% due 04/05/423 | | | 750,000 | | | | 749,798 | |
Jefferies Finance LLC / JFIN Company-Issuer Corp. | | | | | | | | |
5.00% due 08/15/283 | | | 2,450,000 | | | | 2,345,826 | |
KKR Group Finance Company VIII LLC | | | | | | | | |
3.50% due 08/25/503 | | | 2,660,000 | | | | 2,320,287 | |
Everest Reinsurance Holdings, Inc. | | | | | | | | |
3.50% due 10/15/50 | | | 2,560,000 | | | | 2,282,608 | |
Goldman Sachs Group, Inc. | | | | | | | | |
3.50% due 04/01/25 | | | 2,250,000 | | | | 2,266,781 | |
Societe Generale S.A. | | | | | | | | |
2.89% due 06/09/322,3 | | | 2,500,000 | | | | 2,240,153 | |
Assured Guaranty US Holdings, Inc. | | | | | | | | |
3.15% due 06/15/31 | | | 1,450,000 | | | | 1,367,689 | |
3.60% due 09/15/51 | | | 800,000 | | | | 690,195 | |
Stewart Information Services Corp. | | | | | | | | |
3.60% due 11/15/31 | | | 2,250,000 | | | | 2,047,760 | |
Assurant, Inc. | | | | | | | | |
2.65% due 01/15/32 | | | 2,300,000 | | | | 2,007,792 | |
Westpac Banking Corp. | | | | | | | | |
3.02% due 11/18/362 | | | 1,200,000 | | | | 1,066,258 | |
2.96% due 11/16/40 | | | 1,100,000 | | | | 924,361 | |
Americo Life, Inc. | | | | | | | | |
3.45% due 04/15/313 | | | 2,060,000 | | | | 1,857,125 | |
HS Wildcat LLC | | | | | | | | |
3.83% due 12/31/50††† | | | 2,000,000 | | | | 1,814,047 | |
QBE Insurance Group Ltd. | | | | | | | | |
5.88% 2,3,5 | | | 1,750,000 | | | | 1,791,562 | |
Trustage Financial Group, Inc. | | | | | | | | |
4.63% due 04/15/323 | | | 1,750,000 | | | | 1,755,928 | |
Manulife Financial Corp. | | | | | | | | |
2.48% due 05/19/27 | | | 1,800,000 | | | | 1,731,441 | |
Fifth Third Bancorp | | | | | | | | |
2.55% due 05/05/27 | | | 1,750,000 | | | | 1,690,785 | |
Dyal Capital Partners III | | | | | | | | |
4.40% due 06/15/40††† | | | 1,750,000 | | | | 1,630,218 | |
Lincoln National Corp. | | | | | | | | |
4.38% due 06/15/50 | | | 1,580,000 | | | | 1,626,464 | |
AmFam Holdings, Inc. | | | | | | | | |
2.81% due 03/11/313 | | | 1,750,000 | | | | 1,615,685 | |
Primerica, Inc. | | | | | | | | |
2.80% due 11/19/31 | | | 1,750,000 | | | | 1,614,430 | |
Global Atlantic Finance Co. | | | | | | | | |
3.13% due 06/15/313 | | | 1,800,000 | | | | 1,610,586 | |
Australia & New Zealand Banking Group Ltd. | | | | | | | | |
2.57% due 11/25/352,3 | | | 1,800,000 | | | | 1,570,563 | |
Kemper Corp. | | | | | | | | |
2.40% due 09/30/30 | | | 1,510,000 | | | | 1,316,094 | |
Raymond James Financial, Inc. | | | | | | | | |
3.75% due 04/01/51 | | | 1,300,000 | | | | 1,270,439 | |
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. | | | | | | | | |
2.63% due 10/15/31 | | | 1,400,000 | | | | 1,262,156 | |
Prudential Financial, Inc. | | | | | | | | |
3.70% due 10/01/502 | | | 1,160,000 | | | | 1,063,024 | |
Sumitomo Mitsui Financial Group, Inc. | | | | | | | | |
2.22% due 09/17/31 | | | 1,050,000 | | | | 928,928 | |
Apollo Management Holdings, LP | | | | | | | | |
2.65% due 06/05/303 | | | 930,000 | | | | 867,863 | |
Central Storage Safety Project Trust | | | | | | | | |
4.82% due 02/01/386 | | | 941,120 | | | | 844,234 | |
Penn Mutual Life Insurance Co. | | | | | | | | |
3.80% due 04/29/613 | | | 950,000 | | | | 843,871 | |
W R Berkley Corp. | | | | | | | | |
4.00% due 05/12/50 | | | 850,000 | | | | 824,627 | |
Western & Southern Life Insurance Co. | | | | | | | | |
3.75% due 04/28/613 | | | 850,000 | | | | 767,627 | |
Weyerhaeuser Co. | | | | | | | | |
4.00% due 04/15/30 | | | 722,000 | | | | 743,494 | |
CNO Financial Group, Inc. | | | | | | | | |
5.25% due 05/30/29 | | | 700,000 | | | | 736,397 | |
Nasdaq, Inc. | | | | | | | | |
3.25% due 04/28/50 | | | 850,000 | | | | 733,694 | |
Protective Life Corp. | | | | | | | | |
3.40% due 01/15/303 | | | 740,000 | | | | 731,338 | |
40 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND FUND | |
| | Face
Amount~ | | | Value | |
Brown & Brown, Inc. | | | | | | | | |
2.38% due 03/15/31 | | | 800,000 | | | $ | 702,819 | |
New York Life Insurance Co. | | | | | | | | |
3.75% due 05/15/503 | | | 600,000 | | | | 581,614 | |
Hanover Insurance Group, Inc. | | | | | | | | |
2.50% due 09/01/30 | | | 480,000 | | | | 436,292 | |
Fidelity & Guaranty Life Holdings, Inc. | | | | | | | | |
5.50% due 05/01/253 | | | 400,000 | | | | 418,784 | |
Brookfield Finance LLC | | | | | | | | |
3.45% due 04/15/50 | | | 470,000 | | | | 412,702 | |
Cushman & Wakefield US Borrower LLC | | | | | | | | |
6.75% due 05/15/283 | | | 296,000 | | | | 309,320 | |
KKR Group Finance Company III LLC | | | | | | | | |
5.13% due 06/01/443 | | | 100,000 | | | | 111,602 | |
Total Financial | | | | | | | 282,826,140 | |
| | | | | | | | | |
Consumer, Cyclical - 4.9% | | | | | | | | |
Marriott International, Inc. | | | | | | | | |
3.50% due 10/15/32 | | | 3,300,000 | | | | 3,141,167 | |
4.63% due 06/15/30 | | | 2,830,000 | | | | 2,931,005 | |
2.85% due 04/15/31 | | | 2,320,000 | | | | 2,117,448 | |
5.75% due 05/01/25 | | | 1,900,000 | | | | 2,017,297 | |
2.75% due 10/15/33 | | | 1,000,000 | | | | 882,523 | |
Delta Air Lines, Inc. | | | | | | | | |
7.00% due 05/01/253 | | | 8,800,000 | | | | 9,425,812 | |
Hyatt Hotels Corp. | | | | | | | | |
5.38% due 04/23/25 | | | 3,950,000 | | | | 4,146,340 | |
5.75% due 04/23/30 | | | 3,010,000 | | | | 3,325,862 | |
Choice Hotels International, Inc. | | | | | | | | |
3.70% due 01/15/31 | | | 7,340,000 | | | | 7,137,122 | |
Whirlpool Corp. | | | | | | | | |
4.60% due 05/15/50 | | | 6,145,000 | | | | 6,448,117 | |
Magallanes, Inc. | | | | | | | | |
4.28% due 03/15/323 | | | 3,350,000 | | | | 3,364,903 | |
5.14% due 03/15/523 | | | 1,650,000 | | | | 1,688,106 | |
Alt-2 Structured Trust | | | | | | | | |
2.95% due 05/14/31◊,††† | | | 3,739,066 | | | | 3,477,266 | |
Smithsonian Institution | | | | | | | | |
2.70% due 09/01/44 | | | 4,000,000 | | | | 3,459,712 | |
Delta Air Lines Inc. / SkyMiles IP Ltd. | | | | | | | | |
4.50% due 10/20/253 | | | 3,150,000 | | | | 3,168,300 | |
British Airways Class A Pass Through Trust | | | | | | | | |
4.25% due 11/15/323 | | | 2,195,929 | | | | 2,193,697 | |
2.90% due 03/15/353 | | | 849,434 | | | | 780,458 | |
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | | | | | | | | |
6.50% due 06/20/273 | | | 2,550,000 | | | | 2,658,375 | |
Steelcase, Inc. | | | | | | | | |
5.13% due 01/18/29 | | | 2,224,000 | | | | 2,330,056 | |
BorgWarner, Inc. | | | | | | | | |
2.65% due 07/01/27 | | | 2,310,000 | | | | 2,230,607 | |
Walgreens Boots Alliance, Inc. | | | | | | | | |
4.10% due 04/15/50 | | | 1,541,000 | | | | 1,501,062 | |
Northern Group Housing LLC | | | | | | | | |
6.80% due 08/15/533 | | | 1,100,000 | | | | 1,443,120 | |
Ferguson Finance plc | | | | | | | | |
3.25% due 06/02/303 | | | 1,204,000 | | | | 1,145,882 | |
American Airlines Class AA Pass Through Trust | | | | | | | | |
3.20% due 06/15/28 | | | 764,500 | | | | 725,498 | |
Lowe’s Companies, Inc. | | | | | | | | |
1.70% due 09/15/28 | | | 450,000 | | | | 407,265 | |
JB Poindexter & Company, Inc. | | | | | | | | |
7.13% due 04/15/263 | | | 200,000 | | | | 203,250 | |
Total Consumer, Cyclical | | | | | | | 72,350,250 | |
| | | | | | | | | |
Industrial - 4.8% | | | | | | | | |
Boeing Co. | | | | | | | | |
5.15% due 05/01/30 | | | 8,000,000 | | | | 8,531,663 | |
5.71% due 05/01/40 | | | 4,380,000 | | | | 4,894,433 | |
5.81% due 05/01/50 | | | 3,440,000 | | | | 3,972,295 | |
5.04% due 05/01/27 | | | 2,150,000 | | | | 2,263,977 | |
3.63% due 02/01/31 | | | 1,450,000 | | | | 1,411,351 | |
2.20% due 02/04/26 | | | 1,000,000 | | | | 945,417 | |
Textron, Inc. | | | | | | | | |
2.45% due 03/15/31 | | | 3,600,000 | | | | 3,259,296 | |
3.00% due 06/01/30 | | | 1,355,000 | | | | 1,293,086 | |
FLNG Liquefaction 3 LLC | | | | | | | | |
3.08% due 06/30/39††† | | | 4,407,585 | | | | 4,008,924 | |
National Basketball Association | | | | | | | | |
2.51% due 12/16/24††† | | | 4,000,000 | | | | 3,893,213 | |
Berry Global, Inc. | | | | | | | | |
1.57% due 01/15/26 | | | 4,100,000 | | | | 3,819,471 | |
TD SYNNEX Corp. | | | | | | | | |
2.65% due 08/09/313 | | | 2,550,000 | | | | 2,189,795 | |
2.38% due 08/09/283 | | | 1,600,000 | | | | 1,440,112 | |
Howmet Aerospace, Inc. | | | | | | | | |
3.00% due 01/15/29 | | | 3,800,000 | | | | 3,469,875 | |
Cellnex Finance Company S.A. | | | | | | | | |
3.88% due 07/07/413 | | | 4,150,000 | | | | 3,371,128 | |
Vontier Corp. | | | | | | | | |
2.95% due 04/01/31 | | | 3,450,000 | | | | 3,063,772 | |
Flowserve Corp. | | | | | | | | |
3.50% due 10/01/30 | | | 1,810,000 | | | | 1,714,172 | |
2.80% due 01/15/32 | | | 1,150,000 | | | | 1,017,127 | |
Acuity Brands Lighting, Inc. | | | | | | | | |
2.15% due 12/15/30 | | | 3,000,000 | | | | 2,634,028 | |
Owens Corning | | | | | | | | |
3.88% due 06/01/30 | | | 2,380,000 | | | | 2,403,356 | |
IP Lending II Ltd. | | | | | | | | |
3.65% due 07/15/25†††,3 | | | 2,450,000 | | | | 2,402,412 | |
GATX Corp. | | | | | | | | |
4.00% due 06/30/30 | | | 2,110,000 | | | | 2,138,985 | |
Stadco LA, LLC | | | | | | | | |
3.75% due 05/15/56††† | | | 2,000,000 | | | | 1,781,227 | |
CNH Industrial Capital LLC | | | | | | | | |
1.88% due 01/15/26 | | | 1,880,000 | | | | 1,779,825 | |
Ryder System, Inc. | | | | | | | | |
3.35% due 09/01/25 | | | 1,470,000 | | | | 1,470,193 | |
Amcor Flexibles North America, Inc. | | | | | | | | |
2.63% due 06/19/30 | | | 1,230,000 | | | | 1,133,511 | |
Norfolk Southern Corp. | | | | | | | | |
4.10% due 05/15/21 | | | 600,000 | | | | 558,384 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND FUND | |
| | Face
Amount~ | | | Value | |
Sonoco Products Co. | | | | | | | | |
5.75% due 11/01/40 | | | 150,000 | | | $ | 177,729 | |
Total Industrial | | | | | | | 71,038,757 | |
| | | | | | | | | |
Consumer, Non-cyclical - 4.2% | | | | | | | | |
Altria Group, Inc. | | | | | | | | |
3.70% due 02/04/51 | | | 4,650,000 | | | | 3,755,951 | |
3.40% due 05/06/30 | | | 3,110,000 | | | | 2,991,005 | |
2.35% due 05/06/25 | | | 1,180,000 | | | | 1,146,082 | |
4.45% due 05/06/50 | | | 390,000 | | | | 353,906 | |
CoStar Group, Inc. | | | | | | | | |
2.80% due 07/15/303 | | | 5,810,000 | | | | 5,310,168 | |
Quanta Services, Inc. | | | | | | | | |
2.90% due 10/01/30 | | | 4,175,000 | | | | 3,862,774 | |
BAT Capital Corp. | | | | | | | | |
3.98% due 09/25/50 | | | 2,800,000 | | | | 2,269,087 | |
4.70% due 04/02/27 | | | 1,410,000 | | | | 1,446,162 | |
Royalty Pharma plc | | | | | | | | |
3.55% due 09/02/50 | | | 2,690,000 | | | | 2,234,533 | |
2.20% due 09/02/30 | | | 1,410,000 | | | | 1,232,753 | |
Global Payments, Inc. | | | | | | | | |
2.90% due 11/15/31 | | | 1,650,000 | | | | 1,503,261 | |
2.90% due 05/15/30 | | | 1,620,000 | | | | 1,495,167 | |
Smithfield Foods, Inc. | | | | | | | | |
2.63% due 09/13/313 | | | 2,400,000 | | | | 2,107,334 | |
3.00% due 10/15/303 | | | 970,000 | | | | 880,335 | |
Becle, SAB de CV | | | | | | | | |
2.50% due 10/14/313 | | | 2,700,000 | | | | 2,395,170 | |
Kraft Heinz Foods Co. | | | | | | | | |
5.50% due 06/01/50 | | | 1,250,000 | | | | 1,419,413 | |
7.13% due 08/01/393 | | | 650,000 | | | | 821,294 | |
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc. | | | | | | | | |
3.00% due 05/15/323 | | | 1,750,000 | | | | 1,575,017 | |
4.38% due 02/02/523 | | | 600,000 | | | | 521,930 | |
Triton Container International Ltd. | | | | | | | | |
3.15% due 06/15/313 | | | 2,100,000 | | | | 1,919,999 | |
Emory University | | | | | | | | |
2.97% due 09/01/50 | | | 2,000,000 | | | | 1,774,195 | |
Yale-New Haven Health Services Corp. | | | | | | | | |
2.50% due 07/01/50 | | | 2,250,000 | | | | 1,760,195 | |
California Institute of Technology | | | | | | | | |
3.65% due 09/01/19 | | | 2,000,000 | | | | 1,715,291 | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | | | | |
6.63% due 08/15/33 | | | 1,100,000 | | | | 1,363,959 | |
Kimberly-Clark de Mexico SAB de CV | | | | | | | | |
2.43% due 07/01/313 | | | 1,500,000 | | | | 1,358,310 | |
Health Care Service Corporation A Mutual Legal Reserve Co. | | | | | | | | |
3.20% due 06/01/503 | | | 1,480,000 | | | | 1,294,327 | |
Johnson & Johnson | | | | | | | | |
2.45% due 09/01/60 | | | 1,500,000 | | | | 1,214,749 | |
Universal Health Services, Inc. | | | | | | | | |
2.65% due 10/15/303 | | | 1,320,000 | | | | 1,198,312 | |
Transurban Finance Company Pty Ltd. | | | | | | | | |
2.45% due 03/16/313 | | | 1,300,000 | | | | 1,152,688 | |
Cheplapharm Arzneimittel GmbH | | | | | | | | |
4.38% due 01/15/28 | | EUR | 1,000,000 | | | | 1,092,774 | |
Wisconsin Alumni Research Foundation | | | | | | | | |
3.56% due 10/01/49 | | | 1,000,000 | | | | 971,254 | |
OhioHealth Corp. | | | | | | | | |
3.04% due 11/15/50 | | | 1,000,000 | | | | 890,816 | |
Memorial Sloan-Kettering Cancer Center | | | | | | | | |
2.96% due 01/01/50 | | | 1,000,000 | | | | 861,755 | |
Prime Security Services Borrower LLC / Prime Finance, Inc. | | | | | | | | |
3.38% due 08/31/273 | | | 925,000 | | | | 846,273 | |
Johns Hopkins University | | | | | | | | |
2.81% due 01/01/60 | | | 1,000,000 | | | | 833,480 | |
Children’s Hospital Corp. | | | | | | | | |
2.59% due 02/01/50 | | | 1,000,000 | | | | 799,982 | |
Children’s Health System of Texas | | | | | | | | |
2.51% due 08/15/50 | | | 1,000,000 | | | | 783,686 | |
Bimbo Bakeries USA, Inc. | | | | | | | | |
4.00% due 05/17/513 | | | 800,000 | | | | 746,499 | |
GXO Logistics, Inc. | | | | | | | | |
2.65% due 07/15/313 | | | 850,000 | | | | 737,035 | |
Moody’s Corp. | | | | | | | | |
3.25% due 05/20/50 | | | 700,000 | | | | 625,841 | |
Duke University | | | | | | | | |
2.83% due 10/01/55 | | | 506,000 | | | | 444,114 | |
Triton Container International Limited / TAL International Container Corp. | | | | | | | | |
3.25% due 03/15/32 | | | 200,000 | | | | 184,226 | |
Total Consumer, Non-cyclical | | | | | | | 61,891,102 | |
| | | | | | | | | |
Communications - 2.6% | | | | | | | | |
Paramount Global | | | | | | | | |
4.95% due 01/15/31 | | | 4,478,000 | | | | 4,760,026 | |
4.95% due 05/19/50 | | | 2,490,000 | | | | 2,602,421 | |
4.75% due 05/15/25 | | | 2,260,000 | | | | 2,347,937 | |
2.90% due 01/15/27 | | | 450,000 | | | | 438,873 | |
Charter Communications Operating LLC / Charter Communications Operating Capital | | | | | | | | |
2.80% due 04/01/31 | | | 4,525,000 | | | | 4,078,355 | |
3.90% due 06/01/52 | | | 3,350,000 | | | | 2,825,089 | |
2.25% due 01/15/29 | | | 2,400,000 | | | | 2,159,684 | |
British Telecommunications plc | | | | | | | | |
4.88% due 11/23/812,3 | | | 2,900,000 | | | | 2,755,000 | |
4.25% due 11/23/812,3 | | | 500,000 | | | | 477,285 | |
9.63% due 12/15/30 | | | 150,000 | | | | 204,655 | |
Level 3 Financing, Inc. | | | | | | | | |
4.25% due 07/01/283 | | | 2,175,000 | | | | 1,996,666 | |
3.88% due 11/15/293 | | | 1,150,000 | | | | 1,058,000 | |
AT&T, Inc. | | | | | | | | |
2.75% due 06/01/31 | | | 3,200,000 | | | | 3,000,572 | |
Vodafone Group plc | | | | | | | | |
4.13% due 06/04/812 | | | 2,550,000 | | | | 2,315,247 | |
Virgin Media Secured Finance plc | | | | | | | | |
4.50% due 08/15/303 | | | 2,350,000 | | | | 2,191,375 | |
Walt Disney Co. | | | | | | | | |
3.80% due 05/13/60 | | | 2,000,000 | | | | 2,012,510 | |
42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND FUND | |
| | Face
Amount~ | | | Value | |
Amazon.com, Inc. | | | | | | | | |
2.70% due 06/03/60 | | | 1,610,000 | | | $ | 1,329,636 | |
VeriSign, Inc. | | | | | | | | |
2.70% due 06/15/31 | | | 1,200,000 | | | | 1,086,000 | |
CSC Holdings LLC | | | | | | | | |
4.13% due 12/01/303 | | | 600,000 | | | | 526,119 | |
Fox Corp. | | | | | | | | |
3.05% due 04/07/25 | | | 450,000 | | | | 449,766 | |
Altice France S.A. | | | | | | | | |
5.13% due 01/15/293 | | | 250,000 | | | | 223,958 | |
Telenet Finance Luxembourg Notes SARL | | | | | | | | |
5.50% due 03/01/28 | | | 200,000 | | | | 193,000 | |
Total Communications | | | | | | | 39,032,174 | |
| | | | | | | | | |
Energy - 2.2% | | | | | | | | |
Galaxy Pipeline Assets Bidco Ltd. | | | | | | | | |
3.25% due 09/30/403 | | | 6,250,000 | | | | 5,642,157 | |
2.94% due 09/30/403 | | | 4,000,000 | | | | 3,606,691 | |
BP Capital Markets plc | | | | | | | | |
4.88% 2,5 | | | 7,530,000 | | | | 7,548,825 | |
Sabine Pass Liquefaction LLC | | | | | | | | |
4.50% due 05/15/30 | | | 4,190,000 | | | | 4,381,766 | |
Qatar Energy | | | | | | | | |
3.13% due 07/12/413 | | | 2,375,000 | | | | 2,160,898 | |
3.30% due 07/12/513 | | | 2,350,000 | | | | 2,156,882 | |
Magellan Midstream Partners, LP | | | | | | | | |
3.95% due 03/01/50 | | | 2,000,000 | | | | 1,891,888 | |
3.25% due 06/01/30 | | | 1,500,000 | | | | 1,460,050 | |
Valero Energy Corp. | | | | | | | | |
2.15% due 09/15/27 | | | 950,000 | | | | 888,416 | |
4.00% due 04/01/29 | | | 500,000 | | | | 509,983 | |
2.85% due 04/15/25 | | | 184,000 | | | | 181,798 | |
Midwest Connector Capital Company LLC | | | | | | | | |
4.63% due 04/01/293 | | | 1,050,000 | | | | 1,061,084 | |
NuStar Logistics, LP | | | | | | | | |
6.38% due 10/01/30 | | | 700,000 | | | | 709,478 | |
6.00% due 06/01/26 | | | 200,000 | | | | 202,249 | |
Cheniere Corpus Christi Holdings LLC | | | | | | | | |
2.74% due 12/31/393 | | | 450,000 | | | | 391,550 | |
Phillips 66 | | | | | | | | |
3.70% due 04/06/23 | | | 250,000 | | | | 253,476 | |
Total Energy | | | | | | | 33,047,191 | |
| | | | | | | | | |
Technology - 1.8% | | | | | | | | |
Broadcom, Inc. | | | | | | | | |
4.15% due 11/15/30 | | | 4,013,000 | | | | 4,067,131 | |
2.45% due 02/15/313 | | | 3,700,000 | | | | 3,300,689 | |
3.19% due 11/15/363 | | | 217,000 | | | | 188,375 | |
Workday, Inc. | | | | | | | | |
3.80% due 04/01/32 | | | 3,650,000 | | | | 3,643,055 | |
NetApp, Inc. | | | | | | | | |
2.70% due 06/22/30 | | | 3,507,000 | | | | 3,235,891 | |
Leidos, Inc. | | | | | | | | |
2.30% due 02/15/31 | | | 2,350,000 | | | | 2,037,097 | |
3.63% due 05/15/25 | | | 600,000 | | | | 599,850 | |
4.38% due 05/15/30 | | | 200,000 | | | | 202,231 | |
CDW LLC / CDW Finance Corp. | | | | | | | | |
3.57% due 12/01/31 | | | 2,600,000 | | | | 2,408,770 | |
Citrix Systems, Inc. | | | | | | | | |
1.25% due 03/01/26 | | | 2,300,000 | | | | 2,236,100 | |
Oracle Corp. | | | | | | | | |
3.95% due 03/25/51 | | | 2,450,000 | | | | 2,141,827 | |
Apple, Inc. | | | | | | | | |
2.55% due 08/20/60 | | | 1,550,000 | | | | 1,270,259 | |
CGI, Inc. | | | | | | | | |
2.30% due 09/14/313 | | | 1,300,000 | | | | 1,133,856 | |
Total Technology | | | | | | | 26,465,131 | |
| | | | | | | | | |
Utilities - 1.1% | | | | | | | | |
Cheniere Corpus Christi Holdings LLC | | | | | | | | |
3.52% due 12/31/39††† | | | 6,700,000 | | | | 6,143,183 | |
Jersey Central Power & Light Co. | | | | | | | | |
2.75% due 03/01/323 | | | 3,220,000 | | | | 2,998,429 | |
AES Corp. | | | | | | | | |
3.95% due 07/15/303 | | | 1,760,000 | | | | 1,743,555 | |
NRG Energy, Inc. | | | | | | | | |
2.45% due 12/02/273 | | | 1,750,000 | | | | 1,614,031 | |
Arizona Public Service Co. | | | | | | | | |
3.35% due 05/15/50 | | | 1,300,000 | | | | 1,130,935 | |
Enel Finance International N.V. | | | | | | | | |
2.88% due 07/12/413 | | | 1,250,000 | | | | 1,030,103 | |
Alexander Funding Trust | | | | | | | | |
1.84% due 11/15/233 | | | 950,000 | | | | 920,817 | |
Xcel Energy, Inc. | | | | | | | | |
2.35% due 11/15/31 | | | 690,000 | | | | 627,312 | |
Total Utilities | | | | | | | 16,208,365 | |
| | | | | | | | | |
Basic Materials - 1.0% | | | | | | | | |
Newcrest Finance Pty Ltd. | | | | | | | | |
3.25% due 05/13/303 | | | 3,600,000 | | | | 3,442,720 | |
4.20% due 05/13/503 | | | 3,235,000 | | | | 3,146,199 | |
Anglo American Capital plc | | | | | | | | |
5.63% due 04/01/303 | | | 3,400,000 | | | | 3,747,453 | |
3.95% due 09/10/503 | | | 970,000 | | | | 908,322 | |
2.63% due 09/10/303 | | | 250,000 | | | | 226,678 | |
WR Grace Holdings LLC | | | | | | | | |
4.88% due 06/15/273 | | | 1,241,000 | | | | 1,214,256 | |
Yamana Gold, Inc. | | | | | | | | |
2.63% due 08/15/31 | | | 1,200,000 | | | | 1,074,886 | |
Reliance Steel & Aluminum Co. | | | | | | | | |
2.15% due 08/15/30 | | | 810,000 | | | | 726,081 | |
Corporation Nacional del Cobre de Chile | | | | | | | | |
3.75% due 01/15/313 | | | 680,000 | | | | 680,562 | |
Total Basic Materials | | | | | | | 15,167,157 | |
| | | | | | | | | |
Total Corporate Bonds | | | | |
(Cost $662,267,387) | | | 618,026,267 | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND FUND | |
| | Face
Amount~ | | | Value | |
ASSET-BACKED SECURITIES†† - 25.4% |
Collateralized Loan Obligations - 16.7% |
LoanCore Issuer Ltd. | | | | | | | | |
2021-CRE5, 2.54% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 07/15/36◊,3 | | | 7,500,000 | | | $ | 7,405,848 | |
2021-CRE4, 2.66% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/35◊ | | | 4,426,000 | | | | 4,352,387 | |
2021-CRE6, 2.49% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 11/15/38◊,3 | | | 4,000,000 | | | | 3,914,473 | |
2021-CRE4, 1.86% (30 Day Average SOFR + 1.81%, Rate Floor: 1.70%) due 07/15/35◊,3 | | | 1,000,000 | | | | 982,356 | |
2018-CRE1, 1.53% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/28◊,3 | | | 279,871 | | | | 279,753 | |
Octagon Investment Partners 49 Ltd. | | | | | | | | |
2021-5A, 1.79% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/33◊,3 | | | 8,500,000 | | | | 8,406,774 | |
2021-5A, 2.29% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 01/15/33◊,3 | | | 7,450,000 | | | | 7,428,161 | |
Woodmont Trust | | | | | | | | |
2020-7A, 2.14% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,3 | | | 12,000,000 | | | | 12,049,950 | |
2020-7A, 2.84% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/32◊,3 | | | 3,750,000 | | | | 3,778,550 | |
Cerberus Loan Funding XXX, LP | | | | | | | | |
2020-3A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,3 | | | 13,500,000 | | | | 13,560,498 | |
2020-3A, 2.74% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/15/33◊,3 | | | 2,000,000 | | | | 2,015,466 | |
LCCM Trust | | | | | | | | |
2021-FL3, 1.85% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,3 | | | 6,000,000 | | | | 5,936,043 | |
2021-FL3, 2.20% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/15/38◊,3 | | | 3,950,000 | | | | 3,890,736 | |
2021-FL2, 2.55% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 12/13/38◊,3 | | | 3,100,000 | | | | 3,063,777 | |
Madison Park Funding XLVIII Ltd. | | | | | | | | |
2021-48A, 2.25% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/19/33◊,3 | | | 4,000,000 | | | | 3,984,900 | |
2021-48A, 1.70% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,3 | | | 4,000,000 | | | | 3,945,494 | |
Dryden 36 Senior Loan Fund | | | | | | | | |
2020-36A, 2.29% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/15/29◊,3 | | | 8,000,000 | | | | 7,916,810 | |
AMMC CLO XIV Ltd. | | | | | | | | |
2021-14A, 1.66% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/29◊,3 | | | 8,000,000 | | | | 7,912,712 | |
MF1 Multifamily Housing Mortgage Loan Trust | | | | | | | | |
2021-FL6, 3.02% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/36◊ | | | 4,000,000 | | | | 3,936,384 | |
2021-FL6, 2.32% (1 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/16/36◊,3 | | | 3,400,000 | | | | 3,349,201 | |
Palmer Square Loan Funding Ltd. | | | | | | | | |
2021-1A, 2.05% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/29◊,3 | | | 2,000,000 | | | | 1,988,695 | |
2021-1A, 1.50% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/29◊,3 | | | 2,000,000 | | | | 1,979,789 | |
2021-3A, 2.75% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/20/29◊,3 | | | 2,000,000 | | | | 1,933,198 | |
2021-2A, 2.88% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 05/20/29◊,3 | | | 1,000,000 | | | | 963,262 | |
2019-3A, 1.33% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/27◊,3 | | | 387,883 | | | | 386,281 | |
Golub Capital Partners CLO 33M Ltd. | | | | | | | | |
2021-33A, 2.36% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,3 | | | 6,500,000 | | | | 6,496,860 | |
Golub Capital Partners CLO 16 Ltd. | | | | | | | | |
2021-16A, 1.87% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,3 | | | 4,000,000 | | | | 3,981,824 | |
2021-16A, 2.06% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/25/33◊,3 | | | 2,000,000 | | | | 2,009,261 | |
MidOcean Credit CLO VII | | | | | | | | |
2020-7A, 1.28% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/29◊,3 | | | 2,823,462 | | | | 2,810,172 | |
2020-7A, 1.84% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/15/29◊,3 | | | 2,000,000 | | | | 1,980,603 | |
2020-7A, 1.69% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 07/15/29◊,3 | | | 1,000,000 | | | | 991,624 | |
44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND FUND | |
| | Face
Amount~ | | | Value | |
ABPCI Direct Lending Fund CLO II LLC | | | | | | | | |
2021-1A, 1.85% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,3 | | | 5,500,000 | | | $ | 5,500,552 | |
Cerberus Loan Funding XXXII, LP | | | | | | | | |
2021-2A, 1.86% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,3 | | | 4,250,000 | | | | 4,236,921 | |
2021-2A, 3.09% (3 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 04/22/33◊,3 | | | 1,250,000 | | | | 1,245,108 | |
KREF Funding V LLC | | | | | | | | |
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,††† | | | 5,141,223 | | | | 5,109,190 | |
0.15% due 06/25/26†††,7 | | | 21,818,182 | | | | 10,691 | |
Cerberus Loan Funding XXXI, LP | | | | | | | | |
2021-1A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,3 | | | 4,500,000 | | | | 4,482,619 | |
THL Credit Lake Shore MM CLO I Ltd. | | | | | | | | |
2021-1A, 1.94% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,3 | | | 4,250,000 | | | | 4,259,817 | |
BXMT Ltd. | | | | | | | | |
2020-FL2, 1.07% (30 Day Average SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,3 | | | 4,250,000 | | | | 4,209,833 | |
Venture XIV CLO Ltd. | | | | | | | | |
2020-14A, 1.54% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/29◊,3 | | | 4,136,923 | | | | 4,114,150 | |
Golub Capital Partners CLO 36M Ltd. | | | | | | | | |
2018-36A, 1.62% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,3 | | | 4,100,000 | | | | 4,039,732 | |
BSPDF Issuer Ltd. | | | | | | | | |
2021-FL1, 2.44% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/15/36◊,3 | | | 4,000,000 | | | | 3,906,925 | |
ABPCI Direct Lending Fund CLO I LLC | | | | | | | | |
2021-1A, 1.95% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,3 | | | 3,750,000 | | | | 3,765,473 | |
PFP Ltd. | | | | | | | | |
2021-7, 2.83% (1 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/14/38◊,3 | | | 3,749,813 | | | | 3,624,603 | |
Cerberus Loan Funding XXVI, LP | | | | | | | | |
2021-1A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,3 | | | 3,500,000 | | | | 3,482,225 | |
ABPCI Direct Lending Fund CLO IV LLC | | | | | | | | |
2.12% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/06/29◊,††† | | | 3,300,000 | | | | 3,303,711 | |
Owl Rock CLO IV Ltd. | | | | | | | | |
2021-4A, 2.08% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,3 | | | 3,250,000 | | | | 3,252,883 | |
Fortress Credit Opportunities IX CLO Ltd. | | | | | | | | |
2021-9A, 1.92% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/33◊,3 | | | 3,250,000 | | | | 3,246,139 | |
ABPCI Direct Lending Fund CLO V Ltd. | | | | | | | | |
2021-5A, 1.75% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,3 | | | 3,250,000 | | | | 3,229,906 | |
Wellfleet CLO Ltd. | | | | | | | | |
2020-2A, 1.31% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/29◊,3 | | | 3,105,071 | | | | 3,092,970 | |
GoldenTree Loan Management US CLO 1 Ltd. | | | | | | | | |
2021-9A, 2.05% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/33◊,3 | | | 3,000,000 | | | | 2,926,270 | |
Apres Static CLO Ltd. | | | | | | | | |
2020-1A, 1.94% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/15/28◊,3 | | | 2,000,000 | | | | 1,995,209 | |
Avery Point VI CLO Ltd. | | | | | | | | |
2021-6A, 2.12% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 08/05/27◊,3 | | | 2,000,000 | | | | 1,985,474 | |
BRSP Ltd. | | | | | | | | |
2021-FL1, 2.60% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 08/19/38◊,3 | | | 2,000,000 | | | | 1,973,980 | |
Magnetite XXIX Ltd. | | | | | | | | |
2021-29A, 1.89% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 01/15/34◊,3 | | | 2,000,000 | | | | 1,970,393 | |
Fortress Credit Opportunities XI CLO Ltd. | | | | | | | | |
2018-11A, 1.54% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,3 | | | 2,000,000 | | | | 1,968,680 | |
ABPCI Direct Lending Fund IX LLC | | | | | | | | |
2021-9A, 2.07% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/18/31◊,3 | | | 2,000,000 | | | | 1,967,274 | |
Cerberus Loan Funding XXXIII, LP | | | | | | | | |
2021-3A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,3 | | | 2,000,000 | | | | 1,966,452 | |
ACRES Commercial Realty Ltd. | | | | | | | | |
2021-FL2, 2.19% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 01/15/37◊ | | | 2,000,000 | | | | 1,965,846 | |
Neuberger Berman Loan Advisers CLO 40 Ltd. | | | | | | | | |
2021-40A, 1.99% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/16/33◊,3 | | | 2,000,000 | | | | 1,953,171 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND FUND | |
| | Face
Amount~ | | | Value | |
FS Rialto | | | | | | | | |
2021-FL3, 2.48% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 11/16/36◊,3 | | | 2,000,000 | | | $ | 1,938,358 | |
Canyon Capital CLO Ltd. | | | | | | | | |
2018-1A, 1.80% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/30/31◊,3 | | | 1,900,000 | | | | 1,873,188 | |
Diamond CLO Ltd. | | | | | | | | |
2021-1A, 1.71% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/25/29◊,3 | | | 1,500,000 | | | | 1,499,311 | |
2018-1A, 1.76% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 07/22/30◊,3 | | | 4,160 | | | | 4,159 | |
Allegro CLO IX Ltd. | | | | | | | | |
2018-3A, 1.41% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/31◊,3 | | | 1,500,000 | | | | 1,493,118 | |
OCP CLO Ltd. | | | | | | | | |
2020-4A, 1.71% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/24/29◊,3 | | | 1,500,000 | | | | 1,490,595 | |
Golub Capital Partners CLO 54M L.P | | | | | | | | |
2021-54A, 2.17% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 08/05/33◊,3 | | | 1,500,000 | | | | 1,487,562 | |
STWD Ltd. | | | | | | | | |
2019-FL1, 2.77% (1 Month Term SOFR + 2.46%, Rate Floor: 2.35%) due 07/15/38◊,3 | | | 1,459,000 | | | | 1,415,704 | |
Voya CLO Ltd. | | | | | | | | |
2020-1A, 1.30% (3 Month USD LIBOR + 1.06%, Rate Floor: 1.06%) due 04/15/31◊,3 | | | 1,250,000 | | | | 1,240,555 | |
Marathon CLO V Ltd. | | | | | | | | |
2017-5A, 1.93% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/27◊,3 | | | 1,000,000 | | | | 996,920 | |
2017-5A, 1.35% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,3 | | | 229,760 | | | | 229,336 | |
Denali Capital CLO XI Ltd. | | | | | | | | |
2018-1A, 1.38% (3 Month USD LIBOR + 1.13%, Rate Floor: 0.00%) due 10/20/28◊,3 | | | 1,010,157 | | | | 1,008,827 | |
Owl Rock CLO I Ltd. | | | | | | | | |
2019-1A, 2.28% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 05/20/31◊,3 | | | 1,000,000 | | | | 1,000,506 | |
Owl Rock CLO II Ltd. | | | | | | | | |
2021-2A, 1.80% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/33◊,3 | | | 1,000,000 | | | | 995,288 | |
Northwoods Capital XII-B Ltd. | | | | | | | | |
2018-12BA, 2.68% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 06/15/31◊,3 | | | 1,000,000 | | | | 992,335 | |
NewStar Fairfield Fund CLO Ltd. | | | | | | | | |
2018-2A, 1.52% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/30◊,3 | | | 989,329 | | | | 985,704 | |
Cerberus Loan Funding XXXVI, LP | | | | | | | | |
2021-6A, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,3 | | | 983,919 | | | | 978,701 | |
BSPRT Issuer Ltd. | | | | | | | | |
2021-FL7, 2.70% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 12/15/38◊ | | | 1,000,000 | | | | 978,628 | |
KREF | | | | | | | | |
2021-FL2, 2.44% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/39◊,3 | | | 1,000,000 | | | | 967,080 | |
Dryden 37 Senior Loan Fund | | | | | | | | |
2015-37A, due 01/15/313,8 | | | 1,000,000 | | | | 820,944 | |
ACRE Commercial Mortgage Ltd. | | | | | | | | |
2021-FL4, 3.07% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 12/18/37◊,3 | | | 773,000 | | | | 757,027 | |
Golub Capital Partners CLO 17 Ltd. | | | | | | | | |
2017-17A, 1.91% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,3 | | | 750,000 | | | | 750,103 | |
GPMT Ltd. | | | | | | | | |
2019-FL2, 1.47% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/36◊ | | | 716,069 | | | | 713,758 | |
Newfleet CLO Ltd. | | | | | | | | |
2018-1A, 1.20% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,3 | | | 563,266 | | | | 561,730 | |
Treman Park CLO Ltd. | | | | | | | | |
2015-1A, due 10/20/283,8 | | | 500,000 | | | | 391,097 | |
KVK CLO Ltd. | | | | | | | | |
2017-1A, 1.14% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/28◊,3 | | | 131,608 | | | | 131,517 | |
Halcyon Loan Advisors Funding Ltd. | | | | | | | | |
2017-3A, 1.14% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/27◊,3 | | | 89,896 | | | | 89,863 | |
Babson CLO Ltd. | | | | | | | | |
2014-IA, due 07/20/253,8 | | | 650,000 | | | | 65,260 | |
Copper River CLO Ltd. | | | | | | | | |
2007-1A, due 01/20/216,8 | | | 700,000 | | | | 140 | |
Total Collateralized Loan Obligations | | | | | | | 248,275,353 | |
| | | | | | | | | |
46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND FUND | |
| | Face
Amount~ | | | Value | |
Whole Business - 2.2% | | | | | | | | |
Domino’s Pizza Master Issuer LLC | | | | | | | | |
2017-1A, 4.12% due 07/25/473 | | | 6,720,000 | | | $ | 6,663,996 | |
2021-1A, 3.15% due 04/25/513 | | | 992,500 | | | | 905,412 | |
Arbys Funding LLC | | | | | | | | |
2020-1A, 3.24% due 07/30/503 | | | 6,648,750 | | | | 6,341,990 | |
DB Master Finance LLC | | | | | | | | |
2019-1A, 4.35% due 05/20/493 | | | 3,656,250 | | | | 3,652,926 | |
2021-1A, 2.79% due 11/20/513 | | | 1,995,000 | | | | 1,786,967 | |
Taco Bell Funding LLC | | | | | | | | |
2016-1A, 4.97% due 05/25/463 | | | 3,571,875 | | | | 3,631,983 | |
2021-1A, 2.29% due 08/25/513 | | | 1,426,425 | | | | 1,271,858 | |
ServiceMaster Funding LLC | | | | | | | | |
2020-1, 2.84% due 01/30/513 | | | 3,960,000 | | | | 3,585,677 | |
SERVPRO Master Issuer LLC | | | | | | | | |
2021-1A, 2.39% due 04/25/513 | | | 3,473,750 | | | | 3,123,638 | |
Wendy’s Funding LLC | | | | | | | | |
2019-1A, 3.78% due 06/15/493 | | | 1,343,220 | | | | 1,326,111 | |
Wingstop Funding LLC | | | | | | | | |
2022-1A, 3.73% due 03/05/523 | | | 1,000,000 | | | | 957,477 | |
Total Whole Business | | | | | | | 33,248,035 | |
| | | | | | | | | |
Transport-Aircraft - 2.0% | | | | | | | | |
AASET Trust | | | | | | | | |
2021-1A, 2.95% due 11/16/413 | | | 4,548,710 | | | | 3,761,469 | |
2020-1A, 3.35% due 01/16/403 | | | 1,569,606 | | | | 1,380,246 | |
2017-1A, 3.97% due 05/16/423 | | | 328,921 | | | | 277,719 | |
Castlelake Aircraft Structured Trust | | | | | | | | |
2021-1A, 3.47% due 01/15/463 | | | 4,459,086 | | | | 4,126,217 | |
AASET US Ltd. | | | | | | | | |
2018-2A, 4.45% due 11/18/383 | | | 3,145,485 | | | | 2,712,525 | |
Navigator Aircraft ABS Ltd. | | | | | | | | |
2021-1, 2.77% due 11/15/463 | | | 2,937,500 | | | | 2,705,116 | |
Lunar Structured Aircraft Portfolio Notes | | | | | | | | |
2021-1, 2.64% due 10/15/463 | | | 2,302,682 | | | | 2,108,873 | |
Sprite Ltd. | | | | | | | | |
2021-1, 3.75% due 11/15/463 | | | 2,181,825 | | | | 2,010,026 | |
MACH 1 Cayman Ltd. | | | | | | | | |
2019-1, 3.47% due 10/15/393 | | | 2,140,374 | | | | 1,985,093 | |
Falcon Aerospace Ltd. | | | | | | | | |
2019-1, 3.60% due 09/15/393 | | | 1,543,082 | | | | 1,391,394 | |
2017-1, 4.58% due 02/15/423 | | | 322,581 | | | | 312,260 | |
Sapphire Aviation Finance II Ltd. | | | | | | | | |
2020-1A, 3.23% due 03/15/403 | | | 1,881,891 | | | | 1,697,170 | |
MAPS Ltd. | | | | | | | | |
2018-1A, 4.21% due 05/15/433 | | | 1,602,984 | | | | 1,498,912 | |
Sapphire Aviation Finance I Ltd. | | | | | | | | |
2018-1A, 4.25% due 03/15/403 | | | 1,552,171 | | | | 1,330,462 | |
Castlelake Aircraft Securitization Trust | | | | | | | | |
2018-1, 4.13% due 06/15/433 | | | 873,983 | | | | 806,077 | |
WAVE LLC | | | | | | | | |
2019-1, 3.60% due 09/15/443 | | | 858,586 | | | | 756,965 | |
Raspro Trust | | | | | | | | |
2005-1A, 1.18% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,3 | | | 219,914 | | | | 218,875 | |
Total Transport-Aircraft | | | | | | | 29,079,399 | |
| | | | | | | | | |
Financial - 1.3% | | | | | | | | |
Strategic Partners Fund VIII LP | | | | | | | | |
3.45% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/10/25◊,††† | | | 3,500,000 | | | | 3,498,205 | |
2.95% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/10/25◊,††† | | | 1,300,000 | | | | 1,299,238 | |
Madison Avenue Secured Funding Trust Series | | | | | | | | |
2021-1, 1.96% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,3 | | | 4,250,000 | | | | 4,250,000 | |
HarbourVest Structured Solutions IV Holdings, LP | | | | | | | | |
2.58% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,††† | | | 1,831,749 | | | | 1,831,520 | |
2.45% (3 Month EURIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,††† | | EUR | 1,000,000 | | | | 1,104,830 | |
Station Place Securitization Trust | | | | | | | | |
2021-SP1, 1.93% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22◊,†††,3 | | | 2,000,000 | | | | 2,000,000 | |
KKR Core Holding Company LLC | | | | | | | | |
4.00% due 08/12/31††† | | | 2,022,366 | | | | 1,914,287 | |
Aesf Vi Verdi, LP | | | | | | | | |
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,††† | | EUR | 1,027,157 | | | | 1,135,101 | |
Nassau LLC | | | | | | | | |
2019-1, 3.98% due 08/15/343 | | | 885,933 | | | | 870,379 | |
Lightning A | | | | | | | | |
5.50% due 03/01/37††† | | | 748,000 | | | | 748,000 | |
Thunderbird A | | | | | | | | |
5.50% due 03/01/37††† | | | 680,000 | | | | 680,000 | |
Total Financial | | | | | | | 19,331,560 | |
| | | | | | | | | |
Net Lease - 1.1% | | | | | | | | |
CARS-DB4, LP | | | | | | | | |
2020-1A, 3.81% due 02/15/503 | | | 2,241,094 | | | | 2,219,505 | |
2020-1A, 4.95% due 02/15/503 | | | 1,500,000 | | | | 1,472,102 | |
CMFT Net Lease Master Issuer LLC | | | | | | | | |
2021-1, 3.44% due 07/20/513 | | | 3,570,000 | | | | 3,259,738 | |
STORE Master Funding I-VII | | | | | | | | |
2016-1A, 3.96% due 10/20/463 | | | 2,597,298 | | | | 2,554,681 | |
Oak Street Investment Grade Net Lease Fund Series | | | | | | | | |
2020-1A, 2.26% due 11/20/503 | | | 2,500,000 | | | | 2,334,985 | |
Capital Automotive REIT | | | | | | | | |
2020-1A, 3.48% due 02/15/503 | | | 1,245,052 | | | | 1,208,376 | |
2021-1A, 2.76% due 08/15/513 | | | 1,000,000 | | | | 913,581 | |
STORE Master Funding LLC | | | | | | | | |
2014-1A, 5.00% due 04/20/443 | | | 1,441,250 | | | | 1,443,142 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 47 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND FUND | |
| | Face
Amount~ | | | Value | |
CF Hippolyta LLC | | | | | | | | |
2020-1, 2.60% due 07/15/603 | | | 844,102 | | | $ | 776,274 | |
2020-1, 2.28% due 07/15/603 | | | 690,378 | | | | 651,094 | |
Total Net Lease | | | | | | | 16,833,478 | |
| | | | | | | | | |
Collateralized Debt Obligations - 1.1% |
Anchorage Credit Funding 4 Ltd. | | | | | | | | |
2021-4A, 2.72% due 04/27/393 | | | 7,250,000 | | | | 7,065,869 | |
2021-4A, 3.12% due 04/27/393 | | | 1,500,000 | | | | 1,468,921 | |
Anchorage Credit Funding Ltd. | | | | | | | | |
2021-13A, 2.88% due 07/27/393 | | | 2,500,000 | | | | 2,452,104 | |
2021-13A, 3.15% due 07/27/393 | | | 2,000,000 | | | | 1,959,840 | |
Anchorage Credit Funding 3 Ltd. | | | | | | | | |
2021-3A, 2.87% due 01/28/393 | | | 3,750,000 | | | | 3,559,574 | |
Total Collateralized Debt Obligations | | | | | | | 16,506,308 | |
| | | | | | | | | |
Transport-Container - 0.5% | | | | | | | | |
Textainer Marine Containers VII Ltd. | | | | | | | | |
2020-1A, 2.73% due 08/21/453 | | | 3,892,531 | | | | 3,770,757 | |
MC Ltd. | | | | | | | | |
2021-1, 2.63% due 11/05/353 | | | 3,899,178 | | | | 3,665,251 | |
Total Transport-Container | | | | | | | 7,436,008 | |
| | | | | | | | | |
Infrastructure - 0.2% | | | | | | | | |
VB-S1 Issuer LLC - VBTEL | | | | | | | | |
2022-1A, 4.29% due 02/15/523 | | | 2,500,000 | | | | 2,435,023 | |
| | | | | | | | | |
Insurance - 0.1% | | | | | | | | |
JGWPT XXV LLC | | | | | | | | |
2012-1A, 4.21% due 02/16/653 | | | 1,669,710 | | | | 1,742,467 | |
| | | | | | | | | |
Diversified Payment Rights - 0.1% | | | | | | | | |
Bib Merchant Voucher Receivables Ltd. | | | | | | | | |
4.18% due 04/07/28††† | | | 966,328 | | | | 938,211 | |
| | | | | | | | | |
Single Family Residence - 0.1% | | | | | | | | |
Home Partners of America Trust | | | | | | | | |
2021-3, 2.80% due 01/17/413 | | | 991,597 | | | | 929,909 | |
Total Asset-Backed Securities | | | | |
(Cost $386,164,710) | | | 376,755,751 | |
| |
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 11.2% |
Government Agency - 5.3% | | | | | | | | |
Fannie Mae | | | | | | | | |
2.81% due 05/01/51 | | | 8,250,000 | | | | 7,508,712 | |
2.17% due 03/01/51 | | | 8,347,000 | | | | 6,950,494 | |
2.24% due 01/01/51 | | | 5,857,099 | | | | 4,989,944 | |
2.00% due 09/01/50 | | | 5,006,538 | | | | 4,135,057 | |
2.36% due 08/01/50 | | | 4,500,000 | | | | 3,979,301 | |
2.78% due 05/01/51 | | | 2,716,468 | | | | 2,488,244 | |
2.20% due 11/01/27 | | | 2,546,284 | | | | 2,470,402 | |
2.59% due 06/01/51 | | | 2,467,396 | | | | 2,206,559 | |
4.17% due 02/01/49 | | | 2,000,000 | | | | 2,187,061 | |
3.09% due 10/01/29 | | | 2,000,000 | | | | 2,017,508 | |
2.81% due 09/01/39 | | | 2,000,000 | | | | 1,901,899 | |
2.32% due 02/01/51 | | | 2,062,535 | | | | 1,774,258 | |
2.40% due 03/01/40 | | | 2,000,000 | | | | 1,768,424 | |
2.11% due 10/01/50 | | | 1,850,443 | | | | 1,551,991 | |
2.27% due 02/01/51 | | | 1,718,319 | | | | 1,468,015 | |
2.06% due 09/01/36 | | | 1,600,000 | | | | 1,420,727 | |
2.39% due 02/01/51 | | | 1,430,623 | | | | 1,243,657 | |
1.88% due 01/01/36 | | | 1,310,000 | | | | 1,117,928 | |
2.58% due 10/01/51 | | | 1,192,354 | | | | 1,060,814 | |
4.24% due 08/01/48 | | | 1,000,000 | | | | 1,058,125 | |
3.83% due 05/01/49 | | | 1,000,000 | | | | 1,055,003 | |
3.74% due 02/01/30 | | | 1,000,000 | | | | 1,051,907 | |
4.27% due 12/01/33 | | | 950,042 | | | | 1,044,170 | |
3.61% due 04/01/39 | | | 1,000,000 | | | | 1,033,826 | |
2.99% due 01/01/40 | | | 1,000,000 | | | | 967,333 | |
3.46% due 08/01/49 | | | 958,502 | | | | 961,083 | |
2.79% due 01/01/32 | | | 965,019 | | | | 945,653 | |
3.11% due 04/01/30 | | | 930,368 | | | | 941,312 | |
2.68% due 04/01/50 | | | 963,449 | | | | 876,459 | |
2.27% due 10/01/41 | | | 1,000,000 | | | | 851,553 | |
4.07% due 05/01/49 | | | 768,563 | | | | 828,044 | |
2.10% due 07/01/50 | | | 968,434 | | | | 812,919 | |
1.76% due 08/01/40 | | | 1,000,000 | | | | 807,536 | |
due 12/25/439 | | | 941,889 | | | | 798,481 | |
4.37% due 10/01/48 | | | 716,640 | | | | 789,196 | |
4.25% due 05/01/48 | | | 632,655 | | | | 651,096 | |
3.94% due 10/01/36 | | | 332,125 | | | | 346,196 | |
Freddie Mac Seasoned Credit Risk Transfer Trust | | | | | | | | |
2.00% due 05/25/60 | | | 3,728,835 | | | | 3,492,498 | |
2.00% due 11/25/59 | | | 1,438,999 | | | | 1,351,398 | |
Fannie Mae-Aces | | | | | | | | |
1.46% (WAC) due 03/25/35◊,7 | | | 23,503,332 | | | | 2,760,699 | |
Freddie Mac | | | | | | | | |
1.98% due 05/01/50 | | | 1,371,649 | | | | 1,118,939 | |
4.00% due 01/15/46 | | | 403,176 | | | | 404,880 | |
FARM Mortgage Trust | | | | | | | | |
2.18% (WAC) due 01/25/51◊,3 | | | 937,599 | | | | 869,028 | |
Total Government Agency | | | | | | | 78,058,329 | |
| | | | | | | | | |
Commercial Mortgage Backed Securities - 3.2% |
GS Mortgage Securities Trust | | | | | | | | |
2020-GSA2, 2.34% due 12/12/53 | | | 8,000,000 | | | | 7,016,282 | |
2020-GC45, 0.67% (WAC) due 02/13/53◊,7 | | | 18,939,858 | | | | 771,621 | |
2019-GC42, 0.81% (WAC) due 09/01/52◊,7 | | | 14,904,824 | | | | 703,025 | |
JP Morgan Chase Commercial Mortgage Securities Trust | | | | | | | | |
2021-NYAH, 2.24% (1 Month USD LIBOR + 1.84%, Rate Floor: 1.84%) due 06/15/38◊,3 | | | 4,000,000 | | | | 3,879,410 | |
2016-JP3, 3.44% (WAC) due 08/15/49◊ | | | 4,000,000 | | | | 3,730,409 | |
DBGS Mortgage Trust | | | | | | | | |
2018-C1, 4.63% (WAC) due 10/15/51◊ | | | 7,000,000 | | | | 7,234,492 | |
CD Mortgage Trust | | | | | | | | |
2017-CD4, 3.95% (WAC) due 05/10/50◊ | | | 4,750,000 | | | | 4,692,276 | |
2016-CD1, 1.37% (WAC) due 08/10/49◊,7 | | | 2,148,705 | | | | 97,914 | |
KKR Industrial Portfolio Trust | | | | | | | | |
2021-KDIP, 1.65% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 12/15/37◊,3 | | | 3,450,000 | | | | 3,363,328 | |
48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND FUND | |
| | Face
Amount~ | | | Value | |
BX Commercial Mortgage Trust | | | | | | | | |
2021-VOLT, 2.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,3 | | | 3,450,000 | | | $ | 3,319,010 | |
SMRT | | | | | | | | |
2022-MINI, 2.25% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 01/15/24◊,3 | | | 2,000,000 | | | | 1,963,692 | |
GS Mortgage Securities Corporation Trust | | | | | | | | |
2020-DUNE, 1.75% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 12/15/36◊,3 | | | 1,000,000 | | | | 990,708 | |
2020-UPTN, 3.25% (WAC) due 02/10/37◊,3 | | | 1,000,000 | | | | 936,878 | |
Life Mortgage Trust | | | | | | | | |
2021-BMR, 1.80% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 03/15/38◊,3 | | | 1,965,940 | | | | 1,899,501 | |
BENCHMARK Mortgage Trust | | | | | | | | |
2019-B14, 0.78% (WAC) due 12/15/62◊,7 | | | 19,817,647 | | | | 793,752 | |
2018-B6, 0.41% (WAC) due 10/10/51◊,7 | | | 29,452,709 | | | | 542,852 | |
Citigroup Commercial Mortgage Trust | | | | | | | | |
2019-GC43, 0.63% (WAC) due 11/10/52◊,7 | | | 19,916,612 | | | | 766,907 | |
2016-GC37, 1.69% (WAC) due 04/10/49◊,7 | | | 3,103,452 | | | | 164,304 | |
2016-C2, 1.74% (WAC) due 08/10/49◊,7 | | | 2,381,774 | | | | 139,970 | |
2016-P5, 1.38% (WAC) due 10/10/49◊,7 | | | 1,603,558 | | | | 80,195 | |
COMM Mortgage Trust | | | | | | | | |
2015-CR24, 0.75% (WAC) due 08/10/48◊,7 | | | 42,680,337 | | | | 894,029 | |
2015-CR26, 0.92% (WAC) due 10/10/48◊,7 | | | 8,852,244 | | | | 229,554 | |
Extended Stay America Trust | | | | | | | | |
2021-ESH, 2.65% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/38◊,3 | | | 1,093,271 | | | | 1,076,800 | |
CSAIL Commercial Mortgage Trust | | | | | | | | |
2019-C15, 1.04% (WAC) due 03/15/52◊,7 | | | 12,169,734 | | | | 642,544 | |
SG Commercial Mortgage Securities Trust | | | | | | | | |
2016-C5, 1.90% (WAC) due 10/10/48◊,7 | | | 8,841,038 | | | | 475,427 | |
UBS Commercial Mortgage Trust | | | | | | | | |
2017-C2, 1.05% (WAC) due 08/15/50◊,7 | | | 10,158,902 | | | | 411,714 | |
Morgan Stanley Capital I Trust | | | | | | | | |
2016-UB11, 1.50% (WAC) due 08/15/49◊,7 | | | 6,651,995 | | | | 314,240 | |
JPMDB Commercial Mortgage Securities Trust | | | | | | | | |
2016-C2, 1.55% (WAC) due 06/15/49◊,7 | | | 7,078,405 | | | | 305,142 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | |
2016-NXS5, 1.43% (WAC) due 01/15/59◊,7 | | | 3,737,631 | | | | 158,446 | |
2016-C37, 0.81% (WAC) due 12/15/49◊,7 | | | 2,757,590 | | | | 81,393 | |
CFCRE Commercial Mortgage Trust | | | | | | | | |
2016-C3, 0.99% (WAC) due 01/10/48◊,7 | | | 5,504,127 | | | | 174,272 | |
Total Commercial Mortgage Backed Securities | | | | | | | 47,850,087 | |
| | | | | | | | | |
Residential Mortgage-Backed Securities - 1.6% | | | | | | | | |
Mill City Mortgage Loan Trust | | | | | | | | |
2021-NMR1, 2.50% (WAC) due 11/25/60◊,3 | | | 4,800,000 | | | | 4,383,721 | |
COLT Mortgage Loan Trust | | | | | | | | |
2021-2, 2.38% (WAC) due 08/25/66◊,3 | | | 4,000,000 | | | | 3,565,299 | |
PRPM LLC | | | | | | | | |
2021-RPL2, 2.93% (WAC) due 10/25/51◊,3 | | | 2,472,000 | | | | 2,304,884 | |
Imperial Fund Mortgage Trust | | | | | | | | |
2022-NQM2, 4.02% (WAC) due 03/25/67◊,3 | | | 1,000,000 | | | | 987,353 | |
2022-NQM2, 4.20% (WAC) due 03/25/67◊,3 | | | 1,000,000 | | | | 986,912 | |
Starwood Mortgage Residential Trust | | | | | | | | |
2020-1, 2.56% (WAC) due 02/25/50◊,3 | | | 924,890 | | | | 904,687 | |
2020-1, 2.41% (WAC) due 02/25/50◊,3 | | | 924,890 | | | | 904,491 | |
CSMC Trust | | | | | | | | |
2018-RPL9, 3.85% (WAC) due 09/25/57◊,3 | | | 1,096,947 | | | | 1,105,541 | |
2020-NQM1, 1.72% due 05/25/653,10 | | | 335,269 | | | | 328,104 | |
SPS Servicer Advance Receivables Trust | | | | | | | | |
2020-T2, 1.83% due 11/15/553 | | | 1,250,000 | | | | 1,168,793 | |
American Home Mortgage Investment Trust | | | | | | | | |
2007-1, 2.08% due 05/25/477 | | | 6,726,381 | | | | 1,055,319 | |
BRAVO Residential Funding Trust | | | | | | | | |
2021-HE1, 1.60% (30 Day Average SOFR + 1.50%, Rate Floor: 0.00%) due 01/25/70◊,3 | | | 1,000,000 | | | | 992,819 | |
Verus Securitization Trust | | | | | | | | |
2019-4, 2.85% due 11/25/593,10 | | | 948,289 | | | | 947,177 | |
Securitized Asset-Backed Receivables LLC Trust | | | | | | | | |
2006-HE2, 0.61% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/36◊ | | | 1,491,560 | | | | 765,929 | |
MFRA Trust | | | | | | | | |
2021-INV1, 2.29% (WAC) due 01/25/56◊,3 | | | 700,000 | | | | 641,895 | |
New Residential Mortgage Loan Trust | | | | | | | | |
2019-6A, 3.50% (WAC) due 09/25/59◊,3 | | | 581,022 | | | | 576,374 | |
Angel Oak Mortgage Trust | | | | | | | | |
2020-1, 2.77% (WAC) due 12/25/59◊,3 | | | 568,476 | | | | 567,188 | |
RALI Series Trust | | | | | | | | |
2006-QO2, 0.90% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46◊ | | | 1,515,315 | | | | 376,837 | |
Residential Mortgage Loan Trust | | | | | | | | |
2020-1, 2.68% (WAC) due 01/26/60◊,3 | | | 335,634 | | | | 325,302 | |
GS Mortgage-Backed Securities Trust | | | | | | | | |
2020-NQM1, 1.79% (WAC) due 09/27/60◊,3 | | | 324,087 | | | | 315,478 | |
MASTR Adjustable Rate Mortgages Trust | | | | | | | | |
2003-5, 3.26% (WAC) due 11/25/33◊ | | | 247,033 | | | | 229,150 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | | | | | | | | |
2006-AR9, 0.98% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊ | | | 263,129 | | | | 227,903 | |
UCFC Manufactured Housing Contract | | | | | | | | |
1997-2, 7.38% due 10/15/28 | | | 52,066 | | | | 51,473 | |
Total Residential Mortgage-Backed Securities | | | | | | | 23,712,629 | |
| | | | | | | | | |
Military Housing - 1.1% | | | | | | | | |
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | | | | | | | | |
2015-R1, 4.66% (WAC) due 11/25/55◊,3 | | | 4,501,166 | | | | 4,796,790 | |
2015-R1, 4.44% (WAC) due 11/25/52◊,3 | | | 2,869,768 | | | | 3,011,917 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND FUND | |
| | Face
Amount~ | | | Value | |
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | | | | | | | | |
2015-R1, 4.66% (WAC) due 11/25/55◊,†††,3 | | | 2,505,804 | | | $ | 2,762,842 | |
2015-R1, 0.70% (WAC) due 11/25/55◊,†††,3,7 | | | 10,255,233 | | | | 776,091 | |
Capmark Military Housing Trust | | | | | | | | |
2006-RILY, 6.15% due 07/10/51†††,3 | | | 2,280,442 | | | | 2,493,156 | |
2007-ROBS, 6.06% due 10/10/52†††,3 | | | 459,089 | | | | 499,882 | |
2007-AETC, 5.75% due 02/10/52†††,3 | | | 270,642 | | | | 285,631 | |
GMAC Commercial Mortgage Asset Corp. | | | | | | | | |
2007-HCKM, 6.11% due 08/10/52†††,3 | | | 1,443,729 | | | | 1,572,091 | |
Total Military Housing | | | | | | | 16,198,400 | |
| | | | | | | | | |
Total Collateralized Mortgage Obligations | | | | |
(Cost $181,321,310) | | | 165,819,445 | |
| |
U.S. GOVERNMENT SECURITIES†† - 7.7% |
U.S. Treasury Notes |
1.88% due 02/15/3211 | | | 87,000,000 | | | | 83,547,188 | |
U.S. Treasury Bonds |
1.88% due 11/15/51 | | | 20,000,000 | | | | 17,543,750 | |
2.00% due 08/15/51 | | | 15,000,000 | | | | 13,532,812 | |
Total U.S. Government Securities | | | | |
(Cost $121,087,152) | | | | | | | 114,623,750 | |
| | | | | | | | | |
SENIOR FLOATING RATE INTERESTS††,◊ - 3.5% |
Industrial - 1.1% | | | | | | | | |
Mileage Plus Holdings LLC | | | | | | | | |
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | | | 8,450,000 | | | | 8,756,313 | |
Standard Industries, Inc. | | | | | | | | |
3.79% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 09/22/28 | | | 2,551,000 | | | | 2,543,347 | |
SkyMiles IP Ltd. | | | | | | | | |
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 | | | 1,700,000 | | | | 1,752,853 | |
Berry Global, Inc. | | | | | | | | |
2.07% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26 | | | 1,429,766 | | | | 1,407,648 | |
Air Canada | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | | | 1,350,000 | | | | 1,335,933 | |
Service Logic Acquisition, Inc. | | | | | | | | |
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27 | | | 779,882 | | | | 770,780 | |
Total Industrial | | | | | | | 16,566,874 | |
| | | | | | | | | |
Consumer, Cyclical - 0.9% | | | | | | | | |
Murphy Oil USA, Inc. | | | | | | | | |
2.25% (1 Month USD LIBOR + 1.75%, Rate Floor: 2.25%) due 01/31/28††† | | | 7,940,000 | | | | 7,940,000 | |
Amaya Holdings BV | | | | | | | | |
2.50% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 07/21/26 | | EUR | 4,000,000 | | | | 4,344,849 | |
Stars Group (Amaya) | | | | | | | | |
3.26% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26 | | | 995,000 | | | | 986,085 | |
Hilton Worldwide Finance LLC | | | | | | | | |
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/22/26 | | | 383,663 | | | | 379,300 | |
Total Consumer, Cyclical | | | | | | | 13,650,234 | |
| | | | | | | | | |
Technology - 0.4% | | | | | | | | |
Datix Bidco Ltd. | | | | | | | | |
4.96% (6 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25††† | | GBP | 2,900,000 | | | | 3,792,893 | |
Valkyr Purchaser, LLC | | | | | | | | |
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 11/05/27 | | | 1,584,000 | | | | 1,580,040 | |
Total Technology | | | | | | | 5,372,933 | |
| | | | | | | | | |
Consumer, Non-cyclical - 0.3% | | | | | | | | |
Packaging Coordinators Midco, Inc. | | | | | | | | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/30/27 | | | 2,227,500 | | | | 2,213,110 | |
Southern Veterinary Partners LLC | | | | | | | | |
5.00% (6 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27 | | | 1,482,152 | | | | 1,469,184 | |
HAH Group Holding Co. LLC | | | | | | | | |
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27 | | | 1,138,825 | | | | 1,121,742 | |
Total Consumer, Non-cyclical | | | | | | | 4,804,036 | |
| | | | | | | | | |
Basic Materials - 0.3% | | | | | | | | |
Univar Netherlands Holding BV | | | | | | | | |
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/03/28 | | | 4,193,313 | | | | 4,155,321 | |
| | | | | | | | | |
Utilities - 0.2% | | | | | | | | |
Hamilton Projects Acquiror LLC | | | | | | | | |
5.51% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27 | | | 3,061,153 | | | | 2,997,389 | |
| | | | | | | | | |
Financial - 0.2% | | | | | | | | |
Nexus Buyer LLC | | | | | | | | |
4.21% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 | | | 886,398 | | | | 876,869 | |
Cross Financial Corp. | | | | | | | | |
4.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27 | | | 792,015 | | | | 785,418 | |
Alliant Holdings Intermediate LLC | | | | | | | | |
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 | | | 491,071 | | | | 485,110 | |
Total Financial | | | | | | | 2,147,397 | |
| | | | | | | | | |
Energy - 0.1% | | | | | | | | |
Venture Global Calcasieu Pass LLC | | | | | | | | |
2.83% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26††† | | | 751,444 | | | | 747,687 | |
DT Midstream, Inc. | | | | | | | | |
2.50% (6 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 06/26/28 | | | 497,500 | | | | 496,186 | |
Total Energy | | | | | | | 1,243,873 | |
| | | | | | | | | |
50 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND FUND | |
| | Face
Amount~ | | | Value | |
Communications - 0.0% | | | | | | | | |
Radiate Holdco LLC | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26 | | | 163,972 | | | $ | 162,395 | |
Total Senior Floating Rate Interests | | | | |
(Cost $51,683,438) | | | 51,100,452 | |
| |
FEDERAL AGENCY BONDS†† - 1.9% |
Tennessee Valley Authority Principal Strips |
due 06/15/389,12 | | | 9,400,000 | | | | 5,556,500 | |
due 01/15/489,12 | | | 9,700,000 | | | | 4,024,346 | |
due 01/15/389,12 | | | 4,000,000 | | | | 2,400,372 | |
due 06/15/359,12 | | | 1,583,000 | | | | 1,049,212 | |
due 12/15/429,12 | | | 1,600,000 | | | | 797,586 | |
Federal Farm Credit Bank |
3.51% due 06/11/40 | | | 3,300,000 | | | | 3,488,513 | |
2.70% due 01/30/45 | | | 1,053,000 | | | | 971,267 | |
2.88% due 10/01/40 | | | 350,000 | | | | 338,173 | |
Tennessee Valley Authority |
4.25% due 09/15/65 | | | 2,450,000 | | | | 2,978,235 | |
5.38% due 04/01/56 | | | 600,000 | | | | 857,927 | |
United States International Development Finance Corp. |
1.63% due 11/20/37 | | | 4,000,000 | | | | 3,575,207 | |
Freddie Mac |
due 01/02/3412 | | | 1,850,000 | | | | 1,319,083 | |
due 09/15/3612 | | | 300,000 | | | | 195,325 | |
due 11/15/3812 | | | 250,000 | | | | 148,685 | |
U.S. International Development Finance Corp. |
due 01/17/2612 | | | 800,000 | | | | 828,434 | |
Fannie Mae Principal Strips |
due 08/06/389,12 | | | 250,000 | | | | 150,211 | |
Total Federal Agency Bonds | | | | |
(Cost $31,485,606) | | | | | | | 28,679,076 | |
| | | | | | | | | |
MUNICIPAL BONDS†† - 1.0% |
Texas - 0.3% | | | | | | | | |
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds | | | | | | | | |
3.29% due 09/01/40 | | | 2,100,000 | | | | 1,960,844 | |
2.78% due 09/01/34 | | | 700,000 | | | | 661,344 | |
2.69% due 09/01/33 | | | 500,000 | | | | 474,649 | |
2.57% due 09/01/32 | | | 475,000 | | | | 450,303 | |
2.41% due 09/01/31 | | | 450,000 | | | | 424,963 | |
Grand Parkway Transportation Corp. Revenue Bonds | | | | | | | | |
3.31% due 10/01/49 | | | 1,500,000 | | | | 1,344,312 | |
Dallas/Fort Worth International Airport Revenue Bonds | | | | | | | | |
2.92% due 11/01/50 | | | 1,000,000 | | | | 897,823 | |
Total Texas | | | | | | | 6,214,238 | |
| | | | | | | | | |
New York - 0.3% | | | | | | | | |
Westchester County Local Development Corp. Revenue Bonds | | | | | | | | |
3.85% due 11/01/50 | | | 2,700,000 | | | | 2,503,460 | |
Port Authority of New York & New Jersey Revenue Bonds | | | | | | | | |
3.14% due 02/15/51 | | | 1,370,000 | | | | 1,231,236 | |
Total New York | | | | | | | 3,734,696 | |
| | | | | | | | | |
Idaho - 0.1% | | | | | | | | |
Boise State University Revenue Bonds | | | | | | | | |
3.06% due 04/01/40 | | | 1,150,000 | | | | 1,069,444 | |
| | | | | | | | | |
California - 0.1% | | | | | | | | |
California Statewide Communities Development Authority Revenue Bonds | | | | | | | | |
2.68% due 02/01/39 | | | 1,200,000 | | | | 1,050,550 | |
| | | | | | | | | |
Mississippi - 0.1% | | | | | | | | |
Medical Center Educational Building Corp. Revenue Bonds | | | | | | | | |
2.92% due 06/01/41 | | | 1,000,000 | | | | 877,890 | |
| | | | | | | | | |
Alabama - 0.1% | | | | | | | | |
Auburn University Revenue Bonds | | | | | | | | |
2.68% due 06/01/50 | | | 1,000,000 | | | | 830,230 | |
| | | | | | | | | |
Ohio - 0.0% | | | | | | | | |
County of Franklin Ohio Revenue Bonds | | | | | | | | |
2.88% due 11/01/50 | | | 1,000,000 | | | | 799,511 | |
| | | | | | | | | |
Illinois - 0.0% | | | | | | | | |
State of Illinois General Obligation Unlimited | | | | | | | | |
5.65% due 12/01/38 | | | 472,222 | | | | 533,463 | |
Cook County School District No. 155 Calumet City General Obligation Unlimited | | | | | | | | |
5.30% due 12/01/22 | | | 5,000 | | | | 5,079 | |
Total Illinois | | | | | | | 538,542 | |
| | | | | | | | | |
Total Municipal Bonds | | | | |
(Cost $16,719,475) | | | 15,115,101 | |
| |
FOREIGN GOVERNMENT DEBT†† - 0.3% |
Panama Government International Bond |
4.50% due 01/19/63 | | | 2,600,000 | | | | 2,494,076 | |
4.50% due 04/16/50 | | | 1,450,000 | | | | 1,432,093 | |
Bermuda Government International Bond |
3.38% due 08/20/503 | | | 500,000 | | | | 438,900 | |
Total Foreign Government Debt | | | | |
(Cost $4,709,245) | | | | | | | 4,365,069 | |
| | | | | | | | | |
SENIOR FIXED RATE INTERESTS††† - 0.2% |
Industrial - 0.2% | | | | | | | | |
CTL Logistics | | | | | | | | |
2.65% due 10/10/42 | | | 3,642,781 | | | | 3,264,088 | |
Total Senior Fixed Rate Interests | | | | |
(Cost $3,642,782) | | | 3,264,088 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND FUND | |
| | Notional
Value | | | Value | |
OTC OPTIONS PURCHASED†† - 0.0% |
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 | | | $ | 59,176 | |
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | | | 55,700,000 | | | | 7,241 | |
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | | | 120,600,000 | | | | 6,030 | |
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | | | 47,400,000 | | | | 2,370 | |
Total OTC Options Purchased | | | | |
(Cost $1,600,463) | | | | | | | 74,817 | |
| | | | | | | | | |
Total Investments - 100.5% | | | | |
(Cost $1,584,483,269) | | | 1,492,800,020 | |
| |
Contracts
| | | | |
LISTED OPTIONS WRITTEN† - 0.0% |
Call Options on: | | | | | | | | |
Equity Options | | | | | | | | |
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $19,368) | | | 9 | | | | (450 | ) |
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $19,368) | | | 9 | | | | (607 | ) |
| | | | | |
Total Listed Options Written | | | | |
(Premiums received $18,995) | | | | | | | (1,057 | ) |
Other Assets & Liabilities, net - (0.5)% | | | (6,888,803 | ) |
Total Net Assets - 100.0% | | $ | 1,485,910,160 | |
Forward Foreign Currency Exchange Contracts†† |
Counterparty | | Currency | | | Type | | | Quantity | | | Contract
Amount | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
JPMorgan Chase Bank, N.A. | | | EUR | | | | Sell | | | | 1,030,000 | | 1,146,246 USD | | | 06/30/22 | | | $ | 2,385 | |
Barclays Bank plc | | | GBP | | | | Sell | | | | 2,941,000 | | 3,831,495 USD | | | 04/14/22 | | | | (31,708 | ) |
Bank of America, N.A. | | | EUR | | | | Sell | | | | 5,917,000 | | 6,462,044 USD | | | 04/14/22 | | | | (87,448 | ) |
| | | | | | | | | | | | | | | | | | | | | | | $ | (116,771 | ) |
52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND 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. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
1 | Special Purpose Acquisition Company (SPAC). |
2 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
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 $653,041,172 (cost $684,412,361), or 43.9% of total net assets. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
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 $844,374 (cost $962,868), or 0.1% of total net assets — See Note 10. |
7 | Security is an interest-only strip. |
8 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
9 | Security is a principal-only strip. |
10 | 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 March 31, 2022. See table below for additional step information for each security. |
11 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At March 31, 2022, the total market value of the segregated or earmarked security was $83,547,188 — See Note 6. |
12 | Zero coupon rate security. |
| | BofA — Bank of America |
| | 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 |
| | SOFR — Secured Overnight Financing Rate |
| | WAC — Weighted Average Coupon |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CORE BOND FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 19,340,062 | | | $ | — | | | $ | — | * | | $ | 19,340,062 | |
Preferred Stocks | | | — | | | | 74,432,359 | | | | — | * | | | 74,432,359 | |
Warrants | | | 157,474 | | | | — | | | | — | | | | 157,474 | |
Closed-End Funds | | | 2,898,299 | | | | — | | | | — | | | | 2,898,299 | |
Money Market Funds | | | 18,148,010 | | | | — | | | | — | | | | 18,148,010 | |
Corporate Bonds | | | — | | | | 586,761,997 | | | | 31,264,270 | | | | 618,026,267 | |
Asset-Backed Securities | | | — | | | | 348,932,767 | | | | 27,822,984 | | | | 376,755,751 | |
Collateralized Mortgage Obligations | | | — | | | | 157,429,752 | | | | 8,389,693 | | | | 165,819,445 | |
U.S. Government Securities | | | — | | | | 114,623,750 | | | | — | | | | 114,623,750 | |
Senior Floating Rate Interests | | | — | | | | 38,619,872 | | | | 12,480,580 | | | | 51,100,452 | |
Federal Agency Bonds | | | — | | | | 28,679,076 | | | | — | | | | 28,679,076 | |
Municipal Bonds | | | — | | | | 15,115,101 | | | | — | | | | 15,115,101 | |
Foreign Government Debt | | | — | | | | 4,365,069 | | | | — | | | | 4,365,069 | |
Senior Fixed Rate Interests | | | — | | | | — | | | | 3,264,088 | | | | 3,264,088 | |
Options Purchased | | | — | | | | 74,817 | | | | — | | | | 74,817 | |
Forward Foreign Currency Exchange Contracts** | | | — | | | | 2,385 | | | | — | | | | 2,385 | |
Total Assets | | $ | 40,543,845 | | | $ | 1,369,036,945 | | | $ | 83,221,615 | | | $ | 1,492,802,405 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Options Written | | $ | 1,057 | | | $ | — | | | $ | — | | | $ | 1,057 | |
Forward Foreign Currency Exchange Contracts** | | | — | | | | 119,156 | | | | — | | | | 119,156 | |
Unfunded Loan Commitments (Note 9) | | | — | | | | — | | | | 38,342 | | | | 38,342 | |
Total Liabilities | | $ | 1,057 | | | $ | 119,156 | | | $ | 38,342 | | | $ | 158,555 | |
* | 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 $9,593,773 are categorized as Level 2 within the disclosure hierarchy — See Note 6.
54 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
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 at
March 31, 2022 | | | Valuation Technique | | | Unobservable Inputs | | | Input Range | | | Weighted Average* | |
Assets: | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | 13,978,084 | | Option adjusted spread off prior month end broker quote | Broker Quote | | | — | | | | — | |
Asset-Backed Securities | | | 6,260,691 | | Third Party Pricing | Broker Quote | | | — | | | | — | |
Asset-Backed Securities | | | 3,303,711 | | Option adjusted spread off third party pricing | Trade Price | | | — | | | | — | |
Asset-Backed Securities | | | 2,852,498 | | Yield Analysis | Yield | | | 4.3%-4.8% | | | | 4.6 | % |
Asset-Backed Securities | | | 1,428,000 | | Third Party Pricing | Trade Price | | | — | | | | — | |
Collateralized Mortgage Obligations | | | 8,389,693 | | Option adjusted spread off prior month end broker quote | Broker Quote | | | — | | | | — | |
Corporate Bonds | | | 21,673,224 | | Option adjusted spread off prior month end broker quote | Broker Quote | | | — | | | | — | |
Corporate Bonds | | | 6,113,780 | | Third Party Pricing | Vendor Price | | | — | | | | — | |
Corporate Bonds | | | 3,477,266 | | Yield Analysis | Yield | | | 4.4 | % | | | — | |
Senior Fixed Rate Interests | | | 3,264,088 | | Yield Analysis | Yield | | | 2.7 | % | | | — | |
Senior Floating Rate Interests | | | 8,687,687 | | Third Party Pricing | Broker Quote | | | — | | | | — | |
Senior Floating Rate Interests | | | 3,792,893 | | Yield Analysis | | | Yield | | | | 5.6 | % | | | — | |
Total Assets | | $ | 83,221,615 | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
Unfunded Loan Commitments | | $ | 38,342 | | 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.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended March 31, 2022, the Fund had securities with a total value of $23,058,936 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $305,542 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 SEMI-ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
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 period ended March 31, 2022:
| | | Assets | | | | | | | | | | | Liabilities | |
| | Asset-Backed
Securities | | | Collateralized
Mortgage
Obligations | | | Corporate
Bonds | | | Senior
Floating Rate
Interests | | | Senior Fixed
Rate Interests | | | Total Assets | | | Unfunded
Loan
Commitments | |
Beginning Balance | | $ | 43,311,905 | | | $ | — | | | $ | 34,387,505 | | | $ | 1,062,752 | | | $ | 3,543,333 | | | $ | 82,305,495 | | | $ | (33,278 | ) |
Purchases/(Receipts) | | | 10,028,000 | | | | — | | | | — | | | | 309,549 | | | | — | | | | 10,337,549 | | | | — | |
(Sales, maturities and paydowns)/Fundings | | | (28,202,569 | ) | | | — | | | | (270,600 | ) | | | (382,465 | ) | | | — | | | | (28,855,634 | ) | | | 28,647 | |
Amortization of premiums/discounts | | | 35,209 | | | | — | | | | 2,062 | | | | 5,707 | | | | — | | | | 42,978 | | | | — | |
Total realized gains (losses) included in earnings | | | 61,573 | | | | — | | | | — | | | | 26,909 | | | | — | | | | 88,482 | | | | — | |
Total change in unrealized appreciation (depreciation) included in earnings | | | (347,484 | ) | | | — | | | | (2,854,697 | ) | | | 30,777 | | | | (279,245 | ) | | | (3,450,649 | ) | | | (33,711 | ) |
Transfers into Level 3 | | | 2,936,350 | | | | 8,389,693 | | | | — | | | | 11,732,893 | | | | — | | | | 23,058,936 | | | | — | |
Transfers out of Level 3 | | | — | | | | — | | | | — | | | | (305,542 | ) | | | — | | | | (305,542 | ) | | | — | |
Ending Balance | | $ | 27,822,984 | | | $ | 8,389,693 | | | $ | 31,264,270 | | | $ | 12,480,580 | | | $ | 3,264,088 | | | $ | 83,221,615 | | | $ | (38,342 | ) |
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2022 | | $ | (347,484 | ) | | $ | — | | | $ | (2,854,697 | ) | | $ | 35,176 | | | $ | (279,245 | ) | | $ | (3,446,250 | ) | | $ | (33,711 | ) |
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 Reset Date | | | Next Rate
Reset Date | | | Future Reset Rate(s) | | | Future Reset Date(s) | |
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 | | | | — | | | | — | |
56 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
March 31, 2022 |
Assets: |
Investments, at value (cost $1,584,483,269) | | $ | 1,492,800,020 | |
Foreign currency, at value (cost 40,917) | | | 40,917 | |
Cash | | | 80,883 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 2,385 | |
Prepaid expenses | | | 159,157 | |
Receivables: |
Interest | | | 9,755,442 | |
Securities sold | | | 6,364,970 | |
Fund shares sold | | | 2,081,370 | |
Dividends | | | 24,733 | |
Investment Adviser | | | 9,296 | |
Foreign tax reclaims | | | 6,717 | |
Total assets | | | 1,511,325,890 | |
| | | | | |
Liabilities: |
Unfunded loan commitments, at value (Note 9) (commitment fees received $8,101) | | | 38,342 | |
Reverse repurchase agreements | | | 9,593,773 | |
Options written, at value (premiums received $18,995) | | | 1,057 | |
Segregated cash due to broker | | | 521,331 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 119,156 | |
Payable for: |
Securities purchased | | | 7,523,430 | |
Fund shares redeemed | | | 7,047,315 | |
Distributions to shareholders | | | 207,822 | |
Management fees | | | 124,407 | |
Fund accounting/administration fees | | | 84,352 | |
Distribution and service fees | | | 68,886 | |
Transfer agent/maintenance fees | | | 24,416 | |
Trustees’ fees* | | | 13,678 | |
Due to Investment Adviser | | | 1,413 | |
Miscellaneous | | | 46,352 | |
Total liabilities | | | 25,415,730 | |
Net assets | | $ | 1,485,910,160 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 1,585,058,066 | |
Total distributable earnings (loss) | | | (99,147,906 | ) |
Net assets | | $ | 1,485,910,160 | |
| | | | | |
A-Class: |
Net assets | | $ | 131,292,378 | |
Capital shares outstanding | | | 7,212,117 | |
Net asset value per share | | $ | 18.20 | |
Maximum offering price per share (Net asset value divided by 96.00%) | | $ | 18.96 | |
| | | | | |
C-Class: |
Net assets | | $ | 26,698,048 | |
Capital shares outstanding | | | 1,473,032 | |
Net asset value per share | | $ | 18.12 | |
| | | | | |
P-Class: |
Net assets | | $ | 75,788,794 | |
Capital shares outstanding | | | 4,159,542 | |
Net asset value per share | | $ | 18.22 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 1,252,130,940 | |
Capital shares outstanding | | | 68,876,578 | |
Net asset value per share | | $ | 18.18 | |
* | 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 SEMI-ANNUAL REPORT | 57 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended March 31, 2022 |
Investment Income: |
Dividends | | $ | 1,235,535 | |
Interest (net of foreign withholding tax of $19,513) | | | 22,543,085 | |
Total investment income | | | 23,778,620 | |
| | | | | |
Expenses: |
Management fees | | | 3,134,741 | |
Distribution and service fees: |
A-Class | | | 181,380 | |
C-Class | | | 151,933 | |
P-Class | | | 113,548 | |
Transfer agent/maintenance fees: |
A-Class | | | 40,082 | |
C-Class | | | 14,488 | |
P-Class | | | 78,067 | |
Institutional Class | | | 690,178 | |
Fund accounting/administration fees | | | 523,465 | |
Line of credit fees | | | 51,927 | |
Professional fees | | | 48,784 | |
Custodian fees | | | 15,074 | |
Trustees’ fees* | | | 8,508 | |
Interest expense | | | 1,131 | |
Miscellaneous | | | 103,170 | |
Recoupment of previously waived fees: |
A-Class | | | 7,213 | |
C-Class | | | 149 | |
Total expenses | | | 5,163,838 | |
Less: |
Expenses reimbursed by Adviser: |
A-Class | | | (9,030 | ) |
C-Class | | | (6,974 | ) |
P-Class | | | (53,782 | ) |
Institutional Class | | | (610,218 | ) |
Expenses waived by Adviser | | | (28,206 | ) |
Earnings credits applied | | | (697 | ) |
Total waived/reimbursed expenses | | | (708,907 | ) |
Net expenses | | | 4,454,931 | |
Net investment income | | | 19,323,689 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (4,748,327 | ) |
Investments sold short | | | 53,035 | |
Swap agreements | | | (397,242 | ) |
Options purchased | | | (1,536,875 | ) |
Options written | | | 716,875 | |
Forward foreign currency exchange contracts | | | 871,449 | |
Foreign currency transactions | | | 48,968 | |
Net realized loss | | | (4,992,117 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (122,841,128 | ) |
Investments sold short | | | (55,804 | ) |
Swap agreements | | | (46,436 | ) |
Options purchased | | | (3,627,266 | ) |
Options written | | | (123,387 | ) |
Forward foreign currency exchange contracts | | | (330,627 | ) |
Foreign currency translations | | | (2,450 | ) |
Net change in unrealized appreciation (depreciation) | | | (127,027,098 | ) |
Net realized and unrealized loss | | | (132,019,215 | ) |
Net decrease in net assets resulting from operations | | $ | (112,695,526 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 19,323,689 | | | $ | 38,596,466 | |
Net realized gain (loss) on investments | | | (4,992,117 | ) | | | 32,193,034 | |
Net change in unrealized appreciation (depreciation) on investments | | | (127,027,098 | ) | | | (36,579,122 | ) |
Net increase (decrease) in net assets resulting from operations | | | (112,695,526 | ) | | | 34,210,378 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (3,517,717 | ) | | | (6,777,135 | ) |
C-Class | | | (621,338 | ) | | | (1,300,689 | ) |
P-Class | | | (2,265,310 | ) | | | (3,119,744 | ) |
Institutional Class | | | (34,682,172 | ) | | | (62,477,661 | ) |
Total distributions to shareholders | | | (41,086,537 | ) | | | (73,675,229 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 10,207,526 | | | | 40,344,152 | |
C-Class | | | 2,220,142 | | | | 12,009,830 | |
P-Class | | | 21,916,996 | | | | 50,228,861 | |
Institutional Class | | | 363,776,099 | | | | 818,599,668 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 3,283,466 | | | | 6,350,495 | |
C-Class | | | 551,749 | | | | 1,147,128 | |
P-Class | | | 2,265,285 | | | | 3,119,734 | |
Institutional Class | | | 32,451,557 | | | | 58,072,751 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (19,397,470 | ) | | | (111,584,248 | ) |
C-Class | | | (6,594,844 | ) | | | (12,039,187 | ) |
P-Class | | | (28,796,116 | ) | | | (23,176,345 | ) |
Institutional Class | | | (398,559,467 | ) | | | (598,902,302 | ) |
Net increase (decrease) from capital share transactions | | | (16,675,077 | ) | | | 244,170,537 | |
Net increase (decrease) in net assets | | | (170,457,140 | ) | | | 204,705,686 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 1,656,367,300 | | | | 1,451,661,614 | |
End of period | | $ | 1,485,910,160 | | | $ | 1,656,367,300 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 521,181 | | | | 1,985,400 | |
C-Class | | | 114,414 | | | | 595,114 | |
P-Class | | | 1,113,024 | | | | 2,494,993 | |
Institutional Class | | | 18,955,954 | | | | 40,361,294 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 168,251 | | | | 312,565 | |
C-Class | | | 28,344 | | | | 56,670 | |
P-Class | | | 115,981 | | | | 153,682 | |
Institutional Class | | | 1,666,162 | | | | 2,864,869 | |
Shares redeemed | | | | | | | | |
A-Class | | | (1,007,315 | ) | | | (5,426,999 | ) |
C-Class | | | (342,606 | ) | | | (600,885 | ) |
P-Class | | | (1,514,233 | ) | | | (1,149,450 | ) |
Institutional Class | | | (20,780,765 | ) | | | (29,741,956 | ) |
Net increase (decrease) in shares | | | (961,608 | ) | | | 11,905,297 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 59 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 20.06 | | | $ | 20.53 | | | $ | 18.94 | | | $ | 18.33 | | | $ | 18.55 | | | $ | 18.55 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .21 | | | | .44 | | | | .37 | | | | .41 | | | | .49 | | | | .59 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.60 | ) | | | (.01 | ) | | | 1.63 | | | | .63 | | | | (.22 | ) | | | .02 | |
Total from investment operations | | | (1.39 | ) | | | .43 | | | | 2.00 | | | | 1.04 | | | | .27 | | | | .61 | |
Less distributions from: |
Net investment income | | | (.21 | ) | | | (.47 | ) | | | (.41 | ) | | | (.43 | ) | | | (.49 | ) | | | (.61 | ) |
Net realized gains | | | (.26 | ) | | | (.43 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.47 | ) | | | (.90 | ) | | | (.41 | ) | | | (.43 | ) | | | (.49 | ) | | | (.61 | ) |
Net asset value, end of period | | $ | 18.20 | | | $ | 20.06 | | | $ | 20.53 | | | $ | 18.94 | | | $ | 18.33 | | | $ | 18.55 | |
|
Total Returnc | | | (7.08 | %) | | | 2.09 | % | | | 10.68 | % | | | 5.72 | % | | | 1.46 | % | | | 3.39 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 131,292 | | | $ | 151,026 | | | $ | 218,856 | | | $ | 149,442 | | | $ | 119,066 | | | $ | 170,624 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.17 | % | | | 2.20 | % | | | 1.87 | % | | | 2.23 | % | | | 2.64 | % | | | 3.19 | % |
Total expensesd | | | 0.80 | % | | | 0.85 | % | | | 0.85 | % | | | 0.89 | % | | | 0.93 | % | | | 1.07 | % |
Net expensese,f,g | | | 0.78 | % | | | 0.79 | % | | | 0.79 | % | | | 0.80 | % | | | 0.83 | % | | | 1.02 | % |
Portfolio turnover rate | | | 22 | % | | | 103 | % | | | 126 | % | | | 77 | % | | | 53 | % | | | 81 | % |
C-Class | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 19.97 | | | $ | 20.45 | | | $ | 18.86 | | | $ | 18.25 | | | $ | 18.47 | | | $ | 18.48 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .14 | | | | .29 | | | | .22 | | | | .28 | | | | .35 | | | | .45 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.59 | ) | | | (.03 | ) | | | 1.64 | | | | .62 | | | | (.22 | ) | | | .02 | |
Total from investment operations | | | (1.45 | ) | | | .26 | | | | 1.86 | | | | .90 | | | | .13 | | | | .47 | |
Less distributions from: |
Net investment income | | | (.14 | ) | | | (.31 | ) | | | (.27 | ) | | | (.29 | ) | | | (.35 | ) | | | (.48 | ) |
Net realized gains | | | (.26 | ) | | | (.43 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.40 | ) | | | (.74 | ) | | | (.27 | ) | | | (.29 | ) | | | (.35 | ) | | | (.48 | ) |
Net asset value, end of period | | $ | 18.12 | | | $ | 19.97 | | | $ | 20.45 | | | $ | 18.86 | | | $ | 18.25 | | | $ | 18.47 | |
|
Total Returnc | | | (7.41 | %) | | | 1.34 | % | | | 9.86 | % | | | 4.96 | % | | | 0.71 | % | | | 2.59 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 26,698 | | | $ | 33,407 | | | $ | 33,163 | | | $ | 22,531 | | | $ | 18,799 | | | $ | 28,083 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.43 | % | | | 1.46 | % | | | 1.13 | % | | | 1.50 | % | | | 1.92 | % | | | 2.47 | % |
Total expensesd | | | 1.58 | % | | | 1.61 | % | | | 1.62 | % | | | 1.67 | % | | | 1.75 | % | | | 1.85 | % |
Net expensese,f,g | | | 1.53 | % | | | 1.54 | % | | | 1.54 | % | | | 1.55 | % | | | 1.57 | % | | | 1.77 | % |
Portfolio turnover rate | | | 22 | % | | | 103 | % | | | 126 | % | | | 77 | % | | | 53 | % | | | 81 | % |
60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 20.07 | | | $ | 20.55 | | | $ | 18.96 | | | $ | 18.34 | | | $ | 18.56 | | | $ | 18.57 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .21 | | | | .44 | | | | .36 | | | | .41 | | | | .48 | | | | .56 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.59 | ) | | | (.02 | ) | | | 1.64 | | | | .63 | | | | (.21 | ) | | | .05 | |
Total from investment operations | | | (1.38 | ) | | | .42 | | | | 2.00 | | | | 1.04 | | | | .27 | | | | .61 | |
Less distributions from: |
Net investment income | | | (.21 | ) | | | (.47 | ) | | | (.41 | ) | | | (.42 | ) | | | (.49 | ) | | | (.62 | ) |
Net realized gains | | | (.26 | ) | | | (.43 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.47 | ) | | | (.90 | ) | | | (.41 | ) | | | (.42 | ) | | | (.49 | ) | | | (.62 | ) |
Net asset value, end of period | | $ | 18.22 | | | $ | 20.07 | | | $ | 20.55 | | | $ | 18.96 | | | $ | 18.34 | | | $ | 18.56 | |
|
Total Return | | | (7.02 | %) | | | 2.04 | % | | | 10.67 | % | | | 5.77 | % | | | 1.45 | % | | | 3.33 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 75,789 | | | $ | 89,223 | | | $ | 60,534 | | | $ | 50,258 | | | $ | 48,263 | | | $ | 17,303 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.17 | % | | | 2.17 | % | | | 1.86 | % | | | 2.24 | % | | | 2.61 | % | | | 3.06 | % |
Total expensesd | | | 0.90 | % | | | 0.90 | % | | | 0.91 | % | | | 0.93 | % | | | 0.94 | % | | | 1.13 | % |
Net expensese,f,g | | | 0.78 | % | | | 0.79 | % | | | 0.79 | % | | | 0.80 | % | | | 0.80 | % | | | 1.01 | % |
Portfolio turnover rate | | | 22 | % | | | 103 | % | | | 126 | % | | | 77 | % | | | 53 | % | | | 81 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 61 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 20.03 | | | $ | 20.51 | | | $ | 18.91 | | | $ | 18.30 | | | $ | 18.52 | | | $ | 18.53 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .24 | | | | .50 | | | | .42 | | | | .47 | | | | .54 | | | | .64 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.59 | ) | | | (.03 | ) | | | 1.65 | | | | .62 | | | | (.22 | ) | | | .02 | |
Total from investment operations | | | (1.35 | ) | | | .47 | | | | 2.07 | | | | 1.09 | | | | .32 | | | | .66 | |
Less distributions from: |
Net investment income | | | (.24 | ) | | | (.52 | ) | | | (.47 | ) | | | (.48 | ) | | | (.54 | ) | | | (.67 | ) |
Net realized gains | | | (.26 | ) | | | (.43 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.50 | ) | | | (.95 | ) | | | (.47 | ) | | | (.48 | ) | | | (.54 | ) | | | (.67 | ) |
Net asset value, end of period | | $ | 18.18 | | | $ | 20.03 | | | $ | 20.51 | | | $ | 18.91 | | | $ | 18.30 | | | $ | 18.52 | |
|
Total Return | | | (6.90 | %) | | | 2.34 | % | | | 11.07 | % | | | 6.03 | % | | | 1.75 | % | | | 3.67 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,252,131 | | | $ | 1,382,711 | | | $ | 1,139,109 | | | $ | 613,571 | | | $ | 380,974 | | | $ | 142,014 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.47 | % | | | 2.49 | % | | | 2.17 | % | | | 2.52 | % | | | 2.92 | % | | | 3.51 | % |
Total expensesd | | | 0.59 | % | | | 0.60 | % | | | 0.58 | % | | | 0.62 | % | | | 0.60 | % | | | 0.74 | % |
Net expensese,f,g | | | 0.49 | % | | | 0.50 | % | | | 0.50 | % | | | 0.51 | % | | | 0.52 | % | | | 0.70 | % |
Portfolio turnover rate | | | 22 | % | | | 103 | % | | | 126 | % | | | 77 | % | | | 53 | % | | | 81 | % |
a | Unaudited figures for the period ended March 31, 2022. 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 | 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 periods presented was as follows: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 0.01% | 0.01% | 0.00%* | — | 0.00%* | 0.05% |
| | C-Class | 0.00%* | — | 0.00%* | — | 0.00%* | 0.03% |
| | P-Class | — | — | 0.00%* | 0.00%* | 0.00%* | 0.01% |
| | Institutional Class | — | — | 0.00%* | — | 0.00%* | 0.02% |
g | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods presented would be: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 0.77% | 0.78% | 0.78% | 0.79% | 0.82% | 1.00% |
| | C-Class | 1.52% | 1.53% | 1.53% | 1.54% | 1.57% | 1.75% |
| | P-Class | 0.77% | 0.78% | 0.78% | 0.79% | 0.80% | 0.99% |
| | Institutional Class | 0.48% | 0.49% | 0.49% | 0.50% | 0.52% | 0.68% |
62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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
Investments |
Fixed Income Instruments | |
AAA | 35.0% |
AA | 37.6% |
A | 9.6% |
BBB | 2.6% |
BB | 0.6% |
NR2 | 0.2% |
Other Instruments | 14.4% |
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) |
El Camino Healthcare District General Obligation Unlimited | 3.3% |
Freddie Mac Multifamily ML Certificates Revenue Bonds, 2.49% | 3.3% |
Denton County Housing Finance Corp. Revenue Bonds, 2.15% | 2.8% |
Freddie Mac Multifamily, 1.90% | 2.7% |
Ysleta Independent School District General Obligation Unlimited, 4.00% | 2.4% |
City of Phoenix Civic Improvement Corp. Revenue Bonds, 5.00% | 2.4% |
Stockton Unified School District General Obligation Unlimited | 2.2% |
Dayton-Montgomery County Port Authority Revenue Bonds, 1.83% | 2.2% |
Freddie Mac Multifamily Variable Rate Certificate Revenue Bonds, 3.15% | 2.1% |
Illinois Finance Authority Revenue Bonds, 5.00% | 2.0% |
Top Ten Total | 25.4% |
| | |
“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 SEMI-ANNUAL REPORT | 63 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares~ | (8.49%) | (7.58%) | 1.85% | 2.69% |
A-Class Shares with sales charge‡ | (12.14%) | (11.28%) | 1.01% | 2.19% |
C-Class Shares | (8.84%) | (8.28%) | 1.09% | 1.92% |
C-Class Shares with CDSC§ | (9.74%) | (9.18%) | 1.09% | 1.92% |
Institutional Class Shares | (8.37%) | (7.35%) | 2.10% | 2.94% |
Bloomberg Municipal Bond Index | (5.55%) | (4.47%) | 2.52% | 2.88% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(05/01/15) |
P-Class Shares | (8.50%) | (7.65%) | 1.84% | 1.66% |
Bloomberg Municipal Bond Index | (5.55%) | (4.47%) | 2.52% | 2.51% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | 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. |
64 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
MUNICIPAL INCOME FUND | |
| | Shares | | | Value | |
CLOSED-END FUNDS† - 11.7% |
BlackRock MuniYield Quality Fund, Inc. | | | 71,298 | | | $ | 983,200 | |
BlackRock MuniVest Fund, Inc. | | | 90,025 | | | | 734,604 | |
BlackRock Municipal Income Quality Trust | | | 54,336 | | | | 718,865 | |
Nuveen California Quality Municipal Income Fund | | | 49,986 | | | | 655,816 | |
DWS Municipal Income Trust | | | 53,020 | | | | 551,938 | |
BlackRock MuniHoldings Investment Quality Fund | | | 41,237 | | | | 505,566 | |
Eaton Vance Municipal Income Trust | | | 40,499 | | | | 479,508 | |
Invesco Trust for Investment Grade Municipals | | | 40,355 | | | | 468,925 | |
Invesco Municipal Trust | | | 36,338 | | | | 418,251 | |
Nuveen Quality Municipal Income Fund | | | 30,461 | | | | 406,959 | |
Nuveen AMT-Free Quality Municipal Income Fund | | | 29,451 | | | | 386,986 | |
BlackRock MuniHoldings California Quality Fund, Inc. | | | 23,649 | | | | 309,329 | |
BlackRock MuniYield California Quality Fund, Inc. | | | 20,580 | | | | 270,421 | |
Nuveen California AMT-Free Quality Municipal Income Fund | | | 18,593 | | | | 252,121 | |
BNY Mellon Strategic Municipals, Inc. | | | 25,495 | | | | 183,309 | |
Total Closed-End Funds | | | | |
(Cost $7,809,711) | | | | | | | 7,325,798 | |
| | | | | | | | | |
MONEY MARKET FUND† - 0.7% |
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 0.15%1 | | | 427,915 | | | | 427,915 | |
Total Money Market Fund | | | | |
(Cost $427,915) | | | | | | | 427,915 | |
| | | Face
Amount | | | | | |
MUNICIPAL BONDS†† - 79.3% |
California - 21.6% | | | | | | | | |
El Camino Healthcare District General Obligation Unlimited | | | | | | | | |
due 08/01/292 | | $ | 2,500,000 | | | | 2,036,970 | |
Stockton Unified School District General Obligation Unlimited | | | | | | | | |
due 08/01/332 | | | 2,000,000 | | | | 1,378,294 | |
due 08/01/372 | | | 810,000 | | | | 474,394 | |
due 08/01/422 | | | 250,000 | | | | 118,383 | |
City of Los Angeles Department of Airports Revenue Bonds | | | | | | | | |
5.00% due 05/15/39 | | | 1,000,000 | | | | 1,155,418 | |
5.00% due 05/15/44 | | | 100,000 | | | | 112,818 | |
Los Angeles Department of Water & Power Revenue Bonds | | | | | | | | |
5.00% due 07/01/50 | | | 1,000,000 | | | | 1,159,881 | |
San Diego Unified School District General Obligation Unlimited | | | | | | | | |
due 07/01/462 | | | 1,360,000 | | | | 577,786 | |
due 07/01/392 | | | 1,000,000 | | | | 511,911 | |
Sierra Joint Community College District School Facilities District No. 1 General Obligation Unlimited | | | | | | | | |
due 08/01/312 | | | 705,000 | | | | 528,337 | |
due 08/01/302 | | | 415,000 | | | | 322,589 | |
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited | | | | | | | | |
due 08/01/423,6 | | | 1,000,000 | | | | 832,434 | |
Newport Mesa Unified School District General Obligation Unlimited | | | | | | | | |
due 08/01/392 | | | 1,300,000 | | | | 688,194 | |
Sonoma Valley Unified School District General Obligation Unlimited | | | | | | | | |
4.00% due 08/01/44 | | | 600,000 | | | | 639,345 | |
Compton Unified School District General Obligation Unlimited | | | | | | | | |
due 06/01/402 | | | 1,000,000 | | | | 485,791 | |
Delhi Unified School District General Obligation Unlimited | | | | | | | | |
5.00% due 08/01/44 | | | 250,000 | | | | 280,318 | |
Gustine Unified School District General Obligation Unlimited | | | | | | | | |
5.00% due 08/01/41 | | | 220,000 | | | | 242,889 | |
El Monte Union High School District General Obligation Unlimited | | | | | | | | |
due 06/01/432 | | | 500,000 | | | | 238,290 | |
Stockton Public Financing Authority Revenue Bonds | | | | | | | | |
5.00% due 10/01/33 | | | 200,000 | | | | 231,377 | |
Upland Unified School District General Obligation Unlimited | | | | | | | | |
due 08/01/382 | | | 400,000 | | | | 225,159 | |
M-S-R Energy Authority Revenue Bonds | | | | | | | | |
6.13% due 11/01/29 | | | 190,000 | | | | 218,638 | |
Westside Elementary School District General Obligation Unlimited | | | | | | | | |
5.00% due 08/01/48 | | | 155,000 | | | | 172,880 | |
Rio Hondo Community College District General Obligation Unlimited | | | | | | | | |
due 08/01/292 | | | 200,000 | | | | 164,496 | |
Freddie Mac Multifamily VRD Certificates Revenue Bonds | | | | | | | | |
2.40% due 10/15/29 | | | 150,000 | | | | 146,224 | |
Coast Community College District General Obligation Unlimited | | | | | | | | |
due 08/01/402 | | | 250,000 | | | | 130,792 | |
Buena Park School District General Obligation Unlimited | | | | | | | | |
5.00% due 08/01/47 | | | 100,000 | | | | 113,621 | |
Department of Veterans Affairs Veteran’s Farm & Home Purchase Program Revenue Bonds | | | | | | | | |
3.45% due 12/01/39 | | | 110,000 | | | | 112,057 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MUNICIPAL INCOME FUND | |
| | Face
Amount | | | Value | |
Oakland Unified School District/Alameda County General Obligation Unlimited | | | | | | | | |
5.00% due 08/01/22 | | $ | 90,000 | | | $ | 91,166 | |
Roseville Joint Union High School District General Obligation Unlimited | | | | | | | | |
due 08/01/302 | | | 100,000 | | | | 78,437 | |
Total California | | | | | | | 13,468,889 | |
| | | | | | | | | |
Texas - 14.2% | | | | | | | | |
Denton County Housing Finance Corp. Revenue Bonds | | | | | | | | |
2.15% due 11/01/38 | | | 2,000,000 | | | | 1,745,923 | |
Ysleta Independent School District General Obligation Unlimited | | | | | | | | |
4.00% due 08/15/52 | | | 1,400,000 | | | | 1,496,849 | |
Central Texas Regional Mobility Authority Revenue Bonds | | | | | | | | |
5.00% due 01/01/45 | | | 1,250,000 | | | | 1,410,797 | |
Cleveland Independent School District General Obligation Unlimited | | | | | | | | |
4.00% due 02/15/52 | | | 1,000,000 | | | | 1,080,653 | |
North Texas Tollway Authority Revenue Bonds | | | | | | | | |
due 01/01/362 | | | 1,000,000 | | | | 639,268 | |
Southwest Independent School District General Obligation Unlimited | | | | | | | | |
due 02/01/422 | | | 500,000 | | | | 237,364 | |
Lindale Independent School District General Obligation Unlimited | | | | | | | | |
5.00% due 02/15/49 | | | 200,000 | | | | 228,935 | |
United Independent School District General Obligation Unlimited | | | | | | | | |
5.00% due 08/15/49 | | | 200,000 | | | | 228,935 | |
Harris County-Houston Sports Authority Revenue Bonds | | | | | | | | |
due 11/15/532 | | | 1,000,000 | | | | 227,986 | |
Bexar County Health Facilities Development Corp. Revenue Bonds | | | | | | | | |
5.00% due 07/15/22 | | | 225,000 | | | | 226,658 | |
Clifton Higher Education Finance Corp. Revenue Bonds | | | | | | | | |
4.00% due 08/15/33 | | | 200,000 | | | | 220,549 | |
Arlington Higher Education Finance Corp. Revenue Bonds | | | | | | | | |
5.00% due 12/01/46 | | | 200,000 | | | | 214,717 | |
Grand Parkway Transportation Corp. Revenue Bonds | | | | | | | | |
5.00% due 10/01/43 | | | 175,000 | | | | 196,475 | |
Texas Municipal Gas Acquisition and Supply Corporation I Revenue Bonds | | | | | | | | |
6.25% due 12/15/26 | | | 135,000 | | | | 148,123 | |
Hutto Independent School District General Obligation Unlimited | | | | | | | | |
5.00% due 08/01/49 | | | 100,000 | | | | 114,385 | |
Mansfield Independent School District General Obligation Unlimited | | | | | | | | |
5.00% due 02/15/44 | | | 100,000 | | | | 113,971 | |
University of North Texas System Revenue Bonds | | | | | | | | |
5.00% due 04/15/44 | | | 100,000 | | | | 112,846 | |
City of Arlington Texas Special Tax Revenue Special Tax | | | | | | | | |
5.00% due 02/15/48 | | | 100,000 | | | | 112,252 | |
Central Texas Turnpike System Revenue Bonds | | | | | | | | |
5.00% due 08/15/41 | | | 25,000 | | | | 25,355 | |
5.00% due 08/15/22 | | | 10,000 | | | | 10,142 | |
Tarrant County Health Facilities Development Corp. Revenue Bonds | | | | | | | | |
6.00% due 09/01/24 | | | 10,000 | | | | 10,496 | |
San Antonio Education Facilities Corp. Revenue Bonds | | | | | | | | |
5.00% due 06/01/23 | | | 10,000 | | | | 10,285 | |
Leander Independent School District General Obligation Unlimited | | | | | | | | |
due 08/15/222 | | | 5,000 | | | | 3,078 | |
due 08/15/242 | | | 5,000 | | | | 2,804 | |
Total Texas | | | | | | | 8,818,846 | |
| | | | | | | | | |
Arizona - 5.1% | | | | | | | | |
City of Phoenix Civic Improvement Corp. Revenue Bonds | | | | | | | | |
5.00% due 07/01/45 | | | 1,250,000 | | | | 1,477,386 | |
Arizona Industrial Development Authority Revenue Bonds | | | | | | | | |
2.12% due 07/01/37 | | | 1,170,053 | | | | 1,033,183 | |
Maricopa County Industrial Development Authority Revenue Bonds | | | | | | | | |
5.00% due 01/01/41 | | | 250,000 | | | | 279,030 | |
Salt Verde Financial Corp. Revenue Bonds | | | | | | | | |
5.00% due 12/01/32 | | | 200,000 | | | | 231,508 | |
Pinal County Elementary School District No. 4 Casa Grande General Obligation Unlimited | | | | | | | | |
5.00% due 07/01/37 | | | 100,000 | | | | 115,539 | |
Total Arizona | | | | | | | 3,136,646 | |
| | | | | | | | | |
New York - 4.0% | | | | | | | | |
New York City Municipal Water Finance Authority Revenue Bonds | | | | | | | | |
5.00% due 06/15/49 | | | 1,000,000 | | | | 1,138,400 | |
New York City Industrial Development Agency Revenue Bonds | | | | | | | | |
4.00% due 03/01/32 | | | 500,000 | | | | 539,592 | |
New York Transportation Development Corp. Revenue Bonds | | | | | | | | |
5.00% due 12/01/22 | | | 250,000 | | | | 254,560 | |
5.00% due 07/01/34 | | | 200,000 | | | | 210,063 | |
New York State Dormitory Authority Revenue Bonds | | | | | | | | |
4.00% due 08/01/43 | | | 250,000 | | | | 268,148 | |
New York Power Authority Revenue Bonds | | | | | | | | |
4.00% due 11/15/45 | | | 100,000 | | | | 106,216 | |
Total New York | | | | | | | 2,516,979 | |
| | | | | | | | | |
66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MUNICIPAL INCOME FUND | |
| | Face
Amount | | | Value | |
Illinois - 3.6% | | | | | | | | |
Illinois Finance Authority Revenue Bonds | | | | | | | | |
5.00% due 10/01/37 | | $ | 1,000,000 | | | $ | 1,236,291 | |
5.00% due 10/01/38 | | | 250,000 | | | | 311,202 | |
City of Chicago Illinois Wastewater Transmission Revenue Bonds | | | | | | | | |
5.25% due 01/01/42 | | | 400,000 | | | | 451,555 | |
University of Illinois Revenue Bonds | | | | | | | | |
6.00% due 10/01/29 | | | 200,000 | | | | 210,502 | |
County of State Clair Illinois Highway Revenue Bonds | | | | | | | | |
4.25% due 01/01/23 | | | 40,000 | | | | 40,813 | |
Total Illinois | | | | | | | 2,250,363 | |
| | | | | | | | | |
Tennessee - 3.0% | | | | | | | | |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds | | | | | | | | |
2.25% due 07/01/45 | | | 1,500,000 | | | | 1,225,731 | |
City of Shelbyville & Bedford County Health Educational & Housing Facility Board Revenue Bonds | | | | | | | | |
2.21% due 06/01/38 | | | 500,000 | | | | 436,725 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds | | | | | | | | |
2.48% due 12/01/37 | | | 200,000 | | | | 181,776 | |
Total Tennessee | | | | | | | 1,844,232 | |
| | | | | | | | | |
Ohio - 2.9% | | | | | | | | |
Dayton-Montgomery County Port Authority Revenue Bonds | | | | | | | | |
1.83% due 09/01/38 | | | 1,600,000 | | | | 1,362,231 | |
County of Miami Ohio Revenue Bonds | | | | | | | | |
5.00% due 08/01/33 | | | 200,000 | | | | 228,391 | |
American Municipal Power, Inc. Revenue Bonds | | | | | | | | |
5.00% due 02/15/41 | | | 200,000 | | | | 217,545 | |
City of Middleburg Heights Ohio Revenue Bonds | | | | | | | | |
5.00% due 08/01/22 | | | 15,000 | | | | 15,043 | |
Total Ohio | | | | | | | 1,823,210 | |
| | | | | | | | | |
Oregon - 2.9% | | | | | | | | |
Clackamas & Washington Counties School District No. 3 General Obligation Unlimited | | | | | | | | |
due 06/15/482 | | | 2,000,000 | | | | 722,542 | |
due 06/15/502 | | | 400,000 | | | | 132,302 | |
due 06/15/492 | | | 350,000 | | | | 120,979 | |
Salem-Keizer School District No. 24J General Obligation Unlimited | | | | | | | | |
due 06/15/402 | | | 1,250,000 | | | | 678,416 | |
University of Oregon Revenue Bonds | | | | | | | | |
5.00% due 04/01/48 | | | 100,000 | | | | 113,151 | |
Total Oregon | | | | | | | 1,767,390 | |
| | | | | | | | | |
Virginia - 2.4% | | | | | | | | |
Freddie Mac Multifamily Variable Rate Certificate Revenue Bonds | | | | | | | | |
3.15% due 10/15/36 | | | 1,300,000 | | | | 1,301,496 | |
Loudoun County Economic Development Authority Revenue Bonds | | | | | | | | |
due 07/01/492 | | | 500,000 | | | | 203,171 | |
City of Norfolk Virginia General Obligation Unlimited | | | | | | | | |
2.50% due 10/01/463 | | | 5,000 | | | | 4,982 | |
Total Virginia | | | | | | | 1,509,649 | |
| | | | | | | | | |
Colorado - 2.2% | | | | | | | | |
E-470 Public Highway Authority Revenue Bonds | | | | | | | | |
5.00% due 09/01/36 | | | 650,000 | | | | 764,312 | |
City & County of Denver Colorado Airport System Revenue Bonds | | | | | | | | |
5.00% due 12/01/28 | | | 200,000 | | | | 226,824 | |
City & County of Denver Colorado Revenue Bonds | | | | | | | | |
due 08/01/302 | | | 200,000 | | | | 154,365 | |
Colorado Educational & Cultural Facilities Authority Revenue Bonds | | | | | | | | |
5.00% due 03/01/47 | | | 110,000 | | | | 124,418 | |
Colorado School of Mines Revenue Bonds | | | | | | | | |
5.00% due 12/01/47 | | | 100,000 | | | | 113,394 | |
Total Colorado | | | | | | | 1,383,313 | |
| | | | | | | | | |
Georgia - 1.9% | | | | | | | | |
Private Colleges & Universities Authority Revenue Bonds | | | | | | | | |
5.00% due 09/01/48 | | | 1,000,000 | | | | 1,155,332 | |
| | | | | | | | | |
North Carolina - 1.8% | | | | | | | | |
Inlivian Revenue Bonds | | | | | | | | |
2.02% due 04/01/42 | | | 1,000,000 | | | | 806,539 | |
North Carolina Central University Revenue Bonds | | | | | | | | |
5.00% due 04/01/44 | | | 300,000 | | | | 339,027 | |
Total North Carolina | | | | | | | 1,145,566 | |
| | | | | | | | | |
District of Columbia - 1.7% | | | | | | | | |
District of Columbia Revenue Bonds | | | | | | | | |
4.00% due 03/01/39 | | | 1,000,000 | | | | 1,086,362 | |
| | | | | | | | | |
West Virginia - 1.7% | | | | | | | | |
West Virginia University Revenue Bonds | | | | | | | | |
5.00% due 10/01/41 | | | 600,000 | | | | 715,089 | |
West Virginia Hospital Finance Authority Revenue Bonds | | | | | | | | |
5.00% due 06/01/42 | | | 300,000 | | | | 331,850 | |
Total West Virginia | | | | | | | 1,046,939 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MUNICIPAL INCOME FUND | |
| | Face
Amount | | | Value | |
Washington - 1.4% | | | | | | | | |
Yakima & Kittitas Counties School District No. 119 Selah General Obligation Unlimited | | | | | | | | |
5.00% due 12/01/42 | | $ | 200,000 | | | $ | 228,099 | |
County of King Washington Sewer Revenue Bonds | | | | | | | | |
5.00% due 07/01/42 | | | 200,000 | | | | 224,177 | |
Central Puget Sound Regional Transit Authority Revenue Bonds | | | | | | | | |
5.00% due 11/01/41 | | | 200,000 | | | | 222,568 | |
Washington State Convention Center Public Facilities District Revenue Bonds | | | | | | | | |
4.00% due 07/01/48 | | | 210,000 | | | | 214,316 | |
Total Washington | | | | | | | 889,160 | |
| | | | | | | | | |
New Jersey - 1.0% | | | | | | | | |
New Jersey Turnpike Authority Revenue Bonds | | | | | | | | |
5.00% due 01/01/31 | | | 300,000 | | | | 341,447 | |
New Jersey Economic Development Authority Revenue Bonds | | | | | | | | |
5.00% due 06/01/28 | | | 250,000 | | | | 282,626 | |
Total New Jersey | | | | | | | 624,073 | |
| | | | | | | | | |
Oklahoma - 1.0% | | | | | | | | |
Oklahoma Development Finance Authority Revenue Bonds | | | | | | | | |
5.00% due 08/15/28 | | | 350,000 | | | | 396,047 | |
Oklahoma City Airport Trust Revenue Bonds | | | | | | | | |
5.00% due 07/01/30 | | | 200,000 | | | | 224,482 | |
Total Oklahoma | | | | | | | 620,529 | |
| | | | | | | | | |
Michigan - 0.9% | | | | | | | | |
Michigan State Hospital Finance Authority Revenue Bonds | | | | | | | | |
5.00% due 11/15/47 | | | 200,000 | | | | 221,437 | |
Michigan State Housing Development Authority Revenue Bonds | | | | | | | | |
3.35% due 12/01/34 | | | 200,000 | | | | 200,794 | |
Flint Hospital Building Authority Revenue Bonds | | | | | | | | |
5.00% due 07/01/25 | | | 100,000 | | | | 106,876 | |
Total Michigan | | | | | | | 529,107 | |
| | | | | | | | | |
Missouri - 0.7% | | | | | | | | |
Industrial Development Authority of the City of State Louis Missouri Revenue Bonds | | | | | | | | |
2.22% due 12/01/38 | | | 498,066 | | | | 443,587 | |
| | | | | | | | | |
Arkansas - 0.6% | | | | | | | | |
County of Baxter Arkansas Revenue Bonds | | | | | | | | |
5.00% due 09/01/26 | | | 330,000 | | | | 361,002 | |
| | | | | | | | | |
Louisiana - 0.5% | | | | | | | | |
City of Shreveport Louisiana Water & Sewer Revenue Bonds | | | | | | | | |
5.00% due 12/01/35 | | | 250,000 | | | | 281,429 | |
Louisiana Public Facilities Authority Revenue Bonds | | | | | | | | |
5.00% due 05/15/26 | | | 5,000 | | | | 5,492 | |
Total Louisiana | | | | | | | 286,921 | |
| | | | | | | | | |
Alaska - 0.5% | | | | | | | | |
University of Alaska Revenue Bonds | | | | | | | | |
5.00% due 10/01/40 | | | 260,000 | | | | 286,793 | |
| | | | | | | | | |
South Carolina - 0.4% | | | | | | | | |
Charleston County Airport District Revenue Bonds | | | | | | | | |
5.00% due 07/01/43 | | | 200,000 | | | | 227,197 | |
| | | | | | | | | |
Nebraska - 0.4% | | | | | | | | |
Central Plains Energy Project Revenue Bonds | | | | | | | | |
5.00% due 09/01/29 | | | 200,000 | | | | 226,098 | |
| | | | | | | | | |
Connecticut - 0.4% | | | | | | | | |
New Haven Housing Authority Revenue Bonds | | | | | | | | |
2.26% due 05/01/38 | | | 247,765 | | | | 219,840 | |
| | | | | | | | | |
Vermont - 0.3% | | | | | | | | |
Vermont Educational & Health Buildings Financing Agency Revenue Bonds | | | | | | | | |
5.00% due 12/01/46 | | | 200,000 | | | | 218,624 | |
| | | | | | | | | |
Massachusetts - 0.3% | | | | | | | | |
Massachusetts Development Finance Agency Revenue Bonds | | | | | | | | |
5.00% due 10/01/34 | | | 150,000 | | | | 176,834 | |
| | | | | | | | | |
South Dakota - 0.3% | | | | | | | | |
South Dakota Board of Regents Housing & Auxiliary Facilities System Revenue Bonds | | | | | | | | |
5.00% due 04/01/34 | | | 150,000 | | | | 170,643 | |
| | | | | | | | | |
Florida - 0.2% | | | | | | | | |
Greater Orlando Aviation Authority Revenue Bonds | | | | | | | | |
5.00% due 10/01/32 | | | 100,000 | | | | 113,650 | |
Tampa-Hillsborough County Expressway Authority Revenue Bonds | | | | | | | | |
5.00% due 07/01/22 | | | 20,000 | | | | 19,992 | |
Florida Higher Educational Facilities Financial Authority Revenue Bonds | | | | | | | | |
3.00% due 12/01/22 | | | 15,000 | | | | 15,011 | |
Total Florida | | | | | | | 148,653 | |
| | | | | | | | | |
Pennsylvania - 0.2% | | | | | | | | |
Allegheny County Hospital Development Authority Revenue Bonds | | | | | | | | |
5.00% due 07/15/32 | | | 100,000 | | | | 115,608 | |
Owen J Roberts School District General Obligation Unlimited | | | | | | | | |
5.00% due 05/15/23 | | | 25,000 | | | | 25,931 | |
68 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MUNICIPAL INCOME FUND | |
| | Face
Amount | | | Value | |
City of Erie Pennsylvania General Obligation Unlimited | | | | | | | | |
3.10% due 11/15/22 | | $ | 5,000 | | | $ | 5,004 | |
Total Pennsylvania | | | | | | | 146,543 | |
| | | | | | | | | |
Idaho - 0.2% | | | | | | | | |
Idaho Housing & Finance Association Revenue Bonds | | | | | | | | |
5.00% due 07/15/30 | | | 100,000 | | | | 117,878 | |
| | | | | | | | | |
Rhode Island - 0.2% | | | | | | | | |
Rhode Island Health and Educational Building Corp. Revenue Bonds | | | | | | | | |
5.00% due 05/15/42 | | | 100,000 | | | | 114,849 | |
| | | | | | | | | |
Montana - 0.2% | | | | | | | | |
Montana State Board of Regents Revenue Bonds | | | | | | | | |
5.00% due 11/15/43 | | | 100,000 | | | | 114,064 | |
| | | | | | | | | |
Kansas - 0.2% | | | | | | | | |
University of Kansas Hospital Authority Revenue Bonds | | | | | | | | |
5.00% due 09/01/48 | | | 100,000 | | | | 113,767 | |
| | | | | | | | | |
Utah - 0.2% | | | | | | | | |
South Davis Metro Fire Service Area Revenue Bonds | | | | | | | | |
5.00% due 12/01/34 | | | 100,000 | | | | 112,909 | |
| | | | | | | | | |
Iowa - 0.2% | | | | | | | | |
PEFA, Inc. Revenue Bonds | | | | | | | | |
5.00% due 09/01/264 | | | 100,000 | | | | 108,094 | |
| | | | | | | | | |
New Hampshire - 0.1% | | | | | | | | |
New Hampshire Health and Education Facilities Authority Act Revenue Bonds | | | | | | | | |
5.00% due 01/01/23 | | | 60,000 | | | | 61,573 | |
| | | | | | | | | |
Maryland - 0.0% | | | | | | | | |
Maryland Health & Higher Educational Facilities Authority Revenue Bonds | | | | | | | | |
5.00% due 07/01/22 | | | 15,000 | | | | 14,996 | |
4.25% due 07/01/22 | | | 10,000 | | | | 9,974 | |
4.00% due 07/01/22 | | | 10,000 | | | | 9,968 | |
5.00% due 07/01/27 | | | 5,000 | | | | 5,359 | |
Total Maryland | | | | | | | 40,297 | |
| | | | | | | | | |
New Mexico - 0.0% | | | | | | | | |
City of Albuquerque New Mexico Revenue Bonds | | | | | | | | |
5.00% due 07/01/25 | | | 30,000 | | | | 31,365 | |
Total New Mexico | | | | | | | 31,365 | |
| | | | | | | | | |
Wisconsin - 0.0% | | | | | | | | |
State of Wisconsin General Obligation Unlimited | | | | | | | | |
5.00% due 05/01/22 | | | 25,000 | | | | 25,078 | |
| | | | | |
Total Municipal Bonds | | | | |
(Cost $52,823,161) | | | 49,369,194 | |
| |
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 6.0% |
Government Agency - 6.0% | | | | | | | | |
Freddie Mac Multifamily ML Certificates Revenue Bonds | | | | | | | | |
2.49% due 07/25/35 | | | 2,181,595 | | | | 2,035,119 | |
Freddie Mac Multifamily | | | | | | | | |
1.90% due 11/25/37 | | | 1,974,088 | | | | 1,706,383 | |
Total Collateralized Mortgage Obligations | | | | |
(Cost $4,314,769) | | | 3,741,502 | |
| | | | | |
U.S. TREASURY BILLS†† - 1.9% |
U.S. Treasury Bills |
0.22% due 05/05/225 | | | 450,000 | | | | 449,937 | |
0.05% due 06/16/225 | | | 400,000 | | | | 399,650 | |
0.08% due 05/19/225 | | | 205,000 | | | | 204,932 | |
0.07% due 05/19/225 | | | 65,000 | | | | 64,978 | |
0.02% due 04/21/225 | | | 56,000 | | | | 55,996 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,175,833) | | | | | | | 1,175,493 | |
| | | | | | | | | |
Total Investments - 99.6% | | | | |
(Cost $66,551,389) | | $ | 62,039,902 | |
Other Assets & Liabilities, net - 0.4% | | | 221,681 | |
Total Net Assets - 100.0% | | $ | 62,261,583 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
MUNICIPAL INCOME FUND | |
Centrally Cleared Interest Rate Swap Agreements†† |
| |
Counterparty | Exchange | Floating
Rate
Type | Floating
Rate Index | | Fixed
Rate | | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid
(Received) | | | Unrealized
Appreciation** | |
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.67% | Quarterly | 09/27/51 | | $ | 2,850,000 | | | $ | 377,351 | | | $ | 344 | | | $ | 377,007 | |
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.21% | Quarterly | 11/24/50 | | | 1,600,000 | | | | 365,168 | | | | 313 | | | | 364,855 | |
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.28% | Quarterly | 11/04/50 | | | 1,200,000 | | | | 257,388 | | | | 306 | | | | 257,082 | |
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 1.29% | Annually | 12/07/51 | | | 1,400,000 | | | | 216,508 | | | | 321 | | | | 216,187 | |
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.60% | Quarterly | 08/06/51 | | | 1,300,000 | | | | 190,027 | | | | 316 | | | | 189,711 | |
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.85% | Quarterly | 11/18/51 | | | 800,000 | | | | 72,640 | | | | 310 | | | | 72,330 | |
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 1.48% | Annually | 01/27/29 | | | 1,350,000 | | | | 56,019 | | | | 300 | | | | 55,719 | |
| | | | | | | | | | | | | | | | | | | | | | $ | 1,535,101 | | | $ | 2,210 | | | $ | 1,532,891 | |
** | 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 March 31, 2022. |
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 March 31, 2022. 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 March 31, 2022. |
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 |
| | LIBOR — London Interbank Offered Rate |
| | |
| | See Sector Classification in Other Information section. |
70 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
MUNICIPAL INCOME FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Closed-End Funds | | $ | 7,325,798 | | | $ | — | | | $ | — | | | $ | 7,325,798 | |
Money Market Fund | | | 427,915 | | | | — | | | | — | | | | 427,915 | |
Municipal Bonds | | | — | | | | 49,369,194 | | | | — | | | | 49,369,194 | |
Collateralized Mortgage Obligations | | | — | | | | 3,741,502 | | | | — | | | | 3,741,502 | |
U.S. Treasury Bills | | | — | | | | 1,175,493 | | | | — | | | | 1,175,493 | |
Interest Rate Swap Agreements** | | | — | | | | 1,532,891 | | | | — | | | | 1,532,891 | |
Total Assets | | $ | 7,753,713 | | | $ | 55,819,080 | | | $ | — | | | $ | 63,572,793 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
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 Reset Date | | | Next Rate
Reset Date | | | 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 | | | | — | | | | — | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 71 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
March 31, 2022 |
Assets: |
Investments, at value (cost $66,551,389) | | $ | 62,039,902 | |
Cash | | | 899 | |
Unamortized upfront premiums paid on interest rate swap agreements | | | 2,210 | |
Prepaid expenses | | | 56,856 | |
Receivables: |
Interest | | | 337,127 | |
Dividends | | | 22,422 | |
Fund shares sold | | | 290 | |
Total assets | | | 62,459,706 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 1,424 | |
Payable for: |
Variation margin on interest rate swap agreements | | | 108,354 | |
Fund shares redeemed | | | 26,864 | |
Pricing fees | | | 15,316 | |
Distribution and service fees | | | 12,997 | |
Distributions to shareholders | | | 7,322 | |
Fund accounting/administration fees | | | 5,332 | |
Trustees’ fees* | | | 4,269 | |
Transfer agent/maintenance fees | | | 3,883 | |
Management fees | | | 1,207 | |
Miscellaneous | | | 11,155 | |
Total liabilities | | | 198,123 | |
Net assets | | $ | 62,261,583 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 64,815,872 | |
Total distributable earnings (loss) | | | (2,554,289 | ) |
Net assets | | $ | 62,261,583 | |
| | | | | |
A-Class: |
Net assets | | $ | 52,063,693 | |
Capital shares outstanding | | | 4,276,558 | |
Net asset value per share | | $ | 12.17 | |
Maximum offering price per share (Net asset value divided by 96.00%) | | $ | 12.68 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,746,413 | |
Capital shares outstanding | | | 143,561 | |
Net asset value per share | | $ | 12.16 | |
| | | | | |
P-Class: |
Net assets | | $ | 137,925 | |
Capital shares outstanding | | | 11,338 | |
Net asset value per share | | $ | 12.16 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 8,313,552 | |
Capital shares outstanding | | | 682,926 | |
Net asset value per share | | $ | 12.17 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended March 31, 2022 |
Investment Income: |
Dividends | | | 188,482 | |
Interest | | | 708,199 | |
Total investment income | | | 896,681 | |
| | | | | |
Expenses: |
Management fees | | | 179,763 | |
Distribution and service fees: |
A-Class | | | 72,051 | |
C-Class | | | 9,714 | |
P-Class | | | 259 | |
Transfer agent/maintenance fees: |
A-Class | | | 19,951 | |
C-Class | | | 1,290 | |
P-Class | | | 284 | |
Institutional Class | | | 8,666 | |
Registration fees | | | 28,229 | |
Fund accounting/administration fees | | | 27,265 | |
Professional fees | | | 14,045 | |
Trustees’ fees* | | | 8,929 | |
Custodian fees | | | 2,862 | |
Line of credit fees | | | 2,498 | |
Interest expense | | | 130 | |
Miscellaneous | | | 18,828 | |
Recoupment of previously waived fees: |
A-Class | | | 1,021 | |
Total expenses | | | 395,785 | |
Less: |
Expenses reimbursed by Adviser: |
A-Class | | | (22,609 | ) |
C-Class | | | (1,376 | ) |
P-Class | | | (291 | ) |
Institutional Class | | | (9,037 | ) |
Expenses waived by Adviser | | | (85,488 | ) |
Total waived/reimbursed expenses | | | (118,801 | ) |
Net expenses | | | 276,984 | |
Net investment income | | | 619,697 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 376,053 | |
Swap agreements | | | 4,654 | |
Net realized gain | | | 380,707 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (7,813,372 | ) |
Swap agreements | | | 875,989 | |
Net change in unrealized appreciation (depreciation) | | | (6,937,383 | ) |
Net realized and unrealized loss | | | (6,556,676 | ) |
Net decrease in net assets resulting from operations | | $ | (5,936,979 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
72 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 619,697 | | | $ | 1,442,781 | |
Net realized gain on investments | | | 380,707 | | | | 360,400 | |
Net change in unrealized appreciation (depreciation) on investments | | | (6,937,383 | ) | | | 1,033,570 | |
Net increase (decrease) in net assets resulting from operations | | | (5,936,979 | ) | | | 2,836,751 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (692,216 | ) | | | (1,163,850 | ) |
C-Class | | | (16,269 | ) | | | (21,932 | ) |
P-Class | | | (2,532 | ) | | | (3,987 | ) |
Institutional Class | | | (167,619 | ) | | | (298,334 | ) |
Total distributions to shareholders | | | (878,636 | ) | | | (1,488,103 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 4,356,209 | | | | 5,705,743 | |
C-Class | | | 420,403 | | | | 15,573 | |
P-Class | | | 3,982 | | | | 56,120 | |
Institutional Class | | | 2,746,076 | | | | 6,430,829 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 629,682 | | | | 1,058,269 | |
C-Class | | | 15,299 | | | | 20,578 | |
P-Class | | | 2,532 | | | | 3,987 | |
Institutional Class | | | 164,997 | | | | 294,007 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (10,783,631 | ) | | | (7,038,305 | ) |
C-Class | | | (256,406 | ) | | | (481,275 | ) |
P-Class | | | (69,745 | ) | | | (44,766 | ) |
Institutional Class | | | (6,271,928 | ) | | | (7,617,977 | ) |
Net decrease from capital share transactions | | | (9,042,530 | ) | | | (1,597,217 | ) |
Net decrease in net assets | | | (15,858,145 | ) | | | (248,569 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 78,119,728 | | | | 78,368,297 | |
End of period | | $ | 62,261,583 | | | $ | 78,119,728 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 326,352 | | | | 421,464 | |
C-Class | | | 31,244 | | | | 1,157 | |
P-Class | | | 301 | | | | 4,134 | |
Institutional Class | | | 205,551 | | | | 478,875 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 47,831 | | | | 78,479 | |
C-Class | | | 1,159 | | | | 1,529 | |
P-Class | | | 192 | | | | 296 | |
Institutional Class | | | 12,510 | | | | 21,808 | |
Shares redeemed | | | | | | | | |
A-Class | | | (804,802 | ) | | | (524,684 | ) |
C-Class | | | (20,352 | ) | | | (35,903 | ) |
P-Class | | | (5,506 | ) | | | (3,349 | ) |
Institutional Class | | | (484,029 | ) | | | (565,459 | ) |
Net decrease in shares | | | (689,549 | ) | | | (121,653 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 73 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 13.46 | | | $ | 13.23 | | | $ | 13.12 | | | $ | 12.46 | | | $ | 12.70 | | | $ | 12.86 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .11 | | | | .25 | | | | .26 | | | | .30 | | | | .30 | | | | .27 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.24 | ) | | | .23 | | | | .11 | | | | .70 | | | | (.24 | ) | | | (.15 | ) |
Total from investment operations | | | (1.13 | ) | | | .48 | | | | .37 | | | | 1.00 | | | | .06 | | | | .12 | |
Less distributions from: |
Net investment income | | | (.10 | ) | | | (.23 | ) | | | (.26 | ) | | | (.30 | ) | | | (.30 | ) | | | (.28 | ) |
Net realized gains | | | (.06 | ) | | | (.02 | ) | | | — | | | | (.04 | ) | | | — | | | | — | |
Total distributions | | | (.16 | ) | | | (.25 | ) | | | (.26 | ) | | | (.34 | ) | | | (.30 | ) | | | (.28 | ) |
Net asset value, end of period | | $ | 12.17 | | | $ | 13.46 | | | $ | 13.23 | | | $ | 13.12 | | | $ | 12.46 | | | $ | 12.70 | |
|
Total Returnc | | | (8.49 | %) | | | 3.67 | % | | | 2.85 | % | | | 8.13 | % | | | 0.44 | % | | | 0.94 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 52,064 | | | $ | 63,359 | | | $ | 62,583 | | | $ | 42,512 | | | $ | 25,570 | | | $ | 33,515 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.71 | % | | | 1.82 | % | | | 1.95 | % | | | 2.31 | % | | | 2.35 | % | | | 2.19 | % |
Total expensesd | | | 1.11 | % | | | 1.17 | % | | | 1.21 | % | | | 1.34 | % | | | 1.30 | % | | | 1.20 | % |
Net expensese,f,g | | | 0.79 | % | | | 0.80 | % | | | 0.81 | % | | | 0.81 | % | | | 0.80 | % | | | 0.82 | % |
Portfolio turnover rate | | | 10 | % | | | 22 | % | | | 58 | % | | | 30 | % | | | 13 | % | | | 31 | % |
C-Class | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 13.45 | | | $ | 13.22 | | | $ | 13.11 | | | $ | 12.45 | | | $ | 12.69 | | | $ | 12.86 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .06 | | | | .15 | | | | .16 | | | | .21 | | | | .20 | | | | .18 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.24 | ) | | | .23 | | | | .11 | | | | .69 | | | | (.24 | ) | | | (.17 | ) |
Total from investment operations | | | (1.18 | ) | | | .38 | | | | .27 | | | | .90 | | | | (.04 | ) | | | .01 | |
Less distributions from: |
Net investment income | | | (.05 | ) | | | (.13 | ) | | | (.16 | ) | | | (.20 | ) | | | (.20 | ) | | | (.18 | ) |
Net realized gains | | | (.06 | ) | | | (.02 | ) | | | — | | | | (.04 | ) | | | — | | | | — | |
Total distributions | | | (.11 | ) | | | (.15 | ) | | | (.16 | ) | | | (.24 | ) | | | (.20 | ) | | | (.18 | ) |
Net asset value, end of period | | $ | 12.16 | | | $ | 13.45 | | | $ | 13.22 | | | $ | 13.11 | | | $ | 12.45 | | | $ | 12.69 | |
|
Total Returnc | | | (8.84 | %) | | | 2.91 | % | | | 2.09 | % | | | 7.33 | % | | | (0.30 | %) | | | 0.12 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,746 | | | $ | 1,769 | | | $ | 2,177 | | | $ | 1,981 | | | $ | 2,403 | | | $ | 3,768 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.96 | % | | | 1.08 | % | | | 1.23 | % | | | 1.63 | % | | | 1.60 | % | | | 1.44 | % |
Total expensesd | | | 1.92 | % | | | 1.97 | % | | | 1.97 | % | | | 2.12 | % | | | 2.11 | % | | | 1.92 | % |
Net expensese,f,g | | | 1.54 | % | | | 1.55 | % | | | 1.56 | % | | | 1.56 | % | | | 1.55 | % | | | 1.57 | % |
Portfolio turnover rate | | | 10 | % | | | 22 | % | | | 58 | % | | | 30 | % | | | 13 | % | | | 31 | % |
74 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 13.45 | | | $ | 13.22 | | | $ | 13.13 | | | $ | 12.46 | | | $ | 12.70 | | | $ | 12.86 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .11 | | | | .25 | | | | .26 | | | | .29 | | | | .29 | | | | .25 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.24 | ) | | | .23 | | | | .09 | | | | .72 | | | | (.23 | ) | | | (.14 | ) |
Total from investment operations | | | (1.13 | ) | | | .48 | | | | .35 | | | | 1.01 | | | | .06 | | | | .11 | |
Less distributions from: |
Net investment income | | | (.10 | ) | | | (.23 | ) | | | (.26 | ) | | | (.30 | ) | | | (.30 | ) | | | (.27 | ) |
Net realized gains | | | (.06 | ) | | | (.02 | ) | | | — | | | | (.04 | ) | | | — | | | | — | |
Total distributions | | | (.16 | ) | | | (.25 | ) | | | (.26 | ) | | | (.34 | ) | | | (.30 | ) | | | (.27 | ) |
Net asset value, end of period | | $ | 12.16 | | | $ | 13.45 | | | $ | 13.22 | | | $ | 13.13 | | | $ | 12.46 | | | $ | 12.70 | |
|
Total Return | | | (8.50 | %) | | | 3.67 | % | | | 2.69 | % | | | 8.20 | % | | | 0.44 | % | | | 0.89 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 138 | | | $ | 220 | | | $ | 202 | | | $ | 207 | | | $ | 37 | | | $ | 111 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.69 | % | | | 1.83 | % | | | 1.96 | % | | | 2.25 | % | | | 2.32 | % | | | 2.01 | % |
Total expensesd | | | 1.31 | % | | | 1.38 | % | | | 1.40 | % | | | 1.55 | % | | | 1.72 | % | | | 1.27 | % |
Net expensese,f,g | | | 0.79 | % | | | 0.80 | % | | | 0.81 | % | | | 0.81 | % | | | 0.80 | % | | | 0.82 | % |
Portfolio turnover rate | | | 10 | % | | | 22 | % | | | 58 | % | | | 30 | % | | | 13 | % | | | 31 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 75 |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 13.46 | | | $ | 13.23 | | | $ | 13.13 | | | $ | 12.46 | | | $ | 12.71 | | | $ | 12.87 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .13 | | | | .28 | | | | .29 | | | | .33 | | | | .33 | | | | .30 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.24 | ) | | | .24 | | | | .10 | | | | .71 | | | | (.25 | ) | | | (.15 | ) |
Total from investment operations | | | (1.11 | ) | | | .52 | | | | .39 | | | | 1.04 | | | | .08 | | | | .15 | |
Less distributions from: |
Net investment income | | | (.12 | ) | | | (.27 | ) | | | (.29 | ) | | | (.33 | ) | | | (.33 | ) | | | (.31 | ) |
Net realized gains | | | (.06 | ) | | | (.02 | ) | | | — | | | | (.04 | ) | | | — | | | | — | |
Total distributions | | | (.18 | ) | | | (.29 | ) | | | (.29 | ) | | | (.37 | ) | | | (.33 | ) | | | (.31 | ) |
Net asset value, end of period | | $ | 12.17 | | | $ | 13.46 | | | $ | 13.23 | | | $ | 13.13 | | | $ | 12.46 | | | $ | 12.71 | |
|
Total Return | | | (8.37 | %) | | | 3.93 | % | | | 3.03 | % | | | 8.48 | % | | | 0.61 | % | | | 1.19 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 8,314 | | | $ | 12,772 | | | $ | 13,406 | | | $ | 13,970 | | | $ | 9,067 | | | $ | 15,914 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.93 | % | | | 2.08 | % | | | 2.23 | % | | | 2.59 | % | | | 2.59 | % | | | 2.43 | % |
Total expensesd | | | 0.93 | % | | | 0.96 | % | | | 1.00 | % | | | 1.08 | % | | | 1.09 | % | | | 0.88 | % |
Net expensese,f,g | | | 0.54 | % | | | 0.55 | % | | | 0.56 | % | | | 0.56 | % | | | 0.55 | % | | | 0.57 | % |
Portfolio turnover rate | | | 10 | % | | | 22 | % | | | 58 | % | | | 30 | % | | | 13 | % | | | 31 | % |
a | Unaudited figures for the period ended March 31, 2022. 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 | 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: |
| | | 03/31/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 0.00%* | — | 0.00%* | 0.00%* | — | — |
| | C-Class | — | — | 0.00%* | — | — | — |
| | P-Class | — | — | 0.00%* | — | — | 0.04% |
| | Institutional Class | — | — | 0.00%* | — | — | — |
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: |
| | | 03/31/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 0.78% | 0.79% | 0.80% | 0.80% | 080% | 0.80% |
| | C-Class | 1.54% | 1.54% | 1.55% | 1.55% | 1.55% | 1.55% |
| | P-Class | 0.78% | 0.79% | 0.80% | 0.80% | 0.80% | 0.80% |
| | Institutional Class | 0.54% | 0.54% | 0.55% | 055% | 0.55% | 0.55% |
76 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
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 March 31, 2022, 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
Company Type |
Diversified Income Fund | Diversified |
High Yield Fund | Diversified |
Core Bond Fund | Diversified |
Municipal Income Fund | Diversified |
Security Investors, LLC and Guggenheim Partners Investment Management, LLC (“GPIM”), which operate under the name Guggenheim Investments, provide 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, 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 SEMI-ANNUAL REPORT | 77 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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.
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 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 a fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s primary exchange on which the swap is traded exchange close price, adjusted for the current day’s spreads.
The values of other 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 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,
78 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 79 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
(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 March 31, 2022, 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 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,
80 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 period ended March 31, 2022, 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 0.33% at March 31, 2022.
(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 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,
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 81 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
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 Purchased | |
Fund | Use | | Call | | | Put | |
Core Bond Fund | Duration, Hedge, Income | | $ | 678,900,000 | | | $ | — | |
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.
82 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 | Duration, Hedge, Income | | $ | 46,452 | | | $ | 9,594,542 | |
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.
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 | | $ | — | | | $ | 9,988,333 | |
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 | |
Core Bond Fund | Hedge | | $ | 427,228 | | | $ | 12,949,640 | |
High Yield Fund | Hedge | | | 18,160 | | | | 7,481,673 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 83 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 March 31, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Interest rate swap contracts | Unamortized upfront premiums paid on interest rate swap agreements | Variation margin 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 March 31, 2022:
Asset Derivative Investments Value |
Fund | | Swaps
Interest
Rate Risk* | | | Options
Written
Equity
Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Options
Purchased
Interest
Rate Risk | | | Total
Value at
March 31,
2022 | |
Core Bond Fund | | $ | — | | | $ | — | | | $ | 2,385 | | | $ | 74,817 | | | $ | 77,202 | |
Municipal Income Fund | | | 1,532,891 | | | | — | | | | — | | | | — | | | | 1,532,891 | |
Liability Derivative Investments Value |
Fund | | Swaps
Interest
Rate Risk* | | | Options
Written
Equity
Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Options
Purchased
Interest
Rate Risk | | | Total
Value at
March 31,
2022 | |
Core Bond Fund | | $ | — | | | $ | 1,057 | | | $ | 119,156 | | | $ | — | | | $ | 120,213 | |
High Yield Fund | | | — | | | | — | | | | 83,947 | | | | — | | | | 83,947 | |
* | 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 period ended March 31, 2022:
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 options purchased |
| | Net change in unrealized appreciation (depreciation) on options purchased |
| | Net realized gain (loss) on options options written |
| | Net change in unrealized appreciation (depreciation) on options written |
Interest rate swap contracts | Net realized gain (loss) on swap agreements |
| | Net change in unrealized appreciation (depreciation) on swap agreements |
84 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 period ended March 31, 2022:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Swaps
Interest
Rate Risk | | | Options
Written
Equity
Risk | | | Options
Purchased
Equity Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Options
Purchased
Interest
Rate Risk | | | Total | |
Core Bond Fund | | $ | (397,242 | ) | | $ | 716,875 | | | $ | (1,536,875 | ) | | $ | 871,449 | | | $ | — | | | $ | (345,793 | ) |
High Yield Fund | | | — | | | | — | | | | — | | | | 474,572 | | | | — | | | | 474,572 | |
Municipal Income Fund | | | 4,654 | | | | — | | | | — | | | | — | | | | — | | | | 4,654 | |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Swaps
Interest
Rate Risk | | | Options
Written
Equity
Risk | | | Options
Purchased
Equity Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Options
Purchased
Interest
Rate Risk | | | Total | |
Core Bond Fund | | $ | (46,436 | ) | | $ | (123,387 | ) | | $ | (140,000 | ) | | $ | (330,627 | ) | | $ | (3,487,266 | ) | | $ | (4,127,716 | ) |
High Yield Fund | | | — | | | | — | | | | — | | | | (198,596 | ) | | | — | | | | (198,596 | ) |
Municipal Income Fund | | | 875,989 | | | | — | | | | — | | | | — | | | | — | | | | 875,989 | |
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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 85 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
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
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Assets1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Assets
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received | | | Net
Amount | |
Core Bond Fund | Forward foreign currency exchange contracts | | $ | 2,385 | | | $ | — | | | $ | 2,385 | | | $ | — | | | $ | — | | | $ | 2,385 | |
Core Bond Fund | Options Purchased | | | 74,817 | | | | — | | | | 74,817 | | | | (61,546 | ) | | | (13,271 | ) | | | — | |
86 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Liabilities
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
High Yield Fund | Forward foreign currency exchange contracts | | $ | 83,947 | | | $ | — | | | $ | 83,947 | | | $ | — | | | $ | — | | | $ | 83,947 | |
Core Bond Fund | Forward foreign currency exchange contracts | | | 119,156 | | | | — | | | | 119,156 | | | | (61,546 | ) | | | — | | | | 57,610 | |
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 March 31, 2022.
Fund | Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Core Bond Fund | Goldman Sachs International | Options | | $ | — | | | $ | 490,000 | |
| Morgan Stanley Capital Services LLC | Options | | | — | | | | 31,331 | |
| | | | | — | | | | 521,331 | |
Municipal Income Fund | BofA Securities, Inc. | Interest rate swap agreements | | | — | | | | 1,424 | |
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.
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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 87 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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
(as a % of Net Assets) | |
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.
88 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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
Date | | | Contract
End Date | |
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 March 31, 2022, 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 | | | 2025 | | | Total | |
Diversified Income Fund | | | | | | | | | | | | | | | | | | | | |
A-Class | | $ | 3,717 | | | $ | 7,853 | | | $ | 8,022 | | | $ | 3,619 | | | $ | 23,211 | |
C-Class | | | 13,191 | | | | 13,188 | | | | 5,885 | | | | 7,489 | | | | 39,753 | |
P-Class | | | 2,908 | | | | 3,667 | | | | 3,708 | | | | 2,014 | | | | 12,297 | |
Institutional Class | | | 127,553 | | | | 161,912 | | | | 164,958 | | | | 62,913 | | | | 517,336 | |
High Yield Fund | | | | | | | | | | | | | | | | | | | | |
A-Class | | | — | | | | — | | | | — | | | | — | | | | — | |
C-Class | | | — | | | | — | | | | — | | | | 637 | | | | 637 | |
P-Class | | | 247 | | | | 1,010 | | | | 1,534 | | | | 1,037 | | | | 3,828 | |
Institutional Class | | | — | | | | — | | | | — | | | | 9,550 | | | | 9,550 | |
R6-Class | | | — | | | | — | | | | — | | | | — | | | | — | |
Core Bond Fund | | | | | | | | | | | | | | | | | | | | |
A-Class | | | 106,515 | | | | 101,962 | | | | 98,028 | | | | 11,565 | | | | 318,070 | |
C-Class | | | 21,980 | | | | 20,037 | | | | 23,013 | | | | 7,511 | | | | 72,541 | |
P-Class | | | 63,053 | | | | 60,229 | | | | 82,001 | | | | 55,263 | | | | 260,546 | |
Institutional Class | | | 504,724 | | | | 633,157 | | | | 1,336,675 | | | | 633,871 | | | | 3,108,427 | |
Municipal Income Fund | | | | | | | | | | | | | | | | | | | | |
A-Class | | | 110,543 | | | | 194,998 | | | | 233,041 | | | | 91,436 | | | | 630,018 | |
C-Class | | | 7,687 | | | | 8,471 | | | | 7,997 | | | | 3,705 | | | | 27,860 | |
P-Class | | | 727 | | | | 1,347 | | | | 1,251 | | | | 534 | | | | 3,859 | |
Institutional Class | | | 41,253 | | | | 57,034 | | | | 57,993 | | | | 23,126 | | | | 179,406 | |
For the period ended March 31, 2022, GI recouped amounts from the Funds as follows:
High Yield Fund | | $ | 29,285 | |
Core Bond Fund | | | 7,362 | |
Municipal Income Fund | | | 1,021 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 89 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 period ended March 31, 2022, the following Funds waived fees related to investments in affiliated funds:
Fund | | Amount Waived | |
Diversified Income Fund | | $ | 24,002 | |
For the period ended March 31, 2022, GFD retained sales charges of $94,675 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 March 31, 2022, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:
Fund | | Percent of Outstanding
Shares Owned | |
Diversified Income Fund | | | 81 | % |
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 period ended March 31, 2022, the following Funds entered into reverse repurchase agreements:
Fund | | Number of Days
Outstanding | | | Balance at
March 31, 2022 | | | Average Balance
Outstanding | | | Average
Interest Rate | |
High Yield Fund | | | 182 | | | $ | 3,685,046 | | | $ | 3,050,339 | | | | -0.72 | % |
Core Bond Fund | | | 165 | | | | 9,593,773 | | | | 77,780,021 | | | | -0.06 | % |
90 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Liabilities
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
High Yield Fund | Reverse repurchase agreements | | $ | 3,685,046 | | | $ | — | | | $ | 3,685,046 | | | $ | (3,685,046 | ) | | $ | — | | | $ | — | |
Core Bond Fund | Reverse repurchase agreements | | | 9,593,773 | | | | — | | | | 9,593,773 | | | | (9,593,773 | ) | | | — | | | | — | |
As of March 31, 2022, the High Yield Fund and the Core Bond Fund had $3,685,046 and $9,593,773, 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 Securities (USA) LLC | (2.00%) - (0.50%) | Open Maturity | | $ | 3,685,046 | |
Core Bond Fund | BofA Securities, Inc. | 0.17% | 04/01/22 | | | 9,593,773 | |
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 | | | Up to
30 days | | | Overnight and
continuous | | | Total | |
High Yield Fund | Corporate Bonds | | $ | — | | | $ | 3,685,046 | | | $ | 3,685,046 | |
Gross amount of recognized liabilities for reverse repurchase agreements | | | $ | — | | | $ | 3,685,046 | | | $ | 3,685,046 | |
Core Bond Fund | Federal Agency Notes | | | 9,593,773 | | | | — | | | | 9,593,773 | |
Gross amount of recognized liabilities for reverse repurchase agreements | | | $ | 9,593,773 | | | | | | | $ | 9,593,773 | |
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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 91 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At March 31, 2022, 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
Cost | | | Tax
Unrealized
Appreciation | | | Tax
Unrealized
Depreciation | | | Net Tax
Unrealized
Appreciation
(Depreciation) | |
Diversified Income Fund | | $ | 8,854,177 | | | $ | 379,551 | | | $ | (344,531 | ) | | $ | 35,020 | |
High Yield Fund | | | 215,002,356 | | | | 2,060,444 | | | | (12,953,531 | ) | | | (10,893,087 | ) |
Core Bond Fund | | | 1,584,464,273 | | | | 5,941,333 | | | | (97,723,414 | ) | | | (91,782,081 | ) |
Municipal Income Fund | | | 66,553,964 | | | | 2,072,864 | | | | (5,054,035 | ) | | | (2,981,171 | ) |
Note 8 – Securities Transactions
For the period ended March 31, 2022, 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 | | $ | 2,371,231 | | | $ | 411,166 | |
High Yield Fund | | | 81,727,519 | | | | 231,649,194 | |
Core Bond Fund | | | 122,518,473 | | | | 184,006,278 | |
Municipal Income Fund | | | 6,936,260 | | | | 14,614,673 | |
For the period ended March 31, 2022, the cost of purchases and proceeds from sales of government securities were as follows:
Fund | | Purchases | | | Sales | |
Core Bond Fund | | $ | 215,650,987 | | | $ | 223,270,228 | |
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 period ended March 31, 2022, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | | Purchases | | | Sales | | | Realized
Gain (Loss) | |
High Yield Fund | | $ | 5,111,412 | | | $ | 85,325,336 | | | $ | (2,517,309 | ) |
Core Bond Fund | | | 2,033,896 | | | | 2,729,437 | | | | 96,636 | |
Note 9 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of March 31, 2022. The Funds are obligated to fund these loan commitments at the borrower’s discretion.
92 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The unfunded loan commitments as of March 31, 2022, were as follows:
Fund | Borrower | | Maturity Date | | | Face Amount | | | Value | |
Core Bond Fund | | | | | | | | | | | | |
| | CTL Logistics | | | 08/10/42 | | | $ | 357,219 | | | $ | 37,135 | |
| | KKR Core Holding Company LLC | | | 07/15/31 | | | | 3,150,000 | | | | — | |
| | Lightning | | | 03/01/37 | | | | 2,652,000 | | | | — | |
| | Service Logic Acquisition, Inc. | | | 10/29/27 | | | | 64,701 | | | | 755 | |
| | Thunderbird | | | 03/01/37 | | | | 2,720,000 | | | | — | |
| | Venture Global Calcasieu Pass LLC | | | 08/19/26 | | | | 90,354 | | | | 452 | |
| | | | | | | | $ | 9,034,274 | | | $ | 38,342 | |
High Yield Fund | | | | | | | | | | | | |
| | Boyd Corp. | | | 07/24/26 | | | | 375,000 | | | | 4,687 | |
| | Confluent Health LLC | | | 11/30/28 | | | | 88,496 | | | | 1,106 | |
| | FR Refuel LLC | | | 11/08/28 | | | | 70,000 | | | | 1,400 | |
| | Pro Mach Group, Inc. | | | 08/31/28 | | | | 48,184 | | | | 267 | |
| | SCP Eye Care Services LLC | | | 03/16/28 | | | | 188,352 | | | | 3,296 | |
| | Taxware Holdings (Sovos Compliance LLC) | | | 08/11/28 | | | | 110,445 | | | | 345 | |
| | | | | | | | $ | 880,477 | | | $ | 11,101 | |
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 | |
Core Bond Fund | Central Storage Safety Project Trust | | | | | | | | | | | | |
| | 4.82% due 02/01/38 | | | 03/20/18 | | | $ | 962,868 | | | $ | 844,234 | |
| | Copper River CLO Ltd. | | | | | | | | | | | | |
| | 2007-1A, due 01/20/211 | | | 05/09/14 | | | | — | | | | 140 | |
| | | | | | | | $ | 962,868 | | | $ | 844,374 | |
| | | | | | | | | | | | | | |
High Yield Fund | Basic Energy Services, Inc. | | | | | | | | | | | | |
| | due 10/15/232 | | | 09/25/18 | | | | 1,219,360 | | | | 24,500 | |
| | Mirabela Nickel Ltd. | | | | | | | | | | | | |
| | due 06/24/192 | | | 12/31/13 | | | | 252,369 | | | | 13,906 | |
| | | | | | | | $ | 1,471,729 | | | $ | 38,406 | |
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 period ended March 31, 2022.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 93 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
Note 12 – COVID-19 and Other Market Risks
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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.
94 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited) |
Guggenheim Partners Advisors, LLC
The Investment Adviser(s) engaged Guggenheim Partners Advisors, LLC to provide investment sub-advisory services to Guggenheim High Yield Fund, Guggenheim Core Bond Fund, and Guggenheim Municipal Income Fund, effective April 29, 2022. Guggenheim Partners Advisors, LLC assists the applicable Investment Adviser in the supervision and direction of the investment strategy of the Fund in accordance with the Fund’s investment objectives, policies, and restrictions. The Investment Adviser, and not the Fund, compensates Guggenheim Partners Advisors, LLC for these services.
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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 95 |
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, upon request, by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
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). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
96 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - continued | | | |
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); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 97 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
98 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022);Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | 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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income 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 SEMI-ANNUAL REPORT | 99 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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 President of Mutual Funds Boards, 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); Managing 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). |
100 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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: Director, 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 SEMI-ANNUAL REPORT | 101 |
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. ● We use information as otherwise permitted by law, as we may notify you. |
102 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
| | ● | 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 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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 103 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
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.
104 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
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3.31.2022
Guggenheim Funds Semi-Annual Report
Guggenheim SMid Cap Value Fund | | |
GuggenheimInvestments.com | SBMCV-SEMI-0322x0922 |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
GUGGENHEIM SMID CAP VALUE FUND | 9 |
NOTES TO FINANCIAL STATEMENTS | 24 |
OTHER INFORMATION | 32 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 33 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 42 |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1 |
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 semi-annual period ended March 31, 2022.
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.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC,
April 30, 2022
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 and Other Market Risks. The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high
2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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 SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2022 |
In the six months ended March 31, 2022, most major U.S. equity indexes rose slightly amid market volatility resulting from Russia’s attack on Ukraine, COVID-19 shutdowns in China, and the commencement of rate hikes by the Federal Reserve (the “Fed”).
Nevertheless, the U.S. economy appears to remain on a strong footing. The Institute of Supply Management’s March Services Purchasing Managers’ Index showed a continued recovery in the services sector with business activity, employment, and new orders all rising. The March consumer price index (“CPI”) report was encouraging, with core CPI coming in lower than expected at 0.32% month over month, slightly below expectations of 0.5%.
Economic strength continues to embolden the Fed to move aggressively as it attempts to rein in inflation by raising interest rates and shrinking its balance sheet. The Fed is increasingly concerned about inflation and will act aggressively to get monetary policy to what they view is a more appropriate stance. In a recent speech, Lael Brainard, one of the Federal Open Market Committee’s (“FOMC”) traditionally more dovish members, referenced a “rapid pace” of balance sheet reduction and an “expeditious increase” in the fed funds rate, which caused market expectations for the degree of monetary tightening to ramp up.
Brainard’s shift in tone was echoed in the release of the minutes from the March FOMC meeting. The minutes were highly focused on elevated inflation and risks that inflation could stay well above target, as well mentions of an extremely tight labor market. The minutes repeated the phrase that monetary policy would move expeditiously, and contained a section that mentioned many participants would have voted for a 50-basis-point rate hike in March if it weren’t for the uncertainty resulting from the outbreak of war in Ukraine. Given this language, the 50-basis-point move at the May meeting and Fed Chair Jerome Powell’s telegraphing of further 50-basis point hikes came as no surprise. One basis point is equal to 0.01%. The Fed’s strategy at this point is to get rates back to a neutral level as fast as possible, and then see how far into restrictive territory they need to go based on how the economic and financial market data evolve.
A hawkish Fed has historically paved the way for a bullish approach to bonds. Indeed, we believe many fixed-income sectors are now pricing at compelling levels after enduring a first quarter marked by sharply rising yields, a flattening of the Treasury yield curve, and widening spreads. As the Fed races to raise rates during a period of U.S. economic strength and in the face of several global challenges, we remain diligent in our search for attractive entry points exposed by recent market volatility.
For the six-month period ended March 31, 2022, the S&P 500® Index* returned 5.92%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -3.38%. The return of the MSCI Emerging Markets Index* was -8.20%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -5.92% return for the six-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -4.16%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.05% for the six-month period.
4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2022 |
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 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 SEMI-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 September 30, 2021 and ending March 31, 2022.
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 SEMI-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 SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2021 | Ending
Account Value
March 31,
2022 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 |
A-Class | 1.19% | 8.34% | $ 1,000.00 | $ 1,083.40 | $ 6.18 |
C-Class | 2.02% | 7.86% | 1,000.00 | 1,078.60 | 10.47 |
P-Class | 1.28% | 8.28% | 1,000.00 | 1,082.80 | 6.65 |
Institutional Class | 1.01% | 8.47% | 1,000.00 | 1,084.70 | 5.25 |
|
Table 2. Based on hypothetical 5% return (before expenses) |
A-Class | 1.19% | 5.00% | $ 1,000.00 | $ 1,019.00 | $ 5.99 |
C-Class | 2.02% | 5.00% | 1,000.00 | 1,014.86 | 10.15 |
P-Class | 1.28% | 5.00% | 1,000.00 | 1,018.55 | 6.44 |
Institutional Class | 1.01% | 5.00% | 1,000.00 | 1,019.90 | 5.09 |
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 182/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period September 30, 2021 to March 31, 2022. |
8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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. | 4.2% |
Alleghany Corp. | 2.7% |
First Horizon Corp. | 2.5% |
Bunge Ltd. | 2.4% |
Evolent Health, Inc. — Class A | 2.2% |
Black Hills Corp. | 1.8% |
Huntsman Corp. | 1.6% |
Physicians Realty Trust | 1.5% |
Westlake Corp. | 1.5% |
Alexandria Real Estate Equities, Inc. | 1.5% |
Top Ten Total | 21.9% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 8.34% | 7.60% | 9.83% | 10.22% |
A-Class Shares with sales charge‡ | 3.18% | 2.48% | 8.77% | 9.69% |
C-Class Shares | 7.86% | 6.70% | 8.94% | 9.37% |
C-Class Shares with CDSC§ | 6.88% | 5.74% | 8.94% | 9.37% |
Institutional Class Shares1 | 8.47% | 7.86% | 10.12% | 10.59% |
Russell 2500 Value Index | 4.77% | 7.73% | 9.19% | 11.04% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(05/01/15) |
P-Class Shares | 8.28% | 7.48% | 9.77% | 9.75% |
Russell 2500 Value Index | 4.77% | 7.73% | 9.19% | 9.11% |
* | 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. |
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. |
† | 6 month returns are not annualized. |
‡ | 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. |
10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
SMID CAP VALUE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 98.5% |
| | | | | | | | | |
Financial - 25.2% |
Alleghany Corp.* | | | 13,849 | | | $ | 11,730,103 | |
First Horizon Corp. | | | 471,783 | | | | 11,082,183 | |
Physicians Realty Trust REIT | | | 382,791 | | | | 6,714,154 | |
Alexandria Real Estate Equities, Inc. REIT | | | 33,157 | | | | 6,672,846 | |
Prosperity Bancshares, Inc. | | | 89,426 | | | | 6,204,376 | |
Unum Group | | | 186,633 | | | | 5,880,806 | |
BOK Financial Corp. | | | 51,259 | | | | 4,815,783 | |
VICI Properties, Inc. REIT | | | 165,679 | | | | 4,715,224 | |
STAG Industrial, Inc. REIT | | | 112,390 | | | | 4,647,326 | |
Sun Communities, Inc. REIT | | | 24,554 | | | | 4,304,071 | |
Axis Capital Holdings Ltd. | | | 70,346 | | | | 4,253,823 | |
Stifel Financial Corp. | | | 61,030 | | | | 4,143,937 | |
KeyCorp | | | 168,845 | | | | 3,778,751 | |
Apple Hospitality REIT, Inc. | | | 191,498 | | | | 3,441,219 | |
Voya Financial, Inc. | | | 50,320 | | | | 3,338,732 | |
Virtu Financial, Inc. — Class A | | | 85,662 | | | | 3,188,340 | |
Old Republic International Corp. | | | 109,037 | | | | 2,820,787 | |
Zions Bancorp North America | | | 43,006 | | | | 2,819,473 | |
Medical Properties Trust, Inc. REIT | | | 124,560 | | | | 2,633,198 | |
Heartland Financial USA, Inc. | | | 48,817 | | | | 2,334,917 | |
Park Hotels & Resorts, Inc. REIT | | | 119,020 | | | | 2,324,461 | |
Gaming and Leisure Properties, Inc. REIT | | | 46,248 | | | | 2,170,419 | |
First Hawaiian, Inc. | | | 76,443 | | | | 2,131,995 | |
Trustmark Corp. | | | 64,832 | | | | 1,970,245 | |
Heritage Insurance Holdings, Inc. | | | 174,400 | | | | 1,245,216 | |
Total Financial | | | | | | | 109,362,385 | |
| | | | | | | | | |
Industrial - 19.9% |
Kirby Corp.* | | | 90,242 | | | | 6,514,570 | |
Littelfuse, Inc. | | | 23,620 | | | | 5,891,064 | |
Graphic Packaging Holding Co. | | | 279,720 | | | | 5,605,589 | |
Johnson Controls International plc | | | 76,754 | | | | 5,032,760 | |
Knight-Swift Transportation Holdings, Inc. | | | 99,408 | | | | 5,016,127 | |
Colfax Corp.* | | | 124,714 | | | | 4,962,370 | |
Valmont Industries, Inc. | | | 18,655 | | | | 4,451,083 | |
Packaging Corporation of America | | | 27,775 | | | | 4,335,955 | |
Terex Corp. | | | 111,278 | | | | 3,968,174 | |
Arcosa, Inc. | | | 67,761 | | | | 3,879,317 | |
Curtiss-Wright Corp. | | | 25,342 | | | | 3,805,354 | |
Zurn Water Solutions Corp. | | | 102,246 | | | | 3,619,508 | |
Daseke, Inc.* | | | 346,897 | | | | 3,493,253 | |
GATX Corp. | | | 27,068 | | | | 3,338,296 | |
Altra Industrial Motion Corp. | | | 75,605 | | | | 2,943,303 | |
Energizer Holdings, Inc. | | | 94,764 | | | | 2,914,941 | |
PGT Innovations, Inc.* | | | 161,297 | | | | 2,900,120 | |
Stoneridge, Inc.* | | | 119,484 | | | | 2,480,488 | |
Advanced Energy Industries, Inc. | | | 24,186 | | | | 2,081,931 | |
EnerSys | | | 26,876 | | | | 2,004,143 | |
Kennametal, Inc. | | | 66,439 | | | | 1,900,820 | |
Plexus Corp.* | | | 22,485 | | | | 1,839,498 | |
Park Aerospace Corp. | | | 139,255 | | | | 1,817,278 | |
ChargePoint Holdings, Inc.* | | | 83,097 | | | | 1,651,969 | |
Smith-Midland Corp.* | | | 10,989 | | | | 195,055 | |
Total Industrial | | | | | | | 86,642,966 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
SMID CAP VALUE FUND | |
| | Shares | | | Value | |
Consumer, Cyclical - 12.1% |
H&E Equipment Services, Inc. | | | 143,776 | | | $ | 6,257,131 | |
Avient Corp. | | | 109,330 | | | | 5,247,840 | |
LKQ Corp. | | | 112,536 | | | | 5,110,260 | |
MSC Industrial Direct Company, Inc. — Class A | | | 52,550 | | | | 4,477,785 | |
Methode Electronics, Inc. | | | 102,055 | | | | 4,413,879 | |
Alaska Air Group, Inc.* | | | 75,819 | | | | 4,398,260 | |
Whirlpool Corp. | | | 22,480 | | | | 3,884,094 | |
Ralph Lauren Corp. — Class A | | | 31,603 | | | | 3,585,044 | |
DR Horton, Inc. | | | 46,902 | | | | 3,494,668 | |
PVH Corp. | | | 28,203 | | | | 2,160,632 | |
Marriott Vacations Worldwide Corp. | | | 13,418 | | | | 2,116,019 | |
Leggett & Platt, Inc. | | | 52,314 | | | | 1,820,527 | |
Newell Brands, Inc. | | | 82,513 | | | | 1,766,603 | |
Dana, Inc. | | | 91,572 | | | | 1,608,920 | |
Lakeland Industries, Inc.* | | | 82,219 | | | | 1,577,783 | |
La-Z-Boy, Inc. | | | 30,826 | | | | 812,882 | |
Total Consumer, Cyclical | | | 52,732,327 | |
| | | | | | | | | |
Consumer, Non-cyclical - 12.1% |
Bunge Ltd. | | | 95,532 | | | | 10,585,901 | |
Ingredion, Inc. | | | 60,823 | | | | 5,300,724 | |
Encompass Health Corp. | | | 72,511 | | | | 5,156,257 | |
Henry Schein, Inc.* | | | 59,134 | | | | 5,155,894 | |
J M Smucker Co. | | | 35,817 | | | | 4,849,980 | |
Central Garden & Pet Co. — Class A* | | | 100,456 | | | | 4,096,596 | |
Tyson Foods, Inc. — Class A | | | 44,697 | | | | 4,006,192 | |
US Foods Holding Corp.* | | | 104,944 | | | | 3,949,043 | |
Integer Holdings Corp.* | | | 40,418 | | | | 3,256,478 | |
Pacira BioSciences, Inc.* | | | 37,350 | | | | 2,850,552 | |
Quest Diagnostics, Inc. | | | 15,093 | | | | 2,065,628 | |
Emergent BioSolutions, Inc.* | | | 27,688 | | | | 1,136,869 | |
Total Consumer, Non-cyclical | | | 52,410,114 | |
| | | | | | | | | |
Energy - 7.5% |
Pioneer Natural Resources Co. | | | 72,588 | | | | 18,149,177 | |
Equities Corp. | | | 163,733 | | | | 5,634,052 | |
Chesapeake Energy Corp. | | | 55,633 | | | | 4,840,071 | |
Patterson-UTI Energy, Inc. | | | 261,589 | | | | 4,049,398 | |
HydroGen Corp.*,†††,1 | | | 1,265,700 | | | | 2 | |
Total Energy | | | | | | | 32,672,700 | |
| | | | | | | | | |
Basic Materials - 7.3% |
Huntsman Corp. | | | 189,411 | | | | 7,104,806 | |
Westlake Corp. | | | 54,340 | | | | 6,705,556 | |
Reliance Steel & Aluminum Co. | | | 22,854 | | | | 4,190,281 | |
Ashland Global Holdings, Inc. | | | 41,548 | | | | 4,088,739 | |
Element Solutions, Inc. | | | 156,948 | | | | 3,437,161 | |
Nucor Corp. | | | 22,336 | | | | 3,320,246 | |
Commercial Metals Co. | | | 65,341 | | | | 2,719,493 | |
Total Basic Materials | | | | | | | 31,566,282 | |
| | | | | | | | | |
Technology - 6.4% |
Evolent Health, Inc. — Class A* | | | 302,928 | | | | 9,784,575 | |
Science Applications International Corp. | | | 54,403 | | | | 5,014,325 | |
Leidos Holdings, Inc. | | | 45,214 | | | | 4,884,016 | |
DXC Technology Co.* | | | 144,637 | | | | 4,719,505 | |
Teradyne, Inc. | | | 18,220 | | | | 2,154,150 | |
Qorvo, Inc.* | | | 10,907 | | | | 1,353,559 | |
Total Technology | | | | | | | 27,910,130 | |
| | | | | | | | | |
12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
SMID CAP VALUE FUND | |
| | Shares | | | Value | |
Utilities - 4.6% |
Black Hills Corp. | | | 101,339 | | | $ | 7,805,130 | |
Pinnacle West Capital Corp. | | | 61,232 | | | | 4,782,219 | |
OGE Energy Corp. | | | 112,134 | | | | 4,572,825 | |
Spire, Inc. | | | 42,220 | | | | 3,029,707 | |
Total Utilities | | | | | | | 20,189,881 | |
| | | | | | | | | |
Communications - 3.4% |
Infinera Corp.* | | | 668,796 | | | | 5,798,462 | |
TEGNA, Inc. | | | 245,076 | | | | 5,489,702 | |
Ciena Corp.* | | | 60,437 | | | | 3,664,295 | |
Total Communications | | | | | | | 14,952,459 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $333,778,289) | | | | | | | 428,439,244 | |
| | | | | | | | | |
CONVERTIBLE PREFERRED STOCKS††† - 0.0% |
Industrial - 0.0% |
Thermoenergy Corp.*,2 | | | 1,652,084 | | | | 5 | |
| | | | | | | | | |
Total Convertible Preferred Stocks | | | | |
(Cost $1,577,634) | | | | | | | 5 | |
| | | | | | | | | |
RIGHTS† - 0.1% |
Basic Materials - 0.1% |
Pan American Silver Corp.* | | | 516,551 | | | | 433,903 | |
Total Rights | | | | |
(Cost $—) | | | | | | | 433,903 | |
| | | | | | | | | |
MONEY MARKET FUND† - 1.0% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%3 | | | 4,288,492 | | | | 4,288,492 | |
Total Money Market Fund | | | | |
(Cost $4,288,492) | | | | | | | 4,288,492 | |
| | | | | | | | | |
Total Investments - 99.6% | | | | |
(Cost $339,644,415) | | $ | 433,161,644 | |
Other Assets & Liabilities, net - 0.4% | | | 1,608,463 | |
Total Net Assets - 100.0% | | $ | 434,770,107 | |
* | 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 March 31, 2022. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
SMID CAP VALUE FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 428,439,242 | | | $ | — | | | $ | 2 | | | $ | 428,439,244 | |
Convertible Preferred Stocks | | | — | | | | — | | | | 5 | | | | 5 | |
Rights | | | 433,903 | | | | — | | | | — | | | | 433,903 | |
Money Market Fund | | | 4,288,492 | | | | — | | | | — | | | | 4,288,492 | |
Total Assets | | $ | 433,161,637 | | | $ | — | | | $ | 7 | | | $ | 433,161,644 | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
09/30/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | |
Common Stock | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
HydroGen Corp.* | | $ | 2 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 2 | | | | 1,265,700 | |
* | Non-income producing security. |
14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
SMID CAP VALUE FUND |
March 31, 2022
Assets: |
Investments in unaffiliated issuers, at value (cost $339,641,884) | | $ | 433,161,642 | |
Investments in affiliated issuers, at value (cost $2,531) | | | 2 | |
Prepaid expenses | | | 73,654 | |
Receivables: |
Securities sold | | | 1,559,770 | |
Dividends | | | 718,363 | |
Fund shares sold | | | 74,384 | |
Interest | | | 369 | |
Foreign tax reclaims | | | 302 | |
Total assets | | | 435,588,486 | |
| | | | | |
Liabilities: |
Payable for: |
Management fees | | | 260,211 | |
Fund shares redeemed | | | 236,716 | |
Distribution and service fees | | | 75,901 | |
Transfer agent/maintenance fees | | | 49,170 | |
Fund accounting/administration fees | | | 25,841 | |
Trustees’ fees* | | | 8,724 | |
Due to Investment Adviser | | | 52 | |
Miscellaneous | | | 161,764 | |
Total liabilities | | | 818,379 | |
Net assets | | $ | 434,770,107 | |
| | | | | |
Net assets consist of: |
Paid in capital | | | 322,133,572 | |
Total distributable earnings (loss) | | | 112,636,535 | |
Net assets | | $ | 434,770,107 | |
| | | | | |
A-Class: |
Net assets | | $ | 322,993,268 | |
Capital shares outstanding | | | 8,410,675 | |
Net asset value per share | | $ | 38.40 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 40.31 | |
| | | | | |
C-Class: |
Net assets | | $ | 7,727,292 | |
Capital shares outstanding | | | 319,906 | |
Net asset value per share | | $ | 24.15 | |
| | | | | |
P-Class: |
Net assets | | $ | 6,713,152 | |
Capital shares outstanding | | | 176,326 | |
Net asset value per share | | $ | 38.07 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 97,336,395 | |
Capital shares outstanding | | | 9,203,858 | |
Net asset value per share | | $ | 10.58 | |
* | 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 SEMI-ANNUAL REPORT | 15 |
STATEMENT OF OPERATIONS (Unaudited) |
SMID CAP VALUE FUND |
Six Months Ended March 31, 2022
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 3,970,281 | |
Interest | | | 900 | |
Total investment income | | | 3,971,181 | |
| | | | | |
Expenses: |
Management fees | | | 1,626,911 | |
Distribution and service fees: |
A-Class | | | 401,599 | |
C-Class | | | 44,132 | |
P-Class | | | 8,558 | |
Transfer agent/maintenance fees: |
A-Class | | | 134,107 | |
C-Class | | | 10,222 | |
P-Class | | | 7,809 | |
Institutional Class | | | 59,283 | |
Fund accounting/administration fees | | | 144,656 | |
Professional fees | | | 21,638 | |
Trustees’ fees* | | | 13,179 | |
Line of credit fees | | | 6,758 | |
Custodian fees | | | 5,220 | |
Miscellaneous | | | 74,882 | |
Recoupment of previously waived fees: |
P-Class | | | 223 | |
Total expenses | | | 2,559,177 | |
Less: |
Expenses reimbursed by Adviser: |
A-Class | | | (10,015 | ) |
C-Class | | | (2,884 | ) |
P-Class | | | (2,272 | ) |
Institutional Class | | | (16,865 | ) |
Total waived/reimbursed expenses | | | (32,036 | ) |
Net expenses | | | 2,527,141 | |
Net investment income | | | 1,444,040 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 20,537,452 | |
Net realized gain | | | 20,537,452 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 12,596,251 | |
Net change in unrealized appreciation (depreciation) | | | 12,596,251 | |
Net realized and unrealized gain | | | 33,133,703 | |
Net increase in net assets resulting from operations | | $ | 34,577,743 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
SMID CAP VALUE FUND | |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,444,040 | | | | 2,278,536 | |
Net realized gain on investments | | | 20,537,452 | | | | 49,091,986 | |
Net change in unrealized appreciation (depreciation) on investments | | | 12,596,251 | | | | 89,702,415 | |
Net increase in net assets resulting from operations | | | 34,577,743 | | | | 141,072,937 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (21,330,395 | ) | | | — | |
C-Class | | | (847,652 | ) | | | — | |
P-Class | | | (452,600 | ) | | | — | |
Institutional Class | | | (20,988,300 | ) | | | — | |
Total distributions to shareholders | | | (43,618,947 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 7,675,053 | | | | 20,445,417 | |
C-Class | | | 318,648 | | | | 1,277,246 | |
P-Class | | | 54,188 | | | | 858,767 | |
Institutional Class | | | 12,499,248 | | | | 31,236,075 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 20,707,053 | | | | — | |
C-Class | | | 813,998 | | | | — | |
P-Class | | | 452,600 | | | | — | |
Institutional Class | | | 16,362,390 | | | | — | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (24,964,659 | ) | | | (54,126,198 | ) |
C-Class | | | (3,273,935 | ) | | | (11,088,501 | ) |
P-Class | | | (796,336 | ) | | | (4,270,396 | ) |
Institutional Class | | | (15,255,235 | ) | | | (21,979,519 | ) |
Net increase (decrease) from capital share transactions | | | 14,593,013 | | | | (37,647,109 | ) |
Net increase in net assets | | | 5,551,809 | | | | 103,425,828 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 429,218,298 | | | | 325,792,470 | |
End of period | | $ | 434,770,107 | | | $ | 429,218,298 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17 |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
SMID CAP VALUE FUND | |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 201,150 | | | | 561,341 | |
C-Class | | | 12,836 | | | | 52,040 | |
P-Class | | | 1,410 | | | | 23,190 | |
Institutional Class | | | 1,164,724 | | | | 2,623,977 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 569,188 | | | | — | |
C-Class | | | 35,484 | | | | — | |
P-Class | | | 12,544 | | | | — | |
Institutional Class | | | 1,634,604 | | | | — | |
Shares redeemed | | | | | | | | |
A-Class | | | (657,564 | ) | | | (1,516,668 | ) |
C-Class | | | (131,480 | ) | | | (473,341 | ) |
P-Class | | | (21,003 | ) | | | (133,809 | ) |
Institutional Class | | | (1,404,185 | ) | | | (1,907,686 | ) |
Net increase (decrease) in shares | | | 1,417,708 | | | | (770,956 | ) |
18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 38.00 | | | $ | 26.27 | | | $ | 30.52 | | | $ | 36.20 | | | $ | 35.37 | | | $ | 30.27 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .12 | | | | .19 | | | | .46 | | | | .22 | | | | .06 | | | | .03 | |
Net gain (loss) on investments (realized and unrealized) | | | 2.90 | | | | 11.54 | | | | (3.37 | ) | | | (1.89 | ) | | | 3.37 | | | | 6.09 | |
Total from investment operations | | | 3.02 | | | | 11.73 | | | | (2.91 | ) | | | (1.67 | ) | | | 3.43 | | | | 6.12 | |
Less distributions from: |
Net investment income | | | (.10 | ) | | | — | | | | (.26 | ) | | | (.03 | ) | | | — | | | | (.37 | ) |
Net realized gains | | | (2.52 | ) | | | — | | | | (1.04 | ) | | | (3.98 | ) | | | (2.60 | ) | | | (.65 | ) |
Return of capital | | | — | | | | — | | | | (.04 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (2.62 | ) | | | — | | | | (1.34 | ) | | | (4.01 | ) | | | (2.60 | ) | | | (1.02 | ) |
Net asset value, end of period | | $ | 38.40 | | | $ | 38.00 | | | $ | 26.27 | | | $ | 30.52 | | | $ | 36.20 | | | $ | 35.37 | |
|
Total Returnc | | | 8.34 | % | | | 44.65 | % | | | (10.25 | %) | | | (2.51 | %) | | | 10.05 | % | | | 20.62 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 322,993 | | | $ | 315,323 | | | $ | 243,072 | | | $ | 335,806 | | | $ | 392,495 | | | $ | 396,408 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.65 | % | | | 0.53 | % | | | 1.64 | % | | | 0.72 | % | | | 0.17 | % | | | 0.11 | % |
Total expensesd | | | 1.19 | % | | | 1.20 | % | | | 1.25 | % | | | 1.23 | % | | | 1.26 | % | | | 1.27 | % |
Net expensese,f,g | | | 1.19 | % | | | 1.19 | % | | | 1.24 | % | | | 1.23 | % | | | 1.26 | % | | | 1.27 | % |
Portfolio turnover rate | | | 18 | % | | | 34 | % | | | 41 | % | | | 45 | % | | | 54 | % | | | 55 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19 |
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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 24.85 | | | $ | 17.32 | | | $ | 20.48 | | | $ | 26.05 | | | $ | 26.33 | | | $ | 22.78 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.03 | ) | | | (.06 | ) | | | .16 | | | | (.02 | ) | | | (.17 | ) | | | (.17 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 1.85 | | | | 7.59 | | | | (2.22 | ) | | | (1.57 | ) | | | 2.49 | | | | 4.55 | |
Total from investment operations | | | 1.82 | | | | 7.53 | | | | (2.06 | ) | | | (1.59 | ) | | | 2.32 | | | | 4.38 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.03 | ) | | | — | | | | — | | | | (.18 | ) |
Net realized gains | | | (2.52 | ) | | | — | | | | (1.04 | ) | | | (3.98 | ) | | | (2.60 | ) | | | (.65 | ) |
Return of capital | | | — | | | | — | | | | (.03 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (2.52 | ) | | | — | | | | (1.10 | ) | | | (3.98 | ) | | | (2.60 | ) | | | (.83 | ) |
Net asset value, end of period | | $ | 24.15 | | | $ | 24.85 | | | $ | 17.32 | | | $ | 20.48 | | | $ | 26.05 | | | $ | 26.33 | |
|
Total Returnc | | | 7.86 | % | | | 43.48 | % | | | (10.95 | %) | | | (3.35 | %) | | | 9.22 | % | | | 19.63 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,727 | | | $ | 10,015 | | | $ | 14,276 | | | $ | 31,221 | | | $ | 52,996 | | | $ | 87,508 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.24 | %) | | | (0.27 | %) | | | 0.86 | % | | | (0.11 | %) | | | (0.65 | %) | | | (0.68 | %) |
Total expensesd | | | 2.09 | % | | | 2.05 | % | | | 2.14 | % | | | 2.07 | % | | | 2.03 | % | | | 2.07 | % |
Net expensese,f,g | | | 2.02 | % | | | 2.02 | % | | | 2.07 | % | | | 2.06 | % | | | 2.03 | % | | | 2.06 | % |
Portfolio turnover rate | | | 18 | % | | | 34 | % | | | 41 | % | | | 45 | % | | | 54 | % | | | 55 | % |
20 | THE GUGGENHEIM FUNDS SEMI-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.
P-Class | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 37.67 | | | $ | 26.06 | | | $ | 30.25 | | | $ | 35.94 | | | $ | 35.15 | | | $ | 30.18 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .10 | | | | .15 | | | | .46 | | | | .19 | | | | .05 | | | | .01 | |
Net gain (loss) on investments (realized and unrealized) | | | 2.88 | | | | 11.46 | | | | (3.37 | ) | | | (1.88 | ) | | | 3.34 | | | | 6.08 | |
Total from investment operations | | | 2.98 | | | | 11.61 | | | | (2.91 | ) | | | (1.69 | ) | | | 3.39 | | | | 6.09 | |
Less distributions from: |
Net investment income | | | (.06 | ) | | | — | | | | (.20 | ) | | | (.02 | ) | | | — | | | | (.47 | ) |
Net realized gains | | | (2.52 | ) | | | — | | | | (1.04 | ) | | | (3.98 | ) | | | (2.60 | ) | | | (.65 | ) |
Return of capital | | | — | | | | — | | | | (.04 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (2.58 | ) | | | — | | | | (1.28 | ) | | | (4.00 | ) | | | (2.60 | ) | | | (1.12 | ) |
Net asset value, end of period | | $ | 38.07 | | | $ | 37.67 | | | $ | 26.06 | | | $ | 30.25 | | | $ | 35.94 | | | $ | 35.15 | |
|
Total Return | | | 8.28 | % | | | 44.55 | % | | | (10.30 | %) | | | (2.61 | %) | | | 10.03 | % | | | 20.57 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 6,713 | | | $ | 6,907 | | | $ | 7,662 | | | $ | 14,165 | | | $ | 19,889 | | | $ | 22,203 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.55 | % | | | 0.43 | % | | | 1.64 | % | | | 0.63 | % | | | 0.13 | % | | | 0.02 | % |
Total expensesd | | | 1.34 | % | | | 1.32 | % | | | 1.33 | % | | | 1.35 | % | | | 1.35 | % | | | 1.25 | % |
Net expensese,f,g | | | 1.28 | % | | | 1.28 | % | | | 1.31 | % | | | 1.32 | % | | | 1.28 | % | | | 1.23 | % |
Portfolio turnover rate | | | 18 | % | | | 34 | % | | | 41 | % | | | 45 | % | | | 54 | % | | | 55 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21 |
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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Period
Ended
Sept. 30,
2020h | |
Per Share Data |
Net asset value, beginning of period | | $ | 12.42 | | | $ | 8.57 | | | $ | 10.20 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .05 | | | | .08 | | | | .11 | |
Net gain (loss) on investments (realized and unrealized) | | | .85 | | | | 3.77 | | | | (1.74 | ) |
Total from investment operations | | | .90 | | | | 3.85 | | | | (1.63 | ) |
Less distributions from: |
Net investment income | | | (.22 | ) | | | — | | | | — | |
Net realized gains | | | (2.52 | ) | | | — | | | | — | |
Total distributions | | | (2.74 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 10.58 | | | $ | 12.42 | | | $ | 8.57 | |
|
Total Return | | | 8.47 | % | | | 44.92 | % | | | (15.98 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 97,336 | | | $ | 96,973 | | | $ | 60,783 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.82 | % | | | 0.70 | % | | | 1.87 | % |
Total expensesd | | | 1.05 | % | | | 1.06 | % | | | 1.09 | % |
Net expensese,f,g | | | 1.01 | % | | | 1.02 | % | | | 1.03 | % |
Portfolio turnover rate | | | 18 | % | | | 34 | % | | | 41 | % |
22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
SMID CAP VALUE FUND |
a | Unaudited figures for the period ended March 31, 2022. 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 | 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, if any. |
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 periods presented was as follows: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 |
| | A-Class | 0.00% | 0.00% | 0.00%* | 0.00%* | 0.01% |
| | C-Class | 0.00% | 0.00%* | 0.00%* | 0.01% | 0.01% |
| | P-Class | 0.01% | 0.07% | 0.01% | 0.04% | 0.04% |
| | Institutional Class | 0.00% | 0.00% | 0.00%*,h | N/A | N/A |
| | * | 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 periods presented would be: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 |
| | A-Class | 1.18% | 1.19% | 1.24% | 1.23% | 1.26% |
| | C-Class | 2.02% | 2.01% | 2.07% | 2.06% | 2.03% |
| | P-Class | 1.27% | 1.28% | 1.30% | 1.32% | 1.28% |
| | Institutional Class | 1.01% | 1.02% | 1.03%h | N/A | N/A |
h | Since commencement of operations: January 3, 2020. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
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 March 31, 2022, the Trust consisted of nineteen funds (the “Funds”).
This report covers the SMid Cap Value Fund (the “Fund”), a diversified investment company. At March 31, 2022, 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.
24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 March 31, 2022, 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.
26 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 period ended March 31, 2022, 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 0.33% at March 31, 2022.
(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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 27 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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
Date | | | Contract
End Date | |
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 March 31, 2022, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:
Fund | | 2022 | | | 2023 | | | 2024 | | | 2025 | | | Fund
Total | |
A-Class | | $ | — | | | $ | 19,600 | | | $ | 9,790 | | | $ | 10,015 | | | $ | 39,405 | |
C-Class | | | 1,135 | | | | 15,935 | | | | 4,260 | | | | 2,884 | | | | 24,214 | |
P-Class | | | 542 | | | | 2,961 | | | | 2,971 | | | | 2,272 | | | | 8,746 | |
Institutional Class | | | — | | | | 26,262 | | | | 28,324 | | | | 16,865 | | | | 71,451 | |
During the period ended March 31, 2022, GI recouped $223 from the Fund.
For the period ended March 31, 2022, GFD retained sales charges of $94,675 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
28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
At March 31, 2022, 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 | |
| | | $ | 339,911,868 | | | $ | 106,143,315 | | | $ | (12,893,539 | ) | | $ | 93,249,776 | |
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. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 period ended March 31, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
| | Purchases | | | Sales | |
| | | $ | 75,960,587 | | | $ | 99,726,644 | |
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 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 period ended March 31, 2022.
30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
Note 7 – COVID-19 and Other Market Risks
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
Note 8 – 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 SEMI-ANNUAL REPORT | 31 |
OTHER INFORMATION (Unaudited) |
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 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.
32 | THE GUGGENHEIM FUNDS SEMI-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, upon request, by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - continued | | | |
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). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019). |
34 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - continued | | | |
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). | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020). |
36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022);Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | 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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income 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. |
38 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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 President of Mutual Funds Boards, 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); Managing 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 SEMI-ANNUAL REPORT | 39 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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). |
40 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS - concluded | |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Director, 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 SEMI-ANNUAL REPORT | 41 |
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
42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
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 SEMI-ANNUAL REPORT | 43 |
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
44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45 |
3.31.2022
Guggenheim Funds Semi-Annual Report
| |
Guggenheim Capital Stewardship Fund | | |
GuggenheimInvestments.com | CSF-SEMI-0322x0922 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
CAPITAL STEWARDSHIP FUND | 7 |
NOTES TO FINANCIAL STATEMENTS | 14 |
OTHER INFORMATION | 18 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 19 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 25 |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1 |
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 semi-annual period ended March 31, 2022.
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 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.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC
April 30, 2022
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 and Other Market Risks. The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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. Please read the prospectus for more detailed information regarding these and other risks.
2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 31, 2022 |
In the six months ended March 31, 2022, most major U.S. equity indexes rose slightly amid market volatility resulting from Russia’s attack on Ukraine, COVID-19 shutdowns in China, and the commencement of rate hikes by the Federal Reserve (the “Fed”).
Nevertheless, the U.S. economy appears to remain on a strong footing. The Institute of Supply Management’s March Services Purchasing Managers’ Index showed a continued recovery in the services sector with business activity, employment, and new orders all rising. The March consumer price index (“CPI”) report was encouraging, with core CPI coming in lower than expected at 0.32% month over month, slightly below expectations of 0.5%.
Economic strength continues to embolden the Fed to move aggressively as it attempts to rein in inflation by raising interest rates and shrinking its balance sheet. The Fed is increasingly concerned about inflation and will act aggressively to get monetary policy to what they view is a more appropriate stance. In a recent speech, Lael Brainard, one of the Federal Open Market Committee’s (“FOMC”) traditionally more dovish members, referenced a “rapid pace” of balance sheet reduction and an “expeditious increase” in the fed funds rate, which caused market expectations for the degree of monetary tightening to ramp up.
Brainard’s shift in tone was echoed in the release of the minutes from the March FOMC meeting. The minutes were highly focused on elevated inflation and risks that inflation could stay well above target, as well mentions of an extremely tight labor market. The minutes repeated the phrase that monetary policy would move expeditiously, and contained a section that mentioned many participants would have voted for a 50-basis-point rate hike in March if it weren’t for the uncertainty resulting from the outbreak of war in Ukraine. Given this language, the 50-basis-point move at the May meeting and Fed Chair Jerome Powell’s telegraphing of further 50-basis point hikes came as no surprise. One basis point is equal to 0.01%. The Fed’s strategy at this point is to get rates back to a neutral level as fast as possible, and then see how far into restrictive territory they need to go based on how the economic and financial market data evolve.
A hawkish Fed has historically paved the way for a bullish approach to bonds. Indeed, we believe many fixed-income sectors are now pricing at compelling levels after enduring a first quarter marked by sharply rising yields, a flattening of the Treasury yield curve, and widening spreads. As the Fed races to raise rates during a period of U.S. economic strength and in the face of several global challenges, we remain diligent in our search for attractive entry points exposed by recent market volatility.
For the six-month period ended March 31, 2022, the S&P 500® Index* returned 5.92%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -3.38%. The return of the MSCI Emerging Markets Index* was -8.20%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -5.92% return for the six-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -4.16%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.05% for the six-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 SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2022 |
*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 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 SEMI-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 September 30, 2021 and ending March 31, 2022.
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 SEMI-ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
| | 1.01% | 2.17% | $ 1,000.00 | $ 1,021.70 | $ 5.09 |
|
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
| | 1.01% | 5.00% | $ 1,000.00 | $ 1,019.90 | $ 5.09 |
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 182/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period September 30, 2021 to March 31, 2022. |
6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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.
Inception Date: September 26, 2014 |
Ten Largest Holdings (% of Total Net Assets) |
Apple, Inc. | 6.6% |
Microsoft Corp. | 5.9% |
Amazon.com, Inc. | 2.9% |
Alphabet, Inc. — Class A | 2.7% |
JPMorgan Chase & Co. | 2.7% |
Johnson & Johnson | 2.2% |
Bristol-Myers Squibb Co. | 2.2% |
Chevron Corp. | 2.2% |
Intel Corp. | 2.2% |
Prudential Financial, Inc. | 2.0% |
Top Ten Total | 31.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | Since
Inception
(09/26/14) |
Capital Stewardship Fund | 2.17% | 6.68% | 13.18% | 11.09% |
S&P 500 Index | 5.92% | 15.65% | 15.99% | 13.79% |
* | 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. |
† | 6 month returns are not annualized. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7 |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
CAPITAL STEWARDSHIP FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 101.8% |
| | | | | | | | | |
Technology - 28.2% |
Apple, Inc. | | | 78,564 | | | $ | 13,718,060 | |
Microsoft Corp. | | | 40,275 | | | | 12,417,185 | |
Intel Corp. | | | 91,052 | | | | 4,512,537 | |
Texas Instruments, Inc. | | | 22,015 | | | | 4,039,312 | |
International Business Machines Corp. | | | 25,506 | | | | 3,316,290 | |
NetApp, Inc. | | | 37,600 | | | | 3,120,800 | |
HP, Inc. | | | 78,582 | | | | 2,852,527 | |
Oracle Corp. | | | 30,195 | | | | 2,498,032 | |
Accenture plc — Class A | | | 5,298 | | | | 1,786,644 | |
Akamai Technologies, Inc.* | | | 14,420 | | | | 1,721,604 | |
SS&C Technologies Holdings, Inc. | | | 20,421 | | | | 1,531,984 | |
Dropbox, Inc. — Class A* | | | 61,334 | | | | 1,426,016 | |
KLA Corp. | | | 3,751 | | | | 1,373,091 | |
NVIDIA Corp. | | | 3,900 | | | | 1,064,154 | |
Skyworks Solutions, Inc. | | | 7,091 | | | | 945,089 | |
Jack Henry & Associates, Inc. | | | 3,324 | | | | 654,994 | |
Dell Technologies, Inc. — Class C | | | 12,674 | | | | 636,108 | |
Seagate Technology Holdings plc | | | 5,879 | | | | 528,522 | |
Broadridge Financial Solutions, Inc. | | | 3,238 | | | | 504,189 | |
Advanced Micro Devices, Inc.* | | | 3,373 | | | | 368,804 | |
Total Technology | | | | | | | 59,015,942 | |
| | | | | | | | | |
Consumer, Non-cyclical - 20.9% |
Johnson & Johnson | | | 26,407 | | | | 4,680,113 | |
Bristol-Myers Squibb Co. | | | 63,732 | | | | 4,654,348 | |
Gilead Sciences, Inc. | | | 41,462 | | | | 2,464,916 | |
AbbVie, Inc. | | | 15,147 | | | | 2,455,480 | |
Amgen, Inc. | | | 8,179 | | | | 1,977,846 | |
Regeneron Pharmaceuticals, Inc.* | | | 2,646 | | | | 1,848,019 | |
Avery Dennison Corp. | | | 9,351 | | | | 1,626,793 | |
Quest Diagnostics, Inc. | | | 11,865 | | | | 1,623,844 | |
Laboratory Corporation of America Holdings* | | | 5,918 | | | | 1,560,340 | |
Kellogg Co. | | | 21,617 | | | | 1,394,080 | |
Pfizer, Inc. | | | 26,636 | | | | 1,378,946 | |
Becton Dickinson and Co. | | | 4,841 | | | | 1,287,706 | |
Cigna Corp. | | | 5,277 | | | | 1,264,422 | |
Vertex Pharmaceuticals, Inc.* | | | 4,585 | | | | 1,196,547 | |
Colgate-Palmolive Co. | | | 15,601 | | | | 1,183,024 | |
Procter & Gamble Co. | | | 7,676 | | | | 1,172,893 | |
Thermo Fisher Scientific, Inc. | | | 1,930 | | | | 1,139,955 | |
Merck & Company, Inc. | | | 13,521 | | | | 1,109,398 | |
PepsiCo, Inc. | | | 6,060 | | | | 1,014,323 | |
Waters Corp.* | | | 2,726 | | | | 846,123 | |
Kroger Co. | | | 14,729 | | | | 845,003 | |
J M Smucker Co. | | | 5,991 | | | | 811,241 | |
PerkinElmer, Inc. | | | 4,161 | | | | 725,928 | |
S&P Global, Inc. | | | 1,610 | | | | 660,390 | |
Campbell Soup Co. | | | 14,735 | | | | 656,739 | |
Kimberly-Clark Corp. | | | 4,912 | | | | 604,962 | |
General Mills, Inc. | | | 8,843 | | | | 598,848 | |
CVS Health Corp. | | | 5,841 | | | | 591,167 | |
HCA Healthcare, Inc. | | | 2,346 | | | | 587,954 | |
H&R Block, Inc. | | | 16,683 | | | | 434,425 | |
Moody’s Corp. | | | 1,180 | | | | 398,144 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 638 | | | | 359,341 | |
Coca-Cola Co. | | | 4,909 | | | | 304,358 | |
Hershey Co. | | | 1,251 | | | | 271,004 | |
Total Consumer, Non-cyclical | | | | | | | 43,728,620 | |
| | | | | | | | | |
Financial - 18.2% |
JPMorgan Chase & Co. | | | 41,483 | | | | 5,654,962 | |
Prudential Financial, Inc. | | | 35,554 | | | | 4,201,416 | |
Travelers Companies, Inc. | | | 16,007 | | | | 2,924,959 | |
PNC Financial Services Group, Inc. | | | 14,486 | | | | 2,671,943 | |
Allstate Corp. | | | 17,578 | | | | 2,434,729 | |
Citigroup, Inc. | | | 45,231 | | | | 2,415,335 | |
American Tower Corp. — Class A REIT | | | 8,793 | | | | 2,208,977 | |
Prologis, Inc. REIT | | | 12,535 | | | | 2,024,152 | |
Morgan Stanley | | | 17,854 | | | | 1,560,440 | |
CBRE Group, Inc. — Class A* | | | 16,346 | | | | 1,495,986 | |
MetLife, Inc. | | | 17,713 | | | | 1,244,870 | |
Equinix, Inc. REIT | | | 1,654 | | | | 1,226,640 | |
First American Financial Corp. | | | 18,790 | | | | 1,217,968 | |
Visa, Inc. — Class A | | | 3,970 | | | | 880,427 | |
Western Union Co. | | | 46,883 | | | | 878,587 | |
Aflac, Inc. | | | 11,584 | | | | 745,894 | |
Nasdaq, Inc. | | | 3,762 | | | | 670,388 | |
Capital One Financial Corp. | | | 4,139 | | | | 543,409 | |
Northern Trust Corp. | | | 4,224 | | | | 491,885 | |
Mastercard, Inc. — Class A | | | 1,291 | | | | 461,378 | |
Voya Financial, Inc. | | | 6,870 | | | | 455,824 | |
Jones Lang LaSalle, Inc.* | | | 1,570 | | | | 375,952 | |
Bank of Montreal | | | 2,866 | | | | 338,102 | |
U.S. Bancorp | | | 5,888 | | | | 312,947 | |
Royal Bank of Canada | | | 2,519 | | | | 277,770 | |
Canadian Imperial Bank of Commerce | | | 1,712 | | | | 208,333 | |
Toronto-Dominion Bank | | | 2,042 | | | | 162,176 | |
Total Financial | | | | | | | 38,085,449 | |
| | | | | | | | | |
Communications - 11.3% |
Amazon.com, Inc.* | | | 1,845 | | | | 6,014,608 | |
Alphabet, Inc. — Class A* | | | 2,052 | | | | 5,707,330 | |
Motorola Solutions, Inc. | | | 15,969 | | | | 3,867,692 | |
Verizon Communications, Inc. | | | 49,200 | | | | 2,506,248 | |
Cisco Systems, Inc. | | | 39,652 | | | | 2,210,996 | |
Meta Platforms, Inc. — Class A* | | | 3,981 | | | | 885,215 | |
CDW Corp. | | | 4,627 | | | | 827,724 | |
FactSet Research Systems, Inc. | | | 1,370 | | | | 594,785 | |
Comcast Corp. — Class A | | | 10,824 | | | | 506,780 | |
AT&T, Inc. | | | 20,567 | | | | 485,998 | |
Total Communications | | | | | | | 23,607,376 | |
| | | | | | | | | |
Consumer, Cyclical - 9.0% |
Home Depot, Inc. | | | 9,278 | | | | 2,777,184 | |
Costco Wholesale Corp. | | | 3,367 | | | | 1,938,887 | |
AutoZone, Inc.* | | | 896 | | | | 1,831,944 | |
Yum! Brands, Inc. | | | 13,359 | | | | 1,583,442 | |
Gentex Corp. | | | 51,290 | | | | 1,496,129 | |
Whirlpool Corp. | | | 7,726 | | | | 1,334,898 | |
Tesla, Inc.* | | | 1,216 | | | | 1,310,362 | |
8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
CAPITAL STEWARDSHIP FUND | |
| | Shares | | | Value | |
Walgreens Boots Alliance, Inc. | | | 26,519 | | | $ | 1,187,256 | |
General Motors Co.* | | | 24,211 | | | | 1,058,989 | |
NVR, Inc.* | | | 210 | | | | 938,127 | |
Lowe’s Companies, Inc. | | | 3,866 | | | | 781,666 | |
PulteGroup, Inc. | | | 13,355 | | | | 559,574 | |
Dollar General Corp. | | | 2,384 | | | | 530,750 | |
Bath & Body Works, Inc. | | | 8,582 | | | | 410,220 | |
AutoNation, Inc.* | | | 4,080 | | | | 406,286 | |
Lear Corp. | | | 2,552 | | | | 363,890 | |
Dick’s Sporting Goods, Inc. | | | 3,275 | | | | 327,565 | |
Total Consumer, Cyclical | | | | | | | 18,837,169 | |
| | | | | | | | | |
Energy - 6.2% |
Chevron Corp. | | | 28,274 | | | | 4,603,855 | |
Kinder Morgan, Inc. | | | 192,914 | | | | 3,648,004 | |
ONEOK, Inc. | | | 35,014 | | | | 2,473,039 | |
Phillips 66 | | | 13,765 | | | | 1,189,158 | |
Valero Energy Corp. | | | 9,831 | | | | 998,240 | |
Total Energy | | | | | | | 12,912,296 | |
| | | | | | | | | |
Industrial - 5.8% |
3M Co. | | | 26,897 | | | | 4,004,426 | |
Keysight Technologies, Inc.* | | | 10,441 | | | | 1,649,365 | |
Dover Corp. | | | 9,958 | | | | 1,562,410 | |
Caterpillar, Inc. | | | 5,615 | | | | 1,251,134 | |
Owens Corning | | | 10,406 | | | | 952,149 | |
Deere & Co. | | | 1,809 | | | | 751,567 | |
Otis Worldwide Corp. | | | 8,510 | | | | 654,845 | |
Expeditors International of Washington, Inc. | | | 5,808 | | | | 599,153 | |
General Dynamics Corp. | | | 1,540 | | | | 371,417 | |
Littelfuse, Inc. | | | 1,246 | | | | 310,765 | |
Total Industrial | | | | | | | 12,107,231 | |
| | | | | | | | | |
Utilities - 1.5% |
Exelon Corp. | | | 31,543 | | | | 1,502,393 | |
Duke Energy Corp. | | | 9,823 | | | | 1,096,836 | |
WEC Energy Group, Inc. | | | 5,892 | | | | 588,081 | |
Total Utilities | | | | | | | 3,187,310 | |
| | | | | | | | | |
Basic Materials - 0.7% |
Celanese Corp. — Class A | | | 9,633 | | | | 1,376,267 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $198,084,380) | | | | | | | 212,857,660 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 0.8% |
SPDR S&P 500 ETF Trust | | | 3,956 | | | | 1,786,688 | |
Total Exchange-Traded Funds | | | | |
(Cost $1,509,470) | | | | | | | 1,786,688 | |
| | | | | | | | | |
MONEY MARKET FUND† - 0.4% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%1 | | | 812,689 | | | | 812,689 | |
Total Money Market Fund | | | | |
(Cost $812,689) | | | | | | | 812,689 | |
| | | | | | | | | |
Total Investments - 103.0% | | | | |
(Cost $200,406,539) | | $ | 215,457,037 | |
Other Assets & Liabilities, net - (3.0)% | | | (6,298,848 | ) |
Total Net Assets - 100.0% | | $ | 209,158,189 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
CAPITAL STEWARDSHIP FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 212,857,660 | | | $ | — | | | $ | — | | | $ | 212,857,660 | |
Exchange-Traded Funds | | | 1,786,688 | | | | — | | | | — | | | | 1,786,688 | |
Money Market Fund | | | 812,689 | | | | — | | | | — | | | | 812,689 | |
Total Assets | | $ | 215,457,037 | | | $ | — | | | $ | — | | | $ | 215,457,037 | |
10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
March 31, 2022 |
Assets: |
Investments, at value (cost $200,406,539) | | $ | 215,457,037 | |
Cash | | | 23,847 | |
Prepaid expenses | | | 8,541 | |
Receivables: |
Fund shares sold | | | 49,568,300 | |
Dividends | | | 130,406 | |
Interest | | | 43 | |
Total assets | | | 265,188,174 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 55,834,541 | |
Management fees | | | 160,816 | |
Fund accounting/administration fees | | | 13,372 | |
Trustees’ fees* | | | 5,534 | |
Transfer agent/maintenance fees | | | 2,376 | |
Miscellaneous | | | 13,346 | |
Total liabilities | | | 56,029,985 | |
Net assets | | $ | 209,158,189 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 185,951,637 | |
Total distributable earnings (loss) | | | 23,206,552 | |
Net assets | | $ | 209,158,189 | |
Capital shares outstanding | | | 7,219,419 | |
Net asset value per share | | $ | 28.97 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $330) | | $ | 1,915,937 | |
Interest | | | 78 | |
Total investment income | | | 1,916,015 | |
| | | | | |
Expenses: |
Management fees | | | 1,021,241 | |
Transfer agent/maintenance fees | | | 12,602 | |
Fund accounting/administration fees | | | 77,411 | |
Professional fees | | | 12,492 | |
Trustees’ fees* | | | 10,773 | |
Custodian fees | | | 5,521 | |
Miscellaneous | | | 7,335 | |
Total expenses | | | 1,147,375 | |
Net investment income | | | 768,640 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 11,247,541 | |
Net realized gain | | | 11,247,541 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (6,588,720 | ) |
Net change in unrealized appreciation (depreciation) | | | (6,588,720 | ) |
Net realized and unrealized gain | | | 4,658,821 | |
Net increase in net assets resulting from operations | | $ | 5,427,461 | |
* | 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 SEMI-ANNUAL REPORT | 11 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 768,640 | | | $ | 1,657,454 | |
Net realized gain on investments | | | 11,247,541 | | | | 56,921,577 | |
Net change in unrealized appreciation (depreciation) on investments | | | (6,588,720 | ) | | | (6,631,844 | ) |
Net increase in net assets resulting from operations | | | 5,427,461 | | | | 51,947,187 | |
| | | | | | | | | |
Distributions to shareholders | | | (54,426,863 | ) | | | (13,020,049 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 97,988,795 | | | | 8,500,000 | |
Distributions reinvested | | | 54,379,479 | | | | 12,936,786 | |
Cost of shares redeemed | | | (120,323,505 | ) | | | (41,001,933 | ) |
Net increase (decrease) from capital share transactions | | | 32,044,769 | | | | (19,565,147 | ) |
Net increase (decrease) in net assets | | | (16,954,633 | ) | | | 19,361,991 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 226,112,822 | | | | 206,750,831 | |
End of period | | $ | 209,158,189 | | | $ | 226,112,822 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 3,439,708 | | | | 271,840 | |
Shares issued from reinvestment of distributions | | | 1,772,473 | | | | 402,138 | |
Shares redeemed | | | (4,155,613 | ) | | | (1,164,212 | ) |
Net increase (decrease) in shares | | | 1,056,568 | | | | (490,234 | ) |
12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
March 31, 2022a | | | Year Ended
September 30,
2021 | | | Year Ended
September 30,
2020 | | | Year Ended
September 30,
2019 | | | Year Ended
September 30,
2018 | | | Year Ended
September 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 36.69 | | | $ | 31.08 | | | $ | 28.23 | | | $ | 31.23 | | | $ | 29.11 | | | $ | 26.55 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .11 | | | | .25 | | | | .28 | | | | .33 | | | | .28 | | | | .34 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.19 | | | | 7.28 | | | | 3.43 | | | | .05 | | | | 4.34 | | | | 3.51 | |
Total from investment operations | | | 1.30 | | | | 7.53 | | | | 3.71 | | | | .38 | | | | 4.62 | | | | 3.85 | |
Less distributions from: |
Net investment income | | | (.18 | ) | | | (.28 | ) | | | (.39 | ) | | | (.32 | ) | | | (.34 | ) | | | (.37 | ) |
Net realized gains | | | (8.84 | ) | | | (1.64 | ) | | | (.47 | ) | | | (3.06 | ) | | | (2.16 | ) | | | (.92 | ) |
Total distributions | | | (9.02 | ) | | | (1.92 | ) | | | (.86 | ) | | | (3.38 | ) | | | (2.50 | ) | | | (1.29 | ) |
Net asset value, end of period | | $ | 28.97 | | | $ | 36.69 | | | $ | 31.08 | | | $ | 28.23 | | | $ | 31.23 | | | $ | 29.11 | |
|
Total Return | | | 2.17 | % | | | 25.11 | % | | | 13.31 | % | | | 3.56 | % | | | 16.50 | % | | | 15.01 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 209,158 | | | $ | 226,113 | | | $ | 206,751 | | | $ | 210,053 | | | $ | 220,587 | | | $ | 216,008 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.68 | % | | | 0.70 | % | | | 0.96 | % | | | 1.23 | % | | | 0.93 | % | | | 1.23 | % |
Total expensesc | | | 1.01 | % | | | 1.02 | % | | | 1.04 | % | | | 1.05 | % | | | 1.05 | % | | | 1.03 | % |
Portfolio turnover rate | | | 90 | % | | | 154 | % | | | 147 | % | | | 131 | % | | | 164 | % | | | 156 | % |
a | Unaudited figures for the period ended March 31, 2022. 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 | Does not include expenses of the underlying funds in which the Fund invests. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 13 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
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 March 31, 2022, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Capital Stewardship Fund (the “Fund”), a diversified investment company. At March 31, 2022, 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
14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 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. 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 period ended March 31, 2022, 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 0.33% at March 31, 2022.
(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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 for a period of three years after they are filed.
At March 31, 2022, 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) | |
| | | $ | 201,494,726 | | | $ | 25,186,988 | | | $ | (11,224,677 | ) | | $ | 13,962,311 | |
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. |
16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
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 period ended March 31, 2022, the cost of purchases and proceeds from sales of investment securities, excluding short-term investments, were as follows:
| | Purchases | | | Sales | |
| | | $ | 203,520,000 | | | $ | 225,141,185 | |
Note 6 – COVID-19 and Other Market Risks
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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 SEMI-ANNUAL REPORT | 17 |
OTHER INFORMATION (Unaudited) |
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 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.
18 | THE GUGGENHEIM FUNDS SEMI-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, upon request, by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
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). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - continued | | | |
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); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022);Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | 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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income 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. |
22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held
with Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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 President of Mutual Funds Boards, 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); Managing 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). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held
with Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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: Director, 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. |
24 | THE GUGGENHEIM FUNDS SEMI-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 SEMI-ANNUAL REPORT | 25 |
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
26 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
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 SEMI-ANNUAL REPORT | 27 |
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3.31.2022
Guggenheim Funds Semi-Annual Report
| |
Guggenheim Macro Opportunities Fund | | |
GuggenheimInvestments.com | MO-SEMI-0322x0922 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
MACRO OPPORTUNITIES FUND | 9 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS | 87 |
OTHER INFORMATION | 117 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 119 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 128 |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1 |
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 semi-annual period ended March 31, 2022.
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.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC
April 30, 2022
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 and Other Market Risks. The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high
2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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 SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 31, 2022 |
In the six months ended March 31, 2022, the yield on the two-year Treasury rose 200 basis points to 2.28% from 0.28%, and the 10-year Treasury increased by 80 basis points to 2.32% from 1.52%. The spread between the two-year Treasury and 10-year Treasury narrowed to 4 basis points from 124 basis points as the curve flattened amid market volatility resulting from Russia’s attack on Ukraine, COVID-19 shutdowns in China, and the commencement of rate hikes by the Federal Reserve (the “Fed”). One basis point is equal to 0.01%.
Nevertheless, the U.S. economy appears to remain on a strong footing. The Institute of Supply Management’s March Services Purchasing Managers’ Index showed a continued recovery in the services sector with business activity, employment, and new orders all rising. The March consumer price index (“CPI”) report was encouraging, with core CPI coming in lower than expected at 0.32% month over month, slightly below expectations of 0.5%.
Economic strength continues to embolden the Fed to move aggressively as it attempts to rein in inflation by raising interest rates and shrinking its balance sheet. The Fed is increasingly concerned about inflation and will act aggressively to get monetary policy to what they view is a more appropriate stance. In a recent speech, Lael Brainard, one of the Federal Open Market Committee’s (“FOMC”) traditionally more dovish members, referenced a “rapid pace” of balance sheet reduction and an “expeditious increase” in the fed funds rate, which caused market expectations for the degree of monetary tightening to ramp up.
Brainard’s shift in tone was echoed in the release of the minutes from the March FOMC meeting. The minutes were highly focused on elevated inflation and risks that inflation could stay well above target, as well mentions of an extremely tight labor market. The minutes repeated the phrase that monetary policy would move expeditiously, and contained a section that mentioned many participants would have voted for a 50-basis-point rate hike in March if it weren’t for the uncertainty resulting from the outbreak of war in Ukraine. Given this language, the 50-basis-point move at the May meeting and Fed Chair Jerome Powell’s telegraphing of further 50-basis point hikes came as no surprise. The Fed’s strategy at this point is to get rates back to a neutral level as fast as possible, and then see how far into restrictive territory they need to go based on how the economic and financial market data evolve.
A hawkish Fed has historically paved the way for a bullish approach to bonds. Indeed, we believe many fixed-income sectors are now pricing at compelling levels after enduring a first quarter marked by sharply rising yields, a flattening of the Treasury yield curve, and widening spreads. As the Fed races to raise rates during a period of U.S. economic strength and in the face of several global challenges, we remain diligent in our search for attractive entry points exposed by recent market volatility.
For the six-month period ended March 31, 2022, the S&P 500® Index* returned 5.92%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -3.38%. The return of the MSCI Emerging Markets Index* was -8.20%.
4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2022 |
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -5.92% return for the six-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -4.16%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.05% for the six-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 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 SEMI-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 September 30, 2021 and ending March 31, 2022.
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 SEMI-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 SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2021 | Ending
Account Value
March 31,
2022 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 |
A-Class | 1.34% | (2.94%) | $ 1,000.00 | $ 970.60 | $ 6.58 |
C-Class | 2.09% | (3.31%) | 1,000.00 | 966.90 | 10.25 |
P-Class | 1.34% | (2.95%) | 1,000.00 | 970.50 | 6.58 |
Institutional Class | 0.93% | (2.74%) | 1,000.00 | 972.60 | 4.57 |
R6-Class | 0.93% | (2.74%) | 1,000.00 | 972.60 | 4.57 |
|
Table 2. Based on hypothetical 5% return (before expenses) |
A-Class | 1.34% | 5.00% | $ 1,000.00 | $ 1,018.25 | $ 6.74 |
C-Class | 2.09% | 5.00% | 1,000.00 | 1,014.51 | 10.50 |
P-Class | 1.34% | 5.00% | 1,000.00 | 1,018.25 | 6.74 |
Institutional Class | 0.93% | 5.00% | 1,000.00 | 1,020.29 | 4.68 |
R6-Class | 0.93% | 5.00% | 1,000.00 | 1,020.29 | 4.68 |
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 182/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period September 30, 2021 to March 31, 2022. |
8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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) |
Pershing Square Tontine Holdings Ltd. — Class A | 1.7% |
Guggenheim Risk Managed Real Estate Fund — Institutional Class | 1.1% |
VanEck Gold Miners ETF | 0.7% |
KKR Acquisition Holdings I Corp. — Class A | 0.6% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 0.6% |
Delta Air Lines, Inc., 7.00% | 0.6% |
Midcap Funding XLVI Trust, 3.79% | 0.5% |
TSGE, 6.25% | 0.5% |
KDAC Aviation Finance Ltd., 4.21% | 0.5% |
BP Capital Markets plc, 4.88% | 0.5% |
Top Ten Total | 7.3% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | March 31, 2022 |
Portfolio Composition by Quality Rating1 |
Rating | % of Total
Investments |
Fixed Income Instruments | |
AAA | 1.4% |
AA | 2.0% |
A | 7.2% |
BBB | 19.1% |
BB | 17.2% |
B | 24.8% |
CCC | 2.3% |
CC | 3.0% |
C | 0.1% |
NR2 | 4.4% |
Other Instruments | 18.5% |
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. |
10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | (2.94%) | (1.44%) | 2.87% | 4.23% |
A-Class Shares with sales charge‡ | (6.82%) | (5.36%) | 2.03% | 3.72% |
C-Class Shares | (3.31%) | (2.17%) | 2.10% | 3.46% |
C-Class Shares with CDSC§ | (4.26%) | (3.13%) | 2.10% | 3.46% |
Institutional Class Shares | (2.74%) | (1.03%) | 3.28% | 4.61% |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.05% | 0.06% | 1.13% | 0.63% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(05/01/15) |
P-Class Shares | (2.95%) | (1.44%) | 2.87% | 3.38% |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.05% | 0.06% | 1.13% | 0.88% |
| | 6 Month† | 1 Year | Since
Inception
(03/13/19) |
R6-Class Shares | | (2.74%) | (1.04%) | 3.94% |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | | 0.05% | 0.06% | 0.84% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | 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 SEMI-ANNUAL REPORT | 11 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 3.4% |
| | | | | | | | | |
Financial - 3.3% |
Pershing Square Tontine Holdings Ltd. — Class A*,1 | | | 6,864,930 | | | $ | 136,543,458 | |
KKR Acquisition Holdings I Corp. — Class A*,1 | | | 5,062,315 | | | | 49,762,557 | |
RXR Acquisition Corp. — Class A*,1 | | | 1,087,275 | | | | 10,600,931 | |
Aequi Acquisition Corp. — Class A*,1 | | | 999,157 | | | | 9,821,713 | |
AfterNext HealthTech Acquisition Corp. — Class A*,1 | | | 895,600 | | | | 8,669,408 | |
MSD Acquisition Corp. — Class A*,1 | | | 833,026 | | | | 8,180,315 | |
Conyers Park III Acquisition Corp. — Class A*,1 | | | 832,100 | | | | 8,112,975 | |
TPG Pace Beneficial II Corp.*,1 | | | 807,638 | | | | 7,931,005 | |
Waverley Capital Acquisition Corp. 1 — Class A*,1 | | | 786,700 | | | | 7,568,054 | |
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | | | 578,278 | | | | 5,615,079 | |
Blue Whale Acquisition Corp. I — Class A*,1 | | | 477,700 | | | | 4,633,690 | |
Colicity, Inc. — Class A*,1 | | | 217,843 | | | | 2,126,148 | |
TPG, Inc.* | | | 42,622 | | | | 1,284,627 | |
Total Financial | | | | | | | 260,849,960 | |
| | | | | | | | | |
Communications - 0.1% |
Vacasa, Inc. — Class A* | | | 503,817 | | | | 4,166,567 | |
Figs, Inc. — Class A*,3 | | | 55,695 | | | | 1,198,556 | |
Total Communications | | | | | | | 5,365,123 | |
| | | | | | | | | |
Utilities - 0.0% |
Texgen Power LLC*,††† | | | 180,169 | | | | 4,188,929 | |
| | | | | | | | | |
Consumer, Cyclical - 0.0% |
ATD New Holdings, Inc.*,†† | | | 42,478 | | | | 3,488,506 | |
| | | | | | | | | |
Consumer, Non-cyclical - 0.0% |
Cengage Learning Holdings II, Inc.*,†† | | | 21,660 | | | | 373,639 | |
Targus Group International Equity, Inc.*,†††,2 | | | 12,773 | | | | 33,450 | |
Save-A-Lot*,†† | | | 22,703 | | | | 22,703 | |
Total Consumer, Non-cyclical | | | 429,792 | |
| | | | | | | | | |
Energy - 0.0% |
Permian Production Partners LLC††† | | | 573,522 | | | | 415,230 | |
| | | | | | | | | |
Technology - 0.0% |
Qlik Technologies, Inc. - Class A*,††† | | | 177 | | | | 256,512 | |
Qlik Technologies, Inc. - Class B*,††† | | | 43,738 | | | | 4 | |
Total Technology | | | | | | | 256,516 | |
| | | | | | | | | |
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 | | | | 176 | |
Total Industrial | | | | | | | 36,964 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $266,759,223) | | | | | | | 275,031,020 | |
| | | | | | | | | |
PREFERRED STOCKS†† - 5.9% |
Financial - 5.5% |
Bank of America Corp. |
4.13% | | | 1,078,000 | | | | 22,972,180 | |
4.38% | | | 736,000 | | | �� | 15,934,400 | |
4.38% | | | 13,850,000 | | | | 13,016,230 | |
12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Shares | | | Value | |
First Republic Bank |
4.25% | | | 1,168,000 | | | $ | 24,247,680 | |
4.50% | | | 725,600 | | | | 16,021,248 | |
4.13% | | | 369,600 | | | | 7,621,152 | |
Wells Fargo & Co. |
3.90% due 12/31/70 | | | 25,750,000 | | | | 24,682,662 | |
4.70% | | | 982,000 | | | | 21,653,100 | |
Citigroup, Inc. |
3.88% due 12/31/70 | | | 30,600,000 | | | | 28,840,500 | |
4.00% due 12/31/70 | | | 13,100,000 | | | | 12,576,000 | |
Equitable Holdings, Inc. |
4.95% due 12/31/70 | | | 24,550,000 | | | | 24,120,375 | |
4.30% | | | 616,000 | | | | 12,246,080 | |
Markel Corp. |
6.00% due 12/31/70 | | | 32,370,000 | | | | 33,502,950 | |
Public Storage |
4.63% | | | 855,064 | | | | 19,905,890 | |
4.13% | | | 265,621 | | | | 5,779,913 | |
Bank of New York Mellon Corp. |
3.75% due 12/31/70 | | | 20,550,000 | | | | 18,996,420 | |
4.70% due 12/31/70 | | | 4,500,000 | | | | 4,608,000 | |
W R Berkley Corp. |
4.13% due 03/30/61 | | | 878,365 | | | | 19,499,703 | |
4.25% due 09/30/60 | | | 115,042 | | | | 2,445,793 | |
Kuvare US Holdings, Inc. |
7.00% due 02/17/515 | | | 19,150,000 | | | | 19,916,000 | |
Goldman Sachs Group, Inc. |
4.13% due 12/31/70 | | | 20,500,000 | | | | 19,223,875 | |
Charles Schwab Corp. |
4.00% due 12/31/70 | | | 18,700,000 | | | | 16,794,844 | |
Prudential Financial, Inc. |
4.13% due 09/01/60 | | | 686,550 | | | | 15,776,919 | |
MetLife, Inc. |
3.85% due 12/31/70 | | | 12,200,000 | | | | 12,031,640 | |
CNO Financial Group, Inc. |
5.13% due 11/25/60 | | | 324,000 | | | | 7,192,800 | |
American Financial Group, Inc. |
4.50% due 09/15/60 | | | 270,159 | | | | 6,148,819 | |
Assurant, Inc. |
5.25% due 01/15/61 | | | 258,000 | | | | 5,990,760 | |
Selective Insurance Group, Inc. |
4.60% | | | 246,000 | | | | 5,153,700 | |
PartnerRe Ltd. |
4.88% | | | 208,352 | | | | 4,719,173 | |
Total Financial | | | | | | | 441,618,806 | |
Government - 0.4% |
CoBank ACB |
4.25% due 12/31/70 | | | 20,000,000 | | | | 18,800,000 | |
Farmer Mac |
5.75% | | | 378,000 | | | | 9,506,700 | |
Total Government | | | | | | | 28,306,700 | |
| | | | | | | | | |
Industrial - 0.0% |
API Heat Transfer Intermediate*,††† | | | 218 | | | | — | |
| | | | | | | | | |
Total Preferred Stocks | | | | |
(Cost $509,786,250) | | | | | | | 469,925,506 | |
| | | | | | | | | |
WARRANTS† - 0.0% |
KKR Acquisition Holdings I Corp. — Class A | | | | | | | | |
Expiring 12/31/27*,1 | | | 1,265,578 | | | | 835,282 | |
Pershing Square Tontine Holdings Ltd. — Class A | | | | | | | | |
Expiring 07/24/25*,1 | | | 762,770 | | | | 717,004 | |
Conyers Park III Acquisition Corp. — Class A | | | | | | | | |
Expiring 08/12/28* | | | 277,366 | | | | 141,734 | |
MSD Acquisition Corp. — Class A | | | | | | | | |
Expiring 05/13/23*,1 | | | 166,604 | | | | 129,951 | |
AfterNext HealthTech Acquisition Corp. — Class A | | | | | | | | |
Expiring 07/09/23*,1 | | | 298,533 | | | | 125,384 | |
Ginkgo Bioworks Holdings, Inc. | | | | | | | | |
Expiring 12/31/27* | | | 128,004 | | | | 112,682 | |
Waverley Capital Acquisition Corp. 1 — Class A | | | | | | | | |
Expiring 04/30/27*,1 | | | 262,232 | | | | 99,648 | |
RXR Acquisition Corp. — Class A | | | | | | | | |
Expiring 03/08/26*,1 | | | 217,453 | | | | 97,854 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 13 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Shares | | | Value | |
Acropolis Infrastructure Acquisition Corp. — Class A | | | | | | | | |
Expiring 03/31/26*,1 | | | 192,759 | | | $ | 91,618 | |
Aequi Acquisition Corp. — Class A | | | | | | | | |
Expiring 11/30/27*,1 | | | 333,052 | | | | 65,778 | |
Blue Whale Acquisition Corp. I — Class A | | | | | | | | |
Expiring 07/30/26*,1 | | | 119,424 | | | | 59,831 | |
Colicity, Inc. — Class A | | | | | | | | |
Expiring 12/31/27*,1 | | | 43,567 | | | | 16,991 | |
Total Warrants | | | | |
(Cost $9,302,493) | | | | | | | 2,493,757 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 0.8% |
VanEck Gold Miners ETF | | | 1,430,590 | | | | 54,863,126 | |
iShares Preferred & Income Securities ETF | | | 270,626 | | | | 9,856,199 | |
Total Exchange-Traded Funds | | | | |
(Cost $64,296,005) | | | | | | | 64,719,325 | |
| | | | | | | | | |
MUTUAL FUNDS† - 2.5% |
Guggenheim Risk Managed Real Estate Fund — Institutional Class2 | | | 2,227,768 | | | | 87,172,557 | |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 4,724,615 | | | | 46,253,983 | |
Guggenheim Alpha Opportunity Fund — Institutional Class2 | | | 1,010,531 | | | | 26,920,537 | |
Guggenheim Strategy Fund II2 | | | 741,715 | | | | 18,209,106 | |
Guggenheim Strategy Fund III2 | | | 719,421 | | | | 17,726,527 | |
Total Mutual Funds | | | | |
(Cost $182,501,742) | | | | | | | 196,282,710 | |
| | | | | | | | | |
CLOSED-END FUNDS† - 1.0% |
BlackRock Corporate High Yield Fund, Inc. | | | 2,578,149 | | | | 27,766,665 | |
Blackstone Strategic Credit Fund | | | 1,213,610 | | | | 15,837,610 | |
BlackRock Credit Allocation Income Trust | | | 1,110,039 | | | | 13,942,090 | |
Eaton Vance Limited Duration Income Fund | | | 791,358 | | | | 9,258,889 | |
Ares Dynamic Credit Allocation Fund, Inc. | | | 479,990 | | | | 6,931,055 | |
BlackRock Debt Strategies Fund, Inc. | | | 482,834 | | | | 5,031,131 | |
Western Asset High Income Opportunity Fund, Inc. | | | 870,583 | | | | 3,891,506 | |
Total Closed-End Funds | | | | |
(Cost $70,160,483) | | | | | | | 82,658,946 | |
| | | | | | | | | |
MONEY MARKET FUNDS† - 4.7% |
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 0.15%6 | | | 370,960,262 | | | | 370,960,262 | |
Western Asset Institutional U.S. Treasury Reserves — Institutional Shares, 0.13%6 | | | 3,593,271 | | | | 3,593,271 | |
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.10%6 | | | 22,924 | | | | 22,924 | |
Total Money Market Funds | | | | |
(Cost $374,576,457) | | | | | | | 374,576,457 | |
| | | | | | | | | |
14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
CORPORATE BONDS†† - 31.3% |
Financial - 7.8% | | | | | | | | |
Pershing Square Holdings Ltd. | | | | | | | | |
3.25% due 10/01/31 | | | 33,500,000 | | | $ | 30,217,000 | |
3.25% due 11/15/305 | | | 15,100,000 | | | | 13,855,458 | |
NFP Corp. | | | | | | | | |
6.88% due 08/15/285 | | | 28,700,000 | | | | 27,408,500 | |
4.88% due 08/15/285 | | | 3,950,000 | | | | 3,772,250 | |
Wilton RE Ltd. | | | | | | | | |
6.00%†††,4,5,7 | | | 31,350,000 | | | | 30,183,780 | |
Liberty Mutual Group, Inc. | | | | | | | | |
4.30% due 02/01/615 | | | 36,940,000 | | | | 29,359,912 | |
GLP Capital Limited Partnership / GLP Financing II, Inc. | | | | | | | | |
4.00% due 01/15/31 | | | 22,640,000 | | | | 21,958,083 | |
5.30% due 01/15/29 | | | 6,950,000 | | | | 7,301,462 | |
LPL Holdings, Inc. | | | | | | | | |
4.00% due 03/15/295 | | | 24,100,000 | | | | 22,870,384 | |
4.38% due 05/15/315 | | | 6,350,000 | | | | 6,140,101 | |
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | | | | | | | | |
3.88% due 03/01/315 | | | 21,650,000 | | | | 19,593,250 | |
2.88% due 10/15/265 | | | 8,750,000 | | | | 8,033,769 | |
Home Point Capital, Inc. | | | | | | | | |
5.00% due 02/01/265 | | | 33,010,000 | | | | 27,045,423 | |
Iron Mountain, Inc. | | | | | | | | |
5.63% due 07/15/325 | | | 25,025,000 | | | | 24,656,632 | |
4.50% due 02/15/315 | | | 925,000 | | | | 854,247 | |
Host Hotels & Resorts, LP | | | | | | | | |
3.50% due 09/15/30 | | | 24,000,000 | | | | 22,883,046 | |
United Wholesale Mortgage LLC | | | | | | | | |
5.50% due 11/15/255 | | | 12,600,000 | | | | 12,222,000 | |
5.50% due 04/15/295 | | | 7,150,000 | | | | 6,370,793 | |
5.75% due 06/15/275 | | | 4,550,000 | | | | 4,222,195 | |
Jefferies Finance LLC / JFIN Company-Issuer Corp. | | | | | | | | |
5.00% due 08/15/285 | | | 23,000,000 | | | | 22,022,040 | |
Global Atlantic Finance Co. | | | | | | | | |
4.70% due 10/15/514,5 | | | 22,350,000 | | | | 21,064,875 | |
Nationwide Mutual Insurance Co. | | | | | | | | |
4.35% due 04/30/505 | | | 21,150,000 | | | | 21,042,393 | |
Starwood Property Trust, Inc. | | | | | | | | |
4.38% due 01/15/275 | | | 21,000,000 | | | | 20,370,000 | |
FS KKR Capital Corp. | | | | | | | | |
3.25% due 07/15/27 | | | 21,000,000 | | | | 19,384,615 | |
Hampton Roads PPV LLC | | | | | | | | |
6.62% due 06/15/535 | | | 16,900,000 | | | | 16,968,548 | |
Sherwood Financing plc | | | | | | | | |
4.50% due 11/15/265 | | EUR | 15,600,000 | | | | 16,462,531 | |
Kennedy-Wilson, Inc. | | | | | | | | |
5.00% due 03/01/31 | | | 16,825,000 | | | | 16,152,000 | |
4.75% due 02/01/30 | | | 250,000 | | | | 237,728 | |
4.75% due 03/01/29 | | | 25,000 | | | | 24,103 | |
Hunt Companies, Inc. | | | | | | | | |
5.25% due 04/15/295 | | | 13,700,000 | | | | 13,051,305 | |
Wilton Re Finance LLC | | | | | | | | |
5.88% due 03/30/334,5 | | | 11,815,000 | | | | 11,921,477 | |
First American Financial Corp. | | | | | | | | |
4.00% due 05/15/30 | | | 11,760,000 | | | | 11,778,111 | |
OneAmerica Financial Partners, Inc. | | | | | | | | |
4.25% due 10/15/505 | | | 11,550,000 | | | | 11,118,600 | |
OneMain Finance Corp. | | | | | | | | |
4.00% due 09/15/30 | | | 11,750,000 | | | | 10,369,375 | |
Atlas Mara Ltd. | | | | | | | | |
due 12/31/21†††,8,9 | | | 14,400,000 | | | | 10,296,000 | |
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer | | | | | | | | |
4.25% due 10/15/275 | | | 10,000,000 | | | | 9,618,700 | |
SLM Corp. | | | | | | | | |
3.13% due 11/02/26 | | | 10,000,000 | | | | 9,275,000 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Jane Street Group / JSG Finance, Inc. | | | | | | | | |
4.50% due 11/15/295 | | | 9,650,000 | | | $ | 9,144,436 | |
HUB International Ltd. | | | | | | | | |
5.63% due 12/01/295 | | | 8,500,000 | | | | 8,117,500 | |
7.00% due 05/01/265 | | | 750,000 | | | | 758,666 | |
QBE Insurance Group Ltd. | | | | | | | | |
5.88% 4,5,7 | | | 7,550,000 | | | | 7,729,313 | |
PartnerRe Finance B LLC | | | | | | | | |
4.50% due 10/01/504 | | | 6,460,000 | | | | 6,233,900 | |
AmWINS Group, Inc. | | | | | | | | |
4.88% due 06/30/295 | | | 6,025,000 | | | | 5,784,120 | |
Ryan Specialty Group LLC | | | | | | | | |
4.38% due 02/01/305 | | | 5,750,000 | | | | 5,433,750 | |
American Equity Investment Life Holding Co. | | | | | | | | |
5.00% due 06/15/27 | | | 4,813,000 | | | | 5,021,516 | |
Cushman & Wakefield US Borrower LLC | | | | | | | | |
6.75% due 05/15/285 | | | 3,053,000 | | | | 3,190,385 | |
Iron Mountain Information Management Services, Inc. | | | | | | | | |
5.00% due 07/15/325 | | | 3,350,000 | | | | 3,140,625 | |
SBA Communications Corp. | | | | | | | | |
3.13% due 02/01/29 | | | 3,100,000 | | | | 2,819,822 | |
Prudential Financial, Inc. | | | | | | | | |
5.13% due 03/01/524 | | | 2,750,000 | | | | 2,779,975 | |
Platinum for Belize Blue Investment Company LLC | | | | | | | | |
1.60% due 10/20/40†††,5,10 | | | 1,900,000 | | | | 1,819,930 | |
Total Financial | | | | | | | 622,079,624 | |
| | | | | | | | | |
Communications - 4.6% |
British Telecommunications plc | | | | | | | | |
4.88% due 11/23/814,5 | | | 28,200,000 | | | | 26,790,000 | |
4.25% due 11/23/814,5 | | | 5,250,000 | | | | 5,011,492 | |
McGraw-Hill Education, Inc. | | | | | | | | |
8.00% due 08/01/295 | | | 26,800,000 | | | | 25,328,680 | |
5.75% due 08/01/285 | | | 4,550,000 | | | | 4,339,654 | |
Level 3 Financing, Inc. | | | | | | | | |
4.25% due 07/01/285 | | | 22,035,000 | | | | 20,228,295 | |
3.75% due 07/15/295 | | | 7,600,000 | | | | 6,735,348 | |
3.88% due 11/15/295 | | | 2,600,000 | | | | 2,392,000 | |
CSC Holdings LLC | | | | | | | | |
4.13% due 12/01/305 | | | 21,250,000 | | | | 18,633,381 | |
3.38% due 02/15/315 | | | 2,975,000 | | | | 2,506,437 | |
4.63% due 12/01/305 | | | 2,715,000 | | | | 2,270,527 | |
Altice France S.A. | | | | | | | | |
5.13% due 07/15/295 | | | 13,250,000 | | | | 11,875,312 | |
5.50% due 10/15/295 | | | 11,760,000 | | | | 10,552,013 | |
CBS Studio Center | | | | | | | | |
3.06% (30 Day Average SOFR + 3.00%, Rate Floor: 3.00%) due 01/09/24◊,††† | | | 22,000,000 | | | | 22,043,248 | |
LCPR Senior Secured Financing DAC | | | | | | | | |
5.13% due 07/15/295 | | | 16,250,000 | | | | 15,513,794 | |
6.75% due 10/15/275 | | | 5,400,000 | | | | 5,547,420 | |
Virgin Media Finance plc | | | | | | | | |
5.00% due 07/15/305 | | | 21,400,000 | | | | 20,212,193 | |
UPC Broadband Finco BV | | | | | | | | |
4.88% due 07/15/315 | | | 20,200,000 | | | | 18,965,174 | |
VZ Secured Financing BV | | | | | | | | |
5.00% due 01/15/325 | | | 16,950,000 | | | | 15,848,250 | |
16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
CCO Holdings LLC / CCO Holdings Capital Corp. | | | | | | | | |
4.50% due 06/01/335 | | | 14,265,000 | | | $ | 12,802,837 | |
4.25% due 02/01/315 | | | 3,310,000 | | | | 3,003,825 | |
Vodafone Group plc | | | | | | | | |
5.13% due 06/04/814 | | | 16,875,000 | | | | 14,879,531 | |
Switch Ltd. | | | | | | | | |
3.75% due 09/15/285 | | | 12,100,000 | | | | 11,733,915 | |
Cable One, Inc. | | | | | | | | |
4.00% due 11/15/305 | | | 12,575,000 | | | | 11,596,917 | |
Paramount Global | | | | | | | | |
4.95% due 05/19/5011 | | | 10,340,000 | | | | 10,806,840 | |
AMC Networks, Inc. | | | | | | | | |
4.25% due 02/15/29 | | | 10,200,000 | | | | 9,518,589 | |
Radiate Holdco LLC / Radiate Finance, Inc. | | | | | | | | |
4.50% due 09/15/265 | | | 9,300,000 | | | | 8,974,500 | |
Sirius XM Radio, Inc. | | | | | | | | |
4.13% due 07/01/305 | | | 8,900,000 | | | | 8,331,913 | |
Match Group Holdings II LLC | | | | | | | | |
4.63% due 06/01/285 | | | 7,700,000 | | | | 7,459,375 | |
Virgin Media Secured Finance plc | | | | | | | | |
4.50% due 08/15/305 | | | 7,950,000 | | | | 7,413,375 | |
Telenet Finance Luxembourg Notes SARL | | | | | | | | |
5.50% due 03/01/28 | | | 7,000,000 | | | | 6,755,000 | |
Cengage Learning, Inc. | | | | | | | | |
9.50% due 06/15/245 | | | 5,039,000 | | | | 5,026,403 | |
Ziggo BV | | | | | | | | |
4.88% due 01/15/305 | | | 5,275,000 | | | | 4,967,626 | |
Virgin Media Vendor Financing Notes IV DAC | | | | | | | | |
5.00% due 07/15/285 | | | 3,650,000 | | | | 3,504,000 | |
Lamar Media Corp. | | | | | | | | |
4.00% due 02/15/30 | | | 2,400,000 | | | | 2,283,000 | |
TripAdvisor, Inc. | | | | | | | | |
7.00% due 07/15/255 | | | 1,800,000 | | | | 1,859,310 | |
T-Mobile USA, Inc. | | | | | | | | |
2.88% due 02/15/31 | | | 1,750,000 | | | | 1,576,628 | |
Zayo Group Holdings, Inc. | | | | | | | | |
4.00% due 03/01/275 | | | 700,000 | | | | 644,161 | |
Total Communications | | | | | | | 367,930,963 | |
| | | | | | | | | |
Consumer, Cyclical - 4.2% |
Delta Air Lines, Inc. | | | | | | | | |
7.00% due 05/01/255 | | | 41,320,000 | | | | 44,258,474 | |
Marriott International, Inc. | | | | | | | | |
2.85% due 04/15/31 | | | 14,730,000 | | | | 13,443,967 | |
4.63% due 06/15/30 | | | 10,900,000 | | | | 11,289,029 | |
5.75% due 05/01/25 | | | 8,440,000 | | | | 8,961,044 | |
3.50% due 10/15/32 | | | 8,150,000 | | | | 7,757,731 | |
Delta Air Lines, Inc. / SkyMiles IP Ltd. | | | | | | | | |
4.75% due 10/20/285 | | | 24,150,000 | | | | 24,334,907 | |
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | | | | | | | | |
6.50% due 06/20/275 | | | 19,700,000 | | | | 20,537,250 | |
1011778 BC ULC / New Red Finance, Inc. | | | | | | | | |
4.00% due 10/15/305 | | | 22,200,000 | | | | 20,025,177 | |
3.50% due 02/15/295 | | | 500,000 | | | | 461,725 | |
Hilton Domestic Operating Company, Inc. | | | | | | | | |
4.00% due 05/01/315 | | | 15,900,000 | | | | 15,005,625 | |
3.63% due 02/15/325 | | | 4,150,000 | | | | 3,766,125 | |
5.75% due 05/01/285 | | | 525,000 | | | | 543,165 | |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc. | | | | | | | | |
4.63% due 01/15/295 | | | 15,975,000 | | | | 15,136,312 | |
Hyatt Hotels Corp. | | | | | | | | |
5.38% due 04/23/25 | | | 7,350,000 | | | | 7,715,341 | |
5.75% due 04/23/30 | | | 6,530,000 | | | | 7,215,243 | |
JB Poindexter & Company, Inc. | | | | | | | | |
7.13% due 04/15/265 | | | 11,725,000 | | | | 11,915,531 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. | | | | | | | | |
5.00% due 06/01/315 | | | 11,350,000 | | | $ | 10,640,625 | |
5.88% due 03/01/27 | | | 660,000 | | | | 669,075 | |
Boyne USA, Inc. | | | | | | | | |
4.75% due 05/15/295 | | | 11,310,000 | | | | 10,857,600 | |
Scotts Miracle-Gro Co. | | | | | | | | |
4.00% due 04/01/31 | | | 9,900,000 | | | | 8,632,651 | |
British Airways Class A Pass Through Trust | | | | | | | | |
4.25% due 11/15/325 | | | 8,244,198 | | | | 8,235,817 | |
Wabash National Corp. | | | | | | | | |
4.50% due 10/15/285 | | | 9,100,000 | | | | 8,190,000 | |
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. | | | | | | | | |
5.75% due 01/20/265 | | | 6,495,000 | | | | 6,498,702 | |
Papa John’s International, Inc. | | | | | | | | |
3.88% due 09/15/295 | | | 7,025,000 | | | | 6,448,388 | |
Penn National Gaming, Inc. | | | | | | | | |
4.13% due 07/01/295 | | | 6,975,000 | | | | 6,244,020 | |
Six Flags Theme Parks, Inc. | | | | | | | | |
7.00% due 07/01/255 | | | 5,475,000 | | | | 5,714,531 | |
American Airlines Class AA Pass Through Trust | | | | | | | | |
3.58% due 01/15/28 | | | 2,404,073 | | | | 2,284,145 | |
3.35% due 10/15/29 | | | 1,296,915 | | | | 1,242,905 | |
3.65% due 02/15/29 | | | 1,122,615 | | | | 1,087,309 | |
3.15% due 02/15/32 | | | 1,069,887 | | | | 1,004,993 | |
Aramark Services, Inc. | | | | | | | | |
6.38% due 05/01/255 | | | 5,100,000 | | | | 5,235,303 | |
Superior Plus Limited Partnership / Superior General Partner, Inc. | | | | | | | | |
4.50% due 03/15/295 | | | 4,800,000 | | | | 4,510,224 | |
Murphy Oil USA, Inc. | | | | | | | | |
3.75% due 02/15/315 | | | 4,825,000 | | | | 4,402,813 | |
Beacon Roofing Supply, Inc. | | | | | | | | |
4.13% due 05/15/295 | | | 4,589,000 | | | | 4,239,364 | |
Asbury Automotive Group, Inc. | | | | | | | | |
4.63% due 11/15/295 | | | 4,472,000 | | | | 4,164,550 | |
WMG Acquisition Corp. | | | | | | | | |
3.75% due 12/01/295 | | | 3,200,000 | | | | 3,008,000 | |
3.00% due 02/15/315 | | | 1,275,000 | | | | 1,141,125 | |
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc. | | | | | | | | |
6.63% due 03/01/305 | | | 3,500,000 | | | | 3,450,230 | |
Air Canada Class A Pass Through Trust | | | | | | | | |
5.25% due 04/01/295 | | | 3,265,498 | | | | 3,370,109 | |
Station Casinos LLC | | | | | | | | |
4.63% due 12/01/315 | | | 3,450,000 | | | | 3,155,715 | |
PetSmart, Inc. / PetSmart Finance Corp. | | | | | | | | |
4.75% due 02/15/285 | | | 2,800,000 | | | | 2,705,934 | |
Air Canada | | | | | | | | |
4.63% due 08/15/295 | | CAD | 3,550,000 | | | | 2,666,455 | |
Allison Transmission, Inc. | | | | | | | | |
3.75% due 01/30/315 | | | 2,925,000 | | | | 2,653,414 | |
United Airlines, Inc. | | | | | | | | |
4.63% due 04/15/295 | | | 1,700,000 | | | | 1,616,615 | |
Vail Resorts, Inc. | | | | | | | | |
6.25% due 05/15/255 | | | 1,525,000 | | | | 1,575,142 | |
United Airlines Class AA Pass Through Trust | | | | | | | | |
4.15% due 08/25/31 | | | 1,035,232 | | | | 1,044,805 | |
CD&R Smokey Buyer, Inc. | | | | | | | | |
6.75% due 07/15/255 | | | 950,000 | | | | 976,125 | |
Wyndham Hotels & Resorts, Inc. | | | | | | | | |
4.38% due 08/15/285 | | | 700,000 | | | | 673,750 | |
18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Tempur Sealy International, Inc. | | | | | | | | |
3.88% due 10/15/315 | | | 375,000 | | | $ | 321,563 | |
Total Consumer, Cyclical | | | 341,028,643 | |
| | | | | | | | | |
Industrial - 4.1% | | | | | | | | |
Boeing Co. | | | | | | | | |
5.15% due 05/01/30 | | | 32,030,000 | | | | 34,158,644 | |
5.81% due 05/01/50 | | | 16,010,000 | | | | 18,487,340 | |
5.71% due 05/01/40 | | | 16,010,000 | | | | 17,890,383 | |
New Enterprise Stone & Lime Company, Inc. | | | | | | | | |
5.25% due 07/15/285 | | | 11,300,000 | | | | 10,863,594 | |
9.75% due 07/15/285 | | | 10,350,000 | | | | 10,440,563 | |
Standard Industries, Inc. | | | | | | | | |
4.38% due 07/15/305 | | | 11,025,000 | | | | 10,098,404 | |
3.38% due 01/15/315 | | | 6,552,000 | | | | 5,733,000 | |
5.00% due 02/15/275 | | | 3,290,000 | | | | 3,261,311 | |
IP Lending I LLC | | | | | | | | |
4.00% due 09/08/25†††,5 | | | 15,347,531 | | | | 15,071,710 | |
Great Lakes Dredge & Dock Corp. | | | | | | | | |
5.25% due 06/01/295 | | | 15,585,000 | | | | 14,883,675 | |
Artera Services LLC | | | | | | | | |
9.03% due 12/04/255 | | | 14,385,000 | | | | 14,374,427 | |
TopBuild Corp. | | | | | | | | |
4.13% due 02/15/325 | | | 8,850,000 | | | | 8,020,313 | |
3.63% due 03/15/295 | | | 5,550,000 | | | | 5,043,562 | |
Intertape Polymer Group, Inc. | | | | | | | | |
4.38% due 06/15/295 | | | 11,050,000 | | | | 11,381,500 | |
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. | | | | | | | | |
4.13% due 08/15/265 | | | 11,680,000 | | | | 11,252,804 | |
Pactiv Evergreen Group Issuer Incorporated/Pactiv Evergreen Group Issuer LLC/Reynolds Gro | | | | | | | | |
4.00% due 10/15/275 | | | 11,150,000 | | | | 10,358,350 | |
Flowserve Corp. | | | | | | | | |
3.50% due 10/01/30 | | | 10,270,000 | | | | 9,726,266 | |
Dyal Capital Partners IV | | | | | | | | |
3.65% due 02/22/41††† | | | 10,950,000 | | | | 9,653,456 | |
Boxer Parent Company, Inc. | | | | | | | | |
6.50% due 10/02/25 | | EUR | 8,500,000 | | | | 9,483,374 | |
Cleaver-Brooks, Inc. | | | | | | | | |
7.88% due 03/01/235 | | | 9,852,000 | | | | 9,386,985 | |
GrafTech Finance, Inc. | | | | | | | | |
4.63% due 12/15/285 | | | 10,000,000 | | | | 9,299,200 | |
Deuce FinCo plc | | | | | | | | |
5.50% due 06/15/27 | | GBP | 7,350,000 | | | | 9,221,197 | |
Arcosa, Inc. | | | | | | | | |
4.38% due 04/15/295 | | | 9,400,000 | | | | 8,918,250 | |
Mauser Packaging Solutions Holding Co. | | | | | | | | |
8.50% due 04/15/245 | | | 6,550,000 | | | | 6,664,625 | |
5.50% due 04/15/245 | | | 800,000 | | | | 796,822 | |
IP Lending II Ltd. | | | | | | | | |
3.65% due 07/15/25†††,5 | | | 7,450,000 | | | | 7,305,294 | |
Atkore, Inc. | | | | | | | | |
4.25% due 06/01/315 | | | 7,625,000 | | | | 7,091,250 | |
BWX Technologies, Inc. | | | | | | | | |
4.13% due 06/30/285 | | | 6,700,000 | | | | 6,449,286 | |
PGT Innovations, Inc. | | | | | | | | |
4.38% due 10/01/295 | | | 6,100,000 | | | | 5,688,250 | |
Harsco Corp. | | | | | | | | |
5.75% due 07/31/275 | | | 3,900,000 | | | | 3,775,980 | |
Adevinta ASA | | | | | | | | |
3.00% due 11/15/27 | | EUR | 3,433,000 | | | | 3,672,858 | |
Howmet Aerospace, Inc. | | | | | | | | |
5.95% due 02/01/37 | | | 2,925,000 | | | | 3,117,728 | |
6.88% due 05/01/25 | | | 53,000 | | | | 57,553 | |
TK Elevator US Newco, Inc. | | | | | | | | |
5.25% due 07/15/275 | | | 3,000,000 | | | | 2,967,090 | |
Hillenbrand, Inc. | | | | | | | | |
5.75% due 06/15/25 | | | 2,525,000 | | | | 2,588,125 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Crown Americas LLC / Crown Americas Capital Corporation VI | | | | | | | | |
4.75% due 02/01/26 | | | 1,923,000 | | | $ | 1,943,538 | |
EnerSys | | | | | | | | |
5.00% due 04/30/235 | | | 1,900,000 | | | | 1,910,364 | |
EnPro Industries, Inc. | | | | | | | | |
5.75% due 10/15/26 | | | 1,423,000 | | | | 1,456,547 | |
Trinity Industries, Inc. | | | | | | | | |
4.55% due 10/01/24 | | | 1,260,000 | | | | 1,281,483 | |
Princess Juliana International Airport Operating Company N.V. | | | | | | | | |
5.50% due 12/20/279 | | | 1,036,187 | | | | 920,486 | |
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc | | | | | | | | |
4.00% due 09/01/295 | | | 950,000 | | | | 856,092 | |
Waste Pro USA, Inc. | | | | | | | | |
5.50% due 02/15/265 | | | 600,000 | | | | 567,048 | |
Graphic Packaging International LLC | | | | | | | | |
3.50% due 03/01/295 | | | 390,000 | | | | 358,800 | |
TransDigm, Inc. | | | | | | | | |
8.00% due 12/15/255 | | | 225,000 | | | | 235,300 | |
JELD-WEN, Inc. | | | | | | | | |
6.25% due 05/15/255 | | | 100,000 | | | | 103,037 | |
Total Industrial | | | | | | | 326,815,864 | |
| | | | | | | | | |
Consumer, Non-cyclical - 3.9% |
Mozart Debt Merger Sub, Inc. | | | | | | | | |
3.88% due 04/01/295 | | | 38,500,000 | | | | 35,612,500 | |
5.25% due 10/01/295 | | | 7,200,000 | | | | 6,693,624 | |
US Foods, Inc. | | | | | | | | |
6.25% due 04/15/255 | | | 11,950,000 | | | | 12,248,750 | |
4.75% due 02/15/295 | | | 6,550,000 | | | | 6,247,063 | |
4.63% due 06/01/305 | | | 2,675,000 | | | | 2,474,683 | |
Kraft Heinz Foods Co. | | | | | | | | |
4.38% due 06/01/46 | | | 6,320,000 | | | | 6,241,885 | |
5.20% due 07/15/45 | | | 5,725,000 | | | | 6,197,312 | |
5.50% due 06/01/50 | | | 2,800,000 | | | | 3,179,484 | |
5.00% due 06/04/42 | | | 2,490,000 | | | | 2,659,569 | |
4.88% due 10/01/49 | | | 2,025,000 | | | | 2,133,601 | |
Bausch Health Companies, Inc. | | | | | | | | |
4.88% due 06/01/285 | | | 15,600,000 | | | | 14,937,000 | |
DaVita, Inc. | | | | | | | | |
4.63% due 06/01/305 | | | 9,649,000 | | | | 9,010,236 | |
3.75% due 02/15/315 | | | 6,050,000 | | | | 5,293,750 | |
Sabre GLBL, Inc. | | | | | | | | |
7.38% due 09/01/255 | | | 7,350,000 | | | | 7,675,090 | |
9.25% due 04/15/255 | | | 2,180,000 | | | | 2,416,824 | |
BCP V Modular Services Finance II plc | | | | | | | | |
4.75% due 10/30/285 | | EUR | 9,000,000 | | | | 9,530,260 | |
Nielsen Finance LLC / Nielsen Finance Co. | | | | | | | | |
4.75% due 07/15/315 | | | 6,625,000 | | | | 6,616,719 | |
4.50% due 07/15/295 | | | 2,550,000 | | | | 2,543,625 | |
Prime Security Services Borrower LLC / Prime Finance, Inc. | | | | | | | | |
3.38% due 08/31/275 | | | 7,300,000 | | | | 6,678,697 | |
5.25% due 04/15/245 | | | 1,900,000 | | | | 1,945,296 | |
Sotheby’s/Bidfair Holdings, Inc. | | | | | | | | |
5.88% due 06/01/295 | | | 8,900,000 | | | | 8,610,750 | |
Option Care Health, Inc. | | | | | | | | |
4.38% due 10/31/295 | | | 8,725,000 | | | | 8,179,687 | |
IQVIA, Inc. | | | | | | | | |
5.00% due 05/15/275 | | | 6,650,000 | | | | 6,723,449 | |
5.00% due 10/15/265 | | | 1,350,000 | | | | 1,373,625 | |
Avantor Funding, Inc. | | | | | | | | |
4.63% due 07/15/285 | | | 8,175,000 | | | | 8,085,075 | |
Cheplapharm Arzneimittel GmbH | | | | | | | | |
5.50% due 01/15/285 | | | 8,085,000 | | | | 7,822,156 | |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | | | | | | | | |
5.00% due 12/31/265 | | | 5,500,000 | | | | 5,073,750 | |
7.00% due 12/31/275 | | | 2,991,000 | | | | 2,527,395 | |
20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
CPI CG, Inc. | | | | | | | | |
8.63% due 03/15/265 | | | 7,077,000 | | | $ | 6,887,903 | |
HealthEquity, Inc. | | | | | | | | |
4.50% due 10/01/295 | | | 6,900,000 | | | | 6,537,750 | |
Post Holdings, Inc. | | | | | | | | |
4.50% due 09/15/315 | | | 4,100,000 | | | | 3,632,559 | |
4.63% due 04/15/305 | | | 1,725,000 | | | | 1,553,276 | |
5.50% due 12/15/295 | | | 1,300,000 | | | | 1,250,834 | |
TreeHouse Foods, Inc. | | | | | | | | |
4.00% due 09/01/2811 | | | 7,575,000 | | | | 6,413,942 | |
Grifols Escrow Issuer S.A. | | | | | | | | |
4.75% due 10/15/285 | | | 6,750,000 | | | | 6,353,438 | |
Smithfield Foods, Inc. | | | | | | | | |
3.00% due 10/15/305 | | | 7,000,000 | | | | 6,352,932 | |
Service Corporation International | | | | | | | | |
3.38% due 08/15/30 | | | 5,275,000 | | | | 4,752,142 | |
4.00% due 05/15/31 | | | 1,650,000 | | | | 1,535,045 | |
WW International, Inc. | | | | | | | | |
4.50% due 04/15/295 | | | 7,050,000 | | | | 5,708,597 | |
Spectrum Brands, Inc. | | | | | | | | |
5.50% due 07/15/305 | | | 5,600,000 | | | | 5,376,000 | |
Chrome Bidco | | | | | | | | |
3.50% due 05/31/285 | | EUR | 4,800,000 | | | | 5,074,604 | |
Rent-A-Center, Inc. | | | | | | | | |
6.38% due 02/15/295,11 | | | 5,450,000 | | | | 4,986,750 | |
Central Garden & Pet Co. | | | | | | | | |
4.13% due 04/30/315 | | | 5,300,000 | | | | 4,770,000 | |
ADT Security Corp. | | | | | | | | |
4.88% due 07/15/325 | | | 5,150,000 | | | | 4,738,000 | |
CAB SELAS | | | | | | | | |
3.38% due 02/01/285 | | EUR | 4,100,000 | | | | 4,309,551 | |
Carriage Services, Inc. | | | | | | | | |
4.25% due 05/15/295 | | | 4,575,000 | | | | 4,261,246 | |
Endo Luxembourg Finance Company I SARL / Endo US, Inc. | | | | | | | | |
6.13% due 04/01/295 | | | 4,400,000 | | | | 4,015,000 | |
FAGE International S.A. / FAGE USA Dairy Industry, Inc. | | | | | | | | |
5.63% due 08/15/265 | | | 3,722,000 | | | | 3,666,170 | |
APi Escrow Corp. | | | | | | | | |
4.75% due 10/15/295 | | | 3,800,000 | | | | 3,529,250 | |
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc. | | | | | | | | |
3.75% due 12/01/315 | | | 3,400,000 | | | | 3,155,999 | |
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc. | | | | | | | | |
5.00% due 02/01/265 | | | 2,775,000 | | | | 2,664,000 | |
Charles River Laboratories International, Inc. | | | | | | | | |
4.00% due 03/15/315 | | | 2,500,000 | | | | 2,346,875 | |
Hologic, Inc. | | | | | | | | |
3.25% due 02/15/295 | | | 2,450,000 | | | | 2,287,736 | |
Molina Healthcare, Inc. | | | | | | | | |
4.38% due 06/15/285 | | | 1,770,000 | | | | 1,751,627 | |
Par Pharmaceutical, Inc. | | | | | | | | |
7.50% due 04/01/275 | | | 1,825,000 | | | | 1,702,999 | |
Altria Group, Inc. | | | | | | | | |
4.45% due 05/06/50 | | | 1,670,000 | | | | 1,515,442 | |
Tenet Healthcare Corp. | | | | | | | | |
4.63% due 06/15/285 | | | 975,000 | | | | 956,719 | |
5.13% due 11/01/275 | | | 550,000 | | | | 552,588 | |
Syneos Health, Inc. | | | | | | | | |
3.63% due 01/15/295 | | | 1,600,000 | | | | 1,478,000 | |
Performance Food Group, Inc. | | | | | | | | |
6.88% due 05/01/255 | | | 304,000 | | | | 314,576 | |
Total Consumer, Non-cyclical | | | 313,163,405 | |
| | | | | | | | | |
Energy - 2.3% | | | | | | | | |
BP Capital Markets plc | | | | | | | | |
4.88%4,7 | | | 39,360,000 | | | | 39,458,400 | |
ITT Holdings LLC | | | | | | | | |
6.50% due 08/01/295 | | | 39,200,000 | | | | 36,209,824 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Occidental Petroleum Corp. | | | | | | | | |
7.95% due 06/15/39 | | | 12,735,000 | | | $ | 16,153,456 | |
6.63% due 09/01/30 | | | 3,600,000 | | | | 4,131,000 | |
4.50% due 07/15/44 | | | 2,850,000 | | | | 2,723,560 | |
6.13% due 01/01/31 | | | 2,250,000 | | | | 2,531,250 | |
3.00% due 02/15/27 | | | 2,130,000 | | | | 2,082,075 | |
4.63% due 06/15/45 | | | 1,700,000 | | | | 1,649,000 | |
4.40% due 04/15/46 | | | 900,000 | | | | 855,000 | |
NuStar Logistics, LP | | | | | | | | |
6.38% due 10/01/30 | | | 19,025,000 | | | | 19,282,598 | |
5.63% due 04/28/27 | | | 450,000 | | | | 440,269 | |
Midwest Connector Capital Company LLC | | | | | | | | |
4.63% due 04/01/295 | | | 18,763,000 | | | | 18,961,065 | |
Parkland Corp. | | | | | | | | |
4.63% due 05/01/305 | | | 20,000,000 | | | | 18,600,000 | |
Global Partners Limited Partnership / GLP Finance Corp. | | | | | | | | |
6.88% due 01/15/29 | | | 3,950,000 | | | | 3,903,686 | |
7.00% due 08/01/27 | | | 2,200,000 | | | | 2,200,000 | |
Rattler Midstream, LP | | | | | | | | |
5.63% due 07/15/255 | | | 5,550,000 | | | | 5,633,250 | |
DT Midstream, Inc. | | | | | | | | |
4.13% due 06/15/295 | | | 5,250,000 | | | | 5,033,726 | |
DCP Midstream Operating, LP | | | | | | | | |
3.25% due 02/15/32 | | | 4,750,000 | | | | 4,275,000 | |
Atlantica Sustainable Infrastructure plc | | | | | | | | |
4.13% due 06/15/285 | | | 1,550,000 | | | | 1,493,673 | |
Basic Energy Services, Inc. | | | | | | | | |
due 10/15/238,9 | | | 1,500,000 | | | | 30,000 | |
Total Energy | | | | | | | 185,646,832 | |
| | | | | | | | | |
Technology - 1.7% | | | | | | | | |
Minerva Merger Sub, Inc. | | | | | | | | |
6.50% due 02/15/305 | | | 26,650,000 | | | | 25,853,831 | |
Qorvo, Inc. | | | | | | | | |
4.38% due 10/15/29 | | | 11,220,000 | | | | 11,223,758 | |
3.38% due 04/01/315 | | | 9,225,000 | | | | 8,388,754 | |
NCR Corp. | | | | | | | | |
5.25% due 10/01/305 | | | 11,425,000 | | | | 10,830,443 | |
5.13% due 04/15/295 | | | 6,350,000 | | | | 6,104,509 | |
6.13% due 09/01/295 | | | 25,000 | | | | 25,062 | |
Twilio, Inc. | | | | | | | | |
3.88% due 03/15/31 | | | 15,100,000 | | | | 14,035,713 | |
CDW LLC / CDW Finance Corp. | | | | | | | | |
3.57% due 12/01/31 | | | 14,000,000 | | | | 12,970,300 | |
TeamSystem SpA | | | | | | | | |
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 02/15/28◊ | | EUR | 11,750,000 | | | | 12,824,494 | |
Citrix Systems, Inc. | | | | | | | | |
1.25% due 03/01/26 | | | 12,100,000 | | | | 11,763,831 | |
Booz Allen Hamilton, Inc. | | | | | | | | |
3.88% due 09/01/285 | | | 11,800,000 | | | | 11,390,422 | |
Playtika Holding Corp. | | | | | | | | |
4.25% due 03/15/295 | | | 8,750,000 | | | | 8,071,875 | |
MSCI, Inc. | | | | | | | | |
3.88% due 02/15/315 | | | 883,000 | | | | 837,221 | |
ACI Worldwide, Inc. | | | | | | | | |
5.75% due 08/15/265 | | | 400,000 | | | | 409,000 | |
Boxer Parent Company, Inc. | | | | | | | | |
7.13% due 10/02/255 | | | 375,000 | | | | 388,703 | |
Total Technology | | | | | | | 135,117,916 | |
| | | | | | | | | |
Basic Materials - 1.5% |
Alcoa Nederland Holding BV | | | | | | | | |
5.50% due 12/15/275 | | | 15,125,000 | | | | 15,655,585 | |
6.13% due 05/15/285 | | | 7,450,000 | | | | 7,803,875 | |
4.13% due 03/31/295 | | | 4,900,000 | | | | 4,801,657 | |
Carpenter Technology Corp. | | | | | | | | |
6.38% due 07/15/28 | | | 8,315,000 | | | | 8,348,676 | |
7.63% due 03/15/30 | | | 6,100,000 | | | | 6,245,851 | |
WR Grace Holdings LLC | | | | | | | | |
4.88% due 06/15/275 | | | 13,750,000 | | | | 13,453,687 | |
22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Kaiser Aluminum Corp. | | | | | | | | |
4.50% due 06/01/315 | | | 13,250,000 | | | $ | 11,946,068 | |
4.63% due 03/01/285 | | | 650,000 | | | | 610,584 | |
Minerals Technologies, Inc. | | | | | | | | |
5.00% due 07/01/285 | | | 11,230,000 | | | | 10,696,575 | |
EverArc Escrow SARL | | | | | | | | |
5.00% due 10/30/295 | | | 11,525,000 | | | | 10,530,969 | |
SCIL IV LLC / SCIL USA Holdings LLC | | | | | | | | |
5.38% due 11/01/265 | | | 9,800,000 | | | | 9,016,000 | |
Clearwater Paper Corp. | | | | | | | | |
4.75% due 08/15/285 | | | 5,539,000 | | | | 5,144,346 | |
HB Fuller Co. | | | | | | | | |
4.25% due 10/15/28 | | | 5,250,000 | | | | 4,915,050 | |
Novelis Sheet Ingot GmbH | | | | | | | | |
3.38% due 04/15/29 | | EUR | 4,500,000 | | | | 4,736,926 | |
Compass Minerals International, Inc. | | | | | | | | |
6.75% due 12/01/275 | | | 2,634,000 | | | | 2,667,188 | |
ArcelorMittal S.A. | | | | | | | | |
4.55% due 03/11/26 | | | 2,450,000 | | | | 2,510,111 | |
Arconic Corp. | | | | | | | | |
6.00% due 05/15/255 | | | 2,275,000 | | | | 2,327,325 | |
Ingevity Corp. | | | | | | | | |
3.88% due 11/01/285 | | | 1,000,000 | | | | 903,830 | |
Mirabela Nickel Ltd. | | | | | | | | |
due 06/24/198,9 | | | 1,885,418 | | | | 94,271 | |
Total Basic Materials | | | | | | | 122,408,574 | |
| | | | | | | | | |
Utilities - 1.2% | | | | | | | | |
Midcap Funding XLVI Trust | | | | | | | | |
3.79% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/22/23◊,††† | | | 43,400,000 | | | | 43,442,002 | |
Cheniere Corpus Christi Holdings LLC | | | | | | | | |
3.52% due 12/31/39††† | | | 21,800,000 | | | | 19,988,267 | |
Clearway Energy Operating LLC | | | | | | | | |
3.75% due 02/15/315 | | | 13,450,000 | | | | 12,577,028 | |
AES Corp. | | | | | | | | |
3.95% due 07/15/305 | | | 9,760,000 | | | | 9,668,808 | |
Terraform Global Operating LLC | | | | | | | | |
6.13% due 03/01/265 | | | 8,285,000 | | | | 8,279,201 | |
Total Utilities | | | | | | | 93,955,306 | |
| | | | | | | | | |
Total Corporate Bonds | | | | |
(Cost $2,635,295,203) | | | 2,508,147,127 | |
| | | | | |
SENIOR FLOATING RATE INTERESTS††,◊ - 24.5% |
Consumer, Cyclical - 5.8% |
MB2 Dental Solutions LLC | | | | | | | | |
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27††† | | | 24,081,846 | | | | 23,694,160 | |
7.16% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27††† | | | 7,389,304 | | | | 7,270,346 | |
Zephyr Bidco Ltd. | | | | | | | | |
5.47% (1 Month GBP SONIA + 4.75%, Rate Floor: 5.23%) due 07/23/25 | | GBP | 20,850,000 | | | | 26,693,281 | |
8.22% (1 Month GBP SONIA + 7.50%, Rate Floor: 7.98%) due 07/23/26 | | GBP | 1,540,417 | | | | 1,998,268 | |
Packers Holdings LLC | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28 | | | 22,954,073 | | | | 22,581,069 | |
FR Refuel LLC | | | | | | | | |
5.50% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 11/08/28††† | | | 20,794,550 | | | | 20,378,659 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Pacific Bells, LLC | | | | | | | | |
5.00% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 11/10/28††† | | | 19,645,608 | | | $ | 19,424,595 | |
BGIS (BIFM CA Buyer, Inc.) | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26††† | | | 17,946,588 | | | | 17,632,523 | |
Mavis Tire Express Services TopCo Corp. | | | | | | | | |
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28 | | | 17,313,000 | | | | 17,180,729 | |
BCPE Empire Holdings, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/11/26 | | | 16,887,452 | | | | 16,634,140 | |
4.46% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/11/26 | | | 222,154 | | | | 218,637 | |
Breitling Financing SARL | | | | | | | | |
4.00% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 10/25/28 | | EUR | 13,900,000 | | | | 15,235,704 | |
Truck Hero, Inc. | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 01/31/28 | | | 15,698,607 | | | | 15,188,402 | |
SP PF Buyer LLC | | | | | | | | |
4.96% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25 | | | 15,347,595 | | | | 14,561,031 | |
BRE/Everbright M6 Borrower LLC | | | | | | | | |
5.75% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 09/09/26 | | | 14,396,937 | | | | 14,073,006 | |
PAI Holdco, Inc. | | | | | | | | |
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/28/27 | | | 14,051,605 | | | | 13,893,525 | |
CNT Holdings I Corp. | | | | | | | | |
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 11/08/27 | | | 11,828,000 | | | | 11,751,591 | |
CD&R Firefly Bidco Ltd. | | | | | | | | |
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 06/23/25 | | EUR | 6,000,000 | | | | 6,542,901 | |
4.94% (GBP SONIA + 4.50%, Rate Floor: 4.50%) due 06/23/25 | | GBP | 3,350,000 | | | | 4,289,597 | |
Flamingo | | | | | | | | |
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/24/28 | | EUR | 10,000,000 | | | | 10,816,643 | |
EnTrans International LLC | | | | | | | | |
6.46% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 11/01/24 | | | 10,931,200 | | | | 10,603,264 | |
24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Loire Finco Luxembourg SARL | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/27 | | | 10,692,404 | | | $ | 10,545,384 | |
Verisure Holding AB | | | | | | | | |
3.25% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26 | | EUR | 7,651,053 | | | | 8,273,246 | |
3.25% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28 | | EUR | 1,770,000 | | | | 1,910,531 | |
Rent-A-Center, Inc. | | | | | | | | |
3.81% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28 | | | 10,326,726 | | | | 10,100,881 | |
CHG Healthcare Services, Inc. | | | | | | | | |
5.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 5.00%) due 09/29/28 | | | 9,154,000 | | | | 9,059,622 | |
BCP V Modular Services Holdings IV Ltd. | | | | | | | | |
4.50% (3 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 10/06/28 | | EUR | 8,200,000 | | | | 8,937,701 | |
ImageFIRST Holdings LLC | | | | | | | | |
5.48% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 04/27/28 | | | 8,887,847 | | | | 8,710,090 | |
NFM & J LLC | | | | | | | | |
6.75% (1 Month USD LIBOR + 5.75%, Rate Floor: 6.75%) due 11/30/27††† | | | 8,405,227 | | | | 8,318,462 | |
United Petfood | | | | | | | | |
3.00% (6 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 04/24/28 | | EUR | 7,000,000 | | | | 7,513,555 | |
PetSmart LLC | | | | | | | | |
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28 | | | 7,462,500 | | | | 7,431,381 | |
Holding SOCOTEC | | | | | | | | |
5.26% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 06/30/28 | | | 7,150,000 | | | | 7,096,375 | |
Camin Cargo Control, Inc. | | | | | | | | |
7.50% (1 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 06/04/26††† | | | 6,865,500 | | | | 6,796,845 | |
Accuride Corp. | | | | | | | | |
6.26% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23 | | | 7,017,087 | | | | 6,606,588 | |
Cast & Crew Payroll LLC | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/26 | | | 6,575,194 | | | | 6,523,513 | |
AlixPartners, LLP | | | | | | | | |
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 02/04/28 | | EUR | 5,940,000 | | | | 6,455,913 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Fertitta Entertainment LLC | | | | | | | | |
4.50% (1 Month USD Term SOFR + 4.00%, Rate Floor: 4.50%) due 01/27/29 | | | 5,550,000 | | | $ | 5,515,313 | |
Scientific Games Holdings, LP | | | | | | | | |
due 02/03/29 | | | 5,500,000 | | | | 5,443,020 | |
First Brands Group LLC | | | | | | | | |
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 03/30/27 | | | 5,012,125 | | | | 4,962,004 | |
ScribeAmerica Intermediate Holdco LLC (Healthchannels) | | | | | | | | |
4.96% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25 | | | 4,741,657 | | | | 4,299,118 | |
The Facilities Group | | | | | | | | |
6.75% (1 Month USD LIBOR + 5.75%, Rate Floor: 6.75%) due 11/30/27††† | | | 4,251,199 | | | | 4,207,315 | |
Galls LLC | | | | | | | | |
7.75% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.75%) due 01/31/25††† | | | 3,658,053 | | | | 3,530,020 | |
7.75% ((1 Month USD LIBOR + 6.75%) and (3 Month USD LIBOR + 6.75%), Rate Floor: 7.75%) due 01/31/24††† | | | 444,556 | | | | 426,833 | |
Sovos Brands Intermediate, Inc. | | | | | | | | |
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 06/08/28 | | | 3,998,759 | | | | 3,950,214 | |
Alexander Mann | | | | | | | | |
5.72% (6 Month GBP LIBOR + 5.00%, Rate Floor: 5.00%) due 06/16/25 | | GBP | 3,000,000 | | | | 3,819,006 | |
SHO Holding I Corp. | | | | | | | | |
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/26/24 | | | 3,623,601 | | | | 3,342,772 | |
6.23% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24 | | | 60,373 | | | | 55,694 | |
Apro LLC | | | | | | | | |
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/16/26 | | | 3,267,000 | | | | 3,242,498 | |
Eagle Parent Corp. | | | | | | | | |
due 03/17/29 | | | 3,000,000 | | | | 2,968,740 | |
Checkers Drive-In Restaurants, Inc. | | | | | | | | |
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 04/25/24 | | | 3,287,557 | | | | 2,893,050 | |
Adevinta ASA | | | | | | | | |
3.00% (3 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 06/26/28 | | EUR | 2,600,000 | | | | 2,842,076 | |
26 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Blue Nile, Inc. | | | | | | | | |
8.00% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 02/17/23 | | | 2,712,500 | | | $ | 2,648,078 | |
WESCO | | | | | | | | |
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/14/24††† | | | 2,306,764 | | | | 2,302,563 | |
CCRR Parent, Inc. | | | | | | | | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/06/28 | | | 1,885,750 | | | | 1,873,964 | |
TTF Holdings Intermediate LLC | | | | | | | | |
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/31/28††† | | | 1,720,500 | | | | 1,711,898 | |
EG Finco Ltd. | | | | | | | | |
5.06% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 02/07/25 | | GBP | 962,500 | | | | 1,231,371 | |
Total Consumer, Cyclical | | | 466,207,705 | |
| | | | | | | | | |
Industrial - 5.2% | | | | | | | | |
CapStone Acquisition Holdings, Inc. | | | | | | | | |
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27 | | | 26,264,212 | | | | 26,220,350 | |
United Airlines, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28 | | | 25,245,000 | | | | 24,908,484 | |
Arcline FM Holdings LLC | | | | | | | | |
5.50% (6 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28 | | | 21,094,000 | | | | 20,786,449 | |
Hunter Douglas, Inc. | | | | | | | | |
4.00% (3 Month USD Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/26/29 | | | 21,000,000 | | | | 20,553,750 | |
AI Convoy Luxembourg SARL | | | | | | | | |
4.50% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 01/18/27 | | | 11,440,697 | | | | 11,274,807 | |
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 01/18/27 | | EUR | 8,324,708 | | | | 9,044,887 | |
American Bath Group LLC | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27 | | | 20,594,099 | | | | 19,979,571 | |
Mileage Plus Holdings LLC | | | | | | | | |
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | | | 15,250,000 | | | | 15,802,812 | |
Minerva Bidco Ltd. | | | | | | | | |
due 07/30/25 | | GBP | 11,000,000 | | | | 14,185,237 | |
TK Elevator Midco GmbH | | | | | | | | |
3.63% (1 Month EURIBOR + 3.63%, Rate Floor: 3.63%) due 07/30/27 | | EUR | 7,000,000 | | | | 7,620,062 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 27 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
4.02% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27 | | | 6,468,533 | | | $ | 6,399,838 | |
TransDigm, Inc. | | | | | | | | |
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25 | | | 14,079,147 | | | | 13,810,798 | |
NA Rail Hold Co. LLC | | | | | | | | |
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.25%) due 10/19/26 | | | 13,776,790 | | | | 13,759,569 | |
Fugue Finance BV | | | | | | | | |
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 08/30/24 | | EUR | 12,545,690 | | | | 13,690,309 | |
DXP Enterprises, Inc. | | | | | | | | |
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27 | | | 13,117,500 | | | | 12,978,192 | |
Charter Next Generation, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27 | | | 13,018,500 | | | | 12,937,134 | |
Merlin Buyer, Inc. | | | | | | | | |
4.65% (1 Month USD Term SOFR + 4.00%, Rate Floor: 4.50%) due 12/14/28 | | | 12,000,000 | | | | 11,700,000 | |
Service Logic Acquisition, Inc. | | | | | | | | |
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27 | | | 11,377,096 | | | | 11,244,325 | |
TricorBraun Holdings, Inc. | | | | | | | | |
3.75% (6 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28 | | | 10,872,370 | | | | 10,583,926 | |
DiversiTech Holdings | | | | | | | | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/28 | | | 10,730,000 | | | | 10,569,050 | |
DG Investment Intermediate Holdings 2, Inc. | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 03/31/28 | | | 10,471,223 | | | | 10,353,421 | |
Dispatch Terra Acquisition LLC | | | | | | | | |
5.26% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28 | | | 10,319,200 | | | | 10,087,018 | |
Air Canada | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | | | 9,800,000 | | | | 9,697,884 | |
PECF USS Intermediate Holding III Corp. | | | | | | | | |
4.76% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28 | | | 7,980,000 | | | | 7,894,534 | |
YAK MAT (YAK ACCESS LLC) | | | | | | | | |
10.95% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26 | | | 12,220,199 | | | | 7,810,785 | |
28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Park River Holdings, Inc. | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27 | | | 6,754,474 | | | $ | 6,596,487 | |
Filtration Group Corp. | | | | | | | | |
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25 | | EUR | 3,567,619 | | | | 3,876,731 | |
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 10/21/28 | | | 2,493,750 | | | | 2,462,578 | |
Michael Baker International LLC | | | | | | | | |
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 12/01/28 | | | 6,384,000 | | | | 6,288,240 | |
Valcour Packaging LLC | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 10/04/28 | | | 6,300,000 | | | | 6,142,500 | |
Pelican Products, Inc. | | | | | | | | |
5.26% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/29/28 | | | 5,450,000 | | | | 5,334,188 | |
TSG Solutions Holding | | | | | | | | |
due 02/01/29 | | EUR | 4,400,000 | | | | 4,791,798 | |
BWAY Holding Co. | | | | | | | | |
3.48% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | | | 4,799,734 | | | | 4,725,722 | |
Patriot Container Corp. (Wastequip) | | | | | | | | |
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/20/25 | | | 4,705,021 | | | | 4,505,057 | |
Saverglass | | | | | | | | |
4.25% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 02/19/29 | | EUR | 3,700,000 | | | | 4,032,865 | |
STS Operating, Inc. (SunSource) | | | | | | | | |
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24 | | | 4,017,759 | | | | 3,954,479 | |
ILPEA Parent, Inc. | | | | | | | | |
5.25% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 06/22/28 | | | 3,654,742 | | | | 3,572,511 | |
Rinchem Company LLC | | | | | | | | |
5.00% (3 Month USD Term SOFR + 4.50%, Rate Floor: 5.00%) due 03/02/29††† | | | 3,550,000 | | | | 3,532,250 | |
LTI Holdings, Inc. | | | | | | | | |
5.21% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 07/24/26 | | | 1,945,125 | | | | 1,920,811 | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/08/25 | | | 1,447,500 | | | | 1,412,818 | |
Protective Industrial Products, Inc. | | | | | | | | |
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/29/27 | | | 3,254,749 | | | | 3,197,791 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Titan Acquisition Ltd. (Husky) | | | | | | | | |
3.35% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 | | | 2,964,934 | | | $ | 2,896,117 | |
Integrated Power Services Holdings, Inc. | | | | | | | | |
5.76% ((1 Month USD LIBOR + 4.75%) and (Commercial Prime Lending Rate + 3.75%), Rate Floor: 5.50%) due 11/22/28††† | | | 2,432,927 | | | | 2,408,598 | |
5.72% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 11/22/28††† | | | 467,378 | | | | 462,704 | |
Bhi Investments LLC | | | | | | | | |
5.25% ((3 Month USD LIBOR + 4.25%) and (6 Month USD LIBOR + 4.25%), Rate Floor: 5.25%) due 08/28/24 | | | 2,490,390 | | | | 2,440,582 | |
MI Windows And Doors LLC | | | | | | | | |
4.00% (1 Month USD Term SOFR + 3.50%, Rate Floor: 4.00%) due 12/18/27 | | | 2,465,820 | | | | 2,432,951 | |
Pro Mach Group, Inc. | | | | | | | | |
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28 | | | 2,011,872 | | | | 2,000,726 | |
Waterlogic USA Holdings, Inc. | | | | | | | | |
5.76% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 08/17/28 | | | 1,990,000 | | | | 1,981,702 | |
API Heat Transfer | | | | | | | | |
12.00% (3 Month USD LIBOR, Rate Floor: 0.00%) (in-kind rate was 12.00%) due 01/01/24†††,12 | | | 1,213,224 | | | | 363,967 | |
12.00% (3 Month USD LIBOR, Rate Floor: 0.00%) (in-kind rate was 12.00%) due 10/02/23†††,12 | | | 222,946 | | | | 167,209 | |
Duran Group Holding GMBH | | | | | | | | |
3.75% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/29/24††† | | EUR | 416,090 | | | | 439,710 | |
3.75% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 12/20/24††† | | EUR | 81,858 | | | | 86,505 | |
Transcendia Holdings, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/30/24 | | | 562,006 | | | | 498,252 | |
Total Industrial | | | | | | | 416,419,041 | |
| | | | | | | | | |
30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Consumer, Non-cyclical - 4.8% |
Women’s Care Holdings, Inc. | | | | | | | | |
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28 | | | 31,660,750 | | | $ | 31,185,839 | |
Mission Veterinary Partners | | | | | | | | |
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28 | | | 21,342,750 | | | | 21,075,966 | |
National Mentor Holdings, Inc. | | | | | | | | |
4.64% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28 | | | 21,089,149 | | | | 20,365,580 | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28 | | | 479,283 | | | | 462,838 | |
HAH Group Holding Co. LLC | | | | | | | | |
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27 | | | 12,229,950 | | | | 12,046,501 | |
due 10/29/27 | | | 8,000,000 | | | | 7,680,000 | |
Quirch Foods Holdings LLC | | | | | | | | |
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 10/27/27 | | | 19,658,588 | | | | 19,511,148 | |
Blue Ribbon LLC | | | | | | | | |
6.75% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28 | | | 17,160,000 | | | | 16,799,640 | |
Southern Veterinary Partners LLC | | | | | | | | |
5.00% (6 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27 | | | 15,776,572 | | | | 15,638,527 | |
PetIQ LLC | | | | | | | | |
4.75% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 04/13/28††† | | | 15,721,000 | | | | 15,603,092 | |
SCP Eye Care Services LLC | | | | | | | | |
6.00% (3 Month USD LIBOR + 4.50%, Rate Floor: 6.00%) due 03/16/28 | | | 13,787,855 | | | | 13,546,568 | |
LaserAway Intermediate Holdings II LLC | | | | | | | | |
6.50% (3 Month USD LIBOR + 5.75%, Rate Floor: 6.50%) due 10/14/27††† | | | 13,400,000 | | | | 13,232,500 | |
Florida Food Products LLC | | | | | | | | |
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 10/18/28 | | | 12,954,615 | | | | 12,760,296 | |
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 | | | | 12,415,901 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Kronos Acquisition Holdings, Inc. | | | | | | | | |
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | | | 13,118,622 | | | $ | 12,189,430 | |
Nidda Healthcare Holding GmbH | | | | | | | | |
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26 | | EUR | 11,387,239 | | | | 12,046,759 | |
Del Monte Foods, Inc. | | | | | | | | |
due 02/16/29 | | | 11,650,000 | | | | 11,460,687 | |
Hearthside Group Holdings LLC | | | | | | | | |
4.14% (1 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 05/23/25 | | | 6,706,099 | | | | 6,449,389 | |
4.46% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25 | | | 5,014,132 | | | | 4,843,351 | |
Cambrex Corp. | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 12/04/26 | | | 10,348,321 | | | | 10,251,357 | |
EyeCare Partners LLC | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/15/28 | | | 8,125,000 | | | | 8,025,956 | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27 | | | 2,161,482 | | | | 2,130,422 | |
Sunshine Investments BV | | | | | | | | |
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 03/28/25 | | EUR | 8,400,000 | | | | 9,205,701 | |
Resonetics LLC | | | | | | | | |
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/28/28 | | | 8,706,250 | | | | 8,608,305 | |
Gibson Brands, Inc. | | | | | | | | |
5.75% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 08/11/28††† | | | 8,279,250 | | | | 8,113,665 | |
Medical Solutions Parent Holdings, Inc. | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/01/28 | | | 7,560,000 | | | | 7,484,400 | |
Endo Luxembourg Finance Company I SARL | | | | | | | | |
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 03/27/28 | | | 7,672,500 | | | | 7,169,798 | |
CAB (Biogroup) | | | | | | | | |
3.00% (6 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 02/09/28 | | EUR | 6,500,000 | | | | 6,994,854 | |
Osmosis Holdings Australia II Pty Ltd. | | | | | | | | |
4.25% (1 Week USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/31/28 | | | 6,550,000 | | | | 6,482,469 | |
Dermatology Intermediate Holdings III, Inc. | | | | | | | | |
due 03/23/29 | | | 6,487,402 | | | | 6,390,091 | |
32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Pearl Intermediate Parent LLC | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25 | | | 6,417,722 | | | $ | 6,377,611 | |
Mascot Bidco Oy | | | | | | | | |
4.50% (3 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 03/30/26 | | EUR | 5,075,000 | | | | 5,604,402 | |
Confluent Medical Technologies, Inc. | | | | | | | | |
4.25% (3 Month USD Term SOFR + 3.75%, Rate Floor: 4.25%) due 02/16/29 | | | 5,300,000 | | | | 5,194,000 | |
Confluent Health LLC | | | | | | | | |
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/30/28 | | | 4,567,699 | | | | 4,510,603 | |
IVC Acquisition Ltd. | | | | | | | | |
4.00% (2 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/13/26 | | EUR | 3,400,000 | | | | 3,726,794 | |
Fender Musical Instruments Corp. | | | | | | | | |
4.50% (1 Month USD Term SOFR + 4.00%, Rate Floor: 4.50%) due 12/01/28 | | | 3,541,680 | | | | 3,506,263 | |
Zep, Inc. | | | | | | | | |
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/12/24 | | | 3,672,376 | | | | 3,488,757 | |
Sharp Midco LLC | | | | | | | | |
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 12/31/28††† | | | 3,300,000 | | | | 3,275,250 | |
Packaging Coordinators Midco, Inc. | | | | | | | | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/30/27 | | | 2,537,186 | | | | 2,520,796 | |
Mamba Purchaser, Inc. | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 10/16/28 | | | 2,000,000 | | | | 1,975,000 | |
Certara Holdco, Inc. | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/17/26 | | | 1,608,130 | | | | 1,579,988 | |
Recess Holdings, Inc. | | | | | | | | |
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24 | | | 1,057,387 | | | | 1,034,917 | |
Moran Foods LLC | | | | | | | | |
11.75% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 10.75%) due 10/01/2412 | | | 538,794 | | | | 438,218 | |
8.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 7.00%) due 04/01/2412 | | | 407,793 | | | | 402,357 | |
8.00% (2 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 04/01/24 | | | 54,016 | | | | 53,296 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
KDC US Holdings, Inc. | | | | | | | | |
4.21% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/22/25 | | | 822,879 | | | $ | 808,479 | |
Triton Water Holdings, Inc. | | | | | | | | |
4.51% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 03/31/28 | | | 497,494 | | | | 484,435 | |
Weber-Stephen Products LLC | | | | | | | | |
5.00% (3 Month USD Term SOFR + 4.25%, Rate Floor: 5.00%) due 10/30/27††† | | | 425,000 | | | | 417,562 | |
TGP Holdings LLC | | | | | | | | |
due 06/29/28 | | | 198,788 | | | | 189,843 | |
Total Consumer, Non-cyclical | | | 385,759,601 | |
| | | | | | | | | |
Technology - 3.5% | | | | | | | | |
Planview Parent, Inc. | | | | | | | | |
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27 | | | 23,206,250 | | | | 22,887,164 | |
Polaris Newco LLC | | | | | | | | |
3.93% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/04/26††† | | | 10,992,038 | | | | 9,842,903 | |
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28 | | | 8,692,349 | | | | 8,620,637 | |
Peraton Corp. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | | | 17,646,278 | | | | 17,497,343 | |
Project Ruby Ultimate Parent Corp. | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28 | | | 17,424,000 | | | | 17,232,336 | |
Apttus Corp. | | | | | | | | |
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28 | | | 17,213,500 | | | | 17,141,720 | |
Aston FinCo SARL | | | | | | | | |
5.46% (3 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 10/09/26††† | | GBP | 12,902,663 | | | | 16,652,916 | |
Datix Bidco Ltd. | | | | | | | | |
4.68% (6 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25††† | | | 9,112,505 | | | | 9,072,605 | |
8.21% (6 Month GBP LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26††† | | GBP | 4,225,000 | | | | 5,520,341 | |
4.96% (6 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25††† | | GBP | 1,000,000 | | | | 1,307,894 | |
7.93% (6 Month USD LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26††† | | | 461,709 | | | | 459,229 | |
Sitecore Holding III A/S | | | | | | | | |
7.00% (3 Month EURIBOR + 7.00%, Rate Floor: 7.00%) due 03/12/26††† | | EUR | 8,363,120 | | | | 9,144,927 | |
7.80% (3 Month USD LIBOR + 7.00%, Rate Floor: 7.50%) due 03/12/26††† | | | 6,767,667 | | | | 6,687,675 | |
34 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Atlas CC Acquisition Corp. | | | | | | | | |
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28 | | | 15,831,871 | | | $ | 15,747,804 | |
Wrench Group LLC | | | | | | | | |
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/30/26 | | | 15,421,371 | | | | 15,267,157 | |
Team.Blue Finco SARL | | | | | | | | |
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/27/28 | | EUR | 14,000,000 | | | | 15,259,489 | |
Transact Holdings, Inc. | | | | | | | | |
5.21% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 04/30/26 | | | 14,615,422 | | | | 14,460,206 | |
Valkyr Purchaser, LLC | | | | | | | | |
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 11/05/27 | | | 12,375,000 | | | | 12,344,063 | |
Sportradar Capital SARL | | | | | | | | |
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 11/22/27 | | EUR | 10,600,000 | | | | 11,462,005 | |
Project Boost Purchaser LLC | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26 | | | 6,947,500 | | | | 6,860,656 | |
Ping Identity Corp. | | | | | | | | |
4.25% (3 Month USD Term SOFR + 3.75%, Rate Floor: 4.25%) due 11/22/28 | | | 5,000,000 | | | | 4,962,500 | |
Imprivata, Inc. | | | | | | | | |
due 12/01/27 | | | 4,750,000 | | | | 4,724,255 | |
VT TopCo, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25 | | | 4,202,234 | | | | 4,126,090 | |
AVS Group GmbH | | | | | | | | |
3.75% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 09/10/26 | | EUR | 3,750,000 | | | | 4,069,229 | |
Sitecore USA, Inc. | | | | | | | | |
7.80% (3 Month USD LIBOR + 7.00%, Rate Floor: 7.50%) due 03/12/26††† | | | 3,836,489 | | | | 3,791,143 | |
Concorde Lux | | | | | | | | |
4.00% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/01/28 | | EUR | 3,300,000 | | | | 3,613,604 | |
Greenway Health LLC | | | | | | | | |
5.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 5.25%) due 02/16/24 | | | 3,463,980 | | | | 3,228,014 | |
Taxware Holdings (Sovos Compliance LLC) | | | | | | | | |
5.00% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28 | | | 3,232,310 | | | | 3,222,225 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Verscend Holding Corp. | | | | | | | | |
4.46% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/27/25 | | | 2,382,000 | | | $ | 2,370,090 | |
Misys Ltd. | | | | | | | | |
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24 | | | 2,385,340 | | | | 2,352,279 | |
24-7 Intouch, Inc. | | | | | | | | |
5.21% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 08/25/25††† | | | 2,232,835 | | | | 2,188,178 | |
Boxer Parent Company, Inc. | | | | | | | | |
4.76% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/02/25 | | | 1,571,104 | | | | 1,560,311 | |
Ep Purchaser LLC | | | | | | | | |
4.51% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/06/28 | | | 1,500,000 | | | | 1,487,190 | |
Brave Parent Holdings, Inc. | | | | | | | | |
4.46% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25 | | | 1,218,515 | | | | 1,201,761 | |
Kar Finland Bidco Oy | | | | | | | | |
4.50% (6 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 11/27/23††† | | EUR | 1,000,000 | | | | 1,084,431 | |
Conair Holdings LLC | | | | | | | | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28 | | | 399,624 | | | | 392,631 | |
Total Technology | | | | | | | 277,843,001 | |
| | | | | | | | | |
Financial - 2.6% | | | | | | | | |
Jones Deslauriers Insurance Management, Inc. | | | | | | | | |
5.00% (3 Month Canada Banker Acceptance + 4.25%, Rate Floor: 5.00%) due 03/27/28 | | CAD | 39,890,506 | | | | 30,959,738 | |
8.24% (3 Month Canada Banker Acceptance + 7.50%, Rate Floor: 8.00%) due 03/26/29 | | CAD | 10,612,000 | | | | 8,299,846 | |
8.38% (3 Month Canada Banker Acceptance + 7.50%, Rate Floor: 8.00%) due 03/26/29 | | CAD | 1,062,000 | | | | 830,610 | |
Orion Advisor Solutions, Inc. | | | | | | | | |
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/24/27 | | | 21,404,914 | | | | 21,197,500 | |
HighTower Holding LLC | | | | | | | | |
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28 | | | 18,755,750 | | | | 18,568,192 | |
36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Camelia Bidco Banc Civica | | | | | | | | |
5.64% (3 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 10/14/24 | | GBP | 12,975,000 | | | $ | 16,687,646 | |
Higginbotham Insurance Agency, Inc. | | | | | | | | |
6.25% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.25%) due 11/25/26††† | | | 13,604,846 | | | | 13,447,011 | |
Duff & Phelps | | | | | | | | |
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27 | | | 12,969,000 | | | | 12,887,944 | |
Franchise Group, Inc. | | | | | | | | |
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26 | | | 12,884,031 | | | | 12,851,821 | |
Franchise Group, Inc. | | | | | | | | |
5.29% (1 Month USD Term SOFR + 4.75%, Rate Floor: 4.75%) due 11/22/23††† | | | 11,827,887 | | | | 11,768,748 | |
Teneo Holdings LLC | | | | | | | | |
6.25% (3 Month USD Term SOFR + 5.25%, Rate Floor: 6.25%) due 07/11/25 | | | 10,797,890 | | | | 10,669,719 | |
Alter Domus | | | | | | | | |
4.50% (3 Month USD SOFR + 3.75%, Rate Floor: 4.50%) due 02/17/28 | | | 10,421,250 | | | | 10,284,523 | |
USI, Inc. | | | | | | | | |
4.26% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26 | | | 10,144,735 | | | | 10,051,708 | |
HUB International Ltd. | | | | | | | | |
3.27% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25 | | | 5,133,209 | | | | 5,069,557 | |
5.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 04/25/25 | | | 2,617,821 | | | | 2,598,790 | |
Aretec Group, Inc. | | | | | | | | |
4.71% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25 | | | 6,297,163 | | | | 6,236,836 | |
Eisner Advisory Group | | | | | | | | |
6.00% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.00%) due 07/28/28 | | | 6,128,820 | | | | 6,075,193 | |
Sandy Bidco BV | | | | | | | | |
due 06/12/28 | | EUR | 4,700,000 | | | | 5,181,338 | |
Cross Financial Corp. | | | | | | | | |
4.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27 | | | 4,711,894 | | | | 4,672,644 | |
Nexus Buyer LLC | | | | | | | | |
4.21% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 | | | 1,538,305 | | | | 1,521,768 | |
Cobham Ultra SeniorCo SARL | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/15/28 | | | 500,000 | | | | 493,960 | |
Total Financial | | | | | | | 210,355,092 | |
| | | | | | | | | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Communications - 1.2% |
Syndigo LLC | | | | | | | | |
5.25% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27††† | | | 27,274,500 | | | $ | 26,865,383 | |
Xplornet Communications, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28 | | | 24,752,625 | | | | 24,252,374 | |
FirstDigital Communications LLC | | | | | | | | |
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 12/17/26††† | | | 10,550,000 | | | | 10,472,574 | |
Radiate Holdco LLC | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26 | | | 7,703,782 | | | | 7,629,672 | |
Titan AcquisitionCo New Zealand Ltd. (Trade Me) | | | | | | | | |
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/18/28 | | | 6,550,000 | | | | 6,484,500 | |
Zayo Group Holdings, Inc. | | | | | | | | |
3.46% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27 | | | 6,146,447 | | | | 5,975,883 | |
McGraw Hill LLC | | | | | | | | |
5.55% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28 | | | 4,228,750 | | | | 4,179,866 | |
Recorded Books, Inc. | | | | | | | | |
4.39% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/29/25 | | | 4,143,341 | | | | 4,103,648 | |
Trader Interactive LLC | | | | | | | | |
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 07/28/28††† | | | 2,192,683 | | | | 2,159,793 | |
Cincinnati Bell, Inc. | | | | | | | | |
3.75% (1 Month USD Term SOFR + 3.25%, Rate Floor: 3.75%) due 11/23/28 | | | 1,000,000 | | | | 985,630 | |
Flight Bidco, Inc. | | | | | | | | |
7.96% (1 Month USD LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26††† | | | 1,000,000 | | | | 950,000 | |
SFR Group S.A. | | | | | | | | |
4.51% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/14/26 | | | 435,375 | | | | 426,850 | |
Total Communications | | | | | | | 94,486,173 | |
| | | | | | | | | |
Basic Materials - 0.9% |
Meridian Adhesives Group, Inc. | | | | | | | | |
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 07/24/28 | | | 13,685,700 | | | | 13,463,307 | |
38 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Illuminate Buyer LLC | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27 | | | 11,990,968 | | | $ | 11,578,839 | |
NIC Acquisition Corp. | | | | | | | | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27 | | | 10,941,490 | | | | 10,613,245 | |
CTEC III GmbH | | | | | | | | |
due 01/19/29 | | EUR | 6,800,000 | | | | 7,448,020 | |
Pregis TopCo LLC | | | | | | | | |
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 07/31/26 | | | 6,517,250 | | | | 6,370,612 | |
GrafTech Finance, Inc. | | | | | | | | |
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25 | | | 5,082,167 | | | | 5,012,288 | |
Barentz Midco BV | | | | | | | | |
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 11/30/27 | | EUR | 2,400,000 | | | | 2,641,647 | |
5.51% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 11/30/27 | | | 1,975,125 | | | | 1,971,431 | |
SCHUR Flexibles GmbH | | | | | | | | |
4.25% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 09/29/28 | | EUR | 3,150,000 | | | | 2,363,284 | |
Vectra Co. | | | | | | | | |
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/10/25 | | | 2,489,642 | | | | 2,359,558 | |
American Rock Salt Company LLC | | | | | | | | |
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 06/09/28 | | | 2,332,375 | | | | 2,303,220 | |
DCG Acquisition Corp. | | | | | | | | |
4.96% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26 | | | 1,731,031 | | | | 1,700,738 | |
Ascend Performance Materials Operations LLC | | | | | | | | |
5.76% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 08/27/26 | | | 1,493,015 | | | | 1,486,177 | |
Total Basic Materials | | | | | | | 69,312,366 | |
| | | | | | | | | |
Utilities - 0.3% | | | | | | | | |
Hamilton Projects Acquiror LLC | | | | | | | | |
5.51% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27 | | | 24,331,203 | | | | 23,824,384 | |
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 | | | 501,161 | | | | 480,112 | |
Total Utilities | | | | | | | 24,304,496 | |
| | | | | | | | | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Energy - 0.2% | | | | | | | | |
TransMontaigne Operating Company LP | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/17/28 | | | 10,573,500 | | | $ | 10,496,419 | |
Venture Global Calcasieu Pass LLC | | | | | | | | |
2.83% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26††† | | | 4,884,386 | | | | 4,859,964 | |
Permian Production Partners LLC | | | | | | | | |
9.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) (in-kind rate was 2.00%) due 11/24/25†††,12 | | | 1,428,286 | | | | 1,406,862 | |
Buckeye Partners, LP | | | | | | | | |
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 11/02/26 | | | 588,056 | | | | 583,187 | |
Total Energy | | | | | | | 17,346,432 | |
| | | | | | | | | |
Total Senior Floating Rate Interests | | | | |
(Cost $1,998,187,964) | | | 1,962,033,907 | |
| |
ASSET-BACKED SECURITIES†† - 16.9% |
Collateralized Loan Obligations - 10.1% |
LoanCore Issuer Ltd. | | | | | | | | |
2021-CRE4, 2.66% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/35◊ | | | 20,500,000 | | | | 20,159,044 | |
2019-CRE2, 1.90% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,5 | | | 12,850,000 | | | | 12,821,328 | |
2021-CRE6, 3.04% (1 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 11/15/38◊,5 | | | 11,300,000 | | | | 10,977,698 | |
2021-CRE5, 3.19% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/15/36◊,5 | | | 8,250,000 | | | | 8,107,411 | |
2022-CRE7, 3.15% (30 Day Average SOFR + 3.10%, Rate Floor: 3.10%) due 01/17/37◊,5 | | | 6,400,000 | | | | 6,357,102 | |
FS RIALTO | | | | | | | | |
2021-FL3, 2.93% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 11/16/36◊,5 | | | 36,500,000 | | | | 35,003,920 | |
2021-FL2, 3.23% (1 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 05/16/38◊,5 | | | 8,850,000 | | | | 8,611,342 | |
Fortress Credit Opportunities IX CLO Ltd. | | | | | | | | |
2021-9A, 2.92% (3 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 10/15/33◊,5 | | | 35,000,000 | | | | 34,732,579 | |
2021-9A, 4.07% (3 Month USD LIBOR + 3.95%, Rate Floor: 3.95%) due 10/15/33◊,5 | | | 7,750,000 | | | | 7,749,374 | |
40 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Palmer Square Loan Funding Ltd. | | | | | | | | |
2022-1A, 2.48% (3 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 04/15/30◊,5 | | | 26,200,000 | | | $ | 25,853,508 | |
2021-3A, 2.75% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/20/29◊,5 | | | 8,300,000 | | | | 8,022,773 | |
2022-1A, 2.75% (3 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 04/15/30◊,5 | | | 3,400,000 | | | | 3,321,729 | |
Diamond CLO Ltd. | | | | | | | | |
2018-1A, 2.86% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 07/22/30◊,5 | | | 13,500,000 | | | | 13,486,306 | |
2018-1A, 2.06% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/22/30◊,5 | | | 11,000,000 | | | | 10,999,947 | |
2021-1A, 3.66% (3 Month USD LIBOR + 3.40%, Rate Floor: 3.40%) due 04/25/29◊,5 | | | 5,500,000 | | | | 5,499,908 | |
2018-1A, 3.96% (3 Month USD LIBOR + 3.70%, Rate Floor: 3.70%) due 07/22/30◊,5 | | | 5,000,000 | | | | 4,992,794 | |
2021-1A, 2.66% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/25/29◊,5 | | | 1,322,000 | | | | 1,318,182 | |
LCCM Trust | | | | | | | | |
2021-FL3, 3.00% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 11/15/38◊,5 | | | 28,865,000 | | | | 28,100,355 | |
2021-FL2, 3.30% (1 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 12/13/38◊,5 | | | 5,750,000 | | | | 5,670,028 | |
ABPCI Direct Lending Fund CLO IV LLC | | | | | | | | |
2.12% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/06/29◊,††† | | | 31,400,000 | | | | 31,435,316 | |
BXMT Ltd. | | | | | | | | |
2020-FL2, 1.82% (30 Day Average SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/38◊ | | | 15,640,000 | | | | 15,294,911 | |
2020-FL2, 2.12% (30 Day Average SOFR + 2.06%, Rate Floor: 1.95%) due 02/15/38◊,5 | | | 8,000,000 | | | | 7,701,471 | |
2020-FL3, 2.97% (30 Day Average SOFR + 2.91%, Rate Floor: 2.80%) due 11/15/37◊,5 | | | 7,350,000 | | | | 7,250,891 | |
Voya CLO Ltd. | | | | | | | | |
2021-2A, 3.84% (3 Month USD LIBOR + 3.60%, Rate Floor: 3.60%) due 06/07/30◊,5 | | | 16,500,000 | | | | 16,169,741 | |
2013-1A, due 10/15/305,13 | | | 28,970,307 | | | | 7,604,706 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
MidOcean Credit CLO VII | | | | | | | | |
2020-7A, 2.44% (3 Month USD LIBOR + 2.20%, Rate Floor: 0.00%) due 07/15/29◊,5 | | | 21,000,000 | | | $ | 20,631,034 | |
ACRES Commercial Realty Ltd. | | | | | | | | |
2021-FL2, 3.54% (1 Month USD LIBOR + 3.10%, Rate Floor: 3.10%) due 01/15/37◊,5 | | | 8,350,000 | | | | 8,183,543 | |
2021-FL1, 3.09% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/36◊ | | | 7,250,000 | | | | 7,013,381 | |
2021-FL2, 3.09% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 01/15/37◊,5 | | | 5,250,000 | | | | 5,159,119 | |
Golub Capital Partners CLO Ltd. | | | | | | | | |
2018-36A, 2.42% (3 Month USD LIBOR + 2.10%, Rate Floor: 0.00%) due 02/05/31◊,5 | | | 20,000,000 | | | | 19,691,922 | |
BSPRT Issuer Ltd. | | | | | | | | |
2021-FL6, 3.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/15/36◊,5 | | | 18,425,000 | | | | 18,028,612 | |
2021-FL7, 3.15% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 12/15/38◊,5 | | | 1,600,000 | | | | 1,544,056 | |
Treman Park CLO Ltd. | | | | | | | | |
2015-1A, due 10/20/285,13 | | | 32,400,000 | | | | 19,572,192 | |
BSPDF Issuer Ltd. | | | | | | | | |
2021-FL1, 2.94% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/15/36◊ | | | 19,975,000 | | | | 19,348,888 | |
Golub Capital Partners CLO 49M Ltd. | | | | | | | | |
2021-49A, 4.10% (3 Month USD LIBOR + 3.85%, Rate Floor: 3.85%) due 08/26/33◊,5 | | | 18,100,000 | | | | 18,065,487 | |
KREF Funding V LLC | | | | | | | | |
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,††† | | | 17,351,628 | | | | 17,243,517 | |
0.15% due 06/25/26†††,14 | | | 73,636,363 | | | | 36,082 | |
Anchorage Capital CLO 6 Ltd. | | | | | | | | |
2021-6A, 3.69% (3 Month USD LIBOR + 3.45%, Rate Floor: 3.45%) due 07/15/30◊,5 | | | 17,350,000 | | | | 17,266,691 | |
STWD Ltd. | | | | | | | | |
2022-FL3, 2.80% (30 Day Average SOFR + 2.75%, Rate Floor: 2.75%) due 11/15/38◊,5 | | | 11,900,000 | | | | 11,738,006 | |
2021-FL2, 3.27% (1 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 04/18/38◊,5 | | | 3,750,000 | | | | 3,651,052 | |
Cerberus Loan Funding XXX, LP | | | | | | | | |
2020-3A, 3.89% (3 Month USD LIBOR + 3.65%, Rate Floor: 3.65%) due 01/15/33◊,5 | | | 14,500,000 | | | | 14,500,052 | |
42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Atlas Senior Loan Fund IX Ltd. | | | | | | | | |
2018-9A, 2.05% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/28◊,5 | | | 10,250,000 | | | $ | 10,158,136 | |
2018-9A, due 04/20/285,13 | | | 9,600,000 | | | | 1,293,120 | |
ABPCI Direct Lending Fund IX LLC | | | | | | | | |
2021-9A, 2.77% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 11/18/31◊,5 | | | 11,550,000 | | | | 11,406,926 | |
Neuberger Berman Loan Advisers CLO 32 Ltd. | | | | | | | | |
2021-32A, 2.95% (3 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 01/20/32◊,5 | | | 11,500,000 | | | | 11,174,433 | |
THL Credit Lake Shore MM CLO I Ltd. | | | | | | | | |
2021-1A, 3.24% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/15/33◊,5 | | | 9,900,000 | | | | 9,947,519 | |
GoldenTree Loan Management US CLO 1 Ltd. | | | | | | | | |
2021-9A, 3.15% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 01/20/33◊,5 | | | 9,950,000 | | | | 9,739,522 | |
TCP Waterman CLO Ltd. | | | | | | | | |
2016-1A, 3.83% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 12/15/28◊,5 | | | 9,306,767 | | | | 9,307,337 | |
Golub Capital Partners CLO 16 Ltd. | | | | | | | | |
2021-16A, 3.16% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 07/25/33◊,5 | | | 9,300,000 | | | | 9,289,141 | |
ABPCI Direct Lending Fund CLO V Ltd. | | | | | | | | |
2021-5A, 3.15% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 04/20/31◊,5 | | | 9,200,000 | | | | 9,161,593 | |
Cerberus Loan Funding XXXVI, LP | | | | | | | | |
2021-6A, 1.99% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/22/33◊,5 | | | 9,000,000 | | | | 8,931,127 | |
BCC Middle Market CLO LLC | | | | | | | | |
2021-1A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,5 | | | 9,000,000 | | | | 8,887,859 | |
Magnetite XXIX Ltd. | | | | | | | | |
2021-29A, 2.84% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/34◊,5 | | | 8,800,000 | | | | 8,522,811 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 43 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Marathon CLO V Ltd. | | | | | | | | |
2017-5A, 1.93% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/27◊,5 | | | 7,920,233 | | | $ | 7,895,835 | |
2013-5A, due 11/21/275,13 | | | 5,500,000 | | | | 607,200 | |
CIFC Funding 2017-II Ltd. | | | | | | | | |
2021-2A, 3.35% (3 Month USD LIBOR + 3.10%, Rate Floor: 3.10%) due 04/20/30◊,5 | | | 8,100,000 | | | | 8,099,902 | |
Venture XIV CLO Ltd. | | | | | | | | |
2020-14A, 2.76% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/28/29◊,5 | | | 8,000,000 | | | | 7,875,510 | |
ABPCI Direct Lending Fund CLO VII, LP | | | | | | | | |
2021-7A, 2.82% (3 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 10/20/31◊,5 | | | 7,950,000 | | | | 7,871,102 | |
Dryden 37 Senior Loan Fund | | | | | | | | |
2015-37A, due 01/15/315,13 | | | 9,500,000 | | | | 7,798,972 | |
Telos CLO Ltd. | | | | | | | | |
2017-6A, 2.84% (3 Month USD LIBOR + 2.60%, Rate Floor: 0.00%) due 01/17/27◊,5 | | | 7,500,000 | | | | 7,498,048 | |
Octagon Loan Funding Ltd. | | | | | | | | |
2014-1A, due 11/18/315,13 | | | 19,435,737 | | | | 7,465,267 | |
Madison Park Funding XLVIII Ltd. | | | | | | | | |
2021-48A, 3.25% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/19/33◊,5 | | | 7,500,000 | | | | 7,412,970 | |
ACRE Commercial Mortgage Ltd. | | | | | | | | |
2021-FL4, 3.07% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 12/18/37◊,5 | | | 7,350,000 | | | | 7,198,121 | |
Cerberus Loan Funding XXXIII, LP | | | | | | | | |
2021-3A, 3.04% (3 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 07/23/33◊,5 | | | 5,900,000 | | | | 5,859,165 | |
Hull Street CLO Ltd. | | | | | | | | |
2014-1A, 3.84% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/18/26◊,5 | | | 5,785,000 | | | | 5,698,231 | |
ABPCI Direct Lending Fund CLO I LLC | | | | | | | | |
2021-1A, 3.25% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/20/33◊,5 | | | 5,550,000 | | | | 5,588,255 | |
Silvermore CLO Ltd. | | | | | | | | |
2014-1A, 3.51% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 05/15/26◊,5 | | | 5,500,000 | | | | 5,499,628 | |
CHCP Ltd. | | | | | | | | |
2021-FL1, 3.17% (30 Day Average SOFR + 3.11%, Rate Floor: 3.00%) due 02/15/38◊,5 | | | 5,500,000 | | | | 5,378,319 | |
44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Cerberus Loan Funding XXXV, LP | | | | | | | | |
2021-5A, 2.84% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 09/22/33◊,5 | | | 5,150,000 | | | $ | 5,032,043 | |
BNPP IP CLO Ltd. | | | | | | | | |
2014-2A, 5.55% (3 Month USD LIBOR + 5.25%, Rate Floor: 0.00%) due 10/30/25◊,5 | | | 5,852,468 | | | | 4,781,467 | |
Dryden 41 Senior Loan Fund | | | | | | | | |
2015-41A, due 04/15/315,13 | | | 11,700,000 | | | | 4,626,180 | |
WhiteHorse X Ltd. | | | | | | | | |
2015-10A, 5.54% (3 Month USD LIBOR + 5.30%, Rate Floor: 5.30%) due 04/17/27◊,5 | | | 4,999,237 | | | | 4,557,577 | |
Dryden 50 Senior Loan Fund | | | | | | | | |
2017-50A, due 07/15/305,13 | | | 7,895,000 | | | | 4,125,137 | |
Cerberus Loan Funding XXVI, LP | | | | | | | | |
2021-1A, 3.14% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 04/15/31◊,5 | | | 4,000,000 | | | | 3,986,438 | |
Neuberger Berman Loan Advisers CLO 40 Ltd. | | | | | | | | |
2021-40A, 2.99% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/16/33◊,5 | | | 4,050,000 | | | | 3,942,773 | |
Carlyle Global Market Strategies CLO Ltd. | | | | | | | | |
2012-3A, due 01/14/325,13 | | | 6,400,000 | | | | 2,600,320 | |
2013-3X SUB, due 10/15/3013 | | | 4,938,326 | | | | 1,010,875 | |
KVK CLO Ltd. | | | | | | | | |
2013-1A, due 01/14/285,13 | | | 11,900,000 | | | | 3,045,210 | |
Monroe Capital CLO Ltd. | | | | | | | | |
2017-1A, 3.86% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/22/26◊,5 | | | 3,000,000 | | | | 2,997,025 | |
HGI CRE CLO Ltd. | | | | | | | | |
2021-FL2, 2.58% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 09/17/36◊,5 | | | 1,600,000 | | | | 1,560,382 | |
2021-FL2, 2.88% (1 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/17/36◊,5 | | | 1,200,000 | | | | 1,122,182 | |
AMMC CLO XI Ltd. | | | | | | | | |
2012-11A, due 04/30/315,13 | | | 5,650,000 | | | | 2,590,525 | |
BDS Ltd. | | | | | | | | |
2021-FL9, 3.07% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 11/16/38◊,5 | | | 2,700,000 | | | | 2,541,879 | |
Denali Capital CLO XI Ltd. | | | | | | | | |
2018-1A, 2.40% (3 Month USD LIBOR + 2.15%, Rate Floor: 0.00%) due 10/20/28◊,5 | | | 2,500,000 | | | | 2,486,331 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Goldentree Loan Management US CLO 4 Ltd. | | | | | | | | |
2021-4A, 3.41% (3 Month USD LIBOR + 3.15%, Rate Floor: 3.15%) due 04/24/31◊,5 | | | 2,000,000 | | | $ | 1,965,932 | |
Venture XIII CLO Ltd. | | | | | | | | |
2013-13A, due 09/10/295,13 | | | 13,790,000 | | | | 1,896,125 | |
PFP Ltd. | | | | | | | | |
2021-7, 3.43% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/14/38◊,5 | | | 1,789,911 | | | | 1,724,187 | |
First Eagle Clarendon Fund CLO LLC | | | | | | | | |
2015-1A, 4.61% (3 Month USD LIBOR + 4.35%, Rate Floor: 0.00%) due 01/25/27◊,5 | | | 1,274,599 | | | | 1,274,547 | |
Babson CLO Ltd. | | | | | | | | |
2014-IA, due 07/20/255,13 | | | 11,900,000 | | | | 1,194,760 | |
Great Lakes CLO Ltd. | | | | | | | | |
2014-1A, due 10/15/295,13 | | | 1,500,000 | | | | 946,328 | |
Dryden Senior Loan Fund | | | | | | | | |
due 01/15/3113 | | | 1,897,598 | | | | 761,506 | |
Avery Point II CLO Ltd. | | | | | | | | |
2013-3X COM, due 01/18/2513 | | | 5,991,336 | | | | 118,628 | |
TICP CLO III-2 Ltd. | | | | | | | | |
2018-3R, 1.09% (3 Month USD LIBOR + 0.84%, Rate Floor: 0.84%) due 04/20/28◊,5 | | | 119,168 | | | | 118,531 | |
West CLO Ltd. | | | | | | | | |
2013-1A, due 11/07/255,13 | | | 5,300,000 | | | | 9,540 | |
OHA Credit Partners IX Ltd. | | | | | | | | |
2013-9A, due 10/20/255,13 | | | 4,219,178 | | | | 4,725 | |
Copper River CLO Ltd. | | | | | | | | |
2007-1A, due 01/20/219,13 | | | 8,150,000 | | | | 1,630 | |
Total Collateralized Loan Obligations | | | 805,504,830 | |
| | | | | | | | | |
Transport-Aircraft - 3.1% |
AASET Trust | | | | | | | | |
2017-1A, 3.97% due 05/16/425 | | | 24,175,666 | | | | 20,412,354 | |
2021-1A, 2.95% due 11/16/415 | | | 22,264,736 | | | | 18,411,400 | |
2021-2A, 3.54% due 01/15/475 | | | 3,942,363 | | | | 3,625,832 | |
2020-1A, 4.34% due 01/16/405 | | | 6,611,667 | | | | 3,064,046 | |
KDAC Aviation Finance Ltd. | | | | | | | | |
2017-1A, 4.21% due 12/15/425 | | | 45,200,633 | | | | 39,566,718 | |
Castlelake Aircraft Securitization Trust | | | | | | | | |
2018-1, 4.13% due 06/15/435 | | | 15,100,487 | | | | 13,927,224 | |
2019-1A, 3.97% due 04/15/395 | | | 6,252,401 | | | | 5,659,738 | |
2016-1, 4.45% due 08/15/41 | | | 4,980,906 | | | | 4,782,448 | |
Falcon Aerospace Ltd. | | | | | | | | |
2017-1, 4.58% due 02/15/425 | | | 15,337,235 | | | | 14,846,557 | |
2019-1, 3.60% due 09/15/395 | | | 6,316,348 | | | | 5,695,441 | |
2017-1, 6.30% due 02/15/425 | | | 3,838,675 | | | | 3,585,349 | |
Sprite Ltd. | | | | | | | | |
2021-1, 3.75% due 11/15/465 | | | 19,394,000 | | | | 17,866,893 | |
Sapphire Aviation Finance I Ltd. | | | | | | | | |
2018-1A, 4.25% due 03/15/405 | | | 19,303,364 | | | | 16,546,114 | |
46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Raspro Trust | | | | | | | | |
2005-1A, 1.18% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,5 | | | 15,866,805 | | | $ | 15,791,823 | |
AASET US Ltd. | | | | | | | | |
2018-2A, 4.45% due 11/18/385 | | | 16,458,934 | | | | 14,193,442 | |
JOL Air Ltd. | | | | | | | | |
2019-1, 3.97% due 04/15/445 | | | 11,594,990 | | | | 10,553,066 | |
Sapphire Aviation Finance II Ltd. | | | | | | | | |
2020-1A, 4.34% due 03/15/405 | | | 9,117,555 | | | | 7,125,397 | |
2020-1A, 3.23% due 03/15/405 | | | 600,604 | | | | 541,650 | |
GAIA Aviation Ltd. | | | | | | | | |
2019-1, 3.97% due 12/15/445,10 | | | 7,501,943 | | | | 7,158,483 | |
Navigator Aircraft ABS Ltd. | | | | | | | | |
2021-1, 3.57% due 11/15/465 | | | 6,250,781 | | | | 5,346,155 | |
Lunar Structured Aircraft Portfolio Notes | | | | | | | | |
2021-1, 3.43% due 10/15/465 | | | 5,630,500 | | | | 4,851,804 | |
MAPS Ltd. | | | | | | | | |
2018-1A, 4.21% due 05/15/435 | | | 5,098,131 | | | | 4,767,139 | |
WAVE LLC | | | | | | | | |
2019-1, 3.60% due 09/15/445 | | | 5,314,648 | | | | 4,685,611 | |
Slam Ltd. | | | | | | | | |
2021-1A, 3.42% due 06/15/465 | | | 3,431,160 | | | | 3,156,623 | |
Castlelake Aircraft Structured Trust | | | | | | | | |
2021-1A, 6.66% due 01/15/465 | | | 2,576,025 | | | | 2,125,219 | |
Stripes Aircraft Ltd. | | | | | | | | |
2013-1 A1, 3.95% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/20/23◊,††† | | | 1,547,488 | | | | 1,509,464 | |
Airplanes Pass Through Trust | | | | | | | | |
2001-1A, due 03/15/19†††,8,9 | | | 2,097,481 | | | | 21 | |
Total Transport-Aircraft | | | | | | | 249,796,011 | |
| | | | | | | | | |
Financial - 1.9% | | | | | | | | |
HarbourVest Structured Solutions IV Holdings, LP | | | | | | | | |
2.58% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,††† | | | 23,234,292 | | | | 23,231,387 | |
2.45% (3 Month EURIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,††† | | EUR | 12,900,000 | | | | 14,252,301 | |
HV Eight LLC | | | | | | | | |
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25◊,††† | | EUR | 28,000,000 | | | | 30,937,154 | |
Madison Avenue Secured Funding Trust Series | | | | | | | | |
2021-1, 1.96% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,5 | | | 20,750,000 | | | | 20,750,000 | |
Nassau LLC | | | | | | | | |
2019-1, 3.98% due 08/15/345 | | | 14,706,483 | | | | 14,448,298 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 47 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Lam Trade Finance Group LLC | | | | | | | | |
2.50% due 09/29/22††† | | | 12,000,000 | | | $ | 11,971,048 | |
KKR Core Holding Company LLC | | | | | | | | |
4.00% due 08/12/31††† | | | 9,399,187 | | | | 8,896,876 | |
Lightning A | | | | | | | | |
5.50% due 03/01/37††† | | | 7,656,000 | | | | 7,656,000 | |
Thunderbird A | | | | | | | | |
5.50% due 03/01/37††† | | | 6,960,000 | | | | 6,960,000 | |
Ceamer Finance LLC | | | | | | | | |
3.69% due 03/22/31††† | | | 5,974,266 | | | | 5,544,952 | |
Aesf Vi Verdi, LP | | | | | | | | |
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,††† | | EUR | 4,314,059 | | | | 4,767,424 | |
Lightning B | | | | | | | | |
7.50% due 03/01/37††† | | | 1,540,000 | | | | 1,540,000 | |
Thunderbird B | | | | | | | | |
7.50% due 03/01/37††† | | | 1,400,000 | | | | 1,400,000 | |
Total Financial | | | | | | | 152,355,440 | |
| | | | | | | | | |
Infrastructure - 0.7% |
VB-S1 Issuer LLC - VBTEL | | | | | | | | |
2022-1A, 5.27% due 02/15/525 | | | 39,650,000 | | | | 38,647,466 | |
Hotwire Funding LLC | | | | | | | | |
2021-1, 4.46% due 11/20/515 | | | 9,250,000 | | | | 8,571,614 | |
Secured Tenant Site Contract Revenue Notes Series | | | | | | | | |
2018-1A, 4.70% due 06/15/489 | | | 6,650,746 | | | | 6,668,756 | |
Total Infrastructure | | | | | | | 53,887,836 | |
| | | | | | | | | |
Whole Business - 0.6% |
TSGE | | | | | | | | |
2017-1, 6.25% due 09/25/31††† | | | 42,550,000 | | | | 42,871,276 | |
Taco Bell Funding LLC | | | | | | | | |
2016-1A, 4.97% due 05/25/465 | | | 2,690,813 | | | | 2,736,094 | |
Applebee’s Funding LLC / IHOP Funding LLC | | | | | | | | |
2019-1A, 4.19% due 06/05/495 | | | 2,079,000 | | | | 2,063,177 | |
Wendy’s Funding LLC | | | | | | | | |
2018-1A, 3.88% due 03/15/485 | | | 383,000 | | | | 378,795 | |
Total Whole Business | | | | | | | 48,049,342 | |
| | | | | | | | | |
Net Lease - 0.2% | | | | | | | | |
CARS-DB4, LP | | | | | | | | |
2020-1A, 4.95% due 02/15/505 | | | 21,105,000 | | | | 20,712,470 | |
| | | | | | | | | |
Diversified Payment Rights - 0.2% |
Bib Merchant Voucher Receivables Ltd. | | | | | | | | |
4.18% due 04/07/28††† | | | 14,784,818 | | | | 14,354,636 | |
| |
Collateralized Debt Obligations - 0.1% |
Anchorage Credit Funding 4 Ltd. | | | | | | | | |
2021-4A, 3.12% due 04/27/395 | | | 6,700,000 | | | | 6,561,181 | |
2021-4A, 3.52% due 04/27/395 | | | 4,250,000 | | | | 4,132,320 | |
Total Collateralized Debt Obligations | | | 10,693,501 | |
| | | | | | | | | |
Total Asset-Backed Securities | | | | |
(Cost $1,386,308,338) | | | 1,355,354,066 | |
48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
| |
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 6.6% |
Residential Mortgage-Backed Securities - 5.3% |
JP Morgan Mortgage Acquisition Trust | | | | | | | | |
2006-WMC4, 0.61% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/36◊ | | | 22,819,520 | | | $ | 13,847,985 | |
2006-WMC3, 0.76% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/36◊ | | | 9,168,452 | | | | 7,204,365 | |
2006-HE3, 0.78% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 11/25/36◊ | | | 5,905,026 | | | | 5,341,276 | |
2006-WMC4, 0.58% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/36◊ | | | 7,854,680 | | | | 4,744,875 | |
2006-WMC4, 0.54% (1 Month USD LIBOR + 0.08%, Rate Floor: 0.08%) due 12/25/36◊ | | | 3,321,234 | | | | 1,994,052 | |
FKRT | | | | | | | | |
2.21% due 11/30/58†††,9 | | | 33,850,000 | | | | 32,597,539 | |
Ameriquest Mortgage Securities Trust | | | | | | | | |
2006-M3, 0.63% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 10/25/36◊ | | | 21,074,189 | | | | 13,274,931 | |
2006-M3, 0.70% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 10/25/36◊ | | �� | 33,340,019 | | | | 12,920,981 | |
2006-M3, 0.56% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/36◊ | | | 13,860,061 | | | | 5,303,252 | |
Lehman XS Trust Series | | | | | | | | |
2006-16N, 0.88% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 11/25/46◊ | | | 14,721,329 | | | | 14,789,293 | |
2006-18N, 0.82% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 12/25/36◊ | | | 10,056,899 | | | | 10,256,555 | |
2006-10N, 0.88% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 07/25/46◊ | | | 2,765,308 | | | | 2,805,238 | |
WaMu Asset-Backed Certificates WaMu Series | | | | | | | | |
2007-HE2, 0.82% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 04/25/37◊ | | | 24,856,837 | | | | 11,417,021 | |
2007-HE2, 0.65% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37◊ | | | 18,940,690 | | | | 8,563,287 | |
2007-HE4, 0.63% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/47◊ | | | 7,235,246 | | | | 5,834,810 | |
2007-HE4, 0.71% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/47◊ | | | 2,215,124 | | | | 1,614,185 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 49 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Long Beach Mortgage Loan Trust | | | | | | | | |
2006-6, 0.96% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 07/25/36◊ | | | 14,363,978 | | | $ | 6,931,893 | |
2006-8, 0.78% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/36◊ | | | 17,157,811 | | | | 6,118,539 | |
2006-4, 0.78% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 05/25/36◊ | | | 10,426,351 | | | | 4,022,034 | |
2006-1, 0.84% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 02/25/36◊ | | | 3,943,569 | | | | 3,559,279 | |
2006-6, 0.76% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/36◊ | | | 4,472,769 | | | | 2,129,084 | |
2006-8, 0.64% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 09/25/36◊ | | | 4,649,444 | | | | 1,645,435 | |
2006-6, 0.66% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 07/25/36◊ | | | 2,589,191 | | | | 1,223,463 | |
BRAVO Residential Funding Trust | | | | | | | | |
2022-R1, 3.13% due 01/29/705,10 | | | 26,084,948 | | | | 24,666,910 | |
RALI Series Trust | | | | | | | | |
2006-QO6, 0.82% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/46◊ | | | 31,075,181 | | | | 8,311,474 | |
2007-QO2, 0.61% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 02/25/47◊ | | | 13,509,976 | | | | 5,941,139 | |
2006-QO8, 0.86% (1 Month USD LIBOR + 0.40%, Rate Floor: 0.40%) due 10/25/46◊ | | | 4,323,949 | | | | 4,273,492 | |
2006-QO6, 0.92% (1 Month USD LIBOR + 0.46%, Rate Floor: 0.46%) due 06/25/46◊ | | | 8,085,338 | | | | 2,231,606 | |
2006-QO2, 1.00% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 02/25/46◊ | | | 6,060,284 | | | | 1,551,955 | |
2006-QO6, 0.98% (1 Month USD LIBOR + 0.52%, Rate Floor: 0.52%) due 06/25/46◊ | | | 5,101,160 | | | | 1,433,998 | |
2006-QO2, 1.14% (1 Month USD LIBOR + 0.68%, Rate Floor: 0.68%) due 02/25/46◊ | | | 3,242,766 | | | | 864,245 | |
2006-QO2, 0.90% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46◊ | | | 217,364 | | | | 54,055 | |
50 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Structured Asset Securities Corporation Mortgage Loan Trust | | | | | | | | |
2008-BC4, 1.09% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/37◊ | | | 20,766,604 | | | $ | 20,526,268 | |
American Home Mortgage Assets Trust | | | | | | | | |
2006-1, 0.84% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 05/25/46◊ | | | 7,648,216 | | | | 7,129,393 | |
2006-6, 0.67% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 12/25/46◊ | | | 8,130,747 | | | | 7,114,292 | |
2006-3, 1.08% (1 Year CMT Rate + 0.94%, Rate Floor: 0.94%) due 10/25/46◊ | | | 5,561,631 | | | | 4,452,182 | |
Morgan Stanley IXIS Real Estate Capital Trust | | | | | | | | |
2006-2, 0.68% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 11/25/36◊ | | | 22,679,845 | | | | 9,429,755 | |
2006-2, 0.61% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/36◊ | | | 17,301,883 | | | | 7,143,387 | |
Morgan Stanley ABS Capital I Incorporated Trust | | | | | | | | |
2006-HE8, 0.68% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 10/25/36◊ | | | 20,381,573 | | | | 11,196,713 | |
2006-HE6, 0.66% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 09/25/36◊ | | | 4,501,223 | | | | 1,972,988 | |
2007-HE4, 0.69% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 02/25/37◊ | | | 3,936,748 | | | | 1,545,279 | |
IXIS Real Estate Capital Trust | | | | | | | | |
2007-HE1, 0.62% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 05/25/37◊ | | | 24,836,368 | | | | 7,575,333 | |
2007-HE1, 0.69% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 05/25/37◊ | | | 17,596,218 | | | | 5,408,416 | |
GSAMP Trust | | | | | | | | |
2007-NC1, 0.59% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/46◊ | | | 19,651,264 | | | | 12,513,905 | |
Master Asset-Backed Securities Trust | | | | | | | | |
2006-WMC3, 0.62% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/36◊ | | | 10,399,843 | | | | 4,368,137 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
2006-HE3, 0.66% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 08/25/36◊ | | | 9,703,641 | | | $ | 3,548,806 | |
2006-HE3, 0.76% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/36◊ | | | 8,158,445 | | | | 3,008,467 | |
GSAA Home Equity Trust | | | | | | | | |
2006-3, 1.06% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36◊ | | | 11,393,481 | | | | 7,163,611 | |
2006-9, 0.94% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 06/25/36◊ | | | 7,984,134 | | | | 2,986,701 | |
2007-7, 1.00% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/37◊ | | | 576,151 | | | | 570,978 | |
Citigroup Mortgage Loan Trust, Inc. | | | | | | | | |
2007-AMC3, 0.71% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 03/25/37◊ | | | 11,236,410 | | | | 10,281,698 | |
Home Equity Loan Trust | | | | | | | | |
2007-FRE1, 0.65% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37◊ | | | 8,198,290 | | | | 7,839,433 | |
Nationstar Home Equity Loan Trust | | | | | | | | |
2007-C, 0.63% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 06/25/37◊ | | | 7,787,350 | | | | 7,630,252 | |
First NLC Trust | | | | | | | | |
2007-1, 0.74% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 08/25/37◊,5 | | | 6,985,571 | | | | 4,365,061 | |
2007-1, 0.53% (1 Month USD LIBOR + 0.07%, Rate Floor: 0.07%) due 08/25/37◊,5 | | | 5,297,382 | | | | 3,225,020 | |
Argent Securities Trust | | | | | | | | |
2006-W5, 0.76% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 06/25/36◊ | | | 9,799,690 | | | | 7,144,454 | |
Alternative Loan Trust | | | | | | | | |
2007-OA7, 0.64% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 05/25/47◊ | | | 7,441,575 | | | | 6,767,447 | |
WaMu Asset-Backed Certificates WaMu Series Trust | | | | | | | | |
2007-HE1, 0.69% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/37◊ | | | 7,876,736 | | | | 4,428,191 | |
2007-HE4, 0.63% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/47◊ | | | 3,102,415 | | | | 2,244,542 | |
52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
ACE Securities Corporation Home Equity Loan Trust Series | | | | | | | | |
2007-ASP1, 0.84% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 03/25/37◊ | | | 11,125,026 | | | $ | 6,322,438 | |
HSI Asset Securitization Corporation Trust | | | | | | | | |
2007-HE1, 0.65% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/25/37◊ | | | 6,361,110 | | | | 5,375,670 | |
First Franklin Mortgage Loan Trust 2006-FF16 | | | | | | | | |
2006-FF16, 0.88% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 12/25/36◊ | | | 7,915,068 | | | | 4,212,591 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | | | | | | | | |
2006-AR9, 0.98% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊ | | | 4,131,123 | | | | 3,578,073 | |
Morgan Stanley Mortgage Loan Trust | | | | | | | | |
2006-9AR, 0.76% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/36◊ | | | 8,860,125 | | | | 3,129,959 | |
Nomura Resecuritization Trust | | | | | | | | |
2015-4R, 2.27% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,5 | | | 2,245,960 | | | | 2,094,069 | |
Alliance Bancorp Trust | | | | | | | | |
2007-OA1, 0.94% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 07/25/37◊ | | | 2,219,065 | | | | 2,050,688 | |
Wachovia Asset Securitization Issuance II LLC Trust | | | | | | | | |
2007-HE1, 0.60% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/37◊,5 | | | 721,742 | | | | 712,725 | |
Morgan Stanley Re-REMIC Trust | | | | | | | | |
2010-R5, 2.24% due 06/26/365 | | | 644,544 | | | | 593,482 | |
Asset-Backed Securities Corporation Home Equity Loan Trust | | | | | | | | |
2006-HE5, 0.60% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/36◊ | | | 331,106 | | | | 327,309 | |
Total Residential Mortgage-Backed Securities | | | 427,445,959 | |
| | | | | | | | | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 53 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Commercial Mortgage- Backed Securities - 0.9% |
BX Commercial Mortgage Trust | | | | | | | | |
2021-VOLT, 2.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,5 | | | 19,750,000 | | | $ | 19,000,128 | |
2019-XL, 2.70% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 10/15/36◊,5 | | | 1,989,000 | | | | 1,946,619 | |
GS Mortgage Securities Corporation Trust | | | | | | | | |
2020-UPTN, 3.25% (WAC) due 02/10/37◊,5 | | | 8,256,000 | | | | 7,532,724 | |
2020-DUNE, 2.90% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 12/15/36◊,5 | | | 7,340,000 | | | | 7,180,230 | |
2020-DUNE, 2.30% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/15/36◊,5 | | | 2,750,000 | | | | 2,703,989 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH | | | | | | | | |
2021-NYAH, 3.04% (1 Month USD LIBOR + 2.64%, Rate Floor: 2.64%) due 06/15/38◊,5 | | | 15,000,000 | | | | 14,434,794 | |
SMRT | | | | | | | | |
2022-MINI, 2.25% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 01/15/24◊,5 | | | 10,000,000 | | | | 9,818,460 | |
Merit 2020 | | | | | | | | |
2022-MHIL, 2.91% (1 Month Term SOFR + 2.61%, Rate Floor: 2.61%) due 01/15/27◊,5 | | | 9,000,000 | | | | 8,729,213 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | |
2015-NXS1, 2.63% due 05/15/48 | | | 328,884 | | | | 328,640 | |
Total Commercial Mortgage- Backed Securities | | | 71,674,797 | |
| | | | | | | | | |
Military Housing - 0.4% |
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | | | | | | | | |
2015-R1, 0.70% (WAC) due 11/25/52◊,†††,5,14 | | | 224,231,104 | | | | 14,637,619 | |
GMAC Commercial Mortgage Asset Corp. | | | | | | | | |
2004-POKA, 6.36% due 09/10/44†††,5 | | | 9,000,000 | | | | 10,220,111 | |
Capmark Military Housing Trust | | | | | | | | |
2007-AET2, 6.06% due 10/10/52†††,5 | | | 5,567,790 | | | | 6,035,009 | |
Total Military Housing | | | | | | | 30,892,739 | |
| | | | | | | | | |
Total Collateralized Mortgage Obligations | | | | |
(Cost $603,332,545) | | | 530,013,495 | |
| | | | | |
FOREIGN GOVERNMENT DEBT†† - 0.5% |
Ontario T-Bill |
0.36% due 04/06/2215 | | CAD | 14,325,000 | | | | 11,460,711 | |
0.49% due 04/27/2215 | | CAD | 2,180,000 | | | | 1,743,480 | |
0.38% due 04/13/2215 | | CAD | 915,000 | | | | 731,965 | |
0.46% due 04/20/2215 | | CAD | 767,000 | | | | 613,497 | |
54 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Face
Amount~ | | | Value | |
Newfoundland T-Bill |
0.40% due 04/07/2215 | | CAD | 9,005,000 | | | $ | 7,204,302 | |
0.44% due 04/14/2215 | | CAD | 1,385,000 | | | | 1,107,902 | |
Province of Manitoba Canada T-Bill |
0.35% due 04/06/2215 | | CAD | 9,425,000 | | | | 7,540,392 | |
0.47% due 04/13/2215 | | CAD | 385,000 | | | | 307,979 | |
Nova Scotia T-Bill |
0.43% due 04/05/2215 | | CAD | 2,730,000 | | | | 2,184,201 | |
0.36% due 04/07/2215 | | CAD | 943,000 | | | | 754,454 | |
Alberta T-Bill |
0.46% due 04/19/2215 | | CAD | 1,640,000 | | | | 1,311,819 | |
0.41% due 04/12/2215 | | CAD | 1,265,000 | | | | 1,011,982 | |
0.33% due 04/05/2215 | | CAD | 575,000 | | | | 460,038 | |
State of Israel |
1.25% due 11/30/22 | | ILS | 8,305,000 | | | | 2,621,308 | |
Province of New Brunswick Canada T-Bill |
0.44% due 04/14/2215 | | CAD | 3,200,000 | | | | 2,559,852 | |
Total Foreign Government Debt | | | | |
(Cost $41,332,060) | | | | | | | 41,613,882 | |
| | | | | | | | | |
U.S. GOVERNMENT SECURITIES†† - 0.5% |
U.S. Treasury Notes |
1.50% due 02/29/2411 | | | 20,670,000 | | | | 20,368,831 | |
1.00% due 12/15/2416 | | | 16,820,000 | | | | 16,164,283 | |
Total U.S. Government Securities | | | | |
(Cost $37,438,122) | | | | | | | 36,533,114 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 0.3% |
U.S. Treasury Bills |
0.17% due 04/19/2215 | | | 21,000,000 | | | | 20,998,543 | |
0.16% due 05/05/2215 | | | 5,700,000 | | | | 5,699,206 | |
Total U.S. Treasury Bills | | | | |
(Cost $26,697,296) | | | | | | | 26,697,749 | |
| | | | | | | | | |
SENIOR FIXED RATE INTERESTS†† - 0.1% |
Consumer, Cyclical - 0.1% |
WESCO | | | | | | | | |
5.25% due 06/14/24††† | | CAD | 3,864,740 | | | | 3,086,630 | |
Total Senior Fixed Rate Interests | | | | |
(Cost $2,935,539) | | | 3,086,630 | |
| | | | | |
COMMERCIAL PAPER†† - 3.0% |
Sonoco Products Co. |
0.27% due 04/01/2215 | | | 59,000,000 | | | | 59,000,000 | |
0.50% due 04/04/2215 | | | 45,000,000 | | | | 44,998,125 | |
McCormick & Co., Inc. |
0.50% due 04/04/225,15 | | | 54,000,000 | | | | 53,997,750 | |
Entergy Corp. |
0.23% due 04/01/225,15 | | | 45,200,000 | | | | 45,200,000 | |
Cintas Corporation No. 2 |
0.55% due 04/04/225,15 | | | 19,000,000 | | | | 18,999,129 | |
American Water Capital Corp. |
0.36% due 04/01/225,15 | | | 15,000,000 | | | | 15,000,000 | |
Walgreens Boots Alliance, Inc. |
1.03% due 05/13/225,15 | | | 5,325,000 | | | | 5,318,477 | |
Total Commercial Paper | | | | |
(Cost $242,513,481) | | | | | | | 242,513,481 | |
| | | | | | | | | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 55 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Contracts/
Notional Value | | | Value | |
OTC OPTIONS PURCHASED†† - 0.0% |
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 | | | $ | 185,133 | |
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | | | USD 709,900,000 | | | | 92,287 | |
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | | | USD 661,700,000 | | | | 33,085 | |
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | | | USD 126,600,000 | | | | 16,458 | |
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | | | USD 82,200,000 | | | | 4,110 | |
Total Interest Rate Options | | | 331,073 | |
| | | | | | | | | |
Total OTC Options Purchased | | | | |
(Cost $6,442,614) | | | | | | | 331,073 | |
| | | | | | | | | |
OTC INTEREST RATE SWAPTIONS PURCHASED††,17 - 0.3% |
Call Swaptions on: | | | | | | | | |
Interest Rate Swaptions | | | | | | | | |
Goldman Sachs International 5-Year Interest Rate Swap Expiring December 2031 with exercise rate of 1.57% | | | USD 62,077,000 | | | | 2,182,584 | |
BNP Paribas 10-Year Interest Rate Swap Expiring December 2031 with exercise rate of 1.65% | | | USD 33,096,000 | | | | 2,135,117 | |
J.P. Morgan Securities plc 30-Year Interest Rate Swap Expiring December 2031 with exercise rate of 1.34% | | | USD 12,557,000 | | | | 1,804,327 | |
Citibank, N.A. 20-Year Interest Rate Swap Expiring December 2028 with exercise rate of 1.40% | | | USD 19,584,000 | | | | 1,651,463 | |
Goldman Sachs International 20-Year Interest Rate Swap Expiring December 2026 with exercise rate of 0.50% (Notional Value $20,485,757) | | | GBP 15,559,000 | | | | 1,194,902 | |
Total Interest Rate Swaptions | | | 8,968,393 | |
| | | | | | | | | |
56 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Contracts/
Notional Value | | | Value | |
Put Swaptions on: | | | | | | | | |
Interest Rate Swaptions | | | | | | | | |
Goldman Sachs International 20-Year Interest Rate Swap Expiring December 2026 with exercise rate of 0.50% (Notional Value $20,485,758) | | | GBP 15,559,000 | | | $ | 4,257,473 | |
Goldman Sachs International 5-Year Interest Rate Swap Expiring December 2031 with exercise rate of 1.57% | | | USD 62,077,000 | | | | 3,836,092 | |
Citibank, N.A. 20-Year Interest Rate Swap Expiring December 2028 with exercise rate of 1.40% | | | USD 19,584,000 | | | | 3,512,708 | |
BNP Paribas 10-Year Interest Rate Swap Expiring December 2031 with exercise rate of 1.65% | | | USD 33,096,000 | | | | 3,496,550 | |
J.P. Morgan Securities plc 30-Year Interest Rate Swap Expiring December 2031 with exercise rate of 1.34% | | | USD 12,557,000 | | | | 2,827,604 | |
Total Interest Rate Swaptions | | | 17,930,427 | |
| | | | | | | | | |
Total OTC Interest Rate Swaptions Purchased |
(Cost $24,188,981) | | | | | | | 26,898,820 | |
| | | | | | | | | |
Total Investments - 102.3% | | | | |
(Cost $8,482,054,796) | | $ | 8,198,911,065 | |
| | | | | | | | | |
LISTED OPTIONS WRITTEN† - 0.0% |
Call Options on: | | | | | | | | |
Equity Options | | | | | | | | |
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $86,080) | | | 40 | | | | (2,000 | ) |
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $88,232) | | | 41 | | | | (2,767 | ) |
Total Equity Options | | | | | | | (4,767 | ) |
| | | | | | | | | |
Total Listed Options Written | | | | |
(Premiums received $85,529) | | | | | | | (4,767 | ) |
| | | | | | | | | |
OTC INTEREST RATE SWAPTIONS WRITTEN††,17 - 0.0% |
Call Swaptions on: | | | | | | | | |
Interest Rate Swaptions | | | | | | | | |
Barclays Bank plc 20-Year Interest Rate Swap Expiring December 2025 with exercise rate of 0.54% (Notional Value $2,281,755) | | | GBP 1,733,000 | | | | (118,300 | ) |
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap Expiring December 2023 with exercise rate of 1.51% | | | USD 3,514,000 | | | | (137,946 | ) |
Barclays Bank plc 10-Year Interest Rate Swap Expiring December 2023 with exercise rate of 1.46% | | | USD 6,522,000 | | | | (147,123 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 57 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | Contracts/
Notional Value | | | Value | |
Barclays Bank plc 5-Year Interest Rate Swap Expiring December 2023 with exercise rate of 1.43% | | | USD 12,369,000 | | | $ | (172,826 | ) |
J.P. Morgan Securities plc 30-Year Interest Rate Swap Expiring December 2025 with exercise rate of 1.46% | | | USD 1,827,000 | | | | (178,351 | ) |
Total Interest Rate Swaptions | | | (754,546 | ) |
| | | | | | | | | |
Put Swaptions on: | | | | | | | | |
Interest Rate Swaptions | | | | | | | | |
J.P. Morgan Securities plc 30-Year Interest Rate Swap Expiring December 2025 with exercise rate of 1.46% | | | USD 1,827,000 | | | | (348,468 | ) |
Barclays Bank plc 20-Year Interest Rate Swap Expiring December 2025 with exercise rate of 0.54% (Notional Value $2,281,754) | | | GBP 1,733,000 | | | | (451,619 | ) |
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap Expiring December 2023 with exercise rate of 1.51% | | | USD 3,514,000 | | | | (470,414 | ) |
Barclays Bank plc 10-Year Interest Rate Swap Expiring December 2023 with exercise rate of 1.46% | | | USD 6,522,000 | | | | (527,173 | ) |
Barclays Bank plc 5-Year Interest Rate Swap Expiring December 2023 with exercise rate of 1.43% | | | USD 12,369,000 | | | | (607,259 | ) |
Total Interest Rate Swaptions | | | (2,404,933 | ) |
| | | | | | | | | |
Total OTC Interest Rate Swaptions Written |
(Premiums received $2,530,453) | | | | | | | (3,159,479 | ) |
Other Assets & Liabilities, net - (2.3)% | | | (187,747,860 | ) |
Total Net Assets - 100.0% | | $ | 8,007,998,959 | |
58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Equity Futures Contracts Purchased† |
S&P 500 Index Mini Futures Contracts | | | 383 | | | | Jun 2022 | | | $ | 86,706,413 | | | $ | 5,009,939 | |
Commodity Futures Contracts Purchased† |
Silver Futures Contracts | | | 571 | | | | May 2022 | | | $ | 71,260,800 | | | $ | 2,533,677 | |
Gold 100 oz. Futures Contracts | | | 389 | | | | Jun 2022 | | | | 75,532,130 | | | | (1,025,549 | ) |
| | | | | | | | | | | $ | 146,792,930 | | | $ | 1,508,128 | |
Commodity Futures Contracts Sold Short† |
WTI Crude Futures Contracts | | | 466 | | | | Apr 2022 | | | $ | 46,916,880 | | | $ | (2,689,596 | ) |
Centrally Cleared Credit Default Swap Agreements Protection Sold†† |
Counterparty | Exchange | Index | | Protection
Premium Rate | | | Payment
Frequency | | | Maturity
Date | |
J.P. Morgan Securities LLC | ICE | CDX.NA.IG.33.V1 | | | 1.00 | % | | | Quarterly | | | | 12/20/24 | |
| | | Notional
Amount | | | Value | | | Upfront
Premiums Paid | | | Unrealized
Depreciation** | |
| | | $ | 70,000,000 | | | $ | 944,005 | | | $ | 1,349,100 | | | $ | (405,095 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 59 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
Centrally Cleared Interest Rate Swap Agreements†† |
Counterparty | Exchange | Floating
Rate Type | Floating
Rate Index | | Fixed
Rate | | | Payment
Frequency | | | Maturity
Date | |
JPM | CME | Receive | 3-Month USD LIBOR | 1.65% | | | Quarterly | | 03/17/31 |
JPM | CME | Receive | U.S. Secured Overnight Financing Rate | 1.78% | | | Annually | | 03/11/32 |
JPM | LCH | Receive | 6-Month CZK PRIBOR | 2.68% | | | Semi-Annually | | 11/22/26 |
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 1.34% | | | Annually | | 12/11/61 |
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 1.43% | | | Annually | | 12/13/28 |
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 1.46% | | | Annually | | 12/16/33 |
JPM | LCH | Pay | Sterling Overnight Interbank Average Rate | 0.50% | | | Annually | | 12/03/46 |
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 1.65% | | | Annually | | 12/10/41 |
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 1.51% | | | Annually | | 12/13/43 |
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 1.40% | | | Annually | | 12/06/48 |
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 1.03% | | | Annually | | 12/13/25 |
JPM | LCH | Receive | Sterling Overnight Interbank Average Rate | 0.88% | | | Annually | | 12/09/25 |
JPM | LCH | Receive | Sterling Overnight Interbank Average Rate | 0.54% | | | Annually | | 12/09/45 |
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 0.68% | | | Annually | | 12/13/23 |
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 0.67% | | | Annually | | 12/18/23 |
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 0.64% | | | Annually | | 12/15/23 |
JPM | LCH | Pay | U.S. Secured Overnight Financing Rate | 1.46% | | | Annually | | 12/11/55 |
| | | Notional
Amount~ | | | Value | | | Upfront
Premiums Paid
(Received) | | | Unrealized
Appreciation** | |
| | | | 180,000,000 | | | $ | 11,373,651 | | | $ | 1,514 | | | $ | 11,372,137 | |
| | | | 23,700,000 | | | | 674,435 | | | | 437 | | | | 673,998 | |
| | | CZK | 423,170,000 | | | | 321,356 | | | | 72 | | | | 321,284 | |
| | | | 3,389,000 | | | | 206,500 | | | | 112,883 | | | | 93,617 | |
| | | | 4,291,000 | | | | 145,280 | | | | 82,712 | | | | 62,568 | |
| | | | 2,127,000 | | | | 119,452 | | | | 74,348 | | | | 45,104 | |
| | | GBP | 3,130,000 | | | | (565,415 | ) | | | (598,969 | ) | | | 33,554 | |
| | | | 5,341,000 | | | | 167,560 | | | | 138,965 | | | | 28,595 | |
| | | | 958,000 | | | | 85,825 | | | | 59,899 | | | | 25,926 | |
| | | | 920,000 | | | | 72,659 | | | | 48,038 | | | | 24,621 | |
| | | | 474,000 | | | | 21,730 | | | | 207 | | | | 21,523 | |
| | | GBP | 380,000 | | | | 19,221 | | | | (152 | ) | | | 19,373 | |
| | | GBP | 423,000 | | | | 76,017 | | | | 58,819 | | | | 17,198 | |
| | | | 547,000 | | | | 13,466 | | | | 337 | | | | 13,129 | |
| | | | 516,000 | | | | 12,965 | | | | 180 | | | | 12,785 | |
| | | | 491,000 | | | | 12,467 | | | | 242 | | | | 12,225 | |
| | | | 34,000 | | | | — | | | | (2,687 | ) | | | 2,687 | |
| | | | | | | $ | 12,757,169 | | | $ | (23,155 | ) | | $ | 12,780,324 | |
60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
Centrally Cleared Interest Rate Swap Agreements†† (concluded) |
Counterparty | Exchange | Floating
Rate Type | Floating
Rate Index | | Fixed
Rate | | | Payment
Frequency | | | Maturity
Date | |
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 1.57% | | | Annually | | 12/03/36 |
JPM | LCH | Pay | Overnight Tokyo Average Rate | 0.15% | | | Annually | | 11/19/31 |
JPM | LCH | Pay | Sterling Overnight Interbank Average Rate | 0.85% | | | Annually | | 12/03/26 |
JPM | LCH | Pay | 3-Month HKD HIBOR | 1.72% | | | Quarterly | | 11/19/25 |
JPM | LCH | Pay | 3-Month ILS TELBOR | 1.11% | | | Quarterly | | 11/19/24 |
JPM | LCH | Pay | U.S. Secured Overnight Financing Rate | 1.30% | | | Annually | | 12/11/31 |
JPM | LCH | Pay | U.S. Secured Overnight Financing Rate | 1.08% | | | Annually | | 12/06/28 |
JPM | LCH | Pay | 3-Month NOK NIBOR | 1.87% | | | Quarterly | | 11/22/23 |
JPM | LCH | Pay | U.S. Secured Overnight Financing Rate | 1.33% | | | Annually | | 12/10/31 |
JPM | LCH | Pay | U.S. Secured Overnight Financing Rate | 1.23% | | | Annually | | 12/03/31 |
| | | Notional
Amount~ | | | Value | | | Upfront
Premiums Paid
(Received) | | | Unrealized
(Depreciation)** | |
| | | | 6,083,000 | | | $ | 126,191 | | | $ | 148,516 | | | $ | (22,325 | ) |
| | | JPY | 779,389,000 | | | | (78,166 | ) | | | 44 | | | | (78,210 | ) |
| | | GBP | 3,725,000 | | | | (227,667 | ) | | | (429 | ) | | | (227,238 | ) |
| | | HKD | 137,277,000 | | | | (288,939 | ) | | | 65 | | | | (289,004 | ) |
| | | ILS | 105,181,000 | | | | (302,095 | ) | | | 65 | | | | (302,160 | ) |
| | | | 4,351,000 | | | | (309,867 | ) | | | 222 | | | | (310,089 | ) |
| | | | 4,712,000 | | | | (318,760 | ) | | | (961 | ) | | | (317,799 | ) |
| | | NOK | 300,000,000 | | | | (330,422 | ) | | | 5,243 | | | | (335,665 | ) |
| | | | 4,988,000 | | | | (342,916 | ) | | | 1,061 | | | | (343,977 | ) |
| | | | 5,205,000 | | | | (397,601 | ) | | | 3,146 | | | | (400,747 | ) |
| | | | | | | $ | (2,470,242 | ) | | $ | 156,972 | | | $ | (2,627,214 | ) |
Total interest rate swap agreements | | $ | 10,286,927 | | | $ | 133,817 | | | $ | 10,153,110 | |
Total Return Swap Agreements |
Counterparty | Reference
Obligation | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Credit Index Swap Agreements†† |
Goldman Sachs International | iShares iBoxx $ High Yield Corporate Bond ETF | Receive | (0.72)% (Federal Funds Rate - 1.05%) | | | At Maturity | | | | 06/23/22 | | | | 496,716 | | | $ | 40,874,760 | | | $ | 352,668 | |
Bank of America, N.A. | iShares iBoxx $ High Yield Corporate Bond ETF | Receive | (0.77)% (Federal Funds Rate - 1.10%) | | | At Maturity | | | | 06/23/22 | | | | 197,284 | | | | 16,234,500 | | | | 140,072 | |
| | | | | | | | | | | | | | | | | | $ | 57,109,260 | | | $ | 492,740 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 61 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
Forward Foreign Currency Exchange Contracts†† |
Counterparty | | Currency | | | Type | | | Quantity | | | Contract
Amount | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
Goldman Sachs International | | | ILS | | | | Buy | | | | 92,228,427 | | | | 24,775,937 USD | | | | 08/01/22 | | | $ | 4,319,891 | |
Deutsche Bank AG | | | AUD | | | | Buy | | | | 5,673,265 | | | | 4,121,904 USD | | | | 04/04/22 | | | | 124,233 | |
Deutsche Bank AG | | | NZD | | | | Buy | | | | 2,624,000 | | | | 1,749,522 USD | | | | 12/20/22 | | | | 59,825 | |
JPMorgan Chase Bank, N.A. | | | NZD | | | | Buy | | | | 10,540,000 | | | | 7,248,125 USD | | | | 04/04/22 | | | | 58,127 | |
Deutsche Bank AG | | | EUR | | | | Buy | | | | 2,974,647 | | | | 3,265,469 USD | | | | 04/04/22 | | | | 26,163 | |
JPMorgan Chase Bank, N.A. | | | NZD | | | | Sell | | | | 12,300,000 | | | | 8,547,195 USD | | | | 04/04/22 | | | | 20,924 | |
UBS AG | | | EUR | | | | Buy | | | | 1,910,000 | | | | 2,099,203 USD | | | | 04/04/22 | | | | 14,329 | |
Goldman Sachs International | | | NZD | | | | Buy | | | | 490,924 | | | | 327,336 USD | | | | 12/20/22 | | | | 11,175 | |
Morgan Stanley Capital Services LLC | | | CAD | | | | Buy | | | | 630,000 | | | | 493,050 USD | | | | 04/14/22 | | | | 11,003 | |
Barclays Bank plc | | | NZD | | | | Buy | | | | 7,660,000 | | | | 5,300,396 USD | | | | 04/04/22 | | | | 9,463 | |
Goldman Sachs International | | | AUD | | | | Sell | | | | 3,422,000 | | | | 3,707,737 NZD | | | | 04/04/22 | | | | 8,991 | |
JPMorgan Chase Bank, N.A. | | | EUR | | | | Sell | | | | 3,800,000 | | | | 4,228,868 USD | | | | 06/30/22 | | | | 8,800 | |
JPMorgan Chase Bank, N.A. | | | GBP | | | | Sell | | | | 1,641,509 | | | | 2,164,974 USD | | | | 04/04/22 | | | | 8,611 | |
JPMorgan Chase Bank, N.A. | | | EUR | | | | Buy | | | | 1,510,000 | | | | 1,664,744 USD | | | | 04/04/22 | | | | 6,166 | |
Citibank, N.A. | | | AUD | | | | Buy | | | | 280,000 | | | | 206,282 USD | | | | 04/04/22 | | | | 3,283 | |
Goldman Sachs International | | | NZD | | | | Sell | | | | 810,000 | | | | 564,716 USD | | | | 04/04/22 | | | | 3,230 | |
JPMorgan Chase Bank, N.A. | | | USD | | | | Sell | | | | 300,000 | | | | 378,865 CAD | | | | 04/04/22 | | | | 3,138 | |
Deutsche Bank AG | | | CAD | | | | Sell | | | | 2,445,000 | | | | 1,958,976 USD | | | | 04/06/22 | | | | 2,697 | |
Morgan Stanley Capital Services LLC | | | NZD | | | | Buy | | | | 1,410,000 | | | | 974,723 USD | | | | 04/04/22 | | | | 2,680 | |
Barclays Bank plc | | | USD | | | | Sell | | | | 170,000 | | | | 215,546 CAD | | | | 04/04/22 | | | | 2,462 | |
UBS AG | | | AUD | | | | Sell | | | | 510,000 | | | | 383,280 USD | | | | 04/04/22 | | | | 1,572 | |
Deutsche Bank AG | | | NZD | | | | Sell | | | | 1,250,000 | | | | 867,562 USD | | | | 04/04/22 | | | | 1,070 | |
Morgan Stanley Capital Services LLC | | | USD | | | | Sell | | | | 100,000 | | | | 126,115 CAD | | | | 04/04/22 | | | | 908 | |
Morgan Stanley Capital Services LLC | | | GBP | | | | Buy | | | | 100,000 | | | | 130,482 USD | | | | 04/04/22 | | | | 883 | |
UBS AG | | | NZD | | | | Buy | | | | 190,000 | | | | 130,948 USD | | | | 04/04/22 | | | | 759 | |
Bank of America, N.A. | | | AUD | | | | Sell | | | | 870,000 | | | | 651,898 USD | | | | 04/04/22 | | | | 749 | |
BNP Paribas | | | CAD | | | | Sell | | | | 925,000 | | | | 740,770 USD | | | | 04/05/22 | | | | 661 | |
Citibank, N.A. | | | EUR | | | | Sell | | | | 190,000 | | | | 210,865 USD | | | | 04/04/22 | | | | 618 | |
Morgan Stanley Capital Services LLC | | | EUR | | | | Buy | | | | 130,000 | | | | 143,358 USD | | | | 04/04/22 | | | | 495 | |
Barclays Bank plc | | | NZD | | | | Sell | | | | 90,000 | | | | 62,625 USD | | | | 04/04/22 | | | | 237 | |
Deutsche Bank AG | | | CAD | | | | Sell | | | | 575,000 | | | | 460,221 USD | | | | 04/05/22 | | | | 153 | |
Deutsche Bank AG | | | USD | | | | Buy | | | | 30,000 | | | | 37,558 CAD | | | | 04/04/22 | | | | (51 | ) |
Barclays Bank plc | | | EUR | | | | Buy | | | | 20,000 | | | | 22,185 USD | | | | 04/04/22 | | | | (54 | ) |
Deutsche Bank AG | | | EUR | | | | Sell | | | | 240,000 | | | | 265,475 USD | | | | 04/04/22 | | | | (99 | ) |
JPMorgan Chase Bank, N.A. | | | EUR | | | | Sell | | | | 207,000 | | | | 228,887 USD | | | | 04/04/22 | | | | (172 | ) |
Barclays Bank plc | | | CAD | | | | Sell | | | | 660,000 | | | | 527,848 USD | | | | 04/13/22 | | | | (210 | ) |
Deutsche Bank AG | | | NZD | | | | Buy | | | | 130,000 | | | | 90,426 USD | | | | 04/04/22 | | | | (311 | ) |
Bank of America, N.A. | | | AUD | | | | Buy | | | | 1,420,000 | | | | 1,063,121 USD | | | | 04/04/22 | | | | (326 | ) |
Barclays Bank plc | | | EUR | | | | Sell | | | | 160,000 | | | | 176,470 USD | | | | 04/04/22 | | | | (580 | ) |
62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
Forward Foreign Currency Exchange Contracts†† (continued) |
Counterparty | | Currency | | | Type | | | Quantity | | | Contract
Amount | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
BNP Paribas | | | CAD | | | | Buy | | | | 925,000 | | | | 740,767 USD | | | | 04/06/22 | | | $ | (661 | ) |
Morgan Stanley Capital Services LLC | | | NZD | | | | Sell | | | | 700,000 | | | | 484,464 USD | | | | 04/04/22 | | | | (770 | ) |
UBS AG | | | AUD | | | | Buy | | | | 390,000 | | | | 292,667 USD | | | | 04/04/22 | | | | (773 | ) |
UBS AG | | | EUR | | | | Sell | | | | 2,560,000 | | | | 2,831,939 USD | | | | 04/04/22 | | | | (860 | ) |
UBS AG | | | GBP | | | | Buy | | | | 760,000 | | | | 999,611 USD | | | | 04/04/22 | | | | (1,240 | ) |
Barclays Bank plc | | | GBP | | | | Sell | | | | 840,000 | | | | 1,102,037 USD | | | | 04/04/22 | | | | (1,425 | ) |
Barclays Bank plc | | | AUD | | | | Buy | | | | 470,000 | | | | 353,281 USD | | | | 04/04/22 | | | | (1,511 | ) |
Morgan Stanley Capital Services LLC | | | AUD | | | | Sell | | | | 200,000 | | | | 148,107 USD | | | | 04/04/22 | | | | (1,582 | ) |
Morgan Stanley Capital Services LLC | | | USD | | | | Buy | | | | 210,000 | | | | 264,675 CAD | | | | 04/04/22 | | | | (1,772 | ) |
Barclays Bank plc | | | CAD | | | | Sell | | | | 1,105,000 | | | | 882,252 USD | | | | 04/12/22 | | | | (1,850 | ) |
Barclays Bank plc | | | USD | | | | Buy | | | | 280,000 | | | | 352,265 CAD | | | | 04/04/22 | | | | (1,854 | ) |
Goldman Sachs International | | | AUD | | | | Buy | | | | 684,000 | | | | 741,798 NZD | | | | 04/04/22 | | | | (2,271 | ) |
UBS AG | | | CAD | | | | Sell | | | | 160,000 | | | | 125,702 USD | | | | 04/12/22 | | | | (2,313 | ) |
UBS AG | | | CAD | | | | Sell | | | | 180,000 | | | | 141,414 USD | | | | 04/07/22 | | | | (2,606 | ) |
Barclays Bank plc | | | CAD | | | | Sell | | | | 810,000 | | | | 644,618 USD | | | | 04/19/22 | | | | (3,435 | ) |
JPMorgan Chase Bank, N.A. | | | GBP | | | | Buy | | | | 630,000 | | | | 831,079 USD | | | | 04/04/22 | | | | (3,482 | ) |
Barclays Bank plc | | | GBP | | | | Buy | | | | 1,500,000 | | | | 1,974,139 USD | | | | 04/04/22 | | | | (3,669 | ) |
UBS AG | | | ILS | | | | Sell | | | | 3,026,363 | | | | 958,280 USD | | | | 11/30/22 | | | | (4,368 | ) |
Bank of America, N.A. | | | NZD | | | | Sell | | | | 1,550,000 | | | | 1,069,405 USD | | | | 04/04/22 | | | | (5,044 | ) |
Barclays Bank plc | | | AUD | | | | Sell | | | | 2,170,000 | | | | 1,618,878 USD | | | | 04/04/22 | | | | (5,251 | ) |
Barclays Bank plc | | | ILS | | | | Sell | | | | 5,382,450 | | | | 1,706,566 USD | | | | 11/30/22 | | | | (5,523 | ) |
JPMorgan Chase Bank, N.A. | | | CAD | | | | Sell | | | | 1,062,000 | | | | 843,383 USD | | | | 04/14/22 | | | | (6,307 | ) |
UBS AG | | | CAD | | | | Sell | | | | 510,000 | | | | 400,682 USD | | | | 04/14/22 | | | | (7,361 | ) |
Citibank, N.A. | | | CAD | | | | Sell | | | | 925,000 | | | | 731,980 USD | | | | 04/06/22 | | | | (8,126 | ) |
UBS AG | | | CAD | | | | Sell | | | | 640,000 | | | | 502,814 USD | | | | 04/13/22 | | | | (9,241 | ) |
JPMorgan Chase Bank, N.A. | | | CAD | | | | Sell | | | | 13,080,000 | | | | 10,453,665 USD | | | | 04/06/22 | | | | (11,827 | ) |
UBS AG | | | CAD | | | | Sell | | | | 830,000 | | | | 652,077 USD | | | | 04/19/22 | | | | (11,977 | ) |
Barclays Bank plc | | | CAD | | | | Sell | | | | 767,000 | | | | 600,669 USD | | | | 04/20/22 | | | | (12,979 | ) |
JPMorgan Chase Bank, N.A. | | | USD | | | | Buy | | | | 1,410,000 | | | | 1,779,039 CAD | | | | 04/04/22 | | | | (13,448 | ) |
Citibank, N.A. | | | USD | | | | Buy | | | | 830,000 | | | | 1,054,553 CAD | | | | 04/04/22 | | | | (13,771 | ) |
Goldman Sachs International | | | NZD | | | | Sell | | | | 449,092 | | | | 292,983 USD | | | | 12/20/22 | | | | (16,683 | ) |
Barclays Bank plc | | | CAD | | | | Sell | | | | 2,168,000 | | | | 1,716,027 USD | | | | 04/07/22 | | | | (18,613 | ) |
Deutsche Bank AG | | | CAD | | | | Sell | | | | 5,000,000 | | | | 3,980,543 USD | | | | 04/07/22 | | | | (20,009 | ) |
JPMorgan Chase Bank, N.A. | | | EUR | | | | Sell | | | | 3,055,000 | | | | 3,361,530 USD | | | | 04/14/22 | | | | (20,032 | ) |
JPMorgan Chase Bank, N.A. | | | AUD | | | | Buy | | | | 11,330,000 | | | | 8,501,523 USD | | | | 04/04/22 | | | | (21,620 | ) |
Deutsche Bank AG | | | GBP | | | | Buy | | | | 3,929,000 | | | | 5,184,056 USD | | | | 04/04/22 | | | | (22,741 | ) |
Bank of America, N.A. | | | GBP | | | | Buy | | | | 937,000 | | | | 1,256,451 USD | | | | 04/04/22 | | | | (25,565 | ) |
UBS AG | | | CAD | | | | Sell | | | | 2,180,000 | | | | 1,713,904 USD | | | | 04/27/22 | | | | (30,174 | ) |
Barclays Bank plc | | | CAD | | | | Sell | | | | 1,805,000 | | | | 1,412,596 USD | | | | 04/05/22 | | | | (31,618 | ) |
Citibank, N.A. | | | CAD | | | | Sell | | | | 1,675,067 | | | | 1,306,767 USD | | | | 04/04/22 | | | | (33,490 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 63 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
Forward Foreign Currency Exchange Contracts†† (concluded) |
Counterparty | | Currency | | | Type | | | Quantity | | | Contract
Amount | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
JPMorgan Chase Bank, N.A. | | | CAD | | | | Sell | | | | 2,600,000 | | | | 2,045,976 USD | | | | 04/07/22 | | | $ | (34,311 | ) |
Deutsche Bank AG | | | NZD | | | | Sell | | | | 2,624,000 | | | | 1,774,797 USD | | | | 12/20/22 | | | | (34,549 | ) |
Morgan Stanley Capital Services LLC | | | EUR | | | | Sell | | | | 5,050,000 | | | | 5,552,649 USD | | | | 04/14/22 | | | | (37,166 | ) |
JPMorgan Chase Bank, N.A. | | | AUD | | | | Sell | | | | 12,900,000 | | | | 9,568,407 USD | | | | 04/04/22 | | | | (86,560 | ) |
Barclays Bank plc | | | CAD | | | | Sell | | | | 8,225,000 | | | | 6,492,666 USD | | | | 04/06/22 | | | | (88,273 | ) |
UBS AG | | | NZD | | | | Sell | | | | 6,204,128 | | | | 4,210,233 USD | | | | 04/04/22 | | | | (90,424 | ) |
Deutsche Bank AG | | | GBP | | | | Sell | | | | 18,833,536 | | | | 24,622,397 USD | | | | 04/04/22 | | | | (118,206 | ) |
Barclays Bank plc | | | GBP | | | | Sell | | | | 67,150,000 | | | | 87,482,107 USD | | | | 04/14/22 | | | | (723,980 | ) |
Barclays Bank plc | | | CAD | | | | Sell | | | | 61,842,000 | | | | 48,566,403 USD | | | | 04/14/22 | | | | (912,409 | ) |
Barclays Bank plc | | | ILS | | | | Sell | | | | 92,228,427 | | | | 27,935,310 USD | | | | 08/01/22 | | | | (1,160,518 | ) |
Bank of America, N.A. | | | EUR | | | | Sell | | | | 282,620,000 | | | | 308,653,541 USD | | | | 04/14/22 | | | | (4,176,854 | ) |
| | | | | | | | | | | | | | | | | | | | | | | $ | (3,139,599 | ) |
OTC Interest Rate Swaptions Purchased | | | | | | | | | | | | | | | | |
Counterparty/
Description | Floating
Rate Type | Floating
Rate Index | Payment
Frequency | | Fixed
Rate | | | Expiration
Date | | | Exercise
Rate | | | Swaption
Notional
Amount | | | Swaption
Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | |
Goldman Sachs International 5-Year Interest Rate Swap | Pay | U.S. Secured Overnight Financing Rate | Annual | 1.57% | 12/01/31 | 1.57% | | $ | 62,077,000 | | | $ | 2,182,584 | |
BNP Paribas 10-Year Interest Rate Swap | Pay | U.S. Secured Overnight Financing Rate | Annual | 1.65% | 12/08/31 | 1.65% | | | 33,096,000 | | | | 2,135,117 | |
J.P. Morgan Securities plc 30-Year Interest Rate Swap | Pay | U.S. Secured Overnight Financing Rate | Annual | 1.34% | 12/09/31 | 1.34% | | | 12,557,000 | | | | 1,804,327 | |
Citibank, N.A. 20-Year Interest Rate Swap | Pay | U.S. Secured Overnight Financing Rate | Annual | 1.40% | 12/04/28 | 1.40% | | | 19,584,000 | | | | 1,651,463 | |
Goldman Sachs International 20-Year Interest Rate Swap | Pay | Sterling Overnight Interbank Average Rate | Annual | 0.50% | 12/03/26 | 0.50% | | | 20,485,757 | | | | 1,194,902 | |
| | | | | | | | | | | | | | | | | | | | | | $ | 8,968,393 | |
64 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
OTC Interest Rate Swaptions Purchased (concluded) | | | | | | | | | | | | | | | | |
Counterparty/
Description | Floating
Rate Type | Floating
Rate Index | Payment
Frequency | | Fixed
Rate | | | Expiration
Date | | | Exercise
Rate | | | Swaption
Notional
Amount | | | Swaption
Value | |
Put | | | | | | | | | | | | | | | | | | | | | | | |
Goldman Sachs International 20-Year Interest Rate Swap | Receive | Sterling Overnight Interbank Average Rate | Annual | 0.50% | 12/03/26 | 0.50% | | $ | 20,485,758 | | | $ | 4,257,473 | |
Goldman Sachs International 5-Year Interest Rate Swap | Receive | U.S. Secured Overnight Financing Rate | Annual | 1.57% | 12/01/31 | 1.57% | | | 62,077,000 | | | | 3,836,092 | |
Citibank, N.A. 20-Year Interest Rate Swap | Receive | U.S. Secured Overnight Financing Rate | Annual | 1.40% | 12/04/28 | 1.40% | | | 19,584,000 | | | | 3,512,708 | |
BNP Paribas 10-Year Interest Rate Swap | Receive | U.S. Secured Overnight Financing Rate | Annual | 1.65% | 12/08/31 | 1.65% | | | 33,096,000 | | | | 3,496,550 | |
J.P. Morgan Securities plc 30-Year Interest Rate Swap | Receive | U.S. Secured Overnight Financing Rate | Annual | 1.34% | 12/09/31 | 1.34% | | | 12,557,000 | | | | 2,827,604 | |
| | | | | | | | | | | | | | | | | | | | | | $ | 17,930,427 | |
OTC Interest Rate Swaptions Written | | | | | | | | | | | | | | | | |
Counterparty/
Description | Floating
Rate Type | Floating
Rate Index | Payment
Frequency | | Fixed
Rate | | | Expiration
Date | | | Exercise
Rate | | | Swaption
Notional
Amount | | | Swaption
Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | |
Barclays Bank plc 20-Year Interest Rate Swap | Receive | Sterling Overnight Interbank Average Rate | Annual | 0.54% | 12/09/25 | 0.54% | | $ | 2,281,755 | | | $ | (118,300 | ) |
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap | Receive | U.S. Secured Overnight Financing Rate | Annual | 1.51% | 12/13/23 | 1.51% | | | 3,514,000 | | | | (137,946 | ) |
Barclays Bank plc 10-Year Interest Rate Swap | Receive | U.S. Secured Overnight Financing Rate | Annual | 1.46% | 12/14/23 | 1.46% | | | 6,522,000 | | | | (147,123 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
OTC Interest Rate Swaptions Written (concluded) | | | | | | | | | | | | | | | | |
Counterparty/
Description | Floating
Rate Type | Floating
Rate Index | Payment
Frequency | | Fixed
Rate | | | Expiration
Date | | | Exercise
Rate | | | Swaption
Notional
Amount | | | Swaption
Value | |
Call (concluded) | | | | | | | | | | | | | | | | | | | | | | | |
Barclays Bank plc 5-Year Interest Rate Swap | Receive | U.S. Secured Overnight Financing Rate | Annual | 1.43% | 12/11/23 | 1.43% | | $ | 12,369,000 | | | $ | (172,826 | ) |
J.P. Morgan Securities plc 30-Year Interest Rate Swap | Receive | U.S. Secured Overnight Financing Rate | Annual | 1.46% | 12/09/25 | 1.46% | | | 1,827,000 | | | | (178,351 | ) |
| | | | | | | | | | | | | | | | | | | | | | $ | (754,546 | ) |
Put | | | | | | | | | | | | | | | | | | | | | | | |
J.P. Morgan Securities plc 30-Year Interest Rate Swap | Pay | U.S. Secured Overnight Financing Rate | Annual | 1.46% | 12/09/25 | 1.46% | | $ | 1,827,000 | | | $ | (348,468 | ) |
Barclays Bank plc 20-Year Interest Rate Swap | Pay | Sterling Overnight Interbank Average Rate | Annual | 0.54% | 12/09/25 | 0.54% | | | 2,281,754 | | | | (451,619 | ) |
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap | Pay | U.S. Secured Overnight Financing Rate | Annual | 1.51% | 12/13/23 | 1.51% | | | 3,514,000 | | | | (470,414 | ) |
Barclays Bank plc 10-Year Interest Rate Swap | Pay | U.S. Secured Overnight Financing Rate | Annual | 1.46% | 12/14/23 | 1.46% | | | 6,522,000 | | | | (527,173 | ) |
Barclays Bank plc 5-Year Interest Rate Swap | Pay | U.S. Secured Overnight Financing Rate | Annual | 1.43% | 12/11/23 | 1.43% | | | 12,369,000 | | | | (607,259 | ) |
| | | | | | | | | | | | | | | | | | | | | | $ | (2,404,933 | ) |
66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES 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 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. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
1 | Special Purpose Acquisition Company (SPAC). |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as listed options collateral at March 31, 2022. |
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 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 $3,130,548,309 (cost $3,260,527,203), or 39.1% of total net assets. |
6 | Rate indicated is the 7-day yield as of March 31, 2022. |
7 | Perpetual maturity. |
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 $50,608,703 (cost $60,751,422), or 0.6% of total net assets — See Note 10. |
10 | 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 March 31, 2022. See table below for additional step information for each security. |
11 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At March 31, 2022, the total market value of segregated or earmarked securities was $42,576,363 — See Note 6 |
12 | Payment-in-kind security. |
13 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
14 | Security is an interest-only strip. |
15 | Rate indicated is the effective yield at the time of purchase. |
16 | All or a portion of this security is pledged as interest rate swap collateral at March 31, 2022. |
17 | Swaptions — See additional disclosure in the swaptions table above for more information on swaptions. |
| | AUD — Australian Dollar |
| | BofA — Bank of America |
| | CAD — Canadian Dollar |
| | CDX.NA.IG.33.V1 — Credit Default Swap North American Investment Grade Series 33 Index Version 1 |
| | CME — Chicago Mercantile Exchange |
| | CMS — Constant Maturity Swap |
| | CMT — Constant Maturity Treasury |
| | CZK — Czech Koruna |
| | EUR — Euro |
| | EURIBOR — European Interbank Offered Rate |
| | GBP — British Pound |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 67 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
| | HKD — Hong Kong Dollar |
| | ICE — Intercontinental Exchange |
| | ILS — Israeli New Shekel |
| | JPM — J.P. Morgan Securities LLC |
| | JPY — Japanese Yen |
| | 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 |
| | SOFR — Secured Overnight Financing Rate |
| | SONIA — Sterling Overnight Index Average |
| | TELBOR — Tel Aviv Interbank Offered Rate |
| | WAC — Weighted Average Coupon |
| | |
| | See Sector Classification in Other Information section. |
68 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Consolidated Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 266,215,083 | | | $ | 3,884,848 | | | $ | 4,931,089 | | | $ | 275,031,020 | |
Preferred Stocks | | | — | | | | 469,925,506 | | | | — | * | | | 469,925,506 | |
Warrants | | | 2,493,757 | | | | — | | | | — | | | | 2,493,757 | |
Exchange-Traded Funds | | | 64,719,325 | | | | — | | | | — | | | | 64,719,325 | |
Mutual Funds | | | 196,282,710 | | | | — | | | | — | | | | 196,282,710 | |
Closed-End Funds | | | 82,658,946 | | | | — | | | | — | | | | 82,658,946 | |
Money Market Funds | | | 374,576,457 | | | | — | | | | — | | | | 374,576,457 | |
Corporate Bonds | | | — | | | | 2,348,343,440 | | | | 159,803,687 | | | | 2,508,147,127 | |
Senior Floating Rate Interests | | | — | | | | 1,660,554,099 | | | | 301,479,808 | | | | 1,962,033,907 | |
Asset-Backed Securities | | | — | | | | 1,109,996,612 | | | | 245,357,454 | | | | 1,355,354,066 | |
Collateralized Mortgage Obligations | | | — | | | | 466,523,217 | | | | 63,490,278 | | | | 530,013,495 | |
Foreign Government Debt | | | — | | | | 41,613,882 | | | | — | | | | 41,613,882 | |
U.S. Government Securities | | | — | | | | 36,533,114 | | | | — | | | | 36,533,114 | |
U.S. Treasury Bills | | | — | | | | 26,697,749 | | | | — | | | | 26,697,749 | |
Senior Fixed Rate Interests | | | — | | | | — | | | | 3,086,630 | | | | 3,086,630 | |
Commercial Paper | | | — | | | | 242,513,481 | | | | — | | | | 242,513,481 | |
Options Purchased | | | — | | | | 331,073 | | | | — | | | | 331,073 | |
Interest Rate Swaptions Purchased | | | — | | | | 26,898,820 | | | | — | | | | 26,898,820 | |
Equity Futures Contracts** | | | 5,009,939 | | | | — | | | | — | | | | 5,009,939 | |
Commodity Futures Contracts** | | | 2,533,677 | | | | — | | | | — | | | | 2,533,677 | |
Interest Rate Swap Agreements** | | | — | | | | 12,780,324 | | | | — | | | | 12,780,324 | |
Credit Index Swap Agreements** | | | — | | | | 492,740 | | | | — | | | | 492,740 | |
Forward Foreign Currency Exchange Contracts** | | | — | | | | 4,713,296 | | | | — | | | | 4,713,296 | |
Total Assets | | $ | 994,489,894 | | | $ | 6,451,802,201 | | | $ | 778,148,946 | | | $ | 8,224,441,041 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 69 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Options Written | | $ | 4,767 | | | $ | — | | | $ | — | | | $ | 4,767 | |
Interest Rate Swaptions Written | | | — | | | | 3,159,479 | | | | — | | | | 3,159,479 | |
Commodity Futures Contracts** | | | 3,715,145 | | | | — | | | | — | | | | 3,715,145 | |
Credit Default Swap Agreements** | | | — | | | | 405,095 | | | | — | | | | 405,095 | |
Interest Rate Swap Agreements** | | | — | | | | 2,627,214 | | | | — | | | | 2,627,214 | |
Forward Foreign Currency Exchange Contracts** | | | — | | | | 7,852,895 | | | | — | | | | 7,852,895 | |
Unfunded Loan Commitments (Note 9) | | | — | | | | — | | | | 3,309,480 | | | | 3,309,480 | |
Total Liabilities | | $ | 3,719,912 | | | $ | 14,044,683 | | | $ | 3,309,480 | | | $ | 21,074,075 | |
* | 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 $29,297,852 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
Balance at
March 31, 2022 | | Valuation
Technique | Unobservable
Inputs | | Input Range | | | Weighted
Average* | |
Assets: | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | 109,457,247 | | Option Adjusted Spread off the prior month end broker quote | Broker Quote | | | — | | | | — | |
Asset-Backed Securities | | | 66,122,788 | | Yield Analysis | Yield | | | 4.3%-6.4% | | | | 5.7% | |
Asset-Backed Securities | | | 31,435,316 | | Option Adjusted Spread off third party pricing | Trade Price | | | — | | | | — | |
Asset-Backed Securities | | | 20,786,103 | | Third Party Pricing | Broker Quote | | | — | | | | — | |
Asset-Backed Securities | | | 17,556,000 | | Third Party Pricing | Trade Price | | | — | | | | — | |
Collateralized Mortgage Obligations | | | 32,597,539 | | Model Price | Market Comparable Yields | | | 4.7% | | | | — | |
70 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
Category | | Ending
Balance at
March 31, 2022 | | Valuation
Technique | Unobservable
Inputs | | Input Range | | | Weighted
Average* | |
Collateralized Mortgage Obligations | | $ | 30,892,739 | | Option Adjusted Spread off the prior month end broker quote | Broker Quote | | | — | | | | — | |
Common Stocks | | | 4,188,929 | | Third Party Pricing | Broker Quote | | | — | | | | — | |
Common Stocks | | | 741,980 | | Enterprise Value | Valuation Multiple | | | 3.2x-17.4x | | | | 9.4x | |
Common Stocks | | | 180 | | Model Price | Liquidation Value | | | — | | | | — | |
Corporate Bonds | | | 97,280,659 | | Option Adjusted Spread off the prior month end broker quote | Broker Quote | | | — | | | | — | |
Corporate Bonds | | | 30,183,780 | | Third Party Pricing | Vendor Price | | | — | | | | — | |
Corporate Bonds | | | 22,043,248 | | Yield Analysis | Yield | | | 4.7% | | | | — | |
Corporate Bonds | | | 10,296,000 | | Model Price | Purchase Price | | | — | | | | — | |
Senior Fixed Rate Interests | | | 3,086,630 | | Yield Analysis | Yield | | | 5.3% | | | | — | |
Senior Floating Rate Interests | | | 181,983,807 | | Third Party Pricing | Broker Quote | | | — | | | | — | |
Senior Floating Rate Interests | | | 105,696,245 | | Yield Analysis | Yield | | | 5.3%-8.9% | | | | 6.9% | |
Senior Floating Rate Interests | | | 10,269,736 | | Model Price | Purchase Price | | | — | | | | — | |
Senior Floating Rate Interests | | | 3,530,020 | | Model Price | Market Comparable Yields | | | 9.2% | | | | — | |
Total Assets | | $ | 778,148,946 | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | |
Unfunded Loan Commitments | | $ | 3,309,480 | | 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 period ended March 31, 2022, the Fund had securities with a total value of $179,199,799 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $86,136,384 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 CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 71 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
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 period ended March 31, 2022:
| | | Assets | |
| | Asset-
Backed
Securities | | | Collateralized
Mortgage
Obligations | | | Corporate
Bonds | | | Senior
Floating Rate
Interests | | | Common
Stocks | |
Beginning Balance | | $ | 134,755,864 | | | $ | 33,621,388 | | | $ | 132,694,814 | | | $ | 202,766,682 | | | $ | 1,167,187 | |
Purchases/(Receipts) | | | 74,586,000 | | | | — | | | | 67,214,090 | | | | 131,157,251 | | | | — | |
(Sales, maturities and paydowns)/Fundings | | | (8,772,540 | ) | | | (22,382,728 | ) | | | (33,102,470 | ) | | | (19,938,082 | ) | | | (927 | ) |
Amortization of premiums/discounts | | | 130,261 | | | | (10,998 | ) | | | 35,221 | | | | 821,037 | | | | — | |
Total realized gains (losses) included in earnings | | | 258,608 | | | | (10,469 | ) | | | — | | | | 156,818 | | | | (6,599 | ) |
Total change in unrealized appreciation (depreciation) included in earnings | | | (5,055,475 | ) | | | (997,082 | ) | | | (4,341,513 | ) | | | (2,352,639 | ) | | | (394,798 | ) |
Transfers into Level 3 | | | 49,454,736 | | | | 53,270,167 | | | | — | | | | 72,285,967 | | | | 4,188,929 | |
Transfers out of Level 3 | | | — | | | | — | | | | (2,696,455 | ) | | | (83,417,226 | ) | | | (22,703 | ) |
Ending Balance | | $ | 245,357,454 | | | $ | 63,490,278 | | | $ | 159,803,687 | | | $ | 301,479,808 | | | $ | 4,931,089 | |
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2022 | | $ | (5,055,475 | ) | | $ | (1,007,601 | ) | | $ | (4,109,998 | ) | | $ | (1,217,232 | ) | | $ | (308,373 | ) |
| | | Assets | | | | | | | Liabilities | |
| | Senior
Fixed Rate
Interests | | | Total Assets | | | Unfunded
Loan
Commitments | |
Beginning Balance | | $ | 3,044,928 | | | $ | 508,050,863 | | | $ | (3,698,361 | ) |
Purchases/(Receipts) | | | — | | | | 272,957,341 | | | | (925,839 | ) |
(Sales, maturities and paydowns)/Fundings | | | — | | | | (84,196,747 | ) | | | 1,287,509 | |
Amortization of premiums/discounts | | | 1,352 | | | | 976,873 | | | | 24,904 | |
Total realized gains (losses) included in earnings | | | — | | | | 398,358 | | | | 53,765 | |
Total change in unrealized appreciation (depreciation) included in earnings | | | 40,350 | | | | (13,101,157 | ) | | | (51,458 | ) |
Transfers into Level 3 | | | — | | | | 179,199,799 | | | | — | |
Transfers out of Level 3 | | | — | | | | (86,136,384 | ) | | | — | |
Ending Balance | | $ | 3,086,630 | | | $ | 778,148,946 | | | $ | (3,309,480 | ) |
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2022 | | $ | 40,350 | | | $ | (11,658,329 | ) | | $ | 38,036 | |
72 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
MACRO OPPORTUNITIES 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, except GAIA Aviation Ltd. which is scheduled to decrease.
Name | | Coupon Rate at
Next Reset Date | | | Next Rate
Reset Date | | | Future
Reset Rate | | | Future
Reset Date | |
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70 | | | 6.13 | % | | | 01/30/25 | | | | — | | | | — | |
GAIA Aviation Ltd. 2019-1, 3.97% due 12/15/44 | | | 2.00 | % | | | 11/15/26 | | | | — | | | | — | |
Platinum for Belize Blue Investment Company LLC, 1.60% due 10/20/40 | | | 2.10 | % | | | 10/21/22 | | | | 4.47 | % | | | 10/21/25 | |
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, 2021, 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/1601445/000182126821000490/gugg83048-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 period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
09/30/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | |
Common Stocks | | | | | | | | | | | | | | | | |
BP Holdco LLC* | | $ | 26,465 | | | $ | — | | | $ | — | | | $ | — | |
Targus Group International Equity, Inc* | | | 31,107 | | | | — | | | | — | | | | — | |
Mutual Funds | | | | | | | | | | | | | | | | |
Guggenheim Alpha Opportunity Fund — Institutional Class | | | 26,522,954 | | | | 212,702 | | | | — | | | | — | |
Guggenheim Risk Managed Real Estate Fund — Institutional Class | | | 71,222,266 | | | | 12,714,762 | | | | — | | | | — | |
Guggenheim Strategy Fund II | | | 17,552,529 | | | | 971,716 | | | | — | | | | — | |
Guggenheim Strategy Fund III | | | 15,636,354 | | | | 2,418,350 | | | | — | | | | — | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 46,880,462 | | | | 221,994 | | | | — | | | | — | |
| | | $ | 177,872,137 | | | $ | 16,539,524 | | | $ | — | | | $ | — | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 73 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
MACRO OPPORTUNITIES FUND | |
Security Name | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | | | Capital Gain
Distributions | |
Common Stocks | | | | | | | | | | | | | | | | | | | | |
BP Holdco LLC* | | $ | — | | | $ | 26,465 | | | | 37,539 | | | $ | — | | | $ | — | |
Targus Group International Equity, Inc* | | | 2,343 | | | | 33,450 | | | | 12,773 | | | | — | | | | — | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | |
Guggenheim Alpha Opportunity Fund — Institutional Class | | | 184,881 | | | | 26,920,537 | | | | 1,010,531 | | | | 212,703 | | | | — | |
Guggenheim Risk Managed Real Estate Fund — Institutional Class | | | 3,235,529 | | | | 87,172,557 | | | | 2,227,768 | | | | 604,273 | | | | 3,660,423 | |
Guggenheim Strategy Fund II | | | (315,139 | ) | | | 18,209,106 | | | | 741,715 | | | | 129,981 | | | | — | |
Guggenheim Strategy Fund III | | | (328,177 | ) | | | 17,726,527 | | | | 719,421 | | | | 126,015 | | | | — | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | (848,473 | ) | | | 46,253,983 | | | | 4,724,615 | | | | 221,994 | | | | — | |
| | | $ | 1,930,964 | | | $ | 196,342,625 | | | | | | | $ | 1,294,966 | | | $ | 3,660,423 | |
* | Non-income producing security. |
74 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
MACRO OPPORTUNITIES FUND |
March 31, 2022
Assets: |
Investments in unaffiliated issuers, at value (cost $8,299,534,774) | | $ | 8,002,568,440 | |
Investments in affiliated issuers, at value (cost $182,520,022) | | | 196,342,625 | |
Foreign currency, at value (cost $12,682,814) | | | 12,784,909 | |
Cash | | | 8,567,927 | |
Segregated cash with broker | | | 33,809,589 | |
Unamortized upfront premiums paid on credit default swap agreements | | | 1,349,100 | |
Unamortized upfront premiums paid on interest rate swap agreements | | | 737,015 | |
Unrealized appreciation on OTC swap agreements | | | 492,740 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 4,713,296 | |
Prepaid expenses | | | 451,646 | |
Receivables: |
Interest | | | 53,465,206 | |
Securities sold | | | 15,271,699 | |
Fund shares sold | | | 9,944,162 | |
Variation margin on futures contracts | | | 1,688,467 | |
Dividends | | | 619,196 | |
Foreign tax reclaims | | | 28,240 | |
Protection fees on credit default swap agreements | | | 23,333 | |
Swap settlement | | | 18,888 | |
Variation margin on credit default swap agreements | | | 8,836 | |
Total assets | | | 8,342,885,314 | |
| | | | | |
Liabilities: |
Unfunded loan commitments, at value (Note 9) (commitment fees received $3,992,490) | | $ | 3,309,480 | |
Reverse repurchase agreements (Note 6) | | | 29,297,852 | |
Options written, at value (premiums received $2,615,982) | | | 3,164,246 | |
Segregated cash due to broker | | | 8,961,815 | |
Unamortized upfront premiums received on interest rate swap agreements | | | 603,198 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 7,852,895 | |
Payable for: |
Securities purchased | | | 249,367,837 | |
Fund shares redeemed | | | 23,053,907 | |
Management fees | | | 4,574,032 | |
Distributions to shareholders | | | 3,247,827 | |
Fund accounting/administration fees | | | 451,324 | |
Distribution and service fees | | | 287,654 | |
Variation margin on interest rate swap agreements | | | 265,290 | |
Transfer agent/maintenance fees | | | 110,372 | |
Due to Investment Adviser | | | 59,573 | |
Trustees’ fees* | | | 31,890 | |
Miscellaneous | | | 247,163 | |
Total liabilities | | | 334,886,355 | |
Net assets | | $ | 8,007,998,959 | |
| | | | | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 75 |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited)(concluded) |
MACRO OPPORTUNITIES FUND |
March 31, 2022
Net assets consist of: |
Paid in capital | | $ | 8,411,862,592 | |
Total distributable earnings (loss) | | | (403,863,633 | ) |
Net assets | | $ | 8,007,998,959 | |
| | | | | |
A-Class: |
Net assets | | $ | 392,771,639 | |
Capital shares outstanding | | | 15,111,579 | |
Net asset value per share | | $ | 25.99 | |
Maximum offering price per share (Net asset value divided by 96.00%) | | $ | 27.07 | |
| | | | | |
C-Class: |
Net assets | | $ | 185,983,979 | |
Capital shares outstanding | | | 7,160,470 | |
Net asset value per share | | $ | 25.97 | |
| | | | | |
P-Class: |
Net assets | | $ | 201,021,949 | |
Capital shares outstanding | | | 7,730,492 | |
Net asset value per share | | $ | 26.00 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 7,039,340,118 | |
Capital shares outstanding | | | 270,443,232 | |
Net asset value per share | | $ | 26.03 | |
| | | | | |
R6-Class: |
Net assets | | $ | 188,881,274 | |
Capital shares outstanding | | | 7,258,952 | |
Net asset value per share | | $ | 26.02 | |
76 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) |
MACRO OPPORTUNITIES FUND |
Six Months Ended March 31, 2022
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 9,252,968 | |
Dividends from securities of affiliated issuers | | | 1,294,966 | |
Interest from securities of unaffiliated issuers (net of foreign withholding tax of $20,941) | | | 161,177,578 | |
Total investment income | | | 171,725,512 | |
| | | | | |
Expenses: |
Management fees | | | 35,576,843 | |
Distribution and service fees: |
A-Class | | | 528,603 | |
C-Class | | | 994,871 | |
P-Class | | | 222,322 | |
Transfer agent/maintenance fees: |
A-Class | | | 198,661 | |
C-Class | | | 103,177 | |
P-Class | | | 130,854 | |
Institutional Class | | | 2,953,156 | |
R6-Class | | | 3,630 | |
Fund accounting/administration fees | | | 2,638,759 | |
Professional fees | | | 288,263 | |
Line of credit fees | | | 227,557 | |
Custodian fees | | | 103,145 | |
Trustees’ fees* | | | 22,862 | |
Interest expense | | | 376 | |
Miscellaneous | | | 341,568 | |
Recoupment of previously waived fees: |
A-Class | | | 146,683 | |
C-Class | | | 59,862 | |
P-Class | | | 54,010 | |
R6-Class | | | 106 | |
Total expenses | | | 44,595,308 | |
Less: |
Expenses reimbursed by Adviser: | | | | |
A-Class | | | (10,228 | ) |
C-Class | | | (5,653 | ) |
P-Class | | | (43,184 | ) |
Institutional Class | | | (2,925,185 | ) |
R6-Class | | | (3,958 | ) |
Expenses waived by Adviser | | | (1,430,238 | ) |
Earnings credits applied | | | (17,506 | ) |
Total waived/reimbursed expenses | | | (4,435,952 | ) |
Net expenses | | | 40,159,356 | |
Net investment income | | | 131,566,156 | |
| | | | | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 77 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited)(concluded) |
MACRO OPPORTUNITIES FUND |
Six Months Ended March 31, 2022
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | $ | (9,234,408 | ) |
Distributions received from affiliated investment companies | | | 3,660,423 | |
Investments sold short | | | 245,563 | |
Swap agreements | | | (1,892,453 | ) |
Futures contracts | | | (9,147,776 | ) |
Options purchased | | | (21,601,855 | ) |
Options written | | | 28,138,859 | |
Forward foreign currency exchange contracts | | | 34,717,671 | |
Foreign currency transactions | | | (8,230,024 | ) |
Net realized gain | | | 16,656,000 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (378,487,714 | ) |
Investments in affiliated issuers | | | 1,930,964 | |
Investments sold short | | | (258,791 | ) |
Swap agreements | | | 12,703,048 | |
Futures contracts | | | 13,047,106 | |
Options purchased | | | (13,467,218 | ) |
Options written | | | (2,062,228 | ) |
Forward foreign currency exchange contracts | | | (17,236,361 | ) |
Foreign currency translations | | | 333,504 | |
Net change in unrealized appreciation (depreciation) | | | (383,497,690 | ) |
Net realized and unrealized loss | | | (366,841,690 | ) |
Net decrease in net assets resulting from operations | | $ | (235,275,534 | ) |
78 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
MACRO OPPORTUNITIES FUND | |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 131,566,156 | | | $ | 239,774,083 | |
Net realized gain on investments | | | 16,656,000 | | | | 137,673,804 | |
Net change in unrealized appreciation (depreciation) on investments | | | (383,497,690 | ) | | | 43,672,282 | |
Net increase (decrease) in net assets resulting from operations | | | (235,275,534 | ) | | | 421,120,169 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (6,449,897 | ) | | | (14,764,867 | ) |
C-Class | | | (2,291,308 | ) | | | (6,958,834 | ) |
P-Class | | | (2,723,052 | ) | | | (4,838,625 | ) |
Institutional Class | | | (123,505,374 | ) | | | (238,591,049 | ) |
R6-Class | | | (3,460,912 | ) | | | (6,773,294 | ) |
Total distributions to shareholders | | | (138,430,543 | ) | | | (271,926,669 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 77,169,486 | | | | 235,685,397 | |
C-Class | | | 11,955,872 | | | | 45,952,659 | |
P-Class | | | 76,935,577 | | | | 95,919,416 | |
Institutional Class | | | 1,793,514,485 | | | | 3,976,890,531 | |
R6-Class | | | 30,761,824 | | | | 71,972,977 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 5,516,864 | | | | 12,141,681 | |
C-Class | | | 2,003,679 | | | | 6,099,243 | |
P-Class | | | 2,721,029 | | | | 4,835,559 | |
Institutional Class | | | 107,714,002 | | | | 208,271,783 | |
R6-Class | | | 3,460,733 | | | | 6,770,877 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (106,284,120 | ) | | | (135,116,396 | ) |
C-Class | | | (26,818,337 | ) | | | (71,617,733 | ) |
P-Class | | | (32,872,900 | ) | | | (39,880,927 | ) |
Institutional Class | | | (1,440,260,818 | ) | | | (1,501,457,579 | ) |
R6-Class | | | (33,374,315 | ) | | | (22,498,771 | ) |
Net increase from capital share transactions | | | 472,143,061 | | | | 2,893,968,717 | |
Net increase in net assets | | | 98,436,984 | | | | 3,043,162,217 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 7,909,561,975 | | | | 4,866,399,758 | |
End of period | | $ | 8,007,998,959 | | | $ | 7,909,561,975 | |
| | | | | | | | | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 79 |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
MACRO OPPORTUNITIES FUND | |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 2,880,878 | | | | 8,625,070 | |
C-Class | | | 445,736 | | | | 1,685,027 | |
P-Class | | | 2,874,034 | | | | 3,504,866 | |
Institutional Class | | | 66,897,618 | | | | 145,580,629 | |
R6-Class | | | 1,148,715 | | | | 2,630,538 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 206,922 | | | | 446,031 | |
C-Class | | | 75,232 | | | | 224,373 | |
P-Class | | | 102,264 | | | | 177,495 | |
Institutional Class | | | 4,036,385 | | | | 7,636,796 | |
R6-Class | | | 129,665 | | | | 248,502 | |
Shares redeemed | | | | | | | | |
A-Class | | | (3,984,945 | ) | | | (4,959,407 | ) |
C-Class | | | (1,005,687 | ) | | | (2,626,829 | ) |
P-Class | | | (1,235,251 | ) | | | (1,476,585 | ) |
Institutional Class | | | (54,125,550 | ) | | | (55,109,331 | ) |
R6-Class | | | (1,258,872 | ) | | | (829,134 | ) |
Net increase in shares | | | 17,187,144 | | | | 105,758,041 | |
80 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 27.19 | | | $ | 26.31 | | | $ | 25.82 | | | $ | 26.53 | | | $ | 26.67 | | | $ | 26.01 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .38 | | | | .91 | | | | .74 | | | | .72 | | | | .72 | | | | .95 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.17 | ) | | | 1.04 | | | | .61 | | | | (.62 | ) | | | (.08 | ) | | | .68 | |
Total from investment operations | | | (.79 | ) | | | 1.95 | | | | 1.35 | | | | .10 | | | | .64 | | | | 1.63 | |
Less distributions from: |
Net investment income | | | (.41 | ) | | | (1.07 | ) | | | (.86 | ) | | | (.79 | ) | | | (.78 | ) | | | (.97 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.02 | ) | | | — | | | | — | |
Total distributions | | | (.41 | ) | | | (1.07 | ) | | | (.86 | ) | | | (.81 | ) | | | (.78 | ) | | | (.97 | ) |
Net asset value, end of period | | $ | 25.99 | | | $ | 27.19 | | | $ | 26.31 | | | $ | 25.82 | | | $ | 26.53 | | | $ | 26.67 | |
|
Total Returnc | | | (2.94 | %) | | | 7.49 | % | | | 5.39 | % | | | 0.41 | % | | | 2.42 | % | | | 6.33 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 392,772 | | | $ | 435,293 | | | $ | 312,986 | | | $ | 461,781 | | | $ | 714,630 | | | $ | 893,104 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.88 | % | | | 3.35 | % | | | 2.90 | % | | | 2.76 | % | | | 2.72 | % | | | 3.58 | % |
Total expensesd | | | 1.38 | % | | | 1.43 | % | | | 1.51 | % | | | 1.47 | % | | | 1.43 | % | | | 1.42 | % |
Net expensese,f,g | | | 1.34 | % | | | 1.37 | % | | | 1.39 | % | | | 1.39 | % | | | 1.33 | % | | | 1.27 | % |
Portfolio turnover rate | | | 24 | % | | | 84 | % | | | 130 | % | | | 46 | % | | | 66 | % | | | 61 | % |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 81 |
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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 27.17 | | | $ | 26.29 | | | $ | 25.80 | | | $ | 26.52 | | | $ | 26.65 | | | $ | 25.99 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .29 | | | | .72 | | | | .55 | | | | .52 | | | | .53 | | | | .75 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.18 | ) | | | 1.03 | | | | .61 | | | | (.62 | ) | | | (.08 | ) | | | .68 | |
Total from investment operations | | | (.89 | ) | | | 1.75 | | | | 1.16 | | | | (.10 | ) | | | .45 | | | | 1.43 | |
Less distributions from: |
Net investment income | | | (.31 | ) | | | (.87 | ) | | | (.67 | ) | | | (.60 | ) | | | (.58 | ) | | | (.77 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.02 | ) | | | — | | | | — | |
Total distributions | | | (.31 | ) | | | (.87 | ) | | | (.67 | ) | | | (.62 | ) | | | (.58 | ) | | | (.77 | ) |
Net asset value, end of period | | $ | 25.97 | | | $ | 27.17 | | | $ | 26.29 | | | $ | 25.80 | | | $ | 26.52 | | | $ | 26.65 | |
|
Total Returnc | | | (3.31 | %) | | | 6.70 | % | | | 4.60 | % | | | (0.37 | %) | | | 1.69 | % | | | 5.55 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 185,984 | | | $ | 207,739 | | | $ | 219,866 | | | $ | 321,576 | | | $ | 433,121 | | | $ | 434,634 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.14 | % | | | 2.64 | % | | | 2.15 | % | | | 2.00 | % | | | 1.98 | % | | | 2.83 | % |
Total expensesd | | | 2.13 | % | | | 2.18 | % | | | 2.25 | % | | | 2.20 | % | | | 2.18 | % | | | 2.14 | % |
Net expensese,f,g | | | 2.09 | % | | | 2.12 | % | | | 2.15 | % | | | 2.13 | % | | | 2.09 | % | | | 2.03 | % |
Portfolio turnover rate | | | 24 | % | | | 84 | % | | | 130 | % | | | 46 | % | | | 66 | % | | | 61 | % |
82 | THE GUGGENHEIM FUNDS SEMI-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.
P-Class | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 27.20 | | | $ | 26.32 | | | $ | 25.82 | | | $ | 26.54 | | | $ | 26.68 | | | $ | 26.02 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .39 | | | | .91 | | | | .74 | | | | .71 | | | | .73 | | | | .92 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.18 | ) | | | 1.04 | | | | .62 | | | | (.62 | ) | | | (.09 | ) | | | .71 | |
Total from investment operations | | | (.79 | ) | | | 1.95 | | | | 1.36 | | | | .09 | | | | .64 | | | | 1.63 | |
Less distributions from: |
Net investment income | | | (.41 | ) | | | (1.07 | ) | | | (.86 | ) | | | (.79 | ) | | | (.78 | ) | | | (.97 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.02 | ) | | | — | | | | — | |
Total distributions | | | (.41 | ) | | | (1.07 | ) | | | (.86 | ) | | | (.81 | ) | | | (.78 | ) | | | (.97 | ) |
Net asset value, end of period | | $ | 26.00 | | | $ | 27.20 | | | $ | 26.32 | | | $ | 25.82 | | | $ | 26.54 | | | $ | 26.68 | |
|
Total Return | | | (2.95 | %) | | | 7.48 | % | | | 5.42 | % | | | 0.37 | % | | | 2.42 | % | | | 6.33 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 201,022 | | | $ | 162,928 | | | $ | 99,575 | | | $ | 126,334 | | | $ | 160,578 | | | $ | 188,980 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.89 | % | | | 3.33 | % | | | 2.91 | % | | | 2.73 | % | | | 2.73 | % | | | 3.48 | % |
Total expensesd | | | 1.42 | % | | | 1.45 | % | | | 1.50 | % | | | 1.46 | % | | | 1.46 | % | | | 1.44 | % |
Net expensese,f,g | | | 1.34 | % | | | 1.37 | % | | | 1.40 | % | | | 1.39 | % | | | 1.33 | % | | | 1.26 | % |
Portfolio turnover rate | | | 24 | % | | | 84 | % | | | 130 | % | | | 46 | % | | | 66 | % | | | 61 | % |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 83 |
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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 27.23 | | | $ | 26.34 | | | $ | 25.85 | | | $ | 26.57 | | | $ | 26.71 | | | $ | 26.04 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .44 | | | | 1.02 | | | | .85 | | | | .81 | | | | .84 | | | | 1.02 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.18 | ) | | | 1.05 | | | | .60 | | | | (.61 | ) | | | (.09 | ) | | | .71 | |
Total from investment operations | | | (.74 | ) | | | 2.07 | | | | 1.45 | | | | .20 | | | | .75 | | | | 1.73 | |
Less distributions from: |
Net investment income | | | (.46 | ) | | | (1.18 | ) | | | (.96 | ) | | | (.90 | ) | | | (.89 | ) | | | (1.06 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.02 | ) | | | — | | | | — | |
Total distributions | | | (.46 | ) | | | (1.18 | ) | | | (.96 | ) | | | (.92 | ) | | | (.89 | ) | | | (1.06 | ) |
Net asset value, end of period | | $ | 26.03 | | | $ | 27.23 | | | $ | 26.34 | | | $ | 25.85 | | | $ | 26.57 | | | $ | 26.71 | |
|
Total Return | | | (2.74 | %) | | | 7.91 | % | | | 5.84 | % | | | 0.77 | % | | | 2.83 | % | | | 6.73 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,039,340 | | | $ | 6,906,534 | | | $ | 4,097,303 | | | $ | 5,396,868 | | | $ | 6,065,678 | | | $ | 4,591,424 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.29 | % | | | 3.74 | % | | | 3.32 | % | | | 3.12 | % | | | 3.15 | % | | | 3.86 | % |
Total expensesd | | | 1.04 | % | | | 1.08 | % | | | 1.17 | % | | | 1.13 | % | | | 1.08 | % | | | 1.06 | % |
Net expensese,f,g | | | 0.93 | % | | | 0.96 | % | | | 0.99 | % | | | 0.98 | % | | | 0.93 | % | | | 0.91 | % |
Portfolio turnover rate | | | 24 | % | | | 84 | % | | | 130 | % | | | 46 | % | | | 66 | % | | | 61 | % |
84 | THE GUGGENHEIM FUNDS SEMI-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.
R6-Class | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Period
Ended
Sept. 30,
2019h | |
Per Share Data |
Net asset value, beginning of period | | $ | 27.22 | | | $ | 26.34 | | | $ | 25.84 | | | $ | 25.98 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .44 | | | | 1.02 | | | | .87 | | | | .36 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.18 | ) | | | 1.04 | | | | .58 | | | | (.03 | ) |
Total from investment operations | | | (.74 | ) | | | 2.06 | | | | 1.45 | | | | .33 | |
Less distributions from: |
Net investment income | | | (.46 | ) | | | (1.18 | ) | | | (.95 | ) | | | (.47 | ) |
Total distributions | | | (.46 | ) | | | (1.18 | ) | | | (.95 | ) | | | (.47 | ) |
Net asset value, end of period | | $ | 26.02 | | | $ | 27.22 | | | $ | 26.34 | | | $ | 25.84 | |
|
Total Return | | | (2.74 | %) | | | 7.91 | % | | | 5.81 | % | | | 1.30 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 188,881 | | | $ | 197,067 | | | $ | 136,669 | | | $ | 676 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.28 | % | | | 3.74 | % | | | 3.41 | % | | | 2.79 | % |
Total expensesd | | | 0.97 | % | | | 1.01 | % | | | 1.09 | % | | | 1.11 | % |
Net expensese,f,g | | | 0.93 | % | | | 0.96 | % | | | 0.99 | % | | | 1.03 | % |
Portfolio turnover rate | | | 24 | % | | | 84 | % | | | 130 | % | | | 46 | % |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 85 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (concluded) |
MACRO OPPORTUNITIES FUND |
a | Unaudited figures for the period ended March 31, 2022. 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 | 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 periods presented was as follows: |
| | | 3/31/22a | 9/30/21 | 9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 |
| | A-Class | 0.07% | 0.10% | 0.03% | 0.02% | 0.04% | 0.02% |
| | C-Class | 0.06% | 0.08% | 0.05% | 0.05% | 0.11% | 0.00% |
| | P-Class | 0.06% | 0.09% | 0.03% | 0.04% | 0.04% | 0.04% |
| | Institutional Class | — | — | 0.00%* | 0.00%* | — | ��� |
| | R6-Class | 0.00%* | 0.00%* | 0.00%* | 0.00%*,h | N/A | N/A |
| * | 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 periods presented would be: |
| | | 3/31/22a | 9/30/21 | 9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 |
| | A-Class | 1.33% | 1.33% | 1.33% | 1.33% | 1.31% | 1.25% |
| | C-Class | 2.08% | 2.08% | 2.08% | 2.07% | 2.06% | 2.00% |
| | P-Class | 1.33% | 1.33% | 1.33% | 1.33% | 1.31% | 1.24% |
| | Institutional Class | 0.92% | 0.92% | 0.92% | 0.92% | 0.90% | 0.88% |
| | R6-Class | 0.92% | 0.92% | 0.92% | 0.92%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. |
86 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
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 March 31, 2022, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Macro Opportunities Fund (the “Fund”), a diversified investment company. At March 31, 2022, A-Class, C-Class, P-Class, Institutional Class and R6-Class and 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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(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
of Subsidiary | | | Subsidiary
Net Assets at
March 31,
2022 | | | % of Net Assets
of the Fund at
March 31,
2022 | |
| | | | 01/08/15 | | | $ | 26,375,122 | | | | 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 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.
88 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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 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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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 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.
90 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
(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 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, 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 91 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
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.
92 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
(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 Fund’s holdings, as a duration management technique or to protect against an increase in the price of securities in 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 options. 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.
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
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
(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
94 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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 March 31, 2022, 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.
(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
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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 period ended March 31, 2022, 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 0.33% at March 31, 2022.
(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.
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.
96 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(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.
Speculation: the use of an instrument to express macro-economic and other investment views.
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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 97 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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 | | $ | 3,261,753,631 | | | $ | 346,759,400 | |
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 | | $ | 199,598,831 | | | $ | 286,435,151 | |
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 following table represents the Fund’s use and volume of futures on a monthly basis:
| | | Average Notional Amount | |
Use | | Long | | | Short | |
Speculation | | $ | 183,395,880 | | | $ | 42,341,855 | |
98 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(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 the 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 | | $ | 9,518,210 | | | $ | — | |
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, Speculation | | $ | 7,919,877,500 | | | $ | 567,288,000 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 99 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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 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 | | $ | 58,333,333 | | | $ | 29,383,333 | |
100 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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 | | $ | 418,779,958 | | | $ | 988,313,393 | |
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 March 31, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/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 interest rate swap agreements |
| | Unamortized upfront premiums paid on credit default swap agreements | Variation margin on interest rate swap agreements |
| Variation margin on credit default swap agreements | |
| Unrealized appreciation on OTC 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 101 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at March 31, 2022:
Asset Derivative Investments Value |
| | Futures
Equity Risk* | | | Futures
Commodity
Risk* | | | Swaps
Interest
Rate Risk* | | | Swaps
Credit Risk* | | | Options
Purchased
Equity Risk | | | Options
Purchased
Interest
Rate Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Total
Value at
March 31,
2022 | |
| | | $ | 5,009,939 | | | $ | 2,533,677 | | | $ | 12,780,324 | | | $ | 492,740 | | | $ | — | | | $ | 27,229,893. | | | $ | 4,713,296 | | | $ | 52,759,869 | |
Liability Derivative Investments Value |
| | Futures
Equity Risk* | | | Futures
Commodity
Risk* | | | Swaps
Interest
Rate Risk* | | | Swaps
Credit Risk* | | | Options
Written
Equity Risk | | | Options
Written
Interest
Rate Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Total
Value at
March 31,
2022 | |
| | | $ | — | | | $ | 3,715,145 | | | $ | 2,627,214 | | | $ | 405,095 | | | $ | 4,767 | | | $ | 3,159,479 | | | $ | 7,852,895 | | | $ | 17,764,595. | |
* | 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 period ended March 31, 2022:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Commodity 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 |
Equity/Interest rate option contracts | Net realized gain (loss) on options purchased |
| | 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 |
102 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(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 period ended March 31, 2022:
| | Realized Gain (Loss) on Derivative Investments Recognized on the Consolidated Statement of Operations | |
| | Futures
Equity Risk | | | Futures
Commodity
Risk | | | Swaps
Interest
Rate Risk | | | Swaps
Credit Risk | | | Options
Written
Equity Risk | | | Options
Purchased
Equity Risk | | | Options
Written
Commodity
Risk | |
| | $ | (2,164,800 | ) | | $ | (6,982,976 | ) | | $ | (1,861,291 | ) | | $ | (31,162 | ) | | $ | 7,053,190 | | | $ | (14,311,380 | ) | | $ | 726,308 | |
| | Options
Purchased
Commodity Risk | | | Options
Written
Foreign
Currency
Exchange Risk | | | Options
Purchased
Foreign
Currency
Exchange Risk | | | Options
Written
Interest
Rate Risk | | | Options
Purchased
Interest
Rate Risk | | | Forward
Foreign
Currency
Exchange Risk | | | Total | |
| | $ | (1,873,989 | ) | | $ | 20,451,644 | | | $ | (6,726,299 | ) | | $ | (92,283 | ) | | $ | 1,309,813 | | | $ | 34,717,671 | | | $ | 30,214,446 | |
| | Change in Unrealized Appreciation (Depreciation) on Derivative Investments
Recognized on the Consolidated Statement of Operations | |
| | Futures
Equity Risk | | | Futures
Commodity
Risk | | | Swaps
Interest
Rate Risk | | | Swaps
Credit Risk | | | Options
Written
Equity Risk | | | Options
Purchased
Equity Risk | | | Options
Written
Commodity
Risk | |
| | $ | 5,009,939 | | | $ | 8,037,167 | | | $ | 12,474,933 | | | $ | 228,115 | | | $ | (1,225,313 | ) | | $ | (1,303,680 | ) | | $ | — | |
| | Options
Purchased
Commodity Risk | | | Options
Written
Foreign
Currency
Exchange Risk | | | Options
Purchased
Foreign
Currency
Exchange Risk | | | Options
Written
Interest
Rate Risk | | | Options
Purchased
Interest
Rate Risk | | | Forward
Foreign
Currency
Exchange Risk | | | Total | |
| | $ | — | | | $ | (140,942 | ) | | $ | 59,089 | | | $ | (695,973 | ) | | $ | (12,222,627 | ) | | $ | (17,236,361 | ) | | $ | (7,015,653 | ) |
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.
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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 103 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Foreign Investments
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. The Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.
The Fund may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of 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.
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.
104 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(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 Consoidated 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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 105 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
| | | | | | | | | | | | | | | Gross Amounts Not Offset in
the Consolidated Statement
of Assets and Liabilities | | | | | |
Instrument | | Gross
Amounts of
Recognized
Assets1 | | | Gross
Amounts
Offset in the
Consolidated
Statement of
Assets and
Liabilities | | | Net Amount
of Assets
Presented
on the
Consolidated
Statement of
Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received | | | Net Amount | |
Credit index swap agreements | | $ | 492,740 | | | $ | — | | | $ | 492,740 | | | $ | (140,072 | ) | | $ | (352,668 | ) | | $ | — | |
Forward foreign currency exchange contracts | | | 4,713,296 | | | | — | | | | 4,713,296 | | | | (370,788 | ) | | | (4,324,333 | ) | | | 18,175 | |
Options purchased | | | 27,229,893 | | | | — | | | | 27,229,893 | | | | (951,198 | ) | | | (2,715,999 | ) | | | 23,562,696 | |
| | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Consolidated Statement
of Assets and Liabilities | | | | | |
Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Consolidated
Statement of
Assets and
Liabilities | | | Net Amount
of Liabilities
Presented
on the
Consolidated
Statement of
Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net Amount | |
Forward foreign currency exchange contracts | | $ | 7,852,895 | | | $ | — | | | $ | 7,852,895 | | | $ | (776,057 | ) | | $ | (2,595,000 | ) | | $ | 4,481,838 | |
Options written | | | 3,159,479 | | | | — | | | | 3,159,479 | | | | (686,001 | ) | | | (940,000 | ) | | | 1,533,478 | |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
106 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(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 March 31, 2022.
Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Barclays Bank plc | Forward foreign currency exchange contracts | | $ | 470,000 | | | $ | — | |
BNP Paribas | Total return swap agreements | | | — | | | | 510,000 | |
BofA Securities, Inc. | Forward foreign currency exchange contracts, Options | | | 2,125,000 | | | | — | |
Citibank, N.A. | Forward foreign currency exchange contracts, Options | | | — | | | | 403,000 | |
Goldman Sachs International | Forward foreign currency exchange contracts, Options | | | — | | | | 6,480,000 | |
J.P. Morgan Securities LLC | Credit default swap agreements | | | 498,742 | | | | 547,291 | |
J.P. Morgan Securities LLC | Futures contracts | | | 18,434,350 | | | | — | |
J.P. Morgan Securities LLC | Interest rate swap agreements | | | 12,281,490 | | | | 591,311 | |
JP Morgan Chase and Co. | Interest rate swap agreements | | | 7 | | | | 213 | |
Morgan Stanley Capital Services LLC | Forward foreign currency exchange contracts, Options | | | — | | | | 430,000 | |
| | | | $ | 33,809,589 | | | $ | 8,961,815 | |
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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 107 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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 annualized rate based on the average daily net assets as follows:
Average Daily Net Assets
| | Annualized
Rate | |
$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 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 period ended March 31, 2022, the Fund waived $119,596 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.
108 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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
Date | | | Contract
End Date | |
A-Class | | | 1.36 | % | | | 11/30/12 | | | | 02/01/23 | |
C-Class | | | 2.11 | % | | | 11/30/12 | | | | 02/01/23 | |
P-Class | | | 1.36 | % | | | 05/01/15 | | | | 02/01/23 | |
Institutional Class | | | 0.95 | % | | | 11/30/12 | | | | 02/01/23 | |
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 March 31, 2022, 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 | | | 2025 | | | Total | |
A-Class | | $ | 82,502 | | | $ | 249,814 | | | $ | 196,169 | | | $ | 48,858 | | | $ | 577,343 | |
C-Class | | | 56,548 | | | | 150,071 | | | | 102,752 | | | | 23,845 | | | | 333,216 | |
P-Class | | | — | | | | 60,380 | | | | 81,801 | | | | 59,563 | | | | 201,744 | |
Institutional Class | | | 5,801,817 | | | | 5,879,352 | | | | 6,245,889 | | | | 3,578,156 | | | | 21,505,214 | |
R6-Class | | | 3,879 | | | | 41,632 | | | | 59,463 | | | | 22,227 | | | | 127,201 | |
For the period ended March 31, 2022, GI recouped $260,661 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 period ended March 31, 2022, the Fund waived $566,201 related to investments in affiliated funds.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 109 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
For the period ended March 31, 2022, GFD retained sales charges of $94,675 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 period ended March 31, 2022, the Fund entered into reverse repurchase agreements:
| | Number of Days
Outstanding | | | Balance at
March 31, 2022 | | | Average Balance
Outstanding | | | Average
Interest Rate | |
| | | | 182 | | | $ | 29,297,852 | | | $ | 39,656,314 | | | | (0.17 | %) |
110 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(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
the Consolidated Statement
of Assets and Liabilities | | | | | |
Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Consolidated
Statement of
Assets and
Liabilities | | | Net Amount
of Liabilities
Presented
on the
Consolidated
Statement of
Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net Amount | |
Reverse repurchase agreements | | $ | 29,297,852 | | | $ | — | | | $ | 29,297,852 | | | $ | (29,297,852 | ) | | $ | — | | | $ | — | |
As of March 31, 2022, there was $29,297,852 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 | | Interest Rate(s) | | | Maturity Date | | | Face Value | |
Barclays Capital, Inc. | | | (0.20 | %)* | | | Open Maturity | | | $ | 1,279,704 | |
BofA Securities, Inc. | | | (0.80 | %) | | | 4/1/2022 | | | | 18,609,024 | |
Credit Suisse Securities (USA) LLC | | | (0.50 | %)* | | | Open Maturity | | | | 2,822,217 | |
RBC Capital Markets LLC | | | (0.25 - 0.15% | %)* | | | Open Maturity | | | | 6,586,907 | |
| | | | | | | | | | | $ | 29,297,852 | |
* | 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 March 31, 2022. |
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
Continuous | | | Up to 30 days | | | Total | |
Corporate Bonds | | $ | 10,688,828 | | | $ | — | | | $ | 10,688,828 | |
U.S. Government Securities | | | — | | | | 18,609,024 | | | | 18,609,024 | |
Gross amount of recognized liabilities for reverse repurchase agreements | | $ | 10,688,828 | | | $ | 18,609,024 | | | $ | 29,297,852 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 111 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(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 consolidated financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
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.
At March 31, 2022, 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) | |
| | | $ | 8,479,573,929 | | | $ | 106,008,822 | | | $ | (378,906,305 | ) | | $ | (272,897,483 | ) |
112 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 8 – Securities Transactions
For the period ended March 31, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
| | Purchases | | | Sales | |
| | | $ | 1,630,371,094 | | | $ | 733,178,441 | |
For the period ended March 31, 2022, the cost of purchases and proceeds from sales of government securities were as follows:
| | Purchases | | | Sales | |
| | | $ | 156,710,076 | | | $ | 163,127,264 | |
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 period ended March 31, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| | Purchases | | | Sales | | | Realized Gain | |
| | | $ | 85,589,823 | | | $ | 11,200,785 | | | $ | 621,531 | |
Note 9 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of March 31, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of March 31, 2022, were as follows:
Borrower | | Maturity
Date | | | Face
Amount* | | | Value | |
Boyd Corp. | | | 07/24/26 | | | | 1,950,000 | | | $ | 24,375 | |
CapStone Acquisition Holdings, Inc. | | | 11/12/27 | | | | 2,348,688 | | | | 3,922 | |
Care BidCo | | | 04/15/26 | | | EUR | 9,200,000 | | | | 826,071 | |
Confluent Health LLC | | | 11/30/28 | | | | 982,301 | | | | 12,279 | |
Dermatology Intermediate Holdings III, Inc. | | | 03/23/29 | | | | 1,212,598 | | | | 18,189 | |
FR Refuel LLC | | | 11/08/28 | | | | 2,753,333 | | | | 55,067 | |
Galls LLC | | | 01/31/24 | | | | 79,855 | | | | 3,184 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 113 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Borrower | | Maturity
Date | | | Face
Amount* | | | Value | |
Higginbotham Insurance Agency, Inc. | | | 11/25/26 | | | | 5,339,031 | | | $ | 61,941 | |
DiversiTech Holdings | | | 12/22/28 | | | | 2,220,000 | | | | 33,300 | |
Integrated Power Services Holdings, Inc. | | | 11/22/28 | | | | 599,695 | | | | 5,997 | |
KKR Core Holding Company LLC | | | 07/15/31 | | | | 14,640,000 | | | | — | |
Lightning A | | | 03/01/37 | | | | 27,144,000 | | | | — | |
Lightning B | | | 03/01/37 | | | | 5,460,000 | | | | — | |
Manscaped, inc. | | | 11/22/21 | | | | 3,884,000 | | | | — | |
MB2 Dental Solutions LLC | | | 01/29/27 | | | | 4,350,879 | | | | 70,043 | |
Medical Solutions Parent Holdings, Inc. | | | 11/01/28 | | | | 1,440,000 | | | | 14,400 | |
Pacific Bells, LLC | | | 11/10/28 | | | | 205,155 | | | | 2,308 | |
Polaris Newco LLC | | | 06/04/26 | | | | 7,638,535 | | | | 865,487 | |
Pro Mach Group, Inc. | | | 08/31/28 | | | | 138,128 | | | | 765 | |
SCP Eye Care Services LLC | | | 03/16/28 | | | | 2,407,955 | | | | 42,139 | |
Service Logic Acquisition, Inc. | | | 10/29/27 | | | | 943,881 | | | | 11,015 | |
Taxware Holdings (Sovos Compliance LLC) | | | 08/11/28 | | | | 559,589 | | | | 1,746 | |
TGP Holdings LLC | | | 06/29/28 | | | | 26,212 | | | | 1,179 | |
The Facilities Group | | | 11/30/27 | | | | 4,261,853 | | | | 43,994 | |
Thunderbird A | | | 03/01/37 | | | | 27,840,000 | | | | — | |
Thunderbird B | | | 03/01/37 | | | | 5,600,000 | | | | — | |
Venture Global Calcasieu Pass LLC | | | 08/19/26 | | | | 587,298 | | | | 2,936 | |
Vertical (TK Elevator) | | | 01/29/27 | | | EUR | 13,250,000 | | | | 1,203,765 | |
VT TopCo, Inc. | | | 08/01/25 | | | | 277,660 | | | | 5,378 | |
| | | | | | | | | | | $ | 3,309,480 | |
* | The face amount is denominated in U.S. dollars unless otherwise indicated. |
| | EUR - Euro |
Note 10 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Restricted
Securities | | Acquisition
Date | | | Cost | | | Value | |
Airplanes Pass Through Trust | | | | | | | | | | | | |
2001-1A, due 03/15/191 | | | 01/18/12 | | | $ | 1,691,716 | | | $ | 21 | |
Atlas Mara Ltd. | | | | | | | | | | | | |
due 12/31/211 | | | 10/01/15 | | | | 14,322,212 | | | | 10,296,000 | |
Basic Energy Services, Inc. | | | | | | | | | | | | |
due 10/15/231 | | | 09/25/18 | | | | 1,493,094 | | | | 30,000 | |
Copper River CLO Ltd. | | | | | | | | | | | | |
2007-1A, due 01/20/212 | | | 05/09/14 | | | | — | | | | 1,630 | |
FKRT | | | | | | | | | | | | |
2.21% due 11/30/58 | | | 09/24/21 | | | | 33,849,754 | | | | 32,597,539 | |
114 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Restricted
Securities | | Acquisition
Date | | | Cost | | | Value | |
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 | | | | 1,033,698 | | | | 920,486 | |
Secured Tenant Site Contract Revenue Notes Series | | | | | | | | | | | | |
2018-1A, 4.70% due 06/15/48 | | | 05/25/18 | | | | 6,650,465 | | | | 6,668,756 | |
| | | | | | | $ | 60,751,422 | | | $ | 50,608,703 | |
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 period ended March 31, 2022.
Note 12 – COVID-19 and Other Market Risks
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 115 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(concluded) |
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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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 consolidated financial statements.
116 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited) |
Guggenheim Partners Advisors, LLC
The Investment Adviser engaged Guggenheim Partners Advisors, LLC to provide investment sub-advisory services to the Fund, effective April 29, 2022. Guggenheim Partners Advisors, LLC assists the Investment Adviser in the supervision and direction of the investment strategy of the Fund in accordance with the Fund’s investment objectives, policies, and restrictions. The Investment Adviser, and not the Fund, compensates Guggenheim Partners Advisors, LLC for these services.
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 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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 117 |
OTHER INFORMATION (Unaudited)(concluded) |
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.
118 | THE GUGGENHEIM FUNDS SEMI-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, upon request, by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other Directorships
Held by Trustees*** |
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). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
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). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 119 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other Directorships
Held by Trustees*** |
INDEPENDENT TRUSTEES - continued | | |
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); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019). |
120 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other Directorships
Held by Trustees*** |
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). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 121 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other Directorships
Held by Trustees*** |
INDEPENDENT TRUSTEES - continued | | |
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). | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020). |
122 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other Directorships
Held by Trustees*** |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 123 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other Directorships
Held by Trustees*** |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022);Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | 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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income 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. |
124 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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 President of Mutual Funds Boards, 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); Managing Director, Guggenheim Investments (2012-present). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 125 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, GuggenheimDistributors, 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). |
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). |
126 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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). 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: Director, 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 SEMI-ANNUAL REPORT | 127 |
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
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 129 |
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 passwords. These safeguards vary based on the
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
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.
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3.31.2022
Guggenheim Funds Semi-Annual Report
| |
Guggenheim Floating Rate Strategies Fund | | |
GuggenheimInvestments.com | FR-SEMI-0322x0922 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
FLOATING RATE STRATEGIES FUND | 9 |
NOTES TO FINANCIAL STATEMENTS | 43 |
OTHER INFORMATION | 60 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 62 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 70 |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1 |
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 semi-annual period ended March 31, 2022.
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.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC
April 30, 2022
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 SEMI-ANNUAL REPORT | |
COVID-19 and Other Market Risks. The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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 risk). ● 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 SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 31, 2022 |
In the six-months ending March 31, 2022, the yield on the two-year Treasury rose 200 basis points to 2.28% from 0.28%, and the 10-year Treasury increased by 80 basis points to 2.32% from 1.52%. The spread between the two-year Treasury and 10-year Treasury narrowed to 4 basis points from 124 basis points as the curve flattened amid market volatility resulting from Russia’s attack on Ukraine, COVID-19 shutdowns in China, and the commencement of rate hikes by the Federal Reserve (the “Fed”). One basis point is equal to 0.01%.
Nevertheless, the U.S. economy remains on a strong footing. The Institute of Supply Management’s March Services Purchasing Managers’ Index print showed a continued recovery in the services sector with business activity, employment, and new orders all rising. The March Consumer Price Index (“CPI”) report was encouraging, with core CPI coming in lower than expected at 0.32% month over month, slightly below expectations of 0.5%.
Economic strength continues to embolden the Fed to move aggressively as it attempts to rein in inflation by raising interest rates and shrinking its balance sheet. The Fed is increasingly concerned about inflation and will act aggressively to get monetary policy to a more appropriate stance. In a recent speech, Lael Brainard, one of the Federal Open Market Committee’s (“FOMC”) traditionally more dovish members, referenced a “rapid pace” of balance sheet reduction and an “expeditious increase” in the fed funds rate, which caused market expectations for the degree of monetary tightening to ramp up.
Brainard’s shift in tone was echoed in the release of the minutes from the March FOMC meeting. The minutes were highly focused on elevated inflation and risks that inflation could stay well above target, as well mentions of an extremely tight labor market. The minutes repeated the phrase that monetary policy would move expeditiously, and contained a section that many participants would have voted for a 50-basis-point rate hike in March if it weren’t for the uncertainty resulting from the outbreak of war in Ukraine. Given this language, the 50-basis-point move at the May meeting and Fed Chair Jerome Powell’s telegraphing of further 50-basis point hikes came as no surprise. The Fed’s strategy at this point is to get rates back to a neutral level as fast as possible, and then see how far into restrictive territory they need to go based on how the economic and financial market data evolve.
A hawkish Fed has historically paved the way for a bullish approach to bonds. Indeed, we believe many fixed-income sectors are now pricing at compelling levels after enduring a first quarter marked by sharply rising yields, a flattening of the Treasury yield curve, and widening spreads. As the Fed races to raise rates during a period of U.S. economic strength and in the face of several global challenges, we remain diligent in our search for attractive entry points exposed by recent market volatility.
For the six-month period ended March 31, 2022, the S&P 500® Index* returned 5.92%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -3.38%. The return of the MSCI Emerging Markets Index* was -8.20%.
4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2022 |
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -5.92% return for the six-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -4.16%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.05% for the six-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.
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 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 SEMI-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 September 30, 2021 and ending March 31, 2022.
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 SEMI-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 SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2021 | Ending
Account Value
March 31,
2022 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 |
A-Class | 1.03% | 0.05% | $ 1,000.00 | $ 1,000.50 | $ 5.14 |
C-Class | 1.78% | (0.32%) | 1,000.00 | 996.80 | 8.86 |
P-Class | 1.03% | 0.05% | 1,000.00 | 1,000.50 | 5.14 |
Institutional Class | 0.79% | 0.21% | 1,000.00 | 1,002.10 | 3.94 |
R6-Class | 0.79% | 0.16% | 1,000.00 | 1,001.60 | 3.94 |
|
Table 2. Based on hypothetical 5% return (before expenses) |
A-Class | 1.03% | 5.00% | $ 1,000.00 | $ 1,019.80 | $ 5.19 |
C-Class | 1.78% | 5.00% | 1,000.00 | 1,016.06 | 8.95 |
P-Class | 1.03% | 5.00% | 1,000.00 | 1,019.80 | 5.19 |
Institutional Class | 0.79% | 5.00% | 1,000.00 | 1,020.99 | 3.98 |
R6-Class | 0.79% | 5.00% | 1,000.00 | 1,020.99 | 3.98 |
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 182/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period September 30, 2021 to March 31, 2022. |
8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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 | 2.8% |
Del Monte Foods, Inc. | 0.9% |
Thevelia US LLC | 0.9% |
Hunter Douglas, Inc., 4.00% | 0.9% |
First Brands Group LLC, 6.00% | 0.9% |
Berry Global, Inc., 2.07% | 0.8% |
Xplornet Communications, Inc., 4.50% | 0.8% |
American Bath Group LLC, 4.25% | 0.8% |
AmWINS Group, Inc., 3.00% | 0.8% |
LTI Holdings, Inc., 3.96% | 0.8% |
Top Ten Total | 10.4% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | March 31, 2022 |
Portfolio Composition by Quality Rating1 |
Rating | % of Total
Investments |
Fixed Income Instruments | |
AAA | 0.2% |
BBB | 7.8% |
BB | 27.8% |
B | 46.3% |
CCC | 0.8% |
CC | 0.4% |
NR2 | 0.5% |
Other Instruments | 16.2% |
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. |
10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 0.05% | 2.65% | 2.93% | 3.96% |
A-Class Shares with sales charge‡ | (2.97%) | (0.43%) | 2.31% | 3.45% |
C-Class Shares | (0.32%) | 1.89% | 2.17% | 3.19% |
C-Class Shares with CDSC§ | (1.31%) | 0.90% | 2.17% | 3.19% |
Institutional Class Shares | 0.21% | 2.93% | 3.18% | 4.21% |
Credit Suisse Leveraged Loan Index | 0.61% | 3.22% | 4.05% | 4.47% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(05/01/15) |
P-Class Shares | 0.05% | 2.65% | 2.93% | 3.06% |
Credit Suisse Leveraged Loan Index | 0.61% | 3.22% | 4.05% | 4.00% |
| | 6 Month† | 1 Year | Since
Inception
(03/13/19) |
R6-Class Shares | | 0.16% | 2.91% | 3.29% |
Credit Suisse Leveraged Loan Index | | 0.61% | 3.22% | 3.99% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | 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 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 SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Shares | | | Value | |
COMMON STOCKS††† - 0.0% |
| | | | | | | | | |
Energy - 0.0% |
Permian Production Partners LLC | | | 401,481 | | | $ | 290,672 | |
| | | | | | | | | |
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 | | | | 499 | |
Total Industrial | | | | | | | 239,892 | |
| | | | | | | | | |
Consumer, Non-cyclical - 0.0% |
Targus Group International Equity, Inc.*,1 | | | 12,773 | | | | 33,450 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $1,536,338) | | | | | | | 564,014 | |
| | | | | | | | | |
PREFERRED STOCKS††† - 0.0% |
Industrial - 0.0% |
API Heat Transfer Intermediate* | | | 618 | | | | — | |
| | | | | | | | | |
Total Preferred Stocks | | | | |
(Cost $493,920) | | | | | | | — | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 2.8% |
SPDR Blackstone Senior Loan ETF | | | 823,440 | | | | 37,021,862 | |
Total Exchange-Traded Funds | | | | |
(Cost $37,735,862) | | | | | | | 37,021,862 | |
| | | | | | | | | |
MONEY MARKET FUND† - 14.7% |
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.10%2 | | | 197,445,092 | | | | 197,445,092 | |
Total Money Market Fund | | | | |
(Cost $197,445,092) | | | | | | | 197,445,092 | |
| | | | | | | | | |
| | Face
Amount~ | | | | |
SENIOR FLOATING RATE INTERESTS††,◊ - 85.2% |
Industrial - 20.6% | | | | | | | | |
Hunter Douglas, Inc. | | | | | | | | |
4.00% (3 Month USD Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/26/29 | | | 11,800,000 | | | | 11,549,250 | |
Berry Global, Inc. | | | | | | | | |
2.07% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26 | | | 10,911,938 | | | | 10,743,130 | |
American Bath Group LLC | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27 | | | 10,939,481 | | | | 10,613,047 | |
LTI Holdings, Inc. | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/08/25 | | | 10,465,373 | | | | 10,214,623 | |
Genesee & Wyoming, Inc. | | | | | | | | |
3.01% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 12/30/26 | | | 10,279,556 | | | | 10,154,248 | |
Park River Holdings, Inc. | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27 | | | 9,910,824 | | | | 9,679,010 | |
Arcline FM Holdings LLC | | | | | | | | |
5.50% (6 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28 | | | 9,566,925 | | | | 9,427,439 | |
12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
Mirion Technologies, Inc. | | | | | | | | |
3.75% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 10/20/28 | | | 9,481,000 | | | $ | 9,370,926 | |
APi Group DE, Inc. | | | | | | | | |
3.21% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/15/28 | | | 9,370,223 | | | | 9,262,466 | |
TransDigm, Inc. | | | | | | | | |
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25 | | | 4,948,848 | | | | 4,862,244 | |
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25 | | | 4,350,311 | | | | 4,267,394 | |
STS Operating, Inc. (SunSource) | | | | | | | | |
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24 | | | 8,827,070 | | | | 8,688,043 | |
Brown Group Holding LLC | | | | | | | | |
3.51% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 06/07/28 | | | 8,790,237 | | | | 8,658,383 | |
Quikrete Holdings, Inc. | | | | | | | | |
3.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/11/28 | | | 8,000,000 | | | | 7,844,480 | |
Beacon Roofing Supply, Inc. | | | | | | | | |
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/19/28 | | | 7,940,000 | | | | 7,812,404 | |
Core & Main, LP | | | | | | | | |
2.95% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/27/28 | | | 7,661,500 | | | | 7,584,885 | |
BWAY Holding Co. | | | | | | | | |
3.48% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | | | 7,674,424 | | | | 7,556,084 | |
Atlantic Aviation | | | | | | | | |
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 09/22/28 | | | 7,431,375 | | | | 7,325,701 | |
Alliance Laundry Systems LLC | | | | | | | | |
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/08/27 | | | 7,197,750 | | | | 7,121,310 | |
Engineered Machinery Holdings, Inc. | | | | | | | | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 05/19/28 | | | 7,000,000 | | | | 6,893,040 | |
Titan Acquisition Ltd. (Husky) | | | | | | | | |
3.35% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 | | | 6,834,742 | | | | 6,676,107 | |
Cushman & Wakefield US Borrower LLC | | | | | | | | |
3.21% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25 | | | 6,213,956 | | | | 6,120,747 | |
TricorBraun Holdings, Inc. | | | | | | | | |
3.75% (6 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28 | | | 6,268,470 | | | | 6,102,168 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
Icebox Holdco III, Inc. | | | | | | | | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/28 | | | 6,007,143 | | | $ | 5,917,036 | |
Charter Next Generation, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27 | | | 5,697,724 | | | | 5,662,113 | |
Clean Harbors, Inc. | | | | | | | | |
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/08/28 | | | 5,700,000 | | | | 5,635,875 | |
USIC Holding, Inc. | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 05/12/28 | | | 5,330,731 | | | | 5,270,760 | |
Standard Industries, Inc. | | | | |
3.79% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 09/22/28 | | | 5,102,000 | | | | 5,086,694 | |
Gardner Denver, Inc. | | | | | | | | |
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/01/27 | | | 4,937,028 | | | | 4,847,569 | |
Duran Group Holding GMBH | | | | | | | | |
3.75% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/29/24††† | | | EUR 3,791,039 | | | | 4,006,243 | |
3.75% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 12/20/24††† | | | EUR 736,721 | | | | 778,542 | |
Reynolds Group Holdings, Inc. | | | | | | | | |
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/05/26 | | | 4,894,813 | | | | 4,761,234 | |
Filtration Group Corp. | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 10/21/28 | | | 2,892,750 | | | | 2,856,591 | |
3.46% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25 | | | 1,350,000 | | | | 1,328,765 | |
Pro Mach Group, Inc. | | | | | | | | |
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28 | | | 4,117,318 | | | | 4,094,508 | |
DG Investment Intermediate Holdings 2, Inc. | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 03/31/28 | | | 3,870,878 | | | | 3,827,331 | |
Hillman Group, Inc. | | | | | | | | |
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/14/28 | | | 3,690,750 | | | | 3,617,710 | |
Berlin Packaging LLC | | | | | | | | |
4.28% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.25%) due 03/13/28 | | | 3,441,375 | | | | 3,405,241 | |
14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
Mileage Plus Holdings LLC | | | | | | | | |
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | | | 2,800,000 | | | $ | 2,901,500 | |
Savage Enterprises LLC | | | | | | | | |
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 09/15/28 | | | 2,927,875 | | | | 2,899,650 | |
PECF USS Intermediate Holding III Corp. | | | | | | | | |
4.76% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28 | | | 2,840,880 | | | | 2,810,454 | |
Ravago Holdings America, Inc. | | | | | | | | |
3.50% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/06/28 | | | 2,821,500 | | | | 2,743,909 | |
United Airlines, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28 | | | 2,343,984 | | | | 2,312,738 | |
Air Canada | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | | | 2,200,000 | | | | 2,177,076 | |
Osmose Utility Services, Inc. | | | | | | | | |
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 06/23/28 | | | 2,039,750 | | | | 2,011,703 | |
TK Elevator Midco GmbH | | | | | | | | |
4.02% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27 | | | 1,876,368 | | | | 1,856,441 | |
Ring Container Technologies Group LLC | | | | | | | | |
4.27% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 08/14/28 | | | 1,745,625 | | | | 1,716,176 | |
YAK MAT (YAK ACCESS LLC) | | | | | | | | |
10.95% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26 | | | 2,550,000 | | | | 1,629,884 | |
API Heat Transfer | | | | | | | | |
12.00% (3 Month USD LIBOR, Rate Floor: 0.00%) (in-kind rate was 12.00%) due 01/01/24†††,3 | | | 3,435,789 | | | | 1,030,737 | |
12.00% (3 Month USD LIBOR, Rate Floor: 0.00%) (in-kind rate was 12.00%) due 10/02/23†††,3 | | | 631,371 | | | | 473,528 | |
TAMKO Building Products, Inc. | | | | | | | | |
3.52% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/29/26 | | | 1,184,810 | | | | 1,158,152 | |
Griffon Corporation | | | | | | | | |
3.27% (3 Month USD Term SOFR + 2.75%, Rate Floor: 3.25%) due 01/24/29 | | | 650,000 | | | | 642,486 | |
Total Industrial | | | 275,987,775 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
Consumer, Non-cyclical - 17.0% |
Del Monte Foods, Inc. | | | | | | | | |
due 02/16/29 | | | 12,600,000 | | | $ | 12,395,250 | |
Osmosis Holdings Australia II Pty Ltd. | | | | | | | | |
4.25% (1 Week USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/31/28 | | | 6,000,000 | | | | 5,938,140 | |
4.50% (1 Month USD Term SOFR + 4.00%, Rate Floor: 4.50%) due 07/31/28 | | | 5,092,593 | | | | 5,035,301 | |
Aramark Services, Inc. | | | | | | | | |
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/11/25 | | | 10,400,000 | | | | 10,181,600 | |
Bombardier Recreational Products, Inc. | | | | | | | | |
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27 | | | 10,004,296 | | | | 9,801,709 | |
Elanco Animal Health, Inc. | | | | | | | | |
1.98% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27 | | | 9,756,092 | | | | 9,588,385 | |
VC GB Holdings I Corp. | | | | | | | | |
4.51% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/21/28 | | | 9,925,125 | | | | 9,577,746 | |
Electron BidCo, Inc. | | | | | | | | |
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 11/01/28 | | | 9,500,000 | | | | 9,384,195 | |
National Mentor Holdings, Inc. | | | | | | | | |
4.64% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28 | | | 8,888,870 | | | | 8,583,893 | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28 | | | 276,228 | | | | 266,751 | |
Grifols Worldwide Operations USA, Inc. | | | | | | | | |
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.11%) due 11/15/27 | | | 8,730,304 | | | | 8,573,159 | |
Medical Solutions Parent Holdings, Inc. | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/01/28 | | | 7,812,000 | | | | 7,733,880 | |
Triton Water Holdings, Inc. | | | | | | | | |
4.51% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 03/31/28 | | | 7,940,004 | | | | 7,731,579 | |
Hayward Industries, Inc. | | | | | | | | |
3.00% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 05/30/28 | | | 7,761,000 | | | | 7,657,546 | |
Medline Borrower LP | | | | | | | | |
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 10/23/28 | | | 7,200,000 | | | | 7,124,400 | |
16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
Kronos Acquisition Holdings, Inc. | | | | | | | | |
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | | | 7,375,500 | | | $ | 6,853,093 | |
Froneri US, Inc. | | | | | | | | |
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27 | | | 6,779,250 | | | | 6,647,326 | |
HAH Group Holding Co. LLC | | | | | | | | |
due 10/29/27 | | | 6,300,000 | | | | 6,048,000 | |
Recess Holdings, Inc. | | | | | | | | |
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24 | | | 5,535,670 | | | | 5,418,037 | |
Phoenix Newco, Inc. | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/15/28 | | | 5,000,000 | | | | 4,958,950 | |
Mission Veterinary Partners | | | | | | | | |
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28 | | | 4,975,000 | | | | 4,912,812 | |
US Foods, Inc. | | | | | | | | |
3.00% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/14/26 | | | 5,000,000 | | | | 4,892,050 | |
DaVita, Inc. | | | | | | | | |
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/12/26 | | | 4,924,433 | | | | 4,880,901 | |
Southern Veterinary Partners LLC | | | | | | | | |
5.00% (6 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27 | | | 4,759,458 | | | | 4,717,813 | |
IQVIA Holdings, Inc. | | | | | | | | |
2.76% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/11/25 | | | 4,521,422 | | | | 4,488,642 | |
Cidron New Bidco Ltd. | | | | | | | | |
3.00% (1 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 04/16/25 | | | EUR 4,125,000 | | | | 4,464,147 | |
KDC US Holdings, Inc. | | | | | | | | |
4.21% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/22/25 | | | 4,509,945 | | | | 4,431,021 | |
Dermatology Intermediate Holdings III, Inc. | | | | | | | | |
due 03/23/29 | | | 4,414,803 | | | | 4,348,581 | |
Weber-Stephen Products LLC | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 10/29/27 | | | 4,097,671 | | | | 3,962,448 | |
Avantor Funding, Inc. | | | | | | | | |
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 11/08/27 | | | 3,781,000 | | | | 3,746,555 | |
Icon Luxembourg SARL | | | | | | | | |
2.75% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 07/03/28 | | | 3,219,275 | | | | 3,201,183 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | 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 3,000,000 | | | $ | 3,098,927 | |
Catalent Pharma Solutions, Inc. | | | | | | | | |
2.50% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 02/22/28 | | | 3,076,692 | | | | 3,069,000 | |
Aveanna Healthcare LLC | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/17/28 | | | 3,156,241 | | | | 3,068,655 | |
CHG PPC Parent LLC | | | | | | | | |
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 12/08/28 | | | 3,050,000 | | | | 2,973,750 | |
Energizer Holdings, Inc. | | | | | | | | |
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27 | | | 2,821,500 | | | | 2,772,124 | |
Agiliti | | | | | | | | |
3.00% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/04/26††† | | | 2,686,154 | | | | 2,666,008 | |
Pearl Intermediate Parent LLC | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25 | | | 2,536,990 | | | | 2,521,134 | |
MajorDrive Holdings IV LLC | | | | | | | | |
4.56% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/01/28 | | | 2,338,250 | | | | 2,298,804 | |
Arctic Glacier Group Holdings, Inc. | | | | | | | | |
4.51% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/20/24 | | | 2,272,564 | | | | 2,100,895 | |
Cambrex Corp. | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 12/04/26 | | | 1,876,250 | | | | 1,858,669 | |
Endo Luxembourg Finance Company I SARL | | | | | | | | |
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 03/27/28 | | | 1,900,800 | | | | 1,776,260 | |
Valeant Pharmaceuticals International, Inc. | | | | | | | | |
3.46% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/02/25 | | | 1,306,445 | | | | 1,294,465 | |
Upstream Newco, Inc. | | | | | | | | |
4.68% (1 Month USD Term SOFR + 4.25%, Rate Floor: 4.59%) due 11/20/26 | | | 746,250 | | | | 741,123 | |
Total Consumer, Non-cyclical | | | 227,784,907 | |
| | | | | | | | | |
18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
Consumer, Cyclical - 12.7% |
Thevelia US LLC | | | | | | | | |
due 02/09/29 | | | 11,800,000 | | | $ | 11,623,000 | |
First Brands Group LLC | | | | | | | | |
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 03/30/27 | | | 11,539,494 | | | | 11,424,099 | |
Packers Holdings LLC | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28 | | | 9,059,325 | | | | 8,912,111 | |
AlixPartners, LLP | | | | | | | | |
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 02/04/28 | | | 8,907,563 | | | | 8,758,628 | |
Truck Hero, Inc. | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 01/31/28 | | | 8,980,946 | | | | 8,689,065 | |
Stars Group (Amaya) | | | | | | | | |
3.26% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26 | | | 7,611,750 | | | | 7,543,549 | |
Go Daddy Operating Company LLC | | | | | | | | |
2.20% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 02/15/24 | | | 7,066,636 | | | | 7,010,669 | |
IBC Capital Ltd. | | | | | | | | |
4.67% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23 | | | 7,108,830 | | | | 6,939,995 | |
Power Solutions (Panther) | | | | | | | | |
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26 | | | 6,867,314 | | | | 6,772,889 | |
Zephyr Bidco Ltd. | | | | | | | | |
5.47% (1 Month GBP SONIA + 4.75%, Rate Floor: 5.23%) due 07/23/25 | | | GBP 5,265,000 | | | | 6,740,533 | |
Alterra Mountain Co. | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/17/28 | | | 6,657,163 | | | | 6,598,912 | |
PetSmart LLC | | | | | | | | |
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28 | | | 6,318,250 | | | | 6,291,903 | |
American Tire Distributors, Inc. | | | | | | | | |
7.00% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.00%) due 10/20/28 | | | 6,055,000 | | | | 5,991,907 | |
Scientific Games Holdings, LP | | | | | | | | |
due 02/03/29 | | | 5,950,000 | | | | 5,888,358 | |
1011778 BC Unlimited Liability Co. | | | | | | | | |
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/19/26 | | | 5,777,590 | | | | 5,646,381 | |
Entain Holdings (Gibraltar) Ltd. | | | | | | | | |
3.74% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 03/29/27 | | | 5,227,333 | | | | 5,175,060 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
Fertitta Entertainment LLC | | | | | | | | |
4.50% (1 Month USD Term SOFR + 4.00%, Rate Floor: 4.50%) due 01/27/29 | | | 5,000,000 | | | $ | 4,968,750 | |
Eagle Parent Corp. | | | | | | | | |
due 03/17/29 | | | 4,800,000 | | | | 4,749,984 | |
Burlington Stores, Inc. | | | | | | | | |
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/26/28 | | | 4,714,375 | | | | 4,647,572 | |
EG Finco Ltd. | | | | | | | | |
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25 | | | EUR 3,324,277 | | | | 3,628,343 | |
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25 | | | 769,595 | | | | 755,850 | |
BrightView Landscapes LLC | | | | | | | | |
3.00% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 08/15/25 | | | 4,276,103 | | | | 4,238,687 | |
PCI Gaming Authority, Inc. | | | | | | | | |
2.96% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/29/26 | | | 4,257,140 | | | | 4,219,208 | |
CNT Holdings I Corp. | | | | | | | | |
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 11/08/27 | | | 3,762,000 | | | | 3,737,697 | |
CHG Healthcare Services, Inc. | | | | | | | | |
5.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 5.00%) due 09/29/28 | | | 3,034,750 | | | | 3,003,462 | |
Mavis Tire Express Services TopCo Corp. | | | | | | | | |
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28 | | | 2,985,000 | | | | 2,962,195 | |
WIRB - Copernicus Group, Inc. | | | | | | | | |
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 01/08/27 | | | 2,888,859 | | | | 2,873,201 | |
Rent-A-Center, Inc. | | | | | | | | |
3.81% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28 | | | 2,489,500 | | | | 2,435,055 | |
Seren BidCo AB | | | | | | | | |
4.01% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/16/28 | | | 2,194,500 | | | | 2,156,777 | |
Alexander Mann | | | | | | | | |
5.72% (6 Month GBP LIBOR + 5.00%, Rate Floor: 5.00%) due 06/16/25 | | | GBP 1,540,000 | | | | 1,960,423 | |
American Trailer World Corp. | | | | | | | | |
4.50% (1 Month USD Term SOFR + 3.75%, Rate Floor: 4.50%) due 03/03/28 | | | 1,592,000 | | | | 1,524,340 | |
20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
WW International, Inc. | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 04/13/28 | | | 1,653,750 | | | $ | 1,500,778 | |
SHO Holding I Corp. | | | | | | | | |
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/26/24 | | | 561,628 | | | | 518,102 | |
6.23% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24 | | | 9,357 | | | | 8,632 | |
Total Consumer, Cyclical | | | 169,896,115 | |
| | | | | | | | | |
Technology - 11.0% |
Conair Holdings LLC | | | | | | | | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28 | | | 9,908,230 | | | | 9,734,836 | |
Wrench Group LLC | | | | | | | | |
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/30/26 | | | 9,488,218 | | | | 9,393,336 | |
Informatica LLC | | | | | | | | |
3.25% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/27/28 | | | 9,500,000 | | | | 9,390,750 | |
Ascend Learning LLC | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 12/11/28 | | | 9,077,250 | | | | 8,966,054 | |
Polaris Newco LLC | | | | | | | | |
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28 | | | 8,740,852 | | | | 8,668,740 | |
CoreLogic, Inc. | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 06/02/28 | | | 8,674,704 | | | | 8,560,892 | |
Emerald TopCo, Inc. (Press Ganey) | | | | | | | | |
3.80% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 | | | 8,572,621 | | | | 8,448,060 | |
Athenahealth Group, Inc. | | | | | | | | |
4.00% (1 Month USD Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/15/29 | | | 8,354,058 | | | | 8,251,721 | |
WEX, Inc. | | | | | | | | |
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 03/31/28 | | | 7,722,000 | | | | 7,618,602 | |
Peraton Corp. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | | | 7,533,262 | | | | 7,469,682 | |
Misys Ltd. | | | | | | | | |
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24 | | | 7,290,318 | | | | 7,189,274 | |
RealPage, Inc. | | | | | | | | |
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 04/24/28 | | | 7,082,250 | | | | 6,993,014 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
Boxer Parent Company, Inc. | | | | | | | | |
4.76% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/02/25 | | | 6,083,455 | | | $ | 6,041,661 | |
Entegris, Inc. | | | | | | | | |
due 03/02/29 | | | 6,000,000 | | | | 5,980,020 | |
CCC Intelligent Solutions, Inc. | | | | | | | | |
3.26% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 09/21/28 | | | 5,985,000 | | | | 5,919,165 | |
Atlas CC Acquisition Corp. | | | | | | | | |
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28 | | | 5,621,091 | | | | 5,591,243 | |
Verscend Holding Corp. | | | | | | | | |
4.46% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/27/25 | | | 4,357,075 | | | | 4,335,290 | |
Epicor Software | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 07/30/27 | | | 3,721,662 | | | | 3,687,758 | |
Project Ruby Ultimate Parent Corp. | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28 | | | 3,465,000 | | | | 3,426,885 | |
Sabre GLBL, Inc. | | | | | | | | |
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24 | | | 2,032,712 | | | | 1,998,420 | |
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 12/17/27 | | | 1,389,500 | | | | 1,372,131 | |
Taxware Holdings (Sovos Compliance LLC) | | | | | | | | |
5.00% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28 | | | 3,232,310 | | | | 3,222,225 | |
EXC Holdings III Corp. | | | | | | | | |
4.51% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 12/02/24 | | | 1,938,938 | | | | 1,924,395 | |
TIBCO Software, Inc. | | | | | | | | |
4.21% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26 | | | 1,772,932 | | | | 1,761,852 | |
Ep Purchaser LLC | | | | | | | | |
4.51% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/06/28 | | | 1,400,000 | | | | 1,388,044 | |
Total Technology | | | 147,334,050 | |
| | | | | | | | | |
Communications - 8.9% |
Xplornet Communications, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28 | | | 10,896,250 | | | | 10,676,037 | |
WMG Acquisition Corp. | | | | | | | | |
2.58% (1 Month USD LIBOR + 2.13%, Rate Floor: 2.13%) due 01/20/28 | | | 10,000,000 | | | | 9,895,800 | |
22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
Titan AcquisitionCo New Zealand Ltd. (Trade Me) | | | | | | | | |
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/18/28 | | | 9,500,000 | | | $ | 9,405,000 | |
SBA Senior Finance II LLC | | | | | | | | |
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/11/25 | | | 9,425,518 | | | | 9,298,556 | |
UPC Broadband Holding BV | | | | | | | | |
3.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/31/29 | | | 9,300,000 | | | | 9,164,406 | |
McGraw Hill LLC | | | | | | | | |
5.55% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28 | | | 8,660,490 | | | | 8,560,375 | |
Virgin Media Bristol LLC | | | | | | | | |
2.90% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28 | | | 7,916,233 | | | | 7,808,651 | |
CSC Holdings LLC | | | | | | | | |
2.65% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/17/25 | | | 6,815,742 | | | | 6,692,241 | |
Ziggo Financing Partnership | | | | | | | | |
2.90% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28 | | | 6,685,000 | | | | 6,577,438 | |
Zayo Group Holdings, Inc. | | | | | | | | |
3.46% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27 | | | 6,648,468 | | | | 6,463,973 | |
Playtika Holding Corp. | | | | | | | | |
3.21% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28 | | | 6,515,752 | | | | 6,410,587 | |
Authentic Brands | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24 | | | 5,353,601 | | | | 5,304,508 | |
SFR Group S.A. | | | | | | | | |
3.93% (3 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 02/02/26 | | | 3,353,615 | | | | 3,272,927 | |
3.05% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/31/25 | | | 1,640,978 | | | | 1,599,954 | |
Radiate Holdco LLC | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26 | | | 4,674,784 | | | | 4,629,812 | |
Telenet Financing USD LLC | | | | | | | | |
2.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/28/28 | | | 4,000,000 | | | | 3,902,840 | |
Cengage Learning Acquisitions, Inc. | | | | | | | | |
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26 | | | 3,333,250 | | | | 3,302,018 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
Level 3 Financing, Inc. | | | | | | | | |
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/01/27 | | | 3,339,546 | | | $ | 3,273,790 | |
Recorded Books, Inc. | | | | | | | | |
4.39% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/29/25 | | | 2,200,000 | | | | 2,178,924 | |
Cincinnati Bell, Inc. | | | | | | | | |
3.75% (1 Month USD Term SOFR + 3.25%, Rate Floor: 3.75%) due 11/23/28 | | | 1,000,000 | | | | 985,630 | |
Total Communications | | | 119,403,467 | |
| | | | | | | | | |
Financial - 8.8% |
AmWINS Group, Inc. | | | | | | | | |
3.00% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28 | | | 10,442,558 | | | | 10,259,814 | |
AqGen Island Holdings, Inc. | | | | | | | | |
4.56% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/02/28 | | | 9,226,875 | | | | 9,146,140 | |
FleetCor Technologies Operating Company LLC | | | | | | | | |
2.21% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/28/28 | | | 8,578,467 | | | | 8,420,709 | |
USI, Inc. | | | | | | | | |
4.01% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24 | | | 7,947,045 | | | | 7,887,283 | |
NFP Corp. | | | | | | | | |
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27 | | | 7,726,790 | | | | 7,577,122 | |
Aretec Group, Inc. | | | | | | | | |
4.71% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25 | | | 7,594,875 | | | | 7,522,116 | |
Jane Street Group LLC | | | | | | | | |
3.21% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28 | | | 7,307,500 | | | | 7,193,357 | |
Alliant Holdings Intermediate LLC | | | | | | | | |
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 | | | 7,225,735 | | | | 7,138,014 | |
Focus Financial Partners LLC | | | | | | | | |
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24 | | | 6,706,509 | | | | 6,607,319 | |
HarbourVest Partners, LP | | | | | | | | |
2.49% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 03/03/25 | | | 6,186,869 | | | | 6,109,533 | |
Nexus Buyer LLC | | | | | | | | |
4.21% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 | | | 4,660,754 | | | | 4,610,651 | |
Citadel Securities, LP | | | | | | | | |
2.93% (1 Month USD Term SOFR + 2.50%, Rate Floor: 2.50%) due 02/02/28 | | | 4,466,250 | | | | 4,436,728 | |
24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
Franchise Group, Inc. | | | | | | | | |
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26 | | | 4,036,453 | | | $ | 4,026,362 | |
Trans Union LLC | | | | | | | | |
2.75% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28 | | | 3,734,411 | | | | 3,701,735 | |
Virtu Financial | | | | | | | | |
3.50% (1 Month USD Term SOFR + 3.00%, Rate Floor: 3.50%) due 01/13/29 | | | 3,600,000 | | | | 3,559,500 | |
Ryan Specialty Group LLC | | | | | | | | |
3.75% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.75%) due 09/01/27 | | | 3,546,000 | | | | 3,516,462 | |
Apex Group Treasury LLC | | | | | | | | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/27/28 | | | 3,482,500 | | | | 3,449,869 | |
Cobham Ultra SeniorCo SARL | | | | | | | | |
due 11/15/28 | | | 3,300,000 | | | | 3,260,136 | |
HighTower Holding LLC | | | | | | | | |
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28 | | | 2,686,500 | | | | 2,659,635 | |
Duff & Phelps | | | | | | | | |
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27 | | | 2,560,902 | | | | 2,544,897 | |
HUB International Ltd. | | | | | | | | |
5.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 04/25/25 | | | 2,144,584 | | | | 2,128,993 | |
Zodiac Pool Solutions LLC | | | | | | | | |
2.50% (1 Month USD Term SOFR + 2.00%, Rate Floor: 2.50%) due 01/29/29 | | | 1,695,750 | | | | 1,680,064 | |
Teneo Holdings LLC | | | | | | | | |
6.25% (3 Month USD Term SOFR + 5.25%, Rate Floor: 6.25%) due 07/11/25 | | | 1,280,000 | | | | 1,264,806 | |
Total Financial | | | 118,701,245 | |
| | | | | | | | | |
Basic Materials - 5.3% |
Asplundh Tree Expert LLC | | | | | | | | |
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 09/07/27 | | | 9,675,443 | | | | 9,555,855 | |
Messer Industries USA, Inc. | | | | | | | | |
2.96% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/02/26 | | | 9,668,773 | | | | 9,522,387 | |
CTEC III GmbH | | | | | | | | |
due 01/19/29 | | | EUR 7,500,000 | | | | 8,214,728 | |
Element Solutions, Inc. | | | | | | | | |
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 01/30/26 | | | 7,938,931 | | | | 7,863,829 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
Illuminate Buyer LLC | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27 | | | 7,681,697 | | | $ | 7,417,677 | |
Alpha 3 BV (Atotech) | | | | | | | | |
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 03/20/28 | | | 6,749,000 | | | | 6,652,827 | |
Diamond BC BV | | | | | | | | |
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 09/29/28 | | | 5,286,750 | | | | 5,173,085 | |
NIC Acquisition Corp. | | | | | | | | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27 | | | 4,018,455 | | | | 3,897,901 | |
INEOS Ltd. | | | | | | | | |
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 01/29/26 | | | 2,580,500 | | | | 2,531,470 | |
Ascend Performance Materials Operations LLC | | | | | | | | |
due 08/27/26 | | | 2,200,000 | | | | 2,189,924 | |
GrafTech Finance, Inc. | | | | | | | | |
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25 | | | 2,098,958 | | | | 2,070,097 | |
W.R. Grace Holdings LLC | | | | | | | | |
4.81% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 09/22/28 | | | 1,745,625 | | | | 1,728,169 | |
DCG Acquisition Corp. | | | | | | | | |
4.96% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26 | | | 1,704,374 | | | | 1,674,548 | |
Univar Netherlands Holding BV | | | | | | | | |
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/03/28 | | | 1,667,895 | | | | 1,652,784 | |
Trinseo Materials Operating S.C.A. | | | | | | | | |
2.96% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28 | | | 1,588,000 | | | | 1,558,225 | |
Total Basic Materials | | | 71,703,506 | |
| | | | | | | | | |
Energy - 0.9% |
DT Midstream, Inc. | | | | | | | | |
2.50% (6 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 06/26/28 | | | 7,543,000 | | | | 7,523,087 | |
TransMontaigne Operating Company LP | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/17/28 | | | 3,890,250 | | | | 3,861,890 | |
Permian Production Partners LLC | | | | | | | | |
9.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) (in-kind rate was 2.00%) due 11/24/25†††,3 | | | 1,017,726 | | | | 1,002,460 | |
Total Energy | | | 12,387,437 | |
| | | | | | | | | |
Total Senior Floating Rate Interests |
(Cost $1,160,647,471) | | | 1,143,198,502 | |
26 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
CORPORATE BONDS†† - 4.0% |
Consumer, Non-cyclical - 1.8% |
Nathan’s Famous, Inc. | | | | | | | | |
6.63% due 11/01/254 | | | 3,135,000 | | | $ | 3,119,325 | |
Sotheby’s | | | | | | | | |
7.38% due 10/15/274 | | | 2,875,000 | | | | 2,944,259 | |
Cheplapharm Arzneimittel GmbH | | | | | | | | |
5.50% due 01/15/284 | | | 2,975,000 | | | | 2,878,282 | |
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc. | | | | | | | | |
5.00% due 02/01/264 | | | 2,875,000 | | | | 2,760,000 | |
Tenet Healthcare Corp. | | | | | | | | |
4.38% due 01/15/304 | | | 2,800,000 | | | | 2,687,804 | |
ADT Security Corp. | | | | | | | | |
4.13% due 08/01/294 | | | 2,875,000 | | | | 2,670,156 | |
CPI CG, Inc. | | | | | | | | |
8.63% due 03/15/264 | | | 2,689,000 | | | | 2,617,150 | |
WW International, Inc. | | | | | | | | |
4.50% due 04/15/294 | | | 2,875,000 | | | | 2,327,974 | |
HCA, Inc. | | | | | | | | |
4.50% due 02/15/27 | | | 1,500,000 | | | | 1,549,268 | |
Total Consumer, Non-cyclical | | | 23,554,218 | |
| | | | | | | | | |
Communications - 0.8% |
VZ Secured Financing BV | | | | | | | | |
5.00% due 01/15/324 | | | 3,500,000 | | | | 3,272,500 | |
LCPR Senior Secured Financing DAC | | | | | | | | |
6.75% due 10/15/274 | | | 2,875,000 | | | | 2,953,487 | |
Altice France S.A. | | | | | | | | |
5.50% due 10/15/294 | | | 2,850,000 | | | | 2,557,248 | |
McGraw-Hill Education, Inc. | | | | | | | | |
5.75% due 08/01/284 | | | 1,575,000 | | | | 1,502,188 | |
Total Communications | | | 10,285,423 | |
| | | | | | | | | |
Industrial - 0.5% |
New Enterprise Stone & Lime Company, Inc. | | | | | | | | |
5.25% due 07/15/284 | | | 2,875,000 | | | | 2,763,968 | |
Cleaver-Brooks, Inc. | | | | | | | | |
7.88% due 03/01/234 | | | 2,875,000 | | | | 2,739,300 | |
Brundage-Bone Concrete Pumping Holdings, Inc. | | | | | | | | |
6.00% due 02/01/264 | | | 1,412,000 | | | | 1,359,375 | |
Total Industrial | | | 6,862,643 | |
| | | | | | | | | |
Consumer, Cyclical - 0.3% |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc. | | | | | | | | |
4.63% due 01/15/294 | | | 5,000,000 | | | | 4,737,500 | |
Energy - 0.3% |
Sabine Pass Liquefaction LLC | | | | | | | | |
5.63% due 04/15/23 | | | 4,200,000 | | | | 4,297,220 | |
Financial - 0.2% |
Hunt Companies, Inc. | | | | | | | | |
5.25% due 04/15/294 | | | 1,850,000 | | | | 1,762,403 | |
Lincoln Financing SARL | | | | | | | | |
3.88% (3 Month EURIBOR + 3.88%, Rate Floor: 3.88%) due 04/01/24◊,4 | | | EUR 350,000 | | | | 386,328 | |
Total Financial | | | 2,148,731 | |
| | | | | | | | | |
Basic Materials - 0.1% |
WR Grace Holdings LLC | | | | | | | | |
4.88% due 06/15/274 | | | 1,975,000 | | | | 1,932,439 | |
Mirabela Nickel Ltd. | | | | | | | | |
due 06/24/195,6 | | | 1,279,819 | | | | 63,991 | |
Total Basic Materials | | | 1,996,430 | |
| | | | | | | | | |
Total Corporate Bonds |
(Cost $56,435,496) | | | 53,882,165 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 0.9% |
Residential Mortgage-Backed Securities - 0.9% |
RALI Series Trust | | | | | | | | |
2006-QO6, 0.82% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/46◊ | | | 10,609,202 | | | $ | 2,837,573 | |
2006-QO2, 0.90% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46◊ | | | 424,625 | | | | 105,598 | |
Washington Mutual Mortgage Pass-Through Certificates Trust | | | | | | | | |
2007-OA6, 0.95% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/47◊ | | | 2,597,102 | | | | 2,296,210 | |
American Home Mortgage Assets Trust | | | | | | | | |
2006-4, 0.67% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 10/25/46◊ | | | 2,424,538 | | | | 1,493,260 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | | | | | | | | |
2006-AR9, 0.98% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊ | | | 1,697,181 | | | | 1,469,973 | |
Lehman XS Trust Series | | | | | | | | |
2006-16N, 0.84% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 11/25/46◊ | | | 1,414,826 | | | | 1,332,587 | |
Wachovia Asset Securitization Issuance II LLC Trust | | | | | | | | |
2007-HE1, 0.60% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/37◊,4 | | | 936,438 | | | | 924,738 | |
Nomura Resecuritization Trust | | | | | | | | |
2015-4R, 2.27% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,4 | | | 872,371 | | | | 813,374 | |
Alliance Bancorp Trust | | | | | | | | |
2007-OA1, 0.94% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 07/25/37◊ | | | 403,466 | | | | 372,853 | |
Morgan Stanley Re-REMIC Trust | | | | | | | | |
2010-R5, 2.24% due 06/26/364 | | | 333,385 | | | | 306,974 | |
New Century Home Equity Loan Trust | | | | | | | | |
2004-4, 1.25% (1 Month USD LIBOR + 0.80%, Rate Cap/Floor: 12.50%/0.80%) due 02/25/35◊ | | | 172,278 | | | | 168,470 | |
GSAA Home Equity Trust | | | | | | | | |
2007-7, 1.00% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/37◊ | | | 152,623 | | | | 151,252 | |
Total Residential Mortgage-Backed Securities | | | 12,272,862 | |
| | | | | | | | | |
Total Collateralized Mortgage Obligations |
(Cost $14,198,121) | | | 12,272,862 | |
28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
| | Face
Amount~ | | | Value | |
ASSET-BACKED SECURITIES†† - 0.5% |
Collateralized Loan Obligations - 0.5% |
Jamestown CLO V Ltd. | | | | | | | | |
2014-5A, 5.34% (3 Month USD LIBOR + 5.10%, Rate Floor: 0.00%) due 01/17/27◊,4 | | | 4,000,000 | | | $ | 3,911,748 | |
Treman Park CLO Ltd. | | | | | | | | |
2015-1A, due 10/20/284,7 | | | 3,000,000 | | | | 2,346,581 | |
Octagon Loan Funding Ltd. | | | | | | | | |
2014-1A, due 11/18/314,7 | | | 2,071,948 | | | | 795,835 | |
Avery Point II CLO Ltd. | | | | | | | | |
2013-3X COM, due 01/18/257 | | | 1,301,155 | | | | 25,763 | |
OHA Credit Partners IX Ltd. | | | | | | | | |
2013-9A, due 10/20/254,7 | | | 1,808,219 | | | | 2,025 | |
Total Collateralized Loan Obligations | | | 7,081,952 | |
| | | | | | | | | |
Asset-Backed Securities - 0.0% |
Airplanes Pass Through Trust | | | | | | | | |
2001-1A, due 03/15/19†††,5 | | | 896,492 | | | | 9 | |
Total Asset-Backed Securities |
(Cost $7,488,577) | | | 7,081,961 | |
| | | | | | | | | |
Total Investments - 108.1% |
(Cost $1,475,980,877) | | $ | 1,451,466,458 | |
Other Assets & Liabilities, net - (8.1)% | | | (109,351,791 | ) |
Total Net Assets - 100.0% | | $ | 1,342,114,667 | |
Forward Foreign Currency Exchange Contracts†† |
Counterparty | | Currency | | | Type | | | Quantity | | | Contract Amount | | | Settlement
Date | | | Unrealized
Depreciation | |
JPMorgan Chase Bank, N.A. | | | EUR | | | | Sell | | | | 190,000 | | | | 209,436 USD | | | | 04/14/22 | | | $ | (874 | ) |
Barclays Bank plc | | | GBP | | | | Sell | | | | 6,667,000 | | | | 8,685,677 USD | | | | 04/14/22 | | | | (71,880 | ) |
Bank of America, N.A. | | | EUR | | | | Sell | | | | 15,240,000 | | | | 16,643,832 USD | | | | 04/14/22 | | | | (225,233 | ) |
| | | | | | | | | | | | | | | | | | | | | | | $ | (297,987 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
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 — 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. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
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 $57,072,961 (cost $58,338,119), or 4.3% of total net assets. |
5 | Security is in default of interest and/or principal obligations. |
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 $63,991 (cost $1,160,811), or less than 0.1% of total net assets — See Note 9. |
7 | 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 |
| | plc — Public Limited Company |
| | REMIC — Real Estate Mortgage Investment Conduit |
| | SARL — Société à Responsabilité Limitée |
| | SOFR — Secured Overnight Financing Rate |
| | SONIA — Sterling Overnight Index Average |
| | |
| | See Sector Classification in Other Information section. |
30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | — | | | $ | — | | | $ | 564,014 | | | $ | 564,014 | |
Preferred Stocks | | | — | | | | — | | | | — | * | | | — | |
Exchange-Traded Funds | | | 37,021,862 | | | | — | | | | — | | | | 37,021,862 | |
Money Market Fund | | | 197,445,092 | | | | — | | | | — | | | | 197,445,092 | |
Senior Floating Rate Interests | | | — | | | | 1,133,240,984 | | | | 9,957,518 | | | | 1,143,198,502 | |
Corporate Bonds | | | — | | | | 53,882,165 | | | | — | | | | 53,882,165 | |
Collateralized Mortgage Obligations | | | — | | | | 12,272,862 | | | | — | | | | 12,272,862 | |
Asset-Backed Securities | | | — | | | | 7,081,952 | | | | 9 | | | | 7,081,961 | |
Total Assets | | $ | 234,466,954 | | | $ | 1,206,477,963 | | | $ | 10,521,541 | | | $ | 1,451,466,458 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Forward Foreign Currency Exchange Contracts** | | $ | — | | | $ | 297,987 | | | $ | — | | | $ | 297,987 | |
Unfunded Loan Commitments (Note 8) | | | — | | | | — | | | | 115,831 | | | | 115,831 | |
Total Liabilities | | $ | — | | | $ | 297,987 | | | $ | 115,831 | | | $ | 413,818 | |
* | 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 SEMI-ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
FLOATING RATE STRATEGIES FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
09/30/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | |
Common Stocks | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BP Holdco LLC* | | $ | 172,216 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 172,216 | | | | 244,278 | |
Targus Group International Equity, Inc.* | | | 31,108 | | | | — | | | | — | | | | — | | | | 2,342 | | | | 33,450 | | | | 12,773 | |
| | | $ | 203,324 | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,342 | | | $ | 205,666 | | | | | |
* | Non-income producing security. |
32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
FLOATING RATE STRATEGIES FUND |
March 31, 2022
Assets: |
Investments in unaffiliated issuers, at value (cost $1,475,889,596) | | $ | 1,451,260,792 | |
Investments in affiliated issuers, at value (cost $91,281) | | | 205,666 | |
Foreign currency, at value (cost 11,880) | | | 11,943 | |
Cash | | | 2,321,484 | |
Segregated cash with broker | | | 300,000 | |
Prepaid expenses | | | 170,053 | |
Receivables: |
Securities sold | | | 17,485,938 | |
Fund shares sold | | | 4,562,832 | |
Interest | | | 3,102,732 | |
Other assets | | | 1,704 | |
Total assets | | | 1,479,423,144 | |
| | | | | |
Liabilities: |
Unfunded loan commitments, at value (Note 8) (commitment fees received $31,839) | | | 115,831 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 297,987 | |
Payable for: |
Securities purchased | | | 126,319,220 | |
Fund shares redeemed | | | 8,855,105 | |
Management fees | | | 651,585 | |
Distributions to shareholders | | | 502,031 | |
Transfer agent/maintenance fees | | | 206,142 | |
Distribution and service fees | | | 88,942 | |
Fund accounting/administration fees | | | 73,860 | |
Trustees’ fees* | | | 6,944 | |
Due to Investment Adviser | | | 928 | |
Miscellaneous | | | 189,902 | |
Total liabilities | | | 137,308,477 | |
Net assets | | $ | 1,342,114,667 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 1,519,902,616 | |
Total distributable earnings (loss) | | | (177,787,949 | ) |
Net assets | | $ | 1,342,114,667 | |
| | | | | |
A-Class: |
Net assets | | $ | 162,036,876 | |
Capital shares outstanding | | | 6,546,371 | |
Net asset value per share | | $ | 24.75 | |
Maximum offering price per share (Net asset value divided by 97.00%) | | $ | 25.52 | |
| | | | | |
C-Class: |
Net assets | | $ | 54,464,651 | |
Capital shares outstanding | | | 2,201,183 | |
Net asset value per share | | $ | 24.74 | |
| | | | | |
P-Class: |
Net assets | | $ | 49,155,122 | |
Capital shares outstanding | | | 1,985,022 | |
Net asset value per share | | $ | 24.76 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 1,075,107,370 | |
Capital shares outstanding | | | 43,395,074 | |
Net asset value per share | | $ | 24.77 | |
| | | | | |
R6-Class: |
Net assets | | $ | 1,350,648 | |
Capital shares outstanding | | | 54,521 | |
Net asset value per share | | $ | 24.77 | |
* | 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 SEMI-ANNUAL REPORT | 33 |
STATEMENT OF OPERATIONS (Unaudited) |
FLOATING RATE STRATEGIES FUND |
Six Months Ended March 31, 2022
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 996,117 | |
Interest from securities of unaffiliated issuers | | | 19,745,516 | |
Total investment income | | | 20,741,633 | |
| | | | | |
Expenses: |
Management fees | | | 3,547,090 | |
Distribution and service fees: |
A-Class | | | 177,035 | |
C-Class | | | 258,164 | |
P-Class | | | 49,798 | |
Transfer agent/maintenance fees: |
A-Class | | | 44,810 | |
C-Class | | | 45,962 | |
P-Class | | | 6,624 | |
Institutional Class | | | 463,933 | |
R6-Class | | | 70 | |
Fund accounting/administration fees | | | 357,188 | |
Line of credit fees | | | 125,444 | |
Professional fees | | | 39,578 | |
Custodian fees | | | 10,710 | |
Trustees’ fees* | | | 910 | |
Interest expense | | | 121 | |
Miscellaneous | | | 70,887 | |
Recoupment of previously waived fees: |
A-Class | | | 42,093 | |
C-Class | | | 14,885 | |
P-Class | | | 16,690 | |
Institutional Class | | | 283,649 | |
R6-Class | | | 796 | |
Total expenses | | | 5,556,437 | |
Less: |
Expenses reimbursed by Adviser: |
A-Class | | $ | (72,422 | ) |
C-Class | | | (55,799 | ) |
P-Class | | | (19,158 | ) |
Institutional Class | | | (609,196 | ) |
R6-Class | | | (198 | ) |
Expenses waived by Adviser | | | (22,121 | ) |
Earnings credits applied | | | (469 | ) |
Total waived/reimbursed expenses | | | (779,363 | ) |
Net expenses | | | 4,777,074 | |
Net investment income | | | 15,964,559 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (542,740 | ) |
Forward foreign currency exchange contracts | | | 2,254,884 | |
Foreign currency transactions | | | (26,440 | ) |
Net realized gain | | | 1,685,704 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (17,274,410 | ) |
Investments in affiliated issuers | | | 2,342 | |
Forward foreign currency exchange contracts | | | (1,046,591 | ) |
Foreign currency translations | | | 183,281 | |
Net change in unrealized appreciation (depreciation) | | | (18,135,378 | ) |
Net realized and unrealized loss | | | (16,449,674 | ) |
Net decrease in net assets resulting from operations | | $ | (485,115 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
34 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
FLOATING RATE STRATEGIES FUND | |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 15,964,559 | | | $ | 27,738,320 | |
Net realized gain (loss) on investments | | | 1,685,704 | | | | (13,132,511 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (18,135,378 | ) | | | 44,500,462 | |
Net increase (decrease) in net assets resulting from operations | | | (485,115 | ) | | | 59,106,271 | |
| | | | | | | | | |
Distributions: | | | | | | | | |
Distributions to shareholders | | | | | | | | |
A-Class | | | (2,004,032 | ) | | | (3,412,072 | ) |
C-Class | | | (539,963 | ) | | | (1,100,775 | ) |
P-Class | | | (564,816 | ) | | | (813,511 | ) |
Institutional Class | | | (13,059,997 | ) | | | (14,371,249 | ) |
R6-Class | | | (71,819 | ) | | | (41,286 | ) |
Return of capital | | | | | | | | |
A-Class | | | — | | | | (1,376,939 | ) |
C-Class | | | — | | | | (423,452 | ) |
P-Class | | | — | | | | (329,918 | ) |
Institutional Class | | | — | | | | (6,123,159 | ) |
R6-Class | | | — | | | | (15,347 | ) |
Total distributions to shareholders | | | (16,240,627 | ) | | | (28,007,708 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 56,400,981 | | | | 42,886,643 | |
C-Class | | | 12,779,184 | | | | 11,618,216 | |
P-Class | | | 19,351,826 | | | | 11,762,196 | |
Institutional Class | | | 610,248,136 | | | | 417,183,606 | |
R6-Class | | | 20,223,692 | | | | 425,184 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 1,774,501 | | | | 3,444,538 | |
C-Class | | | 455,835 | | | | 1,263,416 | |
P-Class | | | 564,645 | | | | 1,140,824 | |
Institutional Class | | | 11,047,257 | | | | 16,416,134 | |
R6-Class | | | 70,054 | | | | 56,275 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (17,671,459 | ) | | | (68,575,988 | ) |
C-Class | | | (10,342,756 | ) | | | (26,924,208 | ) |
P-Class | | | (5,563,479 | ) | | | (12,084,110 | ) |
Institutional Class | | | (244,434,949 | ) | | | (247,889,580 | ) |
R6-Class | | | (20,033,547 | ) | | | (924,217 | ) |
Net increase from capital share transactions | | | 434,869,921 | | | | 149,798,929 | |
Net increase in net assets | | | 418,144,179 | | | | 180,897,492 | |
| | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 923,970,488 | | | | 743,072,996 | |
End of period | | $ | 1,342,114,667 | | | $ | 923,970,488 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35 |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
FLOATING RATE STRATEGIES FUND | |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 2,264,817 | | | | 1,722,444 | |
C-Class | | | 512,138 | | | | 466,982 | |
P-Class | | | 773,824 | | | | 472,737 | |
Institutional Class | | | 24,427,349 | | | | 16,736,374 | |
R6-Class | | | 804,652 | | | | 17,355 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 71,130 | | | | 138,927 | |
C-Class | | | 18,278 | | | | 51,013 | |
P-Class | | | 22,634 | | | | 45,989 | |
Institutional Class | | | 442,617 | | | | 660,993 | |
R6-Class | | | 2,802 | | | | 2,270 | |
Shares redeemed | | | | | | | | |
A-Class | | | (707,176 | ) | | | (2,751,886 | ) |
C-Class | | | (414,635 | ) | | | (1,086,812 | ) |
P-Class | | | (222,825 | ) | | | (487,616 | ) |
Institutional Class | | | (9,808,333 | ) | | | (9,995,214 | ) |
R6-Class | | | (802,979 | ) | | | (37,009 | ) |
Net increase in shares | | | 17,384,293 | | | | 5,956,547 | |
36 | THE GUGGENHEIM FUNDS SEMI-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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.09 | | | $ | 24.08 | | | $ | 25.23 | | | $ | 25.92 | | | $ | 26.01 | | | $ | 25.92 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .35 | | | | .83 | | | | 1.02 | | | | 1.17 | | | | 1.04 | | | | .93 | |
Net gain (loss) on investments (realized and unrealized) | | | (.34 | ) | | | 1.02 | | | | (1.16 | ) | | | (.67 | ) | | | (.07 | ) | | | .10 | |
Total from investment operations | | | .01 | | | | 1.85 | | | | (.14 | ) | | | .50 | | | | .97 | | | | 1.03 | |
Less distributions from: |
Net investment income | | | (.35 | ) | | | (.83 | ) | | | (.83 | ) | | | (1.19 | ) | | | (1.06 | ) | | | (.94 | ) |
Return of capital | | | — | | | | (.01 | ) | | | (.18 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.35 | ) | | | (.84 | ) | | | (1.01 | ) | | | (1.19 | ) | | | (1.06 | ) | | | (.94 | ) |
Net asset value, end of period | | $ | 24.75 | | | $ | 25.09 | | | $ | 24.08 | | | $ | 25.23 | | | $ | 25.92 | | | $ | 26.01 | |
|
Total Returnc | | | 0.05 | % | | | 7.83 | % | | | (0.50 | %) | | | 2.01 | % | | | 3.80 | % | | | 4.03 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 162,037 | | | $ | 123,392 | | | $ | 139,857 | | | $ | 235,752 | | | $ | 431,562 | | | $ | 534,911 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.78 | % | | | 3.36 | % | | | 4.23 | % | | | 4.60 | % | | | 4.02 | % | | | 3.58 | % |
Total expensesd | | | 1.13 | % | | | 1.09 | % | | | 1.25 | % | | | 1.23 | % | | | 1.15 | % | | | 1.13 | % |
Net expensese,f,g | | | 1.03 | % | | | 1.05 | % | | | 1.10 | % | | | 1.07 | % | | | 1.03 | % | | | 1.04 | % |
Portfolio turnover rate | | | 16 | % | | | 57 | % | | | 20 | % | | | 10 | % | | | 33 | % | | | 44 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37 |
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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.08 | | | $ | 24.07 | | | $ | 25.22 | | | $ | 25.91 | | | $ | 26.00 | | | $ | 25.91 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .25 | | | | .65 | | | | .84 | | | | .98 | | | | .85 | | | | .74 | |
Net gain (loss) on investments (realized and unrealized) | | | (.33 | ) | | | 1.02 | | | | (1.16 | ) | | | (.67 | ) | | | (.07 | ) | | | .10 | |
Total from investment operations | | | (.08 | ) | | | 1.67 | | | | (.32 | ) | | | .31 | | | | .78 | | | | .84 | |
Less distributions from: |
Net investment income | | | (.26 | ) | | | (.65 | ) | | | (.68 | ) | | | (1.00 | ) | | | (.87 | ) | | | (.75 | ) |
Return of capital | | | — | | | | (.01 | ) | | | (.15 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.26 | ) | | | (.66 | ) | | | (.83 | ) | | | (1.00 | ) | | | (.87 | ) | | | (.75 | ) |
Net asset value, end of period | | $ | 24.74 | | | $ | 25.08 | | | $ | 24.07 | | | $ | 25.22 | | | $ | 25.91 | | | $ | 26.00 | |
|
Total Returnc | | | (0.32 | %) | | | 7.03 | % | | | (1.24 | %) | | | 1.26 | % | | | 3.03 | % | | | 3.26 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 54,465 | | | $ | 52,308 | | | $ | 63,891 | | | $ | 112,481 | | | $ | 172,906 | | | $ | 204,008 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.04 | % | | | 2.61 | % | | | 3.47 | % | | | 3.86 | % | | | 3.29 | % | | | 2.83 | % |
Total expensesd | | | 2.00 | % | | | 1.86 | % | | | 1.96 | % | | | 1.93 | % | | | 1.87 | % | | | 1.83 | % |
Net expensese,f,g | | | 1.78 | % | | | 1.80 | % | | | 1.85 | % | | | 1.82 | % | | | 1.78 | % | | | 1.79 | % |
Portfolio turnover rate | | | 16 | % | | | 57 | % | | | 20 | % | | | 10 | % | | | 33 | % | | | 44 | % |
38 | THE GUGGENHEIM FUNDS SEMI-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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.10 | | | $ | 24.09 | | | $ | 25.24 | | | $ | 25.93 | | | $ | 26.02 | | | $ | 25.93 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .35 | | | | .83 | | | | 1.04 | | | | 1.17 | | | | 1.05 | | | | .94 | |
Net gain (loss) on investments (realized and unrealized) | | | (.34 | ) | | | 1.02 | | | | (1.18 | ) | | | (.67 | ) | | | (.08 | ) | | | .09 | |
Total from investment operations | | | .01 | | | | 1.85 | | | | (.14 | ) | | | .50 | | | | .97 | | | | 1.03 | |
Less distributions from: |
Net investment income | | | (.35 | ) | | | (.83 | ) | | | (.83 | ) | | | (1.19 | ) | | | (1.06 | ) | | | (.94 | ) |
Return of capital | | | — | | | | (.01 | ) | | | (.18 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.35 | ) | | | (.84 | ) | | | (1.01 | ) | | | (1.19 | ) | | | (1.06 | ) | | | (.94 | ) |
Net asset value, end of period | | $ | 24.76 | | | $ | 25.10 | | | $ | 24.09 | | | $ | 25.24 | | | $ | 25.93 | | | $ | 26.02 | |
|
Total Return | | | 0.05 | % | | | 7.83 | % | | | (0.50 | %) | | | 2.01 | % | | | 3.80 | % | | | 4.03 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 49,155 | | | $ | 35,430 | | | $ | 33,251 | | | $ | 135,036 | | | $ | 385,306 | | | $ | 360,829 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.78 | % | | | 3.36 | % | | | 4.26 | % | | | 4.59 | % | | | 4.05 | % | | | 3.59 | % |
Total expensesd | | | 1.13 | % | | | 1.06 | % | | | 1.37 | % | | | 1.22 | % | | | 1.15 | % | | | 1.16 | % |
Net expensese,f,g | | | 1.03 | % | | | 1.05 | % | | | 1.10 | % | | | 1.07 | % | | | 1.03 | % | | | 1.03 | % |
Portfolio turnover rate | | | 16 | % | | | 57 | % | | | 20 | % | | | 10 | % | | | 33 | % | | | 44 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-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.
Institutional Class | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.11 | | | $ | 24.10 | | | $ | 25.25 | | | $ | 25.95 | | | $ | 26.03 | | | $ | 25.94 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .37 | | | | .89 | | | | 1.09 | | | | 1.23 | | | | 1.11 | | | | 1.00 | |
Net gain (loss) on investments (realized and unrealized) | | | (.33 | ) | | | 1.02 | | | | (1.17 | ) | | | (.68 | ) | | | (.07 | ) | | | .10 | |
Total from investment operations | | | .04 | | | | 1.91 | | | | (.08 | ) | | | .55 | | | | 1.04 | | | | 1.10 | |
Less distributions from: |
Net investment income | | | (.38 | ) | | | (.89 | ) | | | (.88 | ) | | | (1.25 | ) | | | (1.12 | ) | | | (1.01 | ) |
Return of capital | | | — | | | | (.01 | ) | | | (.19 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.38 | ) | | | (.90 | ) | | | (1.07 | ) | | | (1.25 | ) | | | (1.12 | ) | | | (1.01 | ) |
Net asset value, end of period | | $ | 24.77 | | | $ | 25.11 | | | $ | 24.10 | | | $ | 25.25 | | | $ | 25.95 | | | $ | 26.03 | |
|
Total Return | | | 0.21 | % | | | 8.08 | % | | | (0.26 | %) | | | 2.21 | % | | | 4.08 | % | | | 4.28 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,075,107 | | | $ | 711,583 | | | $ | 504,449 | | | $ | 1,065,820 | | | $ | 2,227,970 | | | $ | 2,590,393 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.01 | % | | | 3.59 | % | | | 4.48 | % | | | 4.83 | % | | | 4.28 | % | | | 3.83 | % |
Total expensesd | | | 0.94 | % | | | 0.85 | % | | | 0.97 | % | | | 0.92 | % | | | 0.84 | % | | | 0.82 | % |
Net expensese,f,g | | | 0.79 | % | | | 0.81 | % | | | 0.85 | % | | | 0.83 | % | | | 0.79 | % | | | 0.79 | % |
Portfolio turnover rate | | | 16 | % | | | 57 | % | | | 20 | % | | | 10 | % | | | 33 | % | | | 44 | % |
40 | THE GUGGENHEIM FUNDS SEMI-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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Period
Ended
Sept. 30,
2019h | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.11 | | | $ | 24.10 | | | $ | 25.25 | | | $ | 25.38 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .36 | | | | .91 | | | | 1.13 | | | | .69 | |
Net gain (loss) on investments (realized and unrealized) | | | (.32 | ) | | | 1.01 | | | | (1.21 | ) | | | (.14 | ) |
Total from investment operations | | | .04 | | | | 1.92 | | | | (.08 | ) | | | .55 | |
Less distributions from: |
Net investment income | | | (.38 | ) | | | (.90 | ) | | | (.88 | ) | | | (.68 | ) |
Return of capital | | | — | | | | (.01 | ) | | | (.19 | ) | | | — | |
Total distributions | | | (.38 | ) | | | (.91 | ) | | | (1.07 | ) | | | (.68 | ) |
Net asset value, end of period | | $ | 24.77 | | | $ | 25.11 | | | $ | 24.10 | | | $ | 25.25 | |
|
Total Return | | | 0.16 | % | | | 8.06 | % | | | (0.22 | %) | | | 2.20 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,351 | | | $ | 1,257 | | | $ | 1,625 | | | $ | 71,680 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.84 | % | | | 3.66 | % | | | 4.56 | % | | | 4.89 | % |
Total expensesd | | | 0.81 | % | | | 0.83 | % | | | 0.86 | % | | | 0.85 | % |
Net expensese,f,g | | | 0.79 | % | | | 0.82 | % | | | 0.84 | % | | | 0.84 | % |
Portfolio turnover rate | | | 16 | % | | | 57 | % | | | 20 | % | | | 10 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41 |
FINANCIAL HIGHLIGHTS (concluded) |
FLOATING RATE STRATEGIES FUND |
a | Unaudited figures for the period ended March 31, 2022. 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 | 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 periods presented was as follows: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 0.06% | — | 0.00%* | — | — | — |
| | C-Class | 0.06% | — | 0.00%* | — | 0.01% | — |
| | P-Class | 0.08% | 0.00%* | 0.00%* | — | — | — |
| | Institutional Class | 0.07% | 0.00%* | 0.00%* | — | — | 0.01% |
| | R6-Class | 0.03% | 0.01% | 0.00%* | 0.00%* | N/A | N/A |
g | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods presented would be: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 1.01% | 1.01% | 1.02% | 1.02% | 1.02% | 1.02% |
| | C-Class | 1.76% | 1.76% | 1.77% | 1.77% | 1.77% | 1.77% |
| | P-Class | 1.00% | 1.01% | 1.02% | 1.02% | 1.02% | 1.02% |
| | Institutional Class | 0.77% | 0.77% | 0.78% | 0.78% | 0.78% | 0.78% |
| | R6-Classg | 0.76% | 0.77% | 0.78% | 0.78% | 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. |
42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
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 March 31, 2022, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Floating Rate Strategies Fund (the “Fund”), a diversified investment company. At March 31, 2022, 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 SEMI-ANNUAL REPORT | 43 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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
44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 SEMI-ANNUAL REPORT | 45 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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
46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 March 31, 2022, 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 SEMI-ANNUAL REPORT | 47 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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.
48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 period ended March 31, 2022, 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 0.33% at March 31, 2022.
(i) 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 SEMI-ANNUAL REPORT | 49 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 | | $ | 857,591 | | | $ | 30,324,935 | |
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 March 31, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Currency forward 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 March 31, 2022:
| | Forward Foreign Currency
Exchange Risk | |
Liability Derivative Investments Value | | $ | 297,987 | |
50 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the period ended March 31, 2022:
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 period ended March 31, 2022:
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations |
| | Forward
Foreign
Currency
Exchange
Risk | |
| | | $ | 2,254,884 | |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations |
| | Forward
Foreign
Currency
Exchange
Risk | |
| | | $ | (1,046,591 | ) |
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 SEMI-ANNUAL REPORT | 51 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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.
52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
| | | | | | | | | | | | | | | Gross Amounts Not
Offset in the Statement
of Assets and Liabilities | | | | | |
Instrument | | Gross
Amounts of
Recognized
Liabilities | | | Gross
Amounts
Offset in the
Statement of
Assets and
Liabilities | | | Net Amount
of Liabilities
Presented on
the Statement
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
Forward foreign currency exchange contracts | | $ | 297,987 | | | $ | — | | | $ | 297,987 | | | $ | — | | | $ | (225,233 | ) | | $ | 72,754 | |
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 March 31, 2022.
Counterparty | Asset Type | | Cash
Pledged | | | Cash
Received | |
BofA Securities, Inc. | Forward foreign currency exchange contracts | | $ | 300,000 | | | $ | — | |
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.). |
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 SEMI-ANNUAL REPORT | 53 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 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.
54 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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
Date | | | Contract
End Date | |
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 March 31, 2022, 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 | | | 2025 | | | Total | |
A-Class | | $ | 436,556 | | | $ | 272,258 | | | $ | 62,574 | | | $ | 74,971 | | | $ | 846,359 | |
C-Class | | | 150,199 | | | | 99,862 | | | | 35,328 | | | | 56,719 | | | | 342,108 | |
P-Class | | | 406,566 | | | | 205,400 | | | | 3,944 | | | | 20,023 | | | | 635,933 | |
Institutional Class | | | 1,098,852 | | | | 804,754 | | | | 224,572 | | | | 626,608 | | | | 2,754,786 | |
R6-Class | | | 1,228 | | | | 1,025 | | | | 280 | | | | 573 | | | | 3,106 | |
For the period ended March 31, 2022, GI recouped $358,113 from the Fund.
For the period ended March 31, 2022, GFD retained sales charges of $94,675 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 SEMI-ANNUAL REPORT | 55 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 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.
At March 31, 2022, 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) | |
| | | $ | 1,476,580,885 | | | $ | 1,236,918 | | | $ | (26,649,332 | ) | | $ | (25,412,414 | ) |
Note 7 – Securities Transactions
For the period ended March 31, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
| | Purchases | | | Sales | |
| | | $ | 537,602,667 | | | $ | 168,472,012 | |
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
56 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 period ended March 31, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| | Purchases | | | Sales | | | Realized
Gain | |
| | | $ | 569,625 | | | $ | — | | | $ | — | |
Note 8 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of March 31, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of March 31, 2022, were as follows:
Borrower | | Maturity
Date | | | Face
Amount | | | Value | |
Athenahealth Group, Inc. | | | 02/15/29 | | | $ | 1,415,942 | | | $ | 17,345 | |
Aveanna Healthcare LLC | | | 07/17/28 | | | | 735,849 | | | | 20,420 | |
Dermatology Intermediate Holdings III, Inc. | | | 03/23/29 | | | | 825,197 | | | | 12,378 | |
Hillman Group, Inc. | | | 07/14/28 | | | | 800,000 | | | | 15,832 | |
Icebox Holdco | | | 12/22/28 | | | | 1,242,857 | | | | 18,643 | |
Medical Solutions Parent Holdings, Inc. | | | 11/01/28 | | | | 1,488,000 | | | | 14,880 | |
Osmosis Holdings Australia II Pty Ltd. | | | 07/31/28 | | | | 1,157,407 | | | | 13,021 | |
Pro Mach Group, Inc. | | | 08/31/28 | | | | 282,682 | | | | 1,566 | |
Taxware Holdings (Sovos Compliance LLC) | | | 08/11/28 | | | | 559,589 | | | | 1,746 | |
| | | | | | | $ | 8,507,523 | | | $ | 115,831 | |
Note 9– Restricted Securities
The security below is considered illiquid and restricted under guidelines established by the Board:
Restricted Securities | | Acquisition
Date | | | Cost | | | Value | |
Mirabela Nickel Ltd. | | | | | | | | | | | | |
due 06/24/191 | | | 12/31/13 | | | $ | 1,160,811 | | | $ | 63,991 | |
| | | | | | | $ | 1,160,811 | | | $ | 63,991 | |
1 | Security is in default of interest and/or principal obligations. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 57 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 period ended March 31, 2022.
Note 11 – COVID-19 and Other Market Risks
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health
58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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 SEMI-ANNUAL REPORT | 59 |
OTHER INFORMATION (Unaudited) |
Guggenheim Partners Advisors, LLC
The Investment Adviser engaged Guggenheim Partners Advisors, LLC to provide investment sub-advisory services to the Fund, effective April 29, 2022. Guggenheim Partners Advisors, LLC assists the Investment Adviser in the supervision and direction of the investment strategy of the Fund in accordance with the Fund’s investment objectives, policies, and restrictions. The Investment Adviser, and not the Fund, compensates Guggenheim Partners Advisors, LLC for these services.
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 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.
60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited) (concluded) |
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 SEMI-ANNUAL REPORT | 61 |
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, upon request, by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
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). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - continued | | |
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); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 63 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - continued | | |
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). | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020). |
64 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022);Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | 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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income 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. |
66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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 President of Mutual Funds Boards, 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); Managing 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 SEMI-ANNUAL REPORT | 67 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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). |
68 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS - concluded |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Director, 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 SEMI-ANNUAL REPORT | 69 |
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
70 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
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 SEMI-ANNUAL REPORT | 71 |
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
72 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
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.
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3.31.2022
Guggenheim Funds Semi-Annual Report
| |
Guggenheim Total Return Bond Fund | | |
GuggenheimInvestments.com | TRB-SEMI-0322x0922 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
TOTAL RETURN BOND FUND | 9 |
NOTES TO FINANCIAL STATEMENTS | 94 |
OTHER INFORMATION | 123 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 125 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 134 |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1 |
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 semi-annual period ended March 31, 2022.
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.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC
April 30, 2022
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 SEMI-ANNUAL REPORT | |
COVID-19 and Other Market Risks. The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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 SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 31, 2022 |
In the six-months ending March 31, 2022, the yield on the two-year Treasury rose 200 basis points to 2.28% from 0.28%, and the 10-year Treasury increased by 80 basis points to 2.32% from 1.52%. The spread between the two-year Treasury and 10-year Treasury narrowed to 4 basis points from 124 basis points as the curve flattened amid market volatility resulting from Russia’s attack on Ukraine, COVID-19 shutdowns in China, and the commencement of rate hikes by the Federal Reserve (the “Fed”). One basis point is equal to 0.01%.
Nevertheless, the U.S. economy remains on a strong footing. The Institute of Supply Management’s March Services Purchasing Managers’ Index print showed a continued recovery in the services sector with business activity, employment, and new orders all rising. The March Consumer Price Index (“CPI”) report was encouraging, with core CPI coming in lower than expected at 0.32% month over month, slightly below expectations of 0.5%.
Economic strength continues to embolden the Fed to move aggressively as it attempts to rein in inflation by raising interest rates and shrinking its balance sheet. The Fed is increasingly concerned about inflation and will act aggressively to get monetary policy to a more appropriate stance. In a recent speech, Lael Brainard, one of the Federal Open Market Committee’s (“FOMC”) traditionally more dovish members, referenced a “rapid pace” of balance sheet reduction and an “expeditious increase” in the fed funds rate, which caused market expectations for the degree of monetary tightening to ramp up.
Brainard’s shift in tone was echoed in the release of the minutes from the March FOMC meeting. The minutes were highly focused on elevated inflation and risks that inflation could stay well above target, as well mentions of an extremely tight labor market. The minutes repeated the phrase that monetary policy would move expeditiously, and contained a section that many participants would have voted for a 50-basis-point rate hike in March if it weren’t for the uncertainty resulting from the outbreak of war in Ukraine. Given this language, the 50-basis point move at the May meeting and Fed Chair Jerome Powell’s telegraphing of further 50-basis point hikes came as no surprise.The Fed’s strategy at this point is to get rates back to a neutral level as fast as possible, and then see how far into restrictive territory they need to go based on how the economic and financial market data evolve.
A hawkish Fed has historically paved the way for a bullish approach to bonds. Indeed, we believe many fixed-income sectors are now pricing at compelling levels after enduring a first quarter marked by sharply rising yields, a flattening of the Treasury yield curve, and widening spreads. As the Fed races to raise rates during a period of U.S. economic strength and in the face of several global challenges, we remain diligent in our search for attractive entry points exposed by recent market volatility.
For the six-month period ended March 31, 2022, the S&P 500® Index* returned 5.92%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -3.38%. The return of the MSCI Emerging Markets Index* was -8.20%.
4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2022 |
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -5.92% return for the six-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -4.16%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.05% for the six-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 SEMI-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 September 30, 2021 and ending March 31, 2022.
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 SEMI-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 SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| | Expense
Ratio1 | | | Fund
Return | | | Beginning
Account Value
September 30,
2021 | | | Ending
Account Value
March 31,
2022 | | | Expenses
Paid During
Period2 | |
Table 1. Based on actual Fund return3 |
A-Class | | | 0.78 | % | | | (6.42 | %) | | $ | 1,000.00 | | | $ | 935.80 | | | $ | 3.76 | |
C-Class | | | 1.53 | % | | | (6.77 | %) | | | 1,000.00 | | | | 932.30 | | | | 7.37 | |
P-Class | | | 0.78 | % | | | (6.42 | %) | | | 1,000.00 | | | | 935.80 | | | | 3.76 | |
Institutional Class | | | 0.49 | % | | | (6.31 | %) | | | 1,000.00 | | | | 936.90 | | | | 2.37 | |
R6-Class | | | 0.49 | % | | | (6.27 | %) | | | 1,000.00 | | | | 937.30 | | | | 2.37 | |
|
Table 2. Based on hypothetical 5% return (before expenses) |
A-Class | | | 0.78 | % | | | 5.00 | % | | $ | 1,000.00 | | | $ | 1,021.04 | | | $ | 3.93 | |
C-Class | | | 1.53 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.30 | | | | 7.70 | |
P-Class | | | 0.78 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,021.04 | | | | 3.93 | |
Institutional Class | | | 0.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,022.49 | | | | 2.47 | |
R6-Class | | | 0.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,022.49 | | | | 2.47 | |
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 0.77%, 1.52%, 0.77%, 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 182/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period September 30, 2021 to March 31, 2022. |
8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | March 31, 2022 |
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
Investments |
Fixed Income Instruments | |
AAA | 25.3% |
AA | 8.6% |
A | 14.6% |
BBB | 23.9% |
BB | 7.7% |
B | 6.0% |
CCC | 0.7% |
CC | 1.3% |
C | 0.1% |
NR2 | 5.4% |
Other Instruments | 6.4% |
Total Investments | 100.0% |
Ten Largest Holdings (% of Total Net Assets) |
U.S. Treasury Notes, 1.88% | 7.6% |
U.S. Treasury Bonds, 2.00% | 3.0% |
U.S. Treasury Bonds, 1.88% | 1.2% |
Pershing Square Tontine Holdings Ltd. — Class A | 0.8% |
U.S. Treasury Bonds due 02/15/51 | 0.6% |
Delta Air Lines, Inc., 7.00% | 0.6% |
Boeing Co., 5.15% | 0.6% |
HV Eight LLC, 2.75% | 0.5% |
Nationwide Mutual Insurance Co., 4.35% | 0.5% |
BP Capital Markets plc,4.88% | 0.5% |
Top Ten Total | 15.9% |
| | |
“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 SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | (6.42%) | (3.34%) | 3.23% | 4.31% |
A-Class Shares with sales charge‡ | (10.18%) | (7.20%) | 2.39% | 3.81% |
C-Class Shares | (6.77%) | (4.06%) | 2.46% | 3.55% |
C-Class Shares with CDSC§ | (7.69%) | (4.99%) | 2.46% | 3.55% |
Institutional Class Shares | (6.31%) | (3.06%) | 3.53% | 4.64% |
Bloomberg U.S. Aggregate Bond Index | (5.92%) | (4.15%) | 2.14% | 2.24% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(05/01/15) |
P-Class Shares | (6.42%) | (3.34%) | 3.23% | 3.33% |
Bloomberg U.S. Aggregate Bond Index | (5.92%) | (4.15%) | 2.14% | 1.63% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(10/19/16) |
R6-Class Shares | (6.27%) | (3.05%) | 3.54% | 3.36% |
Bloomberg U.S. Aggregate Bond Index | (5.92%) | (4.15%) | 2.14% | 1.63% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | 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 SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 1.1% |
| | | | | | | | | |
Financial - 1.1% |
Pershing Square Tontine Holdings Ltd. — Class A*,1 | | | 9,249,470 | | | $ | 183,971,958 | |
KKR Acquisition Holdings I Corp. — Class A*,1 | | | 3,797,870 | | | | 37,333,062 | |
RXR Acquisition Corp. — Class A*,1 | | | 843,792 | | | | 8,226,972 | |
MSD Acquisition Corp. — Class A*,1 | | | 626,308 | | | | 6,150,345 | |
TPG Pace Beneficial II Corp.*,1 | | | 604,770 | | | | 5,938,842 | |
AfterNext HealthTech Acquisition Corp. — Class A*,1 | | | 611,700 | | | | 5,921,256 | |
Conyers Park III Acquisition Corp. — Class A*,1 | | | 570,000 | | | | 5,557,500 | |
Waverley Capital Acquisition Corp. 1 — Class A*,1 | | | 451,200 | | | | 4,340,544 | |
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | | | 397,100 | | | | 3,855,841 | |
Blue Whale Acquisition Corp. I — Class A*,1 | | | 330,700 | | | | 3,207,790 | |
Colicity, Inc. — Class A*,1 | | | 174,986 | | | | 1,707,863 | |
Total Financial | | | 266,211,973 | |
| | | | | | | | | |
Communications - 0.0% |
Figs, Inc. — Class A* | | | 198,762 | | | | 4,277,358 | |
Vacasa, Inc. — Class A* | | | 361,641 | | | | 2,990,771 | |
Total Communications | | | 7,268,129 | |
| | | | | | | | | |
Industrial - 0.0% |
BP Holdco LLC*,†††,2 | | | 532 | | | | 375 | |
Vector Phoenix Holdings, LP*,††† | | | 532 | | | | 147 | |
API Heat Transfer Parent LLC*,††† | | | 73,183 | | | | 7 | |
Total Industrial | | | 529 | |
| | | | | | | | | |
Total Common Stocks |
(Cost $268,968,144) | | | | | | | 273,480,631 | |
| | | | | | | | | |
PREFERRED STOCKS†† - 4.9% |
Financial - 4.9% |
Wells Fargo & Co. |
4.70% | | | 2,184,000 | | | | 48,157,200 | |
3.90% due 12/31/703 | | | 49,600,000 | | | | 47,544,080 | |
4.38% | | | 1,774,000 | | | | 37,165,300 | |
Citigroup, Inc. |
3.88% due 12/31/70* | | | 89,450,000 | | | | 84,306,625 | |
4.00% due 12/31/70* | | | 26,450,000 | | | | 25,392,000 | |
Bank of America Corp. |
4.13%* | | | 2,218,000 | | | | 47,265,580 | |
4.38%* | | | 1,552,000 | | | | 33,600,800 | |
4.38%* | | | 27,700,000 | | | | 26,032,460 | |
First Republic Bank |
4.25% | | | 3,442,000 | | | | 71,455,920 | |
4.50% | | | 842,800 | | | | 18,609,024 | |
4.13% | | | 798,800 | | | | 16,471,256 | |
Equitable Holdings, Inc. |
4.95% due 12/31/70* | | | 70,950,000 | | | | 69,708,375 | |
4.30% | | | 1,839,200 | | | | 36,563,296 | |
Markel Corp. |
6.00% due 12/31/70* | | | 82,610,000 | | | | 85,501,350 | |
Bank of New York Mellon Corp. |
3.75% due 12/31/70* | | | 65,200,000 | | | | 60,270,880 | |
4.70% due 12/31/70* | | | 16,500,000 | | | | 16,896,000 | |
Charles Schwab Corp. |
4.00% due 12/31/70* | | | 73,350,000 | | | | 65,877,102 | |
JPMorgan Chase & Co. |
3.65%* | | | 37,250,000 | | | | 34,828,750 | |
4.63% | | | 1,180,000 | | | | 25,971,800 | |
MetLife, Inc. |
3.85% due 12/31/70* | | | 53,200,000 | | | | 52,465,840 | |
Public Storage |
4.63% | | | 1,630,763 | | | | 37,964,163 | |
4.13% | | | 309,501 | | | | 6,734,742 | |
W R Berkley Corp. |
4.13% due 03/30/61 | | | 1,448,221 | | | | 32,150,506 | |
4.25% due 09/30/60 | | | 173,779 | | | | 3,694,542 | |
12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Shares | | | Value | |
Arch Capital Group Ltd. |
4.55% | | | 1,616,000 | | | $ | 34,113,760 | |
RenaissanceRe Holdings Ltd. |
4.20% | | | 1,304,000 | | | | 27,527,440 | |
American Financial Group, Inc. |
4.50% due 09/15/60 | | | 1,161,045 | | | | 26,425,384 | |
Goldman Sachs Group, Inc. |
3.80%* | | | 25,830,000 | | | | 23,941,181 | |
Kuvare US Holdings, Inc. |
7.00% due 02/17/51*,4 | | | 15,650,000 | | | | 16,276,000 | |
CNO Financial Group, Inc. |
5.13% due 11/25/60 | | | 712,000 | | | | 15,806,400 | |
Assurant, Inc. |
5.25% due 01/15/61 | | | 558,400 | | | | 12,966,048 | |
Selective Insurance Group, Inc. |
4.60% | | | 538,000 | | | | 11,271,100 | |
Globe Life, Inc. |
4.25% due 06/15/61 | | | 338,000 | | | | 7,496,840 | |
Depository Trust & Clearing Corp. |
3.38%*,4 | | | 4,750,000 | | | | 4,370,000 | |
Total Financial | | | 1,164,821,744 | |
| | | | | | | | | |
Government - 0.0% |
CoBank ACB |
4.25% due 12/31/70 *,3 | | | 3,300,000 | | | | 3,102,000 | |
| | | | | | | | | |
Industrial - 0.0% |
API Heat Transfer Intermediate*,††† | | | 9 | | | | — | |
Total Preferred Stocks |
(Cost $1,282,186,075) | | | | | | | 1,167,923,744 | |
| | | | | | | | | |
WARRANTS† - 0.0% |
Pershing Square Tontine Holdings Ltd. | | | | | | | | |
Expiring 07/24/25*,1 | | | 1,027,719 | | | | 966,056 | |
KKR Acquisition Holdings I Corp. | | | | | | | | |
Expiring 12/31/27*,1 | | | 949,467 | | | | 626,648 | |
MSD Acquisition Corp. | | | | | | | | |
Expiring 05/13/23*,1 | | | 125,260 | | | | 97,703 | |
Conyers Park III Acquisition Corp. | | | | | | | | |
Expiring 08/12/28* | | | 190,000 | | | | 97,090 | |
Ginkgo Bioworks Holdings, Inc. | | | | | | | | |
Expiring 12/31/27* | | | 100,946 | | | | 88,863 | |
AfterNext HealthTech Acquisition Corp. | | | | | | | | |
Expiring 07/09/23* | | | 203,900 | | | | 85,638 | |
RXR Acquisition Corp. | | | | | | | | |
Expiring 03/08/26*,1 | | | 168,756 | | | | 75,940 | |
Acropolis Infrastructure Acquisition Corp. | | | | | | | | |
Expiring 03/31/26*,1 | | | 132,366 | | | | 62,913 | |
Waverley Capital Acquisition Corp. 1 | | | | | | | | |
Expiring 04/30/27*,1 | | | 150,400 | | | | 57,152 | |
Blue Whale Acquisition Corp. | | | | | | | | |
Expiring 07/30/26*,1 | | | 82,674 | | | | 41,420 | |
Colicity, Inc. | | | | | | | | |
Expiring 12/31/27*,1 | | | 34,995 | | | | 13,648 | |
Total Warrants |
(Cost $8,332,121) | | | | | | | 2,213,071 | |
| | | | | | | | | |
MUTUAL FUNDS† - 0.3% |
Guggenheim Strategy Fund II2 | | | 1,097,033 | | | | 26,932,154 | |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 2,699,217 | | | | 26,425,331 | |
Guggenheim Strategy Fund III2 | | | 590,858 | | | | 14,558,753 | |
Total Mutual Funds |
(Cost $68,985,847) | | | | | | | 67,916,238 | |
| | | | | | | | | |
CLOSED-END FUNDS† - 0.1% |
BlackRock MuniHoldings California Quality Fund, Inc. | | | 630,470 | | | | 8,246,548 | |
BlackRock MuniYield California Quality Fund, Inc. | | | 450,161 | | | | 5,915,115 | |
Total Closed-End Funds |
(Cost $15,984,039) | | | | | | | 14,161,663 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Shares | | | Value | |
MONEY MARKET FUNDS† - 0.5% |
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 0.15%5 | | | 78,088,953 | | | $ | 78,088,953 | |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%5 | | | 28,623,365 | | | | 28,623,365 | |
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.10%5 | | | 3,316,965 | | | | 3,316,965 | |
Total Money Market Funds |
(Cost $110,029,283) | | | | | | | 110,029,283 | |
| | | | | | | | | |
| | | Face
Amount~ | | | | | |
CORPORATE BONDS†† - 40.4% |
Financial - 16.7% |
Pershing Square Holdings Ltd. | | | | | | | | |
3.25% due 10/01/31 | | | 104,800,000 | | | | 94,529,600 | |
3.25% due 11/15/304 | | | 68,200,000 | | | | 62,578,956 | |
5.50% due 07/15/224 | | | 21,300,000 | | | | 21,430,484 | |
Bank of America Corp. | | | | | | | | |
2.59% due 04/29/313 | | | 85,240,000 | | | | 78,639,567 | |
2.68% due 06/19/413 | | | 43,300,000 | | | | 36,560,712 | |
0.78% (SOFR + 0.73%, Rate Floor: 0.00%) due 10/24/24◊ | | | 1,660,000 | | | | 1,660,780 | |
1.73% due 07/22/273 | | | 1,650,000 | | | | 1,532,330 | |
Nationwide Mutual Insurance Co. | | | | | | | | |
4.35% due 04/30/504 | | | 116,750,000 | | | | 116,155,999 | |
Wells Fargo & Co. | | | | | | | | |
3.07% due 04/30/413 | | | 126,490,000 | | | | 113,711,364 | |
Liberty Mutual Group, Inc. | | | | | | | | |
4.30% due 02/01/614 | | | 94,150,000 | | | | 74,830,420 | |
3.95% due 05/15/604 | | | 33,870,000 | | | | 30,816,578 | |
4.13% due 12/15/513,4 | | | 3,600,000 | | | | 3,393,000 | |
Macquarie Bank Ltd. | | | | | | | | |
3.62% due 06/03/304 | | | 93,835,000 | | | | 88,438,497 | |
3.05% due 03/03/363,4 | | | 16,600,000 | | | | 14,619,719 | |
Reliance Standard Life Global Funding II | | | | | | | | |
2.75% due 05/07/254 | | | 96,010,000 | | | | 94,143,645 | |
Wilton RE Ltd. | | | | | | | | |
6.00% †††,3,4,6 | | | 93,150,000 | | | | 89,684,820 | |
GLP Capital Limited Partnership / GLP Financing II, Inc. | | | | | | | | |
4.00% due 01/15/31 | | | 53,354,000 | | | | 51,746,978 | |
5.30% due 01/15/29 | | | 28,165,000 | | | | 29,589,304 | |
3.25% due 01/15/32 | | | 4,150,000 | | | | 3,765,295 | |
4.00% due 01/15/30 | | | 475,000 | | | | 461,040 | |
Reinsurance Group of America, Inc. | | | | | | | | |
3.15% due 06/15/30 | | | 84,319,000 | | | | 81,216,283 | |
American International Group, Inc. | | | | | | | | |
4.38% due 06/30/50 | | | 65,480,000 | | | | 71,767,340 | |
2.50% due 06/30/25 | | | 2,370,000 | | | | 2,317,180 | |
Citigroup, Inc. | | | | | | | | |
2.57% due 06/03/313 | | | 62,390,000 | | | | 57,155,924 | |
2.52% due 11/03/323 | | | 16,900,000 | | | | 15,161,919 | |
3.29% due 03/17/263 | | | 1,580,000 | | | | 1,574,669 | |
National Australia Bank Ltd. | | | | | | | | |
2.99% due 05/21/314 | | | 38,150,000 | | | | 34,617,998 | |
2.33% due 08/21/304 | | | 22,400,000 | | | | 19,485,467 | |
3.35% due 01/12/373,4 | | | 19,550,000 | | | | 18,044,850 | |
Maple Grove Funding Trust I | | | | | | | | |
4.16% due 08/15/514 | | | 77,700,000 | | | | 70,054,535 | |
14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Host Hotels & Resorts, LP | | | | | | | | |
3.50% due 09/15/30 | | | 54,158,000 | | | $ | 51,637,501 | |
2.90% due 12/15/31 | | | 20,200,000 | | | | 18,055,858 | |
JPMorgan Chase & Co. | | | | | | | | |
2.96% due 05/13/313 | | | 29,530,000 | | | | 27,631,123 | |
2.52% due 04/22/313 | | | 24,520,000 | | | | 22,730,504 | |
4.49% due 03/24/313 | | | 15,750,000 | | | | 16,694,025 | |
Fidelity National Financial, Inc. | | | | | | | | |
3.40% due 06/15/30 | | | 52,430,000 | | | | 50,489,996 | |
2.45% due 03/15/31 | | | 17,490,000 | | | | 15,490,470 | |
Fairfax Financial Holdings Ltd. | | | | | | | | |
3.38% due 03/03/31 | | | 68,010,000 | | | | 63,429,900 | |
Global Atlantic Finance Co. | | | | | | | | |
4.70% due 10/15/513,4 | | | 38,300,000 | | | | 36,097,750 | |
3.13% due 06/15/314 | | | 28,750,000 | | | | 25,724,637 | |
Safehold Operating Partnership, LP | | | | | | | | |
2.85% due 01/15/32 | | | 39,904,000 | | | | 35,157,193 | |
2.80% due 06/15/31 | | | 30,138,000 | | | | 26,465,065 | |
FS KKR Capital Corp. | | | | | | | | |
2.63% due 01/15/27 | | | 34,850,000 | | | | 31,914,848 | |
3.25% due 07/15/27 | | | 30,100,000 | | | | 27,784,614 | |
Massachusetts Mutual Life Insurance Co. | | | | | | | | |
3.38% due 04/15/504 | | | 37,950,000 | | | | 34,090,494 | |
3.20% due 12/01/614 | | | 30,450,000 | | | | 24,860,151 | |
First American Financial Corp. | | | | | | | | |
4.00% due 05/15/30 | | | 45,560,000 | | | | 45,630,166 | |
2.40% due 08/15/31 | | | 14,175,000 | | | | 12,410,072 | |
Nippon Life Insurance Co. | | | | | | | | |
2.75% due 01/21/513,4 | | | 50,350,000 | | | | 45,189,125 | |
2.90% due 09/16/513,4 | | | 10,380,000 | | | | 9,396,670 | |
Standard Chartered plc | | | | | | | | |
4.64% due 04/01/313,4 | | | 51,325,000 | | | | 52,921,483 | |
1.32% due 10/14/233,4 | | | 1,080,000 | | | | 1,069,824 | |
Iron Mountain, Inc. | | | | | | | | |
5.25% due 07/15/304 | | | 22,638,000 | | | | 22,185,240 | |
5.63% due 07/15/324 | | | 13,350,000 | | | | 13,153,488 | |
4.50% due 02/15/314 | | | 13,012,000 | | | | 12,016,712 | |
5.00% due 07/15/284 | | | 3,915,000 | | | | 3,816,616 | |
4.88% due 09/15/274 | | | 1,938,000 | | | | 1,916,197 | |
Ares Finance Company II LLC | | | | | | | | |
3.25% due 06/15/304 | | | 54,785,000 | | | | 52,534,340 | |
OneAmerica Financial Partners, Inc. | | | | | | | | |
4.25% due 10/15/504 | | | 54,430,000 | | | | 52,397,002 | |
LPL Holdings, Inc. | | | | | | | | |
4.00% due 03/15/294 | | | 44,950,000 | | | | 42,656,588 | |
4.38% due 05/15/314 | | | 9,350,000 | | | | 9,040,936 | |
Crown Castle International Corp. | | | | | | | | |
2.90% due 04/01/41 | | | 41,150,000 | | | | 34,062,369 | |
3.30% due 07/01/30 | | | 17,657,000 | | | | 16,885,884 | |
Intercontinental Exchange, Inc. | | | | | | | | |
2.65% due 09/15/40 | | | 34,550,000 | | | | 29,480,478 | |
3.00% due 06/15/50 | | | 22,190,000 | | | | 19,435,156 | |
United Wholesale Mortgage LLC | | | | | | | | |
5.50% due 04/15/294 | | | 32,550,000 | | | | 29,002,701 | |
5.50% due 11/15/254 | | | 20,100,000 | | | | 19,497,000 | |
Deloitte LLP | | | | | | | | |
3.56% due 05/07/30††† | | | 30,700,000 | | | | 29,371,357 | |
3.76% due 05/07/35††† | | | 10,200,000 | | | | 9,700,349 | |
3.66% due 05/07/32††† | | | 9,450,000 | | | | 9,068,844 | |
Five Corners Funding Trust II | | | | | | | | |
2.85% due 05/15/304 | | | 49,598,000 | | | | 47,002,770 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Macquarie Group Ltd. | | | | | | | | |
2.69% due 06/23/323,4 | | | 31,550,000 | | | $ | 27,768,924 | |
2.87% due 01/14/333,4 | | | 17,350,000 | | | | 15,399,286 | |
5.03% due 01/15/303,4 | | | 800,000 | | | | 838,572 | |
1.63% due 09/23/273,4 | | | 720,000 | | | | 649,795 | |
1.34% due 01/12/273,4 | | | 570,000 | | | | 519,315 | |
Teachers Insurance & Annuity Association of America | | | | | | | | |
3.30% due 05/15/504 | | | 50,500,000 | | | | 44,709,262 | |
Brookfield Finance, Inc. | | | | | | | | |
3.50% due 03/30/51 | | | 37,420,000 | | | | 33,274,963 | |
4.70% due 09/20/47 | | | 9,750,000 | | | | 10,333,994 | |
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | | | | | | | | |
3.88% due 03/01/314 | | | 46,650,000 | | | | 42,218,250 | |
ABN AMRO Bank N.V. | | | | | | | | |
2.47% due 12/13/293,4 | | | 41,800,000 | | | | 38,205,055 | |
Sumitomo Life Insurance Co. | | | | | | | | |
3.38% due 04/15/813,4 | | | 39,700,000 | | | | 38,159,640 | |
Jefferies Finance LLC / JFIN Company-Issuer Corp. | | | | | | | | |
5.00% due 08/15/284 | | | 39,450,000 | | | | 37,772,586 | |
Societe Generale S.A. | | | | | | | | |
2.89% due 06/09/323,4 | | | 39,950,000 | | | | 35,797,649 | |
1.79% due 06/09/273,4 | | | 1,630,000 | | | | 1,468,744 | |
Jefferies Group LLC | | | | | | | | |
2.75% due 10/15/32 | | | 40,440,000 | | | | 36,188,747 | |
6.50% due 01/20/43 | | | 720,000 | | | | 862,585 | |
Belrose Funding Trust | | | | | | | | |
2.33% due 08/15/304 | | | 41,850,000 | | | | 36,654,605 | |
Assurant, Inc. | | | | | | | | |
2.65% due 01/15/32 | | | 36,760,000 | | | | 32,089,761 | |
4.90% due 03/27/28 | | | 1,750,000 | | | | 1,824,815 | |
6.75% due 02/15/34 | | | 1,450,000 | | | | 1,700,942 | |
Stewart Information Services Corp. | | | | | | | | |
3.60% due 11/15/31 | | | 38,800,000 | | | | 35,312,477 | |
Assured Guaranty US Holdings, Inc. | | | | | | | | |
3.15% due 06/15/31 | | | 22,770,000 | | | | 21,477,438 | |
3.60% due 09/15/51 | | | 13,780,000 | | | | 11,888,613 | |
Westpac Banking Corp. | | | | | | | | |
3.02% due 11/18/363 | | | 20,650,000 | | | | 18,348,514 | |
2.96% due 11/16/40 | | | 16,600,000 | | | | 13,949,451 | |
KKR Group Finance Company VIII LLC | | | | | | | | |
3.50% due 08/25/504 | | | 36,610,000 | | | | 31,934,479 | |
Bain Capital, LP | | | | | | | | |
3.41% due 04/15/41††† | | | 36,000,000 | | | | 31,748,116 | |
Manulife Financial Corp. | | | | | | | | |
2.48% due 05/19/27 | | | 27,800,000 | | | | 26,741,139 | |
4.06% due 02/24/323 | | | 4,815,000 | | | | 4,807,006 | |
Arch Capital Group Ltd. | | | | | | | | |
3.64% due 06/30/50 | | | 34,100,000 | | | | 31,237,034 | |
PricewaterhouseCoopers LLP | | | | | | | | |
3.43% due 09/13/30††† | | | 31,500,000 | | | | 30,045,055 | |
SBA Communications Corp. | | | | | | | | |
3.13% due 02/01/29 | | | 26,600,000 | | | | 24,195,892 | |
3.88% due 02/15/27 | | | 5,425,000 | | | | 5,291,681 | |
UBS Group AG | | | | | | | | |
2.10% due 02/11/323,4 | | | 33,400,000 | | | | 29,202,880 | |
Americo Life, Inc. | | | | | | | | |
3.45% due 04/15/314 | | | 32,210,000 | | | | 29,037,859 | |
Kennedy-Wilson, Inc. | | | | | | | | |
4.75% due 03/01/29 | | | 21,400,000 | | | | 20,632,382 | |
4.75% due 02/01/30 | | | 8,600,000 | | | | 8,177,826 | |
Trustage Financial Group, Inc. | | | | | | | | |
4.63% due 04/15/324 | | | 28,250,000 | | | | 28,345,696 | |
16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Goldman Sachs Group, Inc. | | | | | | | | |
3.50% due 04/01/25 | | | 22,500,000 | | | $ | 22,667,805 | |
3.65% 3,6 | | | 2,450,000 | | | | 2,241,750 | |
0.59% (SOFR + 0.54%, Rate Floor: 0.00%) due 11/17/23◊ | | | 1,660,000 | | | | 1,651,639 | |
1.22% due 12/06/23 | | | 1,650,000 | | | | 1,610,116 | |
Primerica, Inc. | | | | | | | | |
2.80% due 11/19/31 | | | 28,625,000 | | | | 26,407,464 | |
Fifth Third Bancorp | | | | | | | | |
2.55% due 05/05/27 | | | 27,190,000 | | | | 26,269,969 | |
AmFam Holdings, Inc. | | | | | | | | |
2.81% due 03/11/314 | | | 27,550,000 | | | | 25,435,506 | |
Dyal Capital Partners III | | | | | | | | |
4.40% due 06/15/40††† | | | 26,750,000 | | | | 24,919,058 | |
Everest Reinsurance Holdings, Inc. | | | | | | | | |
3.50% due 10/15/50 | | | 27,760,000 | | | | 24,752,028 | |
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. | | | | | | | | |
2.63% due 10/15/31 | | | 27,400,000 | | | | 24,702,196 | |
GA Global Funding Trust | | | | | | | | |
2.90% due 01/06/324 | | | 24,480,000 | | | | 22,260,746 | |
1.25% due 12/08/234 | | | 1,650,000 | | | | 1,592,918 | |
Hunt Companies, Inc. | | | | | | | | |
5.25% due 04/15/294 | | | 25,000,000 | | | | 23,816,250 | |
NFP Corp. | | | | | | | | |
6.88% due 08/15/284 | | | 20,775,000 | | | | 19,840,125 | |
Raymond James Financial, Inc. | | | | | | | | |
3.75% due 04/01/51 | | | 20,300,000 | | | | 19,838,388 | |
Kemper Corp. | | | | | | | | |
2.40% due 09/30/30 | | | 22,380,000 | | | | 19,506,087 | |
Lincoln National Corp. | | | | | | | | |
4.38% due 06/15/507 | | | 18,680,000 | | | | 19,229,338 | |
Central Storage Safety Project Trust | | | | | | | | |
4.82% due 02/01/388 | | | 19,292,960 | | | | 17,306,789 | |
QBE Insurance Group Ltd. | | | | | | | | |
5.88% 3,4,6 | | | 15,700,000 | | | | 16,072,875 | |
Prudential Financial, Inc. | | | | | | | | |
3.70% due 10/01/503 | | | 17,050,000 | | | | 15,624,620 | |
Corebridge Financial, Inc. | | | | | | | | |
3.90% due 04/05/324 | | | 10,200,000 | | | | 10,184,904 | |
4.35% due 04/05/424 | | | 4,850,000 | | | | 4,848,691 | |
Sumitomo Mitsui Financial Group, Inc. | | | | | | | | |
2.22% due 09/17/31 | | | 16,900,000 | | | | 14,951,322 | |
PartnerRe Finance B LLC | | | | | | | | |
4.50% due 10/01/503 | | | 13,970,000 | | | | 13,481,050 | |
Apollo Management Holdings, LP | | | | | | | | |
2.65% due 06/05/304 | | | 14,407,000 | | | | 13,444,417 | |
Penn Mutual Life Insurance Co. | | | | | | | | |
3.80% due 04/29/614 | | | 14,970,000 | | | | 13,297,628 | |
CNO Global Funding | | | | | | | | |
1.75% due 10/07/264 | | | 12,400,000 | | | | 11,432,099 | |
2.65% due 01/06/294 | | | 1,650,000 | | | | 1,525,563 | |
W R Berkley Corp. | | | | | | | | |
4.00% due 05/12/50 | | | 13,105,000 | | | | 12,713,813 | |
KKR Group Finance Company X LLC | | | | | | | | |
3.25% due 12/15/514 | | | 15,150,000 | | | | 12,626,453 | |
Western & Southern Life Insurance Co. | | | | | | | | |
3.75% due 04/28/614 | | | 13,360,000 | | | | 12,065,285 | |
Weyerhaeuser Co. | | | | | | | | |
4.00% due 04/15/30 | | | 11,433,000 | | | | 11,773,354 | |
CNO Financial Group, Inc. | | | | | | | | |
5.25% due 05/30/29 | | | 11,125,000 | | | | 11,703,445 | |
Nasdaq, Inc. | | | | | | | | |
3.25% due 04/28/50 | | | 13,150,000 | | | | 11,350,680 | |
Protective Life Corp. | | | | | | | | |
3.40% due 01/15/304 | | | 11,440,000 | | | | 11,306,088 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Blackstone Holdings Finance Company LLC | | | | | | | | |
3.20% due 01/30/524 | | | 12,150,000 | | | $ | 10,515,462 | |
Brown & Brown, Inc. | | | | | | | | |
2.38% due 03/15/31 | | | 11,960,000 | | | | 10,507,151 | |
American Equity Investment Life Holding Co. | | | | | | | | |
5.00% due 06/15/27 | | | 9,502,000 | | | | 9,913,660 | |
New York Life Insurance Co. | | | | | | | | |
3.75% due 05/15/504 | | | 9,300,000 | | | | 9,015,012 | |
Fidelity & Guaranty Life Holdings, Inc. | | | | | | | | |
5.50% due 05/01/254 | | | 8,050,000 | | | | 8,428,018 | |
NFL Trust XI SPV | | | | | | | | |
3.53% due 10/05/35††† | | | 7,000,000 | | | | 6,927,768 | |
Hanover Insurance Group, Inc. | | | | | | | | |
2.50% due 09/01/30 | | | 7,070,000 | | | | 6,426,211 | |
Brookfield Finance LLC | | | | | | | | |
3.45% due 04/15/50 | | | 6,820,000 | | | | 5,988,566 | |
Deloitte & Touche LLP | | | | | | | | |
7.33% due 11/20/26††† | | | 4,800,000 | | | | 5,355,672 | |
Cushman & Wakefield US Borrower LLC | | | | | | | | |
6.75% due 05/15/284 | | | 4,682,000 | | | | 4,892,690 | |
Atlas Mara Ltd. | | | | | | | | |
due 12/31/21†††,8,9 | | | 6,600,000 | | | | 4,719,000 | |
Horace Mann Educators Corp. | | | | | | | | |
4.50% due 12/01/25 | | | 4,560,000 | | | | 4,689,206 | |
Home Point Capital, Inc. | | | | | | | | |
5.00% due 02/01/264 | | | 5,560,000 | | | | 4,555,364 | |
HS Wildcat LLC | | | | | | | | |
3.83% due 12/31/50††† | | | 5,000,000 | | | | 4,535,117 | |
Old Republic International Corp. | | | | | | | | |
3.85% due 06/11/51 | | | 4,100,000 | | | | 3,804,690 | |
Commonwealth Bank of Australia | | | | | | | | |
3.61% due 09/12/343,4 | | | 3,550,000 | | | | 3,407,957 | |
Murphy’s Bowl LLC | | | | | | | | |
3.20% due 06/30/56††† | | | 3,500,000 | | | | 3,186,020 | |
Fort Knox Military Housing Privatization Project | | | | | | | | |
5.82% due 02/15/524 | | | 1,869,043 | | | | 1,999,255 | |
0.74% (1 Month USD LIBOR + 0.34%, Rate Floor 0.00%) due 02/15/52◊,4 | | | 1,677,867 | | | | 1,048,315 | |
KKR Group Finance Company III LLC | | | | | | | | |
5.13% due 06/01/444 | | | 2,710,000 | | | | 3,024,403 | |
Enstar Group Ltd. | | | | | | | | |
3.10% due 09/01/31 | | | 1,670,000 | | | | 1,493,633 | |
4.95% due 06/01/29 | | | 1,250,000 | | | | 1,297,577 | |
Iron Mountain Information Management Services, Inc. | | | | | | | | |
5.00% due 07/15/324 | | | 2,750,000 | | | | 2,578,125 | |
Ares Finance Company IV LLC | | | | | | | | |
3.65% due 02/01/524 | | | 2,450,000 | | | | 2,080,781 | |
New York Life Global Funding | | | | | | | | |
0.39% (SOFR + 0.22%, Rate Floor: 0.00%) due 02/02/23◊,4 | | | 2,070,000 | | | | 2,067,725 | |
Western Group Housing, LP | | | | | | | | |
6.75% due 03/15/574 | | | 1,474,680 | | | | 1,911,126 | |
Transatlantic Holdings, Inc. | | | | | | | | |
8.00% due 11/30/39 | | | 1,135,000 | | | | 1,635,602 | |
Bank of Nova Scotia | | | | | | | | |
2.44% due 03/11/24 | | | 1,600,000 | | | | 1,592,780 | |
Jackson National Life Global Funding | | | | | | | | |
1.75% due 01/12/254 | | | 1,650,000 | | | | 1,580,060 | |
18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Lloyds Banking Group plc | | | | | | | | |
3.51% due 03/18/263 | | | 1,580,000 | | | $ | 1,572,257 | |
Danske Bank A/S | | | | | | | | |
0.98% due 09/10/253,4 | | | 1,660,000 | | | | 1,555,647 | |
Brighthouse Financial Global Funding | | | | | | | | |
1.00% due 04/12/244 | | | 1,620,000 | | | | 1,551,474 | |
BNP Paribas S.A. | | | | | | | | |
1.32% due 01/13/273,4 | | | 1,640,000 | | | | 1,493,331 | |
Athene Global Funding | | | | | | | | |
2.67% due 06/07/314 | | | 1,550,000 | | | | 1,391,332 | |
ING Groep N.V. | | | | | | | | |
1.73% due 04/01/273 | | | 1,360,000 | | | | 1,254,388 | |
Mid-Atlantic Military Family Communities LLC | | | | | | | | |
5.24% due 08/01/504 | | | 1,092,964 | | | | 1,202,434 | |
Janus Henderson US Holdings, Inc. | | | | | | | | |
4.88% due 08/01/25 | | | 780,000 | | | | 816,094 | |
Atlantic Marine Corporations Communities LLC | | | | | | | | |
5.37% due 12/01/508 | | | 760,268 | | | | 792,863 | |
F&G Global Funding | | | | | | | | |
2.30% due 04/11/274 | | | 790,000 | | | | 738,451 | |
Pacific Beacon LLC | | | | | | | | |
5.51% due 07/15/364 | | | 500,000 | | | | 536,307 | |
Swiss Re Finance Luxembourg S.A. | | | | | | | | |
5.00% due 04/02/493,4 | | | 300,000 | | | | 310,500 | |
Pine Street Trust I | | | | | | | | |
4.57% due 02/15/294 | | | 250,000 | | | | 260,071 | |
Peachtree Corners Funding Trust | | | | | | | | |
3.98% due 02/15/254 | | | 215,000 | | | | 217,730 | |
Sompo International Holdings Ltd. | | | | | | | | |
4.70% due 10/15/22 | | | 140,000 | | | | 141,105 | |
Total Financial | | | 4,012,053,166 | |
| | | | | | | | | |
Consumer, Non-cyclical - 5.3% |
Altria Group, Inc. | | | | | | | | |
3.70% due 02/04/51 | | | 67,650,000 | | | | 54,643,025 | |
3.40% due 05/06/30 | | | 47,320,000 | | | | 45,509,441 | |
2.35% due 05/06/25 | | | 18,290,000 | | | | 17,764,268 | |
4.45% due 05/06/50 | | | 6,120,000 | | | | 5,553,594 | |
5.95% due 02/14/49 | | | 1,300,000 | | | | 1,407,320 | |
CoStar Group, Inc. | | | | | | | | |
2.80% due 07/15/304 | | | 89,110,000 | | | | 81,443,902 | |
Mozart Debt Merger Sub, Inc. | | | | | | | | |
3.88% due 04/01/294 | | | 69,350,000 | | | | 64,148,750 | |
BAT Capital Corp. | | | | | | | | |
3.98% due 09/25/50 | | | 41,450,000 | | | | 33,590,590 | |
4.70% due 04/02/27 | | | 22,390,000 | | | | 22,964,240 | |
Royalty Pharma plc | | | | | | | | |
3.55% due 09/02/50 | | | 39,710,000 | | | | 32,986,349 | |
2.20% due 09/02/30 | | | 20,800,000 | | | | 18,185,296 | |
Global Payments, Inc. | | | | | | | | |
2.90% due 11/15/31 | | | 30,265,000 | | | | 27,573,441 | |
2.90% due 05/15/30 | | | 24,810,000 | | | | 22,898,209 | |
Quanta Services, Inc. | | | | | | | | |
2.90% due 10/01/30 | | | 51,954,000 | | | | 48,068,634 | |
0.95% due 10/01/24 | | | 1,660,000 | | | | 1,573,820 | |
Smithfield Foods, Inc. | | | | | | | | |
2.63% due 09/13/314 | | | 39,050,000 | | | | 34,288,083 | |
3.00% due 10/15/304 | | | 15,760,000 | | | | 14,303,173 | |
5.20% due 04/01/294 | | | 850,000 | | | | 891,728 | |
Kraft Heinz Foods Co. | | | | | | | | |
4.88% due 10/01/49 | | | 14,525,000 | | | | 15,303,976 | |
4.38% due 06/01/46 | | | 13,090,000 | | | | 12,928,208 | |
5.50% due 06/01/50 | | | 9,250,000 | | | | 10,503,652 | |
5.00% due 06/04/42 | | | 7,850,000 | | | | 8,384,585 | |
5.20% due 07/15/45 | | | 1,930,000 | | | | 2,089,225 | |
DaVita, Inc. | | | | | | | | |
3.75% due 02/15/314 | | | 38,095,000 | | | | 33,333,125 | |
4.63% due 06/01/304 | | | 14,190,000 | | | | 13,250,622 | |
Becle, SAB de CV | | | | | | | | |
2.50% due 10/14/314 | | | 44,100,000 | | | | 39,121,110 | |
US Foods, Inc. | | | | | | | | |
6.25% due 04/15/254 | | | 24,050,000 | | | | 24,651,250 | |
4.75% due 02/15/294 | | | 8,107,000 | | | | 7,732,051 | |
4.63% due 06/01/304 | | | 4,850,000 | | | | 4,486,808 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc. | | | | | | | | |
3.00% due 05/15/324 | | | 29,125,000 | | | $ | 26,212,791 | |
4.38% due 02/02/524 | | | 10,200,000 | | | | 8,872,811 | |
Triton Container International Ltd. | | | | | | | | |
3.15% due 06/15/314 | | | 33,500,000 | | | | 30,628,559 | |
California Institute of Technology | | | | | | | | |
3.65% due 09/01/19 | | | 31,896,000 | | | | 27,355,468 | |
Emory University | | | | | | | | |
2.97% due 09/01/50 | | | 30,000,000 | | | | 26,612,920 | |
Yale-New Haven Health Services Corp. | | | | | | | | |
2.50% due 07/01/50 | | | 32,350,000 | | | | 25,307,694 | |
TriNet Group, Inc. | | | | | | | | |
3.50% due 03/01/294 | | | 26,450,000 | | | | 24,300,938 | |
Post Holdings, Inc. | | | | | | | | |
4.50% due 09/15/314 | | | 23,850,000 | | | | 21,130,862 | |
4.63% due 04/15/304 | | | 1,325,000 | | | | 1,193,096 | |
Kimberly-Clark de Mexico SAB de CV | | | | | | | | |
2.43% due 07/01/314 | | | 22,650,000 | | | | 20,510,481 | |
Health Care Service Corporation A Mutual Legal Reserve Co. | | | | | | | | |
3.20% due 06/01/504 | | | 23,030,000 | | | | 20,140,775 | |
Olympus Corp. | | | | | | | | |
2.14% due 12/08/264 | | | 19,550,000 | | | | 18,408,185 | |
Universal Health Services, Inc. | | | | | | | | |
2.65% due 10/15/304 | | | 19,660,000 | | | | 17,847,595 | |
Transurban Finance Company Pty Ltd. | | | | | | | | |
2.45% due 03/16/314 | | | 19,400,000 | | | | 17,201,650 | |
Service Corporation International | | | | | | | | |
3.38% due 08/15/30 | | | 11,225,000 | | | | 10,112,378 | |
4.00% due 05/15/31 | | | 7,000,000 | | | | 6,512,310 | |
Central Garden & Pet Co. | | | | | | | | |
4.13% due 04/30/314 | | | 9,275,000 | | | | 8,347,500 | |
4.13% due 10/15/30 | | | 8,975,000 | | | | 8,099,937 | |
Catalent Pharma Solutions, Inc. | | | | | | | | |
3.50% due 04/01/304 | | | 9,500,000 | | | | 8,668,750 | |
3.13% due 02/15/294 | | | 8,075,000 | | | | 7,339,489 | |
Cheplapharm Arzneimittel GmbH | | | | | | | | |
4.38% due 01/15/28 | | | EUR 13,750,000 | | | | 15,025,645 | |
Sabre GLBL, Inc. | | | | | | | | |
7.38% due 09/01/254 | | | 12,825,000 | | | | 13,392,250 | |
Spectrum Brands, Inc. | | | | | | | | |
3.88% due 03/15/314 | | | 13,475,000 | | | | 11,887,645 | |
5.50% due 07/15/304 | | | 850,000 | | | | 816,000 | |
Prime Security Services Borrower LLC / Prime Finance, Inc. | | | | | | | | |
3.38% due 08/31/274 | | | 13,450,000 | | | | 12,305,270 | |
Bimbo Bakeries USA, Inc. | | | | | | | | |
4.00% due 05/17/514 | | | 12,775,000 | | | | 11,920,650 | |
GXO Logistics, Inc. | | | | | | | | |
2.65% due 07/15/314 | | | 13,725,000 | | | | 11,900,947 | |
HCA, Inc. | | | | | | | | |
3.63% due 03/15/324 | | | 10,050,000 | | | | 9,848,546 | |
3.50% due 09/01/30 | | | 1,600,000 | | | | 1,545,702 | |
Avantor Funding, Inc. | | | | | | | | |
4.63% due 07/15/284 | | | 11,500,000 | | | | 11,373,500 | |
WW International, Inc. | | | | | | | | |
4.50% due 04/15/294 | | | 12,900,000 | | | | 10,445,517 | |
CPI CG, Inc. | | | | | | | | |
8.63% due 03/15/264 | | | 10,524,000 | | | | 10,242,799 | |
Hologic, Inc. | | | | | | | | |
3.25% due 02/15/294 | | | 10,750,000 | | | | 10,038,028 | |
Moody’s Corp. | | | | | | | | |
3.25% due 05/20/50 | | | 11,180,000 | | | | 9,995,571 | |
Block, Inc. | | | | | | | | |
2.75% due 06/01/264 | | | 10,125,000 | | | | 9,570,352 | |
Nielsen Finance LLC / Nielsen Finance Co. | | | | | | | | |
4.50% due 07/15/294 | | | 8,690,000 | | | | 8,668,275 | |
OhioHealth Corp. | | | | | | | | |
3.04% due 11/15/50 | | | 9,100,000 | | | | 8,106,427 | |
Johns Hopkins University | | | | | | | | |
2.81% due 01/01/60 | | | 8,750,000 | | | | 7,292,949 | |
Duke University | | | | | | | | |
2.83% due 10/01/55 | | | 7,894,000 | | | | 6,928,529 | |
20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Endo Luxembourg Finance Company I SARL / Endo US, Inc. | | | | | | | | |
6.13% due 04/01/294 | | | 7,150,000 | | | $ | 6,524,375 | |
Syneos Health, Inc. | | | | | | | | |
3.63% due 01/15/294 | | | 7,000,000 | | | | 6,466,250 | |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | | | | | | | | |
5.00% due 12/31/264 | | | 6,325,000 | | | | 5,834,813 | |
Children’s Hospital Corp. | | | | | | | | |
2.59% due 02/01/50 | | | 7,100,000 | | | | 5,679,874 | |
Triton Container International Limited / TAL International Container Corp. | | | | | | | | |
3.25% due 03/15/32 | | | 6,050,000 | | | | 5,572,837 | |
Children’s Health System of Texas | | | | | | | | |
2.51% due 08/15/50 | | | 6,500,000 | | | | 5,093,957 | |
APi Group DE, Inc. | | | | | | | | |
4.13% due 07/15/294 | | | 4,150,000 | | | | 3,824,640 | |
Sotheby’s/Bidfair Holdings, Inc. | | | | | | | | |
5.88% due 06/01/294 | | | 3,900,000 | | | | 3,773,250 | |
BCP V Modular Services Finance II plc | | | | | | | | |
4.75% due 11/30/28 | | | EUR 3,500,000 | | | | 3,706,212 | |
Wisconsin Alumni Research Foundation | | | | | | | | |
3.56% due 10/01/49 | | | 3,775,000 | | | | 3,666,484 | |
Providence St. Joseph Health Obligated Group | | | | | | | | |
2.70% due 10/01/51 | | | 4,250,000 | | | | 3,356,832 | |
Memorial Sloan-Kettering Cancer Center | | | | | | | | |
2.96% due 01/01/50 | | | 3,500,000 | | | | 3,016,141 | |
Beth Israel Lahey Health, Inc. | | | | | | | | |
3.08% due 07/01/51 | | | 2,700,000 | | | | 2,329,174 | |
Gartner, Inc. | | | | | | | | |
3.75% due 10/01/304 | | | 2,330,000 | | | | 2,187,287 | |
Tenet Healthcare Corp. | | | | | | | | |
4.63% due 06/15/284 | | | 2,056,000 | | | | 2,017,450 | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | | | | |
8.00% due 11/15/39 | | | 1,030,000 | | | | 1,501,423 | |
Aetna, Inc. | | | | | | | | |
6.75% due 12/15/37 | | | 1,150,000 | | | | 1,469,231 | |
Reynolds American, Inc. | | | | | | | | |
6.15% due 09/15/43 | | | 1,340,000 | | | | 1,416,672 | |
Molina Healthcare, Inc. | | | | | | | | |
4.38% due 06/15/284 | | | 1,290,000 | | | | 1,276,610 | |
Humana, Inc. | | | | | | | | |
0.65% due 08/03/23 | | | 1,000,000 | | | | 975,589 | |
AmerisourceBergen Corp. | | | | | | | | |
0.74% due 03/15/23 | | | 810,000 | | | | 798,070 | |
Verisk Analytics, Inc. | | | | | | | | |
4.13% due 09/12/22 | | | 696,000 | | | | 702,709 | |
Bio-Rad Laboratories, Inc. | | | | | | | | |
3.30% due 03/15/27 | | | 180,000 | | | | 177,102 | |
Total Consumer, Non-cyclical | | | 1,287,054,248 | |
| | | | | | | | | |
Industrial - 4.4% |
Boeing Co. | | | | | | | | |
5.15% due 05/01/30 | | | 125,140,000 | | | | 133,456,532 | |
5.71% due 05/01/40 | | | 68,110,000 | | | | 76,109,553 | |
5.81% due 05/01/50 | | | 53,550,000 | | | | 61,836,167 | |
5.04% due 05/01/27 | | | 33,850,000 | | | | 35,644,482 | |
3.63% due 02/01/31 | | | 21,400,000 | | | | 20,829,593 | |
1.17% due 02/04/23 | | | 1,650,000 | | | | 1,636,886 | |
FLNG Liquefaction 3 LLC | | | | | | | | |
3.08% due 06/30/39††† | | | 68,244,915 | | | | 62,072,245 | |
Textron, Inc. | | | | | | | | |
2.45% due 03/15/31 | | | 40,750,000 | | | | 36,893,416 | |
3.00% due 06/01/30 | | | 23,395,000 | | | | 22,326,021 | |
TD SYNNEX Corp. | | | | | | | | |
2.65% due 08/09/314 | | | 40,600,000 | | | | 34,864,968 | |
2.38% due 08/09/284 | | | 25,500,000 | | | | 22,951,778 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Cellnex Finance Company S.A. | | | | | | | | |
3.88% due 07/07/414 | | | 68,935,000 | | | $ | 55,997,279 | |
Vontier Corp. | | | | | | | | |
2.95% due 04/01/31 | | | 34,250,000 | | | | 30,415,712 | |
2.40% due 04/01/28 | | | 20,100,000 | | | | 17,671,920 | |
Flowserve Corp. | | | | | | | | |
3.50% due 10/01/30 | | | 27,340,000 | | | | 25,892,513 | |
2.80% due 01/15/32 | | | 19,800,000 | | | | 17,512,270 | |
Dyal Capital Partners IV | | | | | | | | |
3.65% due 02/22/41††† | | | 41,800,000 | | | | 36,850,635 | |
Acuity Brands Lighting, Inc. | | | | | | | | |
2.15% due 12/15/30 | | | 39,050,000 | | | | 34,286,270 | |
Standard Industries, Inc. | | | | | | | | |
3.38% due 01/15/314 | | | 14,475,000 | | | | 12,665,625 | |
4.38% due 07/15/304 | | | 13,600,000 | | | | 12,456,988 | |
5.00% due 02/15/274 | | | 6,250,000 | | | | 6,195,500 | |
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. | | | | | | | | |
4.13% due 08/15/264 | | | 31,850,000 | | | | 30,685,086 | |
Stadco LA, LLC | | | | | | | | |
3.75% due 05/15/56††† | | | 31,000,000 | | | | 27,609,013 | |
Owens Corning | | | | | | | | |
3.88% due 06/01/30 | | | 26,890,000 | | | | 27,153,878 | |
GATX Corp. | | | | | | | | |
4.00% due 06/30/30 | | | 23,835,000 | | | | 24,162,425 | |
4.70% due 04/01/29 | | | 400,000 | | | | 423,924 | |
Ryder System, Inc. | | | | | | | | |
3.35% due 09/01/25 | | | 22,380,000 | | | | 22,382,932 | |
NFL Ventures, LP | | | | | | | | |
3.02% due 04/15/35††† | | | 20,000,000 | | | | 19,262,138 | |
Amcor Flexibles North America, Inc. | | | | | | | | |
2.63% due 06/19/30 | | | 18,580,000 | | | | 17,122,478 | |
Boxer Parent Company, Inc. | | | | | | | | |
6.50% due 10/02/25 | | | EUR 13,500,000 | | | | 15,061,829 | |
TFI International, Inc. | | | | | | | | |
3.35% due 01/05/33††† | | | 14,000,000 | | | | 13,047,846 | |
CNH Industrial Capital LLC | | | | | | | | |
1.88% due 01/15/26 | | | 12,960,000 | | | | 12,269,434 | |
Weir Group plc | | | | | | | | |
2.20% due 05/13/264 | | | 12,815,000 | | | | 11,968,247 | |
Hardwood Funding LLC | | | | | | | | |
3.19% due 06/07/30††† | | | 8,000,000 | | | | 7,780,066 | |
2.83% due 06/07/31††† | | | 2,000,000 | | | | 1,887,461 | |
3.13% due 06/07/36††† | | | 1,000,000 | | | | 947,334 | |
National Basketball Association | | | | | | | | |
2.51% due 12/16/24††† | | | 10,500,000 | | | | 10,219,684 | |
Huntington Ingalls Industries, Inc. | | | | | | | | |
2.04% due 08/16/284 | | | 10,150,000 | | | | 9,175,424 | |
Airbus SE | | | | | | | | |
3.95% due 04/10/474 | | | 9,000,000 | | | | 8,953,368 | |
Artera Services LLC | | | | | | | | |
9.03% due 12/04/254 | | | 8,490,000 | | | | 8,483,760 | |
Norfolk Southern Corp. | | | | | | | | |
4.10% due 05/15/21 | | | 9,100,000 | | | | 8,468,828 | |
Hillenbrand, Inc. | | | | | | | | |
3.75% due 03/01/31 | | | 7,650,000 | | | | 6,999,750 | |
Virgin Media Vendor Financing Notes III DAC | | | | | | | | |
4.88% due 07/15/28 | | | GBP 5,000,000 | | | | 6,182,347 | |
Mueller Water Products, Inc. | | | | | | | | |
4.00% due 06/15/294 | | | 5,750,000 | | | | 5,446,572 | |
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc | | | | | | | | |
4.00% due 09/01/294 | | | 3,750,000 | | | | 3,379,313 | |
Berry Global, Inc. | | | | | | | | |
1.57% due 01/15/26 | | | 2,750,000 | | | | 2,561,840 | |
22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Graphic Packaging International LLC | | | | | | | | |
3.50% due 03/01/294 | | | 1,658,000 | | | $ | 1,525,360 | |
Penske Truck Leasing Company, LP / PTL Finance Corp. | | | | | | | | |
1.70% due 06/15/264 | | | 1,620,000 | | | | 1,503,167 | |
Burlington Northern Santa Fe LLC | | | | | | | | |
5.40% due 06/01/41 | | | 1,180,000 | | | | 1,424,400 | |
Princess Juliana International Airport Operating Company N.V. | | | | | | | | |
5.50% due 12/20/278 | | | 1,566,329 | | | | 1,391,433 | |
Trimble, Inc. | | | | | | | | |
4.15% due 06/15/23 | | | 1,155,000 | | | | 1,171,031 | |
Crown Americas LLC / Crown Americas Capital Corporation VI | | | | | | | | |
4.75% due 02/01/26 | | | 1,150,000 | | | | 1,162,282 | |
TransDigm, Inc. | | | | | | | | |
6.25% due 03/15/264 | | | 1,075,000 | | | | 1,103,638 | |
Howmet Aerospace, Inc. | | | | | | | | |
5.95% due 02/01/37 | | | 525,000 | | | | 559,592 | |
6.88% due 05/01/25 | | | 129,000 | | | | 140,081 | |
Adevinta ASA | | | | | | | | |
3.00% due 11/15/27 | | | EUR 417,000 | | | | 446,135 | |
Martin Marietta Materials, Inc. | | | | | | | | |
0.65% due 07/15/23 | | | 360,000 | | | | 351,449 | |
JELD-WEN, Inc. | | | | | | | | |
6.25% due 05/15/254 | | | 300,000 | | | | 309,111 | |
Carlisle Companies, Inc. | | | | | | | | |
0.55% due 09/01/23 | | | 220,000 | | | | 213,139 | |
Hexcel Corp. | | | | | | | | |
4.20% due 02/15/27 | | | 180,000 | | | | 181,034 | |
Canadian National Railway Co. | | | | | | | | |
6.71% due 07/15/36 | | | 110,000 | | | | 142,669 | |
Total Industrial | | | 1,071,825,851 | |
| | | | | | | | | |
Consumer, Cyclical - 4.1% |
Marriott International, Inc. | | | | | | | | |
4.63% due 06/15/30 | | | 43,685,000 | | | | 45,244,151 | |
3.50% due 10/15/32 | | | 45,690,000 | | | | 43,490,887 | |
2.85% due 04/15/31 | | | 43,490,000 | | | | 39,693,016 | |
5.75% due 05/01/25 | | | 29,691,000 | | | | 31,523,974 | |
2.75% due 10/15/33 | | | 25,150,000 | | | | 22,195,460 | |
Delta Air Lines, Inc. | | | | | | | | |
7.00% due 05/01/254 | | | 136,400,000 | | | | 146,100,093 | |
Magallanes, Inc. | | | | | | | | |
4.28% due 03/15/324 | | | 55,700,000 | | | | 55,947,791 | |
5.14% due 03/15/524 | | | 27,350,000 | | | | 27,981,637 | |
Hyatt Hotels Corp. | | | | | | | | |
5.38% due 04/23/25 | | | 26,900,000 | | | | 28,237,099 | |
5.75% due 04/23/30 | | | 23,885,000 | | | | 26,391,437 | |
1.30% due 10/01/23 | | | 1,660,000 | | | | 1,617,652 | |
Alt-2 Structured Trust | | | | | | | | |
2.95% due 05/14/31◊,††† | | | 57,488,134 | | | | 53,462,970 | |
Hilton Domestic Operating Company, Inc. | | | | | | | | |
3.75% due 05/01/294 | | | 44,400,000 | | | | 41,676,726 | |
4.00% due 05/01/314 | | | 5,900,000 | | | | 5,568,125 | |
3.63% due 02/15/324 | | | 1,900,000 | | | | 1,724,250 | |
Delta Air Lines Inc. / SkyMiles IP Ltd. | | | | | | | | |
4.50% due 10/20/254 | | | 45,200,000 | | | | 45,462,590 | |
Choice Hotels International, Inc. | | | | | | | | |
3.70% due 01/15/31 | | | 45,900,000 | | | | 44,631,322 | |
1011778 BC ULC / New Red Finance, Inc. | | | | | | | | |
4.00% due 10/15/304 | | | 42,150,000 | | | | 38,020,775 | |
3.88% due 01/15/284 | | | 6,940,000 | | | | 6,575,893 | |
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | | | | | | | | |
6.50% due 06/20/274 | | | 38,950,000 | | | | 40,605,375 | |
WMG Acquisition Corp. | | | | | | | | |
3.00% due 02/15/314 | | | 18,650,000 | | | | 16,691,750 | |
3.75% due 12/01/294 | | | 10,750,000 | | | | 10,105,000 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Walgreens Boots Alliance, Inc. | | | | | | | | |
4.10% due 04/15/50 | | | 24,778,000 | | | $ | 24,135,837 | |
Whirlpool Corp. | | | | | | | | |
4.60% due 05/15/50 | | | 21,920,000 | | | | 23,001,256 | |
British Airways Class A Pass Through Trust | | | | | | | | |
2.90% due 03/15/354 | | | 15,389,739 | | | | 14,140,054 | |
4.25% due 11/15/324 | | | 5,479,372 | | | | 5,473,802 | |
BorgWarner, Inc. | | | | | | | | |
2.65% due 07/01/27 | | | 19,970,000 | | | | 19,283,647 | |
Steelcase, Inc. | | | | | | | | |
5.13% due 01/18/29 | | | 17,427,000 | | | | 18,258,046 | |
American Airlines Class AA Pass Through Trust | | | | | | | | |
3.35% due 10/15/29 | | | 9,106,778 | | | | 8,727,522 | |
3.20% due 06/15/28 | | | 5,657,300 | | | | 5,368,688 | |
3.00% due 10/15/28 | | | 4,117,716 | | | | 3,826,150 | |
3.15% due 02/15/32 | | | 164,941 | | | | 154,936 | |
Ferguson Finance plc | | | | | | | | |
3.25% due 06/02/304 | | | 17,904,000 | | | | 17,039,755 | |
Scotts Miracle-Gro Co. | | | | | | | | |
4.00% due 04/01/31 | | | 18,750,000 | | | | 16,349,719 | |
Allison Transmission, Inc. | | | | | | | | |
3.75% due 01/30/314 | | | 12,500,000 | | | | 11,339,375 | |
Levi Strauss & Co. | | | | | | | | |
3.50% due 03/01/314 | | | 11,100,000 | | | | 10,164,936 | |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc. | | | | | | | | |
4.63% due 01/15/294 | | | 10,500,000 | | | | 9,948,750 | |
Air Canada | | | | | | | | |
3.88% due 08/15/264 | | | 8,650,000 | | | | 8,163,438 | |
Lowe’s Companies, Inc. | | | | | | | | |
1.70% due 09/15/28 | | | 7,425,000 | | | | 6,719,866 | |
Six Flags Theme Parks, Inc. | | | | | | | | |
7.00% due 07/01/254 | | | 5,990,000 | | | | 6,252,063 | |
Delta Air Lines, Inc. / SkyMiles IP Ltd. | | | | | | | | |
4.75% due 10/20/284 | | | 3,800,000 | | | | 3,829,095 | |
JB Poindexter & Company, Inc. | | | | | | | | |
7.13% due 04/15/264 | | | 2,850,000 | | | | 2,896,313 | |
United Airlines, Inc. | | | | | | | | |
4.38% due 04/15/264 | | | 1,750,000 | | | | 1,721,431 | |
HP Communities LLC | | | | | | | | |
5.86% due 09/15/53†††,4 | | | 1,420,000 | | | | 1,712,737 | |
PetSmart, Inc. / PetSmart Finance Corp. | | | | | | | | |
4.75% due 02/15/284 | | | 1,750,000 | | | | 1,691,209 | |
Aramark Services, Inc. | | | | | | | | |
5.00% due 02/01/284 | | | 1,525,000 | | | | 1,479,250 | |
Lear Corp. | | | | | | | | |
5.25% due 05/15/49 | | | 1,360,000 | | | | 1,459,608 | |
JetBlue Class A Pass Through Trust | | | | | | | | |
4.00% due 11/15/32 | | | 140,184 | | | | 140,081 | |
Total Consumer, Cyclical | | | 996,225,537 | |
| | | | | | | | | |
Communications - 3.3% |
Paramount Global | | | | | | | | |
4.95% due 01/15/31 | | | 59,401,000 | | | | 63,142,099 | |
4.95% due 05/19/50 | | | 39,600,000 | | | | 41,387,898 | |
4.75% due 05/15/25 | | | 36,350,000 | | | | 37,764,394 | |
Charter Communications Operating LLC / Charter Communications Operating Capital | | | | | | | | |
2.80% due 04/01/31 | | | 71,850,000 | | | | 64,757,975 | |
3.90% due 06/01/52 | | | 21,650,000 | | | | 18,257,666 | |
2.25% due 01/15/29 | | | 12,500,000 | | | | 11,248,353 | |
3.85% due 04/01/61 | | | 1,000,000 | | | | 803,960 | |
4.40% due 12/01/61 | | | 650,000 | | | | 565,808 | |
Level 3 Financing, Inc. | | | | | | | | |
4.25% due 07/01/284 | | | 34,430,000 | | | | 31,606,998 | |
3.63% due 01/15/294 | | | 34,600,000 | | | | 30,275,000 | |
3.88% due 11/15/294 | | | 20,300,000 | | | | 18,676,000 | |
3.75% due 07/15/294 | | | 13,950,000 | | | | 12,362,908 | |
24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
British Telecommunications plc | | | | | | | | |
4.88% due 11/23/813,4 | | | 47,450,000 | | | $ | 45,077,500 | |
4.25% due 11/23/813,4 | | | 8,250,000 | | | | 7,875,202 | |
9.63% due 12/15/30 | | | 2,310,000 | | | | 3,151,679 | |
AT&T, Inc. | | | | | | | | |
2.75% due 06/01/31 | | | 33,660,000 | | | | 31,562,271 | |
2.30% due 06/01/27 | | | 6,000,000 | | | | 5,716,634 | |
Vodafone Group plc | | | | | | | | |
4.13% due 06/04/813 | | | 40,375,000 | | | | 36,658,078 | |
UPC Broadband Finco BV | | | | | | | | |
4.88% due 07/15/314 | | | 36,900,000 | | | | 34,644,303 | |
Virgin Media Secured Finance plc | | | | | | | | |
4.50% due 08/15/304 | | | 27,600,000 | | | | 25,737,000 | |
McGraw-Hill Education, Inc. | | | | | | | | |
5.75% due 08/01/284 | | | 24,975,000 | | | | 23,820,406 | |
LCPR Senior Secured Financing DAC | | | | | | | | |
5.13% due 07/15/294 | | | 17,900,000 | | | | 17,089,041 | |
6.75% due 10/15/274 | | | 5,071,000 | | | | 5,209,438 | |
Walt Disney Co. | | | | | | | | |
3.80% due 05/13/60 | | | 21,990,000 | | | | 22,127,546 | |
Go Daddy Operating Company LLC / GD Finance Co., Inc. | | | | | | | | |
3.50% due 03/01/294 | | | 22,100,000 | | | | 20,320,287 | |
T-Mobile USA, Inc. | | | | | | | | |
2.63% due 04/15/26 | | | 13,850,000 | | | | 13,229,797 | |
2.88% due 02/15/31 | | | 7,250,000 | | | | 6,531,743 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | | | | | | | | |
4.50% due 05/01/32 | | | 18,275,000 | | | | 16,716,143 | |
4.25% due 02/01/314 | | | 2,125,000 | | | | 1,928,437 | |
Altice France S.A. | | | | | | | | |
5.13% due 07/15/294 | | | 17,600,000 | | | | 15,774,000 | |
5.13% due 01/15/294 | | | 2,290,000 | | | | 2,051,451 | |
VeriSign, Inc. | | | | | | | | |
2.70% due 06/15/31 | | | 18,950,000 | | | | 17,149,750 | |
CSC Holdings LLC | | | | | | | | |
3.38% due 02/15/314 | | | 14,175,000 | | | | 11,942,438 | |
4.13% due 12/01/304 | | | 5,741,000 | | | | 5,034,082 | |
Sirius XM Radio, Inc. | | | | | | | | |
4.13% due 07/01/304 | | | 17,010,000 | | | | 15,924,252 | |
Radiate Holdco LLC / Radiate Finance, Inc. | | | | | | | | |
4.50% due 09/15/264 | | | 15,050,000 | | | | 14,523,250 | |
Lamar Media Corp. | | | | | | | | |
3.63% due 01/15/31 | | | 10,600,000 | | | | 9,732,178 | |
4.00% due 02/15/30 | | | 1,575,000 | | | | 1,498,219 | |
Virgin Media Vendor Financing Notes IV DAC | | | | | | | | |
5.00% due 07/15/284 | | | 10,100,000 | | | | 9,696,000 | |
Ziggo BV | | | | | | | | |
4.88% due 01/15/304 | | | 10,125,000 | | | | 9,535,016 | |
Amazon.com, Inc. | | | | | | | | |
2.70% due 06/03/60 | | | 10,180,000 | | | | 8,407,264 | |
Fox Corp. | | | | | | | | |
3.05% due 04/07/25 | | | 7,100,000 | | | | 7,096,305 | |
Switch Ltd. | | | | | | | | |
3.75% due 09/15/284 | | | 4,200,000 | | | | 4,072,929 | |
Corning, Inc. | | | | | | | | |
4.38% due 11/15/57 | | | 2,500,000 | | | | 2,526,531 | |
Koninklijke KPN N.V. | | | | | | | | |
8.38% due 10/01/30 | | | 1,140,000 | | | | 1,465,028 | |
Match Group Holdings II LLC | | | | | | | | |
4.13% due 08/01/304 | | | 1,250,000 | | | | 1,171,337 | |
Virgin Media Finance plc | | | | | | | | |
5.00% due 07/15/304 | | | 850,000 | | | | 802,821 | |
Motorola Solutions, Inc. | | | | | | | | |
5.50% due 09/01/44 | | | 360,000 | | | | 395,853 | |
Total Communications | | | 787,043,268 | |
| | | | | | | | | |
Energy - 2.5% |
Galaxy Pipeline Assets Bidco Ltd. | | | | | | | | |
3.25% due 09/30/404 | | | 91,750,000 | | | | 82,826,871 | |
2.94% due 09/30/404 | | | 58,850,000 | | | | 53,063,442 | |
1.75% due 09/30/274 | | | 2,006,233 | | | | 1,923,162 | |
BP Capital Markets plc | | | | | | | | |
4.88%3,6 | | | 114,865,000 | | | | 115,152,162 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Qatar Energy | | | | | | | | |
3.13% due 07/12/414 | | | 37,875,000 | | | $ | 34,460,645 | |
3.30% due 07/12/514 | | | 37,450,000 | | | | 34,372,434 | |
Sabine Pass Liquefaction LLC | | | | | | | | |
4.50% due 05/15/30 | | | 63,355,000 | | | | 66,254,601 | |
Valero Energy Corp. | | | | | | | | |
2.80% due 12/01/31 | | | 20,650,000 | | | | 19,058,939 | |
2.15% due 09/15/27 | | | 13,920,000 | | | | 13,017,626 | |
4.00% due 04/01/29 | | | 7,450,000 | | | | 7,598,747 | |
7.50% due 04/15/32 | | | 2,530,000 | | | | 3,193,337 | |
2.85% due 04/15/25 | | | 2,936,000 | | | | 2,900,868 | |
4.00% due 06/01/52 | | | 290,000 | | | | 272,543 | |
ITT Holdings LLC | | | | | | | | |
6.50% due 08/01/294 | | | 38,600,000 | | | | 35,655,592 | |
Occidental Petroleum Corp. | | | | | | | | |
3.00% due 02/15/27 | | | 7,480,000 | | | | 7,311,700 | |
5.55% due 03/15/26 | | | 5,940,000 | | | | 6,296,400 | |
4.30% due 08/15/39 | | | 6,600,000 | | | | 6,237,000 | |
3.40% due 04/15/26 | | | 6,250,000 | | | | 6,210,937 | |
4.40% due 08/15/49 | | | 2,500,000 | | | | 2,350,000 | |
3.20% due 08/15/26 | | | 2,375,000 | | | | 2,333,438 | |
4.40% due 04/15/46 | | | 1,400,000 | | | | 1,330,000 | |
4.63% due 06/15/45 | | | 800,000 | | | | 776,000 | |
Magellan Midstream Partners, LP | | | | | | | | |
3.25% due 06/01/30 | | | 23,260,000 | | | | 22,640,507 | |
3.95% due 03/01/50 | | | 1,600,000 | | | | 1,513,510 | |
Cheniere Corpus Christi Holdings LLC | | | | | | | | |
2.74% due 12/31/394 | | | 19,150,000 | | | | 16,662,640 | |
Midwest Connector Capital Company LLC | | | | | | | | |
4.63% due 04/01/294 | | | 15,975,000 | | | | 16,143,634 | |
NuStar Logistics, LP | | | | | | | | |
6.38% due 10/01/30 | | | 13,850,000 | | | | 14,037,529 | |
5.63% due 04/28/27 | | | 1,799,000 | | | | 1,760,097 | |
Parkland Corp. | | | | | | | | |
4.63% due 05/01/304 | | | 8,000,000 | | | | 7,440,000 | |
5.88% due 07/15/274 | | | 395,000 | | | | 394,013 | |
DCP Midstream Operating, LP | | | | | | | | |
3.25% due 02/15/32 | | | 7,990,000 | | | | 7,191,000 | |
DT Midstream, Inc. | | | | | | | | |
4.30% due 04/15/324 | | | 3,250,000 | | | | 3,258,482 | |
4.13% due 06/15/294 | | | 550,000 | | | | 527,343 | |
Phillips 66 | | | | | | | | |
3.70% due 04/06/23 | | | 2,250,000 | | | | 2,281,284 | |
Halliburton Co. | | | | | | | | |
7.45% due 09/15/39 | | | 1,100,000 | | | | 1,472,398 | |
ONEOK Partners, LP | | | | | | | | |
6.20% due 09/15/43 | | | 680,000 | | | | 746,354 | |
3.38% due 10/01/22 | | | 720,000 | | | | 722,220 | |
Enterprise Products Operating LLC | | | | | | | | |
5.10% due 02/15/45 | | | 1,340,000 | | | | 1,461,024 | |
Enbridge Energy Partners, LP | | | | | | | | |
7.38% due 10/15/45 | | | 1,040,000 | | | | 1,442,117 | |
Total Energy | | | 602,290,596 | |
| | | | | | | | | |
Technology - 1.7% |
Broadcom, Inc. | | | | | | | | |
4.15% due 11/15/30 | | | 57,725,000 | | | | 58,503,645 | |
2.45% due 02/15/314 | | | 42,120,000 | | | | 37,574,329 | |
3.19% due 11/15/364 | | | 3,135,000 | | | | 2,721,459 | |
2.60% due 02/15/334 | | | 1,660,000 | | | | 1,441,151 | |
Leidos, Inc. | | | | | | | | |
2.30% due 02/15/31 | | | 34,450,000 | | | | 29,862,983 | |
3.63% due 05/15/25 | | | 9,200,000 | | | | 9,197,700 | |
4.38% due 05/15/30 | | | 2,650,000 | | | | 2,679,561 | |
NetApp, Inc. | | | | | | | | |
2.70% due 06/22/30 | | | 43,505,000 | | | | 40,141,838 | |
CDW LLC / CDW Finance Corp. | | | | | | | | |
3.57% due 12/01/31 | | | 43,190,000 | | | | 40,013,375 | |
Citrix Systems, Inc. | | | | | | | | |
1.25% due 03/01/26 | | | 36,622,000 | | | | 35,604,548 | |
3.30% due 03/01/30 | | | 1,500,000 | | | | 1,483,676 | |
Oracle Corp. | | | | | | | | |
3.95% due 03/25/51 | | | 38,750,000 | | | | 33,875,839 | |
6.13% due 07/08/39 | | | 1,190,000 | | | | 1,357,839 | |
Qorvo, Inc. | | | | | | | | |
4.38% due 10/15/29 | | | 21,000,000 | | | | 21,007,035 | |
3.38% due 04/01/314 | | | 8,675,000 | | | | 7,888,611 | |
Apple, Inc. | | | | | | | | |
2.55% due 08/20/60 | | | 22,850,000 | | | | 18,726,070 | |
CGI, Inc. | | | | | | | | |
2.30% due 09/14/314 | | | 21,050,000 | | | | 18,359,750 | |
26 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
MSCI, Inc. | | | | | | | | |
3.63% due 09/01/304 | | | 17,718,000 | | | $ | 16,608,588 | |
3.88% due 02/15/314 | | | 1,769,000 | | | | 1,677,286 | |
Workday, Inc. | | | | | | | | |
3.80% due 04/01/32 | | | 12,500,000 | | | | 12,476,213 | |
TeamSystem SpA | | | | | | | | |
3.50% due 02/15/28 | | | EUR 5,000,000 | | | | 5,207,757 | |
Booz Allen Hamilton, Inc. | | | | | | | | |
3.88% due 09/01/284 | | | 4,550,000 | | | | 4,392,069 | |
Presidio Holdings, Inc. | | | | | | | | |
4.88% due 02/01/274 | | | 2,300,000 | | | | 2,265,500 | |
Microchip Technology, Inc. | | | | | | | | |
0.97% due 02/15/24 | | | 1,650,000 | | | | 1,581,361 | |
Skyworks Solutions, Inc. | | | | | | | | |
0.90% due 06/01/23 | | | 500,000 | | | | 488,839 | |
Open Text Holdings, Inc. | | | | | | | | |
4.13% due 02/15/304 | | | 210,000 | | | | 199,121 | |
Total Technology | | | 405,336,143 | |
| | | | | | | | | |
Basic Materials - 1.2% |
Newcrest Finance Pty Ltd. | | | | | | | | |
3.25% due 05/13/304 | | | 55,600,000 | | | | 53,170,900 | |
4.20% due 05/13/504 | | | 26,390,000 | | | | 25,665,593 | |
Anglo American Capital plc | | | | | | | | |
5.63% due 04/01/304 | | | 39,500,000 | | | | 43,536,588 | |
2.63% due 09/10/304 | | | 18,000,000 | | | | 16,320,783 | |
3.95% due 09/10/504 | | | 14,140,000 | | | | 13,240,902 | |
2.25% due 03/17/284 | | | 1,010,000 | | | | 922,404 | |
2.88% due 03/17/314 | | | 70,000 | | | | 64,512 | |
Yamana Gold, Inc. | | | | | | | | |
2.63% due 08/15/31 | | | 19,350,000 | | | | 17,332,537 | |
4.63% due 12/15/27 | | | 3,000,000 | | | | 3,045,233 | |
Alcoa Nederland Holding BV | | | | | | | | |
4.13% due 03/31/294 | | | 8,600,000 | | | | 8,427,398 | |
5.50% due 12/15/274 | | | 6,525,000 | | | | 6,753,897 | |
6.13% due 05/15/284 | | | 2,800,000 | | | | 2,933,000 | |
Minerals Technologies, Inc. | | | | | | | | |
5.00% due 07/01/284 | | | 18,630,000 | | | | 17,745,075 | |
Valvoline, Inc. | | | | | | | | |
3.63% due 06/15/314 | | | 18,300,000 | | | | 15,809,004 | |
Newmont Corp. | | | | | | | | |
2.60% due 07/15/32 | | | 13,000,000 | | | | 11,959,071 | |
Reliance Steel & Aluminum Co. | | | | | | | | |
2.15% due 08/15/30 | | | 12,040,000 | | | | 10,792,611 | |
Corporation Nacional del Cobre de Chile | | | | | | | | |
3.75% due 01/15/314 | | | 10,430,000 | | | | 10,438,614 | |
INEOS Quattro Finance 2 plc | | | | | | | | |
2.50% due 01/15/26 | | | EUR 8,500,000 | | | | 8,869,647 | |
Steel Dynamics, Inc. | | | | | | | | |
2.40% due 06/15/25 | | | 5,950,000 | | | | 5,751,688 | |
Nucor Corp. | | | | | | | | |
2.00% due 06/01/25 | | | 5,000,000 | | | | 4,839,921 | |
Carpenter Technology Corp. | | | | | | | | |
6.38% due 07/15/28 | | | 2,125,000 | | | | 2,133,606 | |
Southern Copper Corp. | | | | | | | | |
7.50% due 07/27/35 | | | 1,150,000 | | | | 1,480,786 | |
WR Grace Holdings LLC | | | | | | | | |
4.88% due 06/15/274 | | | 925,000 | | | | 905,067 | |
Sherwin-Williams Co. | | | | | | | | |
2.75% due 06/01/22 | | | 220,000 | | | | 220,290 | |
Total Basic Materials | | | 282,359,127 | |
| | | | | | | | | |
Utilities - 1.0% |
Cheniere Corpus Christi Holdings LLC | | | | | | | | |
3.52% due 12/31/39††† | | | 97,100,000 | | | | 89,030,307 | |
AES Corp. | | | | | | | | |
3.95% due 07/15/304 | | | 27,890,000 | | | | 27,629,413 | |
3.30% due 07/15/254 | | | 3,750,000 | | | | 3,679,125 | |
NRG Energy, Inc. | | | | | | | | |
2.45% due 12/02/274 | | | 26,000,000 | | | | 23,979,894 | |
Arizona Public Service Co. | | | | | | | | |
3.35% due 05/15/50 | | | 23,140,000 | | | | 20,130,636 | |
Enel Finance International N.V. | | | | | | | | |
2.88% due 07/12/414 | | | 19,800,000 | | | | 16,316,828 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Alexander Funding Trust | | | | | | | | |
1.84% due 11/15/234 | | | 14,400,000 | | | $ | 13,957,641 | |
Xcel Energy, Inc. | | | | | | | | |
2.35% due 11/15/31 | | | 11,610,000 | | | | 10,555,214 | |
Clearway Energy Operating LLC | | | | | | | | |
3.75% due 02/15/314 | | | 11,150,000 | | | | 10,426,309 | |
ONE Gas, Inc. | | | | | | | | |
0.85% due 03/11/23 | | | 1,620,000 | | | | 1,597,897 | |
NiSource, Inc. | | | | | | | | |
5.65% due 02/01/45 | | | 1,370,000 | | | | 1,552,757 | |
Progress Energy, Inc. | | | | | | | | |
6.00% due 12/01/39 | | | 1,290,000 | | | | 1,536,749 | |
Entergy Texas, Inc. | | | | | | | | |
1.50% due 09/01/26 | | | 1,650,000 | | | | 1,513,120 | |
Nevada Power Co. | | | | | | | | |
6.65% due 04/01/36 | | | 1,180,000 | | | | 1,508,774 | |
Southern Power Co. | | | | | | | | |
5.25% due 07/15/43 | | | 1,350,000 | | | | 1,444,439 | |
Consolidated Edison Company of New York, Inc. | | | | | | | | |
5.10% due 06/15/33 | | | 1,080,000 | | | | 1,184,173 | |
Oncor Electric Delivery Company LLC | | | | | | | | |
7.00% due 05/01/32 | | | 850,000 | | | | 1,095,154 | |
Dominion Energy, Inc. | | | | | | | | |
1.36% (3 Month USD LIBOR + 0.53%, Rate Floor: 0.00%) due 09/15/23◊ | | | 1,030,000 | | | | 1,028,131 | |
Atmos Energy Corp. | | | | | | | | |
0.63% due 03/09/23 | | | 800,000 | | | | 788,104 | |
OGE Energy Corp. | | | | | | | | |
0.70% due 05/26/23 | | | 360,000 | | | | 352,685 | |
Total Utilities | | | 229,307,350 | |
| | | | | | | | | |
Financial Institutions - 0.2% |
CBS Studio Center | | | | | | | | |
3.06% (30 Day Average SOFR + 3.00%, Rate Floor: 3.00%) due 01/09/24◊,††† | | | 34,100,000 | | | | 34,167,035 | |
Bain Capital, LP | | | | | | | | |
3.72% due 04/15/42††† | | | 20,300,000 | | | | 18,406,135 | |
Total Financial Institutions | | | 52,573,170 | |
| | | | | | | | | |
Total Corporate Bonds |
(Cost $10,394,906,117) | | | 9,726,068,456 | |
| | | | | |
ASSET-BACKED SECURITIES†† - 22.3% |
Collateralized Loan Obligations - 14.3% |
LCCM Trust | | | | | | | | |
2021-FL3, 1.85% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,4 | | | 98,500,000 | | | | 97,450,039 | |
2021-FL3, 2.20% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/15/38◊,4 | | | 36,950,000 | | | | 36,395,621 | |
2021-FL3, 2.60% (1 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 11/15/38◊,4 | | | 20,750,000 | | | | 20,388,686 | |
LoanCore Issuer Ltd. | | | | | | | | |
2021-CRE6, 2.09% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 11/15/38◊,4 | | | 44,000,000 | | | | 43,489,855 | |
2021-CRE4, 1.86% (30 Day Average SOFR + 1.81%, Rate Floor: 1.70%) due 07/15/35◊,4 | | | 25,982,000 | | | | 25,523,566 | |
2021-CRE6, 2.49% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 11/15/38◊,4 | | | 22,825,000 | | | | 22,336,960 | |
2019-CRE2, 1.90% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,4 | | | 19,984,000 | | | | 19,939,410 | |
28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
2021-CRE5, 3.19% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/15/36◊,4 | | | 14,350,000 | | | $ | 14,101,982 | |
2019-CRE2, 2.10% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 05/15/36◊,8 | | | 11,575,000 | | | | 11,474,649 | |
2021-CRE4, 2.66% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/35◊,8 | | | 5,600,000 | | | | 5,506,861 | |
2019-CRE3, 1.45% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 04/15/34◊,8 | | | 4,983,336 | | | | 4,968,234 | |
2019-CRE3, 2.00% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/15/34◊,8 | | | 4,410,000 | | | | 4,359,543 | |
BXMT Ltd. | | | | | | | | |
2020-FL2, 1.07% (30 Day Average SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,4 | | | 76,225,000 | | | | 75,504,597 | |
2020-FL3, 1.92% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 11/15/37◊,4 | | | 23,550,000 | | | | 23,334,541 | |
2020-FL3, 2.72% (30 Day Average SOFR + 2.66%, Rate Floor: 2.55%) due 11/15/37◊,4 | | | 16,125,000 | | | | 15,911,940 | |
2020-FL2, 1.57% (30 Day Average SOFR + 1.51%, Rate Floor: 1.40%) due 02/15/38◊,4 | | | 16,000,000 | | | | 15,852,533 | |
2020-FL3, 2.32% (30 Day Average SOFR + 2.26%, Rate Floor: 2.15%) due 11/15/37◊,8 | | | 10,600,000 | | | | 10,514,223 | |
2020-FL2, 1.82% (30 Day Average SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/38◊,8 | | | 5,360,000 | | | | 5,241,734 | |
2020-FL2, 1.32% (30 Day Average SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38◊,8 | | | 5,200,000 | | | | 5,118,804 | |
Cerberus Loan Funding XXX, LP | | | | | | | | |
2020-3A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,4 | | | 100,000,000 | | | | 100,448,130 | |
2020-3A, 2.74% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/15/33◊,4 | | | 10,200,000 | | | | 10,278,878 | |
HERA Commercial Mortgage Ltd. | | | | | | | | |
2021-FL1, 2.07% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/38◊,4 | | | 49,562,000 | | | | 48,715,972 | |
2021-FL1, 1.77% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/18/38◊,4 | | | 28,000,000 | | | | 27,524,423 | |
2021-FL1, 2.42% (1 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 02/18/38◊,4 | | | 19,200,000 | | | | 18,615,045 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
2021-FL1, 1.52% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/38◊,8 | | | 10,000,000 | | | $ | 9,876,355 | |
Cerberus Loan Funding XXXII, LP | | | | | | | | |
2021-2A, 1.86% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,4 | | | 65,000,000 | | | | 64,799,962 | |
2021-2A, 3.09% (3 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 04/22/33◊,4 | | | 20,925,000 | | | | 20,843,108 | |
2021-2A, 2.14% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/22/33◊,4 | | | 19,200,000 | | | | 18,912,889 | |
Golub Capital Partners CLO 33M Ltd. | | | | | | | | |
2021-33A, 2.36% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,4 | | | 104,600,000 | | | | 104,549,478 | |
Woodmont Trust | | | | | | | | |
2020-7A, 2.14% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,4 | | | 83,000,000 | | | | 83,345,488 | |
2020-7A, 2.84% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/32◊,4 | | | 13,500,000 | | | | 13,602,781 | |
2020-7A, 2.49% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/32◊,4 | | | 7,000,000 | | | | 7,055,050 | |
Palmer Square Loan Funding Ltd. | | | | | | | | |
2022-1A, 1.74% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,4 | | | 23,000,000 | | | | 23,000,000 | |
2021-3A, 2.00% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/20/29◊,4 | | | 22,500,000 | | | | 22,046,252 | |
2021-1A, 1.50% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/29◊,4 | | | 19,000,000 | | | | 18,807,997 | |
2021-2A, 1.88% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/29◊,4 | | | 10,500,000 | | | | 10,255,708 | |
2021-1A, 2.05% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/29◊,4 | | | 7,100,000 | | | | 7,059,867 | |
2019-3A, 1.33% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/27◊,4 | | | 6,917,247 | | | | 6,888,685 | |
2021-2A, 2.88% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 05/20/29◊,4 | | | 7,000,000 | | | | 6,742,835 | |
MidOcean Credit CLO VII | | | | | | | | |
2020-7A, 1.28% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/29◊,4 | | | 48,940,008 | | | | 48,709,643 | |
30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
2020-7A, 1.84% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/15/29◊,4 | | | 27,500,000 | | | $ | 27,233,286 | |
2020-7A, 1.69% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 07/15/29◊,4 | | | 14,800,000 | | | | 14,676,037 | |
Venture XIV CLO Ltd. | | | | | | | | |
2020-14A, 1.54% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/29◊,4 | | | 67,164,167 | | | | 66,794,428 | |
2020-14A, 2.76% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/28/29◊,4 | | | 22,725,000 | | | | 22,371,369 | |
ABPCI Direct Lending Fund CLO II LLC | | | | | | | | |
2021-1A, 1.85% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,4 | | | 83,450,000 | | | | 83,458,370 | |
Cerberus Loan Funding XXXI, LP | | | | | | | | |
2021-1A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,4 | | | 70,250,000 | | | | 69,978,659 | |
2021-1A, 2.84% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 04/15/32◊,4 | | | 12,000,000 | | | | 11,867,809 | |
KREF Funding V LLC | | | | | | | | |
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,††† | | | 75,718,482 | | | | 75,246,709 | |
0.15% due 06/25/26†††,10 | | | 313,636,364 | | | | 153,682 | |
Golub Capital Partners CLO 36M Ltd. | | | | | | | | |
2018-36A, 1.62% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,4 | | | 76,300,000 | | | | 75,178,436 | |
GPMT Ltd. | | | | | | | | |
2019-FL2, 2.05% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/22/36◊,4 | | | 24,300,000 | | | | 24,179,943 | |
2019-FL2, 2.80% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 02/22/36◊,4 | | | 21,400,000 | | | | 21,267,517 | |
2019-FL2, 2.35% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 02/22/36◊,8 | | | 12,750,000 | | | | 12,685,203 | |
2019-FL2, 1.47% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/36◊,8 | | | 9,272,738 | | | | 9,242,810 | |
ABPCI Direct Lending Fund CLO V Ltd. | | | | | | | | |
2021-5A, 1.75% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,4 | | | 50,650,000 | | | | 50,336,841 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
2021-5A, 2.15% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/31◊,4 | | | 15,975,000 | | | $ | 15,980,122 | |
THL Credit Lake Shore MM CLO I Ltd. | | | | | | | | |
2021-1A, 1.94% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,4 | | | 33,500,000 | | | | 33,577,382 | |
2021-1A, 2.24% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/15/33◊,4 | | | 30,400,000 | | | | 30,416,416 | |
ABPCI Direct Lending Fund CLO I LLC | | | | | | | | |
2021-1A, 1.95% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,4 | | | 59,500,000 | | | | 59,745,503 | |
2021-1A, 2.25% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/20/33◊,4 | | | 2,500,000 | | | | 2,505,783 | |
ABPCI Direct Lending Fund IX LLC | | | | | | | | |
2021-9A, 1.67% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/18/31◊,4 | | | 34,150,000 | | | | 33,553,806 | |
2021-9A, 2.07% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/18/31◊,4 | | | 26,000,000 | | | | 25,574,559 | |
Cerberus Loan Funding XXVI, LP | | | | | | | | |
2021-1A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,4 | | | 55,700,000 | | | | 55,417,116 | |
2021-1A, 2.14% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/31◊,4 | | | 3,250,000 | | | | 3,254,928 | |
CHCP Ltd. | | | | | | | | |
2021-FL1, 1.22% (30 Day Average SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,4 | | | 28,000,000 | | | | 27,836,435 | |
2021-FL1, 1.47% (30 Day Average SOFR + 1.41%, Rate Floor: 1.30%) due 02/15/38◊,4 | | | 22,250,000 | | | | 21,884,408 | |
2021-FL1, 1.82% (30 Day Average SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/38◊,8 | | | 5,900,000 | | | | 5,798,920 | |
2021-FL1, 2.27% (30 Day Average SOFR + 2.21%, Rate Floor: 2.10%) due 02/15/38◊,8 | | | 2,950,000 | | | | 2,884,350 | |
ABPCI Direct Lending Fund CLO IV LLC | | | | | | | | |
2.12% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/06/29◊,††† | | | 53,500,000 | | | | 53,560,172 | |
32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
FS Rialto | | | | | | | | |
2021-FL3, 2.48% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 11/16/36◊,4 | | | 31,150,000 | | | $ | 30,189,926 | |
2021-FL2, 2.48% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 05/16/38◊,4 | | | 15,665,000 | | | | 15,469,045 | |
2021-FL3, 2.23% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/36◊,8 | | | 8,000,000 | | | | 7,861,380 | |
Owl Rock CLO IV Ltd. | | | | | | | | |
2021-4A, 2.08% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,4 | | | 36,500,000 | | | | 36,532,379 | |
2021-4A, 2.38% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/20/33◊,4 | | | 16,750,000 | | | | 16,692,358 | |
Fortress Credit Opportunities IX CLO Ltd. | | | | | | | | |
2021-9A, 1.92% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/33◊,4 | | | 46,200,000 | | | | 46,145,110 | |
2021-9A, 2.07% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 10/15/33◊,4 | | | 6,700,000 | | | | 6,691,569 | |
Wellfleet CLO Ltd. | | | | | | | | |
2020-2A, 1.31% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/29◊,4 | | | 49,919,985 | | | | 49,725,442 | |
2018-2A, 1.83% (3 Month USD LIBOR + 1.58%, Rate Floor: 1.58%) due 10/20/28◊,4 | | | 2,500,000 | | | | 2,483,681 | |
ABPCI Direct Lending Fund CLO VII, LP | | | | | | | | |
2021-7A, 1.70% (3 Month USD LIBOR + 1.43%, Rate Floor: 1.43%) due 10/20/31◊,4 | | | 39,500,000 | | | | 39,158,349 | |
2021-7A, 2.12% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 10/20/31◊,4 | | | 8,250,000 | | | | 8,134,946 | |
Fortress Credit Opportunities XI CLO Ltd. | | | | | | | | |
2018-11A, 1.54% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,4 | | | 44,300,000 | | | | 43,606,262 | |
2018-11A, 2.74% (3 Month USD LIBOR + 2.50%, Rate Floor: 0.00%) due 04/15/31◊,4 | | | 2,300,000 | | | | 2,275,383 | |
Cerberus Loan Funding XXXIII, LP | | | | | | | | |
2021-3A, 1.80% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/33◊,4 | | | 32,000,000 | | | | 31,818,928 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
2021-3A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,4 | | | 9,500,000 | | | $ | 9,340,646 | |
GoldenTree Loan Management US CLO 1 Ltd. | | | | | | | | |
2021-9A, 1.75% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/20/33◊,4 | | | 35,900,000 | | | | 35,394,043 | |
2021-9A, 2.05% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/33◊,4 | | | 3,900,000 | | | | 3,804,151 | |
Cerberus Loan Funding XXXV, LP | | | | | | | | |
2021-5A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/33◊,4 | | | 30,750,000 | | | | 30,397,258 | |
2021-5A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 09/22/33◊,4 | | | 8,000,000 | | | | 7,850,337 | |
ACRES Commercial Realty Ltd. | | | | | | | | |
2021-FL1, 2.44% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/15/36◊,4 | | | 13,092,000 | | | | 12,879,993 | |
2021-FL1, 3.09% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/36◊,8 | | | 11,750,000 | | | | 11,366,514 | |
2021-FL2, 2.69% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/37◊,8 | | | 10,100,000 | | | | 9,925,223 | |
2021-FL2, 2.19% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 01/15/37◊,8 | | | 3,500,000 | | | | 3,440,230 | |
LCM XXIV Ltd. | | | | | | | | |
2021-24A, 1.65% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 03/20/30◊,4 | | | 24,200,000 | | | | 23,882,832 | |
2021-24A, 2.15% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 03/20/30◊,4 | | | 13,050,000 | | | | 12,754,844 | |
Golub Capital Partners CLO 16 Ltd. | | | | | | | | |
2021-16A, 1.87% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,4 | | | 26,750,000 | | | | 26,628,448 | |
2021-16A, 2.06% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/25/33◊,4 | | | 9,000,000 | | | | 9,041,676 | |
Golub Capital Partners CLO 49M Ltd. | | | | | | | | |
2021-49A, 2.15% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/26/33◊,4 | | | 21,695,000 | | | | 21,571,913 | |
2021-49A, 2.85% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 08/26/33◊,4 | | | 12,600,000 | | | | 12,308,515 | |
34 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Madison Park Funding XLVIII Ltd. | | | | | | | | |
2021-48A, 1.70% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,4 | | | 27,500,000 | | | $ | 27,125,271 | |
2021-48A, 2.25% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/19/33◊,4 | | | 5,900,000 | | | | 5,877,727 | |
BDS Ltd. | | | | | | | | |
2021-FL9, 2.37% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 11/16/38◊,4 | | | 19,500,000 | | | | 18,775,107 | |
2020-FL5, 1.97% (30 Day Average SOFR + 1.91%, Rate Floor: 1.80%) due 02/16/37◊,8 | | | 4,400,000 | | | | 4,381,529 | |
2021-FL9, 2.72% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 11/16/38◊,8 | | | 4,400,000 | | | | 4,172,120 | |
2020-FL5, 1.52% (30 Day Average SOFR + 1.46%, Rate Floor: 1.35%) due 02/16/37◊,8 | | | 3,200,000 | | | | 3,155,227 | |
BCC Middle Market CLO LLC | | | | | | | | |
2021-1A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,4 | | | 30,450,000 | | | | 30,070,590 | |
Golub Capital Partners CLO 17 Ltd. | | | | | | | | |
2017-17A, 1.91% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,4 | | | 29,900,000 | | | | 29,904,120 | |
Diamond CLO Ltd. | | | | | | | | |
2021-1A, 1.71% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/25/29◊,4 | | | 23,825,000 | | | | 23,814,055 | |
2021-1A, 2.66% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/25/29◊,4 | | | 2,300,000 | | | | 2,293,358 | |
2021-1A, 1.96% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/25/29◊,4 | | | 2,150,000 | | | | 2,146,720 | |
2018-1A, 1.76% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 07/22/30◊,4 | | | 74,873 | | | | 74,862 | |
Neuberger Berman Loan Advisers CLO 40 Ltd. | | | | | | | | |
2021-40A, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/16/33◊,4 | | | 26,700,000 | | | | 26,257,333 | |
2021-40A, 1.99% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/16/33◊,4 | | | 2,000,000 | | | | 1,953,171 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
OCP CLO Ltd. | | | | | | | | |
2020-4A, 1.71% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/24/29◊,4 | | | 25,500,000 | | | $ | 25,340,107 | |
BSPDF Issuer Ltd. | | | | | | | | |
2021-FL1, 2.44% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/15/36◊,4 | | | 15,300,000 | | | | 14,943,987 | |
2021-FL1, 1.99% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/36◊,8 | | | 6,500,000 | | | | 6,434,439 | |
2021-FL1, 2.94% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/15/36◊,8 | | | 3,500,000 | | | | 3,390,293 | |
STWD Ltd. | | | | | | | | |
2019-FL1, 2.02% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 07/15/38◊,8 | | | 11,210,000 | | | | 11,106,264 | |
2019-FL1, 2.37% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 07/15/38◊,8 | | | 8,800,000 | | | | 8,647,500 | |
2021-FL2, 2.57% (1 Month USD LIBOR + 2.10%, Rate Floor: 2.10%) due 04/18/38◊,8 | | | 2,820,000 | | | | 2,745,222 | |
2019-FL1, 1.82% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 07/15/38◊,8 | | | 2,200,000 | | | | 2,188,635 | |
Madison Park Funding LIII Ltd. | | | | | | | | |
2022-53A, 1.94% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,4 | | | 24,000,000 | | | | 23,924,904 | |
Magnetite XXIX Ltd. | | | | | | | | |
2021-29A, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/15/34◊,4 | | | 15,100,000 | | | | 14,888,398 | |
2021-29A, 1.89% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 01/15/34◊,4 | | | 7,700,000 | | | | 7,586,014 | |
Marathon CLO V Ltd. | | | | | | | | |
2017-5A, 1.93% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/27◊,4 | | | 18,020,137 | | | | 17,964,626 | |
2017-5A, 1.35% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,4 | | | 4,108,715 | | | | 4,101,145 | |
Apres Static CLO Ltd. | | | | | | | | |
2020-1A, 1.94% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/15/28◊,4 | | | 21,750,000 | | | | 21,697,900 | |
Voya CLO Ltd. | | | | | | | | |
2020-1A, 1.30% (3 Month USD LIBOR + 1.06%, Rate Floor: 1.06%) due 04/15/31◊,4 | | | 18,850,000 | | | | 18,707,569 | |
2013-1A, due 10/15/304,11 | | | 10,575,071 | | | | 2,775,956 | |
36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
NewStar Fairfield Fund CLO Ltd. | | | | | | | | |
2018-2A, 1.52% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/30◊,4 | | | 21,171,638 | | | $ | 21,094,061 | |
Golub Capital Partners CLO 54M L.P | | | | | | | | |
2021-54A, 2.17% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 08/05/33◊,4 | | | 21,000,000 | | | | 20,825,862 | |
Allegro CLO IX Ltd. | | | | | | | | |
2018-3A, 1.41% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/31◊,4 | | | 20,400,000 | | | | 20,306,407 | |
Avery Point VI CLO Ltd. | | | | | | | | |
2021-6A, 2.12% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 08/05/27◊,4 | | | 12,100,000 | | | | 12,012,116 | |
2021-6A, 1.67% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/05/27◊,4 | | | 8,000,000 | | | | 7,947,001 | |
Recette CLO Ltd. | | | | | | | | |
2021-1A, 1.65% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 04/20/34◊,4 | | | 9,800,000 | | | | 9,608,922 | |
2021-1A, 2.00% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 04/20/34◊,4 | | | 9,200,000 | | | | 8,914,617 | |
Anchorage Capital CLO 6 Ltd. | | | | | | | | |
2021-6A, 2.44% (3 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 07/15/30◊,4 | | | 18,585,000 | | | | 18,510,169 | |
AMMC CLO XIV Ltd. | | | | | | | | |
2021-14A, 1.66% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/29◊,4 | | | 18,290,000 | | | | 18,090,438 | |
Neuberger Berman Loan Advisers CLO 32 Ltd. | | | | | | | | |
2021-32A, 1.65% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/20/32◊,4 | | | 14,100,000 | | | | 13,897,004 | |
2021-32A, 1.95% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 01/20/32◊,4 | | | 4,200,000 | | | | 4,110,360 | |
Owl Rock CLO VI Ltd. | | | | | | | | |
2021-6A, 1.87% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/21/32◊,4 | | | 17,450,000 | | | | 17,402,838 | |
BSPRT Issuer Ltd. | | | | | | | | |
2021-FL7, 2.70% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 12/15/38◊,8 | | | 7,250,000 | | | | 7,095,056 | |
2021-FL6, 2.45% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/36◊,8 | | | 5,550,000 | | | | 5,379,961 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
2021-FL7, 2.45% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 12/15/38◊,8 | | | 4,875,000 | | | $ | 4,820,210 | |
Cerberus Loan Funding XXXVI, LP | | | | | | | | |
2021-6A, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,4 | | | 16,529,834 | | | | 16,442,185 | |
KREF | | | | | | | | |
2021-FL2, 2.44% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/39◊,4 | | | 16,600,000 | | | | 16,053,520 | |
Owl Rock CLO II Ltd. | | | | | | | | |
2021-2A, 1.80% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/33◊,4 | | | 15,600,000 | | | | 15,526,496 | |
Dryden 36 Senior Loan Fund | | | | | | | | |
2020-36A, 2.29% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/15/29◊,4 | | | 15,200,000 | | | | 15,041,938 | |
Golub Capital Partners CLO 25M Ltd. | | | | | | | | |
2018-25A, 1.70% (3 Month USD LIBOR + 1.38%, Rate Floor: 1.38%) due 05/05/30◊,4 | | | 14,537,000 | | | | 14,406,812 | |
Denali Capital CLO XI Ltd. | | | | | | | | |
2018-1A, 1.38% (3 Month USD LIBOR + 1.13%, Rate Floor: 0.00%) due 10/20/28◊,4 | | | 14,411,578 | | | | 14,392,605 | |
Octagon Investment Partners 49 Ltd. | | | | | | | | |
2021-5A, 1.79% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/33◊,4 | | | 12,800,000 | | | | 12,659,612 | |
Greystone Commercial Real Estate Notes | | | | | | | | |
2021-FL3, 2.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/39◊,8 | | | 12,000,000 | | | | 11,638,828 | |
Neuberger Berman CLO XVI-S Ltd. | | | | | | | | |
2021-16SA, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/34◊,4 | | | 10,200,000 | | | | 10,005,022 | |
Lake Shore MM CLO III LLC | | | | | | | | |
2021-2A, 1.72% (3 Month USD LIBOR + 1.48%, Rate Floor: 1.48%) due 10/17/31◊,4 | | | 10,000,000 | | | | 9,921,166 | |
Golub Capital Partners CLO 54M, LP | | | | | | | | |
2021-54A, 1.85% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/33◊,4 | | | 10,000,000 | | | | 9,921,018 | |
Shackleton CLO Ltd. | | | | | | | | |
2017-8A, 1.55% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 10/20/27◊,4 | | | 5,510,000 | | | | 5,454,900 | |
38 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
2017-8A, 1.17% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/27◊,4 | | | 3,724,805 | | | $ | 3,707,871 | |
Treman Park CLO Ltd. | | | | | | | | |
2015-1A, due 10/20/284,11 | | | 13,600,000 | | | | 8,962,416 | |
Neuberger Berman Loan Advisers CLO 47 Ltd. | | | | | | | | |
2022-47A, 1.97% (3 Month Term SOFR + 1.80%, Rate Floor: 1.80%) due 04/14/35◊,4 | | | 9,000,000 | | | | 8,912,813 | |
Telos CLO Ltd. | | | | | | | | |
2017-6A, 1.99% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 01/17/27◊,4 | | | 8,738,368 | | | | 8,738,278 | |
Boyce Park CLO Ltd. | | | | | | | | |
2022-1A, 2.37% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,4 | | | 8,800,000 | | | | 8,690,787 | |
Dryden 37 Senior Loan Fund | | | | | | | | |
2015-37A, due 01/15/314,11 | | | 10,000,000 | | | | 8,209,444 | |
ACRE Commercial Mortgage Ltd. | | | | | | | | |
2021-FL4, 1.87% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 12/18/37◊,8 | | | 3,100,000 | | | | 3,049,737 | |
2021-FL4, 1.89% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 12/18/37◊,8 | | | 3,100,000 | | | | 3,038,604 | |
HGI CRE CLO Ltd. | | | | | | | | |
2021-FL2, 1.93% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/17/36◊,8 | | | 5,000,000 | | | | 4,864,500 | |
2021-FL2, 2.23% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 09/17/36◊,8 | | | 1,000,000 | | | | 983,160 | |
Owl Rock CLO I Ltd. | | | | | | | | |
2019-1A, 2.28% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 05/20/31◊,4 | | | 5,650,000 | | | | 5,652,857 | |
GoldenTree Loan Opportunities IX Ltd. | | | | | | | | |
2018-9A, 1.41% (3 Month USD LIBOR + 1.11%, Rate Floor: 1.11%) due 10/29/29◊,4 | | | 5,016,093 | | | | 4,996,862 | |
VOYA CLO | | | | | | | | |
2021-2A, 2.39% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 06/07/30◊,4 | | | 4,950,000 | | | | 4,893,005 | |
Atlas Senior Loan Fund III Ltd. | | | | | | | | |
2017-1A, 1.77% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 11/17/27◊,4 | | | 4,300,000 | | | | 4,254,441 | |
Northwoods Capital XII-B Ltd. | | | | | | | | |
2018-12BA, 2.68% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 06/15/31◊,4 | | | 4,000,000 | | | | 3,969,339 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
BRSP Ltd. | | | | | | | | |
2021-FL1, 3.15% (1 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 08/19/38◊,8 | | | 3,800,000 | | | $ | 3,765,274 | |
MF1 Multifamily Housing Mortgage Loan Trust | | | | | | | | |
2021-FL6, 3.02% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/36◊,8 | | | 3,800,000 | | | | 3,739,565 | |
Carlyle Global Market Strategies CLO Ltd. | | | | | | | | |
2012-3A, due 01/14/324,11 | | | 8,920,000 | | | | 3,624,196 | |
TRTX Issuer Ltd. | | | | | | | | |
2019-FL3, 1.32% (30 Day Average SOFR + 1.26%, Rate Floor: 1.15%) due 10/15/34◊,8 | | | 1,934,453 | | | | 1,914,878 | |
2019-FL3, 1.92% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 10/15/34◊,8 | | | 1,500,000 | | | | 1,491,530 | |
Allegro CLO VII Ltd. | | | | | | | | |
2018-1A, 2.14% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 06/13/31◊,4 | | | 2,500,000 | | | | 2,450,000 | |
TICP CLO III-2 Ltd. | | | | | | | | |
2018-3R, 1.09% (3 Month USD LIBOR + 0.84%, Rate Floor: 0.84%) due 04/20/28◊,4 | | | 2,383,358 | | | | 2,370,627 | |
Halcyon Loan Advisors Funding Ltd. | | | | | | | | |
2017-3A, 1.14% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/27◊,4 | | | 2,355,275 | | | | 2,354,418 | |
Newfleet CLO Ltd. | | | | | | | | |
2018-1A, 1.20% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,4 | | | 1,337,756 | | | | 1,334,109 | |
KVK CLO Ltd. | | | | | | | | |
2017-1A, 1.14% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/28◊,4 | | | 905,465 | | | | 904,840 | |
Oaktree CLO Ltd. | | | | | | | | |
2017-1A, 1.12% (3 Month USD LIBOR + 0.87%) due 10/20/27◊,4 | | | 781,416 | | | | 780,202 | |
Venture XIII CLO Ltd. | | | | | | | | |
2013-13A, due 09/10/294,11 | | | 3,700,000 | | | | 508,750 | |
Great Lakes CLO Ltd. | | | | | | | | |
2014-1A, due 10/15/294,11 | | | 461,538 | | | | 291,178 | |
Atlas Senior Loan Fund IX Ltd. | | | | | | | | |
2018-9A, due 04/20/284,11 | | | 1,200,000 | | | | 161,640 | |
Babson CLO Ltd. | | | | | | | | |
2014-IA, due 07/20/254,11 | | | 1,300,000 | | | | 130,520 | |
Avery Point II CLO Ltd. | | | | | | | | |
2013-3X COM, due 01/18/2511 | | | 2,269,464 | | | | 44,935 | |
OHA Credit Partners IX Ltd. | | | | | | | | |
2013-9A, due 10/20/254,11 | | | 1,808,219 | | | | 2,025 | |
40 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Copper River CLO Ltd. | | | | | | | | |
2007-1A, due 01/20/218,11 | | | 1,500,000 | | | $ | 300 | |
Total Collateralized Loan Obligations | | | 3,450,241,078 | |
| | | | | | | | | |
Financial - 2.1% |
HV Eight LLC | | | | | | | | |
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25◊,††† | | | EUR 107,000,000 | | | | 118,224,124 | |
Strategic Partners Fund VIII LP | | | | | | | | |
3.45% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/10/25◊,††† | | | 51,900,000 | | | | 51,873,386 | |
2.95% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/10/25◊,††† | | | 21,900,000 | | | | 21,887,166 | |
Madison Avenue Secured Funding Trust Series | | | | | | | | |
2021-1, 1.96% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,4 | | | 70,150,000 | | | | 70,150,000 | |
Station Place Securitization Trust | | | | | | | | |
2021-SP1, 1.93% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22◊,†††,4 | | | 42,600,000 | | | | 42,600,000 | |
HarbourVest Structured Solutions IV Holdings, LP | | | | | | | | |
2.58% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,††† | | | 19,956,425 | | | | 19,953,930 | |
2.45% (3 Month EURIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,††† | | | EUR 11,100,000 | | | | 12,263,608 | |
Project Onyx | | | | | | | | |
2.50% (90 Day Average SOFR + 2.30%, Rate Floor: 2.30%) due 01/26/27◊,††† | | | 31,000,000 | | | | 30,899,648 | |
KKR Core Holding Company LLC | | | | | | | | |
4.00% due 08/12/31††† | | | 32,280,813 | | | | 30,555,664 | |
Oxford Finance Funding | | | | | | | | |
2020-1A, 3.10% due 02/15/284 | | | 22,718,910 | | | | 22,739,905 | |
Ceamer Finance LLC | | | | | | | | |
3.69% due 03/22/31††† | | | 23,175,174 | | | | 21,509,795 | |
Aesf Vi Verdi, LP | | | | | | | | |
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,††† | | | EUR 10,104,427 | | | | 11,166,302 | |
2.37% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,††† | | | 9,996,267 | | | | 9,999,912 | |
Nassau LLC | | | | | | | | |
2019-1, 3.98% due 08/15/344 | | | 15,238,043 | | | | 14,970,525 | |
Lightning A | | | | | | | | |
5.50% due 03/01/37††† | | | 12,694,000 | | | | 12,694,000 | |
Thunderbird A | | | | | | | | |
5.50% due 03/01/37††† | | | 11,540,000 | | | | 11,540,000 | |
Lam Trade Finance Group LLC | | | | | | | | |
2.50% due 09/29/22††† | | | 11,000,000 | | | | 10,973,460 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Industrial DPR Funding Ltd. | | | | | | | | |
2016-1A, 5.24% due 04/15/264 | | | 2,599,543 | | | $ | 2,660,861 | |
Total Financial | | | 516,662,286 | |
| | | | | | | | | |
Transport-Aircraft - 2.0% |
AASET Trust | | | | | | | | |
2021-1A, 2.95% due 11/16/414 | | | 75,652,221 | | | | 62,559,167 | |
2020-1A, 3.35% due 01/16/404 | | | 25,761,157 | | | | 22,653,293 | |
2021-2A, 2.80% due 01/15/474 | | | 24,240,607 | | | | 22,299,126 | |
2019-1, 3.84% due 05/15/394 | | | 11,427,407 | | | | 7,324,109 | |
2017-1A, 3.97% due 05/16/424 | | | 6,413,951 | | | | 5,415,521 | |
2019-2, 3.38% due 10/16/394 | | | 2,123,515 | | | | 1,685,153 | |
Castlelake Aircraft Structured Trust | | | | | | | | |
2021-1A, 3.47% due 01/15/464 | | | 63,802,082 | | | | 59,039,295 | |
Navigator Aircraft ABS Ltd. | | | | | | | | |
2021-1, 2.77% due 11/15/464 | | | 47,435,731 | | | | 43,683,119 | |
AASET US Ltd. | | | | | | | | |
2018-2A, 4.45% due 11/18/384 | | | 43,561,312 | | | | 37,565,311 | |
Lunar Structured Aircraft Portfolio Notes | | | | | | | | |
2021-1, 2.64% due 10/15/464 | | | 38,224,517 | | | | 35,007,289 | |
Sprite Ltd. | | | | | | | | |
2021-1, 3.75% due 11/15/464 | | | 36,654,660 | | | | 33,768,428 | |
KDAC Aviation Finance Ltd. | | | | | | | | |
2017-1A, 4.21% due 12/15/424 | | | 30,771,989 | | | | 26,936,495 | |
Sapphire Aviation Finance II Ltd. | | | | | | | | |
2020-1A, 3.23% due 03/15/404 | | | 29,829,981 | | | | 26,901,948 | |
Sapphire Aviation Finance I Ltd. | | | | | | | | |
2018-1A, 4.25% due 03/15/404 | | | 28,644,612 | | | | 24,553,078 | |
MAPS Ltd. | | | | | | | | |
2018-1A, 4.21% due 05/15/434 | | | 19,909,064 | | | | 18,616,484 | |
WAVE LLC | | | | | | | | |
2019-1, 3.60% due 09/15/444 | | | 20,358,794 | | | | 17,949,143 | |
Castlelake Aircraft Securitization Trust | | | | | | | | |
2018-1, 4.13% due 06/15/434 | | | 17,601,050 | | | | 16,233,501 | |
2016-1, 4.45% due 08/15/41 | | | 205,701 | | | | 197,505 | |
Falcon Aerospace Ltd. | | | | | | | | |
2019-1, 3.60% due 09/15/394 | | | 12,402,520 | | | | 11,183,333 | |
2017-1, 4.58% due 02/15/424 | | | 5,073,311 | | | | 4,911,003 | |
Raspro Trust | | | | | | | | |
2005-1A, 1.18% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,4 | | | 6,212,574 | | | | 6,183,216 | |
Slam Ltd. | | | | | | | | |
2021-1A, 3.42% due 06/15/464 | | | 1,429,650 | | | | 1,315,259 | |
Stripes Aircraft Ltd. | | | | | | | | |
2013-1 A1, 3.95% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/20/23◊,††† | | | 317,788 | | | | 309,979 | |
42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Airplanes Pass Through Trust | | | | | | | | |
2001-1A, due 03/15/19◊,†††,9 | | | 409,604 | | | $ | 4 | |
Total Transport-Aircraft | | | 486,290,759 | |
| | | | | | | | | |
Whole Business - 1.3% |
Arbys Funding LLC | | | | | | | | |
2020-1A, 3.24% due 07/30/504 | | | 96,086,750 | | | | 91,653,499 | |
SERVPRO Master Issuer LLC | | | | | | | | |
2021-1A, 2.39% due 04/25/514 | | | 30,072,750 | | | | 27,041,778 | |
2022-1A, 3.13% due 01/25/524 | | | 23,500,000 | | | | 21,823,157 | |
Taco Bell Funding LLC | | | | | | | | |
2021-1A, 2.29% due 08/25/514 | | | 23,511,075 | | | | 20,963,415 | |
2016-1A, 4.97% due 05/25/464 | | | 14,620,875 | | | | 14,866,915 | |
ServiceMaster Funding LLC | | | | | | | | |
2020-1, 3.34% due 01/30/514 | | | 29,007,000 | | | | 26,229,377 | |
2020-1, 2.84% due 01/30/514 | | | 9,702,000 | | | | 8,784,909 | |
Wingstop Funding LLC | | | | | | | | |
2020-1A, 2.84% due 12/05/504 | | | 25,372,500 | | | | 23,532,385 | |
2022-1A, 3.73% due 03/05/524 | | | 10,300,000 | | | | 9,862,012 | |
Domino’s Pizza Master Issuer LLC | | | | | | | | |
2017-1A, 4.12% due 07/25/474 | | | 10,320,000 | | | | 10,233,993 | |
2021-1A, 3.15% due 04/25/514 | | | 9,261,018 | | | | 8,448,400 | |
Wendy’s Funding LLC | | | | | | | | |
2019-1A, 3.78% due 06/15/494 | | | 12,413,775 | | | | 12,255,661 | |
2019-1A, 4.08% due 06/15/494 | | | 1,536,813 | | | | 1,532,807 | |
DB Master Finance LLC | | | | | | | | |
2019-1A, 4.35% due 05/20/494 | | | 7,695,675 | | | | 7,688,680 | |
2021-1A, 2.79% due 11/20/514 | | | 6,733,125 | | | | 6,031,015 | |
Sonic Capital LLC | | | | | | | | |
2021-1A, 2.64% due 08/20/514 | | | 11,530,060 | | | | 9,800,874 | |
Applebee’s Funding LLC / IHOP Funding LLC | | | | | | | | |
2019-1A, 4.19% due 06/05/494 | | | 3,356,100 | | | | 3,330,557 | |
Total Whole Business | | | 304,079,434 | |
| | | | | | | | | |
Collateralized Debt Obligations - 0.9% |
Anchorage Credit Funding 4 Ltd. | | | | | | | | |
2021-4A, 2.72% due 04/27/394 | | | 108,450,001 | | | | 105,695,652 | |
2021-4A, 3.12% due 04/27/394 | | | 16,250,000 | | | | 15,913,313 | |
Anchorage Credit Funding 3 Ltd. | | | | | | | | |
2021-3A, 2.87% due 01/28/394 | | | 54,000,000 | | | | 51,257,869 | |
Anchorage Credit Funding Ltd. | | | | | | | | |
2021-13A, 2.88% due 07/27/394 | | | 32,850,000 | | | | 32,220,640 | |
2021-13A, 3.23% due 07/27/398 | | | 6,345,000 | | | | 6,246,403 | |
2021-13A, 3.65% due 07/27/398 | | | 1,950,000 | | | | 1,908,717 | |
Total Collateralized Debt Obligations | | | 213,242,594 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Net Lease - 0.7% |
STORE Master Funding I-VII | | | | | | | | |
2016-1A, 3.96% due 10/20/464 | | | 27,943,348 | | | $ | 27,484,845 | |
2016-1A, 4.32% due 10/20/464 | | | 11,327,857 | | | | 11,198,995 | |
Capital Automotive REIT | | | | | | | | |
2020-1A, 3.48% due 02/15/504 | | | 22,157,943 | | | | 21,505,221 | |
2021-1A, 2.76% due 08/15/514 | | | 6,600,000 | | | | 6,029,631 | |
CARS-DB4, LP | | | | | | | | |
2020-1A, 3.81% due 02/15/504 | | | 19,990,556 | | | | 19,797,987 | |
2020-1A, 3.25% due 02/15/504 | | | 3,425,410 | | | | 3,328,531 | |
CMFT Net Lease Master Issuer LLC | | | | | | | | |
2021-1, 2.91% due 07/20/514 | | | 10,050,000 | | | | 9,273,123 | |
2021-1, 3.04% due 07/20/514 | | | 5,050,000 | | | | 4,582,698 | |
2021-1, 3.44% due 07/20/514 | | | 3,215,000 | | | | 2,935,590 | |
2021-1, 2.51% due 07/20/514 | | | 3,000,000 | | | | 2,754,764 | |
Oak Street Investment Grade Net Lease Fund Series | | | | | | | | |
2020-1A, 2.26% due 11/20/504 | | | 15,000,000 | | | | 14,009,912 | |
CF Hippolyta LLC | | | | | | | | |
2020-1, 2.28% due 07/15/604 | | | 10,125,538 | | | | 9,549,376 | |
2020-1, 2.60% due 07/15/604 | | | 4,413,814 | | | | 4,059,144 | |
STORE Master Funding I LLC | | | | | | | | |
2015-1A, 4.17% due 04/20/454 | | | 9,604,930 | | | | 9,437,083 | |
New Economy Assets Phase 1 Sponsor LLC | | | | | | | | |
2021-1, 2.41% due 10/20/614 | | | 10,000,000 | | | | 9,434,337 | |
STORE Master Funding LLC | | | | | | | | |
2014-1A, 5.00% due 04/20/444 | | | 4,323,750 | | | | 4,329,427 | |
2021-1A, 3.70% due 06/20/514 | | | 3,569,564 | | | | 3,427,677 | |
Capital Automotive LLC | | | | | | | | |
2017-1A, 4.18% due 04/15/474 | | | 270,632 | | | | 270,755 | |
Total Net Lease | | | 163,409,096 | |
| | | | | | | | | |
Single Family Residence - 0.3% |
Home Partners of America Trust | | | | | | | | |
2021-2, 2.65% due 12/17/264 | | | 47,923,306 | | | | 43,811,596 | |
2021-3, 2.80% due 01/17/414 | | | 16,520,994 | | | | 15,493,206 | |
FirstKey Homes Trust | | | | | | | | |
2021-SFR1, 2.19% due 08/17/384 | | | 8,174,000 | | | | 7,421,344 | |
Tricon Residential Trust | | | | | | | | |
2021-SFR1, 2.59% due 07/17/384 | | | 7,000,000 | | | | 6,456,187 | |
Total Single Family Residence | | | 73,182,333 | |
| | | | | | | | | |
Transport-Container - 0.3% |
Textainer Marine Containers VII Ltd. | | | | | | | | |
2020-1A, 2.73% due 08/21/454 | | | 57,550,861 | | | | 55,750,445 | |
MC Ltd. | | | | | | | | |
2021-1, 2.63% due 11/05/354 | | | 11,795,014 | | | | 11,087,384 | |
Total Transport-Container | | | 66,837,829 | |
| | | | | | | | | |
Infrastructure - 0.3% |
VB-S1 Issuer LLC | | | | | | | | |
2022-1A, 4.29% due 02/15/524 | | | 40,900,000 | | | | 39,836,976 | |
44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Secured Tenant Site Contract Revenue Notes Series | | | | | | | | |
2018-1A, 3.97% due 06/15/484 | | | 21,347,510 | | | $ | 21,407,397 | |
Hotwire Funding LLC | | | | | | | | |
2021-1, 2.66% due 11/20/514 | | | 4,025,000 | | | | 3,766,987 | |
Total Infrastructure | | | 65,011,360 | |
| | | | | | | | | |
Diversified Payment Rights - 0.1% |
Bib Merchant Voucher Receivables Ltd. | | | | | | | | |
4.18% due 04/07/28††† | | | 20,679,419 | | | | 20,077,726 | |
CCR Incorporated MT100 Payment Rights Master Trust | | | | | | | | |
2012-CA, 4.75% due 07/10/224 | | | 45,238 | | | | 45,420 | |
Total Diversified Payment Rights | | | 20,123,146 | |
| | | | | | | | | |
Insurance - 0.0% |
JGWPT XXIII LLC | | | | | | | | |
2011-1A, 4.70% due 10/15/564 | | | 2,603,698 | | | | 2,751,974 | |
JGWPT XXV LLC | | | | | | | | |
2012-1A, 4.21% due 02/16/654 | | | 2,137,228 | | | | 2,230,358 | |
JGWPT XXIV LLC | | | | | | | | |
2011-2A, 4.94% due 09/15/564 | | | 1,861,141 | | | | 2,020,181 | |
JGWPT XXXI LLC | | | | | | | | |
2014-1A, 3.96% due 03/15/634 | | | 1,035,027 | | | | 1,061,055 | |
321 Henderson Receivables VI LLC | | | | | | | | |
2010-1A, 5.56% due 07/15/594 | | | 938,759 | | | | 975,630 | |
JG Wentworth XXXV LLC | | | | | | | | |
2015-2A, 3.87% due 03/15/584 | | | 35,486 | | | | 36,431 | |
Total Insurance | | | 9,075,629 | |
| | | | | | | | | |
Total Asset-Backed Securities |
(Cost $5,508,243,284) | | | 5,368,155,544 | |
U.S. GOVERNMENT SECURITIES†† - 12.9% |
U.S. Treasury Notes |
1.88% due 02/15/327 | | | 1,900,000,000 | | | | 1,824,593,750 | |
2.00% due 04/30/24 | | | 9,160,000 | | | | 9,089,869 | |
2.25% due 08/15/27 | | | 3,370,000 | | | | 3,333,667 | |
0.50% due 05/31/27 | | | 2,600,000 | | | | 2,353,000 | |
1.50% due 10/31/24 | | | 2,100,000 | | | | 2,048,812 | |
1.50% due 01/31/27 | | | 2,000,000 | | | | 1,911,250 | |
2.13% due 05/15/25 | | | 880,000 | | | | 869,275 | |
1.38% due 11/15/31 | | | 347,000 | | | | 318,373 | |
U.S. Treasury Bonds |
2.00% due 08/15/51 | | | 800,000,000 | | | | 721,750,000 | |
1.88% due 02/15/51 | | | 330,000,000 | | | | 288,350,390 | |
due 02/15/5112,13 | | | 310,000,000 | | | | 153,281,475 | |
1.88% due 11/15/51 | | | 100,000,000 | | | | 87,718,750 | |
2.88% due 08/15/45 | | | 2,630,000 | | | | 2,741,364 | |
2.38% due 11/15/49 | | | 2,300,000 | | | | 2,249,867 | |
1.38% due 08/15/50 | | | 2,450,000 | | | | 1,885,734 | |
2.75% due 11/15/42 | | | 700,000 | | | | 710,883 | |
Total U.S. Government Securities |
(Cost $3,277,701,085) | | | | | | | 3,103,206,459 | |
| | | | | | | | | |
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 12.5% |
Residential Mortgage-Backed Securities - 7.7% |
CSMC Trust | | | | | | | | |
2020-RPL5, 3.02% (WAC) due 08/25/60◊,4 | | | 81,548,848 | | | | 79,897,802 | |
2021-RPL7, 1.93% (WAC) due 07/27/61◊,4 | | | 70,085,664 | | | | 66,372,673 | |
2021-RPL4, 1.80% (WAC) due 12/27/60◊,4 | | | 46,015,603 | | | | 43,798,447 | |
2021-RPL1, 1.67% (WAC) due 09/27/60◊,4 | | | 32,433,777 | | | | 31,166,699 | |
BRAVO Residential Funding Trust | | | | | | | | |
2022-R1, 3.13% due 01/29/704,14 | | | 83,471,833 | | | | 78,934,112 | |
2021-C, 1.62% due 03/01/614,14 | | | 73,447,060 | | | | 69,214,512 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
2021-HE1, 1.60% (30 Day Average SOFR + 1.50%, Rate Floor: 0.00%) due 01/25/70◊,4 | | | 7,500,000 | | | $ | 7,446,142 | |
PRPM LLC | | | | | | | | |
2021-5, 1.79% due 06/25/264,14 | | | 71,002,776 | | | | 67,293,363 | |
2021-8, 1.74% (WAC) due 09/25/26◊,4 | | | 41,253,202 | | | | 39,093,110 | |
2022-1, 3.72% due 02/25/274,14 | | | 10,000,000 | | | | 9,822,921 | |
FKRT | | | | | | | | |
2.21% due 11/30/58†††,8 | | | 117,200,000 | | | | 112,863,560 | |
Legacy Mortgage Asset Trust | | | | | | | | |
2021-GS2, 1.75% due 04/25/614,14 | | | 45,725,503 | | | | 43,594,196 | |
2021-GS3, 1.75% due 07/25/614,14 | | | 40,265,816 | | | | 38,327,870 | |
2021-GS5, 2.25% due 07/25/674,14 | | | 26,524,133 | | | | 25,262,460 | |
Towd Point Revolving Trust | | | | | | | | |
4.83% due 09/25/648 | | | 81,500,000 | | | | 81,567,567 | |
Morgan Stanley ABS Capital I Incorporated Trust | | | | | | | | |
2006-NC5, 0.61% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/36◊ | | | 27,286,773 | | | | 16,523,598 | |
2007-HE5, 0.80% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 03/25/37◊ | | | 28,821,298 | | | | 14,785,810 | |
2006-HE6, 0.94% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 09/25/36◊ | | | 24,264,885 | | | | 10,881,629 | |
2006-HE5, 0.74% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 08/25/36◊ | | | 14,240,616 | | | | 8,558,301 | |
2006-HE4, 0.94% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 06/25/36◊ | | | 8,928,835 | | | | 5,441,087 | |
2006-HE5, 0.96% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 08/25/36◊ | | | 8,532,871 | | | | 5,108,492 | |
2007-HE2, 0.59% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 01/25/37◊ | | | 8,732,459 | | | | 4,901,265 | |
2007-HE3, 0.57% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 12/25/36◊ | | | 6,027,741 | | | | 3,716,994 | |
2007-HE6, 0.52% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/37◊ | | | 2,736,252 | | | | 2,496,462 | |
2007-NC3, 0.65% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 05/25/37◊ | | | 2,254,062 | | | | 1,901,006 | |
2007-HE3, 0.59% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/36◊,4 | | | 2,195,647 | | | | 1,542,418 | |
2006-HE6, 0.76% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 09/25/36◊ | | | 3,075,830 | | | | 1,359,391 | |
46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
LSTAR Securities Investment Ltd. | | | | | | | | |
2021-1, 2.03% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,8 | | | 43,859,265 | | | $ | 43,498,873 | |
2021-2, 1.93% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,8 | | | 28,678,838 | | | | 28,473,282 | |
OSAT Trust | | | | | | | | |
2021-RPL1, 2.12% due 05/25/654,14 | | | 68,825,936 | | | | 65,854,129 | |
ZH Trust | | | | | | | | |
2021-2, 2.35% due 10/17/274 | | | 45,250,000 | | | | 44,441,749 | |
2021-1, 2.25% due 02/18/274 | | | 17,750,000 | | | | 17,427,628 | |
Home Equity Loan Trust | | | | | | | | |
2007-FRE1, 0.65% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37◊ | | | 61,898,330 | | | | 59,188,904 | |
JP Morgan Mortgage Acquisition Trust | | | | | | | | |
2006-WMC4, 0.59% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/36◊ | | | 67,648,543 | | | | 48,607,014 | |
2006-WMC4, 0.58% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/36◊ | | | 12,470,700 | | | | 7,533,333 | |
2006-WMC3, 0.94% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 08/25/36◊ | | | 2,000,818 | | | | 1,593,675 | |
Soundview Home Loan Trust | | | | | | | | |
2006-OPT5, 0.60% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/36◊ | | | 41,254,030 | | | | 40,364,131 | |
GSAMP Trust | | | | | | | | |
2007-NC1, 0.59% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/46◊ | | | 27,408,635 | | | | 17,453,791 | |
2006-HE8, 0.69% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/37◊ | | | 10,107,000 | | | | 9,266,876 | |
2006-NC2, 0.76% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 06/25/36◊ | | | 6,882,972 | | | | 4,730,417 | |
2007-NC1, 0.61% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/46◊ | | | 6,115,267 | | | | 3,678,727 | |
Alternative Loan Trust | | | | | | | | |
2007-OA4, 0.80% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 05/25/47◊ | | | 18,316,402 | | | | 17,234,870 | |
2007-OH3, 1.04% (1 Month USD LIBOR + 0.58%, Rate Cap/Floor: 10.00%/0.58%) due 09/25/47◊ | | | 7,079,178 | | | | 6,653,623 | |
2006-43CB, 6.00% (1 Month USD LIBOR + 0.50%, Rate Cap/Floor: 6.00%/6.00%) due 02/25/37◊ | | | 6,504,406 | | | | 4,614,443 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 47 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
2007-OA7, 0.64% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 05/25/47◊ | | | 2,760,893 | | | $ | 2,510,785 | |
2007-OH3, 0.90% (1 Month USD LIBOR + 0.44%, Rate Cap/Floor: 10.00%/0.44%) due 09/25/47◊ | | | 703,696 | | | | 657,067 | |
NovaStar Mortgage Funding Trust Series | | | | | | | | |
2007-2, 0.66% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37◊ | | | 28,831,405 | | | | 28,125,612 | |
2007-1, 0.59% (1 Month USD LIBOR + 0.13%, Rate Cap/Floor: 11.00%/0.13%) due 03/25/37◊ | | | 3,142,129 | | | | 2,345,946 | |
Imperial Fund Mortgage Trust | | | | | | | | |
2022-NQM2, 4.02% (WAC) due 03/25/67◊,4 | | | 14,477,000 | | | | 14,293,908 | |
2022-NQM2, 4.20% (WAC) due 03/25/67◊,4 | | | 14,231,000 | | | | 14,044,742 | |
Structured Asset Securities Corporation Mortgage Loan Trust | | | | | | | | |
2008-BC4, 1.09% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/37◊ | | | 24,693,815 | | | | 24,408,029 | |
2006-BC4, 0.80% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/36◊ | | | 2,703,458 | | | | 2,655,059 | |
2006-BC6, 0.63% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 01/25/37◊ | | | 222,728 | | | | 220,647 | |
2006-OPT1, 0.72% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/25/36◊ | | | 41,562 | | | | 41,405 | |
Citigroup Mortgage Loan Trust, Inc. | | | | | | | | |
2007-AMC1, 0.62% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 12/25/36◊,4 | | | 23,318,825 | | | | 15,096,575 | |
2007-AMC3, 0.64% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 03/25/37◊ | | | 6,859,643 | | | | 6,249,954 | |
2006-WF1, 5.07% due 03/25/36 | | | 8,513,207 | | | | 5,166,847 | |
ACE Securities Corporation Home Equity Loan Trust Series | | | | | | | | |
2006-NC1, 1.07% (1 Month USD LIBOR + 0.62%, Rate Floor: 0.62%) due 12/25/35◊ | | | 16,761,000 | | | | 16,287,259 | |
2007-ASP1, 0.66% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 03/25/37◊ | | | 8,627,714 | | | | 4,876,523 | |
48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
2007-WM2, 0.67% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 02/25/37◊ | | | 6,790,946 | | | $ | 3,629,726 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | | | | | | | | |
2006-AR9, 0.97% (1 Year CMT Rate + 0.83%, Rate Floor: 0.83%) due 11/25/46◊ | | | 10,149,434 | | | | 9,605,996 | |
2006-AR10, 0.80% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/36◊ | | | 9,193,426 | | | | 8,883,914 | |
2006-AR9, 0.98% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊ | | | 4,231,112 | | | | 3,664,676 | |
2006-7, 4.12% due 09/25/36 | | | 5,488,348 | | | | 2,039,493 | |
2006-8, 4.19% due 10/25/36 | | | 364,097 | | | | 165,426 | |
IXIS Real Estate Capital Trust | | | | | | | | |
2007-HE1, 0.57% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 05/25/37◊ | | | 33,855,539 | | | | 10,267,728 | |
2006-HE1, 1.06% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36◊ | | | 12,432,668 | | | | 7,629,879 | |
2007-HE1, 0.69% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 05/25/37◊ | | | 6,425,297 | | | | 1,974,895 | |
2007-HE1, 0.62% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 05/25/37◊ | | | 6,034,526 | | | | 1,840,589 | |
2007-HE1, 0.52% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/37◊ | | | 5,020,447 | | | | 1,513,905 | |
American Home Mortgage Investment Trust | | | | | | | | |
2007-1, 2.08% due 05/25/4710 | | | 136,830,121 | | | | 21,467,620 | |
Starwood Mortgage Residential Trust | | | | | | | | |
2020-1, 2.56% (WAC) due 02/25/50◊,4 | | | 12,023,568 | | | | 11,760,925 | |
2020-1, 2.41% (WAC) due 02/25/50◊,4 | | | 9,248,898 | | | | 9,044,913 | |
Credit Suisse Mortgage Capital Certificates | | | | | | | | |
2021-RPL9, 2.44% (WAC) due 02/25/61◊,4 | | | 20,801,302 | | | | 19,775,999 | |
Merrill Lynch Mortgage Investors Trust Series | | | | | | | | |
2007-HE2, 0.98% (1 Month USD LIBOR + 0.52%, Rate Floor: 0.52%) due 02/25/37◊ | | | 33,408,568 | | | | 12,925,224 | |
2006-HE6, 0.74% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 11/25/37◊ | | | 9,042,368 | | | | 5,817,205 | |
SPS Servicer Advance Receivables Trust | | | | | | | | |
2020-T2, 1.83% due 11/15/554 | | | 20,000,000 | | | | 18,700,686 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Cascade Funding Mortgage Trust | | | | | | | | |
2018-RM2, 4.00% (WAC) due 10/25/68◊,8 | | | 10,674,391 | | | $ | 10,690,254 | |
2019-RM3, 2.80% (WAC) due 06/25/69◊,8 | | | 7,888,676 | | | | 7,751,004 | |
Lehman XS Trust Series | | | | | | | | |
2007-4N, 0.66% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 03/25/47◊ | | | 9,385,550 | | | | 9,455,206 | |
2007-2N, 0.82% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 02/25/37◊ | | | 5,446,075 | | | | 5,377,726 | |
2007-15N, 0.71% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.00%) due 08/25/37◊ | | | 1,759,660 | | | | 1,699,996 | |
2006-10N, 0.88% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 07/25/46◊ | | | 349,302 | | | | 354,346 | |
RALI Series Trust | | | | | | | | |
2007-QO4, 0.84% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 05/25/47◊ | | | 4,625,323 | | | | 4,418,998 | |
2006-QO2, 0.90% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46◊ | | | 16,848,620 | | | | 4,190,014 | |
2007-QO2, 0.61% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 02/25/47◊ | | | 7,788,671 | | | | 3,425,141 | |
2006-QO2, 1.00% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 02/25/46◊ | | | 5,463,923 | | | | 1,399,235 | |
2006-QO6, 0.82% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/46◊ | | | 4,776,900 | | | | 1,277,646 | |
2007-QO3, 0.78% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 03/25/47◊ | | | 928,697 | | | | 873,250 | |
Ameriquest Mortgage Securities Trust | | | | | | | | |
2006-M3, 0.62% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 10/25/36◊ | | | 28,265,165 | | | | 10,876,218 | |
2006-M3, 0.56% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/36◊ | | | 11,873,268 | | | | 4,543,048 | |
First NLC Trust | | | | | | | | |
2005-4, 1.24% (1 Month USD LIBOR + 0.78%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/36◊ | | | 11,924,116 | | | | 11,774,768 | |
2005-1, 0.92% (1 Month USD LIBOR + 0.46%, Rate Cap/Floor: 14.00%/0.46%) due 05/25/35◊ | | | 2,440,017 | | | | 2,293,096 | |
50 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Bear Stearns Asset Backed Securities I Trust | | | | | | | | |
2006-HE9, 0.60% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.28%) due 11/25/36◊ | | | 13,552,725 | | | $ | 13,265,450 | |
ABFC Trust | | | | | | | | |
2007-WMC1, 1.71% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 06/25/37◊ | | | 16,683,422 | | | | 13,246,999 | |
Master Asset Backed Securities Trust | | | | | | | | |
2006-WMC4, 0.61% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/36◊ | | | 11,107,028 | | | | 4,366,979 | |
2006-NC2, 0.94% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 08/25/36◊ | | | 8,179,080 | | | | 3,932,130 | |
2006-WMC3, 0.62% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/36◊ | | | 5,915,604 | | | | 2,484,669 | |
2007-WMC1, 0.62% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 01/25/37◊ | | | 6,133,597 | | | | 2,188,948 | |
Securitized Asset Backed Receivables LLC Trust | | | | | | | | |
2006-WM4, 0.62% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 11/25/36◊ | | | 31,203,182 | | | | 11,154,576 | |
2006-HE2, 0.61% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/36◊ | | | 3,480,306 | | | | 1,787,168 | |
HarborView Mortgage Loan Trust | | | | | | | | |
2006-14, 0.60% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/47◊ | | | 7,359,949 | | | | 6,817,765 | |
2006-12, 0.64% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/19/38◊ | | | 5,716,869 | | | | 5,408,976 | |
Fremont Home Loan Trust | | | | | | | | |
2006-E, 0.58% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 01/25/37◊ | | | 12,679,129 | | | | 6,856,344 | |
2006-D, 0.61% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/36◊ | | | 10,961,508 | | | | 4,915,318 | |
First Franklin Mortgage Loan Trust | | | | | | | | |
2006-FF16, 0.74% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 12/25/36◊ | | | 21,702,094 | | | | 11,424,885 | |
Merrill Lynch Alternative Note Asset Trust Series | | | | | | | | |
2007-A1, 0.92% (1 Month USD LIBOR + 0.46%, Rate Floor: 0.46%) due 01/25/37◊ | | | 20,244,570 | | | | 8,097,042 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
2007-A1, 0.76% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 01/25/37◊ | | | 7,677,079 | | | $ | 3,034,458 | |
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG | | | | | | | | |
2006-HE1, 1.06% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 01/25/36◊ | | | 10,072,000 | | | | 9,889,088 | |
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series | | | | | | | | |
2005-W4, 1.22% (1 Month USD LIBOR + 0.76%, Rate Floor: 0.76%) due 02/25/36◊ | | | 10,505,257 | | | | 9,455,660 | |
Long Beach Mortgage Loan Trust | | | | | | | | |
2006-8, 0.78% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/36◊ | | | 15,281,923 | | | | 5,449,590 | |
2006-6, 0.96% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 07/25/36◊ | | | 4,753,914 | | | | 2,294,185 | |
2006-8, 0.64% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 09/25/36◊ | | | 4,078,460 | | | | 1,443,364 | |
Credit-Based Asset Servicing and Securitization LLC | | | | | | | | |
2006-CB2, 0.84% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 12/25/36◊ | | | 9,274,183 | | | | 9,044,138 | |
WaMu Asset-Backed Certificates WaMu Series | | | | | | | | |
2007-HE4, 0.63% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/47◊ | | | 5,426,434 | | | | 4,376,107 | |
2007-HE4, 0.71% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/47◊ | | | 3,748,751 | | | | 2,731,756 | |
Deutsche Alt-A Securities Mortgage Loan Trust Series | | | | | | | | |
2006-AR4, 0.72% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 12/25/36◊ | | | 10,360,966 | | | | 4,607,623 | |
2007-OA2, 0.91% (1 Year CMT Rate + 0.77%, Rate Floor: 0.77%) due 04/25/47◊ | | | 2,331,815 | | | | 2,279,867 | |
WaMu Mortgage Pass-Through Certificates Series Trust | | | | | | | | |
2007-OA6, 0.95% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/47◊ | | | 5,186,214 | | | | 4,585,356 | |
52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
2006-AR13, 1.02% (1 Year CMT Rate + 0.88%, Rate Floor: 0.88%) due 10/25/46◊ | | | 1,593,207 | | | $ | 1,494,347 | |
2006-AR11, 1.06% (1 Year CMT Rate + 0.92%, Rate Floor: 0.92%) due 09/25/46◊ | | | 753,244 | | | | 700,555 | |
COLT Mortgage Loan Trust | | | | | | | | |
2021-2, 2.38% (WAC) due 08/25/66◊,4 | | | 7,108,000 | | | | 6,335,537 | |
Wachovia Asset Securitization Issuance II LLC Trust | | | | | | | | |
2007-HE2A, 0.59% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 07/25/37◊,4 | | | 3,592,465 | | | | 3,451,385 | |
2007-HE1, 0.60% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/37◊,4 | | | 2,882,462 | | | | 2,846,449 | |
Impac Secured Assets CMN Owner Trust | | | | | | | | |
2005-2, 0.96% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 03/25/36◊ | | | 6,280,435 | | | | 5,896,541 | |
American Home Mortgage Assets Trust | | | | | | | | |
2006-4, 0.65% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 10/25/46◊ | | | 7,465,286 | | | | 4,576,482 | |
2006-6, 0.65% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 12/25/46◊ | | | 1,444,963 | | | | 1,266,291 | |
GSAA Home Equity Trust | | | | | | | | |
2006-5, 0.82% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 03/25/36◊ | | | 13,378,444 | | | | 5,690,339 | |
2007-7, 1.00% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/37◊ | | | 76,311 | | | | 75,626 | |
Option One Mortgage Loan Trust | | | | | | | | |
2007-2, 0.71% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 03/25/37◊ | | | 5,315,293 | | | | 3,230,533 | |
2007-5, 0.68% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 05/25/37◊ | | | 2,308,533 | | | | 1,668,077 | |
ASG Resecuritization Trust | | | | | | | | |
2010-3, 0.69% (1 Month USD LIBOR + 0.29%, Rate Cap/Floor: 10.50%/0.29%) due 12/28/45◊,4 | | | 3,099,852 | | | | 3,036,758 | |
Morgan Stanley Capital I Incorporated Trust | | | | | | | | |
2006-HE1, 1.04% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 01/25/36◊ | | | 2,236,091 | | | | 2,190,506 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Residential Mortgage Loan Trust | | | | | | | | |
2020-1, 2.68% (WAC) due 01/26/60◊,4 | | | 1,795,641 | | | $ | 1,740,363 | |
Countrywide Asset-Backed Certificates | | | | | | | | |
2005-15, 0.91% (1 Month USD LIBOR + 0.45%, Rate Floor: 0.45%) due 03/25/36◊ | | | 1,500,000 | | | | 1,482,902 | |
Morgan Stanley Resecuritization Trust | | | | | | | | |
2014-R9, 0.32% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 11/26/46◊,4 | | | 1,158,197 | | | | 1,141,548 | |
Structured Asset Investment Loan Trust | | | | | | | | |
2006-3, 0.76% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 06/25/36◊ | | | 466,571 | | | | 457,324 | |
2004-BNC2, 1.66% (1 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 12/25/34◊ | | | 430,500 | | | | 429,967 | |
Nomura Resecuritization Trust | | | | | | | | |
2015-4R, 2.27% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,4 | | | 872,371 | | | | 813,374 | |
2015-4R, 0.78% (1 Month USD LIBOR + 0.39%, Rate Floor: 0.39%) due 12/26/36◊,4 | | | 33,254 | | | | 33,193 | |
Impac Secured Assets Trust | | | | | | | | |
2006-2, 0.63% (1 Month USD LIBOR + 0.34%, Rate Cap/Floor: 11.50%/0.34%) due 08/25/36◊ | | | 789,310 | | | | 717,497 | |
Alliance Bancorp Trust | | | | | | | | |
2007-OA1, 0.94% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 07/25/37◊ | | | 605,199 | | | | 559,279 | |
UCFC Manufactured Housing Contract | | | | | | | | |
1997-2, 7.38% due 10/15/28 | | | 224,926 | | | | 222,361 | |
Morgan Stanley Re-REMIC Trust | | | | | | | | |
2010-R5, 2.24% due 06/26/364 | | | 148,171 | | | | 136,433 | |
Irwin Home Equity Loan Trust | | | | | | | | |
2007-1, 6.35% due 08/25/374 | | | 2,050 | | | | 2,039 | |
Total Residential Mortgage-Backed Securities | | | 1,865,910,602 | |
| | | | | | | | | |
Government Agency - 2.2% |
Fannie Mae | | | | | | | | |
3.40% due 02/01/33 | | | 25,000,000 | | | | 24,122,591 | |
2.40% due 03/01/40 | | | 27,004,000 | | | | 23,877,262 | |
3.83% due 05/01/49 | | | 19,000,000 | | | | 20,045,041 | |
2.81% due 09/01/39 | | | 20,780,000 | | | | 19,760,726 | |
4.17% due 02/01/49 | | | 16,500,000 | | | | 18,043,255 | |
2.27% due 10/01/41 | | | 16,935,000 | | | | 14,422,250 | |
4.08% due 04/01/49 | | | 12,879,000 | | | | 13,891,544 | |
3.42% due 09/01/47 | | | 12,522,972 | | | | 12,496,227 | |
due 12/25/4312,13 | | | 13,855,527 | | | | 11,745,948 | |
54 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
2.57% due 08/01/51 | | | 12,488,537 | | | $ | 11,054,073 | |
2.07% due 10/01/50 | | | 13,174,032 | | | | 11,033,439 | |
4.21% due 10/01/48 | | | 9,750,000 | | | | 10,663,166 | |
2.00% due 09/01/50 | | | 11,828,033 | | | | 9,777,652 | |
3.43% due 03/01/33 | | | 8,100,000 | | | | 8,324,046 | |
2.31% due 10/01/41 | | | 9,435,000 | | | | 8,092,883 | |
1.76% due 08/01/40 | | | 9,360,000 | | | | 7,558,533 | |
2.17% due 03/01/51 | | | 8,638,000 | | | | 7,192,808 | |
2.44% due 10/01/51 | | | 8,500,000 | | | | 7,175,270 | |
3.29% due 03/01/33 | | | 6,700,000 | | | | 6,734,110 | |
4.04% due 08/01/48 | | | 6,100,000 | | | | 6,581,293 | |
3.61% due 04/01/39 | | | 6,193,000 | | | | 6,402,487 | |
3.56% due 02/01/38 | | | 6,226,531 | | | | 6,353,054 | |
2.43% due 12/01/51 | | | 7,401,000 | | | | 6,345,050 | |
2.10% due 07/01/50 | | | 7,505,361 | | | | 6,300,123 | |
2.79% due 01/01/32 | | | 6,369,125 | | | | 6,241,310 | |
2.41% due 12/01/41 | | | 7,100,000 | | | | 6,181,945 | |
2.49% due 12/01/39 | | | 6,739,231 | | | | 6,160,802 | |
3.05% due 03/01/50 | | | 6,045,482 | | | | 5,824,164 | |
due 10/25/4312,13 | | | 6,843,826 | | | | 5,813,583 | |
2.94% due 03/01/52 | | | 5,850,000 | | | | 5,448,145 | |
2.51% due 10/01/46 | | | 5,741,327 | | | | 5,281,843 | |
4.07% due 05/01/49 | | | 4,707,447 | | | | 5,071,767 | |
4.27% due 12/01/33 | | | 4,512,699 | | | | 4,959,809 | |
2.52% due 12/01/41 | | | 5,333,045 | | | | 4,828,512 | |
3.16% due 11/01/30 | | | 4,810,838 | | | | 4,740,012 | |
3.71% due 04/01/31 | | | 4,200,000 | | | | 4,397,468 | |
2.17% due 10/01/50 | | | 5,188,248 | | | | 4,382,468 | |
2.99% due 01/01/40 | | | 4,429,000 | | | | 4,284,318 | |
3.76% due 03/01/37 | | | 4,000,000 | | | | 4,227,413 | |
3.37% due 06/01/39 | | | 4,067,000 | | | | 4,082,453 | |
3.50% due 02/01/48 | | | 3,867,326 | | | | 3,894,718 | |
4.24% due 08/01/48 | | | 3,400,000 | | | | 3,597,623 | |
2.54% due 12/01/39 | | | 3,717,762 | | | | 3,509,342 | |
3.92% due 04/01/39 | | | 3,198,000 | | | | 3,475,162 | |
2.34% due 09/01/39 | | | 3,659,332 | | | | 3,205,930 | |
2.42% due 10/01/51 | | | 3,473,851 | | | | 3,031,013 | |
2.36% due 01/01/42 | | | 3,500,000 | | | | 3,021,715 | |
3.94% due 06/01/35 | | | 2,600,000 | | | | 2,783,369 | |
2.96% due 10/01/49 | | | 2,853,340 | | | | 2,687,077 | |
2.50% due 03/01/35 | | | 2,604,222 | | | | 2,577,690 | |
2.62% due 11/01/28 | | | 2,600,000 | | | | 2,560,605 | |
2.86% due 01/01/33 | | | 2,524,000 | | | | 2,502,203 | |
3.26% due 11/01/46 | | | 2,390,644 | | | | 2,331,335 | |
2.69% due 02/01/52 | | | 2,496,106 | | | | 2,254,370 | |
3.51% due 11/01/37 | | | 2,150,000 | | | | 2,228,347 | |
2.92% due 03/01/50 | | | 2,363,446 | | | | 2,212,667 | |
2.51% due 07/01/50 | | | 2,383,398 | | | | 2,135,594 | |
2.62% due 12/01/51 | | | 2,344,108 | | | | 2,088,027 | |
2.93% due 03/01/52 | | | 2,100,000 | | | | 1,964,453 | |
3.17% due 02/01/30 | | | 1,750,000 | | | | 1,782,769 | |
2.68% due 04/01/50 | | | 1,926,899 | | | | 1,752,918 | |
2.77% due 02/01/36 | | | 1,742,593 | | | | 1,698,020 | |
3.46% due 08/01/49 | | | 1,677,379 | | | | 1,681,896 | |
3.50% due 12/01/47 | | | 1,585,054 | | | | 1,606,847 | |
3.08% due 02/01/33 | | | 1,300,000 | | | | 1,308,987 | |
3.74% due 02/01/48 | | | 1,246,543 | | | | 1,290,733 | |
3.27% due 08/01/34 | | | 1,257,560 | | | | 1,261,279 | |
4.05% due 09/01/48 | | | 1,151,544 | | | | 1,236,333 | |
2.32% due 07/01/50 | | | 1,374,177 | | | | 1,183,768 | |
2.25% due 10/01/50 | | | 1,267,889 | | | | 1,118,031 | |
3.13% due 01/01/30 | | | 980,384 | | | | 994,833 | |
3.60% due 10/01/47 | | | 926,742 | | | | 937,822 | |
4.00% due 12/01/38 | | | 907,028 | | | | 936,687 | |
3.96% due 06/01/49 | | | 959,163 | | | | 907,196 | |
2.65% due 12/01/51 | | | 996,432 | | | | 892,982 | |
3.50% due 12/01/46 | | | 844,266 | | | | 854,353 | |
3.18% due 09/01/42 | | | 854,369 | | | | 829,188 | |
4.00% due 08/01/47 | | | 801,942 | | | | 828,835 | |
4.50% due 03/01/48 | | | 746,969 | | | | 776,904 | |
3.63% due 01/01/37 | | | 708,888 | | | | 742,383 | |
4.00% due 01/01/46 | | | 683,023 | | | | 709,727 | |
3.91% due 07/01/49 | | | 672,563 | | | | 706,230 | |
3.50% due 12/01/45 | | | 688,909 | | | | 701,263 | |
2.50% due 01/01/35 | | | 649,023 | | | | 642,411 | |
3.36% due 12/01/39 | | | 688,317 | | | | 642,137 | |
2.75% due 11/01/31 | | | 619,542 | | | | 609,700 | |
3.00% due 07/01/46 | | | 560,332 | | | | 556,958 | |
2.56% due 05/01/39 | | | 598,299 | | | | 555,761 | |
4.50% due 02/01/45 | | | 371,867 | | | | 393,961 | |
4.33% due 09/01/48 | | | 332,033 | | | | 367,339 | |
5.00% due 12/01/44 | | | 320,503 | | | | 342,940 | |
4.22% due 04/01/49 | | | 315,000 | | | | 337,013 | |
5.00% due 05/01/44 | | | 253,083 | | | | 271,063 | |
3.50% due 08/01/43 | | | 244,461 | | | | 249,357 | |
4.50% due 05/01/47 | | | 211,870 | | | | 222,879 | |
2.06% due 09/01/36 | | | 140,000 | | | | 124,314 | |
2.28% due 01/01/51 | | | 70,423 | | | | 60,485 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Fannie Mae-Aces | | | | | | | | |
1.46% (WAC) due 03/25/35◊,10 | | | 269,761,424 | | | $ | 31,686,150 | |
Freddie Mac Seasoned Credit Risk Transfer Trust | | | | | | | | |
2.00% due 11/25/59 | | | 12,950,990 | | | | 12,162,587 | |
2.00% due 05/25/60 | | | 10,440,739 | | | | 9,778,995 | |
Freddie Mac | | | | | | | | |
3.55% due 10/01/33 | | | 4,493,885 | | | | 4,505,175 | |
3.26% due 09/01/45 | | | 2,194,891 | | | | 2,142,311 | |
4.00% due 01/15/46 | | | 1,884,401 | | | | 1,892,363 | |
1.96% due 05/01/50 | | | 1,568,016 | | | | 1,275,294 | |
1.95% due 05/01/50 | | | 1,444,558 | | | | 1,173,118 | |
3.40% due 04/01/31 | | | 976,022 | | | | 1,004,010 | |
3.50% due 01/01/44 | | | 952,679 | | | | 971,510 | |
4.00% due 02/01/46 | | | 736,385 | | | | 766,921 | |
4.00% due 11/01/45 | | | 581,110 | | | | 605,189 | |
3.00% due 08/01/46 | | | 593,458 | | | | 590,149 | |
4.50% due 06/01/48 | | | 315,634 | | | | 328,882 | |
FARM Mortgage Trust | | | | | | | | |
2.18% (WAC) due 01/25/51◊,4 | | | 11,424,639 | | | | 10,589,104 | |
Fannie Mae | | | | | | | | |
3.01% due 04/01/42††† | | | 1,000,000 | | | | 964,777 | |
Freddie Mac Multifamily Structured Pass Through Certificates | | | | | | | | |
0.52% (WAC) due 12/25/24◊,10 | | | 42,271,876 | | | | 538,138 | |
FREMF Mortgage Trust | | | | | | | | |
0.13% due 05/25/464,10 | | | 683,759,755 | | | | 411,692 | |
Total Government Agency | | | 525,482,750 | |
| | | | | | | | | |
Commercial Mortgage Backed Securities - 1.6% |
BX Commercial Mortgage Trust | | | | | | | | |
2021-VOLT, 2.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,4 | | | 60,050,000 | | | | 57,770,010 | |
2021-VOLT, 2.05% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/36◊,4 | | | 52,000,000 | | | | 50,124,828 | |
2022-LP2, 2.01% (1 Month Term SOFR + 1.96%, Rate Floor: 1.96%) due 02/15/39◊,4 | | | 6,300,000 | | | | 6,157,904 | |
2019-XL, 2.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/15/36◊,4 | | | 6,162,500 | | | | 6,046,257 | |
JP Morgan Chase Commercial Mortgage Securities Trust | | | | | | | | |
2021-NYAH, 2.24% (1 Month USD LIBOR + 1.84%, Rate Floor: 1.84%) due 06/15/38◊,4 | | | 14,350,000 | | | | 13,917,385 | |
2016-JP3, 3.44% (WAC) due 08/15/49◊ | | | 10,290,000 | | | | 9,596,478 | |
2021-NYAH, 2.59% (1 Month USD LIBOR + 2.19%, Rate Floor: 2.19%) due 06/15/38◊,4 | | | 8,000,000 | | | | 7,709,014 | |
2016-JP3, 1.38% (WAC) due 08/15/49◊,10 | | | 64,393,015 | | | | 3,054,174 | |
56 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
SMRT | | | | | | | | |
2022-MINI, 2.25% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 01/15/24◊,4 | | | 32,500,000 | | | $ | 31,909,995 | |
Life Mortgage Trust | | | | | | | | |
2021-BMR, 2.75% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 03/15/38◊,4 | | | 19,167,918 | | | | 18,352,191 | |
2021-BMR, 2.15% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/15/38◊,4 | | | 5,160,593 | | | | 4,960,360 | |
Citigroup Commercial Mortgage Trust | | | | | | | | |
2019-GC43, 0.63% (WAC) due 11/10/52◊,10 | | | 219,082,731 | | | | 8,435,978 | |
2019-GC41, 1.06% (WAC) due 08/10/56◊,10 | | | 104,450,651 | | | | 5,986,975 | |
2016-C2, 1.74% (WAC) due 08/10/49◊,10 | | | 32,963,747 | | | | 1,937,184 | |
2016-P4, 1.90% (WAC) due 07/10/49◊,10 | | | 28,918,527 | | | | 1,829,947 | |
2016-P5, 1.38% (WAC) due 10/10/49◊,10 | | | 25,656,928 | | | | 1,283,121 | |
2016-GC37, 1.69% (WAC) due 04/10/49◊,10 | | | 18,730,343 | | | | 991,629 | |
2015-GC35, 0.72% (WAC) due 11/10/48◊,10 | | | 28,768,010 | | | | 627,068 | |
2015-GC29, 1.02% (WAC) due 04/10/48◊,10 | | | 18,694,334 | | | | 476,075 | |
2016-C3, 1.03% (WAC) due 11/15/49◊,10 | | | 10,325,308 | | | | 396,998 | |
2013-GC15, 4.37% (WAC) due 09/10/46◊ | | | 380,000 | | | | 386,395 | |
Extended Stay America Trust | | | | | | | | |
2021-ESH, 2.65% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/38◊,4 | | | 12,423,539 | | | | 12,236,362 | |
2021-ESH, 2.10% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/15/38◊,4 | | | 6,410,546 | | | | 6,317,978 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | |
2017-C38, 1.01% (WAC) due 07/15/50◊,10 | | | 69,292,774 | | | | 2,763,922 | |
2016-BNK1, 1.72% (WAC) due 08/15/49◊,10 | | | 35,424,105 | | | | 2,093,919 | |
2017-RB1, 1.18% (WAC) due 03/15/50◊,10 | | | 35,328,078 | | | | 1,682,782 | |
2016-C35, 1.89% (WAC) due 07/15/48◊,10 | | | 23,586,691 | | | | 1,497,934 | |
2017-C42, 0.87% (WAC) due 12/15/50◊,10 | | | 34,714,390 | | | | 1,448,322 | |
2016-C32, 4.72% (WAC) due 01/15/59◊ | | | 1,400,000 | | | | 1,414,750 | |
2015-NXS4, 0.51% (WAC) due 12/15/48◊,10 | | | 38,561,290 | | | | 1,179,571 | |
2017-RC1, 1.47% (WAC) due 01/15/60◊,10 | | | 20,014,423 | | | | 1,169,435 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
2016-NXS5, 1.43% (WAC) due 01/15/59◊,10 | | | 23,173,314 | | | $ | 982,368 | |
2015-P2, 0.95% (WAC) due 12/15/48◊,10 | | | 24,485,968 | | | | 740,985 | |
2015-C30, 0.89% (WAC) due 09/15/58◊,10 | | | 29,545,735 | | | | 738,357 | |
2016-C37, 0.81% (WAC) due 12/15/49◊,10 | | | 11,878,850 | | | | 350,615 | |
2015-NXS1, 1.08% (WAC) due 05/15/48◊,10 | | | 8,368,688 | | | | 214,668 | |
BENCHMARK Mortgage Trust | | | | | | | | |
2020-IG3, 3.13% (WAC) due 09/15/48◊,4 | | | 5,232,000 | | | | 4,545,958 | |
2019-B14, 0.78% (WAC) due 12/15/62◊,10 | | | 108,997,057 | | | | 4,365,637 | |
2018-B2, 0.40% (WAC) due 02/15/51◊,10 | | | 130,292,149 | | | | 2,138,394 | |
2018-B6, 0.41% (WAC) due 10/10/51◊,10 | | | 60,775,431 | | | | 1,120,170 | |
2018-B6, 4.61% (WAC) due 10/10/51◊ | | | 750,000 | | | | 760,780 | |
GS Mortgage Securities Trust | | | | | | | | |
2020-GC45, 0.67% (WAC) due 02/13/53◊,10 | | | 153,644,118 | | | | 6,259,554 | |
2019-GC42, 0.81% (WAC) due 09/01/52◊,10 | | | 69,555,846 | | | | 3,280,782 | |
2017-GS6, 1.02% (WAC) due 05/10/50◊,10 | | | 41,790,729 | | | | 1,864,088 | |
2017-GS6, 3.87% due 05/10/50 | | | 521,000 | | | | 515,378 | |
2015-GC28, 0.98% (WAC) due 02/10/48◊,10 | | | 15,394,393 | | | | 350,935 | |
JPMDB Commercial Mortgage Securities Trust | | | | | | | | |
2017-C7, 0.85% (WAC) due 10/15/50◊,10 | | | 131,229,143 | | | | 4,712,675 | |
2016-C4, 3.64% (WAC) due 12/15/49◊ | | | 2,650,000 | | | | 2,547,581 | |
2016-C4, 0.75% (WAC) due 12/15/49◊,10 | | | 82,591,294 | | | | 2,431,248 | |
2016-C2, 1.55% (WAC) due 06/15/49◊,10 | | | 26,217,778 | | | | 1,130,217 | |
2017-C5, 0.94% (WAC) due 03/15/50◊,10 | | | 7,665,495 | | | | 261,055 | |
COMM Mortgage Trust | | | | | | | | |
2018-COR3, 0.44% (WAC) due 05/10/51◊,10 | | | 196,696,994 | | | | 4,588,587 | |
2015-CR26, 0.92% (WAC) due 10/10/48◊,10 | | | 81,405,926 | | | | 2,110,994 | |
2015-CR24, 0.75% (WAC) due 08/10/48◊,10 | | | 44,712,734 | | | | 936,602 | |
2015-CR23, 0.88% (WAC) due 05/10/48◊,10 | | | 39,365,137 | | | | 851,732 | |
2015-CR27, 0.91% (WAC) due 10/10/48◊,10 | | | 26,080,631 | | | | 707,252 | |
2015-CR23, 3.80% due 05/10/48 | | | 700,000 | | | | 701,098 | |
2013-CR13, 0.74% (WAC) due 11/10/46◊,10 | | | 35,273,959 | | | | 378,602 | |
2014-LC15, 1.06% (WAC) due 04/10/47◊,10 | | | 9,240,311 | | | | 150,104 | |
58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
GS Mortgage Securities Corporation Trust | | | | | | | | |
2020-UPTN, 3.25% (WAC) due 02/10/37◊,4 | | | 5,350,000 | | | $ | 5,012,295 | |
2020-DUNE, 1.75% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 12/15/36◊,4 | | | 3,750,000 | | | | 3,715,155 | |
2020-DUNE, 2.30% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/15/36◊,4 | | | 1,000,000 | | | | 983,269 | |
DBGS Mortgage Trust | | | | | | | | |
2018-C1, 4.63% (WAC) due 10/15/51◊ | | | 7,588,000 | | | | 7,842,190 | |
KKR Industrial Portfolio Trust | | | | | | | | |
2021-KDIP, 1.95% (1 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 12/15/37◊,4 | | | 6,562,500 | | | | 6,389,739 | |
CSAIL Commercial Mortgage Trust | | | | | | | | |
2019-C15, 1.04% (WAC) due 03/15/52◊,10 | | | 94,923,925 | | | | 5,011,841 | |
2015-C1, 0.82% (WAC) due 04/15/50◊,10 | | | 49,907,392 | | | | 896,756 | |
2016-C6, 1.87% (WAC) due 01/15/49◊,10 | | | 5,007,168 | | | | 303,882 | |
BANK | | | | | | | | |
2020-BN25, 0.44% (WAC) due 01/15/63◊,10 | | | 140,000,000 | | | | 4,271,470 | |
2017-BNK6, 0.80% (WAC) due 07/15/60◊,10 | | | 41,249,570 | | | | 1,300,974 | |
2017-BNK4, 1.33% (WAC) due 05/15/50◊,10 | | | 11,711,600 | | | | 604,342 | |
UBS Commercial Mortgage Trust | | | | | | | | |
2017-C2, 1.05% (WAC) due 08/15/50◊,10 | | | 49,355,333 | | | | 2,000,243 | |
2017-C5, 0.98% (WAC) due 11/15/50◊,10 | | | 52,743,632 | | | | 1,924,990 | |
CD Mortgage Trust | | | | | | | | |
2017-CD6, 0.92% (WAC) due 11/13/50◊,10 | | | 44,561,169 | | | | 1,428,751 | |
2016-CD1, 1.37% (WAC) due 08/10/49◊,10 | | | 29,833,937 | | | | 1,359,503 | |
2016-CD2, 0.56% (WAC) due 11/10/49◊,10 | | | 30,038,592 | | | | 623,586 | |
CD Commercial Mortgage Trust | | | | | | | | |
2017-CD4, 1.27% (WAC) due 05/10/50◊,10 | | | 31,322,265 | | | | 1,364,745 | |
2017-CD3, 0.98% (WAC) due 02/10/50◊,10 | | | 32,329,825 | | | | 1,239,458 | |
BBCMS Mortgage Trust | | | | | | | | |
2018-C2, 0.76% (WAC) due 12/15/51◊,10 | | | 57,759,519 | | | | 2,418,610 | |
JPMCC Commercial Mortgage Securities Trust | | | | | | | | |
2017-JP6, 1.13% (WAC) due 07/15/50◊,10 | | | 55,862,449 | | | | 2,068,145 | |
CGMS Commercial Mortgage Trust | | | | | | | | |
2017-B1, 0.81% (WAC) due 08/15/50◊,10 | | | 64,639,404 | | | | 2,050,905 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
JPMBB Commercial Mortgage Securities Trust | | | | | | | | |
2015-C27, 1.14% (WAC) due 02/15/48◊,10 | | | 68,262,716 | | | $ | 1,850,595 | |
2013-C12, 0.44% (WAC) due 07/15/45◊,10 | | | 32,755,444 | | | | 113,707 | |
Morgan Stanley Bank of America Merrill Lynch Trust | | | | | | | | |
2015-C27, 0.87% (WAC) due 12/15/47◊,10 | | | 63,183,415 | | | | 1,495,337 | |
CFCRE Commercial Mortgage Trust | | | | | | | | |
2016-C3, 0.99% (WAC) due 01/10/48◊,10 | | | 37,611,537 | | | | 1,190,860 | |
Banc of America Commercial Mortgage Trust | | | | | | | | |
2017-BNK3, 1.01% (WAC) due 02/15/50◊,10 | | | 21,538,400 | | | | 893,085 | |
DBJPM Mortgage Trust | | | | | | | | |
2017-C6, 0.97% (WAC) due 06/10/50◊,10 | | | 22,991,558 | | | | 758,303 | |
SG Commercial Mortgage Securities Trust | | | | | | | | |
2016-C5, 1.90% (WAC) due 10/10/48◊,10 | | | 5,631,741 | | | | 302,847 | |
Morgan Stanley Capital I Trust | | | | | | | | |
2016-UBS9, 4.76% (WAC) due 03/15/49◊ | | | 275,000 | | | | 267,270 | |
GS Mortgage Securities Corporation II | | | | | | | | |
2013-GC10, 2.94% due 02/10/46 | | | 225,000 | | | | 225,241 | |
WFRBS Commercial Mortgage Trust | | | | | | | | |
2013-C12, 1.09% (WAC) due 03/15/48◊,4,10 | | | 5,277,334 | | | | 35,709 | |
Total Commercial Mortgage Backed Securities | | | 373,435,160 | |
| | | | | | | | | |
Military Housing - 1.0% |
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | | | | | | | | |
2015-R1, 4.66% (WAC) due 11/25/55◊,4 | | | 70,858,555 | | | | 75,512,346 | |
2015-R1, 4.44% (WAC) due 11/25/52◊,4 | | | 21,598,316 | | | | 22,668,155 | |
2015-R1, 4.32% (WAC) due 10/25/52◊,4 | | | 13,467,447 | | | | 13,731,090 | |
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | | | | | | | | |
2015-R1, 4.66% (WAC) due 11/25/55◊,†††,4 | | | 42,765,752 | | | | 47,152,553 | |
2015-R1, 0.70% (WAC) due 11/25/55◊,†††,4,10 | | | 171,090,695 | | | | 12,947,731 | |
Capmark Military Housing Trust | | | | | | | | |
2006-RILY, 6.15% due 07/10/51†††,4 | | | 12,770,475 | | | | 13,961,676 | |
2008-AMCW, 6.90% due 07/10/55†††,4 | | | 8,179,618 | | | | 10,826,949 | |
2007-AETC, 5.75% due 02/10/52†††,4 | | | 7,268,683 | | | | 7,671,226 | |
2007-ROBS, 6.06% due 10/10/52†††,4 | | | 4,590,888 | | | | 4,998,822 | |
60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
2006-RILY, 0.69% (1 Month USD LIBOR + 0.37%, Rate Floor: 0.37%) due 07/10/51◊,†††,4 | | | 6,868,812 | | | $ | 4,623,256 | |
2007-AET2, 6.06% due 10/10/52†††,4 | | | 3,015,886 | | | | 3,268,963 | |
GMAC Commercial Mortgage Asset Corp. | | | | | | | | |
2007-HCKM, 6.11% due 08/10/52†††,4 | | | 21,795,656 | | | | 23,733,495 | |
2005-DRUM, 5.47% due 05/10/50†††,4 | | | 4,439,072 | | | | 4,362,515 | |
2002-MEAD, 6.85% due 05/10/37†††,4 | | | 3,237,219 | | | | 3,782,985 | |
2005-BLIS, 5.25% due 07/10/50†††,4 | | | 2,500,000 | | | | 2,578,940 | |
Total Military Housing | | | 251,820,702 | |
| | | | | | | | | |
Total Collateralized Mortgage Obligations |
(Cost $3,177,753,700) | | | 3,016,649,214 | |
| | | | | |
SENIOR FLOATING RATE INTERESTS††,◊ - 8.3% |
Consumer, Cyclical - 1.7% |
MB2 Dental Solutions LLC | | | | | | | | |
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27††† | | | 51,950,413 | | | | 51,114,080 | |
7.16% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27††† | | | 15,940,531 | | | | 15,683,910 | |
Verisure Holding AB | | | | | | | | |
3.25% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28 | | | EUR 30,010,000 | | | | 32,392,669 | |
3.25% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26 | | | EUR 6,890,000 | | | | 7,450,303 | |
Packers Holdings LLC | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28 | | | 36,302,422 | | | | 35,712,508 | |
BGIS (BIFM CA Buyer, Inc.) | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26††† | | | 32,550,629 | | | | 31,980,993 | |
Zephyr Bidco Ltd. | | | | | | | | |
5.47% (1 Month GBP SONIA + 4.75%, Rate Floor: 5.23%) due 07/23/25 | | | GBP 23,950,000 | | | | 30,662,066 | |
Mavis Tire Express Services TopCo Corp. | | | | | | | | |
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28 | | | 28,506,750 | | | | 28,288,958 | |
CNT Holdings I Corp. | | | | | | | | |
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 11/08/27 | | | 24,007,500 | | | | 23,852,412 | |
Pacific Bells, LLC | | | | | | | | |
5.00% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 11/10/28††† | | | 22,854,062 | | | | 22,596,954 | |
Flamingo | | | | | | | | |
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/24/28 | | | EUR 18,600,000 | | | | 20,118,955 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
PetSmart LLC | | | | | | | | |
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28 | | | 20,099,000 | | | $ | 20,015,187 | |
Loire Finco Luxembourg SARL | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/27 | | | 19,503,738 | | | | 19,235,561 | |
BCP V Modular Services Holdings IV Ltd. | | | | | | | | |
4.50% (3 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 10/06/28 | | | EUR 14,800,000 | | | | 16,131,460 | |
Fertitta Entertainment LLC | | | | | | | | |
4.50% (1 Month USD Term SOFR + 4.00%, Rate Floor: 4.50%) due 01/27/29 | | | 14,050,000 | | | | 13,962,188 | |
New Trojan Parent, Inc. | | | | | | | | |
3.75% ((1 Month USD LIBOR + 3.25%) and (3 Month USD LIBOR + 3.25%), Rate Floor: 3.75%) due 01/06/28 | | | 13,944,625 | | | | 13,473,994 | |
Adevinta ASA | | | | | | | | |
3.00% (3 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 06/26/28 | | | EUR 11,000,000 | | | | 12,024,167 | |
Truck Hero, Inc. | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 01/31/28 | | | 8,910,000 | | | | 8,620,425 | |
PAI Holdco, Inc. | | | | | | | | |
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/28/27 | | | 5,111,375 | | | | 5,053,872 | |
Power Solutions (Panther) | | | | | | | | |
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26 | | | 3,931,066 | | | | 3,877,014 | |
SP PF Buyer LLC | | | | | | | | |
4.96% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25 | | | 3,356,743 | | | | 3,184,710 | |
Cast & Crew Payroll LLC | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/26 | | | 1,219,167 | | | | 1,209,584 | |
OEConnection LLC | | | | | | | | |
4.46% ((1 Month USD LIBOR + 4.00%) and (Commercial Prime Lending Rate + 3.00%), Rate Floor: 4.00%) due 09/25/26 | | | 1,169,943 | | | | 1,148,978 | |
1011778 BC Unlimited Liability Co. | | | | | | | | |
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/19/26 | | | 1,027,967 | | | | 1,004,622 | |
62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Rent-A-Center, Inc. | | | | | | | | |
3.81% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28 | | | 496,250 | | | $ | 485,397 | |
Total Consumer, Cyclical | | | 419,280,967 | |
| | | | | | | | | |
Industrial - 1.6% |
United Airlines, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28 | | | 40,689,000 | | | | 40,146,616 | |
American Bath Group LLC | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27 | | | 34,001,096 | | | | 32,986,503 | |
Mileage Plus Holdings LLC | | | | | | | | |
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | | | 30,500,000 | | | | 31,605,625 | |
Berry Global, Inc. | | | | | | | | |
2.07% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26 | | | 24,306,026 | | | | 23,930,012 | |
IFCO Management GmbH | | | | | | | | |
3.25% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 05/29/26 | | | EUR 19,870,000 | | | | 21,503,003 | |
SkyMiles IP Ltd. | | | | | | | | |
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 | | | 20,345,893 | | | | 20,978,446 | |
TransDigm, Inc. | | | | | | | | |
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25 | | | 14,726,263 | | | | 14,468,553 | |
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25 | | | 5,768,694 | | | | 5,658,743 | |
Merlin Buyer, Inc. | | | | | | | | |
4.65% (1 Month USD Term SOFR + 4.00%, Rate Floor: 4.50%) due 12/14/28 | | | 20,150,000 | | | | 19,646,250 | |
Hunter Douglas, Inc. | | | | | | | | |
4.00% (3 Month USD Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/26/29 | | | 19,750,000 | | | | 19,330,313 | |
Icebox Holdco III, Inc. | | | | | | | | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/28 | | | 17,607,143 | | | | 17,343,036 | |
TK Elevator Midco GmbH | | | | | | | | |
4.02% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27 | | | 12,690,176 | | | | 12,555,406 | |
3.63% (1 Month EURIBOR + 3.63%, Rate Floor: 3.63%) due 07/30/27 | | | EUR 3,000,000 | | | | 3,265,741 | |
AI Convoy Luxembourg SARL | | | | | | | | |
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 01/18/27 | | | EUR 13,593,008 | | | | 14,768,953 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Air Canada | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | | | 13,150,000 | | | $ | 13,012,977 | |
Fugue Finance BV | | | | | | | | |
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 08/30/24 | | | EUR 10,500,000 | | | | 11,457,978 | |
Service Logic Acquisition, Inc. | | | | | | | | |
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27 | | | 11,514,722 | | | | 11,380,345 | |
Hillman Group, Inc. | | | | | | | | |
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/14/28 | | | 10,749,374 | | | | 10,536,644 | |
Filtration Group Corp. | | | | | | | | |
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25 | | | EUR 7,928,042 | | | | 8,614,958 | |
3.46% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25 | | | 1,643,359 | | | | 1,617,509 | |
CapStone Acquisition Holdings, Inc. | | | | | | | | |
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27 | | | 8,706,359 | | | | 8,691,819 | |
TricorBraun Holdings, Inc. | | | | | | | | |
3.75% (6 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28 | | | 7,495,645 | | | | 7,296,786 | |
DXP Enterprises, Inc. | | | | | | | | |
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27 | | | 5,940,000 | | | | 5,876,917 | |
YAK MAT (YAK ACCESS LLC) | | | | | | | | |
10.95% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26 | | | 7,240,000 | | | | 4,627,591 | |
Charter Next Generation, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27 | | | 4,257,000 | | | | 4,230,394 | |
Dispatch Terra Acquisition LLC | | | | | | | | |
5.26% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28 | | | 3,864,444 | | | | 3,777,494 | |
Berlin Packaging LLC | | | | | | | | |
4.28% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.25%) due 03/13/28 | | | 2,892,750 | | | | 2,862,376 | |
Anchor Packaging LLC | | | | | | | | |
4.46% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/20/26 | | | 1,943,268 | | | | 1,904,403 | |
CHI Overhead Doors, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 07/31/25 | | | 1,428,250 | | | | 1,409,683 | |
64 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Fly Funding II SARL | | | | | | | | |
2.11% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/11/25 | | | 611,866 | | | $ | 594,580 | |
CPG International LLC | | | | | | | | |
3.25% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.25%) due 05/05/24 | | | 508,112 | | | | 503,285 | |
BWAY Holding Co. | | | | | | | | |
3.48% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | | | 122,429 | | | | 120,541 | |
API Heat Transfer | | | | | | | | |
12.00% (3 Month USD LIBOR 0.00%) (in-kind rate was 12.00%) due 01/01/24†††,15 | | | 50,341 | | | | 15,102 | |
12.00% (3 Month USD LIBOR 0.00%) (in-kind rate was 12.00%) due 10/02/23†††,15 | | | 9,251 | | | | 6,938 | |
Total Industrial | | | 376,725,520 | |
| | | | | | | | | |
Financial - 1.5% |
Citadel Securities, LP | | | | | | | | |
2.93% (1 Month USD Term SOFR + 2.50%, Rate Floor: 2.50%) due 02/02/28 | | | 62,527,500 | | | | 62,114,193 | |
Jane Street Group LLC | | | | | | | | |
3.21% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28 | | | 36,952,085 | | | | 36,374,893 | |
Trans Union LLC | | | | | | | | |
2.75% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28 | | | 29,614,750 | | | | 29,355,621 | |
USI, Inc. | | | | | | | | |
4.26% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26 | | | 19,747,761 | | | | 19,566,674 | |
4.01% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24 | | | 6,421,931 | | | | 6,373,638 | |
Nexus Buyer LLC | | | | | | | | |
4.21% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 | | | 25,725,637 | | | | 25,449,086 | |
Higginbotham Insurance Agency, Inc. | | | | | | | | |
6.25% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.25%) due 11/25/26††† | | | 25,318,672 | | | | 25,024,938 | |
HighTower Holding LLC | | | | | | | | |
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28 | | | 22,735,750 | | | | 22,508,392 | |
Alter Domus | | | | | | | | |
4.50% (3 Month USD SOFR + 3.75%, Rate Floor: 4.50%) due 02/17/28 | | | 20,733,325 | | | | 20,461,304 | |
Orion Advisor Solutions, Inc. | | | | | | | | |
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/24/27 | | | 17,460,011 | | | | 17,290,824 | |
HUB International Ltd. | | | | | | | | |
3.27% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25 | | | 14,696,680 | | | | 14,514,441 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
AmWINS Group, Inc. | | | | | | | | |
3.00% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28 | | | 13,232,558 | | | $ | 13,000,988 | |
Franchise Group, Inc. | | | | | | | | |
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26 | | | 12,394,764 | | | | 12,363,777 | |
Jones Deslauriers Insurance Management, Inc. | | | | | | | | |
5.00% (3 Month Canada Banker Acceptance + 4.25%, Rate Floor: 5.00%) due 03/27/28 | | | CAD 11,913,657 | | | | 9,246,403 | |
8.24% (3 Month Canada Banker Acceptance + 7.50%, Rate Floor: 8.00%) due 03/26/29 | | | CAD 3,171,000 | | | | 2,480,099 | |
8.38% (3 Month Canada Banker Acceptance + 7.50%, Rate Floor: 8.00%) due 03/26/29 | | | CAD 318,000 | | | | 248,714 | |
Cross Financial Corp. | | | | | | | | |
4.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27 | | | 12,028,728 | | | | 11,928,529 | |
Duff & Phelps | | | | | | | | |
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27 | | | 10,145,113 | | | | 10,081,706 | |
Franchise Group, Inc. | | | | | | | | |
5.29% (1 Month USD Term SOFR + 4.75%, Rate Floor: 4.75%) due 11/22/23††† | | | 9,008,006 | | | | 8,962,966 | |
Alliant Holdings Intermediate LLC | | | | | | | | |
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 | | | 8,105,117 | | | | 8,006,721 | |
NFP Corp. | | | | | | | | |
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27 | | | 7,592,127 | | | | 7,445,068 | |
Total Financial | | | 362,798,975 | |
| | | | | | | | | |
Consumer, Non-cyclical - 1.5% |
Quirch Foods Holdings LLC | | | | | | | | |
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 10/27/27 | | | 38,716,219 | | | | 38,425,847 | |
Bombardier Recreational Products, Inc. | | | | | | | | |
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27 | | | 33,656,566 | | | | 32,975,020 | |
PetIQ LLC | | | | | | | | |
4.75% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 04/13/28††† | | | 28,755,500 | | | | 28,539,834 | |
66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
National Mentor Holdings, Inc. | | | | | | | | |
4.64% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28 | | | 28,137,023 | | | $ | 27,171,642 | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28 | | | 538,426 | | | | 519,952 | |
Southern Veterinary Partners LLC | | | | | | | | |
5.00% (6 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27 | | | 21,985,258 | | | | 21,792,887 | |
Sunshine Investments BV | | | | | | | | |
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 03/28/25 | | | EUR 18,059,706 | | | | 19,791,935 | |
Nidda Healthcare Holding GmbH | | | | | | | | |
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26 | | | EUR 18,276,306 | | | | 19,334,823 | |
HAH Group Holding Co. LLC | | | | | | | | |
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27 | | | 19,519,448 | | | | 19,226,656 | |
Mission Veterinary Partners | | | | | | | | |
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28 | | | 19,203,500 | | | | 18,963,456 | |
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 | | | | 17,560,584 | |
Women’s Care Holdings, Inc. | | | | | | | | |
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28 | | | 16,220,033 | | | | 15,976,733 | |
Blue Ribbon LLC | | | | | | | | |
6.75% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28 | | | 14,478,750 | | | | 14,174,696 | |
Endo Luxembourg Finance Company I SARL | | | | | | | | |
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 03/27/28 | | | 12,474,000 | | | | 11,656,703 | |
Medline Borrower LP | | | | | | | | |
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 10/23/28 | | | 9,000,000 | | | | 8,905,500 | |
Avantor Funding, Inc. | | | | | | | | |
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 11/08/27 | | | 7,704,285 | | | | 7,634,099 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Confluent Health LLC | | | | | | | | |
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/30/28 | | | 7,695,133 | | | $ | 7,598,944 | |
Energizer Holdings, Inc. | | | | | | | | |
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27 | | | 7,425,000 | | | | 7,295,062 | |
SCP Eye Care Services LLC | | | | | | | | |
6.00% (3 Month USD LIBOR + 4.50%, Rate Floor: 6.00%) due 03/16/28 | | | 7,274,574 | | | | 7,147,269 | |
Elanco Animal Health, Inc. | | | | | | | | |
1.98% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27 | | | 6,611,674 | | | | 6,498,019 | |
IQVIA, Inc. | | | | | | | | |
2.00% (3 Month EURIBOR + 2.00%, Rate Floor: 2.00%) due 03/07/24 | | | EUR 4,683,039 | | | | 5,095,273 | |
Elsan SAS | | | | | | | | |
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 06/16/28 | | | EUR 4,500,000 | | | | 4,920,422 | |
Pearl Intermediate Parent LLC | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25 | | | 4,775,510 | | | | 4,745,663 | |
Midwest Physician Administrative Services | | | | | | | | |
4.26% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/13/28 | | | 4,459,705 | | | | 4,397,269 | |
Spectrum Brands, Inc. | | | | | | | | |
2.50% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 03/03/28 | | | 3,960,000 | | | | 3,903,095 | |
Kronos Acquisition Holdings, Inc. | | | | | | | | |
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | | | 3,207,600 | | | | 2,980,406 | |
Callaway Golf Company | | | | | | | | |
4.96% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 01/02/26 | | | 2,483,909 | | | | 2,477,699 | |
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 | | | 817,424 | | | | 805,890 | |
Aveanna Healthcare LLC | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/17/28 | | | 485,575 | | | | 472,101 | |
Atkins Nutritionals, Inc. | | | | | | | | |
3.85%% (1 Month USD Term SOFR + 3.25%, Rate Floor: 3.85%) due 07/07/24 | | | 135,799 | | | | 134,866 | |
Total Consumer, Non-cyclical | | | 361,122,345 | |
| | | | | | | | | |
68 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Technology - 1.0% |
Datix Bidco Ltd. | | | | | | | | |
4.96% (6 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25††† | | | GBP 45,800,000 | | | $ | 59,901,553 | |
Peraton Corp. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | | | 32,906,007 | | | | 32,628,280 | |
Planview Parent, Inc. | | | | | | | | |
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27 | | | 29,575,625 | | | | 29,168,960 | |
Team.Blue Finco SARL | | | | | | | | |
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/27/28 | | | EUR 22,750,000 | | | | 24,796,669 | |
Valkyr Purchaser, LLC | | | | | | | | |
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 11/05/27 | | | 23,017,500 | | | | 22,959,956 | |
Apttus Corp. | | | | | | | | |
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28 | | | 12,487,250 | | | | 12,435,178 | |
Project Boost Purchaser LLC | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26 | | | 6,352,000 | | | | 6,272,600 | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26 | | | 4,650,553 | | | | 4,594,607 | |
Boxer Parent Co., Inc. | | | | | | | | |
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 10/02/25 | | | EUR 8,244,583 | | | | 9,090,389 | |
Aston FinCo SARL | | | | | | | | |
5.46% (3 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 10/09/26††† | | | GBP 5,756,573 | | | | 7,429,763 | |
Transact Holdings, Inc. | | | | | | | | |
5.21% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 04/30/26 | | | 7,266,879 | | | | 7,189,705 | |
Athenahealth Group, Inc. | | | | | | | | |
4.00% (1 Month USD Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/15/29 | | | 6,071,014 | | | | 5,996,645 | |
Sportradar Capital SARL | | | | | | | | |
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 11/22/27 | | | EUR 5,300,000 | | | | 5,731,003 | |
Navicure, Inc. | | | | | | | | |
4.46% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/22/26 | | | 5,635,950 | | | | 5,614,815 | |
Storable, Inc. | | | | | | | | |
4.05% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 04/17/28 | | | 4,987,500 | | | | 4,909,595 | |
Paya Holdings III, LLC | | | | | | | | |
4.26% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/23/28 | | | 3,383,000 | | | | 3,349,170 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Emerald TopCo, Inc. (Press Ganey) | | | | | | | | |
3.80% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 | | | 1,208,350 | | | $ | 1,190,793 | |
TIBCO Software, Inc. | | | | | | | | |
4.21% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26 | | | 884,250 | | | | 878,723 | |
Aston FinCo SARL | | | | | | | | |
4.71% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/09/26 | | | 636,018 | | | | 628,996 | |
Total Technology | | | 244,767,400 | |
| | | | | | | | | |
Basic Materials - 0.4% |
INEOS Ltd. | | | | | | | | |
2.75% (1 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26 | | | EUR 31,100,000 | | | | 33,287,703 | |
Illuminate Buyer LLC | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27 | | | 26,847,787 | | | | 25,925,028 | |
GrafTech Finance, Inc. | | | | | | | | |
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25 | | | 13,091,945 | | | | 12,911,931 | |
Trinseo Materials Operating S.C.A. | | | | | | | | |
2.96% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28 | | | 11,016,750 | | | | 10,810,186 | |
W.R. Grace Holdings LLC | | | | | | | | |
4.81% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 09/22/28 | | | 1,246,875 | | | | 1,234,406 | |
Total Basic Materials | | | 84,169,254 | |
| | | | | | | | | |
Communications - 0.3% |
Syndigo LLC | | | | | | | | |
5.25% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27††† | | | 24,651,000 | | | | 24,281,235 | |
McGraw Hill LLC | | | | | | | | |
5.55% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28 | | | 20,248,873 | | | | 20,014,796 | |
UPC Broadband Holding BV | | | | | | | | |
3.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/31/29 | | | 19,200,000 | | | | 18,920,064 | |
Xplornet Communications, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28 | | | 9,950,000 | | | | 9,748,910 | |
Authentic Brands | | | | | | | | |
due 12/10/28 | | | 2,602,985 | | | | 2,557,433 | |
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24 | | | 1,023,145 | | | | 1,013,762 | |
70 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Radiate Holdco LLC | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26 | | | 2,459,578 | | | $ | 2,435,917 | |
Zayo Group Holdings, Inc. | | | | | | | | |
3.46% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27 | | | 1,652,094 | | | | 1,606,249 | |
Internet Brands, Inc. | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/13/24 | | | 754,899 | | | | 744,731 | |
Flight Bidco, Inc. | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25 | | | 737,811 | | | | 712,298 | |
Telenet Financing USD LLC | | | | | | | | |
2.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/28/28 | | | 620,000 | | | | 604,940 | |
SFR Group S.A. | | | | | | | | |
3.93% (3 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 02/02/26 | | | 617,707 | | | | 602,845 | |
Total Communications | | | 83,243,180 | |
| | | | | | | | | |
Utilities - 0.2% |
Hamilton Projects Acquiror LLC | | | | | | | | |
5.51% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27 | | | 53,125,259 | | | | 52,018,660 | |
Energy - 0.1% |
ITT Holdings LLC | | | | | | | | |
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28 | | | 13,375,785 | | | | 13,175,148 | |
Venture Global Calcasieu Pass LLC | | | | | | | | |
2.83% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26††† | | | 10,726,864 | | | | 10,673,229 | |
Lotus Midstream, LLC | | | | | | | | |
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/29/25 | | | 543,351 | | | | 533,615 | |
Total Energy | | | 24,381,992 | |
| | | | | | | | | |
Total Senior Floating Rate Interests |
(Cost $2,048,529,481) | | | 2,008,508,293 | |
| | | | | |
FEDERAL AGENCY BONDS†† - 1.5% |
Tennessee Valley Authority |
4.25% due 09/15/65 | | | 138,205,000 | | | | 168,002,827 | |
4.63% due 09/15/60 | | | 42,258,000 | | | | 54,619,226 | |
5.38% due 04/01/56 | | | 8,960,000 | | | | 12,811,707 | |
due 09/15/5310,12 | | | 1,612,000 | | | | 546,142 | |
due 09/15/5510,12 | | | 1,612,000 | | | | 511,501 | |
due 09/15/5610,12 | | | 1,612,000 | | | | 490,912 | |
due 03/15/5710,12 | | | 1,612,000 | | | | 484,175 | |
due 09/15/5710,12 | | | 1,612,000 | | | | 475,917 | |
due 09/15/5810,12 | | | 1,612,000 | | | | 458,176 | |
due 03/15/5910,12 | | | 1,612,000 | | | | 450,338 | |
due 09/15/5910,12 | | | 1,612,000 | | | | 442,634 | |
due 09/15/6010,12 | | | 1,612,000 | | | | 426,814 | |
due 09/15/5410,12 | | | 1,020,000 | | | | 333,885 | |
due 03/15/6110,12 | | | 1,020,000 | | | | 265,442 | |
due 09/15/6110,12 | | | 1,020,000 | | | | 260,895 | |
due 09/15/6210,12 | | | 1,020,000 | | | | 250,037 | |
due 03/15/6310,12 | | | 1,020,000 | | | | 245,730 | |
due 09/15/6310,12 | | | 1,020,000 | | | | 241,497 | |
due 09/15/6410,12 | | | 1,020,000 | | | | 233,249 | |
due 03/15/6510,12 | | | 1,020,000 | | | | 229,231 | |
due 09/15/6510,12 | | | 1,020,000 | | | | 224,321 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Tennessee Valley Authority Principal Strips |
due 01/15/4812,13 | | | 38,400,000 | | | $ | 15,931,430 | |
due 12/15/4212,13 | | | 23,785,000 | | | | 11,856,608 | |
due 01/15/3812,13 | | | 15,800,000 | | | | 9,481,469 | |
due 09/15/6512,13 | | | 3,500,000 | | | | 769,731 | |
due 09/15/3912,13 | | | 570,000 | | | | 320,230 | |
due 04/01/5612,13 | | | 540,000 | | | | 167,614 | |
Federal Farm Credit Bank |
3.58% due 04/11/47 | | | 4,900,000 | | | | 5,227,129 | |
3.00% due 03/08/32 | | | 5,100,000 | | | | 4,965,437 | |
2.00% due 05/14/40 | | | 3,000,000 | | | | 2,478,618 | |
2.04% due 12/22/45 | | | 2,870,000 | | | | 2,255,639 | |
2.60% due 06/28/39 | | | 2,000,000 | | | | 1,801,296 | |
1.99% due 07/30/40 | | | 2,000,000 | | | | 1,628,982 | |
2.48% due 11/17/36 | | | 1,650,000 | | | | 1,498,946 | |
3.11% due 08/05/48 | | | 1,500,000 | | | | 1,478,509 | |
2.75% due 02/02/37 | | | 1,580,000 | | | | 1,473,784 | |
3.79% due 05/18/44 | | | 1,000,000 | | | | 1,091,902 | |
2.69% due 11/29/41 | | | 1,080,000 | | | | 957,327 | |
2.43% due 01/29/37 | | | 720,000 | | | | 678,045 | |
2.90% due 12/09/41 | | | 720,000 | | | | 645,373 | |
2.84% due 06/01/46 | | | 720,000 | | | | 634,441 | |
2.59% due 12/30/41 | | | 180,000 | | | | 158,250 | |
2.59% due 08/24/46 | | | 140,000 | | | | 118,172 | |
2.88% due 10/01/40 | | | 100,000 | | | | 96,621 | |
3.67% due 02/26/44 | | | 70,000 | | | | 75,188 | |
Freddie Mac |
due 01/02/3412 | | | 18,000,000 | | | | 12,834,324 | |
due 11/15/3812 | | | 11,265,000 | | | | 6,699,769 | |
due 09/15/3612 | | | 7,355,000 | | | | 4,788,723 | |
2.05% due 08/19/50 | | | 2,010,000 | | | | 1,522,641 | |
2.02% due 10/05/45 | | | 720,000 | | | | 559,573 | |
2.25% due 09/15/50 | | | 360,000 | | | | 283,083 | |
Federal Home Loan Bank |
3.63% due 06/22/43 | | | 4,850,000 | | | | 5,175,891 | |
3.25% due 06/10/39 | | | 4,500,000 | | | | 4,603,369 | |
2.69% due 09/26/34 | | | 1,350,000 | | | | 1,272,388 | |
2.45% due 08/16/41 | | | 540,000 | | | | 463,928 | |
Fannie Mae |
due 07/15/3212 | | | 3,963,000 | | | | 2,968,283 | |
due 01/15/3512 | | | 2,250,000 | | | | 1,553,236 | |
due 02/06/3312 | | | 1,456,000 | | | | 1,072,426 | |
due 01/15/3312 | | | 1,450,000 | | | | 1,070,902 | |
Freddie Mac Coupon Strips |
due 09/15/3010,12 | | | 2,906,000 | | | | 2,318,535 | |
due 03/15/3110,12 | | | 2,500,000 | | | | 1,968,150 | |
due 07/15/3110,12 | | | 1,800,000 | | | | 1,396,807 | |
due 01/15/3010,12 | | | 1,050,000 | | | | 853,443 | |
Fannie Mae Principal Strips |
due 08/06/3812,13 | | | 5,850,000 | | | | 3,514,932 | |
Resolution Funding Corporation Principal Strips |
due 01/15/3012,13 | | | 1,950,000 | | | | 1,578,837 | |
due 04/15/3012,13 | | | 725,000 | | | | 582,602 | |
Total Federal Agency Bonds |
(Cost $400,396,341) | | | | | | | 364,877,239 | |
| | | | | | | | | |
MUNICIPAL BONDS†† - 0.7% |
New York - 0.3% |
Westchester County Local Development Corp. Revenue Bonds | | | | | | | | |
3.85% due 11/01/50 | | | 40,000,000 | | | | 37,088,300 | |
Port Authority of New York & New Jersey Revenue Bonds | | | | | | | | |
3.14% due 02/15/51 | | | 23,045,000 | | | | 20,710,834 | |
Total New York | | | 57,799,134 | |
| | | | | | | | | |
Texas - 0.2% |
Dallas Fort Worth International Airport Revenue Bonds | | | | | | | | |
3.09% due 11/01/40 | | | 13,800,000 | | | | 12,746,380 | |
City of San Antonio Texas Electric & Gas Systems Revenue Bonds | | | | | | | | |
2.91% due 02/01/48 | | | 10,500,000 | | | | 8,927,653 | |
Wylie Independent School District General Obligation Unlimited | | | | | | | | |
due 08/15/4612 | | | 8,885,000 | | | | 3,388,324 | |
Central Texas Turnpike System Revenue Bonds | | | | | | | | |
3.03% due 08/15/41 | | | 3,150,000 | | | | 2,737,172 | |
72 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
Central Texas Regional Mobility Authority Revenue Bonds | | | | | | | | |
3.17% due 01/01/41 | | | 3,000,000 | | | $ | 2,668,413 | |
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds | | | | | | | | |
3.42% due 09/01/50 | | | 2,500,000 | | | | 2,243,396 | |
Harris County-Houston Sports Authority Revenue Bonds | | | | | | | | |
due 11/15/4512 | | | 2,850,000 | | | | 998,131 | |
due 11/15/4112 | | | 1,500,000 | | | | 654,718 | |
Harris County Cultural Education Facilities Finance Corp. Revenue Bonds | | | | | | | | |
3.34% due 11/15/37 | | | 1,500,000 | | | | 1,443,813 | |
Dallas/Fort Worth International Airport Revenue Bonds | | | | | | | | |
2.92% due 11/01/50 | | | 1,300,000 | | | | 1,167,170 | |
Grand Parkway Transportation Corp. Revenue Bonds | | | | | | | | |
3.31% due 10/01/49 | | | 1,000,000 | | | | 896,208 | |
Total Texas | | | 37,871,378 | |
| | | | | | | | | |
California - 0.1% |
California Public Finance Authority Revenue Bonds | | | | | | | | |
3.07% due 10/15/40 | | | 8,000,000 | | | | 7,178,465 | |
2.55% due 01/01/40 | | | 3,600,000 | | | | 3,250,235 | |
Oakland Unified School District/Alameda County General Obligation Unlimited | | | | | | | | |
2.87% due 08/01/35 | | | 7,405,000 | | | | 6,787,145 | |
3.12% due 08/01/40 | | | 600,000 | | | | 543,147 | |
San Mateo Foster City School District General Obligation Unlimited | | | | | | | | |
3.06% due 08/01/44 | | | 6,125,000 | | | | 5,647,464 | |
California State University Revenue Bonds | | | | | | | | |
2.98% due 11/01/51 | | | 5,000,000 | | | | 4,460,814 | |
Oakland Redevelopment Agency Successor Agency Tax Allocation | | | | | | | | |
4.00% due 09/01/39 | | | 1,100,000 | | | | 1,120,117 | |
Hillsborough City School District General Obligation Unlimited | | | | | | | | |
due 09/01/3712 | | | 1,000,000 | | | | 525,178 | |
due 09/01/3912 | | | 1,000,000 | | | | 468,234 | |
Total California | | | 29,980,799 | |
| | | | | | | | | |
Illinois - 0.0% |
State of Illinois General Obligation Unlimited | | | | | | | | |
5.65% due 12/01/38 | | | 5,524,999 | | | | 6,241,522 | |
6.63% due 02/01/35 | | | 1,820,000 | | | | 2,147,682 | |
City of Chicago Illinois General Obligation Unlimited | | | | | | | | |
6.31% due 01/01/44 | | | 4,500,000 | | | | 5,230,046 | |
Total Illinois | | | 13,619,250 | |
| | | | | | | | | |
Mississippi - 0.1% |
Medical Center Educational Building Corp. Revenue Bonds | | | | | | | | |
2.92% due 06/01/41 | | | 11,800,000 | | | | 10,359,100 | |
| | | | | | | | | |
Alabama - 0.0% |
Auburn University Revenue Bonds | | | | | | | | |
2.68% due 06/01/50 | | | 6,500,000 | | | | 5,396,495 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Face
Amount~ | | | Value | |
North Carolina - 0.0% |
Inlivian Revenue Bonds | | | | | | | | |
3.02% due 01/01/38 | | | 4,125,000 | | | $ | 3,890,868 | |
Total North Carolina | | | 3,890,868 | |
| | | | | | | | | |
Ohio - 0.0% |
County of Franklin Ohio Revenue Bonds | | | | | | | | |
2.88% due 11/01/50 | | | 4,000,000 | | | | 3,198,044 | |
| | | | | | | | | |
Washington - 0.0% |
Central Washington University Revenue Bonds | | | | | | | | |
6.95% due 05/01/40 | | | 1,750,000 | | | | 2,343,300 | |
| | | | | | | | | |
Arizona - 0.0% |
Northern Arizona University Revenue Bonds | | | | | | | | |
3.09% due 08/01/39 | | | 2,350,000 | | | | 2,145,841 | |
| | | | | | | | | |
Florida - 0.0% |
County of Miami-Dade Florida Revenue Bonds | | | | | | | | |
due 10/01/4112 | | | 4,100,000 | | | | 1,906,964 | |
| | | | | | | | | |
Oklahoma - 0.0% |
Tulsa Airports Improvement Trust Revenue Bonds | | | | | | | | |
3.10% due 06/01/45 | | | 1,000,000 | | | | 880,455 | |
Oklahoma Development Finance Authority Revenue Bonds | | | | | | | | |
4.65% due 08/15/30 | | | 450,000 | | | | 472,589 | |
Total Oklahoma | | | 1,353,044 | |
| | | | | | | | | |
Pennsylvania - 0.0% |
Pennsylvania Economic Development Financing Authority Revenue Bonds | | | | | | | | |
due 01/01/4112 | | | 995,000 | | | | 484,572 | |
| | | | | | | | | |
Idaho - 0.0% |
Boise State University Revenue Bonds | | | | | | | | |
3.06% due 04/01/40 | | | 250,000 | | | | 232,488 | |
Total Municipal Bonds |
(Cost $185,915,482) | | | 170,581,277 | |
FOREIGN GOVERNMENT DEBT†† - 0.1% |
Panama Government International Bond |
4.50% due 04/16/50 | | | 22,700,000 | | | | 22,419,655 | |
Bermuda Government International Bond |
3.38% due 08/20/504 | | | 8,400,000 | | | | 7,373,520 | |
Chile Government International Bond |
4.34% due 03/07/42 | | | 360,000 | | | | 369,565 | |
Total Foreign Government Debt |
(Cost $34,205,132) | | | | | | | 30,162,740 | |
| | | | | | | | | |
SENIOR FIXED RATE INTERESTS††† - 0.0% |
Industrial - 0.0% |
CTL Logistics | | | | | | | | |
2.65% due 10/10/42 | | | 7,057,887 | | | | 6,324,170 | |
Total Senior Fixed Rate Interests |
(Cost $7,057,887) | | | 6,324,170 | |
| | | Contracts/
Notional Value | | | | | |
OTC OPTIONS PURCHASED†† - 0.0% |
Call Options on: |
Interest Rate Options |
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | | | USD 6,229,100,000 | | | | 809,783 | |
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | | | USD 1,402,500,000 | | | | 182,325 | |
74 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | Contracts/
Notional Value | | | Value | |
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | | | USD 1,880,100,000 | | | $ | 94,005 | |
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | | | USD 630,100,000 | | | | 31,505 | |
Total OTC Options Purchased |
(Cost $23,214,539) | | | | | | | 1,117,618 | |
| | | | | | | | | |
Total Investments - 105.6% |
(Cost $26,812,408,557) | | $ | 25,431,375,640 | |
| | | | | | | | | |
LISTED OPTIONS WRITTEN† - 0.0% |
Call Options on: |
Equity Options |
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $305,584) | | | 142 | | | | (7,100 | ) |
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $314,192) | | | 146 | | | | (9,855 | ) |
Total Listed Options Written |
(Premiums received $304,075) | | | | | | | (16,955 | ) |
Other Assets & Liabilities, net - (5.6)% | | | (1,347,700,587 | ) |
Total Net Assets - 100.0% | | $ | 24,083,658,098 | |
Centrally Cleared Interest Rate Swap Agreements†† |
Counterparty | Exchange | Floating
Rate Type | Floating
Rate Index | | Fixed
Rate | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | |
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | 1.34% | Annually | 09/30/31 | | $ | 300,000,000 | |
| | | Value | | | Upfront
Premiums
Received | | | Unrealized
Depreciation** | |
| | | $ | (19,787,766 | ) | | $ | (67,272 | ) | | $ | (19,720,494 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
Total Return Swap Agreements |
Counterparty | Reference
Obligation | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Credit Index Swap Agreements†† |
Goldman Sachs International | iShares iBoxx $ High Yield Corporate Bond ETF | Receive | (0.72)% (Federal Funds Rate - 1.05%) | | | At Maturity | | | | 06/23/22 | | | | 636,284 | | | $ | 52,359,810 | | | $ | 451,762 | |
Bank of America, N.A. | iShares iBoxx $ High Yield Corporate Bond ETF | Receive | (0.77)% (Federal Funds Rate - 1.10%) | | | At Maturity | | | | 06/23/22 | | | | 252,716 | | | | 20,796,000 | | | | 179,428 | |
| | | | | | | | | | | | | | | | | | $ | 73,155,810 | | | $ | 631,190 | |
Forward Foreign Currency Exchange Contracts†† |
Counterparty | | Currency | | | Type | | | Quantity | | | Contract
Amount | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
Goldman Sachs International | | | ILS | | | | Buy | | | | 67,282,219 | | 18,074,471 USD | | | 08/01/22 | | | $ | 3,151,434 | |
Goldman Sachs International | | | ILS | | | | Buy | | | | 28,886,625 | | 7,727,829 USD | | | 11/30/22 | | | | 1,460,643 | |
JPMorgan Chase Bank, N.A. | | | EUR | | | | Sell | | | | 9,405,000 | | 10,466,448 USD | | | 06/30/22 | | | | 21,780 | |
Morgan Stanley Capital Services LLC | | | EUR | | | | Sell | | | | 4,485,000 | | 4,975,843 USD | | | 04/14/22 | | | | 11,423 | |
Morgan Stanley Capital Services LLC | | | CAD | | | | Buy | | | | 183,000 | | 143,219 USD | | | 04/14/22 | | | | 3,196 | |
Citibank, N.A. | | | CAD | | | | Sell | | | | 213,000 | | 170,085 USD | | | 04/14/22 | | | | (333 | ) |
JPMorgan Chase Bank, N.A. | | | CAD | | | | Sell | | | | 318,000 | | 252,538 USD | | | 04/14/22 | | | | (1,888 | ) |
Barclays Bank plc | | | CAD | | | | Sell | | | | 14,780,000 | | 11,599,223 USD | | | 04/14/22 | | | | (226,023 | ) |
Goldman Sachs International | | | ILS | | | | Sell | | | | 28,886,625 | | 8,761,488 USD | | | 11/30/22 | | | | (426,984 | ) |
Barclays Bank plc | | | GBP | | | | Sell | | | | 80,360,000 | | 104,691,915 USD | | | 04/14/22 | | | | (866,405 | ) |
Goldman Sachs International | | | ILS | | | | Sell | | | | 67,282,219 | | 20,296,295 USD | | | 08/01/22 | | | | (929,610 | ) |
Bank of America, N.A. | | | EUR | | | | Sell | | | | 420,840,000 | | 459,605,677 USD | | | 04/14/22 | | | | (6,219,613 | ) |
| | | | | | | | | | | | | | | | | | | | | | | $ | (4,022,380 | ) |
76 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
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 input, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 input, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
1 | Special Purpose Acquisition Company (SPAC). |
2 | Affiliated issuer. |
3 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
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 $10,507,914,752 (cost $11,036,917,472), or 43.6% of total net assets. |
5 | Rate indicated is the 7-day yield as of March 31, 2022. |
6 | Perpetual maturity. |
7 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At March 31, 2022, the total market value of segregated or earmarked securities was $1,843,823,088 — See Note 6. |
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 $535,477,610 (cost $547,904,121), or 2.2% of total net assets — See Note 10. |
9 | Security is in default of interest and/or principal obligations. |
10 | Security is an interest-only strip. |
11 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
12 | Zero coupon rate security. |
13 | Security is a principal-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 March 31, 2022. See table below for additional step information for each security. |
15 | Payment-in-kind security. |
| | BofA — Bank of America |
| | CAD — Canadian Dollar |
| | CME — Chicago Mercantile Exchange |
| | CMS — Constant Maturity Swap |
| | CMT — Constant Maturity Treasury |
| | EUR — Euro |
| | EURIBOR — European Interbank Offered Rate |
| | GBP — British Pound |
| | ILS — Israeli New Shekel |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | REMIC — Real Estate Mortgage Investment Conduit |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 77 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
| | REIT — Real Estate Investment Trust |
| | SARL — Société à Responsabilité Limitée |
| | SOFR — Secured Overnight Financing Rate |
| | SONIA — Sterling Overnight Index Average |
| | WAC — Weighted Average Coupon |
| | |
| | See Sector Classification in Other Information section. |
78 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 273,480,102 | | | $ | — | | | $ | 529 | | | $ | 273,480,631 | |
Preferred Stocks | | | — | | | | 1,167,923,744 | | | | — | * | | | 1,167,923,744 | |
Warrants | | | 2,213,071 | | | | — | | | | — | | | | 2,213,071 | |
Mutual Funds | | | 67,916,238 | | | | — | | | | — | | | | 67,916,238 | |
Closed-End Funds | | | 14,161,663 | | | | — | | | | — | | | | 14,161,663 | |
Money Market Funds | | | 110,029,283 | | | | — | | | | — | | | | 110,029,283 | |
Corporate Bonds | | | — | | | | 9,100,351,674 | | | | 625,716,782 | | | | 9,726,068,456 | |
Asset-Backed Securities | | | — | | | | 4,742,516,277 | | | | 625,639,267 | | | | 5,368,155,544 | |
U.S. Government Securities | | | — | | | | 3,103,206,459 | | | | — | | | | 3,103,206,459 | |
Collateralized Mortgage Obligations | | | — | | | | 2,762,911,766 | | | | 253,737,448 | | | | 3,016,649,214 | |
Senior Floating Rate Interests | | | — | | | | 1,722,296,798 | | | | 286,211,495 | | | | 2,008,508,293 | |
Federal Agency Bonds | | | — | | | | 364,877,239 | | | | — | | | | 364,877,239 | |
Municipal Bonds | | | — | | | | 170,581,277 | | | | — | | | | 170,581,277 | |
Foreign Government Debt | | | — | | | | 30,162,740 | | | | — | | | | 30,162,740 | |
Senior Fixed Rate Interests | | | — | | | | — | | | | 6,324,170 | | | | 6,324,170 | |
Options Purchased | | | — | | | | 1,117,618 | | | | — | | | | 1,117,618 | |
Forward Foreign Currency Exchange Contracts** | | | — | | | | 4,648,476 | | | | — | | | | 4,648,476 | |
Credit Index Swap Agreements** | | | — | | | | 631,190 | | | | — | | | | 631,190 | |
Total Assets | | $ | 467,800,357 | | | $ | 23,171,225,258 | | | $ | 1,797,629,691 | | | $ | 25,436,655,306 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Options Written | | $ | 16,955 | | | $ | — | | | $ | — | | | $ | 16,955 | |
Interest Rate Swap Agreements** | | | — | | | | 19,720,494 | | | | — | | | | 19,720,494 | |
Forward Foreign Currency Exchange Contracts** | | | — | | | | 8,670,856 | | | | — | | | | 8,670,856 | |
Unfunded Loan Commitments (Note 9) | | | — | | | | — | | | | 855,225 | | | | 855,225 | |
Total Liabilities | | $ | 16,955 | | | $ | 28,391,350 | | | $ | 855,225 | | | $ | 29,263,530 | |
* | 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 $1,405,450,380 are categorized as Level 2 within the disclosure hierarchy — See Note 6.
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 79 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
TOTAL RETURN 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 at
March 31, 2022 | | Valuation Technique | Unobservable
Inputs | | Input Range | | | Weighted
Average* | |
Assets: | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | 384,308,019 | | Option adjusted spread off prior month end broker quote | Broker Quote | — | — |
Asset-Backed Securities | | | 112,903,686 | | Third Party Pricing | Broker Quote | — | — |
Asset-Backed Securities | | | 53,560,172 | | Option adjusted spread off third party pricing | Trade Price | — | — |
Asset-Backed Securities | | | 50,633,390 | | Yield Analysis | Yield | 4.3%-4.8% | 4.6% |
Asset-Backed Securities | | | 24,234,000 | | Third Party Pricing | Trade Price | — | — |
Collateralized Mortgage Obligations | | | 140,873,888 | | Option adjusted spread off prior month end broker quote | Broker Quote | — | — |
Collateralized Mortgage Obligations | | | 112,863,560 | | Model Price | Market Comparable Yields | 4.7% | — |
Common Stocks | | | 522 | | Enterprise Value | Valuation Multiple | 3.2x-11.8x | 5.6x |
Common Stocks | | | 7 | | Model Price | Liquidation Value | — | — |
Corporate Bonds | | | 443,682,957 | | Option adjusted spread off prior month end broker quote | Broker Quote | — | — |
Corporate Bonds | | | 89,684,820 | | Third Party Pricing | Vendor Price | — | — |
Corporate Bonds | | | 87,630,005 | | Yield Analysis | Yield | 4.4%-4.7% | 4.5% |
Corporate Bonds | | | 4,719,000 | | Model Price | Purchase Price | — | — |
Senior Fixed Rate Interests | | | 6,324,170 | | Yield Analysis | Yield | 2.7% | — |
Senior Floating Rate Interests | | | 151,724,481 | | Yield Analysis | Yield | 5.6%-7.3% | 6.4% |
Senior Floating Rate Interests | | | 134,487,014 | | Third Party Pricing | Broker Quote | — | — |
Total Assets | | $ | 1,797,629,691 | | | | | |
Liabilities: | | | | | | | | | | | | | | |
Unfunded Loan Commitments | | $ | 855,225 | | Model Price | Purchase Price | — | — |
* | Inputs are weighted by the fair value of the instruments. |
Significant changes in a 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 period ended March 31, 2022, the Fund had securities with a total value of $417,383,049 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $25,069,412 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.
80 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
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 period ended March 31, 2022:
| | | Assets | |
| | Asset-
Backed
Securities | | | Collateralized
Mortgage
Obligations | | | Corporate
Bonds | | | Senior
Floating
Rate Interests | |
Beginning Balance | | $ | 728,643,975 | | | $ | 102,193,653 | | | $ | 624,825,088 | | | $ | 136,117,831 | |
Purchases/(Receipts) | | | 195,644,000 | | | | 5,161,420 | | | | 57,763,600 | | | | 54,552,873 | |
(Sales, maturities and paydowns)/Fundings | | | (330,903,374 | ) | | | (97,484,879 | ) | | | (4,170,886 | ) | | | (7,545,900 | ) |
Amortization of premiums/discounts | | | 485,956 | | | | (20,867 | ) | | | (26,396 | ) | | | 193,212 | |
Total realized gains (losses) included in earnings | | | 605,714 | | | | (62,313 | ) | | | — | | | | 383,857 | |
Total change in unrealized appreciation (depreciation) included in earnings | | | (12,028,002 | ) | | | (676,737 | ) | | | (54,387,361 | ) | | | (273,109 | ) |
Transfers into Level 3 | | | 43,190,998 | | | | 244,627,171 | | | | 1,712,737 | | | | 127,852,143 | |
Transfers out of Level 3 | | | — | | | | — | | | | — | | | | (25,069,412 | ) |
Ending Balance | | $ | 625,639,267 | | | $ | 253,737,448 | | | $ | 625,716,782 | | | $ | 286,211,495 | |
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2022 | | $ | (12,028,002 | ) | | $ | (722,510 | ) | | $ | (54,387,361 | ) | | $ | 43,388 | |
| | | Assets | | | | | | | Liabilities | |
| | Common
Stocks | | | Senior Fixed
Rate Interests | | | Total
Assets | | | Unfunded
Loan
Commitments | |
Beginning Balance | | $ | 521 | | | $ | 6,865,207 | | | $ | 1,598,646,275 | | | $ | (654,750 | ) |
Purchases/(Receipts) | | | — | | | | — | | | | 313,121,893 | | | | (347,714 | ) |
(Sales, maturities and paydowns)/Fundings | | | — | | | | — | | | | (440,105,039 | ) | | | 612,017 | |
Amortization of premiums/discounts | | | — | | | | — | | | | 631,905 | | | | — | |
Total realized gains (losses) included in earnings | | | — | | | | — | | | | 927,258 | | | | 27,384 | |
Total change in unrealized appreciation (depreciation) included in earnings | | | 8 | | | | (541,037 | ) | | | (67,906,238 | ) | | | (492,162 | ) |
Transfers into Level 3 | | | — | | | | — | | | | 417,383,049 | | | | — | |
Transfers out of Level 3 | | | — | | | | — | | | | (25,069,412 | ) | | | — | |
Ending Balance | | $ | 529 | | | $ | 6,324,170 | | | $ | 1,797,629,691 | | | $ | (855,225 | ) |
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2022 | | $ | 8 | | | $ | (541,037 | ) | | $ | (67,635,514 | ) | | $ | (499,283 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 81 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
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 Reset Date | | | Next Rate
Reset Date | | | Future Reset Rate(s) | | | Future Reset Date(s) | |
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70 | | | 6.13 | % | | | 01/30/25 | | | | — | | | | — | |
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-GS5, 2.25% due 07/25/67 | | | 5.25 | % | | | 11/26/24 | | | | 6.25 | % | | | 11/26/25 | |
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 | | | 5.12 | % | | | 06/26/24 | | | | 6.12 | % | | | 06/26/25 | |
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, 2021, 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/1601445/000182126821000490/gugg83048-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.
82 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
TOTAL RETURN BOND FUND | |
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
09/30/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | |
Common Stocks | | | | | | | | | | | | | | | | |
BP Holdco LLC* | | $ | 375 | | | $ | — | | | $ | — | | | $ | — | |
Mutual Funds | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | | 27,213,251 | | | | 200,090 | | | | — | | | | — | |
Guggenheim Strategy Fund III | | | 14,737,023 | | | | 116,227 | | | | — | | | | — | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 26,783,244 | | | | 126,827 | | | | — | | | | — | |
| | | $ | 68,733,893 | | | $ | 443,144 | | | $ | — | | | $ | — | |
Security Name | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Common Stocks | | | | | | | | | | | | | | | | |
BP Holdco LLC* | | $ | — | | | $ | 375 | | | | 532 | | | $ | — | |
Mutual Funds | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | | (481,187 | ) | | | 26,932,154 | | | | 1,097,033 | | | | 200,091 | |
Guggenheim Strategy Fund III | | | (294,497 | ) | | | 14,558,753 | | | | 590,858 | | | | 116,227 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | (484,740 | ) | | | 26,425,331 | | | | 2,699,217 | | | | 126,827 | |
| | | $ | (1,260,424 | ) | | $ | 67,916,613 | | | | | | | $ | 443,145 | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 83 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
TOTAL RETURN BOND FUND |
March 31, 2022
Assets: |
Investments in unaffiliated issuers, at value (cost $26,743,422,522) | | $ | 25,363,459,027 | |
Investments in affiliated issuers, at value (cost $68,986,035) | | | 67,916,613 | |
Foreign currency, at value (cost 1,731,460) | | | 1,731,459 | |
Segregated cash with broker | | | 20,154,611 | |
Unrealized appreciation on OTC swap agreements | | | 631,190 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 4,648,476 | |
Prepaid expenses | | | 1,344,109 | |
Receivables: |
Securities sold | | | 28,746,828 | |
Interest | | | 158,519,203 | |
Fund shares sold | | | 45,322,327 | |
Variation margin on interest rate swap agreements | | | 3,066,699 | |
Dividends | | | 325,315 | |
Foreign tax reclaims | | | 111,572 | |
Swap settlement | | | 11,833 | |
Total assets | | | 25,695,989,262 | |
| | | | | |
Liabilities: |
Unfunded loan commitments, at value (Note 9) (commitment fees received $530,142) | | | 855,225 | |
Reverse repurchase agreements | | | 1,405,450,380 | |
Options written, at value (premiums received $304,075) | | | 16,955 | |
Overdraft due to custodian bank | | | 1,154,931 | |
Segregated cash due to broker | | | 26,041,198 | |
Unamortized upfront premiums received on interest rate swap agreements | | | 67,272 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 8,670,856 | |
Payable for: |
Securities purchased | | | 83,045,559 | |
Fund shares redeemed | | | 75,221,164 | |
Distributions to shareholders | | | 7,626,492 | |
Fund accounting/administration fees | | | 1,373,619 | |
Management fees | | | 1,112,926 | |
Transfer agent/maintenance fees | | | 588,050 | |
Distribution and service fees | | | 542,648 | |
Trustees’ fees* | | | 72,062 | |
Miscellaneous | | | 491,827 | |
Total liabilities | | | 1,612,331,164 | |
Net assets | | $ | 24,083,658,098 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 25,585,741,298 | |
Total distributable earnings (loss) | | | (1,502,083,200 | ) |
Net assets | | $ | 24,083,658,098 | |
| | | | | |
A-Class: |
Net assets | | $ | 559,473,263 | |
Capital shares outstanding | | | 21,123,397 | |
Net asset value per share | | $ | 26.49 | |
Maximum offering price per share (Net asset value divided by 96.00%) | | $ | 27.59 | |
| | | | | |
C-Class: |
Net assets | | $ | 266,480,015 | |
Capital shares outstanding | | | 10,060,127 | |
Net asset value per share | | $ | 26.49 | |
| | | | | |
P-Class: |
Net assets | | $ | 863,129,964 | |
Capital shares outstanding | | | 32,596,199 | |
Net asset value per share | | $ | 26.48 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 22,180,516,375 | |
Capital shares outstanding | | | 836,689,899 | |
Net asset value per share | | $ | 26.51 | |
| | | | | |
R6-Class: |
Net assets | | $ | 214,058,481 | |
Capital shares outstanding | | | 8,070,027 | |
Net asset value per share | | $ | 26.53 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
84 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF OPERATIONS (Unaudited) |
TOTAL RETURN BOND FUND |
Six Months Ended March 31, 2022
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 14,659,080 | |
Dividends from securities of affiliated issuers | | | 443,145 | |
Interest from securities in unaffiliated issuers (net of foreign withholding tax of $118,669) | | | 420,049,426 | |
Total investment income | | | 435,151,651 | |
| | | | | |
Expenses: |
Management fees | | | 51,717,192 | |
Distribution and service fees: |
A-Class | | | 795,641 | |
C-Class | | | 1,515,680 | |
P-Class | | | 1,262,147 | |
Transfer agent/maintenance fees: |
A-Class | | | 286,007 | |
C-Class | | | 151,172 | |
P-Class | | | 877,875 | |
Institutional Class | | | 12,718,610 | |
R6-Class | | | 10,297 | |
Fund accounting/administration fees | | | 8,581,962 | |
Line of credit fees | | | 819,967 | |
Professional fees | | | 644,181 | |
Trustees’ fees* | | | 196,924 | |
Custodian fees | | | 153,568 | |
Interest expense | | | 129,823 | |
Miscellaneous | | | 777,368 | |
Recoupment of previously waived fees: |
A-Class | | | 13,217 | |
R6-Class | | | 9,617 | |
Total expenses | | | 80,661,248 | |
Less: |
Expenses reimbursed by Adviser: |
A-Class | | | (114,289 | ) |
C-Class | | | (62,755 | ) |
P-Class | | | (583,363 | ) |
Institutional Class | | | (10,428,141 | ) |
R6-Class | | | (2,380 | ) |
Expenses waived by Adviser | | | (297,607 | ) |
Earnings credits applied | | | (17,967 | ) |
Total waived/reimbursed expenses | | | (11,506,502 | ) |
Net expenses | | | 69,154,746 | |
Net investment income | | | 365,996,905 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (128,921,446 | ) |
Investments sold short | | | 850,079 | |
Swap agreements | | | 82,017,195 | |
Options purchased | | | (24,540,820 | ) |
Options written | | | 11,507,718 | |
Forward foreign currency exchange contracts | | | 54,358,085 | |
Foreign currency transactions | | | 334,905 | |
Net realized loss | | | (4,394,284 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (1,873,397,001 | ) |
Investments in affiliated issuers | | | (1,260,424 | ) |
Investments sold short | | | (898,925 | ) |
Swap agreements | | | (105,608,778 | ) |
Options purchased | | | (54,329,465 | ) |
Options written | | | (2,030,454 | ) |
Forward foreign currency exchange contracts | | | (27,314,093 | ) |
Foreign currency translations | | | (71,624 | ) |
Net change in unrealized appreciation (depreciation) | | | (2,064,910,764 | ) |
Net realized and unrealized loss | | | (2,069,305,048 | ) |
Net decrease in net assets resulting from operations | | $ | (1,703,308,143 | ) |
* | 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 SEMI-ANNUAL REPORT | 85 |
STATEMENTS OF CHANGES IN NET ASSETS |
TOTAL RETURN BOND FUND | |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 365,996,905 | | | $ | 673,140,168 | |
Net realized gain (loss) on investments | | | (4,394,284 | ) | | | 389,594,002 | |
Net change in unrealized appreciation (depreciation) on investments | | | (2,064,910,764 | ) | | | (484,963,594 | ) |
Net increase (decrease) in net assets resulting from operations | | | (1,703,308,143 | ) | | | 577,770,576 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (14,224,718 | ) | | | (35,606,058 | ) |
C-Class | | | (5,634,455 | ) | | | (15,002,591 | ) |
P-Class | | | (22,858,073 | ) | | | (49,331,911 | ) |
Institutional Class | | | (578,028,413 | ) | | | (1,162,088,286 | ) |
R6-Class | | | (5,674,279 | ) | | | (10,411,606 | ) |
Total distributions to shareholders | | | (626,419,938 | ) | | | (1,272,440,452 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 91,019,542 | | | | 301,735,718 | |
C-Class | | | 12,617,450 | | | | 71,243,493 | |
P-Class | | | 178,183,207 | | | | 592,976,433 | |
Institutional Class | | | 4,459,028,994 | | | | 11,987,961,377 | |
R6-Class | | | 56,758,724 | | | | 125,161,838 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 12,209,910 | | | | 30,151,720 | |
C-Class | | | 4,791,764 | | | | 12,720,024 | |
P-Class | | | 22,796,189 | | | | 49,197,254 | |
Institutional Class | | | 509,996,548 | | | | 1,001,642,286 | |
R6-Class | | | 5,647,439 | | | | 10,404,509 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (165,620,205 | ) | | | (441,115,944 | ) |
C-Class | | | (52,451,423 | ) | | | (84,837,172 | ) |
P-Class | | | (293,131,518 | ) | | | (493,935,219 | ) |
Institutional Class | | | (5,561,161,081 | ) | | | (6,600,975,826 | ) |
R6-Class | | | (74,790,487 | ) | | | (50,585,771 | ) |
Net increase (decrease) from capital share transactions | | | (794,104,947 | ) | | | 6,511,744,720 | |
Net increase (decrease) in net assets | | | (3,123,833,028 | ) | | | 5,817,074,844 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 27,207,491,126 | | | | 21,390,416,282 | |
End of period | | $ | 24,083,658,098 | | | $ | 27,207,491,126 | |
| | | | | | | | | |
86 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
TOTAL RETURN BOND FUND | |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 3,236,832 | | | | 10,307,437 | |
C-Class | | | 446,902 | | | | 2,422,706 | |
P-Class | | | 6,305,639 | | | | 20,237,868 | |
Institutional Class | | | 159,002,489 | | �� | | 409,526,835 | |
R6-Class | | | 2,021,120 | | | | 4,284,001 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 432,555 | | | | 1,027,814 | |
C-Class | | | 169,451 | | | | 433,192 | |
P-Class | | | 807,385 | | | | 1,677,702 | |
Institutional Class | | | 18,063,921 | | | | 34,155,691 | |
R6-Class | | | 199,830 | | | | 354,677 | |
Shares redeemed | | | | | | | | |
A-Class | | | (5,945,210 | ) | | | (14,980,704 | ) |
C-Class | | | (1,878,910 | ) | | | (2,913,083 | ) |
P-Class | | | (10,583,301 | ) | | | (17,001,560 | ) |
Institutional Class | | | (200,423,154 | ) | | | (226,736,966 | ) |
R6-Class | | | (2,675,009 | ) | | | (1,732,537 | ) |
Net increase (decrease) in shares | | | (30,819,460 | ) | | | 221,063,073 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 87 |
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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 28.94 | | | $ | 29.76 | | | $ | 27.42 | | | $ | 26.69 | | | $ | 27.05 | | | $ | 27.23 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .35 | | | | .72 | | | | .56 | | | | .64 | | | | .72 | | | | .83 | |
Net gain (loss) on investments (realized and unrealized) | | | (2.17 | ) | | | (.05 | ) | | | 2.41 | | | | .85 | | | | (.37 | ) | | | .05 | |
Total from investment operations | | | (1.82 | ) | | | .67 | | | | 2.97 | | | | 1.49 | | | | .35 | | | | .88 | |
Less distributions from: |
Net investment income | | | (.36 | ) | | | (.76 | ) | | | (.63 | ) | | | (.65 | ) | | | (.71 | ) | | | (.95 | ) |
Net realized gains | | | (.27 | ) | | | (.73 | ) | | | — | | | | (.11 | ) | | | — | | | | (.11 | ) |
Total distributions | | | (.63 | ) | | | (1.49 | ) | | | (.63 | ) | | | (.76 | ) | | | (.71 | ) | | | (1.06 | ) |
Net asset value, end of period | | $ | 26.49 | | | $ | 28.94 | | | $ | 29.76 | | | $ | 27.42 | | | $ | 26.69 | | | $ | 27.05 | |
|
Total Returnc | | | (6.42 | %) | | | 2.27 | % | | | 10.96 | % | | | 5.70 | % | | | 1.28 | % | | | 3.33 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 559,473 | | | $ | 677,172 | | | $ | 804,750 | | | $ | 609,602 | | | $ | 589,760 | | | $ | 744,989 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.50 | % | | | 2.47 | % | | | 1.99 | % | | | 2.37 | % | | | 2.66 | % | | | 3.08 | % |
Total expensesd | | | 0.82 | % | | | 0.84 | % | | | 0.87 | % | | | 0.96 | % | | | 0.93 | % | | | 1.02 | % |
Net expensese,f,g | | | 0.78 | % | | | 0.79 | % | | | 0.80 | % | | | 0.80 | % | | | 0.81 | % | | | 0.87 | % |
Portfolio turnover rate | | | 29 | % | | | 92 | % | | | 116 | % | | | 68 | % | | | 48 | % | | | 72 | % |
88 | THE GUGGENHEIM FUNDS SEMI-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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 28.94 | | | $ | 29.76 | | | $ | 27.43 | | | $ | 26.69 | | | $ | 27.05 | | | $ | 27.23 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .25 | | | | .50 | | | | .35 | | | | .43 | | | | .52 | | | | .65 | |
Net gain (loss) on investments (realized and unrealized) | | | (2.18 | ) | | | (.05 | ) | | | 2.40 | | | | .87 | | | | (.38 | ) | | | .03 | |
Total from investment operations | | | (1.93 | ) | | | .45 | | | | 2.75 | | | | 1.30 | | | | .14 | | | | .68 | |
Less distributions from: |
Net investment income | | | (.25 | ) | | | (.54 | ) | | | (.42 | ) | | | (.45 | ) | | | (.50 | ) | | | (.75 | ) |
Net realized gains | | | (.27 | ) | | | (.73 | ) | | | — | | | | (.11 | ) | | | — | | | | (.11 | ) |
Total distributions | | | (.52 | ) | | | (1.27 | ) | | | (.42 | ) | | | (.56 | ) | | | (.50 | ) | | | (.86 | ) |
Net asset value, end of period | | $ | 26.49 | | | $ | 28.94 | | | $ | 29.76 | | | $ | 27.43 | | | $ | 26.69 | | | $ | 27.05 | |
|
Total Returnc | | | (6.77 | %) | | | 1.50 | % | | | 10.10 | % | | | 4.95 | % | | | 0.53 | % | | | 2.58 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 266,480 | | | $ | 327,712 | | | $ | 338,656 | | | $ | 286,050 | | | $ | 265,486 | | | $ | 251,177 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.75 | % | | | 1.72 | % | | | 1.24 | % | | | 1.62 | % | | | 1.93 | % | | | 2.44 | % |
Total expensesd | | | 1.58 | % | | | 1.59 | % | | | 1.59 | % | | | 1.60 | % | | | 1.62 | % | | | 1.74 | % |
Net expensese,f,g | | | 1.53 | % | | | 1.53 | % | | | 1.55 | % | | | 1.55 | % | | | 1.55 | % | | | 1.60 | % |
Portfolio turnover rate | | | 29 | % | | | 92 | % | | | 116 | % | | | 68 | % | | | 48 | % | | | 72 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 89 |
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.
P-Class | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 28.93 | | | $ | 29.75 | | | $ | 27.42 | | | $ | 26.69 | | | $ | 27.04 | | | $ | 27.23 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .35 | | | | .72 | | | | .56 | | | | .63 | | | | .72 | | | | .85 | |
Net gain (loss) on investments (realized and unrealized) | | | (2.17 | ) | | | (.05 | ) | | | 2.40 | | | | .86 | | | | (.36 | ) | | | .03 | |
Total from investment operations | | | (1.82 | ) | | | .67 | | | | 2.96 | | | | 1.49 | | | | .36 | | | | .88 | |
Less distributions from: |
Net investment income | | | (.36 | ) | | | (.76 | ) | | | (.63 | ) | | | (.65 | ) | | | (.71 | ) | | | (.96 | ) |
Net realized gains | | | (.27 | ) | | | (.73 | ) | | | — | | | | (.11 | ) | | | — | | | | (.11 | ) |
Total distributions | | | (.63 | ) | | | (1.49 | ) | | | (.63 | ) | | | (.76 | ) | | | (.71 | ) | | | (1.07 | ) |
Net asset value, end of period | | $ | 26.48 | | | $ | 28.93 | | | $ | 29.75 | | | $ | 27.42 | | | $ | 26.69 | | | $ | 27.04 | |
|
Total Return | | | (6.42 | %) | | | 2.27 | % | | | 10.92 | % | | | 5.70 | % | | | 1.32 | % | | | 3.34 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 863,130 | | | $ | 1,043,507 | | | $ | 926,745 | | | $ | 819,770 | | | $ | 738,694 | | | $ | 572,644 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.50 | % | | | 2.47 | % | | | 1.98 | % | | | 2.37 | % | | | 2.69 | % | | | 3.14 | % |
Total expensesd | | | 0.90 | % | | | 0.87 | % | | | 0.88 | % | | | 0.87 | % | | | 0.91 | % | | | 1.03 | % |
Net expensese,f,g | | | 0.78 | % | | | 0.79 | % | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % | | | 0.86 | % |
Portfolio turnover rate | | | 29 | % | | | 92 | % | | | 116 | % | | | 68 | % | | | 48 | % | | | 72 | % |
90 | THE GUGGENHEIM FUNDS SEMI-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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 28.97 | | | $ | 29.78 | | | $ | 27.45 | | | $ | 26.71 | | | $ | 27.07 | | | $ | 27.26 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .39 | | | | .81 | | | | .65 | | | | .71 | | | | .80 | | | | .93 | |
Net gain (loss) on investments (realized and unrealized) | | | (2.18 | ) | | | (.05 | ) | | | 2.39 | | | | .87 | | | | (.37 | ) | | | .04 | |
Total from investment operations | | | (1.79 | ) | | | .76 | | | | 3.04 | | | | 1.58 | | | | .43 | | | | .97 | |
Less distributions from: |
Net investment income | | | (.40 | ) | | | (.84 | ) | | | (.71 | ) | | | (.73 | ) | | | (.79 | ) | | | (1.05 | ) |
Net realized gains | | | (.27 | ) | | | (.73 | ) | | | — | | | | (.11 | ) | | | — | | | | (.11 | ) |
Total distributions | | | (.67 | ) | | | (1.57 | ) | | | (.71 | ) | | | (.84 | ) | | | (.79 | ) | | | (1.16 | ) |
Net asset value, end of period | | $ | 26.51 | | | $ | 28.97 | | | $ | 29.78 | | | $ | 27.45 | | | $ | 26.71 | | | $ | 27.07 | |
|
Total Return | | | (6.31 | %) | | | 2.59 | % | | | 11.23 | % | | | 6.03 | % | | | 1.59 | % | | | 3.68 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 22,180,516 | | | $ | 24,912,049 | | | $ | 19,152,857 | | | $ | 12,138,270 | | | $ | 8,957,902 | | | $ | 6,418,897 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.79 | % | | | 2.76 | % | | | 2.29 | % | | | 2.64 | % | | | 2.99 | % | | | 3.47 | % |
Total expensesd | | | 0.58 | % | | | 0.57 | % | | | 0.57 | % | | | 0.58 | % | | | 0.58 | % | | | 0.68 | % |
Net expensese,f,g | | | 0.49 | % | | | 0.50 | % | | | 0.51 | % | | | 0.51 | % | | | 0.50 | % | | | 0.52 | % |
Portfolio turnover rate | | | 29 | % | | | 92 | % | | | 116 | % | | | 68 | % | | | 48 | % | | | 72 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 91 |
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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Year
Ended
Sept. 30,
2019 | | | Year
Ended
Sept. 30,
2018 | | | Year
Ended
Sept. 30,
2017h | |
Per Share Data |
Net asset value, beginning of period | | $ | 28.98 | | | $ | 29.80 | | | $ | 27.46 | | | $ | 26.73 | | | $ | 27.09 | | | $ | 27.15 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .39 | | | | .81 | | | | .65 | | | | .71 | | | | .81 | | | | .86 | |
Net gain (loss) on investments (realized and unrealized) | | | (2.17 | ) | | | (.06 | ) | | | 2.40 | | | | .86 | | | | (.38 | ) | | | .18 | |
Total from investment operations | | | (1.78 | ) | | | .75 | | | | 3.05 | | | | 1.57 | | | | .43 | | | | 1.04 | |
Less distributions from: |
Net investment income | | | (.40 | ) | | | (.84 | ) | | | (.71 | ) | | | (.73 | ) | | | (.79 | ) | | | (.99 | ) |
Net realized gains | | | (.27 | ) | | | (.73 | ) | | | — | | | | (.11 | ) | | | — | | | | (.11 | ) |
Total distributions | | | (.67 | ) | | | (1.57 | ) | | | (.71 | ) | | | (.84 | ) | | | (.79 | ) | | | (1.10 | ) |
Net asset value, end of period | | $ | 26.53 | | | $ | 28.98 | | | $ | 29.80 | | | $ | 27.46 | | | $ | 26.73 | | | $ | 27.09 | |
|
Total Return | | | (6.27 | %) | | | 2.56 | % | | | 11.26 | % | | | 5.99 | % | | | 1.59 | % | | | 3.97 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 214,058 | | | $ | 247,051 | | | $ | 167,409 | | | $ | 55,441 | | | $ | 37,735 | | | $ | 13,709 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.79 | % | | | 2.76 | % | | | 2.28 | % | | | 2.64 | % | | | 3.00 | % | | | 3.35 | % |
Total expensesd | | | 0.49 | % | | | 0.50 | % | | | 0.52 | % | | | 0.52 | % | | | 0.53 | % | | | 0.65 | % |
Net expensese,f,g | | | 0.49 | % | | | 0.50 | % | | | 0.51 | % | | | 0.51 | % | | | 0.50 | % | | | 0.51 | % |
Portfolio turnover rate | | | 29 | % | | | 92 | % | | | 116 | % | | | 68 | % | | | 48 | % | | | 72 | % |
92 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
TOTAL RETURN BOND FUND |
a | Unaudited figures for the period ended March 31, 2022. 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 | 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: |
| | | 03/31/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 0.00%* | 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% | 0.01% | 0.00%* | 0.00%* | 0.00%* | — |
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: |
| | | 03/31/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 0.77% | 0.78% | 0.79% | 0.79% | 0.80% | 0.84% |
| | C-Class | 1.52% | 1.53% | 1.54% | 1.54% | 1.55% | 1.57% |
| | P-Class | 0.77% | 0.78% | 0.79% | 0.79% | 0.80% | 0.83% |
| | Institutional Class | 0.48% | 0.49% | 0.50% | 0.50% | 0.49% | 0.49% |
| | R6-Class | 0.48% | 0.49% | 0.50% | 0.50% | 0.49% | 0.48% |
h | 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 SEMI-ANNUAL REPORT | 93 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
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 March 31, 2022, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Total Return Bond Fund (the “Fund”), a diversified investment company. At March 31, 2022, 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.
94 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 SEMI-ANNUAL REPORT | 95 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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.
96 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 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
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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
98 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
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) 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.
(i) 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.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
(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 March 31, 2022, 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
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
(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 period ended March 31, 2022, are disclosed in the Statement of Operations.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
(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 0.33% at March 31, 2022.
(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.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 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.
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 103 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 | | $ | 10,141,800,000 | | | $ | 153,205,641 | |
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 | | $ | 743,232 | | | $ | 153,205,641 | |
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.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 | | $ | 12,192,635 | | | $ | — | |
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 | | $ | 528,333,333 | | | $ | 541,000,000 | |
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. 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
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 105 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 Fund’s use and volume of credit default swaps on a monthly basis:
| | | Average Notional Amount | |
Use | | Protection Sold | | | Protection Purchased | |
Income, Index Exposure | | $ | — | | | $ | 38,716,667 | |
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.
106 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 | | $ | 89,821,014 | | | $ | 699,796,286 | |
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 March 31, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Currency forward contracts | Unrealized appreciation on foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts |
Interest rate swap contracts | Variation margin on interest rate swap agreements | Unamortized upfront premiums received on interest rate swap agreements |
Credit contracts on swaps | Unrealized appreciation on OTC 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 March 31, 2022:
| | Asset Derivative Investments Value | |
| | Swaps
Interest
Rate
Risk* | | | Swaps
Credit
Risk* | | | Options
Written
Equity
Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Options
Purchased
Interest Rate
Risk | | | Total Value at
March 31,
2022 | |
| | $ | — | | | $ | 631,190 | | | $ | — | | | | 4,648,476 | | | $ | 1,117,618 | | | $ | 6,397,284 | |
| | Liability Derivative Investments Value | |
| | Swaps
Interest
Rate
Risk* | | | Swaps
Credit
Risk* | | | Options
Written
Equity
Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Options
Purchased
Interest Rate
Risk | | | Total Value at
March 31,
2022 | |
| | $ | 19,720,494 | | | $ | — | | | $ | 16,955 | | | | 8,670,856 | | | $ | — | | | $ | 28,408,305 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 107 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
* | 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 period ended March 31, 2022:
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 options purchased |
| | Net realized gain (loss) on options written |
| | 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 period ended March 31, 2022:
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations |
Swaps
Interest
Rate
Risk | | Swaps
Credit
Risk | | | Options
Written
Equity
Risk | | | Options
Purchased
Equity
Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Options
Purchased
Interest Rate
Risk | | | Total | |
$ 82,324,518 | | $ | (307,323 | ) | | $ | 11,507,718 | | | $ | (24,540,820 | ) | | $ | 54,358,085 | | | $ | — | | | $ | 123,342,178 | |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations |
Swaps
Interest
Rate
Risk | | Swaps
Credit
Risk | | | Options
Written
Equity
Risk | | | Options
Purchased
Equity
Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Options
Purchased
Interest Rate
Risk | | | Total | |
$ (106,425,693) | | $ | 816,915 | | | $ | (2,030,454 | ) | | $ | (2,235,520 | ) | | $ | (27,314,093 | ) | | $ | (52,093,945 | ) | | $ | (189,282,790 | ) |
108 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 109 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 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.
110 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
| | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statement of
Assets and Liabilities | | | | | |
Instrument | | Gross
Amounts of
Recognized
Assets1 | | | Gross
Amounts
Offset in the
Statement of
Assets and
Liabilities | | | Net Amount
of Assets
Presented on
the Statement
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received | | | Net
Amount | |
Credit Index Swap Agreements | | $ | 631,190 | | | $ | — | | | $ | 631,190 | | | $ | (179,428 | ) | | $ | (451,762 | ) | | $ | — | |
Forward foreign currency exchange contracts | | | 4,648,476 | | | | — | | | | 4,648,476 | | | | (1,358,482 | ) | | | (3,270,102 | ) | | | 19,892 | |
Options Purchased | | | 1,117,618 | | | | — | | | | 1,117,618 | | | | (841,288 | ) | | | (276,330 | ) | | | — | |
| | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statement of
Assets and Liabilities | | | | | |
Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Statement of
Assets and
Liabilities | | | Net Amount
of Liabilities
Presented on
the Statement
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
Forward foreign currency exchange contracts | | $ | 8,670,856 | | | $ | — | | | $ | 8,670,856 | | | $ | (2,379,198 | ) | | $ | — | | | $ | 6,291,658 | |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 111 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 March 31, 2022.
Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
BofA Securities, Inc. | Interest rate swap agreements | | $ | 20,154,611 | | | $ | 20,921,167 | |
Goldman Sachs International | Forward foreign currency exchange contracts, Options, Credit index swap agreements | | | — | | | | 4,660,031 | |
Morgan Stanley Capital Services LLC | Forward foreign currency exchange contracts, Options | | | — | | | | 460,000 | |
| | | | 20,154,611 | | | | 26,041,198 | |
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.
112 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 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
Date | | | Contract
End Date | |
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 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 113 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 March 31, 2022, 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 | | | 2025 | | | Total | |
A-Class | | $ | 957,738 | | | $ | 440,686 | | | $ | 421,811 | | | $ | 120,427 | | | $ | 1,940,662 | |
C-Class | | | 136,977 | | | | 133,369 | | | | 174,119 | | | | 65,698 | | | | 510,163 | |
P-Class | | | 523,005 | | | | 636,580 | | | | 783,250 | | | | 592,829 | | | | 2,535,664 | |
Institutional Class | | | 6,830,951 | | | | 8,669,558 | | | | 16,070,214 | | | | 10,671,861 | | | | 42,242,584 | |
R6-Class | | | — | | | | — | | | | — | | | | — | | | | — | |
For the period ended March 31, 2022, GI recouped $22,834 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 period ended March 31, 2022, the Fund waived $32,859 related to investments in affiliated funds.
For the period ended March 31, 2022, GFD retained sales charges of $94,675 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.
114 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 period ended March 31, 2022, the Fund entered into reverse repurchase agreements as follows:
Number of Days
Outstanding | | Balance at
March 31, 2022 | | | Average Balance
Outstanding | | | Average
Interest Rate | |
182 | | $ | 1,405,450,380 | | | $ | 1,623,066,961 | | | | (0.04 | %) |
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
in the Statement of
Assets and Liabilities | | | | | |
Instrument | | Gross
Amounts of
Recognized
Liabilities | | | Gross
Amounts
Offset in the
Statement of
Assets and
Liabilities | | | Net Amount
of Liabilities
Presented on
the Statement
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
Reverse repurchase agreements | | $ | 1,405,450,380 | | | $ | — | | | $ | 1,405,450,380 | | | $ | (1,405,450,380) | ) | | $ | — | | | $ | — | |
As of March 31, 2022, 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 | |
BofA Securities, Inc. | 0.17% | 04/01/22 | | $ | 334,689,080 | |
Citigroup Global Markets, Inc. | 0.18% | 04/01/22 | | | 286,945,140 | |
Goldman Sachs & Co. LLC | 0.18% | 04/01/22 | | | 382,413,514 | |
Goldman Sachs & Co. LLC | (1.50%) | Open Maturity | | | 6,997,912 | |
J.P. Morgan Securities LLC | 0.18% | 04/01/22 | | | 383,501,918 | |
RBC Capital Markets LLC | 0.15% | Open Maturity | | | 10,902,816 | |
Total | | | | | | | | | | $ | 1,405,450,380 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 115 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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
continuous | | | Total | |
Corporate Bonds | | $ | — | | | $ | 6,997,912 | | | $ | 6,997,912 | |
Federal Agency Bonds | | | 1,387,549,652 | | | | 10,902,816 | | | | 1,398,452,468 | |
Gross amount of recognized liabilities for reverse repurchase agreements | | $ | 1,387,549,652 | | | $ | 17,900,728 | | | $ | 1,405,450,380 | |
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.
At March 31, 2022, 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 Unrealized
Appreciation
(Depreciation) | |
| | | $ | 26,812,112,127 | | | $ | 89,722,845 | | | $ | (1,493,587,971 | ) | | $ | (1,403,865,126 | ) |
116 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 8 – Securities Transactions
For the period ended March 31, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
| | Purchases | | | Sales | |
| | | $ | 3,186,519,479 | | | $ | 2,931,303,965 | |
For the period ended March 31, 2022, the cost of purchases and proceeds from sales of government securities were as follows:
| | Purchases | | | Sales | |
| | | $ | 4,323,870,707 | | | $ | 4,861,063,086 | |
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 period ended March 31, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| | Purchases | | | Sales | | | Realized
Gain | |
| | | $ | 36,129,637 | | | $ | 16,660,296 | | | $ | 674,516 | |
Note 9 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of March 31, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
Borrower | Maturity Date | | Face Amount | | | Value | |
Athenahealth Group, Inc. | 02/15/29 | | $ | 1,028,986 | | | $ | 12,605 | |
Authentic Brands | 12/10/28 | | | 19,197,015 | | | | 335,948 | |
Aveanna Healthcare LLC | 07/17/28 | | | 113,208 | | | | 3,141 | |
CapStone Acquisition Holdings, Inc. | 11/12/27 | | | 750,080 | | | | 1,253 | |
Confluent Health LLC | 11/30/28 | | | 1,654,867 | | | | 20,686 | |
CTL Logistics | 08/10/42 | | | 692,113 | | | | 71,950 | |
Higginbotham Insurance Agency, Inc. | 11/25/26 | | | 9,935,958 | | | | 115,272 | |
Hillman Group, Inc. | 07/14/28 | | | 2,330,014 | | | | 46,111 | |
Icebox Holdco | 12/22/28 | | | 3,642,857 | | | | 54,643 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 117 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Borrower | Maturity Date | | Face Amount | | | Value | |
MB2 Dental Solutions LLC | 01/29/27 | | $ | 9,385,907 | | | $ | 151,101 | |
Pacific Bells, LLC | 11/10/28 | | | 238,660 | | | | 2,685 | |
SCP Eye Care Services LLC | 03/16/28 | | | 1,270,455 | | | | 22,233 | |
Service Logic Acquisition, Inc. | 10/29/27 | | | 955,299 | | | | 11,148 | |
Venture Global Calcasieu Pass LLC | 08/19/26 | | | 1,289,798 | | | | 6,449 | |
| | | | $ | 52,485,217 | | | $ | 855,225 | |
Note 10 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Restricted Securities | | Acquisition
Date | | | Cost | | | Value | |
ACRE Commercial Mortgage Ltd. | | | | | | | | | | | | |
2021-FL4, 1.87% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 12/18/371 | | | 01/21/21 | | | $ | 3,100,000 | | | $ | 3,049,737 | |
ACRE Commercial Mortgage Ltd. | | | | | | | | | | | | |
2021-FL4, 1.89% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 12/18/371 | | | 01/21/21 | | | | 3,100,000 | | | | 3,038,604 | |
ACRES Commercial Realty Ltd. | | | | | | | | | | | | |
2021-FL1, 3.09% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/361 | | | 05/07/21 | | | | 11,750,000 | | | | 11,366,514 | |
ACRES Commercial Realty Ltd. | | | | | | | | | | | | |
2021-FL2, 2.69% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/371 | | | 12/07/21 | | | | 10,100,000 | | | | 9,925,223 | |
ACRES Commercial Realty Ltd. | | | | | | | | | | | | |
2021-FL2, 2.19% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 01/15/371 | | | 12/07/21 | | | | 3,500,000 | | | | 3,440,230 | |
Anchorage Credit Funding Ltd. | | | | | | | | | | | | |
2021-13A, 3.23% due 07/27/39 | | | 05/25/21 | | | | 6,345,000 | | | | 6,246,403 | |
Anchorage Credit Funding Ltd. | | | | | | | | | | | | |
2021-13A, 3.65% due 07/27/39 | | | 06/30/21 | | | | 1,950,000 | | | | 1,908,717 | |
Atlantic Marine Corporations Communities LLC | | | | | | | | | | | | |
5.37% due 12/01/50 | | | 02/02/17 | | | | 775,287 | | | | 792,863 | |
Atlas Mara Ltd. | | | | | | | | | | | | |
due 12/31/212 | | | 10/01/15 | | | | 6,564,181 | | | | 4,719,000 | |
BDS Ltd. | | | | | | | | | | | | |
2020-FL5, 1.97% (30 Day Average SOFR + 1.91%, Rate Floor: 1.80%) due 02/16/371 | | | 07/27/20 | | | | 4,321,054 | | | | 4,381,529 | |
BDS Ltd. | | | | | | | | | | | | |
2021-FL9, 2.72% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 11/16/381 | | | 10/01/21 | | | | 4,400,000 | | | | 4,172,120 | |
BDS Ltd. | | | | | | | | | | | | |
2020-FL5, 1.52% (30 Day Average SOFR + 1.46%, Rate Floor: 1.35%) due 02/16/371 | | | 06/08/20 | | | | 3,134,734 | | | | 3,155,227 | |
118 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Restricted Securities | | Acquisition
Date | | | Cost | | | Value | |
BRSP Ltd. | | | | | | | | | | | | |
2021-FL1, 3.15% (1 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 08/19/381 | | | 07/12/21 | | | $ | 3,800,000 | | | $ | 3,765,274 | |
BSPDF Issuer Ltd. | | | | | | | | | | | | |
2021-FL1, 1.99% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/361 | | | 10/06/21 | | | | 6,500,000 | | | | 6,434,439 | |
BSPDF Issuer Ltd. | | | | | | | | | | | | |
2021-FL1, 2.94% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/15/361 | | | 10/06/21 | | | | 3,500,000 | | | | 3,390,293 | |
BSPRT Issuer Ltd. | | | | | | | | | | | | |
2021-FL7, 2.70% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 12/15/381 | | | 12/09/21 | | | | 7,250,000 | | | | 7,095,056 | |
BSPRT Issuer Ltd. | | | | | | | | | | | | |
2021-FL6, 2.45% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/361 | | | 03/15/21 | | | | 5,550,000 | | | | 5,379,961 | |
BSPRT Issuer Ltd. | | | | | | | | | | | | |
2021-FL7, 2.45% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 12/15/381 | | | 12/09/21 | | | | 4,875,000 | | | | 4,820,210 | |
BXMT Ltd. | | | | | | | | | | | | |
2020-FL3, 2.32% (30 Day Average SOFR + 2.26%, Rate Floor: 2.15%) due 11/15/371 | | | 10/20/20 | | | | 10,600,000 | | | | 10,514,223 | |
BXMT Ltd. | | | | | | | | | | | | |
2020-FL2, 1.82% (30 Day Average SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/381 | | | 09/25/20 | | | | 5,281,934 | | | | 5,241,734 | |
BXMT Ltd. | | | | | | | | | | | | |
2020-FL2, 1.32% (30 Day Average SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/381 | | | 06/03/20 | | | | 5,107,108 | | | | 5,118,804 | |
Cascade Funding Mortgage Trust | | | | | | | | | | | | |
2018-RM2, 4.00% (WAC) due 10/25/681 | | | 11/02/18 | | | | 10,657,571 | | | | 10,690,254 | |
Cascade Funding Mortgage Trust | | | | | | | | | | | | |
2019-RM3, 2.80% (WAC) due 06/25/691 | | | 06/25/19 | | | | 7,888,616 | | | | 7,751,004 | |
Central Storage Safety Project Trust | | | | | | | | | | | | |
4.82% due 02/01/38 | | | 02/02/18 | | | | 19,909,477 | | | | 17,306,789 | |
CHCP Ltd. | | | | | | | | | | | | |
2021-FL1, 1.82% (30 Day Average SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/381 | | | 02/12/21 | | | | 5,900,000 | | | | 5,798,920 | |
CHCP Ltd. | | | | | | | | | | | | |
2021-FL1, 2.27% (30 Day Average SOFR + 2.21%, Rate Floor: 2.10%) due 02/15/381 | | | 02/12/21 | | | | 2,950,000 | | | | 2,884,350 | |
Copper River CLO Ltd. | | | | | | | | | | | | |
2007-1A, due 01/20/213 | | | 05/09/14 | | | | — | | | | 300 | |
FKRT | | | | | | | | | | | | |
2.21% due 11/30/58 | | | 09/24/21 | | | | 117,199,147 | | | | 112,863,560 | |
FS Rialto | | | | | | | | | | | | |
2021-FL3, 2.23% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/361 | | | 10/21/21 | | | | 8,000,000 | | | | 7,861,380 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 119 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Restricted Securities | | Acquisition
Date | | | Cost | | | Value | |
GPMT Ltd. | | | | | | | | | | | | |
2019-FL2, 2.35% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 02/22/361 | | | 07/23/20 | | | $ | 12,654,790 | | | $ | 12,685,203 | |
GPMT Ltd. | | | | | | | | | | | | |
2019-FL2, 1.47% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/361 | | | 01/21/20 | | | | 9,251,442 | | | | 9,242,810 | |
Greystone Commercial Real Estate Notes | | | | | | | | | | | | |
2021-FL3, 2.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/391 | | | 07/29/21 | | | | 12,000,000 | | | | 11,638,828 | |
HERA Commercial Mortgage Ltd. | | | | | | | | | | | | |
2021-FL1, 1.52% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/381 | | | 02/10/21 | | | | 10,000,000 | | | | 9,876,355 | |
HGI CRE CLO Ltd. | | | | | | | | | | | | |
2021-FL2, 1.93% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/17/361 | | | 09/17/21 | | | | 5,000,000 | | | | 4,864,500 | |
HGI CRE CLO Ltd. | | | | | | | | | | | | |
2021-FL2, 2.23% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 09/17/361 | | | 09/17/21 | | | | 1,000,000 | | | | 983,160 | |
LoanCore Issuer Ltd. | | | | | | | | | | | | |
2019-CRE2, 2.10% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 05/15/361 | | | 06/17/20 | | | | 11,410,436 | | | | 11,474,649 | |
LoanCore Issuer Ltd. | | | | | | | | | | | | |
2021-CRE4, 2.66% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/351 | | | 09/16/21 | | | | 5,600,653 | | | | 5,506,861 | |
LoanCore Issuer Ltd. | | | | | | | | | | | | |
2019-CRE3, 1.45% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 04/15/341 | | | 01/30/20 | | | | 4,983,899 | | | | 4,968,234 | |
LoanCore Issuer Ltd. | | | | | | | | | | | | |
2019-CRE3, 2.00% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/15/341 | | | 07/27/20 | | | | 4,332,678 | | | | 4,359,543 | |
LSTAR Securities Investment Ltd. | | | | | | | | | | | | |
2021-1, 2.03% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261 | | | 02/04/21 | | | | 43,859,265 | | | | 43,498,873 | |
LSTAR Securities Investment Ltd. | | | | | | | | | | | | |
2021-2, 1.93% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261 | | | 03/17/21 | | | | 28,678,838 | | | | 28,473,282 | |
MF1 Multifamily Housing Mortgage Loan Trust | | | | | | | | | | | | |
2021-FL6, 3.02% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/361 | | | 06/10/21 | | | | 3,800,000 | | | | 3,739,565 | |
Princess Juliana International Airport Operating Company N.V. | | | | | | | | | | | | |
5.50% due 12/20/27 | | | 12/17/12 | | | | 1,562,569 | | | | 1,391,433 | |
STWD Ltd. | | | | | | | | | | | | |
2019-FL1, 2.02% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 07/15/381 | | | 06/29/20 | | | | 11,068,707 | | | | 11,106,264 | |
120 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Restricted Securities | | Acquisition
Date | | | Cost | | | Value | |
STWD Ltd. | | | | | | | | | | | | |
2019-FL1, 2.37% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 07/15/381 | | | 01/05/21 | | | $ | 8,784,182 | | | $ | 8,647,500 | |
STWD Ltd. | | | | | | | | | | | | |
2021-FL2, 2.57% (1 Month USD LIBOR + 2.10%, Rate Floor: 2.10%) due 04/18/381 | | | 04/19/21 | | | | 2,820,000 | | | | 2,745,222 | |
STWD Ltd. | | | | | | | | | | | | |
2019-FL1, 1.82% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 07/15/381 | | | 08/14/20 | | | | 2,184,352 | | | | 2,188,635 | |
Towd Point Revolving Trust | | | | | | | | | | | | |
4.83% due 09/25/64 | | | 03/17/22 | | | | 81,498,908 | | | | 81,567,567 | |
TRTX Issuer Ltd. | | | | | | | | | | | | |
2019-FL3, 1.32% (30 Day Average SOFR + 1.26%, Rate Floor: 1.15%) due 10/15/341 | | | 07/23/20 | | | | 1,911,789 | | | | 1,914,878 | |
TRTX Issuer Ltd. | | | | | | | | | | | | |
2019-FL3, 1.92% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 10/15/341 | | | 01/05/21 | | | | 1,492,504 | | | | 1,491,530 | |
| | | | | | | $ | 547,904,121 | | | $ | 535,477,610 | |
1 | Variable rate security. Rate indicated is the rate effective at March 31, 2022. 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. |
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 period ended March 31, 2022.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 121 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
Note 12 – COVID-19 and Other Market Risks
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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.
122 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited) |
Guggenheim Partners Advisors, LLC
The Investment Adviser engaged Guggenheim Partners Advisors, LLC to provide investment sub-advisory services to the Fund, effective April 29, 2022. Guggenheim Partners Advisors, LLC assists the Investment Adviser in the supervision and direction of the investment strategy of the Fund in accordance with the Fund’s investment objectives, policies, and restrictions. The Investment Adviser, and not the Fund, compensates Guggenheim Partners Advisors, LLC for these services.
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 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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 123 |
OTHER INFORMATION (Unaudited) (concluded) |
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.
124 | THE GUGGENHEIM FUNDS SEMI-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, upon request, by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 125 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - continued | | |
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). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019). |
126 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 127 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - continued | | |
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). | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020). |
128 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 129 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022);Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | 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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income 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. |
130 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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 President of Mutual Funds Boards, 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); Managing 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 SEMI-ANNUAL REPORT | 131 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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). |
132 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS - concluded | |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Director, 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 SEMI-ANNUAL REPORT | 133 |
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.
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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.
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3.31.2022
Guggenheim Funds Semi-Annual Report
| |
Guggenheim Ultra Short Duration Fund | | |
GuggenheimInvestments.com | USD-SEMI-0322x0922 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
ULTRA SHORT DURATION FUND | 9 |
NOTES TO FINANCIAL STATEMENTS | 43 |
OTHER INFORMATION | 63 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 65 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 73 |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1 |
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 semi-annual period ended March 31, 2022.
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.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC
April 30, 2022
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 and Other Market Risks. The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and
2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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 SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 31, 2022 |
In the six-months ended March 31, 2022, the yield on the two-year Treasury rose 200 basis points to 2.28% from 0.28%, and the 10-year Treasury increased by 80 basis points to 2.32% from 1.52%. The spread between the two-year Treasury and 10-year Treasury narrowed to 4 basis points from 124 basis points as the curve flattened amid market volatility resulting from Russia’s attack on Ukraine, COVID-19 shutdowns in China, and the commencement of rate hikes by the Federal Reserve (the “Fed”). One basis point is equal to 0.01%.
Nevertheless, the U.S. economy appears to remain on a strong footing. The Institute of Supply Management’s March Services Purchasing Managers’ Index showed a continued recovery in the services sector with business activity, employment, and new orders all rising. The March consumer price index (“CPI”) report was encouraging, with core CPI coming in lower than expected at 0.32% month over month, slightly below expectations of 0.5%.
Economic strength continues to embolden the Fed to move aggressively as it attempts to rein in inflation by raising interest rates and shrinking its balance sheet. The Fed is increasingly concerned about inflation and will act aggressively to get monetary policy to what they view is a more appropriate stance. In a recent speech, Lael Brainard, one of the Federal Open Market Committee’s (“FOMC”) traditionally more dovish members, referenced a “rapid pace” of balance sheet reduction and an “expeditious increase” in the fed funds rate, which caused market expectations for the degree of monetary tightening to ramp up.
Brainard’s shift in tone was echoed in the release of the minutes from the March FOMC meeting. The minutes were highly focused on elevated inflation and risks that inflation could stay well above target, as well mentions of an extremely tight labor market. The minutes repeated the phrase that monetary policy would move expeditiously, and contained a section that mentioned many participants would have voted for a 50-basis-point rate hike in March if it weren’t for the uncertainty resulting from the outbreak of war in Ukraine. Given this language, the 50-basis-point move at the May meeting and Fed Chair Jerome Powell’s telegraphing of further 50-basis point hikes came as no surprise. The Fed’s strategy at this point is to get rates back to a neutral level as fast as possible, and then see how far into restrictive territory they need to go based on how the economic and financial market data evolve.
A hawkish Fed has historically paved the way for a bullish approach to bonds. Indeed, we believe many fixed-income sectors are now pricing at compelling levels after enduring a first quarter marked by sharply rising yields, a flattening of the Treasury yield curve, and widening spreads. As the Fed races to raise rates during a period of U.S. economic strength and in the face of several global challenges, we remain diligent in our search for attractive entry points exposed by recent market volatility.
For the six-month period ended March 31, 2022, the S&P 500® Index* returned 5.92%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -3.38%. The return of the MSCI Emerging Markets Index* was -8.20%.
4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2022 |
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -5.92% return for the six-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -4.16%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.05% for the six-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.
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 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 SEMI-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 September 30, 2021 and ending March 31, 2022.
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 SEMI-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 SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2021 | Ending
Account Value
March 31,
2022 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 |
A-Class | 0.59% | (1.46%) | $ 1,000.00 | $ 985.40 | $ 2.92 |
Institutional Class | 0.34% | (1.34%) | 1,000.00 | 986.60 | 1.68 |
|
Table 2. Based on hypothetical 5% return (before expenses) |
A-Class | 0.59% | 5.00% | $ 1,000.00 | $ 1,021.99 | $ 2.97 |
Institutional Class | 0.34% | 5.00% | 1,000.00 | 1,023.24 | 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. |
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 182/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period September 30, 2021 to March 31, 2022. |
8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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)”
Inception Dates: |
A-Class | November 30, 2018 |
Institutional Class | March 11, 2014 |
Ten Largest Holdings (% of Total Net Assets) |
State of Israel, 0.75% | 1.5% |
Lake Shore MM CLO III LLC, 1.72% | 1.2% |
Station Place Securitization Trust Series, 0.96% | 1.1% |
Athene Global Funding, 0.61% | 1.1% |
Fidelity National Financial, Inc., 5.50% | 1.1% |
State of Israel, 1.25% | 1.1% |
BX Commercial Mortgage Trust, 2.05% | 1.0% |
Carlisle Companies, Inc., 0.55% | 1.0% |
Swedbank AB, 0.85% | 1.0% |
F&G Global Funding, 0.90% | 1.0% |
Top Ten Total | 11.1% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | March 31, 2022 |
Portfolio Composition by Quality Rating1 |
Rating | % of Total
Investments |
Fixed Income Instruments | |
AAA | 23.2% |
AA | 10.7% |
A | 25.2% |
BBB | 24.1% |
BB | 2.5% |
B | 2.4% |
NR2 | 7.7% |
Other Instruments | 4.2% |
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. |
10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | Since
Inception
(03/11/14) |
Institutional Class Shares | (1.34%) | (0.80%) | 1.34% | 1.23% |
Bloomberg 1-3 Month U.S. Treasury Bill Index | 0.04% | 0.06% | 1.07% | 0.71% |
| | 6 Month† | 1 Year | Since
Inception
(11/30/18) |
A-Class Shares | | (1.46%) | (1.15%) | 0.76% |
Bloomberg 1-3 Month U.S. Treasury Bill Index | | 0.04% | 0.06% | 0.90% |
* | 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 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. 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. |
† | 6 month returns are not annualized. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | | Shares | | | Value | |
MONEY MARKET FUND† - 4.2% |
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 0.15%1 | | | 40,740,446 | | | $ | 40,740,446 | |
| Total Money Market Fund | | | | | | | | |
| (Cost $40,740,446) | | | | | | | 40,740,446 | |
| | | | | | | | | |
| | | | Face
Amount~ | | | | | |
| CORPORATE BONDS†† - 40.2% |
| Financial - 17.0% | | | | | | | | |
| Athene Global Funding | | | | | | | | |
0.61% (SOFR + 0.56%) due 08/19/24◊,2 | | | 11,000,000 | | | | 10,820,762 | |
| Fidelity National Financial, Inc. | | | | | | | | |
| 5.50% due 09/01/22 | | | 10,000,000 | | | | 10,143,053 | |
| Goldman Sachs Group, Inc. | | | | | | | | |
| 3.00% due 03/15/24 | | | 4,200,000 | | | | 4,194,678 | |
0.67% (SOFR + 0.62%) due 12/06/23◊ | | | 2,800,000 | | | | 2,788,256 | |
0.75% (SOFR + 0.70%) due 01/24/25◊ | | | 2,600,000 | | | | 2,582,554 | |
| Swedbank AB | | | | | | | | |
0.85% due 03/18/242 | | | 9,550,000 | | | | 9,187,956 | |
| F&G Global Funding | | | | | | | | |
0.90% due 09/20/242 | | | 9,700,000 | | | | 9,143,929 | |
| JPMorgan Chase & Co. | | | | | | | | |
0.70% due 03/16/243 | | | 9,100,000 | | | | 8,927,137 | |
| Charles Schwab Corp. | | | | | | | | |
0.80% (SOFR Compounded Index + 0.50%) due 03/18/24◊ | | | 8,850,000 | | | | 8,825,527 | |
| Banco Santander S.A. | | | | | | | | |
0.70% due 06/30/243 | | | 9,000,000 | | | | 8,737,135 | |
Sumitomo Mitsui Trust Bank Ltd. | | | | | | | | |
0.85% due 03/25/242 | | | 8,900,000 | | | | 8,527,788 | |
Ameriprise Financial, Inc. | | | | | | | | |
3.00% due 04/02/25 | | | 6,450,000 | | | | 6,425,263 | |
Credit Suisse AG NY | | | | | | | | |
0.44% (SOFR Compounded Index + 0.39%) due 02/02/24◊ | | | 5,250,000 | | | | 5,208,658 | |
Sompo International Holdings Ltd. | | | | | | | | |
4.70% due 10/15/22 | | | 5,120,000 | | | | 5,160,429 | |
Macquarie Group Ltd. | | | | | | | | |
1.20% due 10/14/252,3 | | | 5,250,000 | | | | 4,961,984 | |
American Express Co. | | | | | | | | |
0.98% (SOFR + 0.93%) due 03/04/25◊ | | | 4,800,000 | | | | 4,840,681 | |
Macquarie Bank Ltd. | | | | | | | | |
3.23% due 03/21/252 | | | 4,650,000 | | | | 4,642,417 | |
Barclays Bank plc | | | | | | | | |
1.70% due 05/12/22 | | | 4,600,000 | | | | 4,602,321 | |
First-Citizens Bank & Trust Co. | | | | | | | | |
3.93% due 06/19/243 | | | 4,400,000 | | | | 4,444,459 | |
Citizens Bank North America/Providence RI | | | | | | | | |
1.32% (3 Month USD LIBOR + 0.81%) due 05/26/22◊ | | | 4,215,000 | | | | 4,216,963 | |
Fifth Third Bancorp | | | | | | | | |
4.30% due 01/16/24 | | | 3,000,000 | | | | 3,065,920 | |
Citigroup, Inc. | | | | | | | | |
0.84% (SOFR + 0.69%) due 01/25/26◊ | | | 2,550,000 | | | | 2,508,664 | |
Jackson National Life Global Funding | | | | | | | | |
1.75% due 01/12/252 | | | 2,600,000 | | | | 2,489,792 | |
Starwood Property Trust, Inc. | | | | | | | | |
3.75% due 12/31/242 | | | 2,550,000 | | | | 2,473,500 | |
12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | | | | | | | | |
2.88% due 10/15/262 | | | 2,650,000 | | | $ | 2,433,084 | |
FS KKR Capital Corp. | | | | | | | | |
4.25% due 02/14/252 | | | 2,450,000 | | | | 2,410,226 | |
Bank of Nova Scotia | | | | | | | | |
1.24% (SOFR Compounded Index + 0.96%) due 03/11/24◊ | | | 2,400,000 | | | | 2,409,984 | |
Morgan Stanley | | | | | | | | |
1.00% (SOFR + 0.95%) due 02/18/26◊ | | | 2,400,000 | | | | 2,400,653 | |
American Equity Investment Life Holding Co. | | | | | | | | |
5.00% due 06/15/27 | | | 2,150,000 | | | | 2,243,146 | |
Standard Chartered plc | | | | | | | | |
1.32% due 10/14/232,3 | | | 1,350,000 | | | | 1,337,281 | |
GA Global Funding Trust | | | | | | | | |
1.63% due 01/15/262 | | | 1,300,000 | | | | 1,208,811 | |
OneMain Finance Corp. | | | | | | | | |
3.50% due 01/15/27 | | | 1,150,000 | | | | 1,063,750 | |
Intercontinental Exchange, Inc. | | | | | | | | |
2.35% due 09/15/22 | | | 1,000,000 | | | | 1,002,976 | |
Jefferies Financial Group, Inc. | | | | | | | | |
5.50% due 10/18/23 | | | 950,000 | | | | 971,467 | |
Mitsubishi UFJ Financial Group, Inc. | | | | | | | | |
1.05% (3 Month USD LIBOR + 0.79%) due 07/25/22◊ | | | 950,000 | | | | 951,469 | |
Brighthouse Financial Global Funding | | | | | | | | |
0.81% (SOFR + 0.76%) due 04/12/24◊,2 | | | 900,000 | | | | 901,972 | |
Wells Fargo & Co. | | | | | | | | |
4.13% due 08/15/23 | | | 800,000 | | | | 817,819 | |
Peachtree Corners Funding Trust | | | | | | | | |
3.98% due 02/15/252 | | | 650,000 | | | | 658,254 | |
Nordea Bank Abp | | | | | | | | |
1.45% (3 Month USD LIBOR + 0.94%) due 08/30/23◊,2 | | | 550,000 | | | | 552,711 | |
First American Financial Corp. | | | | | | | | |
4.60% due 11/15/24 | | | 500,000 | | | | 511,944 | |
ING Groep N.V. | | | | | | | | |
1.21% (3 Month USD LIBOR + 1.00%) due 10/02/23◊ | | | 500,000 | | | | 502,909 | |
Markel Corp. | | | | | | | | |
3.63% due 03/30/23 | | | 450,000 | | | | 455,244 | |
Equitable Holdings, Inc. | | | | | | | | |
3.90% due 04/20/23 | | | 422,000 | | | | 427,670 | |
Fidelity & Guaranty Life Holdings, Inc. | | | | | | | | |
5.50% due 05/01/252 | | | 400,000 | | | | 418,783 | |
People’s United Bank North America | | | | | | | | |
4.00% due 07/15/24 | | | 400,000 | | | | 404,985 | |
Apollo Management Holdings, LP | | | | | | | | |
4.00% due 05/30/242 | | | 350,000 | | | | 353,974 | |
Reliance Standard Life Global Funding II | | | | | | | | |
3.85% due 09/19/232 | | | 200,000 | | | | 202,684 | |
Total Financial | | | 163,561,622 | |
| | | | | | | | | |
Industrial - 6.6% |
Boeing Co. | | | | | | | | |
1.43% due 02/04/24 | | | 6,550,000 | | | | 6,335,218 | |
1.95% due 02/01/24 | | | 6,000,000 | | | | 5,866,183 | |
Carlisle Companies, Inc. | | | | | | | | |
0.55% due 09/01/23 | | | 10,000,000 | | | | 9,688,153 | |
Ryder System, Inc. | | | | | | | | |
3.35% due 09/01/25 | | | 4,820,000 | | | | 4,820,631 | |
3.75% due 06/09/23 | | | 2,650,000 | | | | 2,679,954 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
Siemens Financieringsmaatschappij N.V. | | | | | | | | |
0.65% due 03/11/242 | | | 7,300,000 | | | $ | 7,032,848 | |
Graphic Packaging International LLC | | | | | | | | |
0.82% due 04/15/242 | | | 6,700,000 | | | | 6,367,088 | |
Teledyne Technologies, Inc. | | | | | | | | |
0.65% due 04/01/23 | | | 4,550,000 | | | | 4,472,380 | |
CNH Industrial Capital LLC | | | | | | | | |
1.95% due 07/02/23 | | | 4,230,000 | | | | 4,186,288 | |
Berry Global, Inc. | | | | | | | | |
0.95% due 02/15/24 | | | 2,150,000 | | | | 2,058,292 | |
1.65% due 01/15/27 | | | 1,100,000 | | | | 1,001,975 | |
TD SYNNEX Corp. | | | | | | | | |
1.25% due 08/09/242 | | | 2,400,000 | | | | 2,280,151 | |
Silgan Holdings, Inc. | | | | | | | | |
1.40% due 04/01/262 | | | 2,350,000 | | | | 2,143,202 | |
Vontier Corp. | | | | | | | | |
1.80% due 04/01/26 | | | 2,150,000 | | | | 1,944,052 | |
Penske Truck Leasing Company LP / PTL Finance Corp. | | | | | | | | |
2.70% due 11/01/242 | | | 900,000 | | | | 886,337 | |
Jabil, Inc. | | | | | | | | |
1.70% due 04/15/26 | | | 650,000 | | | | 601,722 | |
Weir Group plc | | | | | | | | |
2.20% due 05/13/262 | | | 440,000 | | | | 410,927 | |
CNH Industrial N.V. | | | | | | | | |
4.50% due 08/15/23 | | | 400,000 | | | | 408,186 | |
Total Industrial | | | 63,183,587 | |
| | | | | | | | | |
Consumer, Non-cyclical - 4.2% |
Illumina, Inc. | | | | | | | | |
0.55% due 03/23/23 | | | 8,800,000 | | | | 8,632,012 | |
AmerisourceBergen Corp. | | | | | | | | |
0.74% due 03/15/23 | | | 8,650,000 | | | | 8,522,595 | |
Triton Container International Ltd. | | | | | | | | |
0.80% due 08/01/232 | | | 3,100,000 | | | | 3,007,711 | |
2.05% due 04/15/262 | | | 2,200,000 | | | | 2,051,544 | |
1.15% due 06/07/242 | | | 1,700,000 | | | | 1,612,829 | |
Global Payments, Inc. | | | | | | | | |
1.50% due 11/15/24 | | | 5,700,000 | | | | 5,449,421 | |
4.00% due 06/01/23 | | | 651,000 | | | | 659,188 | |
Element Fleet Management Corp. | | | | | | | | |
1.60% due 04/06/242 | | | 4,900,000 | | | | 4,725,567 | |
CVS Health Corp. | | | | | | | | |
4.00% due 12/05/23 | | | 1,600,000 | | | | 1,630,145 | |
Stryker Corp. | | | | | | | | |
3.38% due 05/15/24 | | | 1,600,000 | | | | 1,618,520 | |
Bunge Limited Finance Corp. | | | | | | | | |
3.00% due 09/25/22 | | | 800,000 | | | | 804,089 | |
Spectrum Brands, Inc. | | | | | | | | |
5.75% due 07/15/25 | | | 700,000 | | | | 713,125 | |
Laboratory Corp. of America Holdings | | | | | | | | |
3.60% due 02/01/25 | | | 350,000 | | | | 353,512 | |
Block, Inc. | | | | | | | | |
2.75% due 06/01/262 | | | 350,000 | | | | 330,827 | |
General Mills, Inc. | | | | | | | | |
1.25% (3 Month USD LIBOR + 1.01%) due 10/17/23◊ | | | 200,000 | | | | 202,430 | |
Total Consumer, Non-cyclical | | | 40,313,515 | |
| | | | | | | | | |
Utilities - 3.4% |
NextEra Energy Capital Holdings, Inc. | | | | | | | | |
0.75% (3 Month USD LIBOR + 0.27%) due 02/22/23◊ | | | 8,600,000 | | | | 8,569,997 | |
0.45% (SOFR + 0.40%) due 11/03/23◊ | | | 2,500,000 | | | | 2,489,712 | |
0.59% (SOFR Compounded Index + 0.54%) due 03/01/23◊ | | | 100,000 | | | | 99,897 | |
Atmos Energy Corp. | | | | | | | | |
0.63% due 03/09/23 | | | 4,650,000 | | | | 4,580,855 | |
1.02% (3 Month USD LIBOR + 0.38%) due 03/09/23◊ | | | 1,000,000 | | | | 998,621 | |
14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
CenterPoint Energy Resources Corp. | | | | | | | | |
1.00% (3 Month USD LIBOR + 0.50%) due 03/02/23◊ | | | 5,406,000 | | | $ | 5,389,298 | |
ONE Gas, Inc. | | | | | | | | |
1.10% due 03/11/24 | | | 4,550,000 | | | | 4,388,911 | |
Alexander Funding Trust | | | | | | | | |
1.84% due 11/15/232 | | | 4,300,000 | | | | 4,167,907 | |
OGE Energy Corp. | | | | | | | | |
0.70% due 05/26/23 | | | 1,500,000 | | | | 1,469,522 | |
AES Corp. | | | | | | | | |
3.30% due 07/15/252 | | | 300,000 | | | | 294,330 | |
NRG Energy, Inc. | | | | | | | | |
3.75% due 06/15/242 | | | 275,000 | | | | 273,922 | |
Entergy Louisiana LLC | | | | | | | | |
3.30% due 12/01/22 | | | 175,000 | | | | 176,152 | |
Total Utilities | | | 32,899,124 | |
| | | | | | | | | |
Technology - 3.3% |
Microchip Technology, Inc. | | | | | | | | |
2.67% due 09/01/23 | | | 8,070,000 | | | | 8,042,971 | |
0.97% due 02/15/24 | | | 750,000 | | | | 718,800 | |
Fidelity National Information Services, Inc. | | | | | | | | |
0.60% due 03/01/24 | | | 8,200,000 | | | | 7,850,312 | |
HCL America, Inc. | | | | | | | | |
1.38% due 03/10/262 | | | 7,300,000 | | | | 6,683,504 | |
CDW LLC / CDW Finance Corp. | | | | | | | | |
2.67% due 12/01/26 | | | 4,300,000 | | | | 4,052,858 | |
Infor, Inc. | | | | | | | | |
1.45% due 07/15/232 | | | 2,600,000 | | | | 2,547,230 | |
Qorvo, Inc. | | | | | | | | |
1.75% due 12/15/242 | | | 2,050,000 | | | | 1,955,434 | |
Total Technology | | | 31,851,109 | |
| | | | | | | | | |
Communications - 2.9% |
NTT Finance Corp. | | | | | | | | |
0.58% due 03/01/242 | | | 8,950,000 | | | | 8,579,042 | |
Verizon Communications, Inc. | | | | | | | | |
0.75% due 03/22/24 | | | 4,400,000 | | | | 4,257,850 | |
FactSet Research Systems, Inc. | | | | | | | | |
2.90% due 03/01/27 | | | 3,750,000 | | | | 3,643,998 | |
Rogers Communications, Inc. | | | | | | | | |
2.95% due 03/15/252 | | | 2,400,000 | | | | 2,382,672 | |
Paramount Global | | | | | | | | |
4.75% due 05/15/25 | | | 2,210,000 | | | | 2,295,992 | |
T-Mobile USA, Inc. | | | | | | | | |
2.63% due 04/15/26 | | | 1,600,000 | | | | 1,528,352 | |
2.25% due 02/15/26 | | | 600,000 | | | | 565,380 | |
Cogent Communications Group, Inc. | | | | | | | | |
3.50% due 05/01/262 | | | 2,000,000 | | | | 1,900,000 | |
Level 3 Financing, Inc. | | | | | | | | |
5.38% due 05/01/25 | | | 1,700,000 | | | | 1,716,150 | |
Sprint Spectrum Company LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | | | | | | | | |
4.74% due 03/20/252 | | | 675,000 | | | | 689,172 | |
Vodafone Group plc | | | | | | | | |
4.13% due 05/30/25 | | | 175,000 | | | | 180,172 | |
Total Communications | | | 27,738,780 | |
| | | | | | | | | |
Energy - 1.2% |
Enbridge, Inc. | | | | | | | | |
0.45% (SOFR + 0.40%) due 02/17/23◊ | | | 4,900,000 | | | | 4,894,846 | |
Phillips 66 | | | | | | | | |
0.90% due 02/15/24 | | | 3,400,000 | | | | 3,290,185 | |
Valero Energy Corp. | | | | | | | | |
1.20% due 03/15/24 | | | 3,000,000 | | | | 2,894,971 | |
Total Energy | | | 11,080,002 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
Consumer, Cyclical - 1.0% |
Magallanes, Inc. | | | | | | | | |
3.64% due 03/15/252 | | | 5,700,000 | | | $ | 5,734,633 | |
Hyatt Hotels Corp. | | | | | | | | |
1.80% due 10/01/24 | | | 3,500,000 | | | | 3,367,492 | |
Total Consumer, Cyclical | | | 9,102,125 | |
| | | | | | | | | |
Basic Materials - 0.6% |
Anglo American Capital plc | | | | | | | | |
4.13% due 09/27/222 | | | 3,000,000 | | | | 3,036,199 | |
5.38% due 04/01/252 | | | 450,000 | | | | 472,507 | |
Carpenter Technology Corp. | | | | | | | | |
4.45% due 03/01/23 | | | 1,350,000 | | | | 1,374,975 | |
Reliance Steel & Aluminum Co. | | | | | | | | |
4.50% due 04/15/23 | | | 1,300,000 | | | | 1,325,876 | |
Total Basic Materials | | | 6,209,557 | |
| | | | | | | | | |
Total Corporate Bonds |
(Cost $397,041,217) | | | 385,939,421 | |
| | | | | | | | | |
ASSET-BACKED SECURITIES†† - 28.4% |
Collateralized Loan Obligations - 21.6% |
Lake Shore MM CLO III LLC | | | | | | | | |
2021-2A, 1.72% (3 Month USD LIBOR + 1.48%, Rate Floor: 1.48%) due 10/17/31◊,2 | | | 11,350,000 | | | | 11,260,523 | |
BXMT Ltd. | | | | | | | | |
2020-FL2, 1.07% (30 Day Average SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,2 | | | 5,000,000 | | | | 4,952,745 | |
2020-FL2, 1.32% (30 Day Average SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38◊ | | | 2,550,000 | | | | 2,510,183 | |
2020-FL3, 1.92% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 11/15/37◊,2 | | | 2,500,000 | | | | 2,477,128 | |
HERA Commercial Mortgage Ltd. | | | | | | | | |
2021-FL1, 1.77% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/18/38◊,2 | | | 5,000,000 | | | | 4,915,076 | |
2021-FL1, 1.52% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/38◊ | | | 4,250,000 | | | | 4,197,451 | |
Palmer Square Loan Funding Ltd. | | | | | | | | |
2021-2A, 1.88% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/29◊,2 | | | 4,500,000 | | | | 4,395,303 | |
2021-1A, 1.15% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 04/20/29◊,2 | | | 2,775,377 | | | | 2,758,177 | |
2022-1A, 1.74% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,2 | | | 1,000,000 | | | | 1,000,000 | |
2019-3A, 1.33% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/27◊,2 | | | 258,589 | | | | 257,521 | |
16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
ABPCI Direct Lending Fund CLO V Ltd. | | | | | | | | |
2021-5A, 1.75% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,2 | | | 8,250,000 | | | $ | 8,198,992 | |
CHCP Ltd. | | | | | | | | |
2021-FL1, 1.22% (30 Day Average SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,2 | | | 6,500,000 | | | | 6,462,030 | |
Shackleton CLO Ltd. | | | | | | | | |
2017-8A, 1.17% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/27◊,2 | | | 6,477,922 | | | | 6,448,472 | |
CIFC Funding Ltd. | | | | | | | | |
2018-3A, 1.12% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 04/19/29◊,2 | | | 6,335,305 | | | | 6,281,602 | |
Golub Capital Partners CLO 49M Ltd. | | | | | | | | |
2021-49A, 1.78% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/26/33◊,2 | | | 6,250,000 | | | | 6,200,698 | |
LCM XXIV Ltd. | | | | | | | | |
2021-24A, 1.23% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.98%) due 03/20/30◊,2 | | | 5,750,000 | | | | 5,705,021 | |
Cerberus Loan Funding XXXIV, LP | | | | | | | | |
2021-4A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 08/13/33◊,2 | | | 5,699,984 | | | | 5,693,975 | |
ABPCI Direct Lending Fund IX LLC | | | | | | | | |
2021-9A, 1.67% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/18/31◊,2 | | | 5,700,000 | | | | 5,600,489 | |
ABPCI Direct Lending Fund CLO VII, LP | | | | | | | | |
2021-7A, 1.70% (3 Month USD LIBOR + 1.43%, Rate Floor: 1.43%) due 10/20/31◊,2 | | | 5,500,000 | | | | 5,452,428 | |
FS Rialto | | | | | | | | |
2021-FL3, 2.23% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/36◊ | | | 5,500,000 | | | | 5,404,699 | |
LCCM Trust | | | | | | | | |
2021-FL3, 1.85% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,2 | | | 4,100,000 | | | | 4,056,296 | |
2021-FL2, 2.30% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/13/38◊,2 | | | 1,000,000 | | | | 989,725 | |
Cerberus Loan Funding XXXV, LP | | | | | | | | |
2021-5A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/33◊,2 | | | 5,000,000 | | | | 4,942,643 | |
Carlyle Global Market Strategies CLO Ltd. | | | | | | | | |
2018-4A, 1.24% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 01/15/31◊,2 | | | 4,927,378 | | | | 4,890,861 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
Golub Capital Partners CLO 54M, LP | | | | | | | | |
2021-54A, 1.85% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/33◊,2 | | | 4,750,000 | | | $ | 4,712,484 | |
Owl Rock CLO IV Ltd. | | | | | | | | |
2021-4A, 2.08% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,2 | | | 4,500,000 | | | | 4,503,992 | |
Parliament CLO II Ltd. | | | | | | | | |
2021-2A, 1.83% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/20/32◊,2 | | | 4,500,000 | | | | 4,433,500 | |
Cerberus Loan Funding XXXVI, LP | | | | | | | | |
2021-6A, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,2 | | | 4,329,242 | | | | 4,306,287 | |
Golub Capital Partners CLO 16 Ltd. | | | | | | | | |
2021-16A, 1.87% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,2 | | | 4,250,000 | | | | 4,230,688 | |
BRSP Ltd. | | | | | | | | |
2021-FL1, 2.35% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/19/38◊,2 | | | 4,250,000 | | | | 4,191,324 | |
Madison Park Funding XLVIII Ltd. | | | | | | | | |
2021-48A, 1.70% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,2 | | | 4,000,000 | | | | 3,945,494 | |
Golub Capital Partners CLO 33M Ltd. | | | | | | | | |
2021-33A, 2.36% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,2 | | | 3,750,000 | | | | 3,748,189 | |
MidOcean Credit CLO VII | | | | | | | | |
2020-7A, 1.28% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/29◊,2 | | | 3,294,039 | | | | 3,278,534 | |
Cerberus Loan Funding XXX, LP | | | | | | | | |
2020-3A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,2 | | | 3,000,000 | | | | 3,013,444 | |
ABPCI Direct Lending Fund CLO II LLC | | | | | | | | |
2021-1A, 1.85% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,2 | | | 3,000,000 | | | | 3,000,301 | |
BDS Ltd. | | | | | | | | |
2021-FL8, 2.02% (1 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/18/36◊,2 | | | 2,000,000 | | | | 1,939,517 | |
2021-FL8, 2.37% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/18/36◊,2 | | | 1,000,000 | | | | 949,305 | |
Woodmont Trust | | | | | | | | |
2020-7A, 2.14% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,2 | | | 2,750,000 | | | | 2,761,447 | |
| | | | | | | | | |
18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
LoanCore Issuer Ltd. | | | | | | | | |
2019-CRE2, 1.90% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,2 | | | 1,300,000 | | | $ | 1,297,099 | |
2018-CRE1, 1.90% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/28◊,2 | | | 1,000,000 | | | | 999,108 | |
2018-CRE1, 1.53% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/28◊,2 | | | 386,028 | | | | 385,866 | |
Cerberus Loan Funding XXXII, LP | | | | | | | | |
2021-2A, 1.86% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,2 | | | 2,500,000 | | | | 2,492,306 | |
Cerberus Loan Funding XXXI, LP | | | | | | | | |
2021-1A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,2 | | | 2,500,000 | | | | 2,490,344 | |
Cerberus 2112 Levered LLC | | | | | | | | |
, 2.49% (90 Day Average SOFR + 2.35%, Rate Floor: 2.35%) due 02/15/29◊ | | | 2,500,000 | | | | 2,454,294 | |
Venture XIV CLO Ltd. | | | | | | | | |
2020-14A, 1.54% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/29◊,2 | | | 2,433,484 | | | | 2,420,088 | |
ABPCI Direct Lending Fund CLO I LLC | | | | | | | | |
2021-1A, 1.95% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,2 | | | 2,250,000 | | | | 2,259,284 | |
THL Credit Lake Shore MM CLO I Ltd. | | | | | | | | |
2021-1A, 1.94% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,2 | | | 2,250,000 | | | | 2,255,197 | |
Cerberus Loan Funding XXXIII, LP | | | | | | | | |
2021-3A, 1.80% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/33◊,2 | | | 2,250,000 | | | | 2,237,268 | |
GoldenTree Loan Management US CLO 1 Ltd. | | | | | | | | |
2021-9A, 0.75% (3 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 01/20/33◊,2 | | | 2,142,857 | | | | 2,142,588 | |
Cerberus Loan Funding XXVI, LP | | | | | | | | |
2021-1A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,2 | | | 2,000,000 | | | | 1,989,843 | |
Wellfleet CLO Ltd. | | | | | | | | |
2020-2A, 1.31% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/29◊,2 | | | 1,910,813 | | | | 1,903,366 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
GPMT Ltd. | | | | | | | | |
2019-FL2, 1.47% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/36◊ | | | 1,879,682 | | | $ | 1,873,615 | |
Fortress Credit Opportunities XI CLO Ltd. | | | | | | | | |
2018-11A, 1.54% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,2 | | | 1,800,000 | | | | 1,771,812 | |
Avery Point VI CLO Ltd. | | | | | | | | |
2021-6A, 1.22% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 08/05/27◊,2 | | | 1,777,115 | | | | 1,767,318 | |
Madison Park Funding LIII Ltd. | | | | | | | | |
2022-53A, 1.94% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,2 | | | 1,750,000 | | | | 1,744,524 | |
Allegro CLO IX Ltd. | | | | | | | | |
2018-3A, 1.41% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/31◊,2 | | | 1,500,000 | | | | 1,493,118 | |
BCC Middle Market CLO LLC | | | | | | | | |
2021-1A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,2 | | | 1,250,000 | | | | 1,234,425 | |
STWD Ltd. | | | | | | | | |
2021-FL2, 2.27% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/18/38◊,2 | | | 1,000,000 | | | | 983,562 | |
Greystone Commercial Real Estate Notes | | | | | | | | |
2021-FL3, 2.05% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/15/39◊,2 | | | 1,000,000 | | | | 971,233 | |
ACRE Commercial Mortgage Ltd. | | | | | | | | |
2021-FL4, 1.24% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/37◊,2 | | | 850,000 | | | | 824,800 | |
California Street CLO IX, LP | | | | | | | | |
2019-9A, 0.94% (3 Month USD LIBOR + 0.70%, Rate Floor: 0.00%) due 07/16/32◊,2 | | | 750,000 | | | | 749,611 | |
Marathon CLO V Ltd. | | | | | | | | |
2017-5A, 1.35% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,2 | | | 705,181 | | | | 703,881 | |
Halcyon Loan Advisors Funding Ltd. | | | | | | | | |
2017-3A, 1.14% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/27◊,2 | | | 658,488 | | | | 658,249 | |
Voya CLO Ltd. | | | | | | | | |
2019-2A, 0.78% (3 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 07/20/32◊,2 | | | 656,250 | | | | 655,724 | |
TICP CLO VII Ltd. | | | | | | | | |
2020-7A, 0.79% (3 Month USD LIBOR + 0.55%, Rate Floor: 0.55%) due 04/15/33◊,2 | | | 562,500 | | | | 562,414 | |
20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
Newfleet CLO Ltd. | | | | | | | | |
2018-1A, 1.20% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,2 | | | 563,266 | | | $ | 561,730 | |
Fortress Credit Opportunities VI CLO Ltd. | | | | | | | | |
2018-6A, 1.59% (3 Month USD LIBOR + 1.36%, Rate Floor: 0.00%) due 07/10/30◊,2 | | | 250,000 | | | | 247,985 | |
2018-6A, 1.83% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/10/30◊,2 | | | 250,000 | | | | 247,288 | |
OZLM XII Ltd. | | | | | | | | |
2018-12A, 1.35% (3 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 04/30/27◊,2 | | | 464,759 | | | | 464,155 | |
Greywolf CLO III Ltd. | | | | | | | | |
2020-3RA, 0.76% (3 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 04/15/33◊,2 | | | 388,889 | | | | 388,760 | |
Golub Capital Partners CLO 17 Ltd. | | | | | | | | |
2017-17A, 1.91% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,2 | | | 350,000 | | | | 350,048 | |
KVK CLO Ltd. | | | | | | | | |
2017-1A, 1.14% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/28◊,2 | | | 189,516 | | | | 189,385 | |
Diamond CLO Ltd. | | | | | | | | |
2021-1A, 1.46% (3 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 04/25/29◊,2 | | | 90,922 | | | | 90,905 | |
Total Collateralized Loan Obligations | | | 207,927,737 | |
| | | | | | | | | |
Financial - 3.0% |
Station Place Securitization Trust | | | | | | | | |
2021-15, 1.06% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 09/26/22◊,†††,2 | | | 7,850,000 | | | | 7,850,000 | |
2021-9, 1.06% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 06/20/22◊,†††,2 | | | 6,050,000 | | | | 6,050,000 | |
2021-SP1, 1.93% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22◊,†††,2 | | | 1,200,000 | | | | 1,200,000 | |
Station Place Securitization Trust Series | | | | | | | | |
2021-17, 0.96% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 06/22/22◊,†††,2 | | | 11,000,000 | | | | 11,000,000 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
Madison Avenue Secured Funding Trust Series | | | | | | | | |
2021-1, 1.96% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,2 | | | 2,850,000 | | | $ | 2,850,000 | |
Total Financial | | | 28,950,000 | |
| | | | | | | | | |
Whole Business - 1.5% |
Applebee’s Funding LLC / IHOP Funding LLC | | | | | | | | |
2019-1A, 4.19% due 06/05/492 | | | 5,346,000 | | | | 5,305,312 | |
Domino’s Pizza Master Issuer LLC | | | | | | | | |
2018-1A, 4.33% due 07/25/482 | | | 4,344,075 | | | | 4,342,589 | |
Taco Bell Funding LLC | | | | | | | | |
2021-1A, 1.95% due 08/25/512 | | | 3,241,875 | | | | 2,931,935 | |
Wingstop Funding LLC | | | | | | | | |
2020-1A, 2.84% due 12/05/502 | | | 1,343,250 | | | | 1,245,832 | |
SERVPRO Master Issuer LLC | | | | | | | | |
2019-1A, 3.88% due 10/25/492 | | | 977,500 | | | | 979,258 | |
Total Whole Business | | | 14,804,926 | |
| | | | | | | | | |
Transport-Container - 1.2% |
Triton Container Finance VIII LLC | | | | | | | | |
2021-1A, 1.86% due 03/20/462 | | | 6,633,750 | | | | 6,002,046 | |
CLI Funding VIII LLC | | | | | | | | |
2021-1A, 1.64% due 02/18/462 | | | 2,898,613 | | | | 2,631,405 | |
Textainer Marine Containers VII Ltd. | | | | | | | | |
2021-1A, 1.68% due 02/20/462 | | | 1,918,000 | | | | 1,735,484 | |
2020-1A, 2.73% due 08/21/452 | | | 753,393 | | | | 729,824 | |
Total Transport-Container | | | 11,098,759 | |
Net Lease - 0.9% |
Oak Street Investment Grade Net Lease Fund Series | | | | | | | | |
2020-1A, 1.85% due 11/20/502 | | | 6,593,049 | | | | 6,195,622 | |
CF Hippolyta LLC | | | | | | | | |
2021-1A, 1.98% due 03/15/612 | | | 2,170,137 | | | | 1,996,450 | |
Total Net Lease | | | 8,192,072 | |
| | | | | | | | | |
Collateralized Debt Obligations - 0.2% |
Anchorage Credit Funding 3 Ltd. | | | | | | | | |
2021-3A, 2.87% due 01/28/392 | | | 1,750,000 | | | | 1,661,135 | |
| | | | | | | | | |
Transport-Aircraft - 0.0% |
Raspro Trust | | | | | | | | |
2005-1A, 1.18% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,2 | | | 439,828 | | | | 437,750 | |
Total Asset-Backed Securities |
(Cost $277,061,485) | | | 273,072,379 | |
| | | | | | | | | |
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 17.0% |
Residential Mortgage-Backed Securities - 14.2% |
CSMC Trust | | | | | | | | |
2021-RPL1, 1.67% (WAC) due 09/27/60◊,2 | | | 6,447,678 | | | | 6,195,790 | |
2021-RPL7, 1.93% (WAC) due 07/27/61◊,2 | | | 2,783,018 | | | | 2,635,579 | |
2020-RPL5, 3.02% (WAC) due 08/25/60◊,2 | | | 2,431,502 | | | | 2,382,274 | |
2020-NQM1, 1.21% due 05/25/652,4 | | | 1,709,823 | | | | 1,682,006 | |
2021-RPL4, 1.80% (WAC) due 12/27/60◊,2 | | | 1,539,719 | | | | 1,465,531 | |
22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
BRAVO Residential Funding Trust | | | | | | | | |
2021-C, 1.62% due 03/01/612,4 | | | 8,788,537 | | | $ | 8,282,078 | |
2022-R1, 3.13% due 01/29/702,4 | | | 2,981,137 | | | | 2,819,075 | |
2021-HE1, 0.95% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 01/25/70◊,2 | | | 1,423,255 | | | | 1,417,088 | |
2021-HE2, 0.95% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 11/25/69◊,2 | | | 639,344 | | | | 636,814 | |
PRPM LLC | | | | | | | | |
2022-1, 3.72% due 02/25/272,4 | | | 4,050,000 | | | | 3,978,283 | |
2021-5, 1.79% due 06/25/262,4 | | | 4,104,207 | | | | 3,889,790 | |
2021-8, 1.74% (WAC) due 09/25/26◊,2 | | | 2,233,548 | | | | 2,116,595 | |
2021-RPL2, 2.24% (WAC) due 10/25/51◊,2 | | | 2,000,000 | | | | 1,861,112 | |
Verus Securitization Trust | | | | | | | | |
2021-5, 1.37% (WAC) due 09/25/66◊,2 | | | 2,716,287 | | | | 2,500,656 | |
2020-5, 1.22% due 05/25/652,4 | | | 2,484,550 | | | | 2,421,758 | |
2021-6, 1.89% (WAC) due 10/25/66◊,2 | | | 2,364,558 | | | | 2,251,461 | |
2021-4, 1.35% (WAC) due 07/25/66◊,2 | | | 1,216,279 | | | | 1,141,722 | |
2021-3, 1.44% (WAC) due 06/25/66◊,2 | | | 811,927 | | | | 767,765 | |
2019-4, 2.85% due 11/25/592,4 | | | 731,537 | | | | 730,679 | |
2020-1, 2.42% due 01/25/602,4 | | | 509,943 | | | | 507,864 | |
2019-4, 2.64% due 11/25/592,4 | | | 362,551 | | | | 362,167 | |
Legacy Mortgage Asset Trust | | | | | | | | |
2021-GS4, 1.65% due 11/25/602,4 | | | 3,821,879 | | | | 3,606,261 | |
2021-GS3, 1.75% due 07/25/612,4 | | | 3,627,954 | | | | 3,453,345 | |
2021-GS2, 1.75% due 04/25/612,4 | | | 1,728,752 | | | | 1,648,174 | |
2021-GS5, 2.25% due 07/25/672,4 | | | 1,171,561 | | | | 1,115,833 | |
NYMT Loan Trust | | | | | | | | |
2021-SP1, 1.67% due 08/25/612,4 | | | 8,413,212 | | | | 8,538,869 | |
OSAT Trust | | | | | | | | |
2021-RPL1, 2.12% due 05/25/652,4 | | | 7,961,869 | | | | 7,618,087 | |
New Residential Advance Receivables Trust Advance Receivables Backed Notes | | | | | | | | |
2020-APT1, 1.04% due 12/16/522 | | | 4,000,000 | | | | 3,942,833 | |
2020-T1, 1.43% due 08/15/532 | | | 2,000,000 | | | | 1,957,968 | |
NRZ Advance Receivables Trust | | | | | | | | |
2020-T2, 1.48% due 09/15/532 | | | 4,150,000 | | | | 4,034,289 | |
2020-T3, 1.32% due 10/15/522 | | | 1,650,000 | | | | 1,643,008 | |
Ocwen Master Advance Receivables Trust | | | | | | | | |
2020-T1, 1.28% due 08/15/522 | | | 4,824,737 | | | | 4,824,877 | |
Imperial Fund Mortgage Trust | | | | | | | | |
2022-NQM2, 4.02% (WAC) due 03/25/67◊,2 | | | 4,750,000 | | | | 4,689,926 | |
SPS Servicer Advance Receivables Trust II | | | | | | | | |
2020-T1, 1.28% due 11/15/522 | | | 4,666,667 | | | | 4,630,725 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
FKRT | | | | | | | | |
2.21% due 11/30/58†††,5 | | | 4,550,000 | | | $ | 4,381,649 | |
Towd Point Revolving Trust | | | | | | | | |
4.83% due 09/25/645 | | | 3,250,000 | | | | 3,252,694 | |
ZH Trust | | | | | | | | |
2021-2, 2.35% due 10/17/272 | | | 1,500,000 | | | | 1,473,207 | |
2021-1, 2.25% due 02/18/272 | | | 1,500,000 | | | | 1,472,757 | |
LSTAR Securities Investment Ltd. | | | | | | | | |
2021-1, 2.03% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,5 | | | 1,531,329 | | | | 1,518,746 | |
2021-2, 1.93% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,5 | | | 1,045,108 | | | | 1,037,618 | |
CFMT LLC | | | | | | | | |
2021-HB5, 0.80% (WAC) due 02/25/31◊,2 | | | 2,504,815 | | | | 2,477,487 | |
New Residential Mortgage Loan Trust | | | | | | | | |
2019-1A, 3.50% (WAC) due 10/25/59◊,2 | | | 1,431,813 | | | | 1,422,537 | |
2018-2A, 3.50% (WAC) due 02/25/58◊,2 | | | 872,521 | | | | 867,404 | |
CSMC | | | | | | | | |
2021-NQM8, 2.41% (WAC) due 10/25/66◊,2 | | | 1,875,683 | | | | 1,787,147 | |
Soundview Home Loan Trust | | | | | | | | |
2006-OPT5, 0.60% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/36◊ | | | 1,689,912 | | | | 1,653,459 | |
Angel Oak Mortgage Trust | | | | | | | | |
2022-1, 3.29% (WAC) due 12/25/66◊,2 | | | 1,679,792 | | | | 1,633,206 | |
Towd Point Mortgage Trust | | | | | | | | |
2018-2, 3.25% (WAC) due 03/25/58◊,2 | | | 654,713 | | | | 654,942 | |
2017-6, 2.75% (WAC) due 10/25/57◊,2 | | | 544,346 | | | | 539,114 | |
2017-5, 1.06% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/57◊,2 | | | 244,740 | | | | 243,826 | |
Morgan Stanley ABS Capital I Incorporated Trust | | | | | | | | |
2006-NC1, 1.03% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/35◊ | | | 1,252,411 | | | | 1,246,680 | |
CSMC Series | | | | | | | | |
2014-2R, 0.39% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/46◊,2 | | | 1,108,759 | | | | 1,096,320 | |
Ellington Financial Mortgage Trust | | | | | | | | |
2020-2, 1.49% (WAC) due 10/25/65◊,2 | | | 622,268 | | | | 614,747 | |
2020-2, 1.64% (WAC) due 10/25/65◊,2 | | | 358,450 | | | | 353,985 | |
24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
Credit Suisse Mortgage Capital Certificates | | | | | | | | |
2021-RPL9, 2.44% (WAC) due 02/25/61◊,2 | | | 967,502 | | | $ | 919,814 | |
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series | | | | | | | | |
2005-W2, 1.19% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/35◊ | | | 925,935 | | | | 918,533 | |
CIT Mortgage Loan Trust | | | | | | | | |
2007-1, 1.81% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/37◊,2 | | | 906,082 | | | | 906,452 | |
Residential Mortgage Loan Trust | | | | | | | | |
2020-1, 2.38% (WAC) due 01/26/60◊,2 | | | 922,993 | | | | 897,843 | |
Banc of America Funding Trust | | | | | | | | |
2015-R2, 0.72% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/37◊,2 | | | 707,312 | | | | 692,647 | |
GS Mortgage-Backed Securities Trust | | | | | | | | |
2020-NQM1, 1.38% (WAC) due 09/27/60◊,2 | | | 550,867 | | | | 536,803 | |
SG Residential Mortgage Trust | | | | | | | | |
2022-1, 3.68% (WAC) due 03/27/62◊,2 | | | 498,868 | | | | 486,998 | |
Citigroup Mortgage Loan Trust | | | | | | | | |
2007-WFH2, 1.06% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/37◊ | | | 164,654 | | | | 164,439 | |
2019-IMC1, 2.72% (WAC) due 07/25/49◊,2 | | | 164,559 | | | | 162,884 | |
Cascade Funding Mortgage Trust | | | | | | | | |
2019-RM3, 2.80% (WAC) due 06/25/69◊,5 | | | 272,023 | | | | 267,276 | |
Starwood Mortgage Residential Trust | | | | | | | | |
2020-1, 2.28% (WAC) due 02/25/50◊,2 | | | 209,427 | | | | 207,859 | |
Ameriquest Mortgage Securities Incorporated Asset-Backed Pass-Through Certificates Series | | | | | | | | |
2005-R10, 1.10% (1 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 01/25/36◊ | | | 175,049 | | | | 174,905 | |
Total Residential Mortgage-Backed Securities | | | 135,814,260 | |
| | | | | | | | | |
Commercial Mortgage Backed Securities - 2.8% |
BX Commercial Mortgage Trust | | | | | | | | |
2021-VOLT, 2.05% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/36◊,2 | | | 10,250,000 | | | | 9,880,375 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
2022-LP2, 1.66% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,2 | | | 2,650,000 | | | $ | 2,593,693 | |
JP Morgan Chase Commercial Mortgage Securities Trust | | | | | | | | |
2021-NYAH, 1.94% (1 Month USD LIBOR + 1.54%, Rate Floor: 1.54%) due 06/15/38◊,2 | | | 2,700,000 | | | | 2,628,903 | |
Life Mortgage Trust | | | | | | | | |
2021-BMR, 1.50% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 03/15/38◊,2 | | | 2,408,277 | | | | 2,326,892 | |
Morgan Stanley Capital I Trust | | | | | | | | |
2018-H3, 0.82% (WAC) due 07/15/51◊,6 | | | 43,616,969 | | | | 1,598,562 | |
MHP | | | | | | | | |
2022-MHIL, 1.57% (1 Month Term SOFR + 1.26%, Rate Floor: 1.26%) due 01/15/27◊,2 | | | 1,500,000 | | | | 1,458,626 | |
BXHPP Trust | | | | | | | | |
2021-FILM, 1.50% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 08/15/36◊,2 | | | 1,500,000 | | | | 1,439,905 | |
Citigroup Commercial Mortgage Trust | | | | | | | | |
2019-GC41, 1.06% (WAC) due 08/10/56◊,6 | | | 24,869,203 | | | | 1,425,470 | |
BENCHMARK Mortgage Trust | | | | | | | | |
2019-B14, 0.78% (WAC) due 12/15/62◊,6 | | | 34,680,882 | | | | 1,389,066 | |
Motel Trust | | | | | | | | |
2021-MTL6, 1.60% (1 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 09/15/38◊,2 | | | 841,002 | | | | 826,673 | |
JPMDB Commercial Mortgage Securities Trust | | | | | | | | |
2018-C8, 0.59% (WAC) due 06/15/51◊,6 | | | 27,773,087 | | | | 656,564 | |
KKR Industrial Portfolio Trust | | | | | | | | |
2021-KDIP, 1.40% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/37◊,2 | | | 487,500 | | | | 476,477 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | |
2015-NXS1, 2.63% due 05/15/48 | | | 126,256 | | | | 126,162 | |
Total Commercial Mortgage Backed Securities | | | 26,827,368 | |
| | | | | | | | | |
Total Collateralized Mortgage Obligations |
(Cost $168,070,744) | | | 162,641,628 | |
| | | | | | | | | |
SENIOR FLOATING RATE INTERESTS††,◊ - 5.2% |
Industrial - 1.8% |
SkyMiles IP Ltd. | | | | | | | | |
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 | | | 4,650,000 | | | | 4,794,569 | |
26 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
Berry Global, Inc. | | | | | | | | |
2.07% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26 | | | 3,931,857 | | | $ | 3,871,031 | |
LTI Holdings, Inc. | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/08/25 | | | 3,047,439 | | | | 2,974,423 | |
Hunter Douglas, Inc. | | | | | | | | |
4.00% (3 Month USD Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/26/29 | | | 2,400,000 | | | | 2,349,000 | |
Mileage Plus Holdings LLC | | | | | | | | |
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | | | 2,200,000 | | | | 2,279,750 | |
Standard Industries, Inc. | | | | | | | | |
3.79% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 09/22/28 | | | 733,413 | | | | 731,212 | |
Filtration Group Corp. | | | | | | | | |
3.46% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25 | | | 637,084 | | | | 627,062 | |
Total Industrial | | | 17,627,047 | |
| | | | | | | | | |
Technology - 1.0% |
Emerald TopCo, Inc. (Press Ganey) | | | | | | | | |
3.80% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 | | | 2,845,452 | | | | 2,804,107 | |
Dun & Bradstreet | | | | | | | | |
3.70% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26 | | | 2,326,441 | | | | 2,301,921 | |
VT TopCo, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25 | | | 1,570,532 | | | | 1,542,074 | |
Boxer Parent Company, Inc. | | | | | | | | |
4.76% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/02/25 | | | 1,233,401 | | | | 1,224,928 | |
Entegris, Inc. | | | | | | | | |
due 03/02/29 | | | 1,000,000 | | | | 996,670 | |
Sabre GLBL, Inc. | | | | | | | | |
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24 | | | 530,715 | | | | 521,761 | |
MACOM Technology Solutions Holdings, Inc. | | | | | | | | |
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24 | | | 244,787 | | | | 241,421 | |
Total Technology | | | 9,632,882 | |
| | | | | | | | | |
Consumer, Cyclical - 0.8% |
Power Solutions (Panther) | | | | | | | | |
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26 | | | 2,882,944 | | | | 2,843,304 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
Stars Group (Amaya) | | | | | | | | |
3.26% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26 | | | 2,786,000 | | | $ | 2,761,037 | |
Go Daddy Operating Company LLC | | | | | | | | |
2.20% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 02/15/24 | | | 1,286,870 | | | | 1,276,678 | |
IBC Capital Ltd. | | | | | | | | |
4.67% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23 | | | 694,574 | | | | 678,078 | |
BCPE Empire Holdings, Inc. | | | | | | | | |
4.46% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/11/26 | | | 99,237 | | | | 97,666 | |
Total Consumer, Cyclical | | | 7,656,763 | |
| | | | | | | | | |
Financial - 0.6% |
Focus Financial Partners LLC | | | | | | | | |
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24 | | | 3,033,207 | | | | 2,988,346 | |
USI, Inc. | | | | | | | | |
4.01% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24 | | | 1,030,015 | | | | 1,022,269 | |
Delos Finance SARL (International Lease Finance) | | | | | | | | |
2.76% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/06/23 | | | 690,000 | | | | 684,252 | |
HUB International Ltd. | | | | | | | | |
3.27% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25 | | | 541,720 | | | | 535,003 | |
Alliant Holdings Intermediate LLC | | | | | | | | |
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 | | | 298,193 | | | | 294,573 | |
Total Financial | | | 5,524,443 | |
| | | | | | | | | |
Consumer, Non-cyclical - 0.5% |
Icon Luxembourg SARL | | | | | | | | |
2.75% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 07/03/28 | | | 2,040,386 | | | | 2,028,919 | |
Pearl Intermediate Parent LLC | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25 | | | 1,389,313 | | | | 1,380,630 | |
KDC US Holdings, Inc. | | | | | | | | |
4.21% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/22/25 | | | 498,462 | | | | 489,738 | |
Nomad Foods Lux SARL | | | | | | | | |
2.76% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/15/24 | | | 296,890 | | | | 292,932 | |
28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
Outcomes Group Holdings, Inc. | | | | | | | | |
3.60% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/24/25 | | | 298,202 | | | $ | 291,681 | |
Total Consumer, Non-cyclical | | | 4,483,900 | |
| | | | | | | | | |
Communications - 0.2% |
Internet Brands, Inc. | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/13/24 | | | 2,277,973 | | | | 2,247,289 | |
Flight Bidco, Inc. | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25 | | | 198,458 | | | | 191,595 | |
Total Communications | | | 2,438,884 | |
| | | | | | | | | |
Basic Materials - 0.2% |
Illuminate Buyer LLC | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27 | | | 1,715,328 | | | | 1,656,372 | |
HB Fuller Co. | | | | | | | | |
2.45% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/21/24 | | | 120,364 | | | | 119,782 | |
Total Basic Materials | | | 1,776,154 | |
| | | | | | | | | |
Energy - 0.1% |
ITT Holdings LLC | | | | | | | | |
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28 | | | 489,540 | | | | 482,197 | |
Lotus Midstream, LLC | | | | | | | | |
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/29/25 | | | 99,231 | | | | 97,452 | |
Total Energy | | | 579,649 | |
| | | | | | | | | |
Total Senior Floating Rate Interests |
(Cost $50,251,764) | | | 49,719,722 | |
| | | | | | | | | |
FOREIGN GOVERNMENT DEBT†† - 3.7% |
State of Israel |
0.75% due 07/31/22 | | | ILS 44,240,000 | | | | 13,905,666 | |
1.25% due 11/30/22 | | | ILS 32,083,000 | | | | 10,126,359 | |
Czech Republic |
0.10% due 04/17/22 | | | CZK 200,400,000 | | | | 9,054,740 | |
Abu Dhabi Government International Bond |
0.75% due 09/02/232 | | | 2,200,000 | | | | 2,151,930 | |
Total Foreign Government Debt |
(Cost $35,134,830) | | | | | | | 35,238,695 | |
| | | | | | | | | |
MUNICIPAL BONDS†† - 0.0% |
Colorado - 0.0% |
Dawson Ridge Metropolitan District No. 1 General Obligation Limited | | | | | | | | |
due 10/01/227 | | | 150,000 | | | | 149,049 | |
| | | | | | | | | |
Maryland - 0.0% |
Maryland Health & Higher Educational Facilities Authority Revenue Bonds | | | | | | | | |
4.00% due 07/01/22 | | | 30,000 | | | | 30,215 | |
| | | | | | | | | |
Texas - 0.0% |
Houston Higher Education Finance Corp. Revenue Bonds | | | | | | | | |
5.00% due 09/01/22 | | | 25,000 | | | | 25,382 | |
| | | | | | | | | |
Florida - 0.0% |
Capital Trust Agency, Inc. Revenue Bonds | | | | | | | | |
4.38% due 12/01/22 | | | 10,000 | | | | 10,579 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
| | Face
Amount~ | | | Value | |
Puerto Rico - 0.0% |
Puerto Rico Highway & Transportation Authority Revenue Bonds | | | | | | | | |
5.25% due 07/01/22 | | | 10,000 | | | $ | 9,999 | |
| | | | | | | | | |
New York - 0.0% |
New York City Transitional Finance Authority Building Aid Revenue Bonds | | | | | | | | |
5.00% due 07/15/22 | | | 5,000 | | | | 5,006 | |
| | | | | | | | | |
Arizona - 0.0% |
City of Mesa Arizona Excise Tax Revenue Bonds | | | | | | | | |
5.00% due 07/01/22 | | | 5,000 | | | | 4,997 | |
| | | | | | | | | |
Illinois - 0.0% |
Illinois Finance Authority Revenue Bonds | | | | | | | | |
4.00% due 05/15/22 | | | 5,000 | | | | 4,967 | |
| | | | | | | | | |
Pennsylvania - 0.0% |
City of Erie Pennsylvania General Obligation Unlimited | | | | | | | | |
due 11/15/227 | | | 5,000 | | | | 4,909 | |
Total Municipal Bonds |
(Cost $246,171) | | | 245,103 | |
COMMERCIAL PAPER†† - 2.3% |
Sonoco Products Co. |
0.27% due 04/01/228 | | | 5,000,000 | | | | 5,000,000 | |
0.50% due 04/04/228 | | | 5,000,000 | | | | 4,999,792 | |
McCormick & Co., Inc. |
0.50% due 04/04/222,8 | | | 6,000,000 | | | | 5,999,750 | |
0.53% due 04/01/222,8 | | | 1,200,000 | | | | 1,200,000 | |
Entergy Corp. |
0.23% due 04/01/222,8 | | | 5,000,000 | | | | 5,000,000 | |
Total Commercial Paper |
(Cost $22,199,542) | | | | | | | 22,199,542 | |
| | | | | | | | | |
Total Investments - 101.0% |
(Cost $990,746,199) | | $ | 969,796,936 | |
Other Assets & Liabilities, net - (1.0)% | | | (9,308,437 | ) |
Total Net Assets - 100.0% | | $ | 960,488,499 | |
30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
Centrally Cleared Interest Rate Swap Agreements††
Counterparty | Exchange | Floating
Rate Type | Floating
Rate Index | | Fixed
Rate | | Payment
Frequency |
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 1.10% | Annually |
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.00% | Quarterly |
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.66% | Quarterly |
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 1.47% | Annually |
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 1.79% | Annually |
Counterparty | | Maturity
Date | | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid | | | Unrealized
Appreciation** | |
BofA Securities, Inc. | | | 01/10/25 | | | $ | 137,000,000 | | | $ | 4,508,196 | | | $ | 593 | | | $ | 4,507,603 | |
BofA Securities, Inc. | | | 05/04/26 | | | | 15,000,000 | | | | 914,949 | | | | 300 | | | | 914,649 | |
BofA Securities, Inc. | | | 03/16/31 | | | | 4,500,000 | | | | 279,293 | | | | 301 | | | | 278,992 | |
BofA Securities, Inc. | | | 02/02/27 | | | | 2,150,000 | | | | 72,777 | | | | 300 | | | | 72,477 | |
BofA Securities, Inc. | | | 02/17/27 | | | | 3,520,000 | | | | 68,598 | | | | 308 | | | | 68,290 | |
| | | | | | | | | | | $ | 5,843,813 | | | $ | 1,802 | | | $ | 5,842,011 | |
Forward Foreign Currency Exchange Contracts†† |
Counterparty | | Currency | | | Type | | | Quantity | | | Contract
Amount | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
Barclays Bank plc | | | ILS | | | | Buy | | | | 8,523,623 | | | | 2,345,521 USD | | | | 08/01/22 | | | $ | 343,475 | |
UBS AG | | | CZK | | | | Sell | | | | 30,060 | | | | 1,284 USD | | | | 04/28/22 | | | | (77 | ) |
Barclays Bank plc | | | CZK | | | | Sell | | | | 200,600,400 | | | | 9,076,214 USD | | | | 04/19/22 | | | | (11,367 | ) |
UBS AG | | | ILS | | | | Sell | | | | 11,365,313 | | | | 3,599,040 USD | | | | 11/30/22 | | | | (16,123 | ) |
Barclays Bank plc | | | ILS | | | | Sell | | | | 21,118,725 | | | | 6,695,930 USD | | | | 11/30/22 | | | | (21,671 | ) |
UBS AG | | | ILS | | | | Sell | | | | 17,379,729 | | | | 5,389,748 USD | | | | 08/01/22 | | | | (93,134 | ) |
Barclays Bank plc | | | ILS | | | | Sell | | | | 8,523,623 | | | | 2,581,743 USD | | | | 08/01/22 | | | | (107,253 | ) |
Goldman Sachs International | | | ILS | | | | Sell | | | | 27,192,978 | | | | 8,430,101 USD | | | | 08/01/22 | | | | (148,623 | ) |
| | | | | | | | | | | | | | | | | | | | | | | $ | (54,773 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
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. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
1 | Rate indicated is the 7-day yield as of March 31, 2022. |
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 $546,105,113 (cost $560,242,994), or 56.9% of total net assets. |
3 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
4 | 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 March 31, 2022. See table below for additional step information for each security. |
5 | 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 $10,457,983 (cost $10,648,347), or 1.1% of total net assets — See Note 9. |
6 | Security is an interest-only strip. |
7 | Zero coupon rate security. |
8 | Rate indicated is the effective yield at the time of purchase. |
| | BofA — Bank of America |
| | CME — Chicago Mercantile Exchange |
| | CZK — Czech Koruna |
| | ILS — Israeli New Shekel |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | SARL — Société à Responsabilité Limitée |
| | SOFR — Secured Overnight Financing Rate |
| | WAC — Weighted Average Coupon |
| | |
| | See Sector Classification in Other Information section. |
32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Money Market Fund | | $ | 40,740,446 | | | $ | — | | | $ | — | | | $ | 40,740,446 | |
Corporate Bonds | | | — | | | | 385,939,421 | | | | — | | | | 385,939,421 | |
Asset-Backed Securities | | | — | | | | 244,122,379 | | | | 28,950,000 | | | | 273,072,379 | |
Collateralized Mortgage Obligations | | | — | | | | 158,259,979 | | | | 4,381,649 | | | | 162,641,628 | |
Senior Floating Rate Interests | | | — | | | | 49,719,722 | | | | — | | | | 49,719,722 | |
Foreign Government Debt | | | — | | | | 35,238,695 | | | | — | | | | 35,238,695 | |
Municipal Bonds | | | — | | | | 245,103 | | | | — | | | | 245,103 | |
Commercial Paper | | | — | | | | 22,199,542 | | | | — | | | | 22,199,542 | |
Interest Rate Swap Agreements** | | | — | | | | 5,842,011 | | | | — | | | | 5,842,011 | |
Forward Foreign Currency Exchange Contracts** | | | — | | | | 343,475 | | | | — | | | | 343,475 | |
Total Assets | | $ | 40,740,446 | | | $ | 901,910,327 | | | $ | 33,331,649 | | | $ | 975,982,422 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Forward Foreign Currency Exchange Contracts** | | $ | — | | | $ | 398,248 | | | $ | — | | | $ | 398,248 | |
Unfunded Loan Commitments (Note 8) | | | — | | | | — | | | | 2,010 | | | | 2,010 | |
Total Liabilities | | $ | — | | | $ | 398,248 | | | $ | 2,010 | | | $ | 400,258 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
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
March 31, 2022 | | | Valuation
Technique | | Unobservable
Inputs | | Input
Range | | | Weighted
Average* | |
| Assets: | | | | | | | | | | | | | |
| Asset-Backed Securities | | $ | 28,950,000 | | | Third Party Pricing | | Broker Quote | | | — | | | | — | |
| Collateralized Mortgage Obligations | | | 4,381,649 | | | Model Price | | Market Comparable Yields | | | 4.7 | % | | | — | |
| Total Assets | | $ | 33,331,649 | | | | | | | | | | | | | |
| Liabilities: | | | | | | | | | | | | | | | | |
| Unfunded Loan Commitments | | $ | 2,010 | | | Model Price | | Purchase price | | | — | | | | — | |
* | Inputs are weighted by the fair value of the instruments. |
Significant changes in a quote or market comparable yields 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.
34 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
ULTRA SHORT DURATION 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 period ended March 31, 2022:
| | | Assets | | | | | | | Liabilities | |
| | | Asset Backed
Securities | | | Collateralized
Mortgage
Obligations | | | Total Assets | | | Unfunded Loans | |
Beginning Balance | | $ | 23,200,000 | | | $ | 2,621,708 | | | $ | 25,821,708 | | | $ | (689 | ) |
Purchases/(Receipts) | | | 13,850,000 | | | | — | | | | 13,850,000 | | | | — | |
(Sales, maturities and paydowns)/Fundings | | | (15,950,000 | ) | | | (2,621,708 | ) | | | (18,571,708 | ) | | | — | |
Amortization of premiums/discounts | | | — | | | | (6 | ) | | | (6 | ) | | | — | |
Total realized gains (losses) included in earnings | | | — | | | | (1,226 | ) | | | (1,226 | ) | | | 859 | |
Total change in unrealized appreciation (depreciation) included in earnings | | | — | | | | 1,232 | | | | 1,232 | | | | (2,180 | ) |
Transfers into Level 3 | | | 7,850,000 | | | | 4,381,649 | | | | 12,231,649 | | | | — | |
Ending Balance | | $ | 28,950,000 | | | $ | 4,381,649 | | | $ | 33,331,649 | | | $ | (2,010 | ) |
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2022 | | $ | — | | | $ | — | | | $ | — | | | $ | (2,180 | ) |
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 period ended March 31, 2022, the Fund had securities with a total value of $12,231,649 transfer into Level 3 from Level 2 due to a lack of observable inputs.
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
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 Reset Date | | | Next Rate
Reset Date | | | Future Reset Rate | | | Future Reset Date | |
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70 | | | 6.13 | % | | | 01/30/25 | | | | — | | | | — | |
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-GS3, 1.75% due 07/25/61 | | | 4.75 | % | | | 05/26/24 | | | | 5.75 | % | | | 05/26/25 | |
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-GS5, 2.25% due 07/25/67 | | | 5.25 | % | | | 11/26/24 | | | | 6.25 | % | | | 11/26/25 | |
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 | | | 5.12 | % | | | 06/26/24 | | | | 6.12 | % | | | 06/26/25 | |
PRPM LLC 2022-1, 3.72% due 02/25/27 | | | 6.72 | % | | | 02/26/25 | | | | 7.72 | % | | | 02/26/26 | |
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 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 | | | | — | | | | — | |
Verus Securitization Trust 2020-5, 1.22% due 05/25/65 | | | 2.22 | % | | | 10/26/24 | | | | — | | | | — | |
36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
ULTRA SHORT DURATION FUND |
March 31, 2022
Assets: |
Investments, at value (cost $990,746,199) | | $ | 969,796,936 | |
Segregated cash with broker | | | 9,683,658 | |
Unamortized upfront premiums paid on interest rate swap agreements | | | 1,802 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 343,475 | |
Prepaid expenses | | | 208,564 | |
Receivables: |
Interest | | | 2,487,839 | |
Fund shares sold | | | 281,418 | |
Foreign tax reclaims | | | 6,408 | |
Securities sold | | | 1,378 | |
Total assets | | | 982,811,478 | |
| | | | | |
Liabilities: |
Unfunded loan commitments, at value (Note 8) (commitment fees received $519) | | | 2,010 | |
Segregated cash due to broker | | | 5,626,524 | |
Overdraft due to custodian bank | | | 333,486 | |
Foreign currency, at value (proceeds $1,270) | | | 1,364 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 398,248 | |
Payable for: |
Securities purchased | | | 14,012,193 | |
Fund shares redeemed | | | 1,031,209 | |
Variation margin on interest rate swap agreements | | | 533,333 | |
Distributions to shareholders | | | 144,550 | |
Management fees | | | 106,710 | |
Distribution and service fees | | | 40,689 | |
Fund accounting/administration fees | | | 26,574 | |
Swap settlement | | | 16,781 | |
Due to Investment Adviser | | | 7,374 | |
Trustees’ fees* | | | 5,703 | |
Transfer agent/maintenance fees | | | 1,298 | |
Miscellaneous | | | 34,933 | |
Total liabilities | | | 22,322,979 | |
Net assets | | $ | 960,488,499 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 977,130,145 | |
Total distributable earnings (loss) | | | (16,641,646 | ) |
Net assets | | $ | 960,488,499 | |
| | | | | |
A-Class: |
Net assets | | $ | 187,966,031 | |
Capital shares outstanding | | | 19,190,920 | |
Net asset value per share | | $ | 9.79 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 772,522,468 | |
Capital shares outstanding | | | 78,886,583 | |
Net asset value per share | | $ | 9.79 | |
* | 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 SEMI-ANNUAL REPORT | 37 |
STATEMENT OF OPERATIONS (Unaudited) |
ULTRA SHORT DURATION FUND |
Six Months Ended March 31, 2022
Investment Income: |
Dividends | | $ | 173,937 | |
Interest | | | 6,831,605 | |
Total investment income | | | 7,005,542 | |
| | | | | |
Expenses: |
Management fees | | | 1,289,455 | |
Distribution and service fees: |
A-Class | | | 238,359 | |
Transfer agent/maintenance fees: |
A-Class | | | 52,947 | |
Institutional Class | | | 86,125 | |
Fund accounting/administration fees | | | 157,063 | |
Professional fees | | | 39,004 | |
Line of credit fees | | | 22,503 | |
Trustees’ fees* | | | 15,958 | |
Custodian fees | | | 14,329 | |
Interest expense | | | 7,213 | |
Miscellaneous | | | 62,242 | |
Recoupment of previously waived fees: |
A-Class | | | 16,546 | |
Institutional Class | | | 71,492 | |
Total expenses | | | 2,073,236 | |
Less: |
Expenses reimbursed by Adviser: | | | | |
A-Class | | | (46,135 | ) |
Institutional Class | | | (54,726 | ) |
Expenses waived by Adviser | | | (434 | ) |
Earnings credits applied | | | (1,350 | ) |
Total waived/reimbursed expenses | | | (102,645 | ) |
Net expenses | | | 1,970,591 | |
Net investment income | | | 5,034,951 | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (1,919,268 | ) |
Investments sold short | | | 30,874 | |
Swap agreements | | | 729,903 | |
Forward foreign currency exchange contracts | | | (657,017 | ) |
Foreign currency transactions | | | 40,260 | |
Net realized loss | | | (1,775,248 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (22,580,391 | ) |
Investments sold short | | | (33,836 | ) |
Swap agreements | | | 5,926,350 | |
Forward foreign currency exchange contracts | | | 604,869 | |
Foreign currency translations | | | (3,064 | ) |
Net change in unrealized appreciation (depreciation) | | | (16,086,072 | ) |
Net realized and unrealized loss | | | (17,861,320 | ) |
Net decrease in net assets resulting from operations | | $ | (12,826,369 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
38 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
ULTRA SHORT DURATION FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 5,034,951 | | | | 7,157,344 | |
Net realized gain (loss) on investments | | | (1,775,248 | ) | | | 2,602,544 | |
Net change in unrealized appreciation (depreciation) on investments | | | (16,086,072 | ) | | | (3,059,827 | ) |
Net increase (decrease) in net assets resulting from operations | | | (12,826,369 | ) | | | 6,700,061 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (670,446 | ) | | | (731,059 | ) |
Institutional Class | | | (3,994,843 | ) | | | (7,010,768 | ) |
Total distributions to shareholders | | | (4,665,289 | ) | | | (7,741,827 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 99,998,713 | | | | 214,903,865 | |
Institutional Class | | | 245,770,230 | | | | 1,202,493,738 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 663,125 | | | | 721,960 | |
Institutional Class | | | 3,368,957 | | | | 6,114,053 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (97,797,739 | ) | | | (90,021,904 | ) |
Institutional Class | | | (344,486,588 | ) | | | (766,018,803 | ) |
Net increase (decrease) from capital share transactions | | | (92,483,302 | ) | | | 568,192,909 | |
Net increase (decrease) in net assets | | | (109,974,960 | ) | | | 567,151,143 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 1,070,463,459 | | | | 503,312,316 | |
End of period | | $ | 960,488,499 | | | $ | 1,070,463,459 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 10,084,813 | | | | 21,545,976 | |
Institutional Class | | | 24,767,712 | | | | 120,556,717 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 67,068 | | | | 72,382 | |
Institutional Class | | | 340,707 | | | | 613,063 | |
Shares redeemed | | | | | | | | |
A-Class | | | (9,864,312 | ) | | | (9,023,382 | ) |
Institutional Class | | | (34,728,676 | ) | | | (76,807,815 | ) |
Net increase (decrease) in shares | | | (9,332,688 | ) | | | 56,956,941 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39 |
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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020 | | | Period
Ended
Sept. 30,
2019b | |
Per Share Data |
Net asset value, beginning of period | | $ | 9.97 | | | $ | 9.98 | | | $ | 9.97 | | | $ | 10.00 | |
Income (loss) from investment operations: |
Net investment income (loss)c | | | .04 | | | | .06 | | | | .12 | | | | .17 | |
Net gain (loss) on investments (realized and unrealized) | | | (.19 | ) | | | — | | | | .03 | | | | .02 | j |
Total from investment operations | | | (.15 | ) | | | .06 | | | | .15 | | | | .19 | |
Less distributions from: |
Net investment income | | | (.03 | ) | | | (.07 | ) | | | (.14 | ) | | | (.21 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.01 | ) |
Total distributions | | | (.03 | ) | | | (.07 | ) | | | (.14 | ) | | | (.22 | ) |
Net asset value, end of period | | $ | 9.79 | | | $ | 9.97 | | | $ | 9.98 | | | $ | 9.97 | |
|
Total Return | | | (1.46 | %) | | | 0.62 | % | | | 1.52 | % | | | 1.89 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 187,966 | | | $ | 188,416 | | | $ | 62,956 | | | $ | 31,154 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.78 | % | | | 0.63 | % | | | 1.20 | % | | | 2.05 | % |
Total expensesf | | | 0.63 | % | | | 0.63 | % | | | 0.65 | % | | | 0.61 | % |
Net expensesg,h,i | | | 0.59 | % | | | 0.59 | % | | | 0.61 | % | | | 0.58 | % |
Portfolio turnover rate | | | 18 | % | | | 122 | % | | | 129 | % | | | 55 | % |
40 | THE GUGGENHEIM FUNDS SEMI-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 | | Six Months Ended
March 31, 2022a | | | Year
Ended
Sept. 30,
2021 | | | Year
Ended
Sept. 30,
2020e | | | Year
Ended
Sept. 30,
2019e | | | Year
Ended
Sept. 30,
2018e | | | Year
Ended
Sept. 30,
2017e | |
Per Share Data |
Net asset value, beginning of period | | $ | 9.97 | | | $ | 9.98 | | | $ | 9.96 | | | $ | 10.01 | | | $ | 10.04 | | | $ | 9.99 | |
Income (loss) from investment operations: |
Net investment income (loss)c | | | .05 | | | | .09 | | | | .15 | | | | .28 | | | | .24 | | | | .17 | |
Net gain (loss) on investments (realized and unrealized) | | | (.18 | ) | | | — | | | | .04 | | | | (.04 | ) | | | — | | | | .06 | |
Total from investment operations | | | (.13 | ) | | | .09 | | | | .19 | | | | .24 | | | | .24 | | | | .23 | |
Less distributions from: |
Net investment income | | | (.05 | ) | | | (.10 | ) | | | (.17 | ) | | | (.28 | ) | | | (.27 | ) | | | (.18 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | d | | | — | |
Total distributions | | | (.05 | ) | | | (.10 | ) | | | (.17 | ) | | | (.29 | ) | | | (.27 | ) | | | (.18 | ) |
Net asset value, end of period | | $ | 9.79 | | | $ | 9.97 | | | $ | 9.98 | | | $ | 9.96 | | | $ | 10.01 | | | $ | 10.04 | |
|
Total Return | | | (1.34 | %) | | | 0.87 | % | | | 1.88 | % | | | 2.37 | % | | | 2.48 | % | | | 2.24 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 772,522 | | | $ | 882,047 | | | $ | 440,356 | | | $ | 423,414 | | | $ | 356,128 | | | $ | 426,592 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.02 | % | | | 0.88 | % | | | 1.47 | % | | | 2.54 | % | | | 2.44 | % | | | 1.73 | % |
Total expensesf | | | 0.35 | % | | | 0.34 | % | | | 0.38 | % | | | 0.30 | % | | | 0.07 | % | | | 0.08 | % |
Net expensesg,h,i | | | 0.34 | % | | | 0.34 | % | | | 0.36 | % | | | 0.29 | % | | | 0.07 | % | | | 0.08 | % |
Portfolio turnover rate | | | 18 | % | | | 122 | % | | | 129 | % | | | 55 | % | | | 74 | % | | | 65 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41 |
FINANCIAL HIGHLIGHTS (concluded) |
ULTRA SHORT DURATION FUND |
a | Unaudited figures for the period ended March 31, 2022. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations: November 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
d | Distributions from realized gains are less than $0.01 per share. |
e | The per share data for the years ended September 30, 2017 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. |
f | Does not include expenses of the underlying funds in which the Fund invests. |
g | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
h | 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: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 |
| | A-Class | 0.02% | 0.00%* | 0.00%* | — |
| | Institutional Class | 0.02% | 0.01% | 0.00%* | 0.00%* |
i | 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: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 0.58% | 0.58% | 0.58% | 0.58% | N/A | N/A |
| | Institutional Class | 0.33% | 0.33% | 0.33% | 0.29% | 0.07% | 0.08% |
j | 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. |
42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
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 March 31, 2022, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Ultra Short Duration Fund (the “Fund”), a diversified investment company. At March 31, 2022, 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 SEMI-ANNUAL REPORT | 43 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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
44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 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 SEMI-ANNUAL REPORT | 45 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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) 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 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.
46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
(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) 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 SEMI-ANNUAL REPORT | 47 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
(g) 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.
(h) 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.
(i) 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 March 31, 2022, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
(j) 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
48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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.
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.
(k) 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.
(l) 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.
(m) 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 period ended March 31, 2022, are disclosed in the Statement of Operations.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 49 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
(n) 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 0.33% at March 31, 2022.
(o) 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.
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.
50 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
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 | | $ | — | | | $ | 17,087,155 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 | | $ | — | | | $ | 89,890,000 | |
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 | | $ | 3,340,278 | | | $ | 47,695,176 | |
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 March 31, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Interest rate swap contracts | Unamortized upfront premiums paid on interest rate swap agreements | Variation margin on interest rate swap agreements |
Currency forward contracts | Unrealized appreciation on forward foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts |
52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at March 31, 2022:
Asset Derivative Investments Value |
| | Swaps
Interest Rate
Risk* | | | Forward
Foreign Currency
Exchange Risk | | | Total Value at
March 31,
2022 | | |
| | | $ | 5,842,011 | | | $ | 343,475 | | | $ | 6,185,486 | | |
Liability Derivative Investments Value |
| | Swaps
Interest Rate
Risk* | | | Forward
Foreign Currency
Exchange Risk | | | Total Value at
March 31,
2022 | | |
| | | $ | — | | | $ | 398,248 | | | $ | 398,248 | | |
* | 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 period ended March 31, 2022:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Interest rate/Credit swap agreements | 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 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 period ended March 31, 2022:
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations |
| | Swaps
Interest Rate
Risk | | | Forward
Foreign Currency
Exchange Risk | | | Total | | |
| | | $ | 729,903 | | | $ | (657,017 | ) | | $ | 72,886 | | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 53 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations |
| | Swaps
Interest Rate
Risk | | | Forward
Foreign Currency
Exchange Risk | | | Total | | |
| | | $ | 5,926,350 | | | $ | 604,869 | | | $ | 6,531,219 | | |
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 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
54 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 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
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 55 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 in the Statement
of Assets and Liabilities | | | | | |
Instrument | Gross
Amounts of
Recognized
Assets1 | | Gross
Amounts
Offset in the
Statement of
Assets and
Liabilities | | | Net Amount
of Assets
Presented on
the Statement
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received | | | Net
Amount | |
Forward foreign currency exchange contracts | $ 343,475 | | $ | — | | | $ | 343,475 | | | $ | (140,291 | ) | | $ | — | | | $ | 203,184 | |
| | | | | | | | | | | | Gross Amounts Not
Offset in the Statement
of Assets and Liabilities | | | | | |
Instrument | Gross
Amounts of
Recognized
Liabilities1 | | Gross
Amounts
Offset in the
Statement of
Assets and
Liabilities | | | Net Amount
of Liabilities
Presented on
the Statement
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
Forward foreign currency exchange contracts | $ 398,248 | | $ | — | | | $ | 398,248 | | | $ | (140,291 | ) | | $ | — | | | $ | 257,957 | |
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 March 31, 2022.
Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
BofA Securities, Inc. | Interest rate swap agreements | | $ | 9,683,658 | | | $ | 5,626,524 | |
56 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 57 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 0.25% 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 plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-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
Date | | | Contract
End Date | |
A-Class | | | 0.58 | % | | | 11/30/18 | | | | 02/01/23 | |
Institutional Class | | | 0.33 | % | | | 11/30/18 | | | | 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 March 31, 2022, 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 | | | 2025 | | | Total | |
A-Class | | $ | — | | | $ | 339 | | | $ | 40,455 | | | $ | 46,215 | | | $ | 87,009 | |
Institutional Class | | | — | | | | — | | | | 14,082 | | | | 55,080 | | | | 69,162 | |
For the period ended March 31, 2022, GI recouped $88,038 from the Fund.
For the period ended March 31, 2022, GFD retained sales charges of $94,675 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.
58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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.
At March 31, 2022, GI and its affiliates owned 28% of the outstanding shares of the Fund.
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.
At March 31, 2022, 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) | |
| | | $ | 990,746,199 | | | $ | 6,775,060 | | | $ | (21,937,085 | ) | | $ | (15,162,025 | ) |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 59 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 7 – Securities Transactions
For the period ended March 31, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
| | Purchases | | | Sales | |
| | | $ | 136,329,622 | | | $ | 135,912,066 | |
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 period ended March 31, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| | Purchases | | | Sales | | | Realized
Gain (Loss) | |
| | | $ | 20,121,258 | | | $ | — | | | $ | — | |
Note 8 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of March 31, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitment as of March 31, 2022, was as follows:
Borrower | | Maturity Date | | | Face Amount | | | Value | |
VT TopCo, Inc. | | | 08/01/25 | | | $ | 103,772 | | | $ | 2,010 | |
60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 | | | | | | | | | |
2019-RM3, 2.80% (WAC) due 06/25/691 | 06/25/19 | | $ | 271,987 | | | $ | 267,276 | |
FKRT | | | | | | | | | |
2.21% due 11/30/58 | 09/24/21 | | | 4,549,967 | | | | 4,381,649 | |
LSTAR Securities Investment Ltd. | | | | | | | | | |
2021-1, 2.03% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261 | 02/04/21 | | | 1,531,329 | | | | 1,518,746 | |
LSTAR Securities Investment Ltd. | | | | | | | | | |
2021-2, 1.93% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261 | 03/17/21 | | | 1,045,108 | | | | 1,037,618 | |
Towd Point Revolving Trust | | | | | | | | | |
4.83% due 09/25/64 | 03/17/22 | | | 3,249,957 | | | | 3,252,694 | |
| | | | $ | 10,648,348 | | | $ | 10,457,983 | |
1 | Variable rate security. Rate indicated is the rate effective at March 31, 2022. 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 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 period ended March 31, 2022.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 61 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
Note 11 – COVID-19 and Other Market Risks
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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 SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited) |
Guggenheim Partners Advisors, LLC
The Investment Adviser engaged Guggenheim Partners Advisors, LLC to provide investment sub-advisory services to the Fund, effective April 29, 2022. Guggenheim Partners Advisors, LLC assists the Investment Adviser in the supervision and direction of the investment strategy of the Fund in accordance with the Fund’s investment objectives, policies, and restrictions. The Investment Adviser, and not the Fund, compensates Guggenheim Partners Advisors, LLC for these services.
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 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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 63 |
OTHER INFORMATION (Unaudited)(concluded) |
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.
64 | THE GUGGENHEIM FUNDS SEMI-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, upon request, by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name,
Address* and
Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
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). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name,
Address* and
Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - continued | | |
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); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name,
Address* and
Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - continued | | |
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). | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 67 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name,
Address* and
Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
68 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name,
Address* and
Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022);Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | 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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income 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 SEMI-ANNUAL REPORT | 69 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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 President of Mutual Funds Boards, 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); Managing Director, Guggenheim Investments (2012-present). |
70 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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). 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). |
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). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 71 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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). 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: Director, 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. |
72 | THE GUGGENHEIM FUNDS SEMI-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
74 | THE GUGGENHEIM FUNDS SEMI-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 passwords. These safeguards vary based on the
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
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.
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3.31.2022
Guggenheim Funds Semi-Annual Report
| |
Guggenheim Limited Duration Fund | | |
GuggenheimInvestments.com | LD-SEMI-0322x0922 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
LIMITED DURATION FUND | 8 |
NOTES TO FINANCIAL STATEMENTS | 42 |
OTHER INFORMATION | 58 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 59 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 65 |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1 |
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 semi-annual period ended March 31, 2022.
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.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC,
April 30, 2022
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 and Other Market Risks. The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
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 SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 31, 2022 |
In the six months ended March 31, 2022, the yield on the two-year Treasury rose 200 basis points to 2.28% from 0.28%, and the 10-year Treasury increased by 80 basis points to 2.32% from 1.52%. The spread between the two-year Treasury and 10-year Treasury narrowed to 4 basis points from 124 basis points as the curve flattened amid market volatility resulting from Russia’s attack on Ukraine, COVID-19 shutdowns in China, and the commencement of rate hikes by the Federal Reserve (the “Fed”). One basis point is equal to 0.01%.
Nevertheless, the U.S. economy appears to remain on a strong footing. The Institute of Supply Management’s March Services Purchasing Managers’ Index showed a continued recovery in the services sector with business activity, employment, and new orders all rising. The March consumer price index (“CPI”) report was encouraging, with core CPI coming in lower than expected at 0.32% month over month, slightly below expectations of 0.50%.
Economic strength continues to embolden the Fed to move aggressively as it attempts to rein in inflation by raising interest rates and shrinking its balance sheet. The Fed is increasingly concerned about inflation and will act aggressively to get monetary policy to what they view is a more appropriate stance. In a recent speech, Lael Brainard, one of the Federal Open Market Committee’s (“FOMC”) traditionally more dovish members, referenced a “rapid pace” of balance sheet reduction and an “expeditious increase” in the fed funds rate, which caused market expectations for the degree of monetary tightening to ramp up.
Brainard’s shift in tone was echoed in the release of the minutes from the March FOMC meeting. The minutes were highly focused on elevated inflation and risks that inflation could stay well above target, as well mentions of an extremely tight labor market. The minutes repeated the phrase that monetary policy would move expeditiously, and contained a section that mentioned many participants would have voted for a 50-basis-point rate hike in March if it weren’t for the uncertainty resulting from the outbreak of war in Ukraine. Given this language, the 50-basis-point move at the May meeting and Fed Chair Jerome Powell’s telegraphing of further 50-basis point hikes came as no surprise. The Fed’s strategy at this point is to get rates back to a neutral level as fast as possible, and then see how far into restrictive territory they need to go based on how the economic and financial market data evolve.
A hawkish Fed has historically paved the way for a bullish approach to bonds. Indeed, we believe many fixed-income sectors are now pricing at compelling levels after enduring a first quarter marked by sharply rising yields, a flattening of the Treasury yield curve, and widening spreads. As the Fed races to raise rates during a period of U.S. economic strength and in the face of several global challenges, we remain diligent in our search for attractive entry points exposed by recent market volatility.
For the six-month period ended March 31, 2022, the S&P 500® Index* returned 5.92%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -3.38%. The return of the MSCI Emerging Markets Index* was -8.20%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -5.92% return for the six-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -4.16%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.05% for the six-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 SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2022 |
*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 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 SEMI-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 September 30, 2021 and ending March 31, 2022.
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 SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September
30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
A-Class | 0.74% | (2.78%) | $ 1,000.00 | $ 972.20 | $ 3.64 |
C-Class | 1.49% | (3.15%) | 1,000.00 | 968.50 | 7.31 |
P-Class | 0.74% | (2.78%) | 1,000.00 | 972.20 | 3.64 |
Institutional Class | 0.49% | (2.66%) | 1,000.00 | 973.40 | 2.41 |
R6-Class | 0.49% | (2.66%) | 1,000.00 | 973.40 | 2.41 |
|
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
A-Class | 0.74% | 5.00% | $ 1,000.00 | $ 1,021.24 | $ 3.73 |
C-Class | 1.49% | 5.00% | 1,000.00 | 1,017.50 | 7.49 |
P-Class | 0.74% | 5.00% | 1,000.00 | 1,021.24 | 3.73 |
Institutional Class | 0.49% | 5.00% | 1,000.00 | 1,022.49 | 2.47 |
R6-Class | 0.49% | 5.00% | 1,000.00 | 1,022.49 | 2.47 |
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 ratio for the Fund would be 0.74%, 1.49%, 0.74%, 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 182/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period September 30, 2021 to March 31, 2022. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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 Investments |
Fixed Income Instruments | |
AAA | 19.9% |
AA | 11.3% |
A | 18.3% |
BBB | 26.3% |
BB | 6.8% |
B | 3.5% |
CCC | 0.4% |
CC | 0.2% |
NR2 | 7.8% |
Other Instruments | 5.5% |
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) |
State of Israel, 0.75% | 1.4% |
State of Israel, 1.25% | 1.3% |
Station Place Securitization Trust, 1.06% | 1.1% |
Boeing Co., 4.88% | 0.9% |
Czech Republic, 0.10% | 0.9% |
THL Credit Lake Shore MM CLO I Ltd., 1.94% | 0.9% |
OSAT Trust, 2.12% | 0.9% |
F&G Global Funding, 0.90% | 0.7% |
Shackleton CLO Ltd., 1.17% | 0.7% |
Station Place Securitization Trust Series, 0.96% | 0.7% |
Top Ten Total | 9.5% |
| | |
“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. |
8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 6 Month† | 1 Year | 5 Year | Since
Inception
(12/16/13) |
A-Class Shares | (2.78%) | (1.88%) | 1.87% | 2.16% |
A-Class Shares with sales charge‡ | (4.99%) | (4.07%) | 1.41% | 1.88% |
C-Class Shares | (3.15%) | (2.57%) | 1.12% | 1.40% |
C-Class Shares with CDSC§ | (4.11%) | (3.54%) | 1.12% | 1.40% |
Institutional Class Shares | (2.66%) | (1.59%) | 2.13% | 2.43% |
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index | (3.05%) | (2.91%) | 1.21% | 1.11% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(05/01/15) |
P-Class Shares | (2.78%) | (1.88%) | 1.87% | 2.07% |
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index | (3.05%) | (2.91%) | 1.21% | 1.13% |
| 6 Month† | 1 Year | Since
Inception (03/13/19) |
R6-Class Shares | (2.66%) | (1.63%) | 2.11% |
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index | (3.05%) | (2.91%) | 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 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. |
† | 6 month returns are not annualized. |
‡ | 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 SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 0.4% |
| | | | | | | | | |
Financial - 0.3% |
KKR Acquisition Holdings I Corp. — Class A*,1 | | | 820,948 | | | $ | 8,069,919 | |
RXR Acquisition Corp. — Class A*,1 | | | 182,429 | | | | 1,778,682 | |
TPG Pace Beneficial II Corp.*,1 | | | 148,829 | | | | 1,461,501 | |
MSD Acquisition Corp. — Class A*,1 | | | 136,871 | | | | 1,344,073 | |
AfterNext HealthTech Acquisition Corp. — Class A*,1 | | | 135,000 | | | | 1,306,800 | |
Conyers Park III Acquisition Corp. — Class A*,1 | | | 125,300 | | | | 1,221,675 | |
Waverley Capital Acquisition Corp. 1 — Class A*,1 | | | 99,000 | | | | 952,380 | |
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | | | 86,600 | | | | 840,886 | |
Blue Whale Acquisition Corp. I — Class A*,1 | | | 72,300 | | | | 701,310 | |
Colicity, Inc. — Class A*,1 | | | 46,809 | | | | 456,856 | |
Total Financial | | | | | | | 18,134,082 | |
| | | | | | | | | |
Communications - 0.1% |
Figs, Inc. — Class A* | | | 43,750 | | | | 941,500 | |
Vacasa, Inc. — Class A* | | | 81,407 | | | | 673,236 | |
Total Communications | | | | | | | 1,614,736 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $19,829,328) | | | | | | | 19,748,818 | |
| | | | | | | | | |
PREFERRED STOCKS†† - 0.6% |
Financial - 0.6% |
Wells Fargo & Co. |
3.90%2 | | | 12,100,000 | | | | 11,598,455 | |
Markel Corp. |
6.00%2 | | | 7,210,000 | | | | 7,462,350 | |
MetLife, Inc. |
3.85%2 | | | 4,620,000 | | | | 4,556,244 | |
Bank of New York Mellon Corp. |
4.70%2 | | | 3,010,000 | | | | 3,082,240 | |
American Financial Group, Inc. |
4.50% due 09/15/60 | | | 102,052 | | | | 2,322,704 | |
First Republic Bank |
4.13% | | | 69,600 | | | | 1,435,152 | |
American Equity Investment Life Holding Co. |
5.95% | | | 8,000 | | | | 204,400 | |
Total Financial | | | | | | | 30,661,545 | |
| | | | | | | | | |
Total Preferred Stocks | | | | |
(Cost $31,414,518) | | | | | | | 30,661,545 | |
| | | | | | | | | |
WARRANTS† - 0.0% |
KKR Acquisition Holdings I Corp. | | | | | | | | |
Expiring 12/31/27*,1 | | | 205,236 | | | | 135,456 | |
MSD Acquisition Corp. | | | | | | | | |
Expiring 05/13/23*,1 | | | 27,374 | | | | 21,352 | |
Conyers Park III Acquisition Corp. | | | | | | | | |
Expiring 08/12/28* | | | 41,766 | | | | 21,343 | |
AfterNext HealthTech Acquisition Corp. | | | | | | | | |
Expiring 07/09/23* | | | 45,000 | | | | 18,900 | |
Ginkgo Bioworks Holdings, Inc. | | | | | | | | |
Expiring 12/31/27* | | | 19,663 | | | | 17,309 | |
RXR Acquisition Corp. | | | | | | | | |
Expiring 03/08/26*,1 | | | 36,482 | | | | 16,417 | |
Acropolis Infrastructure Acquisition Corp. | | | | | | | | |
Expiring 03/31/26*,1 | | | 28,866 | | | | 13,720 | |
Waverley Capital Acquisition Corp. | | | | | | | | |
Expiring 04/30/27*,1 | | | 33,000 | | | | 12,540 | |
Blue Whale Acquisition Corp. | | | | | | | | |
Expiring 07/30/26*,1 | | | 18,074 | | | | 9,055 | |
Colicity, Inc. | | | | | | | | |
Expiring 12/31/27*,1 | | | 9,360 | | | | 3,650 | |
Total Warrants | | | | |
(Cost $521,210) | | | | | | | 269,742 | |
| | | | | | | | | |
MUTUAL FUNDS† - 1.6% |
Guggenheim Strategy Fund III3 | | | 1,205,511 | | | | 29,703,801 | |
Guggenheim Strategy Fund II3 | | | 1,204,279 | | | | 29,565,054 | |
Guggenheim Ultra Short Duration Fund — Institutional Class3 | | | 2,946,383 | | | | 28,845,092 | |
Total Mutual Funds | | | | |
(Cost $88,213,881) | | | | | | | 88,113,947 | |
| | | | | | | | | |
MONEY MARKET FUND† - 2.9% |
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 0.15%4 | | | 161,782,598 | | | | 161,782,598 | |
Total Money Market Fund | | | | |
(Cost $161,782,598) | | | | | | | 161,782,598 | |
| | | | | | | | | |
| | | Face
Amount~ | | | | | |
CORPORATE BONDS†† - 34.2% |
Financial - 14.1% | | | | | | | | |
Athene Global Funding | | | | | | | | |
0.77% (SOFR + 0.72%) due 01/07/25◊,5 | | $ | 30,000,000 | | | | 29,520,000 | |
1.99% due 08/19/285 | | | 15,850,000 | | | | 13,924,384 | |
1.73% due 10/02/265 | | | 14,700,000 | | | | 13,347,934 | |
F&G Global Funding | | | | | | | | |
0.90% due 09/20/245 | | | 42,100,000 | | | | 39,686,537 | |
1.75% due 06/30/265 | | | 14,250,000 | | | | 13,244,500 | |
GA Global Funding Trust | | | | | | | | |
1.95% due 09/15/285 | | | 16,600,000 | | | | 14,755,349 | |
2.25% due 01/06/275 | | | 15,000,000 | | | | 14,002,563 | |
1.63% due 01/15/265 | | | 7,300,000 | | | | 6,787,939 | |
Societe Generale S.A. | | | | | | | | |
1.79% due 06/09/272,5 | | | 28,000,000 | | | | 25,229,957 | |
1.49% due 12/14/262,5 | | | 10,500,000 | | | | 9,492,300 | |
3.88% due 03/28/245 | | | 350,000 | | | | 350,612 | |
Macquarie Group Ltd. | | | | | | | | |
1.63% due 09/23/272,5 | | | 16,750,000 | | | | 15,116,760 | |
1.20% due 10/14/252,5 | | | 13,550,000 | | | | 12,806,643 | |
10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
Goldman Sachs Group, Inc. | | | | | | | | |
3.00% due 03/15/24 | | | 20,950,000 | | | $ | 20,923,454 | |
3.50% due 04/01/25 | | | 6,900,000 | | | | 6,951,460 | |
American International Group, Inc. | | | | | | | | |
2.50% due 06/30/25 | | | 26,630,000 | | | | 26,036,497 | |
Equitable Financial Life Global Funding | | | | | | | | |
1.40% due 07/07/255 | | | 15,000,000 | | | | 14,080,811 | |
1.80% due 03/08/285 | | | 12,000,000 | | | | 10,793,036 | |
Cooperatieve Rabobank UA | | | | | | | | |
1.34% due 06/24/262,5 | | | 15,000,000 | | | | 13,999,984 | |
1.98% due 12/15/272,5 | | | 10,000,000 | | | | 9,281,856 | |
Pershing Square Holdings Ltd. | | | | | | | | |
3.25% due 10/01/31 | | | 25,600,000 | | | | 23,091,200 | |
Reliance Standard Life Global Funding II | | | | | | | | |
2.75% due 05/07/255 | | | 20,850,000 | | | | 20,444,693 | |
BNP Paribas S.A. | | | | | | | | |
1.32% due 01/13/272,5 | | | 21,350,000 | | | | 19,440,616 | |
2.22% due 06/09/262,5 | | | 400,000 | | | | 380,362 | |
Citizens Bank North America/Providence RI | | | | | | | | |
2.25% due 04/28/25 | | | 20,000,000 | | | | 19,383,689 | |
Barclays Bank plc | | | | | | | | |
1.70% due 05/12/22 | | | 18,450,000 | | | | 18,459,311 | |
Credit Agricole S.A. | | | | | | | | |
1.25% due 01/26/272,5 | | | 17,950,000 | | | | 16,330,457 | |
1.91% due 06/16/262,5 | | | 400,000 | | | | 377,584 | |
First-Citizens Bank & Trust Co. | | | | | | | | |
3.93% due 06/19/242 | | | 15,200,000 | | | | 15,353,585 | |
Ares Finance Company LLC | | | | | | | | |
4.00% due 10/08/245 | | | 14,617,000 | | | | 14,693,488 | |
Jackson National Life Global Funding | | | | | | | | |
1.75% due 01/12/255 | | | 15,000,000 | | | | 14,364,185 | |
Bank of Nova Scotia | | | | | | | | |
1.24% (SOFR Compounded Index + 0.96%) due 03/11/24◊ | | | 14,250,000 | | | | 14,309,280 | |
FS KKR Capital Corp. | | | | | | | | |
4.25% due 02/14/255 | | | 7,600,000 | | | | 7,476,619 | |
2.63% due 01/15/27 | | | 7,400,000 | | | | 6,776,754 | |
JPMorgan Chase & Co. | | | | | | | | |
1.47% due 09/22/272 | | | 15,000,000 | | | | 13,823,482 | |
American Equity Investment Life Holding Co. | | | | | | | | |
5.00% due 06/15/27 | | | 13,075,000 | | | | 13,641,455 | |
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | | | | | | | | |
2.88% due 10/15/265 | | | 10,800,000 | | | | 9,915,966 | |
3.88% due 03/01/315 | | | 4,100,000 | | | | 3,710,500 | |
Regions Financial Corp. | | | | | | | | |
2.25% due 05/18/25 | | | 14,000,000 | | | | 13,624,382 | |
CNO Global Funding | | | | | | | | |
1.75% due 10/07/265 | | | 14,400,000 | | | | 13,275,986 | |
ABN AMRO Bank N.V. | | | | | | | | |
1.54% due 06/16/272,5 | | | 14,000,000 | | | | 12,837,221 | |
Fidelity & Guaranty Life Holdings, Inc. | | | | | | | | |
5.50% due 05/01/255 | | | 11,450,000 | | | | 11,987,678 | |
Deloitte LLP | | | | | | | | |
4.35% due 11/17/23††† | | | 7,300,000 | | | | 7,355,509 | |
3.46% due 05/07/27††† | | | 4,500,000 | | | | 4,334,552 | |
American Tower Corp. | | | | | | | | |
1.60% due 04/15/26 | | | 12,500,000 | | | | 11,585,552 | |
Iron Mountain, Inc. | | | | | | | | |
4.88% due 09/15/275 | | | 7,360,000 | | | | 7,277,200 | |
5.00% due 07/15/285 | | | 3,085,000 | | | | 3,007,474 | |
Standard Chartered plc | | | | | | | | |
1.32% due 10/14/232,5 | | | 10,150,000 | | | | 10,054,370 | |
Essex Portfolio, LP | | | | | | | | |
1.70% due 03/01/28 | | | 10,450,000 | | | | 9,418,673 | |
Apollo Management Holdings, LP | | | | | | | | |
4.40% due 05/27/265 | | | 7,115,000 | | | | 7,406,389 | |
4.00% due 05/30/245 | | | 1,846,000 | | | | 1,866,960 | |
ING Groep N.V. | | | | | | | | |
1.73% due 04/01/272 | | | 9,800,000 | | | | 9,038,969 | |
BPCE S.A. | | | | | | | | |
1.65% due 10/06/262,5 | | | 9,500,000 | | | | 8,766,017 | |
OneMain Finance Corp. | | | | | | | | |
3.50% due 01/15/27 | | | 7,050,000 | | | | 6,521,250 | |
6.13% due 03/15/24 | | | 1,500,000 | | | | 1,537,500 | |
7.13% due 03/15/26 | | | 50,000 | | | | 53,444 | |
First American Financial Corp. | | | | | | | | |
4.00% due 05/15/30 | | | 7,860,000 | | | | 7,872,105 | |
KKR Group Finance Company VI LLC | | | | | | | | |
3.75% due 07/01/295 | | | 7,040,000 | | | | 7,209,387 | |
Morgan Stanley | | | | | | | | |
2.19% due 04/28/262 | | | 7,000,000 | | | | 6,761,779 | |
3.77% due 01/24/292 | | | 361,000 | | | | 363,817 | |
SLM Corp. | | | | | | | | |
3.13% due 11/02/26 | | | 7,500,000 | | | | 6,956,250 | |
SBA Communications Corp. | | | | | | | | |
3.13% due 02/01/29 | | | 6,500,000 | | | | 5,912,530 | |
3.88% due 02/15/27 | | | 700,000 | | | | 682,797 | |
Belrose Funding Trust | | | | | | | | |
2.33% due 08/15/305 | | | 7,100,000 | | | | 6,218,583 | |
LPL Holdings, Inc. | | | | | | | | |
4.00% due 03/15/295 | | | 4,450,000 | | | | 4,222,955 | |
4.63% due 11/15/275 | | | 2,000,000 | | | | 1,964,420 | |
Jefferies Financial Group, Inc. | | | | | | | | |
5.50% due 10/18/23 | | | 5,650,000 | | | | 5,777,668 | |
Brighthouse Financial Global Funding | | | | | | | | |
0.81% (SOFR + 0.76%) due 04/12/24◊,5 | | | 5,050,000 | | | | 5,061,064 | |
Starwood Property Trust, Inc. | | | | | | | | |
3.75% due 12/31/245 | | | 5,075,000 | | | | 4,922,750 | |
Horace Mann Educators Corp. | | | | | | | | |
4.50% due 12/01/25 | | | 4,420,000 | | | | 4,545,239 | |
Jefferies Finance LLC / JFIN Company-Issuer Corp. | | | | | | | | |
5.00% due 08/15/285 | | | 4,300,000 | | | | 4,117,164 | |
United Wholesale Mortgage LLC | | | | | | | | |
5.50% due 11/15/255 | | | 3,880,000 | | | | 3,763,600 | |
5.50% due 04/15/295 | | | 275,000 | | | | 245,031 | |
Peachtree Corners Funding Trust | | | | | | | | |
3.98% due 02/15/255 | | | 3,450,000 | | | | 3,493,813 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
Hunt Companies, Inc. | | | | | | | | |
5.25% due 04/15/295 | | | 3,250,000 | | | $ | 3,096,113 | |
CNA Financial Corp. | | | | | | | | |
4.50% due 03/01/26 | | | 2,298,000 | | | | 2,394,077 | |
Ameriprise Financial, Inc. | | | | | | | | |
3.00% due 04/02/25 | | | 2,060,000 | | | | 2,052,100 | |
Equitable Holdings, Inc. | | | | | | | | |
4.35% due 04/20/28 | | | 1,700,000 | | | | 1,736,444 | |
Brookfield Finance, Inc. | | | | | | | | |
3.90% due 01/25/28 | | | 1,400,000 | | | | 1,405,926 | |
CNO Financial Group, Inc. | | | | | | | | |
5.25% due 05/30/25 | | | 1,000,000 | | | | 1,037,403 | |
Trinity Acquisition plc | | | | | | | | |
4.40% due 03/15/26 | | | 881,000 | | | | 910,137 | |
Newmark Group, Inc. | | | | | | | | |
6.13% due 11/15/23 | | | 775,000 | | | | 810,390 | |
Old Republic International Corp. | | | | | | | | |
3.88% due 08/26/26 | | | 700,000 | | | | 705,749 | |
Equinix, Inc. | | | | | | | | |
1.55% due 03/15/28 | | | 700,000 | | | | 618,013 | |
RenaissanceRe Finance, Inc. | | | | | | | | |
3.70% due 04/01/25 | | | 400,000 | | | | 405,111 | |
Assurant, Inc. | | | | | | | | |
4.90% due 03/27/28 | | | 350,000 | | | | 364,963 | |
Greystar Real Estate Partners LLC | | | | | | | | |
5.75% due 12/01/255 | | | 350,000 | | | | 352,625 | |
PNC Bank North America | | | | | | | | |
3.88% due 04/10/25 | | | 150,000 | | | | 152,891 | |
HUB International Ltd. | | | | | | | | |
7.00% due 05/01/265 | | | 150,000 | | | | 151,733 | |
Total Financial | | | | | | | 778,539,555 | |
| | | | | | | | | |
Industrial - 4.2% | | | | | | | | |
Boeing Co. | | | | | | | | |
4.88% due 05/01/25 | | | 50,500,000 | | | | 52,099,323 | |
2.20% due 02/04/26 | | | 10,450,000 | | | | 9,879,602 | |
CNH Industrial Capital LLC | | | | | | | | |
1.45% due 07/15/26 | | | 12,500,000 | | | | 11,477,484 | |
1.95% due 07/02/23 | | | 9,600,000 | | | | 9,500,796 | |
1.88% due 01/15/26 | | | 4,960,000 | | | | 4,695,709 | |
Berry Global, Inc. | | | | | | | | |
1.57% due 01/15/26 | | | 11,750,000 | | | | 10,946,045 | |
4.88% due 07/15/265 | | | 5,165,000 | | | | 5,216,650 | |
Sealed Air Corp. | | | | | | | | |
1.57% due 10/15/265 | | | 16,450,000 | | | | 14,985,747 | |
TD SYNNEX Corp. | | | | | | | | |
1.25% due 08/09/245 | | | 14,400,000 | | | | 13,680,905 | |
Ryder System, Inc. | | | | | | | | |
3.35% due 09/01/25 | | | 10,600,000 | | | | 10,601,389 | |
3.75% due 06/09/23 | | | 1,350,000 | | | | 1,365,259 | |
Graphic Packaging International LLC | | | | | | | | |
1.51% due 04/15/265 | | | 6,500,000 | | | | 5,970,286 | |
0.82% due 04/15/245 | | | 6,250,000 | | | | 5,939,448 | |
Silgan Holdings, Inc. | | | | | | | | |
1.40% due 04/01/265 | | | 12,600,000 | | | | 11,491,210 | |
Teledyne Technologies, Inc. | | | | | | | | |
2.25% due 04/01/28 | | | 12,000,000 | | | | 11,131,780 | |
Vontier Corp. | | | | | | | | |
1.80% due 04/01/26 | | | 7,050,000 | | | | 6,374,681 | |
2.40% due 04/01/28 | | | 3,900,000 | | | | 3,428,880 | |
Standard Industries, Inc. | | | | | | | | |
5.00% due 02/15/275 | | | 6,000,000 | | | | 5,947,680 | |
4.75% due 01/15/285 | | | 2,671,000 | | | | 2,554,144 | |
Penske Truck Leasing Company LP / PTL Finance Corp. | | | | | | | | |
4.45% due 01/29/265 | | | 5,475,000 | | | | 5,630,452 | |
4.20% due 04/01/275 | | | 500,000 | | | | 512,459 | |
Owens Corning | | | | | | | | |
3.88% due 06/01/30 | | | 5,910,000 | | | | 5,967,996 | |
Jabil, Inc. | | | | | | | | |
1.70% due 04/15/26 | | | 3,800,000 | | | | 3,517,759 | |
GATX Corp. | | | | | | | | |
3.85% due 03/30/27 | | | 2,900,000 | | | | 2,927,453 | |
3.50% due 03/15/28 | | | 200,000 | | | | 198,859 | |
Hardwood Funding LLC | | | | | | | | |
2.37% due 06/07/28††† | | | 3,000,000 | | | | 2,795,201 | |
Weir Group plc | | | | | | | | |
2.20% due 05/13/265 | | | 2,610,000 | | | | 2,437,544 | |
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc | | | | | | | | |
4.00% due 09/01/295 | | | 2,500,000 | | | | 2,252,875 | |
Huntington Ingalls Industries, Inc. | | | | | | | | |
2.04% due 08/16/285 | | | 2,250,000 | | | | 2,033,961 | |
Xylem, Inc. | | | | | | | | |
1.95% due 01/30/28 | | | 2,050,000 | | | | 1,897,243 | |
National Basketball Association | | | | | | | | |
2.51% due 12/16/24††† | | | 1,900,000 | | | | 1,849,276 | |
Mueller Water Products, Inc. | | | | | | | | |
4.00% due 06/15/295 | | | 1,300,000 | | | | 1,231,399 | |
Brundage-Bone Concrete Pumping Holdings, Inc. | | | | | | | | |
6.00% due 02/01/265 | | | 800,000 | | | | 770,184 | |
JELD-WEN, Inc. | | | | | | | | |
6.25% due 05/15/255 | | | 535,000 | | | | 551,248 | |
Amsted Industries, Inc. | | | | | | | | |
4.63% due 05/15/305 | | | 350,000 | | | | 331,705 | |
5.63% due 07/01/275 | | | 100,000 | | | | 100,250 | |
Summit Materials LLC / Summit Materials Finance Corp. | | | | | | | | |
5.25% due 01/15/295 | | | 275,000 | | | | 271,563 | |
6.50% due 03/15/275 | | | 75,000 | | | | 76,312 | |
EnerSys | | | | | | | | |
5.00% due 04/30/235 | | | 175,000 | | | | 175,955 | |
Harsco Corp. | | | | | | | | |
5.75% due 07/31/275 | | | 125,000 | | | | 121,025 | |
Howmet Aerospace, Inc. | | | | | | | | |
6.88% due 05/01/25 | | | 35,000 | | | | 38,007 | |
Total Industrial | | | | | | | 232,975,744 | |
| | | | | | | | | |
Consumer, Non-cyclical - 3.9% | | | | | | | | |
Triton Container International Ltd. | | | | | | | | |
1.15% due 06/07/245 | | | 26,000,000 | | | | 24,666,792 | |
0.80% due 08/01/235 | | | 14,550,000 | | | | 14,116,836 | |
12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
2.05% due 04/15/265 | | | 1,800,000 | | | $ | 1,678,536 | |
Global Payments, Inc. | | | | | | | | |
2.15% due 01/15/27 | | | 31,000,000 | | | | 29,095,834 | |
Baxter International, Inc. | | | | | | | | |
1.92% due 02/01/275 | | | 15,500,000 | | | | 14,484,451 | |
CoStar Group, Inc. | | | | | | | | |
2.80% due 07/15/305 | | | 15,280,000 | | | | 13,965,468 | |
GXO Logistics, Inc. | | | | | | | | |
1.65% due 07/15/265 | | | 15,000,000 | | | | 13,541,997 | |
Laboratory Corporation of America Holdings | | | | | | | | |
1.55% due 06/01/26 | | | 13,700,000 | | | | 12,756,478 | |
BAT International Finance plc | | | | | | | | |
1.67% due 03/25/26 | | | 13,000,000 | | | | 11,928,904 | |
Prime Security Services Borrower LLC / Prime Finance, Inc. | | | | | | | | |
3.38% due 08/31/275 | | | 11,200,000 | | | | 10,246,768 | |
Element Fleet Management Corp. | | | | | | | | |
1.60% due 04/06/245 | | | 10,250,000 | | | | 9,885,115 | |
PRA Health Sciences, Inc. | | | | | | | | |
2.88% due 07/15/265 | | | 10,280,000 | | | | 9,782,037 | |
Altria Group, Inc. | | | | | | | | |
2.35% due 05/06/25 | | | 8,000,000 | | | | 7,770,046 | |
Spectrum Brands, Inc. | | | | | | | | |
5.75% due 07/15/25 | | | 6,780,000 | | | | 6,907,125 | |
BAT Capital Corp. | | | | | | | | |
4.70% due 04/02/27 | | | 4,220,000 | | | | 4,328,231 | |
3.56% due 08/15/27 | | | 2,000,000 | | | | 1,946,499 | |
US Foods, Inc. | | | | | | | | |
6.25% due 04/15/255 | | | 3,750,000 | | | | 3,843,750 | |
4.75% due 02/15/295 | | | 1,011,000 | | | | 964,241 | |
Royalty Pharma plc | | | | | | | | |
1.75% due 09/02/27 | | | 5,150,000 | | | | 4,673,991 | |
Olympus Corp. | | | | | | | | |
2.14% due 12/08/265 | | | 4,350,000 | | | | 4,095,939 | |
DaVita, Inc. | | | | | | | | |
4.63% due 06/01/305 | | | 3,086,000 | | | | 2,881,707 | |
3.75% due 02/15/315 | | | 800,000 | | | | 700,000 | |
FAGE International S.A. / FAGE USA Dairy Industry, Inc. | | | | | | | | |
5.63% due 08/15/265 | | | 2,828,000 | | | | 2,785,580 | |
Block, Inc. | | | | | | | | |
2.75% due 06/01/265 | | | 2,350,000 | | | | 2,221,267 | |
Bunge Limited Finance Corp. | | | | | | | | |
1.63% due 08/17/25 | | | 1,900,000 | | | | 1,799,695 | |
Hologic, Inc. | | | | | | | | |
3.25% due 02/15/295 | | | 1,550,000 | | | | 1,447,343 | |
Molina Healthcare, Inc. | | | | | | | | |
4.38% due 06/15/285 | | | 1,115,000 | | | | 1,103,426 | |
Avantor Funding, Inc. | | | | | | | | |
4.63% due 07/15/285 | | | 1,050,000 | | | | 1,038,450 | |
IQVIA, Inc. | | | | | | | | |
5.00% due 05/15/275 | | | 850,000 | | | | 859,388 | |
Service Corporation International | | | | | | | | |
3.38% due 08/15/30 | | | 750,000 | | | | 675,660 | |
Sabre GLBL, Inc. | | | | | | | | |
7.38% due 09/01/255 | | | 250,000 | | | | 261,058 | |
9.25% due 04/15/255 | | | 225,000 | | | | 249,443 | |
Edwards Lifesciences Corp. | | | | | | | | |
4.30% due 06/15/28 | | | 420,000 | | | | 437,527 | |
Zimmer Biomet Holdings, Inc. | | | | | | | | |
3.05% due 01/15/26 | | | 400,000 | | | | 395,659 | |
Smithfield Foods, Inc. | | | | | | | | |
4.25% due 02/01/275 | | | 350,000 | | | | 353,771 | |
Performance Food Group, Inc. | | | | | | | | |
5.50% due 10/15/275 | | | 100,000 | | | | 99,520 | |
Total Consumer, Non-cyclical | | | | | | | 217,988,532 | |
| | | | | | | | | |
Technology - 3.1% | | | | | | | | |
HCL America, Inc. | | | | | | | | |
1.38% due 03/10/265 | | | 38,700,000 | | | | 35,431,728 | |
Microchip Technology, Inc. | | | | | | | | |
2.67% due 09/01/23 | | | 22,900,000 | | | | 22,823,302 | |
0.98% due 09/01/245 | | | 8,750,000 | | | | 8,284,243 | |
CDW LLC / CDW Finance Corp. | | | | | | | | |
2.67% due 12/01/26 | | | 22,350,000 | | | | 21,065,434 | |
3.25% due 02/15/29 | | | 810,000 | | | | 744,236 | |
NetApp, Inc. | | | | | | | | |
2.38% due 06/22/27 | | | 17,800,000 | | | | 16,962,431 | |
Infor, Inc. | | | | | | | | |
1.75% due 07/15/255 | | | 13,800,000 | | | | 12,974,781 | |
1.45% due 07/15/235 | | | 1,100,000 | | | | 1,077,674 | |
Qorvo, Inc. | | | | | | | | |
1.75% due 12/15/245 | | | 10,600,000 | | | | 10,111,022 | |
4.38% due 10/15/29 | | | 1,380,000 | | | | 1,380,462 | |
3.38% due 04/01/315 | | | 1,200,000 | | | | 1,091,220 | |
Oracle Corp. | | | | | | | | |
2.30% due 03/25/28 | | | 12,400,000 | | | | 11,325,835 | |
Fidelity National Information Services, Inc. | | | | | | | | |
1.65% due 03/01/28 | | | 11,000,000 | | | | 9,842,266 | |
Citrix Systems, Inc. | | | | | | | | |
1.25% due 03/01/26 | | | 7,250,000 | | | | 7,048,576 | |
Broadcom, Inc. | | | | | | | | |
4.15% due 11/15/30 | | | 5,492,000 | | | | 5,566,081 | |
NCR Corp. | | | | | | | | |
5.13% due 04/15/295 | | | 2,850,000 | | | | 2,739,819 | |
Leidos, Inc. | | | | | | | | |
3.63% due 05/15/25 | | | 1,950,000 | | | | 1,949,513 | |
Twilio, Inc. | | | | | | | | |
3.63% due 03/15/29 | | | 994,000 | | | | 936,845 | |
MSCI, Inc. | | | | | | | | |
3.88% due 02/15/315 | | | 379,000 | | | | 359,351 | |
Boxer Parent Company, Inc. | | | | | | | | |
7.13% due 10/02/255 | | | 150,000 | | | | 155,481 | |
Total Technology | | | | | | | 171,870,300 | |
| | | | | | | | | |
Communications - 2.9% | | | | | | | | |
Level 3 Financing, Inc. | | | | | | | | |
5.38% due 05/01/25 | | | 11,055,000 | | | | 11,160,022 | |
3.63% due 01/15/295 | | | 5,070,000 | | | | 4,436,250 | |
5.25% due 03/15/26 | | | 3,991,000 | | | | 3,997,426 | |
4.25% due 07/01/285 | | | 2,277,000 | | | | 2,090,303 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
3.75% due 07/15/295 | | | 2,150,000 | | | $ | 1,905,394 | |
Paramount Global | | | | | | | | |
4.95% due 01/15/31 | | | 13,560,000 | | | | 14,414,014 | |
4.75% due 05/15/25 | | | 8,080,000 | | | | 8,394,396 | |
FactSet Research Systems, Inc. | | | | | | | | |
2.90% due 03/01/27 | | | 22,750,000 | | | | 22,106,924 | |
Verizon Communications, Inc. | | | | | | | | |
2.10% due 03/22/28 | | | 22,600,000 | | | | 21,064,867 | |
T-Mobile USA, Inc. | | | | | | | | |
2.25% due 02/15/265 | | | 8,150,000 | | | | 7,679,745 | |
3.50% due 04/15/25 | | | 5,000,000 | | | | 5,033,088 | |
2.63% due 04/15/26 | | | 3,200,000 | | | | 3,056,704 | |
Rogers Communications, Inc. | | | | | | | | |
2.95% due 03/15/255 | | | 14,400,000 | | | | 14,296,033 | |
Charter Communications Operating LLC / Charter Communications Operating Capital | | | | | | | | |
2.25% due 01/15/29 | | | 11,700,000 | | | | 10,528,459 | |
2.80% due 04/01/31 | | | 3,250,000 | | | | 2,929,206 | |
Cogent Communications Group, Inc. | | | | | | | | |
3.50% due 05/01/265 | | | 12,350,000 | | | | 11,732,500 | |
Ziggo BV | | | | | | | | |
4.88% due 01/15/305 | | | 10,800,000 | | | | 10,170,684 | |
Virgin Media Vendor Financing Notes IV DAC | | | | | | | | |
5.00% due 07/15/285 | | | 1,850,000 | | | | 1,776,000 | |
Thomson Reuters Corp. | | | | | | | | |
3.35% due 05/15/26 | | | 1,550,000 | | | | 1,555,194 | |
Fox Corp. | | | | | | | | |
3.05% due 04/07/25 | | | 1,360,000 | | | | 1,359,292 | |
AMC Networks, Inc. | | | | | | | | |
4.75% due 08/01/25 | | | 500,000 | | | | 498,225 | |
4.25% due 02/15/29 | | | 225,000 | | | | 209,969 | |
TripAdvisor, Inc. | | | | | | | | |
7.00% due 07/15/255 | | | 400,000 | | | | 413,180 | |
CSC Holdings LLC | | | | | | | | |
4.13% due 12/01/305 | | | 250,000 | | | | 219,216 | |
3.38% due 02/15/315 | | | 225,000 | | | | 189,563 | |
Sirius XM Radio, Inc. | | | | | | | | |
5.50% due 07/01/295 | | | 75,000 | | | | 76,125 | |
Match Group Holdings II LLC | | | | | | | | |
4.63% due 06/01/285 | | | 75,000 | | | | 72,656 | |
Total Communications | | | | | | | 161,365,435 | |
| | | | | | | | | |
Consumer, Cyclical - 2.5% | | | | | | | | |
Magallanes, Inc. | | | | | | | | |
3.64% due 03/15/255 | | | 33,600,000 | | | | 33,804,150 | |
Hyatt Hotels Corp. | | | | | | | | |
1.80% due 10/01/24 | | | 12,300,000 | | | | 11,834,330 | |
5.38% due 04/23/25 | | | 7,220,000 | | | | 7,578,879 | |
5.75% due 04/23/30 | | | 4,320,000 | | | | 4,773,331 | |
Marriott International, Inc. | | | | | | | | |
4.63% due 06/15/30 | | | 7,320,000 | | | | 7,581,256 | |
5.75% due 05/01/25 | | | 6,610,000 | | | | 7,018,068 | |
2.13% due 10/03/22 | | | 2,345,000 | | | | 2,345,760 | |
Delta Air Lines, Inc. | | | | | | | | |
7.00% due 05/01/255 | | | 12,550,000 | | | | 13,442,494 | |
Alt-2 Structured Trust | | | | | | | | |
2.95% due 05/14/31◊,††† | | | 11,684,580 | | | | 10,866,457 | |
Delta Air Lines Inc. / SkyMiles IP Ltd. | | | | | | | | |
4.50% due 10/20/255 | | | 10,000,000 | | | | 10,058,095 | |
Choice Hotels International, Inc. | | | | | | | | |
3.70% due 01/15/31 | | | 7,350,000 | | | | 7,146,846 | |
Hilton Domestic Operating Company, Inc. | | | | | | | | |
3.63% due 02/15/325 | | | 5,400,000 | | | | 4,900,500 | |
4.00% due 05/01/315 | | | 300,000 | | | | 283,125 | |
American Airlines Class AA Pass Through Trust | | | | | | | | |
3.35% due 10/15/29 | | | 2,837,003 | | | | 2,718,854 | |
3.00% due 10/15/28 | | | 1,736,619 | | | | 1,613,653 | |
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | | | | | | | | |
6.50% due 06/20/275 | | | 3,350,000 | | | | 3,492,375 | |
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. | | | | | | | | |
5.88% due 03/01/27 | | | 2,300,000 | | | | 2,331,625 | |
Air Canada | | | | | | | | |
3.88% due 08/15/265 | | | 2,350,000 | | | | 2,217,813 | |
1011778 BC ULC / New Red Finance, Inc. | | | | | | | | |
5.75% due 04/15/255 | | | 700,000 | | | | 720,223 | |
Tempur Sealy International, Inc. | | | | | | | | |
4.00% due 04/15/295 | | | 375,000 | | | | 340,622 | |
Aramark Services, Inc. | | | | | | | | |
5.00% due 02/01/285 | | | 275,000 | | | | 266,750 | |
Powdr Corp. | | | | | | | | |
6.00% due 08/01/255 | | | 222,000 | | | | 226,995 | |
Total Consumer, Cyclical | | | | | | | 135,562,201 | |
| | | | | | | | | |
Basic Materials - 1.3% | | | | | | | | |
Anglo American Capital plc | | | | | | | | |
2.25% due 03/17/285 | | | 14,000,000 | | | | 12,785,797 | |
2.63% due 09/10/305 | | | 9,370,000 | | | | 8,495,874 | |
4.00% due 09/11/275 | | | 750,000 | | | | 751,463 | |
5.38% due 04/01/255 | | | 600,000 | | | | 630,010 | |
Valvoline, Inc. | | | | | | | | |
3.63% due 06/15/315 | | | 11,161,000 | | | | 9,641,765 | |
4.25% due 02/15/305 | | | 125,000 | | | | 114,072 | |
Carpenter Technology Corp. | | | | | | | | |
4.45% due 03/01/23 | | | 8,405,000 | | | | 8,560,492 | |
6.38% due 07/15/28 | | | 1,145,000 | | | | 1,149,637 | |
Kaiser Aluminum Corp. | | | | | | | | |
4.63% due 03/01/285 | | | 9,643,000 | | | | 9,058,249 | |
Arconic Corp. | | | | | | | | |
6.00% due 05/15/255 | | | 7,811,000 | | | | 7,990,653 | |
Nucor Corp. | | | | | | | | |
2.00% due 06/01/25 | | | 5,000,000 | | | | 4,839,921 | |
Alcoa Nederland Holding BV | | | | | | | | |
5.50% due 12/15/275 | | | 3,675,000 | | | | 3,803,919 | |
Steel Dynamics, Inc. | | | | | | | | |
2.40% due 06/15/25 | | | 1,050,000 | | | | 1,015,004 | |
ArcelorMittal S.A. | | | | | | | | |
4.55% due 03/11/26 | | | 400,000 | | | | 409,814 | |
14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
Minerals Technologies, Inc. | | | | | | | | |
5.00% due 07/01/285 | | | 140,000 | | | $ | 133,350 | |
Total Basic Materials | | | | | | | 69,380,020 | |
| | | | | | | | | |
Utilities - 1.2% | | | | | | | | |
Alexander Funding Trust | | | | | | | | |
1.84% due 11/15/235 | | | 19,050,000 | | | | 18,464,797 | |
CenterPoint Energy, Inc. | | | | | | | | |
0.70% (SOFR Compounded Index + 0.65%) due 05/13/24◊ | | | 10,400,000 | | | | 10,319,011 | |
OGE Energy Corp. | | | | | | | | |
0.70% due 05/26/23 | | | 10,200,000 | | | | 9,992,749 | |
Entergy Corp. | | | | | | | | |
1.90% due 06/15/28 | | | 9,100,000 | | | | 8,228,431 | |
Terraform Global Operating LLC | | | | | | | | |
6.13% due 03/01/265 | | | 6,170,000 | | | | 6,165,681 | |
Southern Co. | | | | | | | | |
1.75% due 03/15/28 | | | 5,000,000 | | | | 4,496,644 | |
AES Corp. | | | | | | | | |
3.30% due 07/15/255 | | | 4,250,000 | | | | 4,169,675 | |
Puget Energy, Inc. | | | | | | | | |
2.38% due 06/15/28 | | | 3,600,000 | | | | 3,291,338 | |
Total Utilities | | | | | | | 65,128,326 | |
| | | | | | | | | |
Energy - 0.8% | | | | | | | | |
Galaxy Pipeline Assets Bidco Ltd. | | | | | | | | |
2.16% due 03/31/345 | | | 20,000,000 | | | | 18,396,976 | |
BP Capital Markets plc | | | | | | | | |
4.88% 2,6 | | | 7,500,000 | | | | 7,518,750 | |
Rattler Midstream, LP | | | | | | | | |
5.63% due 07/15/255 | | | 7,250,000 | | | | 7,358,750 | |
Occidental Petroleum Corp. | | | | | | | | |
5.50% due 12/01/25 | | | 5,000,000 | | | | 5,261,500 | |
Valero Energy Corp. | | | | | | | | |
2.15% due 09/15/27 | | | 3,100,000 | | | | 2,899,040 | |
2.85% due 04/15/25 | | | 429,000 | | | | 423,867 | |
Sabine Pass Liquefaction LLC | | | | | | | | |
5.63% due 03/01/25 | | | 500,000 | | | | 528,649 | |
5.00% due 03/15/27 | | | 300,000 | | | | 317,269 | |
Cheniere Corpus Christi Holdings LLC | | | | | | | | |
7.00% due 06/30/24 | | | 550,000 | | | | 585,220 | |
Gulfstream Natural Gas System LLC | | | | | | | | |
4.60% due 09/15/255 | | | 400,000 | | | | 412,024 | |
Parkland Corp. | | | | | | | | |
5.88% due 07/15/275 | | | 80,000 | | | | 79,800 | |
Total Energy | | | | | | | 43,781,845 | |
| | | | | | | | | |
Financial Institutions - 0.2% | | | | | | | | |
CBS Studio Center | | | | | | | | |
3.06% (30 Day Average SOFR + 3.00%, Rate Floor: 3.00%) due 01/09/24◊,††† | | | 10,000,000 | | | | 10,019,658 | |
Total Corporate Bonds | | | | |
(Cost $1,984,101,270) | | | 1,886,611,616 | |
| |
ASSET-BACKED SECURITIES†† - 32.5% |
Collateralized Loan Obligations - 20.5% |
THL Credit Lake Shore MM CLO I Ltd. | | | | | | | | |
2021-1A, 1.94% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,5 | | | 48,500,000 | | | | 48,612,030 | |
2021-1A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 04/15/33◊,5 | | | 6,250,000 | | | | 6,253,969 | |
BXMT Ltd. | | | | | | | | |
2020-FL2, 1.07% (30 Day Average SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,5 | | | 25,122,000 | | | | 24,884,572 | |
2020-FL2, 1.32% (30 Day Average SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38◊ | | | 14,310,000 | | | | 14,086,555 | |
2020-FL3, 1.92% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 11/15/37◊,5 | | | 4,500,000 | | | | 4,458,830 | |
2020-FL3, 2.32% (30 Day Average SOFR + 2.26%, Rate Floor: 2.15%) due 11/15/37◊ | | | 2,000,000 | | | | 1,983,816 | |
2020-FL2, 1.57% (30 Day Average SOFR + 1.51%, Rate Floor: 1.40%) due 02/15/38◊,5 | | | 2,000,000 | | | | 1,981,567 | |
Shackleton CLO Ltd. | | | | | | | | |
2017-8A, 1.17% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/27◊,5 | | | 39,407,360 | | | | 39,228,202 | |
Golub Capital Partners CLO 49M Ltd. | | | | | | | | |
2021-49A, 1.78% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/26/33◊,5 | | | 36,500,000 | | | | 36,212,077 | |
CHCP Ltd. | | | | | | | | |
2021-FL1, 1.22% (30 Day Average SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,5 | | | 34,750,000 | | | | 34,547,004 | |
Cerberus Loan Funding XXXIV, LP | | | | | | | | |
2021-4A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 08/13/33◊,5 | | | 34,572,149 | | | | 34,535,700 | |
LCM XXIV Ltd. | | | | | | | | |
2021-24A, 1.23% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.98%) due 03/20/30◊,5 | | | 31,250,000 | | | | 31,005,547 | |
ABPCI Direct Lending Fund IX LLC | | | | | | | | |
2021-9A, 1.67% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/18/31◊,5 | | | 30,750,000 | | | | 30,213,163 | |
Palmer Square Loan Funding Ltd. | | | | | | | | |
2021-1A, 1.15% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 04/20/29◊,5 | | | 14,570,731 | | | | 14,480,429 | |
2022-1A, 1.74% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,5 | | | 5,000,000 | | | | 5,000,000 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
2021-3A, 2.00% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/20/29◊,5 | | | 5,000,000 | | | $ | 4,899,167 | |
2021-2A, 1.88% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/29◊,5 | | | 4,000,000 | | | | 3,906,936 | |
2019-3A, 1.33% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/27◊,5 | | | 1,745,473 | | | | 1,738,266 | |
LoanCore Issuer Ltd. | | | | | | | | |
2019-CRE2, 1.90% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,5 | | | 8,550,000 | | | | 8,530,922 | |
2021-CRE5, 2.19% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/36◊,5 | | | 7,900,000 | | | | 7,800,251 | |
2021-CRE4, 1.41% (30 Day Average SOFR + 1.36%, Rate Floor: 1.25%) due 07/15/35◊,5 | | | 7,500,000 | | | | 7,372,962 | |
2018-CRE1, 1.90% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/28◊,5 | | | 3,500,000 | | | | 3,496,878 | |
2018-CRE1, 1.53% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/28◊,5 | | | 2,575,775 | | | | 2,574,690 | |
Golub Capital Partners CLO 54M, LP | | | | | | | | |
2021-54A, 1.85% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/33◊,5 | | | 29,000,000 | | | | 28,770,952 | |
LCCM Trust | | | | | | | | |
2021-FL3, 1.85% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,5 | | | 22,250,000 | | | | 22,012,826 | |
2021-FL2, 2.30% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/13/38◊,5 | | | 6,000,000 | | | | 5,938,350 | |
Owl Rock CLO IV Ltd. | | | | | | | | |
2021-4A, 2.08% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,5 | | | 24,250,000 | | | | 24,271,512 | |
2021-4A, 2.38% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/20/33◊,5 | | | 3,650,000 | | | | 3,637,439 | |
Golub Capital Partners CLO 16 Ltd. | | | | | | | | |
2021-16A, 1.87% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,5 | | | 27,650,000 | | | | 27,524,358 | |
Golub Capital Partners CLO 36M Ltd. | | | | | | | | |
2018-36A, 1.62% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,5 | | | 27,500,000 | | | | 27,095,767 | |
ABPCI Direct Lending Fund CLO V Ltd. | | | | | | | | |
2021-5A, 2.15% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/31◊,5 | | | 15,500,000 | | | | 15,504,969 | |
2021-5A, 1.75% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,5 | | | 11,500,000 | | | | 11,428,898 | |
HERA Commercial Mortgage Ltd. | | | | | | | | |
2021-FL1, 1.52% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/38◊ | | | 22,750,000 | | | | 22,468,708 | |
2021-FL1, 2.07% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/38◊,5 | | | 3,750,000 | | | | 3,685,987 | |
Cerberus Loan Funding XXVI, LP | | | | | | | | |
2021-1A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,5 | | | 23,000,000 | | | | 22,883,190 | |
2021-1A, 2.14% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/31◊,5 | | | 3,250,000 | | | | 3,254,928 | |
Golub Capital Partners CLO 33M Ltd. | | | | | | | | |
2021-33A, 2.36% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,5 | | | 23,000,000 | | | | 22,988,891 | |
Cerberus Loan Funding XXXI, LP | | | | | | | | |
2021-1A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,5 | | | 13,500,000 | | | | 13,447,856 | |
2021-1A, 2.14% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/32◊,5 | | | 9,600,000 | | | | 9,526,670 | |
Parliament Clo II Ltd. | | | | | | | | |
2021-2A, 2.18% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 08/20/32◊,5 | | | 22,250,000 | | | | 21,965,078 | |
2021-2A, 3.03% (3 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 08/20/32◊,5 | | | 500,000 | | | | 498,753 | |
Madison Park Funding XLVIII Ltd. | | | | | | | | |
2021-48A, 1.70% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,5 | | | 22,000,000 | | | | 21,700,217 | |
MidOcean Credit CLO VII | | | | | | | | |
2020-7A, 1.28% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/29◊,5 | | | 19,293,657 | | | | 19,202,840 | |
Cerberus Loan Funding XXXII, LP | | | | | | | | |
2021-2A, 1.86% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,5 | | | 14,250,000 | | | | 14,206,146 | |
2021-2A, 2.14% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/22/33◊,5 | | | 4,000,000 | | | | 3,940,185 | |
Cerberus Loan Funding XXX, LP | | | | | | | | |
2020-3A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,5 | | | 18,000,000 | | | | 18,080,663 | |
16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
ABPCI Direct Lending Fund CLO II LLC | | | | | | | | |
2021-1A, 1.85% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,5 | | | 15,250,000 | | | $ | 15,251,530 | |
2021-1A, 2.40% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 04/20/32◊,5 | | | 2,250,000 | | | | 2,255,265 | |
2021-1A, 2.15% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/32◊,5 | | | 300,000 | | | | 300,593 | |
Woodmont Trust | | | | | | | | |
2020-7A, 2.14% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,5 | | | 16,250,000 | | | | 16,317,641 | |
BRSP Ltd. | | | | | | | | |
2021-FL1, 2.60% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 08/19/38◊,5 | | | 10,000,000 | | | | 9,869,901 | |
2021-FL1, 2.35% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/19/38◊,5 | | | 6,400,000 | | | | 6,311,641 | |
ACRES Commercial Realty Ltd. | | | | | | | | |
2021-FL1, 2.24% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 06/15/36◊,5 | | | 11,200,000 | | | | 11,080,557 | |
2021-FL1, 2.44% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/15/36◊,5 | | | 4,800,000 | | | | 4,722,271 | |
Venture XIV CLO Ltd. | | | | | | | | |
2020-14A, 1.54% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/29◊,5 | | | 14,600,906 | | | | 14,520,528 | |
AMMC CLO XI Ltd. | | | | | | | | |
2020-11A, 1.83% due 04/30/315 | | | 14,300,000 | | | | 13,971,203 | |
Cerberus Loan Funding XXXIII, LP | | | | | | | | |
2021-3A, 1.80% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/33◊,5 | | | 11,500,000 | | | | 11,434,927 | |
2021-3A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,5 | | | 2,250,000 | | | | 2,212,258 | |
Fortress Credit Opportunities XI CLO Ltd. | | | | | | | | |
2018-11A, 1.54% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,5 | | | 13,450,000 | | | | 13,239,373 | |
ABPCI Direct Lending Fund CLO I LLC | | | | | | | | |
2021-1A, 1.95% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,5 | | | 12,250,000 | | | | 12,300,545 | |
Cerberus Loan Funding XXXVI, LP | | | | | | | | |
2021-6A, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,5 | | | 11,807,024 | | | | 11,744,418 | |
Fortress Credit Opportunities IX CLO Ltd. | | | | | | | | |
2021-9A, 1.92% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/33◊,5 | | | 11,500,000 | | | | 11,486,337 | |
Lake Shore MM CLO III LLC | | | | | | | | |
2021-2A, 1.72% (3 Month USD LIBOR + 1.48%, Rate Floor: 1.48%) due 10/17/31◊,5 | | | 11,250,000 | | | | 11,161,312 | |
Madison Park Funding LIII Ltd. | | | | | | | | |
2022-53A, 1.94% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,5 | | | 10,750,000 | | | | 10,716,363 | |
FS Rialto | | | | | | | | |
2021-FL3, 2.23% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/36◊ | | | 7,500,000 | | | | 7,370,044 | |
2021-FL2, 2.48% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 05/16/38◊,5 | | | 3,250,000 | | | | 3,209,345 | |
Neuberger Berman CLO XVI-S Ltd. | | | | | | | | |
2021-16SA, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/34◊,5 | | | 10,200,000 | | | | 10,005,022 | |
Allegro CLO IX Ltd. | | | | | | | | |
2018-3A, 1.41% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/31◊,5 | | | 10,000,000 | | | | 9,954,121 | |
Recette CLO Ltd. | | | | | | | | |
2021-1A, 1.65% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 04/20/34◊,5 | | | 10,000,000 | | | | 9,805,022 | |
KREF | | | | | | | | |
2021-FL2, 2.09% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 02/15/39◊,5 | | | 10,000,000 | | | | 9,764,201 | |
ABPCI Direct Lending Fund CLO VII, LP | | | | | | | | |
2021-7A, 1.70% (3 Month USD LIBOR + 1.43%, Rate Floor: 1.43%) due 10/20/31◊,5 | | | 9,250,000 | | | | 9,169,993 | |
PFP Ltd. | | | | | | | | |
2021-7, 1.83% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/14/38◊,5 | | | 4,599,770 | | | | 4,516,814 | |
2021-7, 2.83% (1 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/14/38◊,5 | | | 4,104,795 | | | | 3,967,732 | |
Cerberus Loan Funding XXXV, LP | | | | | | | | |
2021-5A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/33◊,5 | | | 8,000,000 | | | | 7,908,230 | |
GoldenTree Loan Management US CLO 1 Ltd. | | | | | | | | |
2021-9A, 1.75% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/20/33◊,5 | | | 7,000,000 | | | | 6,901,346 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
2021-9A, 2.05% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/33◊,5 | | | 1,000,000 | | | $ | 975,423 | |
BCC Middle Market CLO LLC | | | | | | | | |
2021-1A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,5 | | | 6,750,000 | | | | 6,665,894 | |
BDS | | | | | | | | |
2021-FL8, 2.37% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/18/36◊,5 | | | 7,000,000 | | | | 6,645,138 | |
NewStar Fairfield Fund CLO Ltd. | | | | | | | | |
2018-2A, 1.52% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/30◊,5 | | | 6,529,571 | | | | 6,505,645 | |
KREF Funding V LLC | | | | | | | | |
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,††† | | | 6,426,529 | | | | 6,386,488 | |
0.15% due 06/25/26†††,7 | | | 27,272,727 | | | | 13,364 | |
BDS Ltd. | | | | | | | | |
2021-FL9, 2.37% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 11/16/38◊,5 | | | 5,000,000 | | | | 4,814,130 | |
2020-FL5, 1.97% (30 Day Average SOFR + 1.91%, Rate Floor: 1.80%) due 02/16/37◊ | | | 1,400,000 | | | | 1,394,123 | |
Neuberger Berman Loan Advisers CLO 40 Ltd. | | | | | | | | |
2021-40A, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/16/33◊,5 | | | 6,000,000 | | | | 5,900,524 | |
MF1 Multifamily Housing Mortgage Loan Trust | | | | | | | | |
2021-FL6, 2.12% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/16/36◊,5 | | | 6,000,000 | | | | 5,893,100 | |
GPMT Ltd. | | | | | | | | |
2019-FL2, 1.47% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/36◊ | | | 5,764,357 | | | | 5,745,752 | |
Cerberus 2112 Levered LLC | | | | | | | | |
2.49% (90 Day Average SOFR + 2.35%, Rate Floor: 2.35%) due 02/15/29◊ | | | 5,750,000 | | | | 5,644,875 | |
STWD Ltd. | | | | | | | | |
2019-FL1, 2.37% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 07/15/38◊ | | | 3,200,000 | | | | 3,144,546 | |
2021-FL2, 2.27% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/18/38◊,5 | | | 2,187,000 | | | | 2,151,051 | |
Parliament CLO II Ltd. | | | | | | | | |
2021-2A, 1.83% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/20/32◊,5 | | | 5,250,000 | | | | 5,172,417 | |
Owl Rock CLO II Ltd. | | | | | | | | |
2021-2A, 1.80% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/33◊,5 | | | 5,000,000 | | | | 4,976,441 | |
CIFC Funding Ltd. | | | | | | | | |
2021-4A, 1.50% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/34◊,5 | | | 5,000,000 | | | | 4,932,160 | |
BSPRT Issuer Ltd. | | | | | | | | |
2021-FL6, 2.45% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/36◊ | | | 5,000,000 | | | | 4,846,812 | |
Carlyle Global Market Strategies CLO Ltd. | | | | | | | | |
2018-4A, 1.24% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 01/15/31◊,5 | | | 4,681,009 | | | | 4,646,318 | |
VOYA CLO | | | | | | | | |
2021-2A, 2.39% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 06/07/30◊,5 | | | 4,500,000 | | | | 4,448,186 | |
ACRE Commercial Mortgage Ltd. | | | | | | | | |
2021-FL4, 1.24% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/37◊,5 | | | 4,500,000 | | | | 4,366,589 | |
Marathon CLO V Ltd. | | | | | | | | |
2017-5A, 1.35% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,5 | | | 4,238,731 | | | | 4,230,922 | |
Avery Point VI CLO Ltd. | | | | | | | | |
2021-6A, 1.67% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/05/27◊,5 | | | 4,000,000 | | | | 3,973,500 | |
Magnetite XXIX Ltd. | | | | | | | | |
2021-29A, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/15/34◊,5 | | | 4,000,000 | | | | 3,943,946 | |
Neuberger Berman Loan Advisers CLO 32 Ltd. | | | | | | | | |
2021-32A, 1.65% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/20/32◊,5 | | | 4,000,000 | | | | 3,942,412 | |
Owl Rock CLO VI Ltd. | | | | | | | | |
2021-6A, 1.87% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/21/32◊,5 | | | 3,500,000 | | | | 3,490,541 | |
AMMC CLO XIV Ltd. | | | | | | | | |
2021-14A, 1.66% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/29◊,5 | | | 3,250,000 | | | | 3,214,539 | |
Boyce Park CLO Ltd. | | | | | | | | |
2022-1A, 2.37% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,5 | | | 3,000,000 | | | | 2,962,768 | |
18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
Golub Capital Partners CLO 17 Ltd. | | | | | | | | |
2017-17A, 1.91% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,5 | | | 2,500,000 | | | $ | 2,500,345 | |
Greystone Commercial Real Estate Notes | | | | | | | | |
2021-FL3, 2.05% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/15/39◊,5 | | | 2,200,000 | | | | 2,136,713 | |
Neuberger Berman Loan Advisers CLO 47 Ltd. | | | | | | | | |
2022-47A, 1.97% (3 Month Term SOFR + 1.80%, Rate Floor: 1.80%) due 04/14/35◊,5 | | | 2,000,000 | | | | 1,980,625 | |
HGI CRE CLO Ltd. | | | | | | | | |
2021-FL2, 1.93% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/17/36◊ | | | 2,000,000 | | | | 1,945,800 | |
TRTX Issuer Ltd. | | | | | | | | |
2019-FL3, 1.32% (30 Day Average SOFR + 1.26%, Rate Floor: 1.15%) due 10/15/34◊ | | | 1,668,838 | | | | 1,651,951 | |
Dryden 37 Senior Loan Fund | | | | | | | | |
2015-37A, due 01/15/315,8 | | | 1,500,000 | | | | 1,231,417 | |
Halcyon Loan Advisors Funding Ltd. | | | | | | | | |
2017-3A, 1.14% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/27◊,5 | | | 982,114 | | | | 981,756 | |
Newfleet CLO Ltd. | | | | | | | | |
2018-1A, 1.20% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,5 | | | 844,898 | | | | 842,595 | |
Treman Park CLO Ltd. | | | | | | | | |
2015-1A, due 10/20/285,8 | | | 1,000,000 | | | | 782,194 | |
Northwoods Capital XII-B Ltd. | | | | | | | | |
2018-12BA, 1.58% (3 Month USD LIBOR + 0.75%, Rate Floor: 0.75%) due 06/15/31◊,5 | | | 656,250 | | | | 655,494 | |
Diamond CLO Ltd. | | | | | | | | |
2021-1A, 1.46% (3 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 04/25/29◊,5 | | | 482,164 | | | | 482,070 | |
2018-1A, 1.76% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 07/22/30◊,5 | | | 24,958 | | | | 24,954 | |
Oaktree CLO Ltd. | | | | | | | | |
2017-1A, 1.12% (3 Month USD LIBOR + 0.87%) due 10/20/27◊,5 | | | 347,296 | | | | 346,756 | |
KVK CLO Ltd. | | | | | | | | |
2017-1A, 1.14% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/28◊,5 | | | 273,745 | | | | 273,556 | |
Carlyle GMS Finance MM CLO LLC | | | | | | | | |
2018-1A, 2.02% (3 Month USD LIBOR + 1.78%, Rate Floor: 0.00%) due 10/15/31◊,5 | | | 250,000 | | | | 247,614 | |
OHA Credit Partners IX Ltd. | | | | | | | | |
2013-9A, due 10/20/255,8 | | | 301,370 | | | | 338 | |
Copper River CLO Ltd. | | | | | | | | |
2007-1A, due 01/20/218,9 | | | 500,000 | | | | 100 | |
Total Collateralized Loan Obligations | | | | | | | 1,130,419,131 | |
| | | | | | | | | |
Financial - 4.7% | | | | | | | | |
Station Place Securitization Trust | | | | | | | | |
2021-15, 1.06% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 09/26/22◊,†††,5 | | | 61,500,000 | | | | 61,500,000 | |
2021-9, 1.06% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 06/20/22◊,†††,5 | | | 29,450,000 | | | | 29,450,000 | |
2021-SP1, 1.93% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22◊,†††,5 | | | 3,000,000 | | | | 3,000,000 | |
Station Place Securitization Trust Series | | | | | | | | |
2021-17, 0.96% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 06/22/22◊,†††,5 | | | 39,000,000 | | | | 39,000,000 | |
2021-14, 1.16% (1 Month USD LIBOR + 0.70%, Rate Floor: 0.70%) due 12/08/22◊,†††,5 | | | 35,000,000 | | | | 35,000,000 | |
Strategic Partners Fund VIII LP | | | | | | | | |
2.95% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/10/25◊,††† | | | 23,500,000 | | | | 23,486,228 | |
3.45% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/10/25◊,††† | | | 4,000,000 | | | | 3,997,949 | |
HV Eight LLC | | | | | | | | |
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25◊,††† | | EUR | 21,000,000 | | | | 23,202,865 | |
Madison Avenue Secured Funding Trust Series | | | | | | | | |
2021-1, 1.96% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,5 | | | 15,900,000 | | | | 15,900,000 | |
Project Onyx | | | | | | | | |
2.50% (90 Day Average SOFR + 2.30%, Rate Floor: 2.30%) due 01/26/27◊,††† | | | 7,000,000 | | | | 6,977,312 | |
KKR Core Holding Company LLC | | | | | | | | |
4.00% due 08/12/31††† | | �� | 7,030,129 | | | | 6,654,426 | |
Ceamer Finance LLC | | | | | | | | |
3.69% due 03/22/31††† | | | 4,480,700 | | | | 4,158,715 | |
Lightning A | | | | | | | | |
5.50% due 03/01/37††† | | | 1,408,000 | | | | 1,408,000 | |
Thunderbird A | | | | | | | | |
5.50% due 03/01/37††† | | | 1,280,000 | | | | 1,280,000 | |
Aesf Vi Verdi, LP | | | | | | | | |
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,††† | | EUR | 1,027,157 | | | | 1,135,101 | |
Total Financial | | | | | | | 256,150,596 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
Transport-Container - 1.8% | | | | | | | | |
Triton Container Finance VIII LLC | | | | | | | | |
2021-1A, 1.86% due 03/20/465 | | | 37,057,500 | | | $ | 33,528,674 | |
CLI Funding VI LLC | | | | | | | | |
2020-3A, 2.07% due 10/18/455 | | | 15,722,500 | | | | 14,599,032 | |
2020-1A, 2.08% due 09/18/455 | | | 1,681,000 | | | | 1,575,104 | |
CLI Funding VIII LLC | | | | | | | | |
2021-1A, 1.64% due 02/18/465 | | | 16,722,768 | | | | 15,181,183 | |
TIF Funding II LLC | | | | | | | | |
2021-1A, 1.65% due 02/20/465 | | | 16,645,375 | | | | 14,942,405 | |
Textainer Marine Containers VII Ltd. | | | | | | | | |
2021-1A, 1.68% due 02/20/465 | | | 10,320,667 | | | | 9,338,557 | |
2020-1A, 2.73% due 08/21/455 | | | 4,855,200 | | | | 4,703,310 | |
Textainer Marine Containers VIII Ltd. | | | | | | | | |
2020-2A, 2.10% due 09/20/455 | | | 4,288,473 | | | | 4,031,575 | |
CAL Funding IV Ltd. | | | | | | | | |
2020-1A, 2.22% due 09/25/455 | | | 3,271,875 | | | | 3,041,618 | |
Total Transport-Container | | | | | | | 100,941,458 | |
| | | | | | | | | |
Whole Business - 1.6% | | | | | | | | |
Applebee’s Funding LLC / IHOP Funding LLC | | | | | | | | |
2019-1A, 4.19% due 06/05/495 | | | 31,042,440 | | | | 30,806,176 | |
SERVPRO Master Issuer LLC | | | | | | | | |
2021-1A, 2.39% due 04/25/515 | | | 12,009,250 | | | | 10,798,862 | |
2019-1A, 3.88% due 10/25/495 | | | 6,109,375 | | | | 6,120,360 | |
Taco Bell Funding LLC | | | | | | | | |
2021-1A, 1.95% due 08/25/515 | | | 18,703,125 | | | | 16,915,013 | |
ServiceMaster Funding LLC | | | | | | | | |
2020-1, 2.84% due 01/30/515 | | | 9,157,500 | | | | 8,291,878 | |
Wingstop Funding LLC | | | | | | | | |
2020-1A, 2.84% due 12/05/505 | | | 7,820,700 | | | | 7,253,511 | |
Arbys Funding LLC | | | | | | | | |
2020-1A, 3.24% due 07/30/505 | | | 7,141,250 | | | | 6,811,767 | |
Domino’s Pizza Master Issuer LLC | | | | | | | | |
2019-1A, 3.67% due 10/25/495 | | | 1,715,000 | | | | 1,644,131 | |
Total Whole Business | | | | | | | 88,641,698 | |
| | | | | | | | | |
Transport-Aircraft - 1.3% | | | | | | | | |
AASET Trust | | | | | | | | |
2021-1A, 2.95% due 11/16/415 | | | 16,997,809 | | | | 14,056,015 | |
2017-1A, 3.97% due 05/16/425 | | | 3,216,112 | | | | 2,715,475 | |
AASET US Ltd. | | | | | | | | |
2018-2A, 4.45% due 11/18/385 | | | 14,593,588 | | | | 12,584,852 | |
Sapphire Aviation Finance I Ltd. | | | | | | | | |
2018-1A, 4.25% due 03/15/405 | | | 9,482,354 | | | | 8,127,916 | |
KDAC Aviation Finance Ltd. | | | | | | | | |
2017-1A, 4.21% due 12/15/425 | | | 8,547,775 | | | | 7,482,360 | |
MAPS Ltd. | | | | | | | | |
2018-1A, 4.21% due 05/15/435 | | | 6,732,534 | | | | 6,295,429 | |
Sapphire Aviation Finance II Ltd. | | | | | | | | |
2020-1A, 3.23% due 03/15/405 | | | 6,606,640 | | | | 5,958,150 | |
Castlelake Aircraft Structured Trust | | | | | | | | |
2021-1A, 3.47% due 01/15/465 | | | 5,945,447 | | | | 5,501,623 | |
Castlelake Aircraft Securitization Trust | | | | | | | | |
2018-1, 4.13% due 06/15/435 | | | 5,753,722 | | | | 5,306,675 | |
Falcon Aerospace Ltd. | | | | | | | | |
2019-1, 3.60% due 09/15/395 | | | 2,571,803 | | | | 2,318,991 | |
2017-1, 4.58% due 02/15/425 | | | 1,099,706 | | | | 1,064,524 | |
Raspro Trust | | | | | | | | |
2005-1A, 1.18% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,5 | | | 2,551,004 | | | | 2,538,949 | |
Total Transport-Aircraft | | | | | | | 73,950,959 | |
| | | | | | | | | |
Net Lease - 1.3% | | | | | | | | |
Oak Street Investment Grade Net Lease Fund Series | | | | | | | | |
2020-1A, 1.85% due 11/20/505 | | | 39,802,480 | | | | 37,403,198 | |
STORE Master Funding I LLC | | | | | | | | |
2015-1A, 4.17% due 04/20/455 | | | 10,329,958 | | | | 10,149,441 | |
STORE Master Funding LLC | | | | | | | | |
2021-1A, 2.86% due 06/20/515 | | | 6,923,938 | | | | 6,509,219 | |
CF Hippolyta LLC | | | | | | | | |
2021-1A, 1.98% due 03/15/615 | | | 5,883,483 | | | | 5,412,600 | |
CMFT Net Lease Master Issuer LLC | | | | | | | | |
2021-1, 2.91% due 07/20/515 | | | 3,000,000 | | | | 2,768,096 | |
2021-1, 2.51% due 07/20/515 | | | 2,500,000 | | | | 2,295,637 | |
CARS-DB4, LP | | | | | | | | |
2020-1A, 3.19% due 02/15/505 | | | 3,984,167 | | | | 3,873,688 | |
2020-1A, 3.25% due 02/15/505 | | | 896,704 | | | | 871,343 | |
New Economy Assets Phase 1 Sponsor LLC | | | | | | | | |
2021-1, 1.91% due 10/20/615 | | | 2,500,000 | | | | 2,331,262 | |
Capital Automotive REIT | | | | | | | | |
2020-1A, 3.48% due 02/15/505 | | | 1,992,083 | | | | 1,933,401 | |
Total Net Lease | | | | | | | 73,547,885 | |
| | | | | | | | | |
Collateralized Debt Obligations - 0.9% |
Anchorage Credit Funding 4 Ltd. | | | | | | | | |
2021-4A, 2.72% due 04/27/395 | | | 24,650,000 | | | | 24,023,954 | |
Anchorage Credit Funding Ltd. | | | | | | | | |
2021-13A, 2.88% due 07/27/395 | | | 8,500,000 | | | | 8,337,152 | |
2021-13A, 3.15% due 07/27/395 | | | 8,050,000 | | | | 7,888,356 | |
Anchorage Credit Funding 3 Ltd. | | | | | | | | |
2021-3A, 2.87% due 01/28/395 | | | 9,750,000 | | | | 9,254,893 | |
Total Collateralized Debt Obligations | | | | | | | 49,504,355 | |
| | | | | | | | | |
Infrastructure - 0.3% | | | | | | | | |
VB-S1 Issuer LLC - VBTEL | | | | | | | | |
2022-1A, 4.29% due 02/15/525 | | | 9,250,000 | | | | 9,009,585 | |
Secured Tenant Site Contract Revenue Notes Series | | | | | | | | |
2018-1A, 3.97% due 06/15/485 | | | 6,976,311 | | | | 6,995,881 | |
Total Infrastructure | | | | | | | 16,005,466 | |
| | | | | | | | | |
Single Family Residence - 0.1% | | | | | | | | |
FirstKey Homes Trust | | | | | | | | |
2021-SFR1, 2.19% due 08/17/385 | | | 4,000,000 | | | | 3,631,683 | |
Total Asset-Backed Securities | | | | |
(Cost $1,834,855,045) | | | 1,792,793,231 | |
| |
20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 16.0% |
Residential Mortgage-Backed Securities - 13.9% |
CSMC Trust | | | | | | | | |
2021-RPL1, 1.67% (WAC) due 09/27/60◊,5 | | | 34,973,771 | | | $ | 33,607,465 | |
2021-RPL7, 1.93% (WAC) due 07/27/61◊,5 | | | 15,584,900 | | | | 14,759,244 | |
2020-RPL5, 3.02% (WAC) due 08/25/60◊,5 | | | 14,776,053 | | | | 14,476,895 | |
2021-RPL4, 1.80% (WAC) due 12/27/60◊,5 | | | 9,238,313 | | | | 8,793,186 | |
2018-RPL9, 3.85% (WAC) due 09/25/57◊,5 | | | 6,581,681 | | | | 6,633,247 | |
2020-NQM1, 1.41% due 05/25/655,10 | | | 3,206,237 | | | | 3,153,750 | |
PRPM LLC | | | | | | | | |
2021-5, 1.79% due 06/25/265,10 | | | 25,537,286 | | | | 24,203,136 | |
2022-1, 3.72% due 02/25/275,10 | | | 24,100,000 | | | | 23,673,240 | |
2021-8, 1.74% (WAC) due 09/25/26◊,5 | | | 12,642,722 | | | | 11,980,726 | |
2021-RPL2, 2.49% (WAC) due 10/25/51◊,5 | | | 2,500,000 | | | | 2,327,740 | |
Legacy Mortgage Asset Trust | | | | | | | | |
2021-GS3, 1.75% due 07/25/615,10 | | | 24,679,048 | | | | 23,491,275 | |
2021-GS4, 1.65% due 11/25/605,10 | | | 21,582,376 | | | | 20,364,770 | |
2021-GS2, 1.75% due 04/25/615,10 | | | 9,292,045 | | | | 8,858,934 | |
2021-GS5, 2.25% due 07/25/675,10 | | | 6,092,115 | | | | 5,802,332 | |
BRAVO Residential Funding Trust | | | | | | | | |
2021-C, 1.62% due 03/01/615,10 | | | 25,110,106 | | | | 23,663,081 | |
2022-R1, 3.13% due 01/29/705,10 | | | 18,383,677 | | | | 17,384,298 | |
2021-HE2, 0.95% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 11/25/69◊,5 | | | 3,868,032 | | | | 3,852,724 | |
2021-HE2, 1.15% (30 Day Average SOFR + 1.05%, Rate Floor: 0.00%) due 11/25/69◊,5 | | | 3,551,912 | | | | 3,537,880 | |
2021-HE1, 1.05% (30 Day Average SOFR + 0.95%, Rate Floor: 0.00%) due 01/25/70◊,5 | | | 3,168,482 | | | | 3,152,866 | |
2021-HE1, 0.95% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 01/25/70◊,5 | | | 2,379,050 | | | | 2,368,742 | |
2019-NQM2, 2.75% (WAC) due 11/25/59◊,5 | | | 708,467 | | | | 691,154 | |
OSAT Trust | | | | | | | | |
2021-RPL1, 2.12% due 05/25/655,10 | | | 49,540,520 | | | | 47,401,429 | |
NRZ Advance Receivables Trust | | | | | | | | |
2020-T2, 1.48% due 09/15/535 | | | 28,950,000 | | | | 28,142,810 | |
2020-T3, 1.32% due 10/15/525 | | | 12,450,000 | | | | 12,397,242 | |
NYMT Loan Trust | | | | | | | | |
2021-SP1, 1.67% due 08/25/615,10 | | | 39,135,721 | | | | 37,247,164 | |
Verus Securitization Trust | | | | | | | | |
2020-5, 1.58% due 05/25/655,10 | | | 7,515,785 | | | | 7,326,922 | |
2021-4, 1.35% (WAC) due 07/25/66◊,5 | | | 7,743,644 | | | | 7,268,962 | |
2021-5, 1.37% (WAC) due 09/25/66◊,5 | | | 7,877,231 | | | | 7,251,901 | |
2021-3, 1.44% (WAC) due 06/25/66◊,5 | | | 4,942,162 | | | | 4,673,350 | |
2021-6, 1.89% (WAC) due 10/25/66◊,5 | | | 3,718,486 | | | | 3,540,632 | |
2019-4, 2.64% due 11/25/595,10 | | | 2,501,603 | | | | 2,498,949 | |
2020-1, 2.42% due 01/25/605,10 | | | 1,238,434 | | | | 1,233,384 | |
Ocwen Master Advance Receivables Trust | | | | | | | | |
2020-T1, 1.28% due 08/15/525 | | | 31,056,316 | | | | 31,057,216 | |
New Residential Advance Receivables Trust Advance Receivables Backed Notes | | | | | | | | |
2020-T1, 1.43% due 08/15/535 | | | 15,750,000 | | | | 15,418,997 | |
2020-APT1, 1.04% due 12/16/525 | | | 10,900,000 | | | | 10,744,219 | |
FKRT | | | | | | | | |
2.21% due 11/30/58†††,9 | | | 25,700,000 | | | | 24,749,091 | |
Towd Point Mortgage Trust | | | | | | | | |
2017-6, 2.75% (WAC) due 10/25/57◊,5 | | | 10,782,414 | | | | 10,678,783 | |
2018-2, 3.25% (WAC) due 03/25/58◊,5 | | | 5,826,942 | | | | 5,828,981 | |
2017-5, 1.06% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/57◊,5 | | | 4,301,867 | | | | 4,285,797 | |
2018-1, 3.00% (WAC) due 01/25/58◊,5 | | | 780,045 | | | | 772,127 | |
Towd Point Revolving Trust | | | | | | | | |
4.83% due 09/25/649 | | | 18,500,000 | | | | 18,515,337 | |
Soundview Home Loan Trust | | | | | | | | |
2006-OPT5, 0.60% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/36◊ | | | 11,575,900 | | | | 11,326,194 | |
2005-OPT3, 1.16% (1 Month USD LIBOR + 0.71%, Rate Floor: 0.71%) due 11/25/35◊ | | | 2,457,653 | | | | 2,443,066 | |
2006-1, 1.06% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 02/25/36◊ | | | 827,050 | | | | 826,340 | |
LSTAR Securities Investment Ltd. | | | | | | | | |
2021-1, 2.03% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,9 | | | 7,911,866 | | | | 7,846,854 | |
2021-2, 1.93% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,9 | | | 6,126,497 | | | | 6,082,585 | |
ZH Trust | | | | | | | | |
2021-2, 2.35% due 10/17/275 | | | 10,000,000 | | | | 9,821,381 | |
2021-1, 2.25% due 02/18/275 | | | 4,000,000 | | | | 3,927,353 | |
Imperial Fund Mortgage Trust | | | | | | | | |
2022-NQM2, 4.02% (WAC) due 03/25/67◊,5 | | | 13,500,000 | | | | 13,329,264 | |
Home Equity Loan Trust | | | | | | | | |
2007-FRE1, 0.65% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37◊ | | | 13,167,452 | | | | 12,591,084 | |
New Residential Mortgage Loan Trust | | | | | | | | |
2018-2A, 3.50% (WAC) due 02/25/58◊,5 | | | 7,550,660 | | | | 7,506,376 | |
2018-1A, 4.00% (WAC) due 12/25/57◊,5 | | | 2,344,162 | | | | 2,363,354 | |
2019-6A, 3.50% (WAC) due 09/25/59◊,5 | | | 1,743,065 | | | | 1,729,123 | |
2017-5A, 1.96% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 06/25/57◊,5 | | | 728,873 | | | | 734,845 | |
Cascade Funding Mortgage Trust | | | | | | | | |
2018-RM2, 4.00% (WAC) due 10/25/68◊,9 | | | 7,361,649 | | | | 7,372,589 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
2019-RM3, 2.80% (WAC) due 06/25/69◊,9 | | | 2,176,186 | | | $ | 2,138,208 | |
CSMC | | | | | | | | |
2021-NQM8, 2.41% (WAC) due 10/25/66◊,5 | | | 9,380,285 | | | | 8,937,519 | |
Structured Asset Securities Corporation Mortgage Loan Trust | | | | | | | | |
2008-BC4, 1.09% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/37◊ | | | 7,722,361 | | | | 7,632,988 | |
2006-BC4, 0.80% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/36◊ | | | 764,426 | | | | 750,741 | |
2007-BC1, 0.59% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 02/25/37◊ | | | 68,659 | | | | 67,963 | |
NovaStar Mortgage Funding Trust Series | | | | | | | | |
2007-2, 0.66% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37◊ | | | 8,235,836 | | | | 8,034,223 | |
Alternative Loan Trust | | | | | | | | |
2007-OA7, 0.60% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 05/25/47◊ | | | 5,325,164 | | | | 4,840,858 | |
2007-OH3, 1.04% (1 Month USD LIBOR + 0.58%, Rate Cap/Floor: 10.00%/0.58%) due 09/25/47◊ | | | 2,392,565 | | | | 2,248,740 | |
CFMT LLC | | | | | | | | |
2021-HB5, 1.37% (WAC) due 02/25/31◊,5 | | | 6,950,000 | | | | 6,697,455 | |
Banc of America Funding Trust | | | | | | | | |
2015-R2, 0.72% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/37◊,5 | | | 6,058,125 | | | | 5,932,523 | |
American Home Mortgage Investment Trust | | | | | | | | |
2006-3, 0.82% (1 Month USD LIBOR + 0.36%, Rate Cap/Floor: 10.50%/0.36%) due 12/25/46◊ | | | 6,095,374 | | | | 5,746,475 | |
Credit Suisse Mortgage Capital Certificates | | | | | | | | |
2021-RPL9, 2.44% (WAC) due 02/25/61◊,5 | | | 4,837,512 | | | | 4,599,070 | |
CIT Mortgage Loan Trust | | | | | | | | |
2007-1, 1.81% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/37◊,5 | | | 4,266,735 | | | | 4,268,480 | |
2007-1, 1.91% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 10/25/37◊,5 | | | 64,478 | | | | 64,558 | |
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series | | | | | | | | |
2005-W2, 1.19% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/35◊ | | | 4,330,986 | | | | 4,296,366 | |
Morgan Stanley ABS Capital I Incorporated Trust | | | | | | | | |
2007-HE3, 0.71% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 12/25/36◊ | | | 2,495,339 | | | | 1,555,611 | |
2007-HE3, 0.61% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/36◊ | | | 1,787,661 | | | | 1,105,884 | |
2007-HE5, 0.64% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 03/25/37◊ | | | 1,714,505 | | | | 868,409 | |
2006-NC1, 1.03% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/35◊ | | | 736,712 | | | | 733,341 | |
Bear Stearns Asset Backed Securities I Trust | | | | | | | | |
2006-HE9, 0.60% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.28%) due 11/25/36◊ | | | 4,331,466 | | | | 4,239,795 | |
Ellington Financial Mortgage Trust | | | | | | | | |
2021-2, 1.67% (WAC) due 06/25/66◊,5 | | | 2,561,057 | | | | 2,387,551 | |
2020-2, 1.64% (WAC) due 10/25/65◊,5 | | | 1,613,023 | | | | 1,592,934 | |
Securitized Asset Backed Receivables LLC Trust | | | | | | | | |
2007-HE1, 0.68% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 12/25/36◊ | | | 13,476,775 | | | | 3,935,891 | |
HarborView Mortgage Loan Trust | | | | | | | | |
2006-14, 0.60% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/47◊ | | | 2,223,994 | | | | 2,060,159 | |
2006-12, 0.64% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/19/38◊ | | | 1,910,997 | | | | 1,808,076 | |
SPS Servicer Advance Receivables Trust | | | | | | | | |
2020-T2, 1.83% due 11/15/555 | | | 3,750,000 | | | | 3,506,379 | |
GS Mortgage-Backed Securities Trust | | | | | | | | |
2020-NQM1, 1.38% (WAC) due 09/27/60◊,5 | | | 3,558,599 | | | | 3,467,749 | |
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG | | | | | | | | |
2006-HE1, 1.06% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 01/25/36◊ | | | 3,350,000 | | | | 3,289,163 | |
First NLC Trust | | | | | | | | |
2005-4, 1.24% (1 Month USD LIBOR + 0.78%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/36◊ | | | 3,263,031 | | | | 3,222,162 | |
IXIS Real Estate Capital Trust | | | | | | | | |
2006-HE1, 1.06% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36◊ | | | 5,177,087 | | | | 3,177,157 | |
Angel Oak Mortgage Trust | | | | | | | | |
2021-6, 1.89% (WAC) due 09/25/66◊,5 | | | 3,214,067 | | | | 3,033,101 | |
22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
Morgan Stanley Home Equity Loan Trust | | | | | | | | |
2006-2, 1.02% (1 Month USD LIBOR + 0.56%, Rate Floor: 0.56%) due 02/25/36◊ | | | 2,836,169 | | | $ | 2,815,000 | |
Park Place Securities Incorporated Asset-Backed Pass-Through Certificates Series | | | | | | | | |
2005-WHQ3, 1.40% (1 Month USD LIBOR + 0.95%, Rate Floor: 0.95%) due 06/25/35◊ | | | 2,671,303 | | | | 2,674,313 | |
Structured Asset Investment Loan Trust | | | | | | | | |
2006-3, 0.76% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 06/25/36◊ | | | 2,286,881 | | | | 2,241,558 | |
2005-2, 1.19% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 03/25/35◊ | | | 157,983 | | | | 156,810 | |
Nationstar Home Equity Loan Trust | | | | | | | | |
2007-B, 0.68% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 04/25/37◊ | | | 2,340,670 | | | | 2,324,332 | |
Countrywide Asset-Backed Certificates | | | | | | | | |
2006-6, 0.80% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 09/25/36◊ | | | 1,692,620 | | | | 1,686,189 | |
2006-5, 1.04% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 08/25/36◊ | | | 368,954 | | | | 366,797 | |
Credit-Based Asset Servicing and Securitization LLC | | | | | | | | |
2006-CB2, 0.84% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 12/25/36◊ | | | 2,077,417 | | | | 2,025,887 | |
SG Residential Mortgage Trust | | | | | | | | |
2022-1, 3.68% (WAC) due 03/27/62◊,5 | | | 2,045,358 | | | | 1,996,692 | |
Residential Mortgage Loan Trust | | | | | | | | |
2020-1, 2.38% (WAC) due 01/26/60◊,5 | | | 2,013,802 | | | | 1,958,931 | |
GSAA Home Equity Trust | | | | | | | | |
2006-3, 1.06% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36◊ | | | 2,551,149 | | | | 1,604,026 | |
MFRA Trust | | | | | | | | |
2021-INV1, 1.26% (WAC) due 01/25/56◊,5 | | | 1,583,165 | | | | 1,531,904 | |
ACE Securities Corporation Home Equity Loan Trust Series | | | | | | | | |
2005-HE2, 1.48% (1 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 04/25/35◊ | | | 1,470,685 | | | | 1,460,956 | |
Ameriquest Mortgage Securities Incorporated Asset-Backed Pass-Through Certificates Series | | | | | | | | |
2005-R10, 1.10% (1 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 01/25/36◊ | | | 1,458,740 | | | | 1,457,540 | |
FBR Securitization Trust | | | | | | | | |
2005-2, 1.21% (1 Month USD LIBOR + 0.75%, Rate Cap/Floor: 14.00%/0.75%) due 09/25/35◊ | | | 1,347,330 | | | | 1,345,167 | |
Lehman XS Trust Series | | | | | | | | |
2006-16N, 0.84% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 11/25/46◊ | | | 1,424,481 | | | | 1,341,681 | |
COLT Mortgage Loan Trust | | | | | | | | |
2021-2, 2.38% (WAC) due 08/25/66◊,5 | | | 1,500,000 | | | | 1,336,987 | |
Starwood Mortgage Residential Trust | | | | | | | | |
2020-1, 2.28% (WAC) due 02/25/50◊,5 | | | 1,256,562 | | | | 1,247,156 | |
Citigroup Mortgage Loan Trust | | | | | | | | |
2019-IMC1, 2.72% (WAC) due 07/25/49◊,5 | | | 822,794 | | | | 814,419 | |
2007-WFH2, 1.06% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/37◊ | | | 411,636 | | | | 411,098 | |
Long Beach Mortgage Loan Trust | | | | | | | | |
2006-8, 0.78% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/36◊ | | | 2,451,116 | | | | 874,077 | |
Morgan Stanley Capital I Incorporated Trust | | | | | | | | |
2006-HE1, 1.04% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 01/25/36◊ | | | 887,860 | | | | 869,760 | |
CSMC Series | | | | | | | | |
2015-12R, 0.61% (WAC) due 11/30/37◊,5 | | | 773,921 | | | | 771,728 | |
2014-2R, 0.39% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/46◊,5 | | | 76,794 | | | | 75,932 | |
First Franklin Mortgage Loan Trust | | | | | | | | |
2004-FF10, 1.73% (1 Month USD LIBOR + 1.28%, Rate Floor: 1.28%) due 07/25/34◊ | | | 600,302 | | | | 597,140 | |
Nomura Resecuritization Trust | | | | | | | | |
2015-4R, 2.27% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,5 | | | 581,581 | | | | 542,250 | |
JP Morgan Mortgage Acquisition Trust | | | | | | | | |
2006-HE2, 0.74% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 07/25/36◊ | | | 460,959 | | | | 459,668 | |
UCFC Manufactured Housing Contract | | | | | | | | |
1997-2, 7.38% due 10/15/28 | | | 133,289 | | | | 131,770 | |
Morgan Stanley Re-REMIC Trust | | | | | | | | |
2010-R5, 2.24% due 06/26/365 | | | 59,268 | | | | 54,573 | |
Total Residential Mortgage-Backed Securities | | | | | | | 767,124,256 | |
| | | | | | | | | |
Commercial Mortgage Backed Securities - 2.0% |
BX Commercial Mortgage Trust | | | | | | | | |
2021-VOLT, 2.05% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/36◊,5 | | | 25,000,000 | | | | 24,098,475 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
2022-LP2, 1.66% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,5 | | | 16,300,000 | | | $ | 15,953,658 | |
JP Morgan Chase Commercial Mortgage Securities Trust | | | | | | | | |
2021-NYAH, 1.94% (1 Month USD LIBOR + 1.54%, Rate Floor: 1.54%) due 06/15/38◊,5 | | | 10,200,000 | | | | 9,931,410 | |
2016-JP2, 1.78% (WAC) due 08/15/49◊,7 | | | 34,720,340 | | | | 2,131,402 | |
BXHPP Trust | | | | | | | | |
2021-FILM, 1.50% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 08/15/36◊,5 | | | 8,250,000 | | | | 7,919,480 | |
MHP | | | | | | | | |
2022-MHIL, 1.57% (1 Month Term SOFR + 1.26%, Rate Floor: 1.26%) due 01/15/27◊,5 | | | 8,000,000 | | | | 7,779,336 | |
Life Mortgage Trust | | | | | | | | |
2021-BMR, 1.80% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 03/15/38◊,5 | | | 6,880,791 | | | | 6,648,253 | |
Extended Stay America Trust | | | | | | | | |
2021-ESH, 2.10% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/15/38◊,5 | | | 3,975,533 | | | | 3,918,126 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | |
2017-C38, 1.01% (WAC) due 07/15/50◊,7 | | | 24,021,495 | | | | 958,160 | |
2016-C37, 0.81% (WAC) due 12/15/49◊,7 | | | 27,469,841 | | | | 810,797 | |
2017-C42, 0.87% (WAC) due 12/15/50◊,7 | | | 14,668,052 | | | | 611,967 | |
2015-LC22, 0.78% (WAC) due 09/15/58◊,7 | | | 19,822,384 | | | | 435,633 | |
2017-RB1, 1.18% (WAC) due 03/15/50◊,7 | | | 8,548,733 | | | | 407,202 | |
2016-NXS5, 1.43% (WAC) due 01/15/59◊,7 | | | 5,232,684 | | | | 221,825 | |
Motel Trust | | | | | | | | |
2021-MTL6, 1.60% (1 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 09/15/38◊,5 | | | 2,733,256 | | | | 2,686,686 | |
KKR Industrial Portfolio Trust | | | | | | | | |
2021-KDIP, 1.40% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/37◊,5 | | | 2,662,500 | | | | 2,602,300 | |
JPMDB Commercial Mortgage Securities Trust | | | | | | | | |
2016-C4, 0.75% (WAC) due 12/15/49◊,7 | | | 37,541,497 | | | | 1,105,113 | |
2018-C8, 0.59% (WAC) due 06/15/51◊,7 | | | 39,882,153 | | | | 942,826 | |
2016-C2, 1.55% (WAC) due 06/15/49◊,7 | | | 7,078,405 | | | | 305,142 | |
2017-C5, 0.94% (WAC) due 03/15/50◊,7 | | | 3,148,492 | | | | 107,225 | |
COMM Mortgage Trust | | | | | | | | |
2015-CR24, 0.75% (WAC) due 08/10/48◊,7 | | | 59,447,612 | | | | 1,245,255 | |
2018-COR3, 0.44% (WAC) due 05/10/51◊,7 | | | 35,317,018 | | | | 823,882 | |
BENCHMARK Mortgage Trust | | | | | | | | |
2018-B2, 0.40% (WAC) due 02/15/51◊,7 | | | 121,586,442 | | | | 1,995,513 | |
DBJPM Mortgage Trust | | | | | | | | |
2017-C6, 0.97% (WAC) due 06/10/50◊,7 | | | 57,799,493 | | | | 1,906,331 | |
Banc of America Commercial Mortgage Trust | | | | | | | | |
2017-BNK3, 1.01% (WAC) due 02/15/50◊,7 | | | 29,680,966 | | | | 1,230,715 | |
2016-UB10, 1.76% (WAC) due 07/15/49◊,7 | | | 11,171,687 | | | | 629,805 | |
UBS Commercial Mortgage Trust | | | | | | | | |
2017-C2, 1.05% (WAC) due 08/15/50◊,7 | | | 28,106,296 | | | | 1,139,075 | |
2017-C5, 0.98% (WAC) due 11/15/50◊,7 | | | 13,583,292 | | | | 495,751 | |
Morgan Stanley Bank of America Merrill Lynch Trust | | | | | | | | |
2017-C34, 0.78% (WAC) due 11/15/52◊,7 | | | 23,710,907 | | | | 788,900 | |
2015-C27, 0.87% (WAC) due 12/15/47◊,7 | | | 30,239,109 | | | | 715,657 | |
CSAIL Commercial Mortgage Trust | | | | | | | | |
2019-C15, 1.04% (WAC) due 03/15/52◊,7 | | | 19,471,574 | | | | 1,028,070 | |
2016-C6, 1.87% (WAC) due 01/15/49◊,7 | | | 6,258,960 | | | | 379,853 | |
BAMLL Commercial Mortgage Securities Trust | | | | | | | | |
2012-PARK, 2.96% due 12/10/305 | | | 1,300,000 | | | | 1,304,026 | |
BBCMS Mortgage Trust | | | | | | | | |
2018-C2, 0.76% (WAC) due 12/15/51◊,7 | | | 29,620,266 | | | | 1,240,313 | |
CD Commercial Mortgage Trust | | | | | | | | |
2017-CD4, 1.27% (WAC) due 05/10/50◊,7 | | | 16,571,106 | | | | 722,021 | |
CD Mortgage Trust | | | | | | | | |
2017-CD6, 0.92% (WAC) due 11/13/50◊,7 | | | 13,925,365 | | | | 446,485 | |
2016-CD1, 1.37% (WAC) due 08/10/49◊,7 | | | 5,867,616 | | | | 267,381 | |
CGMS Commercial Mortgage Trust | | | | | | | | |
2017-B1, 0.81% (WAC) due 08/15/50◊,7 | | | 21,739,710 | | | | 689,766 | |
Citigroup Commercial Mortgage Trust | | | | | | | | |
2016-C2, 1.74% (WAC) due 08/10/49◊,7 | | | 6,478,424 | | | | 380,718 | |
2016-GC37, 1.69% (WAC) due 04/10/49◊,7 | | | 3,103,452 | | | | 164,304 | |
GS Mortgage Securities Trust | | | | | | | | |
2017-GS6, 1.02% (WAC) due 05/10/50◊,7 | | | 11,286,902 | | | | 503,456 | |
BANK | | | | | | | | |
2017-BNK6, 0.80% (WAC) due 07/15/60◊,7 | | | 14,493,092 | | | | 457,099 | |
JPMBB Commercial Mortgage Securities Trust | | | | | | | | |
2013-C17, 0.72% (WAC) due 01/15/47◊,7 | | | 21,309,522 | | | | 215,254 | |
Total Commercial Mortgage Backed Securities | | | | | | | 108,344,646 | |
| | | | | | | | | |
Government Agency - 0.1% | | | | | | | | |
Freddie Mac Seasoned Credit Risk Transfer Trust | | | | | | | | |
2.00% due 05/25/60 | | | 3,728,835 | | | | 3,492,498 | |
2.00% due 11/25/59 | | | 2,158,498 | | | | 2,027,098 | |
Fannie Mae-Aces | | | | | | | | |
1.46% (WAC) due 03/25/35◊,7 | | | 8,073,664 | | | | 948,332 | |
24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
Freddie Mac Multifamily Structured Pass-Through Certificates | | | | | | | | |
0.33% (WAC) due 08/25/23◊,7 | | | 98,487,832 | | | $ | 419,351 | |
Total Government Agency | | | | | | | 6,887,279 | |
| | | | | | | | | |
Total Collateralized Mortgage Obligations | | | | |
(Cost $911,182,841) | | | 882,356,181 | |
| |
SENIOR FLOATING RATE INTERESTS††,◊ - 7.4% |
Industrial - 1.5% | | | | | | | | |
Berry Global, Inc. | | | | | | | | |
2.07% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26 | | | 22,295,417 | | | | 21,950,507 | |
SkyMiles IP Ltd. | | | | | | | | |
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 | | | 16,867,590 | | | | 17,392,004 | |
Mileage Plus Holdings LLC | | | | | | | | |
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | | | 9,455,500 | | | | 9,798,262 | |
Filtration Group Corp. | | | | | | | | |
3.46% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25 | | | 5,341,222 | | | | 5,257,204 | |
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25 | | EUR | 2,363,128 | | | | 2,567,879 | |
TransDigm, Inc. | | | | | | | | |
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/22/24 | | | 4,002,592 | | | | 3,940,072 | |
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25 | | | 1,825,710 | | | | 1,793,760 | |
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25 | | | 930,734 | | | | 912,994 | |
Harsco Corporation | | | | | | | | |
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 03/10/28 | | | 3,970,000 | | | | 3,862,492 | |
Charter Next Generation, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27 | | | 3,432,663 | | | | 3,411,209 | |
Tank Holdings Corp. | | | | | | | | |
3.46% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/26/26 | | | 1,955,000 | | | | 1,950,113 | |
Ravago Holdings America, Inc. | | | | | | �� | | |
3.50% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/06/28 | | | 1,980,000 | | | | 1,925,550 | |
TAMKO Building Products, Inc. | | | | | | | | |
3.52% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/29/26 | | | 1,777,215 | | | | 1,737,228 | |
Standard Industries, Inc. | | | | | | | | |
3.79% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 09/22/28 | | | 1,626,263 | | | | 1,621,384 | |
CPM Holdings, Inc. | | | | | | | | |
3.73% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/17/25 | | | 1,514,020 | | | | 1,489,417 | |
Cushman & Wakefield US Borrower LLC | | | | | | | | |
3.21% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25 | | | 1,378,396 | | | | 1,357,720 | |
NA Rail Hold Co. LLC | | | | | | | | |
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.25%) due 10/19/26 | | | 1,084,575 | | | | 1,083,219 | |
Park River Holdings, Inc. | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27 | | | 992,497 | | | | 969,282 | |
BWAY Holding Co. | | | | | | | | |
3.48% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | | | 783,547 | | | | 771,465 | |
Total Industrial | | | | | | | 83,791,761 | |
| | | | | | | | | |
Consumer, Cyclical - 1.4% | | | | | | | | |
BGIS (BIFM CA Buyer, Inc.) | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26††† | | | 11,812,805 | | | | 11,606,081 | |
Stars Group (Amaya) | | | | | | | | |
3.26% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26 | | | 11,538,883 | | | | 11,435,494 | |
AlixPartners, LLP | | | | | | | | |
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 02/04/28 | | | 9,925,000 | | | | 9,759,054 | |
Verisure Holding AB | | | | | | | | |
3.25% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28 | | EUR | 7,970,000 | | | | 8,602,785 | |
3.25% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26 | | EUR | 1,030,000 | | | | 1,113,761 | |
Go Daddy Operating Company LLC | | | | | | | | |
due 02/15/24 | | | 5,973,964 | | | | 5,926,650 | |
Amaya Holdings BV | | | | | | | | |
2.50% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 07/21/26 | | EUR | 4,500,000 | | | | 4,887,955 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
Truck Hero, Inc. | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 01/31/28 | | | 4,950,000 | | | $ | 4,789,125 | |
Packers Holdings LLC | | | | | | | | |
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28 | | | 4,218,080 | | | | 4,149,536 | |
Fertitta Entertainment LLC | | | | | | | | |
4.50% (1 Month USD Term SOFR + 4.00%, Rate Floor: 4.50%) due 01/27/29 | | | 3,950,000 | | | | 3,925,313 | |
New Trojan Parent, Inc. | | | | | | | | |
3.75% ((1 Month USD LIBOR + 3.25%) and (3 Month USD LIBOR + 3.25%), Rate Floor: 3.75%) due 01/06/28 | | | 2,729,375 | | | | 2,637,259 | |
Pacific Bells, LLC | | | | | | | | |
5.00% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 11/10/28††† | | | 2,566,763 | | | | 2,537,887 | |
Rent-A-Center, Inc. | | | | | | | | |
3.81% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28 | | | 2,257,938 | | | | 2,208,556 | |
Entain Holdings (Gibraltar) Ltd. | | | | | | | | |
3.74% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 03/29/27 | | | 1,488,750 | | | | 1,473,862 | |
Power Solutions (Panther) | | | | | | | | |
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26 | | | 1,394,593 | | | | 1,375,417 | |
PAI Holdco, Inc. | | | | | | | | |
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/28/27 | | | 1,091,750 | | | | 1,079,468 | |
Murphy Oil USA, Inc. | | | | | | | | |
2.25% (1 Month USD LIBOR + 1.75%, Rate Floor: 2.25%) due 01/31/28††† | | | 694,750 | | | | 694,750 | |
Samsonite IP Holdings SARL | | | | | | | | |
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/25/25 | | | 295,451 | | | | 287,696 | |
Cast & Crew Payroll LLC | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/26 | | | 67,756 | | | | 67,223 | |
Total Consumer, Cyclical | | | | | | | 78,557,872 | |
| | | | | | | | | |
Technology - 1.3% | | | | | | | | |
Project Boost Purchaser LLC | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26 | | | 13,150,625 | | | | 12,986,242 | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26 | | | 2,476,692 | | | | 2,446,897 | |
Conair Holdings LLC | | | | | | | | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28 | | | 9,950,000 | | | | 9,775,875 | |
Dun & Bradstreet | | | | | | | | |
3.56% (1 Month USD Term SOFR + 3.25%, Rate Floor: 3.25%) due 01/18/29 | | | 8,600,000 | | | | 8,514,000 | |
3.70% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26 | | | 724,778 | | | | 717,139 | |
Boxer Parent Company, Inc. | | | | | | | | |
4.76% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/02/25 | | | 7,230,249 | | | | 7,180,577 | |
Peraton Corp. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | | | 6,658,970 | | | | 6,602,769 | |
Polaris Newco LLC | | | | | | | | |
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28 | | | 6,560,264 | | | | 6,506,141 | |
Wrench Group LLC | | | | | | | | |
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/30/26 | | | 6,136,897 | | | | 6,075,528 | |
Sabre GLBL, Inc. | | | | | | | | |
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24 | | | 2,697,799 | | | | 2,652,287 | |
TIBCO Software, Inc. | | | | | | | | |
4.21% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26 | | | 2,065,849 | | | | 2,052,937 | |
MACOM Technology Solutions Holdings, Inc. | | | | | | | | |
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24 | | | 1,549,149 | | | | 1,527,848 | |
EXC Holdings III Corp. | | | | | | | | |
4.51% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 12/02/24 | | | 893,005 | | | | 886,308 | |
Upland Software, Inc. | | | | | | | | |
4.21% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26 | | | 544,825 | | | | 535,290 | |
Emerald TopCo, Inc. (Press Ganey) | | | | | | | | |
3.80% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 | | | 505,704 | | | | 498,357 | |
Total Technology | | | | | | | 68,958,195 | |
| | | | | | | | | |
26 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
Communications - 1.1% | | | | | | | | |
Internet Brands, Inc. | | | | | | | | |
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/13/24 | | | 14,068,108 | | | $ | 13,878,611 | |
Playtika Holding Corp. | | | | | | | | |
3.21% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28 | | | 10,494,000 | | | | 10,324,627 | |
WMG Acquisition Corp. | | | | | | | | |
2.58% (1 Month USD LIBOR + 2.13%, Rate Floor: 2.13%) due 01/20/28 | | | 10,000,000 | | | | 9,895,800 | |
Recorded Books, Inc. | | | | | | | | |
4.39% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/29/25 | | | 9,005,342 | | | | 8,919,070 | |
McGraw Hill LLC | | | | | | | | |
5.55% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28 | | | 6,965,000 | | | | 6,884,485 | |
UPC Broadband Holding BV | | | | | | | | |
3.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/31/29 | | | 5,850,000 | | | | 5,764,707 | |
Zayo Group Holdings, Inc. | | | | | | | | |
3.46% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27 | | | 1,500,000 | | | | 1,458,375 | |
Authentic Brands | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24 | | | 1,432,369 | | | | 1,419,234 | |
Altice US Finance I Corp. | | | | | | | | |
2.65% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/26 | | | 460,750 | | | | 453,839 | |
Ziggo Financing Partnership | | | | | | | | |
2.90% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28 | | | 400,000 | | | | 393,564 | |
Virgin Media Bristol LLC | | | | | | | | |
2.90% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28 | | | 200,000 | | | | 197,282 | |
Total Communications | | | | | | | 59,589,594 | |
| | | | | | | | | |
Financial - 0.9% | | | | | | | | |
Citadel Securities, LP | | | | | | | | |
2.93% (1 Month USD Term SOFR + 2.50%, Rate Floor: 2.50%) due 02/02/28 | | | 14,183,375 | | | | 14,089,623 | |
Trans Union LLC | | | | | | | | |
2.75% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28 | | | 6,643,778 | | | | 6,585,645 | |
Delos Finance SARL (International Lease Finance) | | | | | | | | |
2.76% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/06/23 | | | 6,076,000 | | | | 6,025,387 | |
USI, Inc. | | | | | | | | |
4.01% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24 | | | 5,942,588 | | | | 5,897,899 | |
HUB International Ltd. | | | | | | | | |
3.27% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25 | | | 4,982,404 | | | | 4,920,622 | |
5.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 04/25/25 | | | 980,100 | | | | 972,975 | |
Nexus Buyer LLC | | | | | | | | |
4.21% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 | | | 5,345,316 | | | | 5,287,854 | |
Jane Street Group LLC | | | | | | | | |
3.21% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28 | | | 4,591,875 | | | | 4,520,150 | |
Focus Financial Partners LLC | | | | | | | | |
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24 | | | 1,184,615 | | | | 1,167,095 | |
Total Financial | | | | | | | 49,467,250 | |
| | | | | | | | | |
Consumer, Non-cyclical - 0.7% | | | | | | | | |
Medline Borrower LP | | | | | | | | |
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 10/23/28 | | | 10,050,000 | | | | 9,944,475 | |
Icon Luxembourg SARL | | | | | | | | |
2.75% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 07/03/28 | | | 5,259,661 | | | | 5,230,102 | |
Spectrum Brands, Inc. | | | | | | | | |
2.50% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 03/03/28 | | | 4,950,000 | | | | 4,878,868 | |
Women’s Care Holdings, Inc. | | | | | | | | |
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28 | | | 4,694,525 | | | | 4,624,107 | |
Bombardier Recreational Products, Inc. | | | | | | | | |
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27 | | | 4,157,077 | | | | 4,072,896 | |
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 | | | | 3,822,010 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Face
Amount~ | | | Value | |
Hearthside Group Holdings LLC | | | | | | | | |
4.46% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25 | | | 2,073,214 | | | $ | 2,002,601 | |
Catalent Pharma Solutions, Inc. | | | | | | | | |
2.50% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 02/22/28 | | | 792,496 | | | | 790,515 | |
Agiliti | | | | | | | | |
3.00% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/04/26††† | | | 746,154 | | | | 740,558 | |
Aramark Services, Inc. | | | | | | | | |
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/11/25 | | | 700,000 | | | | 685,300 | |
EyeCare Partners LLC | | | | | | | | |
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27 | | | 493,750 | | | | 486,655 | |
Kronos Acquisition Holdings, Inc. | | | | | | | | |
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | | | 495,000 | | | | 459,939 | |
Froneri US, Inc. | | | | | | | | |
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27 | | | 442,125 | | | | 433,521 | |
Pearl Intermediate Parent LLC | | | | | | | | |
3.21% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 02/14/25 | | | 394,859 | | | | 389,430 | |
Outcomes Group Holdings, Inc. | | | | | | | | |
3.60% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/24/25 | | | 386,717 | | | | 378,259 | |
Utz Quality Foods LLC | | | | | | | | |
3.46% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/20/28 | | | 296,250 | | | | 291,623 | |
Valeant Pharmaceuticals International, Inc. | | | | | | | | |
3.46% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/02/25 | | | 256,688 | | | | 254,334 | |
Total Consumer, Non-cyclical | | | | | | | 39,485,193 | |
| | | | | | | | | |
Basic Materials - 0.4% | | | | | | | | |
Trinseo Materials Operating S.C.A. | | | | | | | | |
2.96% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28 | | | 11,016,750 | | | | 10,810,186 | |
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/06/24 | | | 493,573 | | | | 483,702 | |
INEOS Ltd. | | | | | | | | |
2.75% (1 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26 | | EUR | 8,100,000 | | | | 8,669,788 | |
GrafTech Finance, Inc. | | | | | | | | |
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25 | | | 814,339 | | | | 803,141 | |
Total Basic Materials | | | | | | | 20,766,817 | |
| | | | | | | | | |
Energy - 0.1% | | | | | | | | |
ITT Holdings LLC | | | | | | | | |
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28 | | | 2,935,250 | | | | 2,891,221 | |
DT Midstream, Inc. | | | | | | | | |
2.50% (6 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 06/26/28 | | | 1,990,000 | | | | 1,984,746 | |
Venture Global Calcasieu Pass LLC | | | | | | | | |
2.83% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26††† | | | 751,444 | | | | 747,687 | |
Total Energy | | | | | | | 5,623,654 | |
| | | | | | | | | |
Total Senior Floating Rate Interests | | | | |
(Cost $413,356,652) | | | 406,240,336 | |
| | | | | |
FOREIGN GOVERNMENT DEBT†† - 3.6% |
State of Israel |
0.75% due 07/31/22 | | ILS | 239,770,000 | | | | 75,365,313 | |
1.25% due 11/30/22 | | ILS | 233,849,000 | | | | 73,809,777 | |
Czech Republic |
0.10% due 04/17/22 | | CZK | 1,094,000,000 | | | | 49,430,567 | |
Total Foreign Government Debt | | | | |
(Cost $197,872,917) | | | | | | | 198,605,657 | |
| | | | | | | | | |
MUNICIPAL BONDS†† - 0.0% |
California - 0.0% | | | | | | | | |
California Public Finance Authority Revenue Bonds | | | | | | | | |
1.55% due 10/15/26 | | | 3,145,000 | | | | 2,925,021 | |
Total Municipal Bonds | | | | |
(Cost $3,145,000) | | | 2,925,021 | |
| |
COMMERCIAL PAPER††,11 - 0.7% |
Sonoco Products Co. |
0.27% due 04/01/22 | | | 15,000,000 | | | | 15,000,000 | |
0.50% due 04/04/22 | | | 10,000,000 | | | | 9,999,583 | |
McCormick & Co., Inc. |
0.50% due 04/04/225 | | | 15,000,000 | | | | 14,999,375 | |
Total Commercial Paper | | | | |
(Cost $39,998,958) | | | | | | | 39,998,958 | |
28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | Notional
Value | | | Value | |
OTC OPTIONS PURCHASED†† - 0.0% |
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 | | | $ | 66,261 | |
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | | | 177,800,000 | | | | 8,890 | |
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | | | 30,000,000 | | | | 3,900 | |
Total OTC Options Purchased | | | | |
(Cost $1,483,829) | | | | | | | 79,051 | |
| | | | | | | | | |
Total Investments - 99.9% | | | | |
(Cost $5,687,758,047) | | $ | 5,510,186,701 | |
| |
Contracts
| | | | |
LISTED OPTIONS WRITTEN† - 0.0% |
Call Options on: | | | | | | | | |
Equity Options | | | | | | | | |
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $68,864) | | | 32 | | | | (1,600 | ) |
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $71,016) | | | 33 | | | | (2,228 | ) |
Total Equity Options | | | | | | | (3,828 | ) |
| | | | | | | | | |
Total Listed Options Written | | | | |
(Premiums received $68,628) | | | | | | | (3,828 | ) |
| | | | | | | | | |
Other Assets & Liabilities, net - 0.1% | | | 5,677,317 | |
Total Net Assets - 100.0% | | $ | 5,515,860,190 | |
Centrally Cleared Credit Default Swap Agreements Protection Sold†† |
Counterparty | Exchange | Index | Protection
Premium
Rate | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid
(Received) | | | Unrealized
Depreciation** | |
BofA Securities, Inc. | ICE | CDX.NA.IG.33.V1 | 1.00% | | | Quarterly | | | | 12/20/24 | | | $ | 30,000,000 | | | $ | 404,574 | | | $ | 578,354 | | | $ | (173,780 | ) |
Centrally Cleared Interest Rate Swap Agreements†† |
| |
Counterparty | Exchange | Floating
Rate
Type | Floating
Rate
Index | | Fixed
Rate | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid
(Received) | | | Unrealized
Appreciation** | |
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.65% | Quarterly | 03/17/31 | | $ | 140,000,000 | | | $ | 8,846,173 | | | $ | 1,272 | | | $ | 8,844,901 | |
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 1.22% | Annually | 01/25/25 | | | 175,000,000 | | | | 5,291,921 | | | | 692 | | | | 5,291,229 | |
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 1.21% | Annually | 01/05/27 | | | 15,000,000 | | | | 683,240 | | | | 350 | | | | 682,890 | |
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 1.13% | Annually | 12/10/26 | | | 10,000,000 | | | | 501,361 | | | | 324 | | | | 501,037 | |
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 1.40% | Annually | 01/28/27 | | | 11,625,000 | | | | 429,599 | | | | 340 | | | | 429,259 | |
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 1.79% | Annually | 02/17/27 | | | 21,330,000 | | | | 415,677 | | | | 386 | | | | 415,291 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
Centrally Cleared Interest Rate Swap Agreements†† |
| |
Counterparty | Exchange | Floating
Rate
Type | Floating
Rate
Index | | Fixed
Rate | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid
(Received) | | | Unrealized
Appreciation** | |
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 1.47% | Annually | 02/02/27 | | $ | 1,450,000 | | | $ | 49,083 | | | $ | 297 | | | $ | 48,786 | |
| | | | | | | | | | | | | | | | | | | $ | 16,217,054 | | | $ | 3,661 | | | $ | 16,213,393 | |
Forward Foreign Currency Exchange Contracts†† |
Counterparty | | Currency | | | Type | | | Quantity | | | Contract
Amount | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
JPMorgan Chase Bank, N.A. | | | EUR | | | | Sell | | | | 1,030,000 | | 1,146,246 USD | | | 06/30/22 | | | $ | 2,385 | |
UBS AG | | | CZK | | | | Sell | | | | 164,100 | | 7,009 USD | | | 04/28/22 | | | | (418 | ) |
Barclays Bank plc | | | CZK | | | | Sell | | | | 1,095,094,000 | | 49,547,796 USD | | | 04/19/22 | | | | (62,054 | ) |
UBS AG | | | ILS | | | | Sell | | | | 82,823,513 | | 26,227,630 USD | | | 11/30/22 | | | | (117,487 | ) |
Barclays Bank plc | | | ILS | | | | Sell | | | | 153,948,600 | | 48,811,136 USD | | | 11/30/22 | | | | (157,976 | ) |
UBS AG | | | ILS | | | | Sell | | | | 94,203,167 | | 29,213,998 USD | | | 08/01/22 | | | | (504,812 | ) |
Bank of America, N.A. | | | EUR | | | | Sell | | | | 47,765,000 | | 52,164,873 USD | | | 04/14/22 | | | | (705,921 | ) |
Goldman Sachs International | | | ILS | | | | Sell | | | | 147,370,024 | | 45,686,215 USD | | | 08/01/22 | | | | (805,447 | ) |
| | | | | | | | | | | | | | | | | | | | | | | $ | (2,351,730 | ) |
~ | 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. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
1 | Special Purpose Acquisition Company (SPAC). |
2 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
3 | Affiliated issuer. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
5 | 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 $3,335,356,736 (cost $3,463,387,858), or 60.5% of total net assets. |
6 | Perpetual maturity. |
7 | Security is an interest-only strip. |
8 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
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 $66,704,764 (cost $68,348,872), or 1.2% of total net assets — See Note 9. |
10 | 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 March 31, 2022. See table below for additional step information for each security. |
11 | Rate indicated is the effective yield at the time of purchase. |
| | BofA — Bank of America |
| | CDX.NA.IG.33.V1 — Credit Default Swap North American Investment Grade Series 33 Index Version 1 |
| | CME — Chicago Mercantile Exchange |
| | CMS — Constant Maturity Swap |
| | CZK — Czech Koruna |
| | EUR — Euro |
| | EURIBOR — European Interbank Offered Rate |
| | ICE — Intercontinental Exchange |
| | ILS — Israeli New Shekel |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION FUND | |
| | REMIC — Real Estate Mortgage Investment Conduit |
| | REIT — Real Estate Investment Trust |
| | SARL — Société à Responsabilité Limitée |
| | SOFR — Secured Overnight Financing Rate |
| | WAC — Weighted Average Coupon |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 19,748,818 | | | $ | — | | | $ | — | | | $ | 19,748,818 | |
Preferred Stocks | | | — | | | | 30,661,545 | | | | — | | | | 30,661,545 | |
Warrants | | | 269,742 | | | | — | | | | — | | | | 269,742 | |
Mutual Funds | | | 88,113,947 | | | | — | | | | — | | | | 88,113,947 | |
Money Market Fund | | | 161,782,598 | | | | — | | | | — | | | | 161,782,598 | |
Corporate Bonds | | | — | | | | 1,849,390,963 | | | | 37,220,653 | | | | 1,886,611,616 | |
Asset-Backed Securities | | | — | | | | 1,530,242,783 | | | | 262,550,448 | | | | 1,792,793,231 | |
Collateralized Mortgage Obligations | | | — | | | | 857,607,090 | | | | 24,749,091 | | | | 882,356,181 | |
Senior Floating Rate Interests | | | — | | | | 389,913,373 | | | | 16,326,963 | | | | 406,240,336 | |
Foreign Government Debt | | | — | | | | 198,605,657 | | | | — | | | | 198,605,657 | |
Municipal Bonds | | | — | | | | 2,925,021 | | | | — | | | | 2,925,021 | |
Commercial Paper | | | — | | | | 39,998,958 | | | | — | | | | 39,998,958 | |
Options Purchased | | | — | | | | 79,051 | | | | — | | | | 79,051 | |
Interest Rate Swap Agreements** | | | — | | | | 16,213,393 | | | | — | | | | 16,213,393 | |
Forward Foreign Currency Exchange Contracts** | | | — | | | | 2,385 | | | | — | | | | 2,385 | |
Total Assets | | $ | 269,915,105 | | | $ | 4,915,640,219 | | | $ | 340,847,155 | | | $ | 5,526,402,479 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Options Written | | $ | 3,828 | | | $ | — | | | $ | — | | | $ | 3,828 | |
Credit Default Swap Agreements** | | | — | | | | 173,780 | | | | — | | | | 173,780 | |
Forward Foreign Currency Exchange Contracts** | | | — | | | | 2,354,115 | | | | — | | | | 2,354,115 | |
Unfunded Loan Commitments (Note 8) | | | — | | | | — | | | | 753 | | | | 753 | |
Total Liabilities | | $ | 3,828 | | | $ | 2,527,895 | | | $ | 753 | | | $ | 2,532,476 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
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
March 31, 2022 | | Valuation Technique | Unobservable
Inputs | Input
Range | Weighted
Average* |
Assets: | | | | | | | | |
Asset-Backed Securities | | $ | 183,863,364 | | Third Party Pricing | Broker Quote | — | — |
Asset-Backed Securities | | | 69,344,658 | | Option adjusted spread off prior month end broker quote | Broker Quote | — | — |
Asset-Backed Securities | | | 6,654,426 | | Yield Analysis | Yield | 4.8% | — |
Asset-Backed Securities | | | 2,688,000 | | Third Party Pricing | Trade Price | — | — |
Collateralized Mortgage Obligations | | | 24,749,091 | | Model Price | Market Comparable Yields | 4.7% | — |
Corporate Bonds | | | 20,886,115 | | Yield Analysis | Yield | 4.4% - 4.7% | 4.5% |
Corporate Bonds | | | 16,334,538 | | Option adjusted spread off prior month end broker quote | Broker Quote | — | — |
Senior Floating Rate Interests | | | 16,326,963 | | Third Party Pricing | Broker Quote | — | — |
Total Assets | | $ | 340,847,155 | | | | | |
Liabilities: | | | | | | | | |
Unfunded Loan Commitments | | $ | 753 | | Model Price | Purchase Price | — | — |
* | Inputs are weighted by the fair value of the instruments. |
Significant changes in a quote, yield, market comparable yields 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 period ended March 31, 2022, the Fund had securities with a total value of $99,290,480 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $886,308 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 SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | March 31, 2022 |
LIMITED DURATION 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 period ended March 31, 2022:
| | | Assets | | | | | | | Liabilities | |
| | Asset-Backed
Securities | | | Collateralized
Mortgage
Obligations | | | Corporate
Bonds | | | Senior
Floating Rate
Interests | | | Total Assets | | | Unfunded
Loan
Commitments | |
Beginning Balance | | $ | 154,979,007 | | | $ | 15,055,608 | | | $ | 29,476,831 | | | $ | 11,578,109 | | | $ | 211,089,555 | | | $ | (28,373 | ) |
Purchases/(Receipts) | | | 103,238,000 | | | | — | | | | 9,960,000 | | | | 2,857,013 | | | | 116,055,013 | | | | (268 | ) |
(Sales, maturities and paydowns)/Fundings | | | (55,404,751 | ) | | | (15,055,608 | ) | | | (545,610 | ) | | | (10,368,827 | ) | | | (81,374,796 | ) | | | 37,237 | |
Amortization of premiums/discounts | | | 51,010 | | | | (34 | ) | | | (77,938 | ) | | | 98,769 | | | | 71,807 | | | | — | |
Total realized gains (losses) included in earnings | | | 61,573 | | | | (7,042 | ) | | | — | | | | 26,909 | | | | 81,440 | | | | — | |
Total change in unrealized appreciation (depreciation) included in earnings | | | (1,874,391 | ) | | | 7,076 | | | | (1,592,630 | ) | | | (20,091 | ) | | | (3,480,036 | ) | | | (9,349 | ) |
Transfers into Level 3 | | | 61,500,000 | | | | 24,749,091 | | | | — | | | | 13,041,389 | | | | 99,290,480 | | | | — | |
Transfers out of Level 3 | | | — | | | | — | | | | — | | | | (886,308 | ) | | | (886,308 | ) | | | — | |
Ending Balance | | $ | 262,550,448 | | | $ | 24,749,091 | | | $ | 37,220,653 | | | $ | 16,326,963 | | | $ | 340,847,155 | | | $ | (753 | ) |
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2022 | | $ | (1,874,391 | ) | | $ | — | | | $ | (1,592,630 | ) | | $ | 30,647 | | | $ | (3,436,374 | ) | | $ | (4,794 | ) |
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 Reset Date | | | Next Rate Reset Date | | | Future Reset Rate | | | Future Reset Date | |
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70 | | | 6.13 | % | | | 01/30/25 | | | | — | | | | — | |
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, 1.41% due 05/25/65 | | | 2.41 | % | | | 09/26/24 | | | | — | | | | — | |
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, 1.65% due 11/25/60 | | | 4.65 | % | | | 08/26/24 | | | | 5.65 | % | | | 08/26/25 | |
Legacy Mortgage Asset Trust 2021-GS5, 2.25% due 07/25/67 | | | 5.25 | % | | | 11/26/24 | | | | 6.25 | % | | | 11/26/25 | |
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 | | | 5.12 | % | | | 06/26/24 | | | | 6.12 | % | | | 06/26/25 | |
PRPM LLC 2022-1, 3.72% due 02/25/27 | | | 6.72 | % | | | 02/26/25 | | | | 7.72 | % | | | 02/26/26 | |
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 2019-4, 2.64% due 11/25/59 | | | 3.64 | % | | | 10/26/23 | | | | — | | | | — | |
Verus Securitization Trust 2020-5, 1.58% due 05/25/65 | | | 2.58 | % | | | 10/26/24 | | | | — | | | | — | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | March 31, 2022 |
LIMITED DURATION FUND | |
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, 2021, 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/1601445/000182126821000490/gugg83048-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 period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
09/30/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 29,873,632 | | | $ | 219,652 | | | $ | — | | | $ | — | | | $ | (528,230 | ) | | $ | 29,565,054 | | | | 1,204,279 | | | $ | 219,650 | |
Guggenheim Strategy Fund III | | | 30,067,520 | | | | 237,134 | | | | — | | | | — | | | | (600,853 | ) | | | 29,703,801 | | | | 1,205,511 | | | | 237,133 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 29,235,779 | | | | 138,442 | | | | — | | | | — | | | | (529,129 | ) | | | 28,845,092 | | | | 2,946,383 | | | | 138,444 | |
| | | $ | 89,176,931 | | | $ | 595,228 | | | $ | — | | | $ | — | | | $ | (1,658,212 | ) | | $ | 88,113,947 | | | | | | | $ | 595,227 | |
34 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $5,599,544,165) | | $ | 5,422,072,754 | |
Investments in affiliated issuers, at value (cost $88,213,882) | | | 88,113,947 | |
Foreign currency, at value (cost 190,057) | | | 189,545 | |
Cash | | | 2,448,413 | |
Segregated cash with broker | | | 14,665,000 | |
Unamortized upfront premiums paid on credit default swap agreements | | | 578,354 | |
Unamortized upfront premiums paid on interest rate swap agreements | | | 3,661 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 2,385 | |
Prepaid expenses | | | 349,364 | |
Receivables: |
Fund shares sold | | | 22,222,372 | |
Interest | | | 21,362,979 | |
Dividends | | | 110,103 | |
Securities sold | | | 25,162 | |
Foreign tax reclaims | | | 19,312 | |
Protection fees on credit default swap agreements | | | 10,000 | |
Variation margin on credit default swap agreements | | | 3,787 | |
Investment Adviser | | | 25 | |
Total assets | | | 5,572,177,163 | |
| | | | | |
Liabilities: |
Unfunded loan commitments, at value (Note 8) (commitment fees received $7,722) | | | 753 | |
Options written, at value (premiums received $68,628) | | | 3,828 | |
Segregated cash due to broker | | | 213,364 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 2,354,115 | |
Payable for: |
Securities purchased | | | 33,127,473 | |
Fund shares redeemed | | | 16,985,325 | |
Distributions to shareholders | | | 1,388,177 | |
Variation margin on interest rate swap agreements | | | 1,021,148 | |
Management fees | | | 424,782 | |
Fund accounting/administration fees | | | 313,331 | |
Distribution and service fees | | | 242,887 | |
Transfer agent/maintenance fees | | | 87,880 | |
Trustees’ fees* | | | 1,089 | |
Miscellaneous | | | 152,821 | |
Total liabilities | | | 56,316,973 | |
Net assets | | $ | 5,515,860,190 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 5,677,524,017 | |
Total distributable earnings (loss) | | | (161,663,827 | ) |
Net assets | | $ | 5,515,860,190 | |
| | | | | |
A-Class: |
Net assets | | $ | 707,426,149 | |
Capital shares outstanding | | | 28,919,259 | |
Net asset value per share | | $ | 24.46 | |
Maximum offering price per share (Net asset value divided by 97.75%) | | $ | 25.02 | |
| | | | | |
C-Class: |
Net assets | | $ | 77,646,740 | |
Capital shares outstanding | | | 3,176,202 | |
Net asset value per share | | $ | 24.45 | |
| | | | | |
P-Class: |
Net assets | | $ | 82,924,979 | |
Capital shares outstanding | | | 3,389,956 | |
Net asset value per share | | $ | 24.46 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 4,615,635,868 | |
Capital shares outstanding | | | 188,720,696 | |
Net asset value per share | | $ | 24.46 | |
| | | | | |
R6-Class: |
Net assets | | $ | 32,226,454 | |
Capital shares outstanding | | | 1,318,384 | |
Net asset value per share | | $ | 24.44 | |
* | 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 SEMI-ANNUAL REPORT | 35 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended March 31, 2022 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 1,677,247 | |
Dividends from securities of affiliated issuers | | | 595,227 | |
Interest | | | 58,525,699 | |
Total investment income | | | 60,798,173 | |
| | | | | |
Expenses: |
Management fees | | | 11,607,737 | |
Distribution and service fees: |
A-Class | | | 1,007,758 | |
C-Class | | | 418,355 | |
P-Class | | | 149,171 | |
Transfer agent/maintenance fees: |
A-Class | | | 226,416 | |
C-Class | | | 39,301 | |
P-Class | | | 113,855 | |
Institutional Class | | | 2,283,970 | |
R6-Class | | | 428 | |
Fund accounting/administration fees | | | 1,929,003 | |
Line of credit fees | | | 131,918 | |
Professional fees | | | 126,391 | |
Custodian fees | | | 74,044 | |
Trustees’ fees* | | | 30,108 | |
Miscellaneous | | | 204,449 | |
Recoupment of previously waived fees: |
A-Class | | | 14,211 | |
R6-Class | | | 2,952 | |
Total expenses | | | 18,360,067 | |
Less: |
Expenses reimbursed by Adviser: |
A-Class | | | (158,342 | ) |
C-Class | | | (32,301 | ) |
P-Class | | | (103,413 | ) |
Institutional Class | | | (1,865,512 | ) |
R6-Class | | | (142 | ) |
Expenses waived by Adviser | | | (93,010 | ) |
Earnings credit applied | | | (6,419 | ) |
Total waived/reimbursed expenses | | | (2,259,139 | ) |
Net expenses | | | 16,100,928 | |
Net investment income | | | 44,697,245 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (7,884,563 | ) |
Investments sold short | | | 187,008 | |
Swap agreements | | | 12,433,213 | |
Options purchased | | | (5,385,210 | ) |
Options written | | | 2,525,241 | |
Forward foreign currency exchange contracts | | | 5,670,879 | |
Foreign currency transactions | | | 311,940 | |
Net realized gain | | | 7,858,508 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (216,011,442 | ) |
Investments in affiliated issuers | | | (1,658,212 | ) |
Investments sold short | | | (197,620 | ) |
Swap agreements | | | 14,033,528 | |
Options purchased | | | (4,175,696 | ) |
Options written | | | (444,643 | ) |
Forward foreign currency exchange contracts | | | (3,623,514 | ) |
Foreign currency translations | | | (20,789 | ) |
Net change in unrealized appreciation (depreciation) | | | (212,098,388 | ) |
Net realized and unrealized loss | | | (204,239,880 | ) |
Net decrease in net assets resulting from operations | | $ | (159,542,635 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 44,697,245 | | | $ | 75,023,145 | |
Net realized gain on investments | | | 7,858,508 | | | | 39,432,273 | |
Net change in unrealized appreciation (depreciation) on investments | | | (212,098,388 | ) | | | (41,106,516 | ) |
Net increase (decrease) in net assets resulting from operations | | | (159,542,635 | ) | | | 73,348,902 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (8,345,975 | ) | | | (15,056,137 | ) |
C-Class | | | (547,533 | ) | | | (1,100,964 | ) |
P-Class | | | (1,261,197 | ) | | | (3,167,298 | ) |
Institutional Class | | | (56,883,109 | ) | | | (82,692,217 | ) |
R6-Class | | | (457,116 | ) | | | (842,004 | ) |
Total distributions to shareholders | | | (67,494,930 | ) | | | (102,858,620 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 89,159,056 | | | | 537,507,580 | |
C-Class | | | 6,506,942 | | | | 27,038,454 | |
P-Class | | | 28,266,676 | | | | 68,322,487 | |
Institutional Class | | | 1,374,511,821 | | | | 3,456,236,145 | |
R6-Class | | | 4,089,078 | | | | 23,737,430 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 6,960,333 | | | | 12,214,080 | |
C-Class | | | 442,555 | | | | 884,729 | |
P-Class | | | 1,256,992 | | | | 3,160,020 | |
Institutional Class | | | 46,749,721 | | | | 65,470,318 | |
R6-Class | | | 457,048 | | | | 841,976 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (213,631,435 | ) | | | (314,667,489 | ) |
C-Class | | | (16,313,424 | ) | | | (23,334,185 | ) |
P-Class | | | (97,784,598 | ) | | | (65,716,372 | ) |
Institutional Class | | | (1,578,605,449 | ) | | | (1,449,568,811 | ) |
R6-Class | | | (15,121,076 | ) | | | (11,439,188 | ) |
Net increase (decrease) from capital share transactions | | | (363,055,760 | ) | | | 2,330,687,174 | |
Net increase (decrease) in net assets | | | (590,093,325 | ) | | | 2,301,177,456 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 6,105,953,515 | | | | 3,804,776,059 | |
End of period | | $ | 5,515,860,190 | | | $ | 6,105,953,515 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37 |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
| | Six Months Ended
March 31, 2022
(Unaudited) | | | Year Ended
September 30,
2021 | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 3,549,300 | | | | 21,056,345 | |
C-Class | | | 261,080 | | | | 1,059,662 | |
P-Class | | | 1,124,519 | | | | 2,677,514 | |
Institutional Class | | | 54,910,113 | | | | 135,555,309 | |
R6-Class | | | 163,351 | | | | 931,064 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 277,905 | | | | 478,808 | |
C-Class | | | 17,662 | | | | 34,690 | |
P-Class | | | 50,125 | | | | 123,858 | |
Institutional Class | | | 1,867,576 | | | | 2,567,621 | |
R6-Class | | | 18,254 | | | | 33,034 | |
Shares redeemed | | | | | | | | |
A-Class | | | (8,557,111 | ) | | | (12,344,754 | ) |
C-Class | | | (652,945 | ) | | | (915,145 | ) |
P-Class | | | (3,899,492 | ) | | | (2,577,262 | ) |
Institutional Class | | | (63,213,875 | ) | | | (56,850,821 | ) |
R6-Class | | | (604,346 | ) | | | (448,608 | ) |
Net increase (decrease) in shares | | | (14,687,884 | ) | | | 91,381,315 | |
38 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months
Ended
March 31, 2022a | | | Year Ended
September
30,
2021 | | | Year Ended
September
30,
2020 | | | Year Ended
September
30,
2019 | | | Year Ended
September
30,
2018 | | | Year Ended
September
30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.42 | | | $ | 25.57 | | | $ | 24.68 | | | $ | 24.70 | | | $ | 24.86 | | | $ | 24.71 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .16 | | | | .34 | | | | .40 | | | | .54 | | | | .51 | | | | .53 | |
Net gain (loss) on investments (realized and unrealized) | | | (.87 | ) | | | .01 | j | | | .94 | | | | .01 | | | | (.09 | ) | | | .20 | |
Total from investment operations | | | (.71 | ) | | | .35 | | | | 1.34 | | | | .55 | | | | .42 | | | | .73 | |
Less distributions from: |
Net investment income | | | (.16 | ) | | | (.38 | ) | | | (.45 | ) | | | (.57 | ) | | | (.57 | ) | | | (.58 | ) |
Net realized gains | | | (.09 | ) | | | (.12 | ) | | | — | | | | — | c | | | (.01 | ) | | | — | c |
Total distributions | | | (.25 | ) | | | (.50 | ) | | | (.45 | ) | | | (.57 | ) | | | (.58 | ) | | | (.58 | ) |
Net asset value, end of period | | $ | 24.46 | | | $ | 25.42 | | | $ | 25.57 | | | $ | 24.68 | | | $ | 24.70 | | | $ | 24.86 | |
|
Total Returnd | | | (2.78 | %) | | | 1.38 | % | | | 5.51 | % | | | 2.27 | % | | | 1.69 | % | | | 2.95 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 707,426 | | | $ | 855,473 | | | $ | 625,386 | | | $ | 570,353 | | | $ | 627,570 | | | $ | 509,410 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.30 | % | | | 1.32 | % | | | 1.60 | % | | | 2.18 | % | | | 2.07 | % | | | 2.14 | % |
Total expensese | | | 0.78 | % | | | 0.79 | % | | | 0.84 | % | | | 0.83 | % | | | 0.81 | % | | | 0.86 | % |
Net expensesf,g,h | | | 0.74 | % | | | 0.74 | % | | | 0.77 | % | | | 0.75 | % | | | 0.75 | % | | | 0.81 | % |
Portfolio turnover rate | | | 13 | % | | | 80 | % | | | 123 | % | | | 72 | % | | | 45 | % | | | 55 | % |
C-Class | | Six Months
Ended
March 31, 2022a | | | Year Ended
September
30,
2021 | | | Year Ended
September
30,
2020 | | | Year Ended
September
30,
2019 | | | Year Ended
September
30,
2018 | | | Year Ended
September
30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.41 | | | $ | 25.55 | | | $ | 24.66 | | | $ | 24.68 | | | $ | 24.84 | | | $ | 24.70 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .07 | | | | .15 | | | | .21 | | | | .35 | | | | .33 | | | | .35 | |
Net gain (loss) on investments (realized and unrealized) | | | (.87 | ) | | | .02 | j | | | .95 | | | | .02 | | | | (.10 | ) | | | .18 | |
Total from investment operations | | | (.80 | ) | | | .17 | | | | 1.16 | | | | .37 | | | | .23 | | | | .53 | |
Less distributions from: |
Net investment income | | | (.07 | ) | | | (.19 | ) | | | (.27 | ) | | | (.39 | ) | | | (.38 | ) | | | (.39 | ) |
Net realized gains | | | (.09 | ) | | | (.12 | ) | | | — | | | | — | c | | | (.01 | ) | | | — | c |
Total distributions | | | (.16 | ) | | | (.31 | ) | | | (.27 | ) | | | (.39 | ) | | | (.39 | ) | | | (.39 | ) |
Net asset value, end of period | | $ | 24.45 | | | $ | 25.41 | | | $ | 25.55 | | | $ | 24.66 | | | $ | 24.68 | | | $ | 24.84 | |
|
Total Returnd | | | (3.15 | %) | | | 0.67 | % | | | 4.72 | % | | | 1.51 | % | | | 0.94 | % | | | 2.18 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 77,647 | | | $ | 90,205 | | | $ | 86,143 | | | $ | 85,100 | | | $ | 70,981 | | | $ | 50,743 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.56 | % | | | 0.58 | % | | | 0.85 | % | | | 1.42 | % | | | 1.34 | % | | | 1.41 | % |
Total expensese | | | 1.57 | % | | | 1.58 | % | | | 1.61 | % | | | 1.60 | % | | | 1.59 | % | | | 1.65 | % |
Net expensesf,g,h | | | 1.49 | % | | | 1.49 | % | | | 1.52 | % | | | 1.50 | % | | | 1.51 | % | | | 1.56 | % |
Portfolio turnover rate | | | 13 | % | | | 80 | % | | | 123 | % | | | 72 | % | | | 45 | % | | | 55 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39 |
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 | | Six Months
Ended
March 31, 2022a | | | Year Ended
September
30,
2021 | | | Year Ended
September
30,
2020 | | | Year Ended
September
30,
2019 | | | Year Ended
September
30,
2018 | | | Year Ended
September
30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.42 | | | $ | 25.57 | | | $ | 24.68 | | | $ | 24.70 | | | $ | 24.86 | | | $ | 24.72 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .16 | | | | .34 | | | | .40 | | | | .54 | | | | .52 | | | | .47 | |
Net gain (loss) on investments (realized and unrealized) | | | (.87 | ) | | | .01 | j | | | .94 | | | | .01 | | | | (.10 | ) | | | .24 | |
Total from investment operations | | | (.71 | ) | | | .35 | | | | 1.34 | | | | .55 | | | | .42 | | | | .71 | |
Less distributions from: |
Net investment income | | | (.16 | ) | | | (.38 | ) | | | (.45 | ) | | | (.57 | ) | | | (.57 | ) | | | (.57 | ) |
Net realized gains | | | (.09 | ) | | | (.12 | ) | | | — | | | | — | c | | | (.01 | ) | | | — | c |
Total distributions | | | (.25 | ) | | | (.50 | ) | | | (.45 | ) | | | (.57 | ) | | | (.58 | ) | | | (.57 | ) |
Net asset value, end of period | | $ | 24.46 | | | $ | 25.42 | | | $ | 25.57 | | | $ | 24.68 | | | $ | 24.70 | | | $ | 24.86 | |
|
Total Return | | | (2.78 | %) | | | 1.38 | % | | | 5.50 | % | | | 2.27 | % | | | 1.69 | % | | | 2.93 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 82,925 | | | $ | 155,465 | | | $ | 150,623 | | | $ | 108,691 | | | $ | 189,965 | | | $ | 92,503 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.29 | % | | | 1.33 | % | | | 1.60 | % | | | 2.18 | % | | | 2.12 | % | | | 1.89 | % |
Total expensese | | | 0.91 | % | | | 0.83 | % | | | 0.90 | % | | | 0.88 | % | | | 0.87 | % | | | 0.92 | % |
Net expensesf,g,h | | | 0.74 | % | | | 0.74 | % | | | 0.77 | % | | | 0.75 | % | | | 0.75 | % | | | 0.81 | % |
Portfolio turnover rate | | | 13 | % | | | 80 | % | | | 123 | % | | | 72 | % | | | 45 | % | | | 55 | % |
Institutional Class | | Six Months
Ended
March 31, 2022a | | | Year Ended
September
30,
2021 | | | Year Ended
September
30,
2020 | | | Year Ended
September
30,
2019 | | | Year Ended
September
30,
2018 | | | Year Ended
September
30,
2017 | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.42 | | | $ | 25.56 | | | $ | 24.67 | | | $ | 24.69 | | | $ | 24.85 | | | $ | 24.71 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .19 | | | | .40 | | | | .46 | | | | .60 | | | | .58 | | | | .59 | |
Net gain (loss) on investments (realized and unrealized) | | | (.86 | ) | | | .03 | j | | | .95 | | | | .01 | | | | (.11 | ) | | | .19 | |
Total from investment operations | | | (.67 | ) | | | .43 | | | | 1.41 | | | | .61 | | | | .47 | | | | .78 | |
Less distributions from: |
Net investment income | | | (.20 | ) | | | (.45 | ) | | | (.52 | ) | | | (.63 | ) | | | (.62 | ) | | | (.64 | ) |
Net realized gains | | | (.09 | ) | | | (.12 | ) | | | — | | | | — | c | | | (.01 | ) | | | — | c |
Total distributions | | | (.29 | ) | | | (.57 | ) | | | (.52 | ) | | | (.63 | ) | | | (.63 | ) | | | (.64 | ) |
Net asset value, end of period | | $ | 24.46 | | | $ | 25.42 | | | $ | 25.56 | | | $ | 24.67 | | | $ | 24.69 | | | $ | 24.85 | |
|
Total Return | | | (2.66 | %) | | | 1.67 | % | | | 5.77 | % | | | 2.52 | % | | | 1.95 | % | | | 3.21 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,615,636 | | | $ | 4,960,578 | | | $ | 2,911,309 | | | $ | 2,421,315 | | | $ | 2,629,316 | | | $ | 1,637,509 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.56 | % | | | 1.58 | % | | | 1.85 | % | | | 2.43 | % | | | 2.35 | % | | | 2.36 | % |
Total expensese | | | 0.57 | % | | | 0.56 | % | | | 0.59 | % | | | 0.57 | % | | | 0.56 | % | | | 0.61 | % |
Net expensesf,g,h | | | 0.49 | % | | | 0.49 | % | | | 0.52 | % | | | 0.50 | % | | | 0.50 | % | | | 0.56 | % |
Portfolio turnover rate | | | 13 | % | | | 80 | % | | | 123 | % | | | 72 | % | | | 45 | % | | | 55 | % |
40 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months
Ended
March 31, 2022a | | | Year Ended
September
30,
2021 | | | Year Ended
September
30,
2020 | | | Period
Ended
September
30,
2019i | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.40 | | | $ | 25.55 | | | $ | 24.66 | | | $ | 24.58 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .19 | | | | .40 | | | | .48 | | | | .31 | |
Net gain (loss) on investments (realized and unrealized) | | | (.86 | ) | | | .02 | j | | | .93 | | | | .14 | |
Total from investment operations | | | (.67 | ) | | | .42 | | | | 1.41 | | | | .45 | |
Less distributions from: |
Net investment income | | | (.20 | ) | | | (.45 | ) | | | (.52 | ) | | | (.37 | ) |
Net realized gains | | | (.09 | ) | | | (.12 | ) | | | — | | | | — | |
Total distributions | | | (.29 | ) | | | (.57 | ) | | | (.52 | ) | | | (.37 | ) |
Net asset value, end of period | | $ | 24.44 | | | $ | 25.40 | | | $ | 25.55 | | | $ | 24.66 | |
|
Total Return | | | (2.66 | %) | | | 1.64 | % | | | 5.78 | % | | | 1.83 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 32,226 | | | $ | 44,232 | | | $ | 31,315 | | | $ | 314,764 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.55 | % | | | 1.58 | % | | | 1.96 | % | | | 2.24 | % |
Total expensese | | | 0.49 | % | | | 0.49 | % | | | 0.53 | % | | | 0.51 | % |
Net expensesf,g,h | | | 0.49 | % | | | 0.49 | % | | | 0.52 | % | | | 0.50 | % |
Portfolio turnover rate | | | 13 | % | | | 80 | % | | | 123 | % | | | 72 | % |
a | Unaudited figures for the period ended March 31, 2022. 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 | Total return does not reflect the impact of any applicable sales charges. |
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 periods presented was as follows: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 |
| | A-Class | 0.00%* | — | 0.00%* | 0.00%* | — |
| | C-Class | — | — | 0.00%* | — | — |
| | P-Class | — | — | 0.00%* | 0.00%* | — |
| | Institutional Class | — | — | 0.00%* | 0.00%* | — |
| | R6-Class | 0.02% | 0.01% | 0.00%* | 0.00%*,i | — |
h | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods presented would be: |
| | | 03/31/22a | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
| | A-Class | 0.73% | 0.73% | 0.75% | 0.75% | 0.75% | 0.79% |
| | C-Class | 1.48% | 1.48% | 1.50% | 1.50% | 1.50% | 1.54% |
| | P-Class | 0.73% | 0.73% | 0.75% | 0.75% | 0.75% | 0.79% |
| | Institutional Class | 0.48% | 0.48% | 0.50% | 0.50% | 0.50% | 0.54% |
| | R6-Class | 0.48% | 0.48% | 0.50% | 0.50%i | N/A | N/A |
i | Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
j | 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 SEMI-ANNUAL REPORT | 41 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
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 March 31, 2022, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Limited Duration Fund (the “Fund”), a diversified investment company. At March 31, 2022, 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.
42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 SEMI-ANNUAL REPORT | 43 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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.
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.
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
44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 March 31, 2022, 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.
(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
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 period ended March 31, 2022, 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 0.33% at March 31, 2022.
(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.
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.
46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 | | $ | 717,500,000 | | | $ | — | |
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 | | $ | 167,743 | | | $ | 33,619,274 | |
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
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 47 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 | | $ | — | | | $ | 160,184,255 | |
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 | | $ | 201,437,500 | | | $ | 255,072,500 | |
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.
48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 | | $ | 25,000,000 | | | $ | (6,166,667 | ) |
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 | | $ | 9,309,898 | | | $ | 301,149,344 | |
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 March 31, 2022:
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 | Variation margin on interest rate swap agreements |
Credit default swap contracts | Unamortized upfront premiums paid on credit default swap agreements Variation margin on credit default 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 Fund’s derivative investments categorized by primary risk exposure at March 31, 2022:
Asset Derivative Investments Value |
| | Swaps
Interest
Rate Risk* | | | Swaps
Credit
Risk* | | | Options
Written
Equity
Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Options
Purchased
Interest
Rate Risk | | | Total Value at
March 31,
2022 | |
| | | $ | 16,213,393 | | | $ | — | | | $ | — | | | $ | 2,385 | | | $ | 79,051 | | | $ | 16,294,829 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 49 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Liability Derivative Investments Value |
| | Swaps
Interest
Rate Risk* | | | Swaps
Credit
Risk* | | | Options
Written
Equity
Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Options
Purchased
Interest
Rate Risk | | | Total Value at
March 31,
2022 | |
| | | $ | — | | | $ | 173,780 | | | $ | 3,828 | | | $ | 2,354,115 | | | $ | — | | | $ | 2,531,723 | |
* | 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 period ended March 31, 2022:
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 realized gain (loss) on options written 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 period ended March 31, 2022:
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations |
| | Swaps
Interest
Rate Risk | | | Swaps
Credit
Risk | | | Options
Written
Equity
Risk | | | Options
Purchased
Equity Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Options
Purchased
Interest Rate
Risk | | | Total | |
| | | $ | 12,386,251 | | | $ | 46,962 | | | $ | 2,525,241 | | | $ | (5,385,210 | ) | | $ | 5,670,879 | | | $ | — | | | $ | 15,244,123 | |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations |
| | Swaps
Interest
Rate Risk | | | Swaps
Credit
Risk | | | Options
Written
Equity
Risk | | | Options
Purchased
Equity Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Options
Purchased
Interest Rate
Risk | | | Total | |
| | | $ | 14,176,267 | | | $ | (142,739 | ) | | $ | (444,643 | ) | | $ | (490,560 | ) | | $ | (3,623,514 | ) | | $ | (3,685,136 | ) | | $ | 5,789,675 | |
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.
50 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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
in the Statement of
Assets and Liabilities | | | | | |
Instrument | | Gross
Amounts of
Recognized
Assets1 | | | Gross
Amounts
Offset in the
Statement
of Assets
and
Liabilities | | | Net Amount
of Assets
Presented
on the
Statement of
Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received | | | Net
Amount | |
Forward foreign currency exchange contracts | | $ | 2.385 | | | $ | — | | | $ | 2,385 | | | $ | — | | | $ | — | | | $ | 2,385 | |
Options Purchased | | | 79,051 | | | | — | | | | 79,051 | | | | (79,051 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statement of
Assets and Liabilities | | | | | |
Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Statement
of Assets
and
Liabilities | | | Net Amount
of Liabilities
Presented
on the
Statement of
Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
Forward foreign currency exchange contracts | | $ | 2,354,115 | | | $ | — | | | $ | 2,354,115 | | | $ | (79,051 | ) | | $ | (1,462,051 | ) | | $ | 813,013 | |
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 March 31, 2022.
Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Barclays Bank plc | Forward foreign currency exchange contracts | | $ | 510,000 | | | $ | — | |
BofA Securities, Inc. | Credit default swap agreements | | | — | | | | 213,364 | |
BofA Securities, Inc. | Forward foreign currency exchange contracts, Options | | | 1,115,000 | | | | — | |
BofA Securities, Inc. | Interest rate swap agreements | | | 12,500,000 | | | | — | |
Goldman Sachs International | Forward foreign currency exchange contracts, Options | | | 540,000 | | | | — | |
| | | | | 14,665,000 | | | | 213,364 | |
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.). |
52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 0.39% 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 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
Date | | | Contract
End Date | |
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 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 53 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 March 31, 2022, 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 | | | 2025 | | | Fund
Total | |
A-Class | | $ | 437,416 | | | $ | 360,600 | | | $ | 332,853 | | | $ | 178,779 | | | $ | 1,309,648 | |
C-Class | | | 76,780 | | | | 70,291 | | | | 80,424 | | | | 32,906 | | | | 260,401 | |
P-Class | | | 191,330 | | | | 124,505 | | | | 146,751 | | | | 104,102 | | | | 566,688 | |
Institutional Class | | | 1,803,351 | | | | 1,680,554 | | | | 2,560,156 | | | | 1,900,674 | | | | 7,944,735 | |
R6-Class | | | 2,787 | | | | 21,838 | | | | 493 | | | | 391 | | | | 25,509 | |
For the period ended March 31, 2022, GI recouped $17,163 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 period ended March 31, 2022, the Fund waived $35,868 related to investments in affiliated funds.
For the period ended March 31, 2022, GFD retained sales charges of $94,675 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 for a period of three years after they are filed.
54 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At March 31, 2022, 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) | |
| | | $ | 5,687,689,517 | | | $ | 21,808,824 | | | $ | (185,627,585 | ) | | $ | (163,818,761 | ) |
Note 7 – Securities Transactions
For the period ended March 31, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
| | Purchases | | | Sales | |
| | | $ | 657,040,802 | | | $ | 1,015,749,547 | |
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 period ended March 31, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| | Purchases | | | Sales | | | Realized
Gain (Loss) | |
| | | $ | 60,476,307 | | | $ | — | | | $ | — | |
Note 8 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of March 31, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of March 31, 2022, were as follows:
Borrower | | Maturity Date | | | Face Amount | | | Value | |
KKR Core Holding Company LLC | | | 07/15/31 | | | $ | 10,950,000 | | | $ | — | |
Pacific Bells, LLC | | | 11/10/28 | | | | 26,804 | | | | 301 | |
Venture Global Calcasieu Pass LLC | | | 08/19/26 | | | | 90,354 | | | | 452 | |
Thunderbird A | | | 03/01/37 | | | | 5,120,000 | | | | — | |
Lightning A | | | 03/01/37 | | | | 4,992,000 | | | | — | |
| | | | | | | $ | 21,179,158 | | | $ | 753 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 55 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 | | | $ | 7,350,049 | | | $ | 7,372,589 | |
Cascade Funding Mortgage Trust | | | | | | | | | | | | |
2019-RM3, 2.80% (WAC) due 06/25/691 | | | 06/25/19 | | | | 2,175,895 | | | | 2,138,208 | |
Copper River CLO Ltd. | | | | | | | | | | | | |
2007-1A, due 01/20/212 | | | 05/09/14 | | | | 585,000 | | | | 100 | |
FKRT | | | | | | | | | | | | |
2.21% due 11/30/58 | | | 09/24/21 | | | | 25,699,813 | | | | 24,749,091 | |
LSTAR Securities Investment Ltd. | | | | | | | | | | | | |
2021-1, 2.03% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261 | | | 02/04/21 | | | | 7,911,866 | | | | 7,846,854 | |
LSTAR Securities Investment Ltd. | | | | | | | | | | | | |
2021-2, 1.93% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261 | | | 03/17/21 | | | | 6,126,497 | | | | 6,082,585 | |
Towd Point Revolving Trust | | | | | | | | | | | | |
4.83% due 09/25/64 | | | 03/17/22 | | | | 18,499,752 | | | | 18,515,337 | |
| | | | | | | $ | 68,348,872 | | | $ | 66,704,764 | |
1 | Variable rate security. Rate indicated is the rate effective at March 31, 2022. 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 period ended March 31, 2022.
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 and Other Market Risks
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their 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. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. 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.
56 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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 SEMI-ANNUAL REPORT | 57 |
OTHER INFORMATION (Unaudited) |
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 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.
58 | THE GUGGENHEIM FUNDS SEMI-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, upon request, by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
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). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 59 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - continued |
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); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 61 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022);Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | 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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income 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. |
62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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 President of Mutual Funds Boards, 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); Managing 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). |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 63 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
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: Director, 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. |
64 | THE GUGGENHEIM FUNDS SEMI-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 SEMI-ANNUAL REPORT | 65 |
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.
66 | THE GUGGENHEIM FUNDS SEMI-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 SEMI-ANNUAL REPORT | 67 |
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Not required at this time.
| Item 3. | Audit Committee Financial Expert. |
Not required at this time.
| Item 4. | Principal Accountant Fees and Services. |
Not required at this time.
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
The Schedule of Investments is included 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 Managers 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.
There have been no changes to the 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.
| (a)(3) | Not applicable to registrant. |
| (a)(4) | Not applicable to registrant. |
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 | June 9, 2022 | |
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 | June 9, 2022 | |
| | | |
| By (Signature and Title)* | /s/ John L. Sullivan | |
| | John L. Sullivan, Chief Financial Officer, Chief Accounting Officer and Treasurer | |
| | | |
| Date | June 9, 2022 | |
| * | Print the name and title of each signing officer under his or her signature. |
