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 - September 30, 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 annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:
|
9.30.2022
Guggenheim Funds Annual Report
Guggenheim Funds Trust-Equity | ||
Guggenheim Alpha Opportunity Fund | ||
Guggenheim Large Cap Value Fund | ||
Guggenheim Market Neutral Real Estate Fund | ||
Guggenheim Risk Managed Real Estate Fund | ||
Guggenheim Small Cap Value Fund | ||
Guggenheim StylePlus—Large Core Fund | ||
Guggenheim StylePlus—Mid Growth Fund | ||
Guggenheim World Equity Income Fund | ||
GuggenheimInvestments.com | SBE-ANN-0922x0923 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 7 |
ALPHA OPPORTUNITY FUND | 10 |
LARGE CAP VALUE FUND | 30 |
MARKET NEUTRAL REAL ESTATE FUND | 40 |
RISK MANAGED REAL ESTATE FUND | 51 |
SMALL CAP VALUE FUND | 67 |
STYLEPLUS—LARGE CORE FUND | 78 |
STYLEPLUS—MID GROWTH FUND | 88 |
WORLD EQUITY INCOME FUND | 99 |
NOTES TO FINANCIAL STATEMENTS | 110 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 126 |
OTHER INFORMATION | 127 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 136 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 142 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 145 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2022 |
Dear Shareholder:
Security Investors, LLC and Guggenheim Partners Investment Management, LLC (the “Investment Advisers”) are pleased to present the shareholder report for a selection of our Funds (the “Funds”) for the annual fiscal period ended September 30, 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, and then the Managers’ Commentary for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC,
Guggenheim Partners Investment Management, LLC,
October 31, 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.
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.
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| September 30, 2022 |
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. ● 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 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. ● 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. ● 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. ● 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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
| September 30, 2022 |
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 ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2022 |
Equity and fixed income markets declined during the 12-month period ended September 30, 2022, amid continued market volatility, Federal Reserve policy, and global economic headwinds.
The Federal Reserve (the “Fed”) has abandoned talk of a soft or even “softish” landing, with the latest Summary of Economic Projections pointing to a 90-basis-point rise in the unemployment rate, an increase never before experienced without a recession. One basis point equals 0.01%. The seemingly endless string of upside inflation surprises has cemented the Fed’s view that the labor market needs to soften and economic activity needs to weaken further, which could require interest rates heading even higher.
Signs are indicating that the economy is heading in the direction the Fed wants. While gross domestic product (“GDP”) rebounded in the third quarter of 2022 to an inflation-adjusted 2.6%, private domestic demand (consumption and fixed investment) continued to slow, growing just 0.1%. The slowdown was led by a significant contraction in housing activity, historically the first sector to be hit by rising rates, cutting about 1.4 percentage points from GDP’s growth rate. The sharp tightening in financial conditions indicates a broader economic slowdown is ahead, which may help to loosen up the labor market. Signs of a labor market slowdown are already evident, with monthly job growth at less than half the pace of early 2022, wage growth cooling, and job openings falling sharply.
Inflation remains high, but a variety of factors point to a substantial moderation in 2023. Goods prices have stopped rising, and supply chain improvement and input and import costs suggest outright deflation could lie ahead. Services inflation is now the main price stability concern, but even the Bureau of Labor Statistics and several Fed speakers have acknowledged that the lagged data on home rental prices doesn’t reflect the sharp slowdown in market rents that has taken place (and that would start to show up in the data next year).
With the economy cooling and inflation likely to fall, it is fair to expect that rate hikes are nearly coming to an end, particularly with rising strains in financial markets and overseas. But having been repeatedly burned by expectations that inflation would cool and fearing a replay of the “stop-start” rate hike campaigns of the 1970s, the Fed will likely err on the side of overdoing it with rate hikes, viewing a recession as the “least bad” outcome for the economy.
For the 12-month period ended September 30, 2022, the S&P 500® Index* returned -15.47%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -25.13%. The return of the MSCI Emerging Markets Index* was -28.11%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -14.60% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -14.14%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.62% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 5 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2022 |
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 US 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 ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
|
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2022 and ending September 30, 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 ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
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| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
Alpha Opportunity Fund | |||||
A-Class | 1.75% | (7.82%) | $ 1,000.00 | $ 921.80 | $ 8.43 |
C-Class | 2.51% | (8.18%) | 1,000.00 | 918.20 | 12.07 |
P-Class | 1.75% | (7.81%) | 1,000.00 | 921.90 | 8.43 |
Institutional Class | 1.50% | (7.70%) | 1,000.00 | 923.00 | 7.23 |
Large Cap Value Fund | |||||
A-Class | 1.13% | (16.03%) | 1,000.00 | 839.70 | 5.21 |
C-Class | 1.88% | (16.33%) | 1,000.00 | 836.70 | 8.66 |
P-Class | 1.13% | (16.03%) | 1,000.00 | 839.70 | 5.21 |
Institutional Class | 0.88% | (15.92%) | 1,000.00 | 840.80 | 4.06 |
Market Neutral Real Estate Fund | |||||
A-Class | 1.64% | (2.53%) | 1,000.00 | 974.70 | 8.12 |
C-Class | 2.39% | (2.88%) | 1,000.00 | 971.20 | 11.81 |
P-Class | 1.64% | (2.54%) | 1,000.00 | 974.60 | 8.12 |
Institutional Class | 1.39% | (2.37%) | 1,000.00 | 976.30 | 6.89 |
Risk Managed Real Estate Fund | |||||
A-Class | 1.99% | (22.82%) | 1,000.00 | 771.80 | 8.84 |
C-Class | 2.64% | (23.09%) | 1,000.00 | 769.10 | 11.71 |
P-Class | 2.04% | (22.83%) | 1,000.00 | 771.70 | 9.06 |
Institutional Class | 1.68% | (22.69%) | 1,000.00 | 773.10 | 7.47 |
Small Cap Value Fund | |||||
A-Class | 1.29% | (16.31%) | 1,000.00 | 836.90 | 5.94 |
C-Class | 2.04% | (16.66%) | 1,000.00 | 833.40 | 9.38 |
P-Class | 1.28% | (16.30%) | 1,000.00 | 837.00 | 5.89 |
Institutional Class | 1.04% | (16.19%) | 1,000.00 | 838.10 | 4.79 |
StylePlus—Large Core Fund | |||||
A-Class | 1.17% | (22.25%) | 1,000.00 | 777.50 | 5.21 |
C-Class | 2.01% | (22.60%) | 1,000.00 | 774.00 | 8.94 |
P-Class | 1.38% | (22.33%) | 1,000.00 | 776.70 | 6.15 |
Institutional Class | 0.98% | (22.18%) | 1,000.00 | 778.20 | 4.37 |
StylePlus—Mid Growth Fund | |||||
A-Class | 1.33% | (23.12%) | 1,000.00 | 768.80 | 5.90 |
C-Class | 2.20% | (23.46%) | 1,000.00 | 765.40 | 9.74 |
P-Class | 1.79% | (23.32%) | 1,000.00 | 766.80 | 7.93 |
Institutional Class | 1.33% | (23.10%) | 1,000.00 | 769.00 | 5.90 |
World Equity Income Fund | |||||
A-Class | 1.20% | (17.19%) | 1,000.00 | 828.10 | 5.50 |
C-Class | 1.95% | (17.50%) | 1,000.00 | 825.00 | 8.92 |
P-Class | 1.20% | (17.16%) | 1,000.00 | 828.40 | 5.50 |
Institutional Class | 0.95% | (17.06%) | 1,000.00 | 829.40 | 4.36 |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 2. Based on hypothetical 5% return (before expenses) |
| ||||
Alpha Opportunity Fund |
| ||||
A-Class | 1.75% | 5.00% | $ 1,000.00 | $ 1,016.29 | $ 8.85 |
C-Class | 2.51% | 5.00% | 1,000.00 | 1,012.48 | 12.66 |
P-Class | 1.75% | 5.00% | 1,000.00 | 1,016.29 | 8.85 |
Institutional Class | 1.50% | 5.00% | 1,000.00 | 1,017.55 | 7.59 |
Large Cap Value Fund | |||||
A-Class | 1.13% | 5.00% | 1,000.00 | 1,019.40 | 5.72 |
C-Class | 1.88% | 5.00% | 1,000.00 | 1,015.64 | 9.50 |
P-Class | 1.13% | 5.00% | 1,000.00 | 1,019.40 | 5.72 |
Institutional Class | 0.88% | 5.00% | 1,000.00 | 1,020.66 | 4.46 |
Market Neutral Real Estate Fund | |||||
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
P-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Institutional Class | 1.39% | 5.00% | 1,000.00 | 1,018.10 | 7.03 |
Risk Managed Real Estate Fund | |||||
A-Class | 1.99% | 5.00% | 1,000.00 | 1,015.09 | 10.05 |
C-Class | 2.64% | 5.00% | 1,000.00 | 1,011.83 | 13.31 |
P-Class | 2.04% | 5.00% | 1,000.00 | 1,014.84 | 10.30 |
Institutional Class | 1.68% | 5.00% | 1,000.00 | 1,016.65 | 8.49 |
Small Cap Value Fund | |||||
A-Class | 1.29% | 5.00% | 1,000.00 | 1,018.60 | 6.53 |
C-Class | 2.04% | 5.00% | 1,000.00 | 1,014.84 | 10.30 |
P-Class | 1.28% | 5.00% | 1,000.00 | 1,018.65 | 6.48 |
Institutional Class | 1.04% | 5.00% | 1,000.00 | 1,019.85 | 5.27 |
StylePlus—Large Core Fund | |||||
A-Class | 1.17% | 5.00% | 1,000.00 | 1,019.20 | 5.92 |
C-Class | 2.01% | 5.00% | 1,000.00 | 1,014.99 | 10.15 |
P-Class | 1.38% | 5.00% | 1,000.00 | 1,018.15 | 6.98 |
Institutional Class | 0.98% | 5.00% | 1,000.00 | 1,020.16 | 4.96 |
StylePlus—Mid Growth Fund | |||||
A-Class | 1.33% | 5.00% | 1,000.00 | 1,018.40 | 6.73 |
C-Class | 2.20% | 5.00% | 1,000.00 | 1,014.04 | 11.11 |
P-Class | 1.79% | 5.00% | 1,000.00 | 1,016.09 | 9.05 |
Institutional Class | 1.33% | 5.00% | 1,000.00 | 1,018.40 | 6.73 |
World Equity Income Fund | |||||
A-Class | 1.20% | 5.00% | 1,000.00 | 1,019.05 | 6.07 |
C-Class | 1.95% | 5.00% | 1,000.00 | 1,015.29 | 9.85 |
P-Class | 1.20% | 5.00% | 1,000.00 | 1,019.05 | 6.07 |
Institutional Class | 0.95% | 5.00% | 1,000.00 | 1,020.31 | 4.81 |
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 1.22%, 1.95%, 1.28% and 0.92% for the A-Class, C-Class, P-Class and Institutional Class, respectively. Excludes expenses of the underlying funds in which the Funds invest, if any. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2022 to September 30, 2022. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim Alpha Opportunity Fund (the “Fund”). The Fund is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Samir Sanghani, CFA, Managing Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of -6.55%1, underperforming the ICE BofA 3-Month U.S. Treasury Bill Index (“Index”), the Fund’s benchmark, which returned 0.62% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
This Reporting Period, the broad market reversed its ”reopening” excitement and began a steady bear market. The economic ramifications of the COVID-19 pandemic continued, as supply constraints and worker shortages drove inflation steadily higher. Despite rebounding demand and consumers flush with money, many industries and service companies could not keep enough parts or employees, causing shortages and driving wages higher. Exacerbating the underlying inflation was the sudden war in Ukraine and continued rolling China COVID-related shutdowns. Both were human tragedies in their own rights. And both threw supply chains into more chaos. The Federal Reserve board went completely all in with interest rate increases to halt the inflation at a pace not seen in 40 years. The rapid and steady rise in interest rates led to a corresponding drop in stocks and bonds.
In this environment, the Fund ended the year with a negative -6.55% return. The overall market decline contributed about -1.9% drag due to the Fund’s net long exposure. The realized beta (sensitivity of daily returns to broad stock benchmark moves) was about 0.20 for the year–lower than most long/short managers. The ‘Value’ names generally held up better than ‘Growth’. Our Value-style positioning paid off by about +10% of attribution for the year.
Offsetting those contributions, the Fund’s industry tilts caused about -3% drag for the year. A net short in the Energy sector during the early part of the year caused substantial damage when oil and gas prices spiked during the Ukraine war. Additionally, our larger net long sector exposure to Health Care stocks performed worse than their typical beta would suggest,partly due to recent legislation threatening government price caps.
Security selection (the impact of returns within style and industry groups) was a drag this past year. Within the Information Technology sector, the Fund was overweight semiconductor names that appeared to be cheap versus their cash generation–but began underperforming in the latter part of the year on fears of a new down-cycle coming.
How did the Fund use derivatives during the Reporting Period?
The Fund uses total return swaps to gain exposure to short positions and to attain some leverage on the long side when surpassing 100% long weights. In total, the derivatives have a net negative market exposure, creating a partial market hedge against assets that are invested in long stocks. The net performance impact of these derivatives was positive this fiscal year as the overall market had a large negative return.
How was the Fund positioned at the end of the Reporting Period?
At period end, the Fund held about 140% of assets in long securities, and 89% short, for a net-dollar exposure of 51%. Because the long side exposure holds higher quality and more defensive sectors, while the short side focuses on higher risk names, the actual expected net ‘beta’ of the Fund is in the 0.10 to 0.20 range, on the low end of positioning for the Fund during the last few years.
The Fund maintains its style bias towards cheaper valuation names. Our bias towards higher profitability and low stock-volatility remains–but at much reduced levels from last year as those factors have paid off significantly and look less underpriced than usual. The Fund’s short position in Growth names has also shrunk as those names declined rapidly last year–we are now much closer to neutral on this factor bias. The Fund remains small-size-cap biased–a shift that first began about a year ago. While small caps are generally riskier than large caps, the additional risk appears to be compensated with a much wider expected return based on fundamentals and valuations.
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2022 |
From an industry perspective, the Fund’s largest net long sectors are the Healthcare and Information Technology sectors, with our names mostly focused on cheaper and higher cash-flow-generating groups within those otherwise growth-oriented sectors. The largest net short exposures are the Real Estate and Communication Services sector. Notably, the Fund has flipped to a net long exposure to the Energy and Materials sectors, while cutting back on weights in Staples and Utilities. With considerable moves in relative stock prices and changing fundamentals, the dynamic industry weight reallocation was substantial this year.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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) | |
Bristol-Myers Squibb Co. | 1.0% |
Associated Banc-Corp. | 1.0% |
Johnson & Johnson | 1.0% |
S&T Bancorp, Inc. | 1.0% |
Ironwood Pharmaceuticals, Inc. — Class A | 1.0% |
BankUnited, Inc. | 0.9% |
Eagle Bancorp, Inc. | 0.9% |
John B Sanfilippo & Son, Inc. | 0.9% |
Conagra Brands, Inc. | 0.9% |
Amgen, Inc. | 0.9% |
Top Ten Total | 9.5% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | 10 Year |
A Class Shares | (6.55%) | (2.44%) | 3.42% |
A-Class Shares with sales charge‡ | (10.99%) | (3.38%) | 2.93% |
C Class Shares | (7.25%) | (3.20%) | 2.63% |
C-Class Shares with CDSC§ | (8.17%) | (3.20%) | 2.63% |
Institutional Class Shares | (6.31%) | (2.12%) | 3.78% |
Morningstar Long/Short Equity Category Average | (8.34%) | 1.71% | 3.25% |
S&P 500 Index | (15.47%) | 9.24% | 11.70% |
S&P 500 Index Blended** | 0.62% | 1.15% | 6.79% |
ICE BofA 3-Month U.S. Treasury Bill Index | 0.62% | 1.15% | 0.68% |
| 1 Year | 5 Year | Since |
P Class Shares | (6.54%) | (2.44%) | (0.26%) |
Morningstar Long/Short Equity Category Average | (8.34%) | 1.71% | 1.66% |
S&P 500 Index | (15.47%) | 9.24% | 9.48% |
S&P 500 Index Blended** | 0.62% | 1.15% | 8.86% |
ICE BofA 3-Month U.S. Treasury Bill Index | 0.62% | 1.15% | 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 ICE BofA 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 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 09/30/12 to 03/12/17, and the ICE BofA 3-Month U.S. Treasury Bill index from 03/13/17 to 09/30/22. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
ALPHA OPPORTUNITY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 86.3% | ||||||||
Consumer, Non-cyclical - 26.5% | ||||||||
Bristol-Myers Squibb Co. | 4,291 | $ | 305,047 | |||||
Johnson & Johnson | 1,818 | 296,989 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 27,936 | 289,417 | ||||||
John B Sanfilippo & Son, Inc. | 3,731 | 282,549 | ||||||
Conagra Brands, Inc. | 8,657 | 282,478 | ||||||
Amgen, Inc. | 1,219 | 274,763 | ||||||
Hologic, Inc.* | 4,175 | 269,371 | ||||||
Mondelez International, Inc. — Class A | 4,910 | 269,215 | ||||||
Colgate-Palmolive Co. | 3,798 | 266,810 | ||||||
Avery Dennison Corp. | 1,566 | 254,788 | ||||||
AbbVie, Inc. | 1,872 | 251,241 | ||||||
Perdoceo Education Corp.* | 24,273 | 250,012 | ||||||
Post Holdings, Inc.* | 2,968 | 243,109 | ||||||
Varex Imaging Corp.* | 11,101 | 234,675 | ||||||
Tyson Foods, Inc. — Class A | 3,522 | 232,205 | ||||||
USANA Health Sciences, Inc.* | 4,032 | 225,994 | ||||||
Archer-Daniels-Midland Co. | 2,774 | 223,168 | ||||||
Pilgrim’s Pride Corp.* | 9,472 | 218,045 | ||||||
Reynolds Consumer Products, Inc. | 8,351 | 217,209 | ||||||
Prestige Consumer Healthcare, Inc.* | 4,341 | 216,312 | ||||||
Philip Morris International, Inc. | 2,515 | 208,770 | ||||||
United Therapeutics Corp.* | 945 | 197,864 | ||||||
CVS Health Corp. | 2,074 | 197,797 | ||||||
Altria Group, Inc. | 4,898 | 197,781 | ||||||
Regeneron Pharmaceuticals, Inc.* | 260 | 179,106 | ||||||
Integra LifeSciences Holdings Corp.* | 4,135 | 175,159 | ||||||
Ingredion, Inc. | 1,967 | 158,383 | ||||||
Merck & Company, Inc. | 1,549 | 133,400 | ||||||
SpartanNash Co. | 4,529 | 131,432 | ||||||
Eli Lilly & Co. | 367 | 118,669 | ||||||
Vanda Pharmaceuticals, Inc.* | 11,466 | 113,284 | ||||||
Vertex Pharmaceuticals, Inc.* | 389 | 112,631 | ||||||
Eagle Pharmaceuticals, Inc.* | 4,140 | 109,379 | ||||||
Innoviva, Inc.* | 8,743 | 101,506 | ||||||
Universal Corp. | 2,035 | 93,692 | ||||||
Amphastar Pharmaceuticals, Inc.* | 2,867 | 80,563 | ||||||
Medtronic plc | 968 | 78,166 | ||||||
Quanex Building Products Corp. | 3,854 | 69,989 | ||||||
Viatris, Inc. | 7,933 | 67,589 | ||||||
Global Payments, Inc. | 605 | 65,370 | ||||||
EVERTEC, Inc. | 1,955 | 61,289 | ||||||
Globus Medical, Inc. — Class A* | 1,002 | 59,689 | ||||||
Quest Diagnostics, Inc. | 470 | 57,664 | ||||||
Hain Celestial Group, Inc.* | 3,194 | 53,915 | ||||||
Sotera Health Co.* | 5,380 | 36,692 | ||||||
Total Consumer, Non-cyclical | 7,963,176 | |||||||
Industrial - 12.5% | ||||||||
Barnes Group, Inc. | 9,456 | 273,089 | ||||||
Standex International Corp. | 3,085 | 251,890 | ||||||
OSI Systems, Inc.* | 3,432 | 247,310 | ||||||
Eagle Materials, Inc. | 2,213 | 237,189 | ||||||
Snap-on, Inc. | 1,173 | 236,184 | ||||||
Sonoco Products Co. | 4,054 | 229,983 | ||||||
Sturm Ruger & Company, Inc. | 4,153 | 210,931 | ||||||
Westrock Co. | 6,611 | 204,214 | ||||||
Vishay Intertechnology, Inc. | 11,392 | 202,664 | ||||||
Albany International Corp. — Class A | 2,353 | 185,487 | ||||||
AptarGroup, Inc. | 1,938 | 184,168 | ||||||
Timken Co. | 2,546 | 150,316 | ||||||
Energizer Holdings, Inc. | 5,607 | 140,960 | ||||||
EMCOR Group, Inc. | 1,158 | 133,726 | ||||||
EnPro Industries, Inc. | 1,540 | 130,869 | ||||||
Arrow Electronics, Inc.* | 1,139 | 105,005 | ||||||
Knowles Corp.* | 7,278 | 88,573 | ||||||
Sanmina Corp.* | 1,728 | 79,626 | ||||||
Dorian LPG Ltd. | 5,561 | 75,463 | ||||||
Louisiana-Pacific Corp. | 1,402 | 71,768 | ||||||
Packaging Corporation of America | 631 | 70,855 | ||||||
TTM Technologies, Inc.* | 5,195 | 68,470 | ||||||
Insteel Industries, Inc. | 2,291 | 60,780 | ||||||
Agilent Technologies, Inc. | 458 | 55,670 | ||||||
Lennox International, Inc. | 235 | 52,328 | ||||||
Total Industrial | 3,747,518 | |||||||
Financial - 11.1% | ||||||||
Associated Banc-Corp. | 15,075 | 302,735 | ||||||
S&T Bancorp, Inc. | 10,116 | 296,500 | ||||||
BankUnited, Inc. | 8,366 | 285,866 | ||||||
Eagle Bancorp, Inc. | 6,340 | 284,159 | ||||||
Renasant Corp. | 8,383 | 262,220 | ||||||
Preferred Bank/Los Angeles CA | 3,646 | 237,829 | ||||||
Global Net Lease, Inc. REIT | 21,267 | 226,493 | ||||||
National Bank Holdings Corp. — Class A | 5,809 | 214,875 | ||||||
Office Properties Income Trust REIT | 11,831 | 166,226 | ||||||
Central Pacific Financial Corp. | 6,106 | 126,333 | ||||||
Getty Realty Corp. REIT | 4,636 | 124,662 | ||||||
Stewart Information Services Corp. | 2,700 | 117,828 | ||||||
Everest Re Group Ltd. | 408 | 107,075 | ||||||
Hilltop Holdings, Inc. | 4,210 | 104,619 | ||||||
Highwoods Properties, Inc. REIT | 3,671 | 98,970 | ||||||
Marcus & Millichap, Inc. | 2,674 | 87,654 | ||||||
Bank of Hawaii Corp. | 1,150 | 87,538 | ||||||
NMI Holdings, Inc. — Class A* | 3,737 | 76,123 | ||||||
PennyMac Financial Services, Inc. | 1,595 | 68,426 | ||||||
Pathward Financial, Inc. | 1,893 | 62,393 | ||||||
Total Financial | 3,338,524 | |||||||
Energy - 8.4% | ||||||||
Kinder Morgan, Inc. | 14,547 | 242,062 | ||||||
Chevron Corp. | 1,667 | 239,498 | ||||||
DT Midstream, Inc. | 4,444 | 230,599 | ||||||
Phillips 66 | 2,856 | 230,536 | ||||||
Antero Midstream Corp. | 24,396 | 223,955 | ||||||
Marathon Petroleum Corp. | 2,234 | 221,903 | ||||||
HF Sinclair Corp. | 3,706 | 199,531 | ||||||
Valero Energy Corp. | 1,622 | 173,311 | ||||||
Exxon Mobil Corp. | 1,861 | 162,484 | ||||||
Targa Resources Corp. | 2,057 | 124,119 | ||||||
Equitrans Midstream Corp. | 13,620 | 101,878 | ||||||
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ALPHA OPPORTUNITY FUND |
| Shares | Value | ||||||
Williams Companies, Inc. | 3,375 | $ | 96,626 | |||||
REX American Resources Corp.* | 2,969 | 82,895 | ||||||
SunCoke Energy, Inc. | 13,668 | 79,411 | ||||||
CVR Energy, Inc. | 2,298 | 66,596 | ||||||
ONEOK, Inc. | 1,206 | 61,796 | ||||||
Total Energy | 2,537,200 | |||||||
Utilities - 7.1% | ||||||||
Avista Corp. | 5,866 | 217,335 | ||||||
Portland General Electric Co. | 4,948 | 215,040 | ||||||
PPL Corp. | 8,101 | 205,360 | ||||||
Duke Energy Corp. | 2,185 | 203,249 | ||||||
WEC Energy Group, Inc. | 2,262 | 202,291 | ||||||
MGE Energy, Inc. | 3,055 | 200,500 | ||||||
NiSource, Inc. | 7,929 | 199,731 | ||||||
UGI Corp. | 6,164 | 199,282 | ||||||
Chesapeake Utilities Corp. | 1,643 | 189,586 | ||||||
NorthWestern Corp. | 3,391 | 167,108 | ||||||
Otter Tail Corp. | 2,078 | 127,839 | ||||||
Total Utilities | 2,127,321 | |||||||
Technology - 5.6% | ||||||||
SS&C Technologies Holdings, Inc. | 5,397 | 257,707 | ||||||
Diodes, Inc.* | 3,534 | 229,392 | ||||||
Texas Instruments, Inc. | 1,438 | 222,574 | ||||||
Cirrus Logic, Inc.* | 2,643 | 181,839 | ||||||
Rambus, Inc.* | 5,810 | 147,690 | ||||||
IPG Photonics Corp.* | 1,216 | 102,570 | ||||||
NetApp, Inc. | 1,363 | 84,302 | ||||||
ACI Worldwide, Inc.* | 3,999 | 83,579 | ||||||
Hewlett Packard Enterprise Co. | 5,892 | 70,586 | ||||||
Fiserv, Inc.* | 701 | 65,592 | ||||||
CSG Systems International, Inc. | 1,200 | 63,456 | ||||||
Amkor Technology, Inc. | 3,687 | 62,863 | ||||||
Lumentum Holdings, Inc.* | 785 | 53,827 | ||||||
Synaptics, Inc.* | 536 | 53,069 | ||||||
Total Technology | 1,679,046 | |||||||
Basic Materials - 5.4% | ||||||||
Minerals Technologies, Inc. | 4,571 | 225,853 | ||||||
Eastman Chemical Co. | 2,860 | 203,203 | ||||||
Balchem Corp. | 1,583 | 192,461 | ||||||
Steel Dynamics, Inc. | 2,222 | 157,651 | ||||||
NewMarket Corp. | 456 | 137,179 | ||||||
LyondellBasell Industries N.V. — Class A | 1,711 | 128,804 | ||||||
Nucor Corp. | 923 | 98,751 | ||||||
AdvanSix, Inc. | 2,513 | 80,667 | ||||||
Ingevity Corp.* | 1,293 | 78,395 | ||||||
Huntsman Corp. | 3,132 | 76,859 | ||||||
American Vanguard Corp. | 4,024 | 75,249 | ||||||
FMC Corp. | 632 | 66,802 | ||||||
Westlake Corp. | 684 | 59,426 | ||||||
Mercer International, Inc. | 4,756 | 58,499 | ||||||
Total Basic Materials | 1,639,799 | |||||||
Communications - 5.1% | ||||||||
Verizon Communications, Inc. | 6,204 | 235,566 | ||||||
T-Mobile US, Inc.* | 1,656 | 222,186 | ||||||
Meta Platforms, Inc. — Class A* | 1,419 | 192,530 | ||||||
Viavi Solutions, Inc.* | 14,355 | 187,333 | ||||||
InterDigital, Inc. | 4,469 | 180,637 | ||||||
VeriSign, Inc.* | 906 | 157,372 | ||||||
Alphabet, Inc. — Class C* | 1,454 | 139,802 | ||||||
Gogo, Inc.* | 8,886 | 107,698 | ||||||
Cisco Systems, Inc. | 2,532 | 101,280 | ||||||
Total Communications | 1,524,404 | |||||||
Consumer, Cyclical - 4.6% | ||||||||
Home Depot, Inc. | 849 | 234,273 | ||||||
Brunswick Corp. | 2,983 | 195,237 | ||||||
Methode Electronics, Inc. | 4,364 | 162,123 | ||||||
Allison Transmission Holdings, Inc. | 4,492 | 151,650 | ||||||
Haverty Furniture Companies, Inc. | 6,065 | 151,019 | ||||||
Boyd Gaming Corp. | 2,710 | 129,131 | ||||||
McDonald’s Corp. | 524 | 120,908 | ||||||
G-III Apparel Group Ltd.* | 7,822 | 116,939 | ||||||
GMS, Inc.* | 2,023 | 80,940 | ||||||
Papa John’s International, Inc. | 735 | 51,457 | ||||||
Total Consumer, Cyclical | 1,393,677 | |||||||
Total Common Stocks | ||||||||
(Cost $29,756,408) | 25,950,665 | |||||||
MONEY MARKET FUND† - 4.5% | ||||||||
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 2.49%1 | 1,359,913 | 1,359,913 | ||||||
Total Money Market Fund | ||||||||
(Cost $1,359,913) | 1,359,913 | |||||||
Total Investments - 90.8% | ||||||||
(Cost $31,116,321) | 27,310,578 | |||||||
Other Assets & Liabilities, net - 9.2% | 2,776,582 | |||||||
Total Net Assets - 100.0% | $ | 30,087,160 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ALPHA OPPORTUNITY FUND |
Custom Basket Swap Agreements | |||||||||||||||||||
Counterparty | Reference Obligation | Type | Financing Rate | Payment | Maturity | Notional | Value and | ||||||||||||
Centrally Cleared Custom Basket Swap Agreements†† | |||||||||||||||||||
Goldman Sachs International | GS Equity Custom Basket | Pay | 3.53% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | $ | 6,753,620 | $ | (859,754 | ) | |||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Pay | 3.48% (Federal Funds Rate + 0.40%) | At Maturity | 02/01/24 | 6,753,620 | (863,302 | ) | |||||||||||
| $ | 13,507,240 | $ | (1,723,056 | ) | |||||||||||||||
OTC Custom Basket Swap Agreements Sold Short†† | |||||||||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Receive | 2.78% (Federal Funds Rate - 0.30%) | At Maturity | 02/01/24 | $ | 12,374,681 | $ | 2,506,327 | ||||||||||
Goldman Sachs International | GS Equity Custom Basket | Receive | 2.88% (Federal Funds Rate - 0.20%) | At Maturity | 05/06/24 | 12,134,521 | 2,475,779 | ||||||||||||
| $ | 24,509,202 | $ | 4,982,106 | ||||||||||||||||
| Shares | Percentage | Value and | |||||||||
MS EQUITY LONG CUSTOM BASKET | ||||||||||||
Consumer, Non-cyclical | ||||||||||||
Regeneron Pharmaceuticals, Inc. | 67 | 0.71 | % | $ | 10,027 | |||||||
Bristol-Myers Squibb Co. | 1,115 | 1.17 | % | 9,315 | ||||||||
Vertex Pharmaceuticals, Inc. | 101 | 0.43 | % | 9,252 | ||||||||
Amphastar Pharmaceuticals, Inc. | 745 | 0.31 | % | 6,554 | ||||||||
AbbVie, Inc. | 486 | 0.97 | % | 5,914 | ||||||||
Merck & Company, Inc. | 402 | 0.51 | % | 3,759 | ||||||||
Archer-Daniels-Midland Co. | 721 | 0.86 | % | 2,616 | ||||||||
Eli Lilly & Co. | 95 | 0.45 | % | 1,202 | ||||||||
Globus Medical, Inc. — Class A | 260 | 0.23 | % | (263 | ) | |||||||
Varex Imaging Corp. | 2,886 | 0.90 | % | (877 | ) | |||||||
Medtronic plc | 251 | 0.30 | % | (1,380 | ) | |||||||
Hain Celestial Group, Inc. | 830 | 0.21 | % | (1,542 | ) | |||||||
Quest Diagnostics, Inc. | 122 | 0.22 | % | (1,617 | ) | |||||||
Universal Corp. | 529 | 0.36 | % | (1,741 | ) | |||||||
Innoviva, Inc. | 2,273 | 0.39 | % | (2,216 | ) | |||||||
CVS Health Corp. | 539 | 0.76 | % | (2,800 | ) | |||||||
Prestige Consumer Healthcare, Inc. | 1,128 | 0.83 | % | (2,903 | ) | |||||||
Altria Group, Inc. | 1,273 | 0.76 | % | (3,102 | ) | |||||||
Global Payments, Inc. | 157 | 0.25 | % | (3,289 | ) | |||||||
Conagra Brands, Inc. | 2,250 | 1.09 | % | (3,616 | ) | |||||||
SpartanNash Co. | 1,177 | 0.51 | % | (3,634 | ) | |||||||
Viatris, Inc. | 2,062 | 0.26 | % | (3,693 | ) | |||||||
Perdoceo Education Corp. | 6,310 | 0.96 | % | (3,810 | ) | |||||||
Ingredion, Inc. | 511 | 0.61 | % | (4,286 | ) | |||||||
Reynolds Consumer Products, Inc. | 2,171 | 0.84 | % | (4,441 | ) | |||||||
Quanex Building Products Corp. | 1,002 | 0.27 | % | (4,585 | ) | |||||||
United Therapeutics Corp. | 245 | 0.76 | % | (4,790 | ) | |||||||
Johnson & Johnson | 472 | 1.14 | % | (5,309 | ) | |||||||
John B Sanfilippo & Son, Inc. | 970 | 1.09 | % | (5,458 | ) | |||||||
Ironwood Pharmaceuticals, Inc. — Class A | 7,263 | 1.11 | % | (5,879 | ) | |||||||
Post Holdings, Inc. | 771 | 0.94 | % | (5,900 | ) | |||||||
EVERTEC, Inc. | 508 | 0.24 | % | (6,488 | ) | |||||||
Amgen, Inc. | 317 | 1.06 | % | (7,033 | ) | |||||||
Avery Dennison Corp. | 407 | 0.98 | % | (7,866 | ) | |||||||
Hologic, Inc. | 1,270 | 1.21 | % | (7,989 | ) | |||||||
Colgate-Palmolive Co. | 987 | 1.03 | % | (10,810 | ) | |||||||
Philip Morris International, Inc. | 654 | 0.80 | % | (10,818 | ) | |||||||
Sotera Health Co. | 1,398 | 0.14 | % | (12,956 | ) | |||||||
Mondelez International, Inc. — Class A | 1,276 | 1.04 | % | (13,041 | ) | |||||||
Integra LifeSciences Holdings Corp. | 1,075 | 0.67 | % | (14,082 | ) | |||||||
Pilgrim’s Pride Corp. | 2,462 | 0.84 | % | (15,100 | ) | |||||||
Vanda Pharmaceuticals, Inc. | 2,981 | 0.44 | % | (15,350 | ) | |||||||
Eagle Pharmaceuticals, Inc. | 1,076 | 0.42 | % | (17,918 | ) | |||||||
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ALPHA OPPORTUNITY FUND |
| Shares | Percentage | Value and | |||||||||
Tyson Foods, Inc. — Class A | 915 | 0.89 | % | $ | (20,495 | ) | ||||||
USANA Health Sciences, Inc. | 1,048 | 0.87 | % | (26,593 | ) | |||||||
Total Consumer, Non-cyclical | (215,031 | ) | ||||||||||
Technology | ||||||||||||
Rambus, Inc. | 1,510 | 0.57 | % | 7,141 | ||||||||
CSG Systems International, Inc. | 312 | 0.24 | % | 2,460 | ||||||||
NetApp, Inc. | 354 | 0.32 | % | 1,195 | ||||||||
IPG Photonics Corp. | 316 | 0.39 | % | (1,537 | ) | |||||||
Amkor Technology, Inc. | 958 | 0.24 | % | (1,674 | ) | |||||||
Synaptics, Inc. | 139 | 0.20 | % | (1,895 | ) | |||||||
Hewlett Packard Enterprise Co. | 1,531 | 0.27 | % | (1,929 | ) | |||||||
Fiserv, Inc. | 182 | 0.25 | % | (2,135 | ) | |||||||
Lumentum Holdings, Inc. | 204 | 0.21 | % | (2,158 | ) | |||||||
Diodes, Inc. | 919 | 0.88 | % | (3,303 | ) | |||||||
ACI Worldwide, Inc. | 1,039 | 0.32 | % | (6,425 | ) | |||||||
Cirrus Logic, Inc. | 687 | 0.70 | % | (8,775 | ) | |||||||
Texas Instruments, Inc. | 373 | 0.85 | % | (10,609 | ) | |||||||
SS&C Technologies Holdings, Inc. | 1,403 | 0.99 | % | (18,068 | ) | |||||||
Total Technology | (47,712 | ) | ||||||||||
Basic Materials | ||||||||||||
FMC Corp. | 164 | 0.26 | % | (453 | ) | |||||||
Ingevity Corp. | 336 | 0.30 | % | (805 | ) | |||||||
NewMarket Corp. | 118 | 0.53 | % | (892 | ) | |||||||
Nucor Corp. | 240 | 0.38 | % | (1,272 | ) | |||||||
Westlake Corp. | 177 | 0.23 | % | (1,802 | ) | |||||||
American Vanguard Corp. | 1,046 | 0.29 | % | (2,374 | ) | |||||||
Steel Dynamics, Inc. | 577 | 0.61 | % | (3,645 | ) | |||||||
Balchem Corp. | 411 | 0.74 | % | (4,522 | ) | |||||||
Mercer International, Inc. | 1,236 | 0.23 | % | (4,690 | ) | |||||||
Huntsman Corp. | 814 | 0.30 | % | (6,200 | ) | |||||||
AdvanSix, Inc. | 653 | 0.31 | % | (6,580 | ) | |||||||
LyondellBasell Industries N.V. — Class A | 445 | 0.50 | % | (7,044 | ) | |||||||
Eastman Chemical Co. | 743 | 0.78 | % | (16,835 | ) | |||||||
Minerals Technologies, Inc. | 1,188 | 0.87 | % | (19,455 | ) | |||||||
Total Basic Materials | (76,569 | ) | ||||||||||
Industrial | ||||||||||||
Dorian LPG Ltd. | 1,446 | 0.29 | % | 1,337 | ||||||||
EnPro Industries, Inc. | 400 | 0.50 | % | 278 | ||||||||
EMCOR Group, Inc. | 301 | 0.51 | % | (113 | ) | |||||||
Sanmina Corp. | 449 | 0.31 | % | (651 | ) | |||||||
Agilent Technologies, Inc. | 119 | 0.21 | % | (1,122 | ) | |||||||
Lennox International, Inc. | 61 | 0.20 | % | (1,299 | ) | |||||||
Louisiana-Pacific Corp. | 364 | 0.28 | % | (2,358 | ) | |||||||
TTM Technologies, Inc. | 1,350 | 0.26 | % | (2,511 | ) | |||||||
Snap-on, Inc. | 305 | 0.91 | % | (2,546 | ) | |||||||
Arrow Electronics, Inc. | 296 | 0.40 | % | (2,626 | ) | |||||||
Vishay Intertechnology, Inc. | 2,961 | 0.78 | % | (3,000 | ) | |||||||
Timken Co. | 661 | 0.58 | % | (3,333 | ) | |||||||
Packaging Corporation of America | 164 | 0.27 | % | (3,366 | ) | |||||||
AptarGroup, Inc. | 504 | 0.71 | % | (5,243 | ) | |||||||
Energizer Holdings, Inc. | 1,457 | 0.54 | % | (6,043 | ) | |||||||
Standex International Corp. | 802 | 0.97 | % | (6,630 | ) | |||||||
Insteel Industries, Inc. | 595 | 0.23 | % | (6,688 | ) | |||||||
OSI Systems, Inc. | 892 | 0.95 | % | (6,777 | ) | |||||||
Albany International Corp. — Class A | 611 | 0.71 | % | (7,767 | ) | |||||||
Sonoco Products Co. | 1,054 | 0.89 | % | (7,967 | ) | |||||||
Knowles Corp. | 1,892 | 0.34 | % | (9,735 | ) | |||||||
Eagle Materials, Inc. | 575 | 0.91 | % | (10,020 | ) | |||||||
Barnes Group, Inc. | 2,458 | 1.05 | % | (12,075 | ) | |||||||
Westrock Co. | 1,718 | 0.79 | % | (16,106 | ) | |||||||
Sturm Ruger & Company, Inc. | 1,079 | 0.81 | % | (18,451 | ) | |||||||
Total Industrial | (134,812 | ) | ||||||||||
Consumer, Cyclical | ||||||||||||
Papa John’s International, Inc. | 191 | 0.20 | % | (2,249 | ) | |||||||
Allison Transmission Holdings, Inc. | 1,168 | 0.58 | % | (2,632 | ) | |||||||
GMS, Inc. | 526 | 0.31 | % | (2,655 | ) | |||||||
McDonald’s Corp. | 136 | 0.46 | % | (3,785 | ) | |||||||
Home Depot, Inc. | 220 | 0.90 | % | (4,203 | ) | |||||||
Methode Electronics, Inc. | 1,134 | 0.62 | % | (5,323 | ) | |||||||
Boyd Gaming Corp. | 704 | 0.50 | % | (5,485 | ) | |||||||
Haverty Furniture Companies, Inc. | 1,577 | 0.58 | % | (6,060 | ) | |||||||
Brunswick Corp. | 775 | 0.75 | % | (9,813 | ) | |||||||
G-III Apparel Group Ltd. | 2,033 | 0.45 | % | (11,714 | ) | |||||||
Total Consumer, Cyclical | (53,919 | ) | ||||||||||
Communications | ||||||||||||
T-Mobile US, Inc. | 430 | 0.85 | % | 458 | ||||||||
Viavi Solutions, Inc. | 3,732 | 0.72 | % | (313 | ) | |||||||
Alphabet, Inc. — Class C | 141 | 0.20 | % | (2,409 | ) | |||||||
VeriSign, Inc. | 235 | 0.60 | % | (3,057 | ) | |||||||
Cisco Systems, Inc. | 658 | 0.39 | % | (3,248 | ) | |||||||
Meta Platforms, Inc. — Class A | 384 | 0.77 | % | (8,441 | ) | |||||||
Gogo, Inc. | 2,310 | 0.41 | % | (13,127 | ) | |||||||
Verizon Communications, Inc. | 1,613 | 0.91 | % | (20,264 | ) | |||||||
InterDigital, Inc. | 1,162 | 0.70 | % | (28,321 | ) | |||||||
Total Communications | (78,722 | ) | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ALPHA OPPORTUNITY FUND |
| Shares | Percentage | Value and | |||||||||
Energy | ||||||||||||
Equitrans Midstream Corp. | 3,541 | 0.39 | % | $ | 1,985 | |||||||
HF Sinclair Corp. | 963 | 0.77 | % | 956 | ||||||||
Marathon Petroleum Corp. | 580 | 0.85 | % | 902 | ||||||||
REX American Resources Corp. | 772 | 0.32 | % | (939 | ) | |||||||
CVR Energy, Inc. | 597 | 0.26 | % | (1,615 | ) | |||||||
Valero Energy Corp. | 421 | 0.67 | % | (2,266 | ) | |||||||
ONEOK, Inc. | 313 | 0.24 | % | (2,775 | ) | |||||||
Phillips 66 | 742 | 0.89 | % | (3,859 | ) | |||||||
Williams Companies, Inc. | 877 | 0.37 | % | (3,979 | ) | |||||||
DT Midstream, Inc. | 1,155 | 0.89 | % | (4,012 | ) | |||||||
Targa Resources Corp. | 534 | 0.48 | % | (4,156 | ) | |||||||
Kinder Morgan, Inc. | 3,782 | 0.93 | % | (4,382 | ) | |||||||
Exxon Mobil Corp. | 484 | 0.63 | % | (4,696 | ) | |||||||
Chevron Corp. | 433 | 0.92 | % | (5,184 | ) | |||||||
Antero Midstream Corp. | 6,342 | 0.86 | % | (5,733 | ) | |||||||
SunCoke Energy, Inc. | 3,553 | 0.31 | % | (9,222 | ) | |||||||
Total Energy | (48,975 | ) | ||||||||||
Financial | ||||||||||||
S&T Bancorp, Inc. | 2,630 | 1.14 | % | 2,945 | ||||||||
NMI Holdings, Inc. — Class A | 971 | 0.29 | % | 1,876 | ||||||||
Everest Re Group Ltd. | 106 | 0.41 | % | 999 | ||||||||
Getty Realty Corp. | 1,205 | 0.48 | % | 637 | ||||||||
Associated Banc-Corp. | 3,919 | 1.17 | % | 180 | ||||||||
Douglas Elliman, Inc. | 1 | 0.00 | % | (1 | ) | |||||||
Bank of Hawaii Corp. | 299 | 0.34 | % | (485 | ) | |||||||
Preferred Bank/Los Angeles CA | 948 | 0.92 | % | (1,788 | ) | |||||||
PennyMac Financial Services, Inc. | 414 | 0.26 | % | (1,867 | ) | |||||||
Marcus & Millichap, Inc. | 695 | 0.34 | % | (2,930 | ) | |||||||
Hilltop Holdings, Inc. | 1,094 | 0.40 | % | (4,059 | ) | |||||||
National Bank Holdings Corp. — Class A | 1,510 | 0.83 | % | (6,242 | ) | |||||||
Renasant Corp. | 2,805 | 1.30 | % | (6,246 | ) | |||||||
Pathward Financial, Inc. | 492 | 0.24 | % | (7,437 | ) | |||||||
Central Pacific Financial Corp. | 1,587 | 0.49 | % | (9,174 | ) | |||||||
BankUnited, Inc. | 2,175 | 1.10 | % | (9,345 | ) | |||||||
Highwoods Properties, Inc. | 954 | 0.38 | % | (10,301 | ) | |||||||
Stewart Information Services Corp. | 702 | 0.45 | % | (11,044 | ) | |||||||
Eagle Bancorp, Inc. | 1,648 | 1.09 | % | (12,991 | ) | |||||||
Global Net Lease, Inc. | 5,529 | 0.87 | % | (20,458 | ) | |||||||
Office Properties Income Trust | 3,076 | 0.64 | % | (20,882 | ) | |||||||
Total Financial | (118,613 | ) | ||||||||||
Utilities | ||||||||||||
Otter Tail Corp. | 540 | 0.49 | % | (693 | ) | |||||||
Chesapeake Utilities Corp. | 427 | 0.73 | % | (2,056 | ) | |||||||
Avista Corp. | 1,525 | 0.84 | % | (5,680 | ) | |||||||
PPL Corp. | 2,106 | 0.79 | % | (8,040 | ) | |||||||
MGE Energy, Inc. | 794 | 0.77 | % | (8,315 | ) | |||||||
Duke Energy Corp. | 568 | 0.78 | % | (9,493 | ) | |||||||
Portland General Electric Co. | 1,286 | 0.83 | % | (9,568 | ) | |||||||
NorthWestern Corp. | 881 | 0.64 | % | (9,644 | ) | |||||||
WEC Energy Group, Inc. | 588 | 0.78 | % | (9,725 | ) | |||||||
NiSource, Inc. | 2,061 | 0.77 | % | (10,591 | ) | |||||||
UGI Corp. | 1,602 | 0.77 | % | (15,144 | ) | |||||||
Total Utilities | (88,949 | ) | ||||||||||
Total MS Equity Long Custom Basket | $ | (863,302 | ) | |||||||||
MS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Consumer, Non-cyclical | ||||||||||||
TransUnion | 3,017 | (1.42 | )% | $ | 101,928 | |||||||
Equifax, Inc. | 747 | (1.01 | )% | 63,280 | ||||||||
ASGN, Inc. | 1,669 | (1.22 | )% | 50,441 | ||||||||
Viad Corp. | 3,299 | (0.84 | )% | 41,610 | ||||||||
Verisk Analytics, Inc. — Class A | 1,039 | (1.43 | )% | 37,737 | ||||||||
CoStar Group, Inc. | 1,343 | (0.76 | )% | 24,397 | ||||||||
Patterson Companies, Inc. | 3,514 | (0.68 | )% | 23,338 | ||||||||
ABM Industries, Inc. | 3,949 | (1.22 | )% | 21,494 | ||||||||
Cintas Corp. | 466 | (1.46 | )% | 17,943 | ||||||||
FTI Consulting, Inc. | 289 | (0.39 | )% | 6,318 | ||||||||
Driven Brands Holdings, Inc. | 4,512 | (1.02 | )% | 4,562 | ||||||||
Quanta Services, Inc. | 792 | (0.82 | )% | 3,544 | ||||||||
Robert Half International, Inc. | 709 | (0.44 | )% | 606 | ||||||||
Total Consumer, Non-cyclical | 397,198 | |||||||||||
Financial | ||||||||||||
Signature Bank | 826 | (1.01 | )% | 78,371 | ||||||||
Howard Hughes Corp. | 2,315 | (1.04 | )% | 75,981 | ||||||||
Welltower, Inc. | 2,860 | (1.49 | )% | 68,354 | ||||||||
Equinix, Inc. | 310 | (1.43 | )% | 64,052 | ||||||||
Western Alliance Bancorporation | 1,815 | (0.96 | )% | 63,766 | ||||||||
Outfront Media, Inc. | 5,776 | (0.71 | )% | 54,898 | ||||||||
Sun Communities, Inc. | 1,048 | (1.15 | )% | 54,055 | ||||||||
Americold Realty Trust, Inc. | 4,839 | (0.96 | )% | 50,455 | ||||||||
Invitation Homes, Inc. | 5,905 | (1.61 | )% | 45,409 | ||||||||
Kite Realty Group Trust | 10,056 | (1.40 | )% | 44,351 | ||||||||
Crown Castle, Inc. | 1,148 | (1.34 | )% | 42,788 | ||||||||
State Street Corp. | 1,547 | (0.76 | )% | 41,793 | ||||||||
Rexford Industrial Realty, Inc. | 3,138 | (1.32 | )% | 41,760 | ||||||||
KKR & Company, Inc. — Class A | 2,924 | (1.02 | )% | 35,199 | ||||||||
Digital Realty Trust, Inc. | 1,273 | (1.02 | )% | 33,219 | ||||||||
Goldman Sachs Group, Inc. | 1,376 | (3.26 | )% | 32,704 | ||||||||
Ares Management Corp. — Class A | 1,865 | (0.93 | )% | 31,130 | ||||||||
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ALPHA OPPORTUNITY FUND |
| Shares | Percentage | Value and | |||||||||
Realty Income Corp. | 2,184 | (1.03 | )% | $ | 30,921 | |||||||
Apollo Global Management, Inc. | 2,796 | (1.05 | )% | 30,797 | ||||||||
Ryman Hospitality Properties, Inc. | 1,906 | (1.13 | )% | 30,016 | ||||||||
Bank of America Corp. | 3,756 | (0.92 | )% | 28,117 | ||||||||
BlackRock, Inc. — Class A | 220 | (0.98 | )% | 26,888 | ||||||||
Invesco Ltd. | 9,033 | (1.00 | )% | 25,453 | ||||||||
Iron Mountain, Inc. | 3,917 | (1.39 | )% | 25,312 | ||||||||
SBA Communications Corp. | 465 | (1.07 | )% | 22,746 | ||||||||
Equitable Holdings, Inc. | 6,665 | (1.42 | )% | 20,957 | ||||||||
Kennedy-Wilson Holdings, Inc. | 2,845 | (0.36 | )% | 20,573 | ||||||||
American Tower Corp. — Class A | 563 | (0.98 | )% | 19,882 | ||||||||
Extra Space Storage, Inc. | 587 | (0.82 | )% | 18,671 | ||||||||
First Republic Bank | 589 | (0.62 | )% | 18,026 | ||||||||
SLM Corp. | 3,096 | (0.35 | )% | 17,608 | ||||||||
Ventas, Inc. | 1,987 | (0.65 | )% | 16,879 | ||||||||
Northern Trust Corp. | 1,189 | (0.82 | )% | 16,867 | ||||||||
Independence Realty Trust, Inc. | 3,706 | (0.50 | )% | 14,748 | ||||||||
Xenia Hotels & Resorts, Inc. | 3,475 | (0.39 | )% | 14,276 | ||||||||
Public Storage | 287 | (0.68 | )% | 13,899 | ||||||||
Marsh & McLennan Companies, Inc. | 851 | (1.03 | )% | 13,213 | ||||||||
Alexandria Real Estate Equities, Inc. | 924 | (1.05 | )% | 13,031 | ||||||||
Wells Fargo & Co. | 2,872 | (0.93 | )% | 11,764 | ||||||||
CBRE Group, Inc. — Class A | 979 | (0.53 | )% | 10,906 | ||||||||
Life Storage, Inc. | 512 | (0.46 | )% | 10,208 | ||||||||
Intercontinental Exchange, Inc. | 824 | (0.60 | )% | 9,351 | ||||||||
Progressive Corp. | 841 | (0.79 | )% | 8,305 | ||||||||
Popular, Inc. | 1,486 | (0.87 | )% | 8,001 | ||||||||
Comerica, Inc. | 1,870 | (1.07 | )% | 6,680 | ||||||||
Assurant, Inc. | 372 | (0.44 | )% | 5,946 | ||||||||
Mid-America Apartment Communities, Inc. | 278 | (0.35 | )% | 3,972 | ||||||||
Allstate Corp. | 494 | (0.50 | )% | (24 | ) | |||||||
Charles Schwab Corp. | 1,378 | (0.80 | )% | (392 | ) | |||||||
Cullen/Frost Bankers, Inc. | 556 | (0.59 | )% | (484 | ) | |||||||
Arthur J Gallagher & Co. | 379 | (0.52 | )% | (3,660 | ) | |||||||
LPL Financial Holdings, Inc. | 511 | (0.90 | )% | (19,101 | ) | |||||||
Total Financial | 1,348,637 | |||||||||||
Consumer, Cyclical | ||||||||||||
MillerKnoll, Inc. | 6,162 | (0.78 | )% | 133,262 | ||||||||
American Airlines Group, Inc. | 8,785 | (0.85 | )% | 42,900 | ||||||||
Healthcare Services Group, Inc. | 6,870 | (0.67 | )% | 33,616 | ||||||||
CarMax, Inc. | 724 | (0.39 | )% | 25,009 | ||||||||
Copart, Inc. | 1,931 | (1.66 | )% | 23,432 | ||||||||
Genuine Parts Co. | 1,393 | (1.68 | )% | 16,725 | ||||||||
Hilton Worldwide Holdings, Inc. | 636 | (0.62 | )% | 16,125 | ||||||||
Dana, Inc. | 4,334 | (0.40 | )% | 13,352 | ||||||||
Live Nation Entertainment, Inc. | 827 | (0.51 | )% | 11,623 | ||||||||
Delta Air Lines, Inc. | 3,157 | (0.72 | )% | 11,168 | ||||||||
Southwest Airlines Co. | 1,330 | (0.33 | )% | 10,891 | ||||||||
Lear Corp. | 501 | (0.48 | )% | 9,069 | ||||||||
Tesla, Inc. | 147 | (0.32 | )% | 6,102 | ||||||||
Floor & Decor Holdings, Inc. — Class A | 886 | (0.50 | )% | 4,183 | ||||||||
WESCO International, Inc. | 716 | (0.69 | )% | 1,819 | ||||||||
Royal Caribbean Cruises Ltd. | 1,291 | (0.40 | )% | (2,945 | ) | |||||||
Las Vegas Sands Corp. | 2,328 | (0.71 | )% | (3,374 | ) | |||||||
Total Consumer, Cyclical | 352,957 | |||||||||||
Energy | ||||||||||||
Patterson-UTI Energy, Inc. | 6,660 | (0.63 | )% | 35,150 | ||||||||
Helmerich & Payne, Inc. | 2,694 | (0.80 | )% | 28,037 | ||||||||
Baker Hughes Co. | 5,504 | (0.93 | )% | 22,214 | ||||||||
Hess Corp. | 1,228 | (1.08 | )% | 14,392 | ||||||||
NexTier Oilfield Solutions, Inc. | 8,065 | (0.48 | )% | 10,747 | ||||||||
ChampionX Corp. | 3,080 | (0.49 | )% | 5,623 | ||||||||
Liberty Energy, Inc. — Class A | 5,275 | (0.54 | )% | 5,438 | ||||||||
Valaris Ltd. | 1,689 | (0.67 | )% | 1,371 | ||||||||
Continental Resources, Inc. | 909 | (0.49 | )% | 1,170 | ||||||||
Schlumberger N.V. | 4,056 | (1.18 | )% | 511 | ||||||||
Equities Corp. | 1,534 | (0.51 | )% | (9,207 | ) | |||||||
EOG Resources, Inc. | 1,537 | (1.39 | )% | (11,995 | ) | |||||||
Total Energy | 103,451 | |||||||||||
Industrial | ||||||||||||
Stanley Black & Decker, Inc. | 1,278 | (0.78 | )% | 50,914 | ||||||||
Stericycle, Inc. | 1,132 | (0.39 | )% | 36,306 | ||||||||
Boeing Co. | 929 | (0.91 | )% | 35,571 | ||||||||
Jacobs Solutions, Inc. | 1,502 | (1.32 | )% | 30,043 | ||||||||
Old Dominion Freight Line, Inc. | 472 | (0.95 | )% | 21,389 | ||||||||
CSX Corp. | 3,493 | (0.75 | )% | 19,309 | ||||||||
Waste Management, Inc. | 1,141 | (1.48 | )% | 15,029 | ||||||||
MSA Safety, Inc. | 819 | (0.72 | )% | 13,597 | ||||||||
Union Pacific Corp. | 389 | (0.61 | )% | 13,112 | ||||||||
Eaton Corporation plc | 1,623 | (1.75 | )% | 12,145 | ||||||||
CH Robinson Worldwide, Inc. | 486 | (0.38 | )% | 6,347 | ||||||||
Exponent, Inc. | 1,451 | (1.03 | )% | 3,611 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ALPHA OPPORTUNITY FUND |
| Shares | Percentage | Value and | |||||||||
TransDigm Group, Inc. | 84 | (0.36 | )% | $ | 1,158 | |||||||
General Electric Co. | 1 | 0.00 | % | 20 | ||||||||
Casella Waste Systems, Inc. — Class A | 1,947 | (1.20 | )% | (28,777 | ) | |||||||
Total Industrial | 229,774 | |||||||||||
Utilities | ||||||||||||
Dominion Energy, Inc. | 2,721 | (1.52 | )% | 38,414 | ||||||||
Public Service Enterprise Group, Inc. | 1,286 | (0.58 | )% | 11,757 | ||||||||
Total Utilities | 50,171 | |||||||||||
Technology | ||||||||||||
MSCI, Inc. — Class A | 182 | (0.62 | )% | 8,385 | ||||||||
Veeva Systems, Inc. — Class A | 408 | (0.54 | )% | 4,476 | ||||||||
Total Technology | 12,861 | |||||||||||
Communications | ||||||||||||
Paramount Global — Class B | 4,471 | (0.69 | )% | 17,847 | ||||||||
Uber Technologies, Inc. | 3,785 | (0.81 | )% | (6,569 | ) | |||||||
Total Communications | 11,278 | |||||||||||
Total MS Equity Short Custom Basket | $ | 2,506,327 | ||||||||||
GS EQUITY LONG CUSTOM BASKET | ||||||||||||
Consumer, Non-cyclical | ||||||||||||
Regeneron Pharmaceuticals, Inc. | 67 | 0.71 | % | $ | 10,037 | |||||||
Bristol-Myers Squibb Co. | 1,115 | 1.17 | % | 9,361 | ||||||||
Vertex Pharmaceuticals, Inc. | 101 | 0.43 | % | 9,206 | ||||||||
Amphastar Pharmaceuticals, Inc. | 745 | 0.31 | % | 6,547 | ||||||||
AbbVie, Inc. | 486 | 0.97 | % | 5,912 | ||||||||
Merck & Company, Inc. | 402 | 0.51 | % | 3,752 | ||||||||
Archer-Daniels-Midland Co. | 721 | 0.86 | % | 2,705 | ||||||||
Eli Lilly & Co. | 95 | 0.45 | % | 1,211 | ||||||||
Globus Medical, Inc. — Class A | 260 | 0.23 | % | (170 | ) | |||||||
Varex Imaging Corp. | 2,886 | 0.90 | % | (654 | ) | |||||||
Medtronic plc | 251 | 0.30 | % | (1,368 | ) | |||||||
Hain Celestial Group, Inc. | 830 | 0.21 | % | (1,490 | ) | |||||||
Quest Diagnostics, Inc. | 122 | 0.22 | % | (1,615 | ) | |||||||
Universal Corp. | 529 | 0.36 | % | (1,750 | ) | |||||||
Innoviva, Inc. | 2,273 | 0.39 | % | (2,197 | ) | |||||||
CVS Health Corp. | 539 | 0.76 | % | (2,808 | ) | |||||||
Prestige Consumer Healthcare, Inc. | 1,128 | 0.83 | % | (2,927 | ) | |||||||
Altria Group, Inc. | 1,273 | 0.76 | % | (3,115 | ) | |||||||
Global Payments, Inc. | 157 | 0.25 | % | (3,287 | ) | |||||||
SpartanNash Co. | 1,177 | 0.51 | % | (3,583 | ) | |||||||
Conagra Brands, Inc. | 2,250 | 1.09 | % | (3,588 | ) | |||||||
Viatris, Inc. | 2,062 | 0.26 | % | (3,737 | ) | |||||||
Perdoceo Education Corp. | 6,310 | 0.96 | % | (3,899 | ) | |||||||
Ingredion, Inc. | 511 | 0.61 | % | (4,241 | ) | |||||||
Reynolds Consumer Products, Inc. | 2,171 | 0.84 | % | (4,426 | ) | |||||||
Quanex Building Products Corp. | 1,002 | 0.27 | % | (4,604 | ) | |||||||
United Therapeutics Corp. | 245 | 0.76 | % | (4,826 | ) | |||||||
Johnson & Johnson | 472 | 1.14 | % | (5,323 | ) | |||||||
John B Sanfilippo & Son, Inc. | 970 | 1.09 | % | (5,415 | ) | |||||||
Post Holdings, Inc. | 771 | 0.94 | % | (5,421 | ) | |||||||
Ironwood Pharmaceuticals, Inc. — Class A | 7,263 | 1.11 | % | (5,997 | ) | |||||||
EVERTEC, Inc. | 508 | 0.24 | % | (6,530 | ) | |||||||
Amgen, Inc. | 317 | 1.06 | % | (7,022 | ) | |||||||
Avery Dennison Corp. | 407 | 0.98 | % | (7,788 | ) | |||||||
Hologic, Inc. | 1,270 | 1.21 | % | (7,953 | ) | |||||||
Colgate-Palmolive Co. | 987 | 1.03 | % | (10,700 | ) | |||||||
Philip Morris International, Inc. | 654 | 0.80 | % | (10,863 | ) | |||||||
Sotera Health Co. | 1,398 | 0.14 | % | (12,890 | ) | |||||||
Mondelez International, Inc. — Class A | 1,276 | 1.04 | % | (13,025 | ) | |||||||
Integra LifeSciences Holdings Corp. | 1,075 | 0.67 | % | (14,270 | ) | |||||||
Pilgrim’s Pride Corp. | 2,462 | 0.84 | % | (14,945 | ) | |||||||
Vanda Pharmaceuticals, Inc. | 2,981 | 0.44 | % | (15,389 | ) | |||||||
Eagle Pharmaceuticals, Inc. | 1,076 | 0.42 | % | (18,147 | ) | |||||||
Tyson Foods, Inc. — Class A | 915 | 0.89 | % | (20,433 | ) | |||||||
USANA Health Sciences, Inc. | 1,048 | 0.87 | % | (26,719 | ) | |||||||
Total Consumer, Non-cyclical | (214,384 | ) | ||||||||||
Technology | ||||||||||||
Rambus, Inc. | 1,510 | 0.57 | % | 7,117 | ||||||||
CSG Systems International, Inc. | 312 | 0.24 | % | 2,419 | ||||||||
NetApp, Inc. | 354 | 0.32 | % | 1,199 | ||||||||
IPG Photonics Corp. | 316 | 0.39 | % | (1,411 | ) | |||||||
Amkor Technology, Inc. | 958 | 0.24 | % | (1,498 | ) | |||||||
Synaptics, Inc. | 139 | 0.20 | % | (1,820 | ) | |||||||
Hewlett Packard Enterprise Co. | 1,531 | 0.27 | % | (1,904 | ) | |||||||
Lumentum Holdings, Inc. | 204 | 0.21 | % | (2,105 | ) | |||||||
Fiserv, Inc. | 182 | 0.25 | % | (2,135 | ) | |||||||
Diodes, Inc. | 919 | 0.88 | % | (3,324 | ) | |||||||
ACI Worldwide, Inc. | 1,039 | 0.32 | % | (6,368 | ) | |||||||
Cirrus Logic, Inc. | 687 | 0.70 | % | (8,945 | ) | |||||||
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ALPHA OPPORTUNITY FUND |
| Shares | Percentage | Value and | |||||||||
Texas Instruments, Inc. | 373 | 0.85 | % | $ | (10,586 | ) | ||||||
SS&C Technologies Holdings, Inc. | 1,403 | 0.99 | % | (17,912 | ) | |||||||
Total Technology | (47,273 | ) | ||||||||||
Basic Materials | ||||||||||||
FMC Corp. | 164 | 0.26 | % | (347 | ) | |||||||
NewMarket Corp. | 118 | 0.53 | % | (812 | ) | |||||||
Ingevity Corp. | 336 | 0.30 | % | (869 | ) | |||||||
Nucor Corp. | 240 | 0.38 | % | (1,222 | ) | |||||||
Westlake Corp. | 177 | 0.23 | % | (1,681 | ) | |||||||
American Vanguard Corp. | 1,046 | 0.29 | % | (2,431 | ) | |||||||
Steel Dynamics, Inc. | 577 | 0.61 | % | (3,584 | ) | |||||||
Balchem Corp. | 411 | 0.74 | % | (4,531 | ) | |||||||
Mercer International, Inc. | 1,236 | 0.23 | % | (4,679 | ) | |||||||
Huntsman Corp. | 814 | 0.30 | % | (6,245 | ) | |||||||
AdvanSix, Inc. | 653 | 0.31 | % | (6,610 | ) | |||||||
LyondellBasell Industries N.V. — Class A | 445 | 0.50 | % | (7,055 | ) | |||||||
Eastman Chemical Co. | 743 | 0.78 | % | (16,581 | ) | |||||||
Minerals Technologies, Inc. | 1,188 | 0.87 | % | (19,382 | ) | |||||||
Total Basic Materials | (76,029 | ) | ||||||||||
Industrial | ||||||||||||
Dorian LPG Ltd. | 1,446 | 0.29 | % | 1,313 | ||||||||
EnPro Industries, Inc. | 400 | 0.50 | % | 190 | ||||||||
EMCOR Group, Inc. | 301 | 0.51 | % | (75 | ) | |||||||
Sanmina Corp. | 449 | 0.31 | % | (500 | ) | |||||||
Agilent Technologies, Inc. | 119 | 0.21 | % | (1,136 | ) | |||||||
Lennox International, Inc. | 61 | 0.20 | % | (1,268 | ) | |||||||
Louisiana-Pacific Corp. | 364 | 0.28 | % | (2,367 | ) | |||||||
TTM Technologies, Inc. | 1,350 | 0.26 | % | (2,432 | ) | |||||||
Arrow Electronics, Inc. | 296 | 0.40 | % | (2,566 | ) | |||||||
Snap-on, Inc. | 305 | 0.91 | % | (2,592 | ) | |||||||
Vishay Intertechnology, Inc. | 2,961 | 0.78 | % | (3,046 | ) | |||||||
Timken Co. | 661 | 0.58 | % | (3,293 | ) | |||||||
Packaging Corporation of America | 164 | 0.27 | % | (3,390 | ) | |||||||
AptarGroup, Inc. | 504 | 0.71 | % | (5,278 | ) | |||||||
Energizer Holdings, Inc. | 1,457 | 0.54 | % | (6,094 | ) | |||||||
Insteel Industries, Inc. | 595 | 0.23 | % | (6,357 | ) | |||||||
Standex International Corp. | 802 | 0.97 | % | (6,753 | ) | |||||||
OSI Systems, Inc. | 892 | 0.95 | % | (6,876 | ) | |||||||
Albany International Corp. — Class A | 611 | 0.71 | % | (7,815 | ) | |||||||
Sonoco Products Co. | 1,054 | 0.89 | % | (7,864 | ) | |||||||
Knowles Corp. | 1,892 | 0.34 | % | (9,729 | ) | |||||||
Eagle Materials, Inc. | 575 | 0.91 | % | (9,998 | ) | |||||||
Barnes Group, Inc. | 2,458 | 1.05 | % | (12,202 | ) | |||||||
Westrock Co. | 1,718 | 0.79 | % | (15,709 | ) | |||||||
Sturm Ruger & Company, Inc. | 1,079 | 0.81 | % | (18,956 | ) | |||||||
Total Industrial | (134,793 | ) | ||||||||||
Consumer, Cyclical | ||||||||||||
Papa John’s International, Inc. | 191 | 0.20 | % | (2,180 | ) | |||||||
GMS, Inc. | 526 | 0.31 | % | (2,577 | ) | |||||||
Allison Transmission Holdings, Inc. | 1,168 | 0.58 | % | (2,662 | ) | |||||||
McDonald’s Corp. | 136 | 0.46 | % | (3,804 | ) | |||||||
Home Depot, Inc. | 220 | 0.90 | % | (4,103 | ) | |||||||
Methode Electronics, Inc. | 1,134 | 0.62 | % | (5,343 | ) | |||||||
Boyd Gaming Corp. | 704 | 0.50 | % | (5,377 | ) | |||||||
Haverty Furniture Companies, Inc. | 1,577 | 0.58 | % | (6,082 | ) | |||||||
Brunswick Corp. | 775 | 0.75 | % | (9,600 | ) | |||||||
G-III Apparel Group Ltd. | 2,033 | 0.45 | % | (11,786 | ) | |||||||
Total Consumer, Cyclical | (53,514 | ) | ||||||||||
Communications | ||||||||||||
T-Mobile US, Inc. | 430 | 0.85 | % | 397 | ||||||||
Viavi Solutions, Inc. | 3,732 | 0.72 | % | (394 | ) | |||||||
Alphabet, Inc. — Class C | 141 | 0.20 | % | (2,436 | ) | |||||||
VeriSign, Inc. | 235 | 0.60 | % | (2,961 | ) | |||||||
Cisco Systems, Inc. | 658 | 0.39 | % | (3,260 | ) | |||||||
Meta Platforms, Inc. — Class A | 384 | 0.77 | % | (8,421 | ) | |||||||
Gogo, Inc. | 2,310 | 0.41 | % | (13,294 | ) | |||||||
Verizon Communications, Inc. | 1,613 | 0.91 | % | (20,307 | ) | |||||||
InterDigital, Inc. | 1,162 | 0.70 | % | (28,424 | ) | |||||||
Total Communications | (79,100 | ) | ||||||||||
Energy | ||||||||||||
Equitrans Midstream Corp. | 3,541 | 0.39 | % | 1,852 | ||||||||
HF Sinclair Corp. | 963 | 0.77 | % | 1,148 | ||||||||
Marathon Petroleum Corp. | 580 | 0.85 | % | 962 | ||||||||
REX American Resources Corp. | 772 | 0.32 | % | (791 | ) | |||||||
CVR Energy, Inc. | 597 | 0.26 | % | (1,502 | ) | |||||||
Valero Energy Corp. | 421 | 0.67 | % | (2,183 | ) | |||||||
ONEOK, Inc. | 313 | 0.24 | % | (2,750 | ) | |||||||
Phillips 66 | 742 | 0.89 | % | (3,775 | ) | |||||||
DT Midstream, Inc. | 1,155 | 0.89 | % | (3,940 | ) | |||||||
Williams Companies, Inc. | 877 | 0.37 | % | (3,952 | ) | |||||||
Targa Resources Corp. | 534 | 0.48 | % | (4,205 | ) | |||||||
Kinder Morgan, Inc. | 3,782 | 0.93 | % | (4,294 | ) | |||||||
Exxon Mobil Corp. | 484 | 0.63 | % | (4,677 | ) | |||||||
Chevron Corp. | 433 | 0.92 | % | (5,109 | ) | |||||||
Antero Midstream Corp. | 6,342 | 0.86 | % | (5,638 | ) | |||||||
SunCoke Energy, Inc. | 3,553 | 0.31 | % | (9,227 | ) | |||||||
Total Energy | (48,081 | ) | ||||||||||
Financial | ||||||||||||
S&T Bancorp, Inc. | 2,630 | 1.14 | % | 2,906 | ||||||||
NMI Holdings, Inc. — Class A | 971 | 0.29 | % | 1,923 | ||||||||
Everest Re Group Ltd. | 106 | 0.41 | % | 985 | ||||||||
Getty Realty Corp. | 1,205 | 0.48 | % | 632 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ALPHA OPPORTUNITY FUND |
| Shares | Percentage | Value and | |||||||||
Associated Banc-Corp. | 3,919 | 1.17 | % | $ | 434 | |||||||
Bank of Hawaii Corp. | 299 | 0.34 | % | (491 | ) | |||||||
PennyMac Financial Services, Inc. | 414 | 0.26 | % | (1,827 | ) | |||||||
Preferred Bank/Los Angeles CA | 948 | 0.92 | % | (1,827 | ) | |||||||
Marcus & Millichap, Inc. | 695 | 0.34 | % | (2,929 | ) | |||||||
Hilltop Holdings, Inc. | 1,094 | 0.40 | % | (4,065 | ) | |||||||
National Bank Holdings Corp. — Class A | 1,510 | 0.83 | % | (5,962 | ) | |||||||
Renasant Corp. | 2,805 | 1.30 | % | (6,279 | ) | |||||||
Pathward Financial, Inc. | 492 | 0.24 | % | (7,510 | ) | |||||||
Central Pacific Financial Corp. | 1,587 | 0.49 | % | (9,205 | ) | |||||||
BankUnited, Inc. | 2,175 | 1.10 | % | (9,325 | ) | |||||||
Highwoods Properties, Inc. | 954 | 0.38 | % | (10,383 | ) | |||||||
Stewart Information Services Corp. | 702 | 0.45 | % | (11,051 | ) | |||||||
Eagle Bancorp, Inc. | 1,648 | 1.09 | % | (12,998 | ) | |||||||
Global Net Lease, Inc. | 5,529 | 0.87 | % | (20,378 | ) | |||||||
Office Properties Income Trust | 3,077 | 0.64 | % | (20,840 | ) | |||||||
Total Financial | (118,190 | ) | ||||||||||
Utilities | ||||||||||||
Otter Tail Corp. | 540 | 0.49 | % | (720 | ) | |||||||
Chesapeake Utilities Corp. | 427 | 0.73 | % | (2,141 | ) | |||||||
Avista Corp. | 1,525 | 0.84 | % | (5,676 | ) | |||||||
PPL Corp. | 2,106 | 0.79 | % | (8,034 | ) | |||||||
MGE Energy, Inc. | 794 | 0.77 | % | (8,341 | ) | |||||||
Duke Energy Corp. | 568 | 0.78 | % | (9,419 | ) | |||||||
Portland General Electric Co. | 1,286 | 0.83 | % | (9,464 | ) | |||||||
WEC Energy Group, Inc. | 588 | 0.78 | % | (9,613 | ) | |||||||
NorthWestern Corp. | 881 | 0.64 | % | (9,664 | ) | |||||||
NiSource, Inc. | 2,061 | 0.77 | % | (10,291 | ) | |||||||
UGI Corp. | 1,602 | 0.77 | % | (15,027 | ) | |||||||
Total Utilities | (88,390 | ) | ||||||||||
Total GS Equity Long Custom Basket | $ | (859,754 | ) | |||||||||
GS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Consumer, Non-cyclical | ||||||||||||
TransUnion | 3,017 | (1.48 | )% | $ | 101,455 | |||||||
Equifax, Inc. | 747 | (1.06 | )% | 63,110 | ||||||||
ASGN, Inc. | 1,669 | (1.24 | )% | 50,661 | ||||||||
Viad Corp. | 3,299 | (0.86 | )% | 41,187 | ||||||||
Verisk Analytics, Inc. — Class A | 1,039 | (1.46 | )% | 37,698 | ||||||||
CoStar Group, Inc. | 1,343 | (0.77 | )% | 24,340 | ||||||||
Patterson Companies, Inc. | 3,514 | (0.70 | )% | 23,031 | ||||||||
ABM Industries, Inc. | 3,949 | (1.24 | )% | 21,492 | ||||||||
Cintas Corp. | 466 | (1.49 | )% | 17,200 | ||||||||
FTI Consulting, Inc. | 289 | (0.39 | )% | 6,311 | ||||||||
Driven Brands Holdings, Inc. | 4,512 | (1.04 | )% | 4,775 | ||||||||
Quanta Services, Inc. | 792 | (0.83 | )% | 3,671 | ||||||||
Robert Half International, Inc. | 709 | (0.45 | )% | 540 | ||||||||
Total Consumer, Non-cyclical | 395,471 | |||||||||||
Financial | ||||||||||||
Signature Bank | 826 | (1.03 | )% | 78,255 | ||||||||
Howard Hughes Corp. | 2,315 | (1.06 | )% | 76,091 | ||||||||
Welltower, Inc. | 2,860 | (1.52 | )% | 68,434 | ||||||||
Western Alliance Bancorporation | 1,815 | (0.98 | )% | 63,877 | ||||||||
Equinix, Inc. | 310 | (1.45 | )% | 63,784 | ||||||||
Outfront Media, Inc. | 5,776 | (0.72 | )% | 54,960 | ||||||||
Sun Communities, Inc. | 1,048 | (1.17 | )% | 53,849 | ||||||||
Americold Realty Trust, Inc. | 4,839 | (0.98 | )% | 50,247 | ||||||||
Invitation Homes, Inc. | 5,905 | (1.64 | )% | 45,431 | ||||||||
Kite Realty Group Trust | 10,056 | (1.43 | )% | 44,484 | ||||||||
Crown Castle, Inc. | 1,148 | (1.37 | )% | 42,757 | ||||||||
Rexford Industrial Realty, Inc. | 3,138 | (1.34 | )% | 42,404 | ||||||||
State Street Corp. | 1,547 | (0.78 | )% | 41,799 | ||||||||
KKR & Company, Inc. — Class A | 2,924 | (1.04 | )% | 35,436 | ||||||||
Digital Realty Trust, Inc. | 1,273 | (1.04 | )% | 33,023 | ||||||||
Realty Income Corp. | 2,184 | (1.05 | )% | 31,272 | ||||||||
Ares Management Corp. — Class A | 1,865 | (0.95 | )% | 31,115 | ||||||||
Apollo Global Management, Inc. | 2,796 | (1.07 | )% | 30,889 | ||||||||
Ryman Hospitality Properties, Inc. | 1,906 | (1.16 | )% | 29,998 | ||||||||
Bank of America Corp. | 3,756 | (0.93 | )% | 28,236 | ||||||||
BlackRock, Inc. — Class A | 220 | (1.00 | )% | 26,850 | ||||||||
Iron Mountain, Inc. | 3,917 | (1.42 | )% | 25,266 | ||||||||
Invesco Ltd. | 9,033 | (1.02 | )% | 25,156 | ||||||||
SBA Communications Corp. | 465 | (1.09 | )% | 22,747 | ||||||||
Kennedy-Wilson Holdings, Inc. | 2,845 | (0.36 | )% | 20,546 | ||||||||
Equitable Holdings, Inc. | 6,665 | (1.45 | )% | 20,066 | ||||||||
American Tower Corp. — Class A | 563 | (1.00 | )% | 19,930 | ||||||||
Extra Space Storage, Inc. | 587 | (0.84 | )% | 18,489 | ||||||||
First Republic Bank | 589 | (0.63 | )% | 17,976 | ||||||||
SLM Corp. | 3,096 | (0.36 | )% | 17,725 | ||||||||
Northern Trust Corp. | 1,189 | (0.84 | )% | 16,882 | ||||||||
Ventas, Inc. | 1,987 | (0.66 | )% | 16,475 | ||||||||
Xenia Hotels & Resorts, Inc. | 3,475 | (0.39 | )% | 15,621 | ||||||||
Independence Realty Trust, Inc. | 3,706 | (0.51 | )% | 14,644 | ||||||||
Public Storage | 287 | (0.69 | )% | 13,863 | ||||||||
Marsh & McLennan Companies, Inc. | 851 | (1.05 | )% | 12,943 | ||||||||
Alexandria Real Estate Equities, Inc. | 924 | (1.07 | )% | 12,459 |
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ALPHA OPPORTUNITY FUND |
| Shares | Percentage | Value and | |||||||||
Wells Fargo & Co. | 2,872 | (0.95 | )% | $ | 11,726 | |||||||
Morgan Stanley | 2,064 | (1.34 | )% | 10,489 | ||||||||
CBRE Group, Inc. — Class A | 979 | (0.54 | )% | 10,203 | ||||||||
Life Storage, Inc. | 512 | (0.47 | )% | 10,185 | ||||||||
Intercontinental Exchange, Inc. | 824 | (0.61 | )% | 9,276 | ||||||||
Progressive Corp. | 841 | (0.81 | )% | 8,088 | ||||||||
Popular, Inc. | 1,486 | (0.88 | )% | 8,018 | ||||||||
Comerica, Inc. | 1,870 | (1.10 | )% | 6,746 | ||||||||
Assurant, Inc. | 372 | (0.45 | )% | 5,914 | ||||||||
Mid-America Apartment Communities, Inc. | 278 | (0.36 | )% | 3,975 | ||||||||
Allstate Corp. | 494 | (0.51 | )% | (119 | ) | |||||||
Cullen/Frost Bankers, Inc. | 556 | (0.61 | )% | (494 | ) | |||||||
Charles Schwab Corp. | 1,378 | (0.82 | )% | (632 | ) | |||||||
Arthur J Gallagher & Co. | 379 | (0.53 | )% | (3,505 | ) | |||||||
LPL Financial Holdings, Inc. | 511 | (0.92 | )% | (18,915 | ) | |||||||
Total Financial | 1,324,934 | |||||||||||
Consumer, Cyclical | ||||||||||||
MillerKnoll, Inc. | 6,162 | (0.79 | )% | 133,259 | ||||||||
American Airlines Group, Inc. | 8,785 | (0.87 | )% | 43,024 | ||||||||
Healthcare Services Group, Inc. | 6,870 | (0.68 | )% | 33,999 | ||||||||
CarMax, Inc. | 724 | (0.39 | )% | 25,187 | ||||||||
Copart, Inc. | 1,931 | (1.69 | )% | 22,044 | ||||||||
Genuine Parts Co. | 1,393 | (1.71 | )% | 16,352 | ||||||||
Hilton Worldwide Holdings, Inc. | 636 | (0.63 | )% | 16,128 | ||||||||
Dana, Inc. | 4,334 | (0.41 | )% | 13,603 | ||||||||
Live Nation Entertainment, Inc. | 827 | (0.52 | )% | 11,728 | ||||||||
Delta Air Lines, Inc. | �� | 3,157 | (0.73 | )% | 11,157 | |||||||
Southwest Airlines Co. | 1,330 | (0.34 | )% | 10,892 | ||||||||
Lear Corp. | 501 | (0.49 | )% | 8,784 | ||||||||
Tesla, Inc. | 147 | (0.32 | )% | 6,102 | ||||||||
Floor & Decor Holdings, Inc. — Class A | 886 | (0.51 | )% | 4,231 | ||||||||
WESCO International, Inc. | 716 | (0.70 | )% | 2,114 | ||||||||
Royal Caribbean Cruises Ltd. | 1,291 | (0.40 | )% | (3,005 | ) | |||||||
Las Vegas Sands Corp. | 2,328 | (0.72 | )% | (3,323 | ) | |||||||
Total Consumer, Cyclical | 352,276 | |||||||||||
Energy | ||||||||||||
Patterson-UTI Energy, Inc. | 6,660 | (0.64 | )% | 35,558 | ||||||||
Helmerich & Payne, Inc. | 2,694 | (0.82 | )% | 27,965 | ||||||||
Baker Hughes Co. | 5,504 | (0.95 | )% | 22,100 | ||||||||
Hess Corp. | 1,228 | (1.10 | )% | 14,538 | ||||||||
NexTier Oilfield Solutions, Inc. | 8,065 | (0.49 | )% | 10,274 | ||||||||
ChampionX Corp. | 3,080 | (0.50 | )% | 5,405 | ||||||||
Liberty Energy, Inc. — Class A | 5,275 | (0.55 | )% | 5,030 | ||||||||
Continental Resources, Inc. | 909 | (0.50 | )% | 1,247 | ||||||||
Valaris Ltd. | 1,689 | (0.68 | )% | 1,110 | ||||||||
Schlumberger N.V. | 4,056 | (1.20 | )% | 357 | ||||||||
Equities Corp. | 1,534 | (0.52 | )% | (9,396 | ) | |||||||
EOG Resources, Inc. | 1,537 | (1.42 | )% | (12,746 | ) | |||||||
Total Energy | 101,442 | |||||||||||
Industrial | ||||||||||||
Stanley Black & Decker, Inc. | 1,279 | (0.79 | )% | 50,756 | ||||||||
Stericycle, Inc. | 1,132 | (0.39 | )% | 36,287 | ||||||||
Boeing Co. | 929 | (0.93 | )% | 35,306 | ||||||||
Jacobs Solutions, Inc. | 1,502 | (1.34 | )% | 30,275 | ||||||||
Old Dominion Freight Line, Inc. | 472 | (0.97 | )% | 21,118 | ||||||||
CSX Corp. | 3,493 | (0.77 | )% | 19,119 | ||||||||
Waste Management, Inc. | 1,141 | (1.51 | )% | 14,597 | ||||||||
MSA Safety, Inc. | 819 | (0.74 | )% | 13,596 | ||||||||
Union Pacific Corp. | 389 | (0.62 | )% | 13,054 | ||||||||
Eaton Corporation plc | 1,623 | (1.78 | )% | 10,852 | ||||||||
CH Robinson Worldwide, Inc. | 486 | (0.39 | )% | 6,167 | ||||||||
Exponent, Inc. | 1,451 | (1.05 | )% | 3,546 | ||||||||
TransDigm Group, Inc. | 84 | (0.36 | )% | 1,169 | ||||||||
Casella Waste Systems, Inc. — Class A | 1,947 | (1.23 | )% | (28,813 | ) | |||||||
Total Industrial | 227,029 | |||||||||||
Utilities | ||||||||||||
Dominion Energy, Inc. | 2,721 | (1.55 | )% | 38,333 | ||||||||
Public Service Enterprise Group, Inc. | 1,286 | (0.60 | )% | 11,942 | ||||||||
Total Utilities | 50,275 | |||||||||||
Technology | ||||||||||||
MSCI, Inc. — Class A | 182 | (0.63 | )% | 8,583 | ||||||||
Veeva Systems, Inc. — Class A | 408 | (0.55 | )% | 4,379 | ||||||||
Total Technology | 12,962 | |||||||||||
Communications | ||||||||||||
Paramount Global — Class B | 4,471 | (0.70 | )% | 17,862 | ||||||||
Uber Technologies, Inc. | 3,785 | (0.83 | )% | (6,472 | ) | |||||||
Total Communications | 11,390 | |||||||||||
Total GS Equity Short Custom Basket | $ | 2,475,779 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 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 | Rate indicated is the 7-day yield as of September 30, 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 September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 25,950,665 | $ | — | $ | — | $ | 25,950,665 | ||||||||
Money Market Fund | 1,359,913 | — | — | 1,359,913 | ||||||||||||
Equity Custom Basket Swap Agreements** | — | 4,982,106 | — | 4,982,106 | ||||||||||||
Total Assets | $ | 27,310,578 | $ | 4,982,106 | $ | — | $ | 32,292,684 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Custom Basket Swap Agreements** | $ | — | $ | 1,723,056 | $ | — | $ | 1,723,056 | ||||||||
Total Liabilities | $ | — | $ | 1,723,056 | $ | — | $ | 1,723,056 | ||||||||
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ALPHA OPPORTUNITY FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2022 |
Assets: | ||||
Investments, at value (cost $31,116,321) | $ | 27,310,578 | ||
Unrealized appreciation on OTC swap agreements | 4,982,106 | |||
Prepaid expenses | 29,674 | |||
Receivables: | ||||
Dividends | 32,136 | |||
Interest | 2,744 | |||
Fund shares sold | 884 | |||
Total assets | 32,358,122 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 4,228 | |||
Unrealized depreciation on OTC swap agreements | 1,723,056 | |||
Payable for: | ||||
Swap settlement | 456,733 | |||
Management fees | 21,065 | |||
Trustees’ fees* | 4,775 | |||
Transfer agent/maintenance fees | 4,449 | |||
Fund accounting/administration fees | 4,447 | |||
Due to Investment Adviser | 1,054 | |||
Distribution and service fees | 1,046 | |||
Fund shares redeemed | 2 | |||
Miscellaneous | 50,107 | |||
Total liabilities | 2,270,962 | |||
Net assets | $ | 30,087,160 | ||
Net assets consist of: | ||||
Paid in capital | $ | 59,769,241 | ||
Total distributable earnings (loss) | (29,682,081 | ) | ||
Net assets | $ | 30,087,160 | ||
A-Class: | ||||
Net assets | $ | 2,610,235 | ||
Capital shares outstanding | 155,985 | |||
Net asset value per share | $ | 16.73 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 17.56 | ||
C-Class: | ||||
Net assets | $ | 195,220 | ||
Capital shares outstanding | 13,380 | |||
Net asset value per share | $ | 14.59 | ||
P-Class: | ||||
Net assets | $ | 1,650,139 | ||
Capital shares outstanding | 97,818 | |||
Net asset value per share | $ | 16.87 | ||
Institutional Class: | ||||
Net assets | $ | 25,631,566 | ||
Capital shares outstanding | 1,042,258 | |||
Net asset value per share | $ | 24.59 | ||
STATEMENT OF OPERATIONS |
Year Ended September 30, 2022 |
Investment Income: | ||||
Dividends | $ | 731,726 | ||
Interest | 8,213 | |||
Total investment income | 739,939 | |||
Expenses: | ||||
Management fees | 310,045 | |||
Distribution and service fees: | ||||
A-Class | 7,410 | |||
C-Class | 2,473 | |||
P-Class | 4,602 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 6,635 | |||
C-Class | 796 | |||
P-Class | 2,382 | |||
Institutional Class | 20,607 | |||
Registration fees | 62,698 | |||
Professional fees | 41,470 | |||
Fund accounting/administration fees | 30,736 | |||
Trustees’ fees* | 12,857 | |||
Custodian fees | 11,597 | |||
Line of credit fees | 1,025 | |||
Miscellaneous | 14,585 | |||
Recoupment of previously waived fees: | ||||
A-Class | 738 | |||
C-Class | 68 | |||
P-Class | 572 | |||
Institutional Class | 17,352 | |||
Total expenses | 548,648 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (4,358 | ) | ||
C-Class | (596 | ) | ||
P-Class | (1,078 | ) | ||
Institutional Class | (8,066 | ) | ||
Expenses waived by Adviser | (541 | ) | ||
Total waived/reimbursed expenses | (14,639 | ) | ||
Net expenses | 534,009 | |||
Net investment income | 205,930 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (567,224 | ) | ||
Swap agreements | (774,197 | ) | ||
Net realized loss | (1,341,421 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (4,362,603 | ) | ||
Swap agreements | 3,531,961 | |||
Net change in unrealized appreciation (depreciation) | (830,642 | ) | ||
Net realized and unrealized loss | (2,172,063 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,966,133 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
ALPHA OPPORTUNITY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 205,930 | $ | 282,314 | ||||
Net realized gain (loss) on investments | (1,341,421 | ) | 923,696 | |||||
Net change in unrealized appreciation (depreciation) on investments | (830,642 | ) | 1,826,972 | |||||
Net increase (decrease) in net assets resulting from operations | (1,966,133 | ) | 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 | 166,738 | 168,044 | ||||||
C-Class | 980 | 3,300 | ||||||
P-Class | 150,241 | 941,686 | ||||||
Institutional Class | 458,517 | 434,959 | ||||||
Distributions reinvested | ||||||||
A-Class | 22,964 | 39,965 | ||||||
C-Class | 525 | 628 | ||||||
P-Class | 17,637 | 18,203 | ||||||
Institutional Class | 234,219 | 345,735 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (413,839 | ) | (814,018 | ) | ||||
C-Class | (70,209 | ) | (102,868 | ) | ||||
P-Class | (245,270 | ) | (351,042 | ) | ||||
Institutional Class | (2,939,045 | ) | (5,557,148 | ) | ||||
Net decrease from capital share transactions | (2,616,542 | ) | (4,872,556 | ) | ||||
Net decrease in net assets | (4,864,989 | ) | (2,251,526 | ) | ||||
Net assets: | ||||||||
Beginning of year | 34,952,149 | 37,203,675 | ||||||
End of year | $ | 30,087,160 | $ | 34,952,149 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 8,794 | 9,329 | ||||||
C-Class | 61 | 215 | ||||||
P-Class | 8,039 | 52,371 | ||||||
Institutional Class | 16,552 | 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 | (22,446 | ) | (46,125 | ) | ||||
C-Class | (4,318 | ) | (6,688 | ) | ||||
P-Class | (12,977 | ) | (19,588 | ) | ||||
Institutional Class | (108,537 | ) | (212,990 | ) | ||||
Net decrease in shares | (104,597 | ) | (189,513 | ) | ||||
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ALPHA OPPORTUNITY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 18.05 | $ | 16.89 | $ | 17.42 | $ | 19.15 | $ | 21.10 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .07 | .10 | .11 | .12 | .10 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.23 | ) | 1.27 | (.48 | ) | (1.64 | ) | (.60 | ) | |||||||||||
Total from investment operations | (1.16 | ) | 1.37 | (.37 | ) | (1.52 | ) | (.50 | ) | |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.16 | ) | (.21 | ) | (.16 | ) | (.21 | ) | — | |||||||||||
Net realized gains | — | — | — | — | (1.45 | ) | ||||||||||||||
Total distributions | (.16 | ) | (.21 | ) | (.16 | ) | (.21 | ) | (1.45 | ) | ||||||||||
Net asset value, end of period | $ | 16.73 | $ | 18.05 | $ | 16.89 | $ | 17.42 | $ | 19.15 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (6.55 | %) | 8.17 | % | (2.15 | %) | (7.97 | %) | (2.90 | %) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,610 | $ | 3,042 | $ | 3,429 | $ | 7,326 | $ | 11,243 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.39 | % | 0.56 | % | 0.65 | % | 0.64 | % | 0.51 | % | ||||||||||
Total expensesc | 1.91 | % | 1.94 | % | 1.73 | % | 1.65 | % | 1.54 | % | ||||||||||
Net expensesd,e,f | 1.76 | % | 1.76 | % | 1.69 | % | 1.64 | % | 1.54 | % | ||||||||||
Portfolio turnover rate | 283 | % | 169 | % | 209 | % | 126 | % | 255 | % | ||||||||||
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 15.76 | $ | 14.71 | $ | 15.16 | $ | 16.61 | $ | 18.62 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.06 | ) | (.03 | ) | (.02 | ) | (.03 | ) | (.05 | ) | ||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.08 | ) | 1.11 | (.43 | ) | (1.42 | ) | (.51 | ) | |||||||||||
Total from investment operations | (1.14 | ) | 1.08 | (.45 | ) | (1.45 | ) | (.56 | ) | |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.03 | ) | (.03 | ) | — | — | — | |||||||||||||
Net realized gains | — | — | — | — | (1.45 | ) | ||||||||||||||
Total distributions | (.03 | ) | (.03 | ) | — | — | (1.45 | ) | ||||||||||||
Net asset value, end of period | $ | 14.59 | $ | 15.76 | $ | 14.71 | $ | 15.16 | $ | 16.61 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (7.25 | %) | 7.37 | % | (2.97 | %) | (8.73 | %) | (3.65 | %) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 195 | $ | 277 | $ | 354 | $ | 702 | $ | 1,036 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.37 | %) | (0.19 | %) | (0.15 | %) | (0.20 | %) | (0.31 | %) | ||||||||||
Total expensesc | 2.75 | % | 2.75 | % | 2.72 | % | 2.55 | % | 2.34 | % | ||||||||||
Net expensesd,e,f | 2.51 | % | 2.51 | % | 2.51 | % | 2.48 | % | 2.31 | % | ||||||||||
Portfolio turnover rate | 283 | % | 169 | % | 209 | % | 126 | % | 255 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
ALPHA OPPORTUNITY FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 18.21 | $ | 17.06 | $ | 17.56 | $ | 19.23 | $ | 21.19 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .07 | .10 | .12 | .11 | .10 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.24 | ) | 1.28 | (.49 | ) | (1.64 | ) | (.61 | ) | |||||||||||
Total from investment operations | (1.17 | ) | 1.38 | (.37 | ) | (1.53 | ) | (.51 | ) | |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.17 | ) | (.23 | ) | (.13 | ) | (.14 | ) | — | |||||||||||
Net realized gains | — | — | — | — | (1.45 | ) | ||||||||||||||
Total distributions | (.17 | ) | (.23 | ) | (.13 | ) | (.14 | ) | (1.45 | ) | ||||||||||
Net asset value, end of period | $ | 16.87 | $ | 18.21 | $ | 17.06 | $ | 17.56 | $ | 19.23 | ||||||||||
| ||||||||||||||||||||
Total Return | (6.54 | %) | 8.17 | % | (2.11 | %) | (7.99 | %) | (2.93 | %) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,650 | $ | 1,855 | $ | 1,161 | $ | 1,905 | $ | 4,525 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.39 | % | 0.54 | % | 0.70 | % | 0.59 | % | 0.47 | % | ||||||||||
Total expensesc | 1.82 | % | 1.96 | % | 1.67 | % | 1.67 | % | 1.58 | % | ||||||||||
Net expensesd,e,f | 1.76 | % | 1.76 | % | 1.64 | % | 1.66 | % | 1.57 | % | ||||||||||
Portfolio turnover rate | 283 | % | 169 | % | 209 | % | 126 | % | 255 | % | ||||||||||
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ALPHA OPPORTUNITY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 26.44 | $ | 24.65 | $ | 25.37 | $ | 27.77 | $ | 29.86 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .17 | .22 | .25 | .28 | .27 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.81 | ) | 1.85 | (.72 | ) | (2.37 | ) | (.91 | ) | |||||||||||
Total from investment operations | (1.64 | ) | 2.07 | (.47 | ) | (2.09 | ) | (.64 | ) | |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.21 | ) | (.28 | ) | (.25 | ) | (.31 | ) | — | |||||||||||
Net realized gains | — | — | — | — | (1.45 | ) | ||||||||||||||
Total distributions | (.21 | ) | (.28 | ) | (.25 | ) | (.31 | ) | (1.45 | ) | ||||||||||
Net asset value, end of period | $ | 24.59 | $ | 26.44 | $ | 24.65 | $ | 25.37 | $ | 27.77 | ||||||||||
| ||||||||||||||||||||
Total Return | (6.31 | %) | 8.46 | % | (1.87 | %) | (7.57 | %) | (2.50 | %) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 25,632 | $ | 29,778 | $ | 32,260 | $ | 79,318 | $ | 181,095 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.64 | % | 0.82 | % | 1.00 | % | 1.05 | % | 0.94 | % | ||||||||||
Total expensesc | 1.54 | % | 1.58 | % | 1.36 | % | 1.22 | % | 1.12 | % | ||||||||||
Net expensesd,e,f | 1.51 | % | 1.50 | % | 1.36 | % | 1.21 | % | 1.12 | % | ||||||||||
Portfolio turnover rate | 283 | % | 169 | % | 209 | % | 126 | % | 255 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | 0.02% | 0.01% | 0.02% | 0.09% | 0.02% | |
C-Class | 0.03% | 0.01% | 0.01% | 0.04% | 0.07% | |
P-Class | 0.03% | 0.01% | 0.01% | 0.03% | 0.04% | |
Institutional Class | 0.06% | 0.02% | 0.00%* | 0.00%* | — |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | 1.76% | 1.76% | 1.69% | 1.64% | 1.52% | |
C-Class | 2.51% | 2.51% | 2.51% | 2.48% | 2.30% | |
P-Class | 1.76% | 1.76% | 1.64% | 1.66% | 1.56% | |
Institutional Class | 1.50% | 1.50% | 1.36% | 1.21% | 1.11% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim Large Cap Value Fund (the “Fund”). The Fund is managed by a team of seasoned professionals, led by David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; James Schier, CFA, Senior Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Gregg Strohkorb, CFA, Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of -6.43%1,outperforming the Russell 1000 Value Index (“Index”), the Fund’s benchmark, which returned -11.36% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
After a positive start during the early months of the Reporting Period, the market as a whole came under pressure as the Fed strove to contain inflation by raising rates at the same time that the market had to deal with the uncertainty over the Ukraine invasion. The Fund’s general focus towards quality companies (those with better balance sheets than peers) that meet our valuation parameters tended to position the holdings well in most sectors. In fact, the Fund experienced significant positive contributions from our security selection and sector allocation.
The Fund had an overweight to the Energy sector throughout the period, which contributed the most to the Fund’s outperformance versus its benchmark. The Fund’s holdings within the Energy sector returned over 40% during the period while the overall benchmark recorded an -11.4% loss. EQT Corp., a natural gas producer, was up over 80% as natural gas prices spiked as a result of the Russian Ukraine War and Europe’s supply of natural gas being curtailed. Marathon Oil and ConocoPhillips, both oil producers, performed extremely well as oil prices improved and the companies exercised capital discipline throughout 2022. Another positive contributor to performance was the Fund’s overweight to the Utilities sector. Constellation Energy, a spin-off from Exelon Corp., fared well as passage of the Inflation Reduction Act favored companies with nuclear power generation assets. One of the best performers in the Fund was McKesson Corp., within the Health Care sector, as it continued to grow revenue and earnings in its U.S. businesses and divested some of its European businesses.
The Fund’s largest detractor from performance was PVH Corp., a clothing and apparel company. The company’s European exposure held back sales and profitability throughout the year. Two other poor performers for the Fund were in the Technology sector, Qorvo, Inc. and Skyworks Solutions. Both companies have products that sell to the smartphone and mobile infrastructure industries which have experienced reduced demand post-pandemic.
How was the Fund positioned at the end of the Reporting Period?
The market outlook is unusually cloudy. In addition to the geopolitical uncertainty that appears to be potentially significant, the market must contend with a hawkish Federal Reserve. Together, this provides a challenging environment for economic growth. All of this, however, does not change our process which is heavily bottom-up driven.
At the end of the Reporting Period, the Fund held an overweight to the Utilities sector and a similar size underweight to the REITs sector. Both sectors are interest rate-sensitive, but we favor Utilities because of the valuations, profitability, and regulatory nature of the businesses within this sector. We are also overweight the Energy and Materials sectors, two sectors that are expected to trade at attractive valuations and have ample free cash flow to re-invest in their businesses and return capital to shareholders. The Fund is underweight to the Financials and Health Care sectors. Higher interest rates may benefit the Financials sector, but a possible looming recession could increase credit costs and depress earnings. Within the Health Care sector, the Fund is primarily underweight to the Pharmaceuticals sector, which has performed well, but which may provide disappointing earnings and cash flow post-pandemic.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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) | |
iShares Russell 1000 Value ETF | 3.8% |
Berkshire Hathaway, Inc. — Class B | 2.6% |
Chevron Corp. | 2.6% |
JPMorgan Chase & Co. | 2.6% |
Johnson & Johnson | 2.6% |
Humana, Inc. | 2.3% |
Bank of America Corp. | 2.1% |
Alphabet, Inc. — Class A | 2.0% |
Tyson Foods, Inc. — Class A | 1.9% |
OGE Energy Corp. | 1.9% |
Top Ten Total | 24.4% |
“Ten Largest Holdings” excludes any temporary cash investments. | |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | 10 Year |
A Class Shares | (6.43%) | 5.82% | 9.10% |
A-Class Shares with sales charge‡ | (10.88%) | 4.80% | 8.57% |
C Class Shares | (7.13%) | 5.03% | 8.28% |
C-Class Shares with CDSC§ | (7.99%) | 5.03% | 8.28% |
Russell 1000 Value Index | (11.36%) | 5.29% | 9.17% |
| 1 Year | 5 Year | Since |
P Class Shares | (6.44%) | 5.82% | 6.72% |
Russell 1000 Value Index | (11.36%) | 5.29% | 6.17% |
| 1 Year | 5 Year | Since |
Institutional Class Shares | (6.20%) | 6.08% | 8.03% |
Russell 1000 Value Index | (11.36%) | 5.29% | 7.78% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 1000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures. |
‡ | Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 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. |
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
LARGE CAP VALUE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 93.2% | ||||||||
Consumer, Non-cyclical - 20.9% | ||||||||
Johnson & Johnson | 5,891 | $ | 962,354 | |||||
Humana, Inc. | 1,783 | 865,094 | ||||||
Tyson Foods, Inc. — Class A | 11,064 | 729,449 | ||||||
Quest Diagnostics, Inc. | 4,551 | 558,362 | ||||||
Medtronic plc | 6,416 | 518,092 | ||||||
Merck & Company, Inc. | 5,702 | 491,056 | ||||||
Ingredion, Inc. | 5,963 | 480,141 | ||||||
J M Smucker Co. | 3,422 | 470,217 | ||||||
McKesson Corp. | 1,287 | 437,413 | ||||||
Archer-Daniels-Midland Co. | 4,742 | 381,494 | ||||||
Bunge Ltd. | 4,570 | 377,345 | ||||||
Henry Schein, Inc.* | 5,653 | 371,798 | ||||||
Amgen, Inc. | 1,276 | 287,610 | ||||||
Pfizer, Inc. | 5,946 | 260,197 | ||||||
HCA Healthcare, Inc. | 1,346 | 247,381 | ||||||
Bristol-Myers Squibb Co. | 3,336 | 237,156 | ||||||
Encompass Health Corp. | 4,969 | 224,748 | ||||||
Total Consumer, Non-cyclical | 7,899,907 | |||||||
Financial - 16.3% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 3,695 | 986,639 | ||||||
JPMorgan Chase & Co. | 9,211 | 962,549 | ||||||
Bank of America Corp. | 26,040 | 786,408 | ||||||
Wells Fargo & Co. | 12,050 | 484,651 | ||||||
Charles Schwab Corp. | 6,546 | 470,461 | ||||||
Voya Financial, Inc. | 5,223 | 315,991 | ||||||
Goldman Sachs Group, Inc. | 1,059 | 310,340 | ||||||
Mastercard, Inc. — Class A | 1,017 | 289,174 | ||||||
KeyCorp | 13,579 | 217,536 | ||||||
American Tower Corp. — Class A REIT | 971 | 208,474 | ||||||
BOK Financial Corp. | 2,309 | 205,178 | ||||||
Medical Properties Trust, Inc. REIT | 17,169 | 203,624 | ||||||
STAG Industrial, Inc. REIT | 6,837 | 194,376 | ||||||
Gaming and Leisure Properties, Inc. REIT | 4,284 | 189,524 | ||||||
T. Rowe Price Group, Inc. | 1,638 | 172,006 | ||||||
Park Hotels & Resorts, Inc. REIT | 13,080 | 147,281 | ||||||
Total Financial | 6,144,212 | |||||||
Utilities - 9.6% | ||||||||
OGE Energy Corp. | 19,951 | 727,413 | ||||||
Edison International | 8,141 | 460,618 | ||||||
Exelon Corp. | 11,707 | 438,544 | ||||||
Constellation Energy Corp. | 4,983 | 414,536 | ||||||
Pinnacle West Capital Corp. | 6,376 | 411,316 | ||||||
Duke Energy Corp. | 3,752 | 349,011 | ||||||
Black Hills Corp. | 5,047 | 341,833 | ||||||
NiSource, Inc. | 12,480 | 314,371 | ||||||
PPL Corp. | 6,676 | 169,237 | ||||||
Total Utilities | 3,626,879 | |||||||
Energy - 9.6% | ||||||||
Chevron Corp. | 6,700 | 962,589 | ||||||
ConocoPhillips | 6,696 | 685,269 | ||||||
Coterra Energy, Inc. — Class A | 17,152 | 448,010 | ||||||
Pioneer Natural Resources Co. | 1,695 | 367,018 | ||||||
Kinder Morgan, Inc. | 18,532 | 308,372 | ||||||
Diamondback Energy, Inc. | 2,535 | 305,366 | ||||||
Marathon Oil Corp. | 12,079 | 272,744 | ||||||
Equities Corp. | 5,018 | 204,484 | ||||||
Patterson-UTI Energy, Inc. | 6,056 | 70,734 | ||||||
Total Energy | 3,624,586 | |||||||
Communications - 8.5% | ||||||||
Alphabet, Inc. — Class A* | 8,073 | 772,183 | ||||||
Verizon Communications, Inc. | 18,704 | 710,191 | ||||||
T-Mobile US, Inc.* | 2,887 | 387,349 | ||||||
Comcast Corp. — Class A | 12,661 | 371,347 | ||||||
Cisco Systems, Inc. | 8,837 | 353,480 | ||||||
Fox Corp. — Class B | 9,888 | 281,808 | ||||||
Juniper Networks, Inc. | 8,031 | 209,769 | ||||||
Walt Disney Co.* | 1,396 | 131,685 | ||||||
Total Communications | 3,217,812 | |||||||
Consumer, Cyclical - 7.5% | ||||||||
Walmart, Inc. | 4,802 | 622,819 | ||||||
DR Horton, Inc. | 6,046 | 407,198 | ||||||
PACCAR, Inc. | 3,884 | 325,052 | ||||||
Delta Air Lines, Inc.* | 11,162 | 313,206 | ||||||
Whirlpool Corp. | 2,259 | 304,536 | ||||||
Southwest Airlines Co.* | 9,056 | 279,287 | ||||||
Home Depot, Inc. | 947 | 261,315 | ||||||
Ralph Lauren Corp. — Class A | 2,214 | 188,035 | ||||||
PVH Corp. | 2,805 | 125,664 | ||||||
Total Consumer, Cyclical | 2,827,112 | |||||||
Industrial - 7.5% | ||||||||
Curtiss-Wright Corp. | 3,913 | 544,533 | ||||||
Knight-Swift Transportation Holdings, Inc. | 9,555 | 467,526 | ||||||
L3Harris Technologies, Inc. | 2,153 | 447,458 | ||||||
Johnson Controls International plc | 8,932 | 439,633 | ||||||
Valmont Industries, Inc. | 1,520 | 408,302 | ||||||
FedEx Corp. | 2,144 | 318,320 | ||||||
Advanced Energy Industries, Inc. | 2,506 | 193,990 | ||||||
Total Industrial | 2,819,762 | |||||||
Technology - 7.4% | ||||||||
Micron Technology, Inc. | 13,267 | 664,677 | ||||||
KLA Corp. | 1,291 | 390,695 | ||||||
Leidos Holdings, Inc. | 4,450 | 389,242 | ||||||
Microsoft Corp. | 1,608 | 374,503 | ||||||
Teradyne, Inc. | 4,240 | 318,636 | ||||||
Fiserv, Inc.* | 3,397 | 317,857 | ||||||
Amdocs Ltd. | 3,001 | 238,429 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 1,783 | 92,342 | ||||||
Total Technology | 2,786,381 | |||||||
Basic Materials - 5.9% | ||||||||
Westlake Corp. | 6,132 | 532,748 | ||||||
Huntsman Corp. | 20,921 | 513,401 | ||||||
Reliance Steel & Aluminum Co. | 1,872 | 326,496 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2022 |
LARGE CAP VALUE FUND |
| Shares | Value | ||||||
Nucor Corp. | 2,686 | $ | 287,375 | |||||
Freeport-McMoRan, Inc. | 9,948 | 271,879 | ||||||
International Flavors & Fragrances, Inc. | 1,327 | 120,531 | ||||||
Dow, Inc. | 2,118 | 93,044 | ||||||
DuPont de Nemours, Inc. | 1,392 | 70,157 | ||||||
Total Basic Materials | 2,215,631 | |||||||
Total Common Stocks | ||||||||
(Cost $32,291,103) | 35,162,282 | |||||||
EXCHANGE-TRADED FUNDS† - 3.8% | ||||||||
iShares Russell 1000 Value ETF | 10,524 | 1,431,159 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $1,527,010) | 1,431,159 | |||||||
MONEY MARKET FUND† - 3.8% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%1 | 1,435,633 | 1,435,633 | ||||||
Total Money Market Fund | ||||||||
(Cost $1,435,633) | 1,435,633 | |||||||
Total Investments - 100.8% | ||||||||
(Cost $35,253,746) | $ | 38,029,074 | ||||||
Other Assets & Liabilities, net - (0.8)% | (301,142 | ) | ||||||
Total Net Assets - 100.0% | $ | 37,727,932 | ||||||
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | Rate indicated is the 7-day yield as of September 30, 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 September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 35,162,282 | $ | — | $ | — | $ | 35,162,282 | ||||||||
Exchange-Traded Funds | 1,431,159 | — | — | 1,431,159 | ||||||||||||
Money Market Fund | 1,435,633 | — | — | 1,435,633 | ||||||||||||
Total Assets | $ | 38,029,074 | $ | — | $ | — | $ | 38,029,074 | ||||||||
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LARGE CAP VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2022 |
Assets: | ||||
Investments, at value (cost $35,253,746) | $ | 38,029,074 | ||
Prepaid expenses | 32,184 | |||
Receivables: | ||||
Dividends | 45,734 | |||
Interest | 3,125 | |||
Total assets | 38,110,117 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 4,333 | |||
Payable for: | ||||
Securities purchased | 309,763 | |||
Professional fees | 28,425 | |||
Management fees | 11,550 | |||
Distribution and service fees | 8,298 | |||
Trustees’ fees* | 6,254 | |||
Fund accounting/administration fees | 4,571 | |||
Transfer agent/maintenance fees | 3,927 | |||
Fund shares redeemed | 1,802 | |||
Miscellaneous | 3,262 | |||
Total liabilities | 382,185 | |||
Net assets | $ | 37,727,932 | ||
Net assets consist of: | ||||
Paid in capital | $ | 31,369,253 | ||
Total distributable earnings (loss) | 6,358,679 | |||
Net assets | $ | 37,727,932 | ||
A-Class: | ||||
Net assets | $ | 30,732,691 | ||
Capital shares outstanding | 702,436 | |||
Net asset value per share | $ | 43.75 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 45.93 | ||
C-Class: | ||||
Net assets | $ | 1,652,716 | ||
Capital shares outstanding | 41,903 | |||
Net asset value per share | $ | 39.44 | ||
P-Class: | ||||
Net assets | $ | 96,977 | ||
Capital shares outstanding | 2,225 | |||
Net asset value per share | $ | 43.59 | ||
Institutional Class: | ||||
Net assets | $ | 5,245,548 | ||
Capital shares outstanding | 121,691 | |||
Net asset value per share | $ | 43.11 | ||
STATEMENT OF OPERATIONS |
Year Ended September 30, 2022 |
Investment Income: | ||||
Dividends | $ | 907,126 | ||
Interest | 9,968 | |||
Total investment income | 917,094 | |||
Expenses: | ||||
Management fees | 264,776 | |||
Distribution and service fees: | ||||
A-Class | 91,224 | |||
C-Class | 14,589 | |||
P-Class | 375 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 36,922 | |||
C-Class | 3,127 | |||
P-Class | 539 | |||
Institutional Class | 1,807 | |||
Registration fees | 77,320 | |||
Professional fees | 34,941 | |||
Fund accounting/administration fees | 32,956 | |||
Trustees’ fees* | 11,678 | |||
Custodian fees | 3,074 | |||
Line of credit fees | 1,155 | |||
Miscellaneous | 7,255 | |||
Total expenses | 581,738 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (39,584 | ) | ||
C-Class | (3,273 | ) | ||
P-Class | (547 | ) | ||
Institutional Class | (2,197 | ) | ||
Expenses waived by Adviser | (69,790 | ) | ||
Total waived/reimbursed expenses | (115,391 | ) | ||
Net expenses | 466,347 | |||
Net investment income | 450,747 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 3,580,356 | |||
Net realized gain | 3,580,356 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (6,500,785 | ) | ||
Net change in unrealized appreciation (depreciation) | (6,500,785 | ) | ||
Net realized and unrealized loss | (2,920,429 | ) | ||
Net decrease in net assets resulting from operations | $ | (2,469,682 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
LARGE CAP VALUE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 450,747 | $ | 321,913 | ||||
Net realized gain on investments | 3,580,356 | 2,617,799 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (6,500,785 | ) | 8,907,008 | |||||
Net increase (decrease) in net assets resulting from operations | (2,469,682 | ) | 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 | 1,652,023 | 1,547,889 | ||||||
C-Class | 1,012,743 | 798,269 | ||||||
P-Class | 97,002 | 52,916 | ||||||
Institutional Class | 5,240,686 | 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 | (5,675,420 | ) | (4,617,822 | ) | ||||
C-Class | (398,244 | ) | (856,471 | ) | ||||
P-Class | (195,391 | ) | (79,066 | ) | ||||
Institutional Class | (922,034 | ) | (132,982 | ) | ||||
Net increase (decrease) from capital share transactions | 3,468,542 | (218,101 | ) | |||||
Net increase (decrease) in net assets | (1,699,113 | ) | 9,321,647 | |||||
Net assets: | ||||||||
Beginning of year | 39,427,045 | 30,105,398 | ||||||
End of year | $ | 37,727,932 | $ | 39,427,045 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 33,081 | 32,527 | ||||||
C-Class | 22,757 | 18,265 | ||||||
P-Class | 1,910 | 1,148 | ||||||
Institutional Class | 111,528 | 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 | (113,292 | ) | (99,103 | ) | ||||
C-Class | (8,672 | ) | (19,854 | ) | ||||
P-Class | (3,856 | ) | (1,957 | ) | ||||
Institutional Class | (19,629 | ) | (2,711 | ) | ||||
Net increase (decrease) in shares | 78,176 | (1,115 | ) | |||||
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LARGE CAP VALUE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 50.08 | $ | 38.17 | $ | 43.56 | $ | 48.08 | $ | 46.96 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .56 | .41 | .97 | .62 | .48 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.40 | ) | 14.51 | (2.97 | ) | (2.66 | ) | 4.46 | ||||||||||||
Total from investment operations | (2.84 | ) | 14.92 | (2.00 | ) | (2.04 | ) | 4.94 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.43 | ) | (1.30 | ) | (.70 | ) | (.36 | ) | (.51 | ) | ||||||||||
Net realized gains | (3.06 | ) | (1.71 | ) | (2.69 | ) | (2.12 | ) | (3.31 | ) | ||||||||||
Total distributions | (3.49 | ) | (3.01 | ) | (3.39 | ) | (2.48 | ) | (3.82 | ) | ||||||||||
Net asset value, end of period | $ | 43.75 | $ | 50.08 | $ | 38.17 | $ | 43.56 | $ | 48.08 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (6.43 | %) | 40.59 | % | (5.58 | %) | (3.59 | %) | 10.82 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 30,733 | $ | 36,678 | $ | 28,548 | $ | 53,248 | $ | 56,369 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.11 | % | 0.88 | % | 2.40 | % | 1.42 | % | 1.03 | % | ||||||||||
Total expensesc | 1.41 | % | 1.47 | % | 1.46 | % | 1.31 | % | 1.31 | % | ||||||||||
Net expensesd,e,f | 1.13 | % | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | ||||||||||
Portfolio turnover rate | 33 | % | 19 | % | 25 | % | 37 | % | 24 | % | ||||||||||
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 45.43 | $ | 34.79 | $ | 39.77 | $ | 44.03 | $ | 43.29 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .18 | .05 | .62 | .26 | .12 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.07 | ) | 13.23 | (2.74 | ) | (2.40 | ) | 4.09 | ||||||||||||
Total from investment operations | (2.89 | ) | 13.28 | (2.12 | ) | (2.14 | ) | 4.21 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.04 | ) | (.93 | ) | (.17 | ) | — | (.16 | ) | |||||||||||
Net realized gains | (3.06 | ) | (1.71 | ) | (2.69 | ) | (2.12 | ) | (3.31 | ) | ||||||||||
Total distributions | (3.10 | ) | (2.64 | ) | (2.86 | ) | (2.12 | ) | (3.47 | ) | ||||||||||
Net asset value, end of period | $ | 39.44 | $ | 45.43 | $ | 34.79 | $ | 39.77 | $ | 44.03 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (7.13 | %) | 39.55 | % | (6.30 | %) | (4.28 | %) | 9.97 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,653 | $ | 1,191 | $ | 911 | $ | 1,533 | $ | 2,632 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.39 | % | 0.12 | % | 1.69 | % | 0.66 | % | 0.28 | % | ||||||||||
Total expensesc | 2.29 | % | 2.36 | % | 2.43 | % | 2.18 | % | 2.10 | % | ||||||||||
Net expensesd,e,f | 1.88 | % | 1.89 | % | 1.90 | % | 1.90 | % | 1.90 | % | ||||||||||
Portfolio turnover rate | 33 | % | 19 | % | 25 | % | 37 | % | 24 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
LARGE CAP VALUE FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 49.91 | $ | 38.06 | $ | 43.46 | $ | 48.00 | $ | 46.91 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .53 | .41 | .83 | .61 | .49 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.34 | ) | 14.46 | (2.82 | ) | (2.64 | ) | 4.44 | ||||||||||||
Total from investment operations | (2.81 | ) | 14.87 | (1.99 | ) | (2.03 | ) | 4.93 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.45 | ) | (1.31 | ) | (.72 | ) | (.39 | ) | (.53 | ) | ||||||||||
Net realized gains | (3.06 | ) | (1.71 | ) | (2.69 | ) | (2.12 | ) | (3.31 | ) | ||||||||||
Total distributions | (3.51 | ) | (3.02 | ) | (3.41 | ) | (2.51 | ) | (3.84 | ) | ||||||||||
Net asset value, end of period | $ | 43.59 | $ | 49.91 | $ | 38.06 | $ | 43.46 | $ | 48.00 | ||||||||||
| ||||||||||||||||||||
Total Return | (6.44 | %) | 40.60 | % | (5.58 | %) | (3.58 | %) | 10.80 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 97 | $ | 194 | $ | 170 | $ | 155 | $ | 147 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.05 | % | 0.87 | % | 2.12 | % | 1.41 | % | 1.03 | % | ||||||||||
Total expensesc | 1.67 | % | 1.71 | % | 1.72 | % | 1.60 | % | 1.59 | % | ||||||||||
Net expensesd,e,f | 1.14 | % | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | ||||||||||
Portfolio turnover rate | 33 | % | 19 | % | 25 | % | 37 | % | 24 | % | ||||||||||
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LARGE CAP VALUE FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 49.39 | $ | 37.71 | $ | 43.08 | $ | 47.60 | $ | 46.56 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .71 | .52 | .98 | .71 | .64 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.38 | ) | 14.31 | (2.84 | ) | (2.63 | ) | 4.35 | ||||||||||||
Total from investment operations | (2.67 | ) | 14.83 | (1.86 | ) | (1.92 | ) | 4.99 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.55 | ) | (1.44 | ) | (.82 | ) | (.48 | ) | (.64 | ) | ||||||||||
Net realized gains | (3.06 | ) | (1.71 | ) | (2.69 | ) | (2.12 | ) | (3.31 | ) | ||||||||||
Total distributions | (3.61 | ) | (3.15 | ) | (3.51 | ) | (2.60 | ) | (3.95 | ) | ||||||||||
Net asset value, end of period | $ | 43.11 | $ | 49.39 | $ | 37.71 | $ | 43.08 | $ | 47.60 | ||||||||||
| ||||||||||||||||||||
Total Return | (6.20 | %) | 40.93 | % | (5.35 | %) | (3.33 | %) | 11.04 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,246 | $ | 1,364 | $ | 477 | $ | 798 | $ | 5,946 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.46 | % | 1.10 | % | 2.50 | % | 1.65 | % | 1.39 | % | ||||||||||
Total expensesc | 1.15 | % | 1.24 | % | 1.35 | % | 1.14 | % | 1.00 | % | ||||||||||
Net expensesd,e,f | 0.88 | % | 0.89 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||
Portfolio turnover rate | 33 | % | 19 | % | 25 | % | 37 | % | 24 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | — | — | 0.00%* | 0.00%* | 0.00%* | |
C-Class | — | — | 0.00%* | — | 0.00%* | |
P-Class | — | — | — | — | — | |
Institutional Class | — | — | — | — | — |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | 1.13% | 1.14% | 1.15% | 1.15% | 1.15% | |
C-Class | 1.88% | 1.89% | 1.90% | 1.90% | 1.90% | |
P-Class | 1.13% | 1.14% | 1.15% | 1.15% | 1.15% | |
Institutional Class | 0.88% | 0.89% | 0.90% | 0.90% | 0.90% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Market Neutral Real Estate Fund (the “Fund”). The Fund is managed by a team of seasoned professionals led by Michael Chong, CFA, Director and Portfolio Manager, and Samir Sanghani, CFA, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of -2.81%1, underperforming the ICE BofA 3-Month U.S. Treasury Bill Index (“Index”), the Fund’s benchmark, which returned 0.62% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The Reporting Period was significantly impacted by challenging macroeconomics, highlighted by inflation not seen in generations and the Federal Reserve’s efforts to reign in the economy through a series of ongoing interest rate hikes. Given the rapid ascent in interest rates, market participants worried that the Fed’s actions would tip the economy into a recession. Outside the U.S., the ongoing war in Ukraine as well as the related energy price volatility also added to the outstanding risks.
The Fund continues to be driven by a fundamental approach to stock-picking, integrating macro and sector outlooks as appropriate. The Fund pursues a generally beta neutral approach to portfolio construction such that alpha is primarily driven by company and sector views.
During the Reporting Period, the biggest positive contributor to Fund performance was the Net Lease sector, which benefitted from a sector underweight positioning into a rising interest rate environment. Industrial REITs also contributed, driven by shorts in Stag Industrial, Inc. and Industrial Logistics Properties Trust. Data Center REITs were buoyed by positive contribution from CyrusOne (long), which was taken private.
The biggest negative contributor to Fund performance was the Health Care sector, principally hurt by short positions in LTC Properties, Inc. and Omega Healthcare Investors, Inc., two skilled nursing facility owners that rallied despite ongoing tenant and credit issues. The Self-Storage sector was also a negative contributor, led by National Storage Affiliates Trust, whose attractive relative valuation did not translate into outperformance. Lastly, the Strip Retail sector was another negative contributor as concerns around tenant health weighed on a typically defensive sector.
How did the Fund use derivatives during the Reporting Period?
The derivatives in which the Fund invests include, among other derivatives, swap agreements (some of these instruments may be traded in the over-the-counter market). These investments will be used to obtain the Fund’s short exposure and may also be used to hedge the Fund’s portfolio, to maintain long exposure to the equity markets, to increase returns, to generate income, or to seek to manage volatility of the portfolio.
During the Reporting Period, swaps were utilized to hedge the long sleeve of the portfolio. The usage of these swaps contributed positively to Fund performance. However, given the hedged nature of the portfolio, the swap contribution is more muted to overall total return.
How was the Fund positioned at the end of the Reporting Period?
Management expects the Fund will continue to add potential high-alpha pairs (a trade involving both a long and short holding with the objective of realizing a strong positive return) to seek to generate returns consistent with the Fund’s strategy. Given the current macroeconomic environment, the Fund is more conservative in its asset allocation than is typical. However, the Fund is capable of adding exposure as conditions warrant.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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) | |
Sun Communities, Inc. | 3.7% |
Equity Residential | 3.1% |
AvalonBay Communities, Inc. | 3.1% |
National Storage Affiliates Trust | 2.7% |
Ryman Hospitality Properties, Inc. | 2.6% |
Alexandria Real Estate Equities, Inc. | 2.5% |
Agree Realty Corp. | 2.3% |
Gaming and Leisure Properties, Inc. | 2.3% |
NETSTREIT Corp. | 2.3% |
Rexford Industrial Realty, Inc. | 2.1% |
Top Ten Total | 26.7% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | Since |
A Class Shares | (2.81%) | 2.51% | 2.80% |
A-Class Shares with sales charge‡ | (7.44%) | 1.52% | 2.04% |
C Class Shares | (3.53%) | 1.72% | 2.02% |
C-Class Shares with CDSC§ | (4.50%) | 1.72% | 2.02% |
P Class Shares | (2.83%) | 2.42% | 2.73% |
Institutional Class Shares | (2.57%) | 2.72% | 3.02% |
ICE BofA 3-Month U.S. Treasury Bill Index | 0.62% | 1.15% | 1.00% |
* | 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 3-Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class, and Institutional Class will vary due to differences in fee structures. |
‡ | Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 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. |
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
MARKET NEUTRAL REAL ESTATE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 43.8% | ||||||||
REITs - 43.8% | ||||||||
REITs-Apartments - 6.2% | ||||||||
Equity Residential | 21,456 | $ | 1,442,272 | |||||
AvalonBay Communities, Inc. | 7,729 | 1,423,605 | ||||||
Total REITs-Apartments | 2,865,877 | |||||||
REITs-Diversified - 5.5% | ||||||||
Gaming and Leisure Properties, Inc. | 23,790 | 1,052,470 | ||||||
SBA Communications Corp. | 1,395 | 397,087 | ||||||
Crown Castle, Inc. | 2,654 | 383,636 | ||||||
American Tower Corp. — Class A | 1,762 | 378,301 | ||||||
InvenTrust Properties Corp. | 15,807 | 337,163 | ||||||
Total REITs-Diversified | 2,548,657 | |||||||
REITs-Office Property - 5.0% | ||||||||
Alexandria Real Estate Equities, Inc. | 8,144 | 1,141,707 | ||||||
Boston Properties, Inc. | 5,359 | 401,764 | ||||||
Piedmont Office Realty Trust, Inc. — Class A | 37,190 | 392,726 | ||||||
Cousins Properties, Inc. | 16,102 | 375,982 | ||||||
Total REITs-Office Property | 2,312,179 | |||||||
REITs-Health Care - 5.0% | ||||||||
CareTrust REIT, Inc. | 52,574 | 952,115 | ||||||
Ventas, Inc. | 23,284 | 935,318 | ||||||
Healthcare Realty Trust, Inc. | 20,131 | 419,731 | ||||||
Total REITs-Health Care | 2,307,164 | |||||||
REITs-Shopping Centers - 4.8% | ||||||||
NETSTREIT Corp. | 58,900 | 1,049,009 | ||||||
SITE Centers Corp. | 61,259 | 656,084 | ||||||
Brixmor Property Group, Inc. | 28,886 | 533,525 | ||||||
Total REITs-Shopping Centers | 2,238,618 | |||||||
REITs-Hotels - 4.6% | ||||||||
Ryman Hospitality Properties, Inc. | 16,429 | 1,209,010 | ||||||
Xenia Hotels & Resorts, Inc. | 67,520 | 931,101 | ||||||
Total REITs-Hotels | 2,140,111 | |||||||
REITs-Single Tenant - 4.2% | ||||||||
Agree Realty Corp. | 15,809 | 1,068,372 | ||||||
Four Corners Property Trust, Inc. | 37,239 | 900,811 | ||||||
Total REITs-Single Tenant | 1,969,183 | |||||||
REITs-Manufactured Homes - 3.7% | ||||||||
Sun Communities, Inc. | 12,668 | 1,714,361 | ||||||
REITs-Storage - 2.7% | ||||||||
National Storage Affiliates Trust | 29,979 | 1,246,527 | ||||||
REITs-Warehouse/Industries - 2.1% | ||||||||
Rexford Industrial Realty, Inc. | 18,708 | 972,816 | ||||||
Total REITs | 20,315,493 | |||||||
Total Common Stocks | ||||||||
(Cost $22,565,030) | 20,315,493 | |||||||
MONEY MARKET FUND† - 53.0% | ||||||||
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 2.49%1 | 24,594,293 | 24,594,293 | ||||||
Total Money Market Fund | ||||||||
(Cost $24,594,293) | 24,594,293 | |||||||
Total Investments - 96.8% | ||||||||
(Cost $47,159,323) | $ | 44,909,786 | ||||||
Other Assets & Liabilities, net - 3.2% | 1,507,054 | |||||||
Total Net Assets - 100.0% | $ | 46,416,840 | ||||||
Custom Basket Swap Agreements | |||||||||||||||||||
Counterparty | Reference Obligation | Type | Financing Rate | Payment | Maturity | Notional | Value and | ||||||||||||
OTC Custom Basket Swap Agreements Sold Short†† | |||||||||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Receive | 2.78% (Federal Funds Rate - 0.30%) | At Maturity | 07/22/24 | $ | 10,049,317 | $ | 2,368,814 | ||||||||||
Goldman Sachs International | GS Equity Custom Basket | Receive | 2.86% (Federal Funds Rate - 0.22%) | At Maturity | 05/06/24 | 9,989,549 | 2,344,011 | ||||||||||||
| $ | 20,038,866 | $ | 4,712,825 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MARKET NEUTRAL REAL ESTATE FUND |
| Shares | Percentage | Value and | |||||||||
MS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Douglas Emmett, Inc. | 25,800 | (4.62 | )% | $ | 353,289 | |||||||
Office Properties Income Trust | 28,387 | (3.97 | )% | 351,121 | ||||||||
Broadstone Net Lease, Inc. | 30,303 | (4.68 | )% | 302,099 | ||||||||
Necessity Retail REIT, Inc. | 47,866 | (2.80 | )% | 147,892 | ||||||||
Phillips Edison & Company, Inc. | 29,432 | (8.22 | )% | 132,427 | ||||||||
Realty Income Corp. | 13,725 | (7.95 | )% | 130,961 | ||||||||
Host Hotels & Resorts, Inc. | 47,628 | (7.53 | )% | 89,707 | ||||||||
Essex Property Trust, Inc. | 2,503 | (6.03 | )% | 86,758 | ||||||||
Equity Commonwealth | 23,107 | (5.60 | )% | 75,550 | ||||||||
Washington Real Estate Investment Trust | 26,792 | (4.68 | )% | 73,360 | ||||||||
Omega Healthcare Investors, Inc. | 9,898 | (2.90 | )% | 69,722 | ||||||||
Camden Property Trust | 2,303 | (2.74 | )% | 65,746 | ||||||||
STAG Industrial, Inc. | 18,148 | (5.13 | )% | 63,178 | ||||||||
Apartment Income REIT Corp. | 7,258 | (2.79 | )% | 57,578 | ||||||||
Public Storage | 1,515 | (4.41 | )% | 45,394 | ||||||||
Apple Hospitality REIT, Inc. | 35,127 | (4.91 | )% | 41,730 | ||||||||
LTC Properties, Inc. | 2,307 | (0.86 | )% | 10,835 | ||||||||
Extra Space Storage, Inc. | 2,836 | (4.87 | )% | (4,205 | ) | |||||||
Mid-America Apartment Communities, Inc. | 2,966 | (4.58 | )% | (36,029 | ) | |||||||
Total Financial | 2,057,113 | |||||||||||
Exchange-Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 13,454 | (10.73 | )% | 311,701 | ||||||||
Total MS Equity Short Custom Basket | $ | 2,368,814 | ||||||||||
GS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Douglas Emmett, Inc. | 25,800 | (4.66 | )% | 354,707 | ||||||||
Office Properties Income Trust | 28,387 | (3.99 | )% | 352,125 | ||||||||
Broadstone Net Lease, Inc. | 30,303 | (4.71 | )% | 294,415 | ||||||||
Necessity Retail REIT, Inc. | 47,866 | (2.82 | )% | 148,728 | ||||||||
Realty Income Corp. | 13,725 | (8.00 | )% | 129,982 | ||||||||
Phillips Edison & Company, Inc. | 29,432 | (8.26 | )% | 125,856 | ||||||||
Host Hotels & Resorts, Inc. | 47,628 | (7.57 | )% | 90,236 | ||||||||
Essex Property Trust, Inc. | 2,503 | (6.07 | )% | 83,342 | ||||||||
Equity Commonwealth | 23,107 | (5.63 | )% | 75,842 | ||||||||
Washington Real Estate Investment Trust | 26,792 | (4.71 | )% | 73,794 | ||||||||
Camden Property Trust | 2,303 | (2.75 | )% | 65,663 | ||||||||
STAG Industrial, Inc. | 18,148 | (5.16 | )% | 63,594 | ||||||||
Apartment Income REIT Corp. | 7,258 | (2.81 | )% | 57,201 | ||||||||
Omega Healthcare Investors, Inc. | 7,871 | (2.32 | )% | 56,781 | ||||||||
Public Storage | 1,515 | (4.44 | )% | 45,546 | ||||||||
Apple Hospitality REIT, Inc. | 35,127 | (4.94 | )% | 41,604 | ||||||||
LTC Properties, Inc. | 2,307 | (0.86 | )% | 10,902 | ||||||||
Extra Space Storage, Inc. | 2,836 | (4.90 | )% | (4,150 | ) | |||||||
Mid-America Apartment Communities, Inc. | 2,966 | (4.60 | )% | (35,847 | ) | |||||||
Total Financial | 2,030,321 | |||||||||||
Exchange-Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 13,454 | (10.80 | )% | 313,690 | ||||||||
Total GS Equity Short Custom Basket | $ | 2,344,011 | ||||||||||
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2022 |
MARKET NEUTRAL REAL ESTATE FUND |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Rate indicated is the 7-day yield as of September 30, 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 September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 20,315,493 | $ | — | $ | — | $ | 20,315,493 | ||||||||
Money Market Fund | 24,594,293 | — | — | 24,594,293 | ||||||||||||
Equity Custom Basket Swap Agreements** | — | 4,712,825 | — | 4,712,825 | ||||||||||||
Total Assets | $ | 44,909,786 | $ | 4,712,825 | $ | — | $ | 49,622,611 | ||||||||
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
MARKET NEUTRAL REAL ESTATE FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2022 |
Assets: | ||||
Investments, at value (cost $47,159,323) | $ | 44,909,786 | ||
Unrealized appreciation on OTC swap agreements | 4,712,825 | |||
Prepaid expenses | 31,313 | |||
Receivables: | ||||
Securities sold | 477,535 | |||
Dividends | 121,200 | |||
Interest | 41,256 | |||
Fund shares sold | 23,794 | |||
Total assets | 50,317,709 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 4,405 | |||
Segregated cash due to broker | 2,726,303 | |||
Payable for: | ||||
Swap settlement | 949,553 | |||
Securities purchased | 72,606 | |||
Fund shares redeemed | 51,511 | |||
Management fees | 28,242 | |||
Transfer agent/maintenance fees | 13,373 | |||
Fund accounting/administration fees | 4,616 | |||
Trustees’ fees* | 975 | |||
Distribution and service fees | 660 | |||
Miscellaneous | 48,625 | |||
Total liabilities | 3,900,869 | |||
Net assets | $ | 46,416,840 | ||
Net assets consist of: | ||||
Paid in capital | $ | 47,763,759 | ||
Total distributable earnings (loss) | (1,346,919 | ) | ||
Net assets | $ | 46,416,840 | ||
A-Class: | ||||
Net assets | $ | 441,111 | ||
Capital shares outstanding | 16,338 | |||
Net asset value per share | $ | 27.00 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 28.35 | ||
C-Class: | ||||
Net assets | $ | 230,685 | ||
Capital shares outstanding | 8,988 | |||
Net asset value per share | $ | 25.67 | ||
P-Class: | ||||
Net assets | $ | 1,698,544 | ||
Capital shares outstanding | 65,153 | |||
Net asset value per share | $ | 26.07 | ||
Institutional Class: | ||||
Net assets | $ | 44,046,500 | ||
Capital shares outstanding | 1,645,146 | |||
Net asset value per share | $ | 26.77 | ||
STATEMENT OF OPERATIONS |
Year Ended September 30, 2022 |
Investment Income: | ||||
Dividends | $ | 720,408 | ||
Interest | 126,358 | |||
Total investment income | 846,766 | |||
Expenses: | ||||
Management fees | 584,420 | |||
Distribution and service fees: | ||||
A-Class | 2,307 | |||
C-Class | 2,158 | |||
P-Class | 5,580 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 6,816 | |||
C-Class | 501 | |||
P-Class | 5,099 | |||
Institutional Class | 77,199 | |||
Registration fees | 70,440 | |||
Professional fees | 49,676 | |||
Fund accounting/administration fees | 40,623 | |||
Trustees’ fees* | 13,216 | |||
Custodian fees | 6,153 | |||
Interest expense | 1,866 | |||
Line of credit fees | 1,464 | |||
Miscellaneous | 15,422 | |||
Recoupment of previously waived fees: | ||||
P-Class | 152 | |||
Institutional Class | 4,789 | |||
Total expenses | 887,881 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (6,592 | ) | ||
C-Class | (490 | ) | ||
P-Class | (5,010 | ) | ||
Institutional Class | (77,727 | ) | ||
Expenses waived by Adviser | (50,575 | ) | ||
Total waived/reimbursed expenses | (140,394 | ) | ||
Net expenses | 747,487 | |||
Net investment income | 99,279 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,846,225 | |||
Swap agreements | (3,943,961 | ) | ||
Net realized loss | (2,097,736 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (6,180,766 | ) | ||
Swap agreements | 6,860,125 | |||
Net change in unrealized appreciation (depreciation) | 679,359 | |||
Net realized and unrealized loss | (1,418,377 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,319,098 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MARKET NEUTRAL REAL ESTATE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 99,279 | $ | 115,196 | ||||
Net realized loss on investments | (2,097,736 | ) | (1,509,328 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 679,359 | 868,339 | ||||||
Net decrease in net assets resulting from operations | (1,319,098 | ) | (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 | 120,328 | 1,051,983 | ||||||
C-Class | 50,203 | 8,148 | ||||||
P-Class | 298,054 | 2,478,276 | ||||||
Institutional Class | 11,581,110 | 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 | (53,438 | ) | (92,256 | ) | ||||
P-Class | (1,266,443 | ) | (7,967,944 | ) | ||||
Institutional Class | (19,898,533 | ) | (25,212,495 | ) | ||||
Net increase (decrease) from capital share transactions | (10,547,181 | ) | 1,388,789 | |||||
Net increase (decrease) in net assets | (12,027,930 | ) | 630,279 | |||||
Net assets: | ||||||||
Beginning of year | 58,444,770 | 57,814,491 | ||||||
End of year | $ | 46,416,840 | $ | 58,444,770 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 4,326 | 37,951 | ||||||
C-Class | 1,906 | 299 | ||||||
P-Class | 11,128 | 92,383 | ||||||
Institutional Class | 424,223 | 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 | (2,020 | ) | (3,473 | ) | ||||
P-Class | (47,625 | ) | (298,618 | ) | ||||
Institutional Class | (729,644 | ) | (919,986 | ) | ||||
Net increase (decrease) in shares | (387,021 | ) | 47,917 | |||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
MARKET NEUTRAL REAL ESTATE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 27.78 | $ | 28.18 | $ | 26.95 | $ | 25.16 | $ | 26.47 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.07 | ) | (.08 | ) | (.02 | ) | .25 | .50 | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.71 | ) | (.24 | ) | 2.30 | 1.78 | (.41 | ) | ||||||||||||
Total from investment operations | (.78 | ) | (.32 | ) | 2.28 | 2.03 | .09 | |||||||||||||
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 | $ | 27.00 | $ | 27.78 | $ | 28.18 | $ | 26.95 | $ | 25.16 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (2.81 | %) | (1.14 | %) | 8.81 | % | 8.12 | % | 0.13 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 441 | $ | 1,867 | $ | 11,723 | $ | 2,766 | $ | 2,482 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.25 | %) | (0.29 | %) | (0.06 | %) | 0.96 | % | 2.00 | % | ||||||||||
Total expensesc | 2.42 | % | 2.08 | % | 2.38 | % | 3.99 | % | 5.01 | % | ||||||||||
Net expensesd,e,f | 1.64 | % | 1.64 | % | 1.65 | % | 1.62 | % | 1.65 | % | ||||||||||
Portfolio turnover rate | 49 | % | 264 | % | 355 | % | 180 | % | 216 | % | ||||||||||
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 26.61 | $ | 27.20 | $ | 26.07 | $ | 24.67 | $ | 26.16 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.19 | ) | (.22 | ) | (.15 | ) | .05 | .12 | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.75 | ) | (.29 | ) | 2.16 | 1.70 | (.21 | ) | ||||||||||||
Total from investment operations | (.94 | ) | (.51 | ) | 2.01 | 1.75 | (.09 | ) | ||||||||||||
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 | $ | 25.67 | $ | 26.61 | $ | 27.20 | $ | 26.07 | $ | 24.67 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (3.53 | %) | (1.88 | %) | 7.99 | % | 7.15 | % | (0.59 | %) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 231 | $ | 242 | $ | 333 | $ | 135 | $ | 134 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.72 | %) | (0.83 | %) | (0.56 | %) | 0.18 | % | 0.47 | % | ||||||||||
Total expensesc | 2.72 | % | 2.71 | % | 3.17 | % | 4.66 | % | 5.72 | % | ||||||||||
Net expensesd,e,f | 2.39 | % | 2.39 | % | 2.40 | % | 2.40 | % | 2.38 | % | ||||||||||
Portfolio turnover rate | 49 | % | 264 | % | 355 | % | 180 | % | 216 | % | ||||||||||
48 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MARKET NEUTRAL REAL ESTATE FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 26.83 | $ | 27.23 | $ | 26.10 | $ | 25.14 | $ | 26.48 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.03 | ) | (.04 | ) | — | .20 | .33 | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.73 | ) | (.28 | ) | 2.20 | 1.71 | (.27 | ) | ||||||||||||
Total from investment operations | (.76 | ) | (.32 | ) | 2.20 | 1.91 | .06 | |||||||||||||
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 | $ | 26.07 | $ | 26.83 | $ | 27.23 | $ | 26.10 | $ | 25.14 | ||||||||||
| ||||||||||||||||||||
Total Return | (2.83 | %) | (1.17 | %) | 8.79 | % | 7.80 | % | 0.09 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,699 | $ | 2,727 | $ | 8,360 | $ | 332 | $ | 488 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.11 | %) | (0.16 | %) | 0.00 | % | 0.77 | % | 1.26 | % | ||||||||||
Total expensesc | 1.95 | % | 1.91 | % | 2.00 | % | 4.05 | % | 4.93 | % | ||||||||||
Net expensesd,e,f | 1.64 | % | 1.64 | % | 1.65 | % | 1.65 | % | 1.65 | % | ||||||||||
Portfolio turnover rate | 49 | % | 264 | % | 355 | % | 180 | % | 216 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
MARKET NEUTRAL REAL ESTATE FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 27.57 | $ | 27.92 | $ | 26.74 | $ | 25.32 | $ | 26.57 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .06 | .07 | .09 | .31 | .36 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.78 | ) | (.31 | ) | 2.23 | 1.73 | (.21 | ) | ||||||||||||
Total from investment operations | (.72 | ) | (.24 | ) | 2.32 | 2.04 | .15 | |||||||||||||
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 | $ | 26.77 | $ | 27.57 | $ | 27.92 | $ | 26.74 | $ | 25.32 | ||||||||||
| ||||||||||||||||||||
Total Return | (2.57 | %) | (0.87 | %) | 9.06 | % | 8.19 | % | 0.36 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 44,047 | $ | 53,609 | $ | 37,399 | $ | 5,479 | $ | 5,083 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.21 | % | 0.27 | % | 0.32 | % | 1.18 | % | 1.39 | % | ||||||||||
Total expensesc | 1.64 | % | 1.58 | % | 1.85 | % | 3.57 | % | 4.59 | % | ||||||||||
Net expensesd,e,f | 1.39 | % | 1.39 | % | 1.40 | % | 1.40 | % | 1.40 | % | ||||||||||
Portfolio turnover rate | 49 | % | 264 | % | 355 | % | 180 | % | 216 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | — | — | 0.00%* | 0.00%* | — | |
C-Class | 0.00%* | — | 0.00%* | 0.02% | — | |
P-Class | 0.01% | — | 0.00%* | 0.01% | — | |
Institutional Class | 0.01% | — | 0.00%* | 0.03% | — |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | 1.63% | 1.63% | 1.65% | 1.62% | 1.65% | |
C-Class | 2.38% | 2.38% | 2.40% | 2.40% | 2.37% | |
P-Class | 1.63% | 1.63% | 1.64% | 1.65% | 1.65% | |
Institutional Class | 1.38% | 1.39% | 1.40% | 1.40% | 1.38% |
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Risk Managed Real Estate Fund (the “Fund”). The Fund is managed by a team of seasoned professionals led by Michael Chong, CFA, Director and Portfolio Manager, and Samir Sanghani, CFA, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of -15.31%1, outperforming the FTSE NAREIT Equity REITs Index (“Index”), the Fund’s benchmark, which returned -16.41% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The Reporting Period was significantly impacted by challenging macroeconomics, highlighted by inflation not seen in decades and the Federal Reserve’s efforts to reign in the economy through a series of ongoing interest rate hikes. Given the rapid ascent in interest rates, market participants worried that the Fed’s actions would tip the economy into a recession. Outside the U.S., the ongoing war in Ukraine as well as the related energy price volatility also added to the outstanding risks.
The Fund continues to be driven by a fundamental approach to stock-picking, integrating macro and sector outlooks as appropriate. In addition, the Fund may dynamically adjust its level of long and short exposure to the real estate markets by adjusting allocations monthly between its long-only REIT strategy sleeve and market-neutral long/short strategy sleeve over time based on macroeconomic, industry-specific, and other factors. However, Management expects the Fund’s net exposure over time will be long biased.
During the Reporting Period, the biggest positive contributor to Fund performance was the Net Lease sector, which benefitted from a sector underweight positioning into a rising interest rate environment. Industrial REITs also contributed, driven by shorts/underweight in Stag Industrial, Inc. and Industrial Logistics Properties Trust. Office REITs were buoyed by an underweight sector position.
The biggest negative contributor to Fund performance was the Healthcare sector, principally hurt by short/underweight positions in LTC Properties, Inc. and Omega Healthcare Investors, Inc., two skilled nursing facility owners that rallied despite ongoing tenant and credit issues. The Self-Storage sector was also a negative contributor, led by National Storage Affiliates Trust, whose attractive relative valuation did not translate into outperformance. Lastly, Lodging was another negative contributor as the sector outperformed despite concerns around a potential recession.
How did the Fund use derivatives during the Reporting Period?
The Fund may obtain exposure to long and short positions by entering into swap agreements (including, but not limited to, total return swap agreements). Short positions may be used either to hedge long positions or to seek positive returns where Management believes the security will depreciate.
The Fund may reinvest the proceeds of its short sales by taking additional long positions, or it may use leverage to maintain long positions in excess of 100% of net assets. To enhance the Fund’s exposure to real estate markets and to seek to increase the Fund’s returns, at the discretion of Management, the Fund’s long and short positions in equities may be combined with investments in derivatives, which may include, among other derivatives: swap agreements (including, among other types of swaps, total return swaps); options on securities, futures contracts, and stock indices; and stock index futures contracts (some of these instruments may be traded in the over-the-counter market). These investments may be used to hedge the Fund’s portfolio, to maintain exposure to the equity markets, to increase returns, to generate income, or to seek to manage volatility of the portfolio.
During the Reporting Period, swaps were utilized to both gain exposure and to hedge the long side of the portfolio within the long-short sleeve. The usage of these swaps contributed negatively to Fund performance. However, when considered in the context of total fund performance, the impact of swap contribution was minimal.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2022 |
How was the Fund positioned at the end of the Reporting Period?
Management expects the Fund will continue to both manage benchmark exposure as well as add potential high-alpha pairs to seek to generate returns consistent with the Fund’s strategy. Currently, balancing the underperformance of the REIT market against future prospects for this market, the Fund is running at a beta allocation, consistent with historical norms. However, the Fund is capable of adding beta exposure as conditions warrant.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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. | 6.9% |
Equinix, Inc. | 4.7% |
AvalonBay Communities, Inc. | 4.0% |
Public Storage | 3.9% |
Equity Residential | 3.9% |
Alexandria Real Estate Equities, Inc. | 3.2% |
Sun Communities, Inc. | 2.8% |
VICI Properties, Inc. | 2.8% |
Simon Property Group, Inc. | 2.7% |
Digital Realty Trust, Inc. | 2.3% |
Top Ten Total | 37.2% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | Since |
A Class Shares | (15.31%) | 5.36% | 8.02% |
A-Class Shares with sales charge‡ | (19.33%) | 4.34% | 7.40% |
C Class Shares | (15.93%) | 4.55% | 7.19% |
C-Class Shares with CDSC§ | (16.73%) | 4.55% | 7.19% |
Institutional Class Shares | (15.05%) | 5.66% | 8.33% |
FTSE NAREIT Equity REITs Total Return Index | (16.41%) | 2.93% | 5.67% |
| 1 Year | 5 Year | Since |
P Class Shares | (15.35%) | 5.31% | 6.01% |
FTSE NAREIT Equity REITs Total Return Index | (16.41%) | 2.93% | 4.07% |
* | 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 FTSE NAREIT Equity REITs Total Return Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
RISK MANAGED REAL ESTATE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 87.8% | ||||||||
REITs - 87.8% | ||||||||
REITs-Diversified - 17.2% | ||||||||
Equinix, Inc. | 36,292 | $ | 20,644,342 | |||||
VICI Properties, Inc.1 | 406,168 | 12,124,115 | ||||||
Digital Realty Trust, Inc. | 95,402 | 9,461,970 | ||||||
Duke Realty Corp.1 | 191,457 | 9,228,227 | ||||||
Gaming and Leisure Properties, Inc.1 | 201,432 | 8,911,352 | ||||||
WP Carey, Inc. | 78,886 | 5,506,243 | ||||||
American Tower Corp. — Class A1 | 12,079 | 2,593,361 | ||||||
SBA Communications Corp. | 8,775 | 2,497,804 | ||||||
Crown Castle, Inc. | 17,155 | 2,479,755 | ||||||
EPR Properties | 27,816 | 997,482 | ||||||
InvenTrust Properties Corp. | 25,061 | 534,551 | ||||||
Total REITs-Diversified | 74,979,202 | |||||||
REITs-Apartments - 13.9% | ||||||||
AvalonBay Communities, Inc. | 93,756 | 17,268,918 | ||||||
Equity Residential1 | 251,411 | 16,899,847 | ||||||
Invitation Homes, Inc.1 | 244,918 | 8,270,881 | ||||||
Essex Property Trust, Inc.1 | 20,645 | 5,000,838 | ||||||
UDR, Inc. | 99,532 | 4,151,480 | ||||||
Mid-America Apartment Communities, Inc. | 24,557 | 3,808,054 | ||||||
American Homes 4 Rent — Class A1 | 113,005 | 3,707,694 | ||||||
Camden Property Trust | 16,950 | 2,024,678 | ||||||
Total REITs-Apartments | 61,132,390 | |||||||
REITs-Warehouse/Industries - 10.2% | ||||||||
Prologis, Inc. | 295,119 | 29,984,090 | ||||||
Rexford Industrial Realty, Inc. | 158,724 | 8,253,648 | ||||||
Americold Realty Trust, Inc.1 | 104,313 | 2,566,100 | ||||||
First Industrial Realty Trust, Inc.1 | 50,417 | 2,259,186 | ||||||
Terreno Realty Corp. | 29,338 | 1,554,621 | ||||||
Total REITs-Warehouse/Industries | 44,617,645 | |||||||
REITs-Storage - 9.8% | ||||||||
Public Storage1 | 57,806 | 16,926,175 | ||||||
Extra Space Storage, Inc. | 51,939 | 8,970,385 | ||||||
National Storage Affiliates Trust | 154,359 | 6,418,247 | ||||||
Life Storage, Inc. | 49,114 | 5,439,811 | ||||||
Iron Mountain, Inc. | 115,178 | 5,064,377 | ||||||
Total REITs-Storage | 42,818,995 | |||||||
REITs-Health Care - 9.3% | ||||||||
Ventas, Inc. | 251,525 | 10,103,759 | ||||||
Welltower, Inc. | 152,992 | 9,840,445 | ||||||
Healthcare Realty Trust, Inc.1 | 283,149 | 5,903,657 | ||||||
Healthpeak Properties, Inc. | 233,400 | 5,349,528 | ||||||
CareTrust REIT, Inc. | 220,318 | 3,989,959 | ||||||
Medical Properties Trust, Inc.1 | 241,875 | 2,868,638 | ||||||
Sabra Health Care REIT, Inc. | 185,372 | 2,432,081 | ||||||
Total REITs-Health Care | 40,488,067 | |||||||
REITs-Office Property - 6.8% | ||||||||
Alexandria Real Estate Equities, Inc.1 | 99,731 | 13,981,289 | ||||||
Boston Properties, Inc. | 84,795 | 6,357,081 | ||||||
Cousins Properties, Inc. | 125,114 | 2,921,412 | ||||||
Piedmont Office Realty Trust, Inc. — Class A | 195,455 | 2,064,005 | ||||||
Kilroy Realty Corp. | 48,027 | 2,022,417 | ||||||
Highwoods Properties, Inc.1 | 41,725 | 1,124,906 | ||||||
Hudson Pacific Properties, Inc. | 60,414 | 661,533 | ||||||
Empire State Realty Trust, Inc. — Class A1 | 57,154 | 374,930 | ||||||
Total REITs-Office Property | 29,507,573 | |||||||
REITs-Shopping Centers - 6.0% | ||||||||
NETSTREIT Corp. | 255,741 | 4,554,747 | ||||||
SITE Centers Corp. | 424,216 | 4,543,353 | ||||||
Kimco Realty Corp. | 244,049 | 4,492,942 | ||||||
Brixmor Property Group, Inc.1 | 238,074 | 4,397,227 | ||||||
Regency Centers Corp. | 68,890 | 3,709,727 | ||||||
Kite Realty Group Trust | 175,701 | 3,025,571 | ||||||
Federal Realty Investment Trust1 | 11,952 | 1,077,114 | ||||||
Acadia Realty Trust | 37,378 | 471,710 | ||||||
Total REITs-Shopping Centers | 26,272,391 | |||||||
REITs-Single Tenant - 5.3% | ||||||||
Realty Income Corp. | 161,902 | 9,422,696 | ||||||
Agree Realty Corp. | 98,654 | 6,667,037 | ||||||
Four Corners Property Trust, Inc.1 | 201,386 | 4,871,527 | ||||||
National Retail Properties, Inc.1 | 54,547 | 2,174,243 | ||||||
Total REITs-Single Tenant | 23,135,503 | |||||||
REITs-Manufactured Homes - 3.8% | ||||||||
Sun Communities, Inc. | 91,293 | 12,354,682 | ||||||
Equity LifeStyle Properties, Inc. | 70,411 | 4,424,627 | ||||||
Total REITs-Manufactured Homes | 16,779,309 | |||||||
REITs-Hotels - 2.8% | ||||||||
Ryman Hospitality Properties, Inc. | 69,926 | 5,145,854 | ||||||
Xenia Hotels & Resorts, Inc. | 277,490 | 3,826,587 | ||||||
DiamondRock Hospitality Co.1 | 174,664 | 1,311,727 | ||||||
Park Hotels & Resorts, Inc. | 91,590 | 1,031,303 | ||||||
Pebblebrook Hotel Trust | 51,721 | 750,472 | ||||||
Total REITs-Hotels | 12,065,943 | |||||||
REITs-Regional Malls - 2.7% | ||||||||
Simon Property Group, Inc.1 | 132,999 | 11,936,660 | ||||||
Total REITs | 383,733,678 | |||||||
Total Common Stocks | ||||||||
(Cost $426,221,957) | 383,733,678 | |||||||
MONEY MARKET FUND† - 10.1% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%2 | 44,066,311 | 44,066,311 | ||||||
Total Money Market Fund | ||||||||
(Cost $44,066,311) | 44,066,311 | |||||||
Total Investments - 97.9% | ||||||||
(Cost $470,288,268) | $ | 427,799,989 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
RISK MANAGED REAL ESTATE FUND |
| Shares | Value | ||||||
COMMON STOCKS SOLD SHORT† - (5.4)% | ||||||||
REITs - (5.4)% | ||||||||
REITs-Health Care - (0.2)% | ||||||||
LTC Properties, Inc. | 6,004 | $ | (224,850 | ) | ||||
Omega Healthcare Investors, Inc. | 23,196 | (684,050 | ) | |||||
Total REITs-Health Care | (908,900 | ) | ||||||
REITs-Warehouse/Industries - (0.3)% | ||||||||
STAG Industrial, Inc. | 47,381 | (1,347,042 | ) | |||||
REITs-Single Tenant - (0.5)% | ||||||||
Realty Income Corp.1 | 35,834 | (2,085,539 | ) | |||||
REITs-Shopping Centers - (0.5)% | ||||||||
Phillips Edison & Company, Inc. | 76,843 | (2,155,478 | ) | |||||
REITs-Storage - (0.6)% | ||||||||
Public Storage | 3,956 | (1,158,356 | ) | |||||
Extra Space Storage, Inc. | 7,405 | (1,278,917 | ) | |||||
Total REITs-Storage | (2,437,273 | ) | ||||||
REITs-Hotels - (0.7)% | ||||||||
Apple Hospitality REIT, Inc. | 91,408 | (1,285,196 | ) | |||||
Host Hotels & Resorts, Inc. | 124,348 | (1,974,646 | ) | |||||
Total REITs-Hotels | (3,259,842 | ) | ||||||
REITs-Office Property - (0.9)% | ||||||||
Office Properties Income Trust | 74,114 | (1,041,302 | ) | |||||
Douglas Emmett, Inc. | 67,359 | (1,207,747 | ) | |||||
Equity Commonwealth | 60,329 | (1,469,614 | ) | |||||
Total REITs-Office Property | (3,718,663 | ) | ||||||
REITs-Diversified - (0.7)% | ||||||||
Necessity Retail REIT, Inc. | 124,970 | (734,824 | ) | |||||
Washington Real Estate Investment Trust | 69,949 | (1,228,304 | ) | |||||
Broadstone Net Lease, Inc. | 79,116 | (1,228,671 | ) | |||||
Total REITs-Diversified | (3,191,799 | ) | ||||||
REITs-Apartments - (1.0)% | ||||||||
Camden Property Trust1 | 6,013 | (718,253 | ) | |||||
Apartment Income REIT Corp. | 18,950 | (731,849 | ) | |||||
Mid-America Apartment Communities, Inc. | 7,744 | (1,200,862 | ) | |||||
Essex Property Trust, Inc. | 6,535 | (1,582,973 | ) | |||||
Total REITs-Apartments | (4,233,937 | ) | ||||||
Total REITs | (23,338,473 | ) | ||||||
Total Common Stocks Sold Short | ||||||||
(Proceeds $29,578,932) | (23,338,473 | ) | ||||||
EXCHANGE-TRADED FUNDS SOLD SHORT† - (0.6)% | ||||||||
Vanguard Real Estate ETF | 35,126 | (2,816,051 | ) | |||||
Total Exchange-Traded Funds Sold Short | ||||||||
(Proceeds $3,441,795) | (2,816,051 | ) | ||||||
Total Securities Sold Short - (6.0)% | ||||||||
(Proceeds $33,020,727) | $ | (26,154,524 | ) | |||||
Other Assets & Liabilities, net - 8.1% | 35,214,101 | |||||||
Total Net Assets - 100.0% | $ | 436,859,566 | ||||||
Custom Basket Swap Agreements | |||||||||||||||||||
Counterparty | Reference Obligation | Type | Financing Rate | Payment | Maturity | Notional | Value and | ||||||||||||
Centrally Cleared Custom Basket Swap Agreements†† | |||||||||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Pay | 3.48% (Federal Funds Rate + 0.40%) | At Maturity | 10/22/25 | $ | 4,211,022 | $ | (61,833 | ) | |||||||||
Goldman Sachs International | GS Equity Custom Basket | Pay | 3.53% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | 4,211,022 | (63,821 | ) | |||||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Pay | 3.48% (Federal Funds Rate + 0.40%) | At Maturity | 06/12/24 | 27,293,016 | (3,345,299 | ) | |||||||||||
Goldman Sachs International | GS Equity Custom Basket | Pay | 3.53% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | 27,322,338 | (3,352,907 | ) | |||||||||||
| $ | 63,037,398 | $ | (6,823,860 | ) | |||||||||||||||
OTC Custom Basket Swap Agreements Sold Short†† | |||||||||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Receive | 2.78% (Federal Funds Rate - 0.30%) | At Maturity | 06/12/24 | $ | 27,068,303 | $ | 7,755,096 | ||||||||||
Goldman Sachs International | GS Equity Custom Basket | Receive | 2.86% (Federal Funds Rate - 0.22%) | At Maturity | 05/06/24 | 26,909,244 | 7,661,256 | ||||||||||||
| $ | 53,977,547 | $ | 15,416,352 | ||||||||||||||||
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
RISK MANAGED REAL ESTATE FUND |
| Shares | Percentage | Value and | |||||||||
MS EQUITY LONG CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Gaming and Leisure Properties, Inc. | 31,765 | 5.13 | % | $ | 189,035 | |||||||
AvalonBay Communities, Inc. | 10,320 | 6.96 | % | 51,546 | ||||||||
CareTrust REIT, Inc. | 70,199 | 4.66 | % | 9,012 | ||||||||
Equity Residential | 28,649 | 7.06 | % | (8,762 | ) | |||||||
Agree Realty Corp. | 21,108 | 5.23 | % | (22,643 | ) | |||||||
InvenTrust Properties Corp. | 21,624 | 1.69 | % | (56,371 | ) | |||||||
SBA Communications Corp. | 1,862 | 1.94 | % | (74,615 | ) | |||||||
Brixmor Property Group, Inc. | 38,570 | 2.61 | % | (80,278 | ) | |||||||
Ryman Hospitality Properties, Inc. | 22,516 | 6.07 | % | (85,589 | ) | |||||||
Healthcare Realty Trust, Inc. | 26,879 | 2.05 | % | (94,793 | ) | |||||||
American Tower Corp. — Class A | 2,352 | 1.85 | % | (94,884 | ) | |||||||
Crown Castle, Inc. | 3,543 | 1.88 | % | (101,341 | ) | |||||||
Boston Properties, Inc. | 7,155 | 1.97 | % | (108,473 | ) | |||||||
Ventas, Inc. | 31,787 | 4.68 | % | (138,418 | ) | |||||||
Piedmont Office Realty Trust, Inc. — Class A | 49,657 | 1.92 | % | (143,758 | ) | |||||||
Four Corners Property Trust, Inc. | 49,178 | 4.36 | % | (169,296 | ) | |||||||
Rexford Industrial Realty, Inc. | 24,979 | 4.76 | % | (230,317 | ) | |||||||
Alexandria Real Estate Equities, Inc. | 10,874 | 5.59 | % | (233,114 | ) | |||||||
Cousins Properties, Inc. | 21,500 | 1.84 | % | (247,094 | ) | |||||||
NETSTREIT Corp. | 78,646 | 5.13 | % | (255,393 | ) | |||||||
SITE Centers Corp. | 83,906 | 3.29 | % | (284,401 | ) | |||||||
Sun Communities, Inc. | 16,914 | 8.39 | % | (349,582 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 93,001 | 4.70 | % | (376,446 | ) | |||||||
National Storage Affiliates Trust | 40,927 | 6.24 | % | (439,324 | ) | |||||||
Total Financial | (3,345,299 | ) | ||||||||||
Total MS Equity Long Custom Basket | $ | (3,345,299 | ) | |||||||||
MS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Douglas Emmett, Inc. | 68,899 | (4.57 | )% | $ | 1,004,432 | |||||||
Office Properties Income Trust | 75,808 | (3.93 | )% | 978,029 | ||||||||
Broadstone Net Lease, Inc. | 83,463 | (4.79 | )% | 806,828 | ||||||||
Realty Income Corp. | 37,802 | (8.13 | )% | 415,562 | ||||||||
Washington Real Estate Investment Trust | 71,549 | (4.64 | )% | 410,442 | ||||||||
STAG Industrial, Inc. | 48,637 | (5.11 | )% | 404,102 | ||||||||
Necessity Retail REIT, Inc. | 127,827 | (2.78 | )% | 397,560 | ||||||||
Phillips Edison & Company, Inc. | 78,599 | (8.14 | )% | 395,004 | ||||||||
Host Hotels & Resorts, Inc. | 127,191 | (7.46 | )% | 269,659 | ||||||||
Apartment Income REIT Corp. | 19,383 | (2.77 | )% | 248,852 | ||||||||
Essex Property Trust, Inc. | 6,685 | (5.98 | )% | 244,991 | ||||||||
Apple Hospitality REIT, Inc. | 95,910 | (4.98 | )% | 237,339 | ||||||||
Camden Property Trust | 6,151 | (2.71 | )% | 199,286 | ||||||||
Equity Commonwealth | 61,708 | (5.55 | )% | 198,310 | ||||||||
Omega Healthcare Investors, Inc. | 27,044 | (2.95 | )% | 196,643 | ||||||||
Mid-America Apartment Communities, Inc. | 7,921 | (4.54 | )% | 179,642 | ||||||||
Public Storage | 4,046 | (4.38 | )% | 129,203 | ||||||||
LTC Properties, Inc. | 6,299 | (0.87 | )% | 32,627 | ||||||||
Extra Space Storage, Inc. | 7,574 | (4.83 | )% | (512 | ) | |||||||
Total Financial | 6,747,999 | |||||||||||
Exchange Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 36,765 | (10.89 | )% | 1,007,097 | ||||||||
Total MS Equity Short Custom Basket | $ | 7,755,096 | ||||||||||
MS EQUITY LONG CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Public Storage | 677 | 4.69 | % | $ | 48,570 | |||||||
Extra Space Storage, Inc. | 609 | 2.50 | % | 39,072 | ||||||||
VICI Properties, Inc. | 4,773 | 3.38 | % | 28,505 | ||||||||
Duke Realty Corp. | 2,260 | 2.59 | % | 18,522 | ||||||||
Prologis, Inc. | 3,489 | 8.42 | % | 18,508 | ||||||||
Iron Mountain, Inc. | 1,359 | 1.42 | % | 18,184 | ||||||||
AvalonBay Communities, Inc. | 989 | 4.33 | % | 17,849 | ||||||||
Life Storage, Inc. | 577 | 1.52 | % | 15,706 | ||||||||
Invitation Homes, Inc. | 2,896 | 2.32 | % | 14,146 | ||||||||
Equity Residential | 2,638 | 4.21 | % | 13,416 | ||||||||
Mid-America Apartment Communities, Inc. | 288 | 1.06 | % | 7,996 | ||||||||
Regency Centers Corp. | 807 | 1.03 | % | 7,072 | ||||||||
Rexford Industrial Realty, Inc. | 1,583 | 1.95 | % | 6,650 | ||||||||
UDR, Inc. | 1,167 | 1.16 | % | 4,843 | ||||||||
Gaming and Leisure Properties, Inc. | 2,008 | 2.11 | % | 4,818 | ||||||||
Kimco Realty Corp. | 2,859 | 1.25 | % | 3,844 | ||||||||
Camden Property Trust | 201 | 0.57 | % | 3,621 | ||||||||
American Homes 4 Rent — Class A | 1,323 | 1.03 | % | 2,713 | ||||||||
Essex Property Trust, Inc. | 244 | 1.40 | % | 2,542 | ||||||||
Equity LifeStyle Properties, Inc. | 826 | 1.23 | % | 1,970 | ||||||||
Welltower, Inc. | 1,792 | 2.74 | % | 1,938 | ||||||||
Agree Realty Corp. | 919 | 1.47 | % | 1,846 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
RISK MANAGED REAL ESTATE FUND |
| Shares | Percentage | Value and | |||||||||
Sabra Health Care REIT, Inc. | 2,195 | 0.68 | % | $ | 1,820 | |||||||
WP Carey, Inc. | 931 | 1.54 | % | 1,491 | ||||||||
National Retail Properties, Inc. | 639 | 0.60 | % | 355 | ||||||||
Ryman Hospitality Properties, Inc. | 569 | 0.99 | % | (364 | ) | |||||||
CareTrust REIT, Inc. | 1,797 | 0.77 | % | (475 | ) | |||||||
Park Hotels & Resorts, Inc. | 1,074 | 0.29 | % | (542 | ) | |||||||
Terreno Realty Corp. | 346 | 0.44 | % | (902 | ) | |||||||
DiamondRock Hospitality Co. | 2,049 | 0.37 | % | (1,934 | ) | |||||||
Empire State Realty Trust, Inc. — Class A | 676 | 0.11 | % | (2,660 | ) | |||||||
Pebblebrook Hotel Trust | 607 | 0.21 | % | (2,681 | ) | |||||||
Brixmor Property Group, Inc. | 2,365 | 1.04 | % | (2,976 | ) | |||||||
National Storage Affiliates Trust | 1,394 | 1.38 | % | (2,984 | ) | |||||||
Realty Income Corp. | 1,914 | 2.65 | % | (3,236 | ) | |||||||
Acadia Realty Trust | 441 | 0.13 | % | (3,531 | ) | |||||||
EPR Properties | 330 | 0.28 | % | (3,739 | ) | |||||||
American Tower Corp. — Class A | 114 | 0.58 | % | (4,333 | ) | |||||||
Federal Realty Investment Trust | 141 | 0.30 | % | (4,882 | ) | |||||||
Piedmont Office Realty Trust, Inc. — Class A | 1,735 | 0.44 | % | (5,012 | ) | |||||||
Highwoods Properties, Inc. | 494 | 0.32 | % | (5,418 | ) | |||||||
SBA Communications Corp. | 84 | 0.57 | % | (5,759 | ) | |||||||
Four Corners Property Trust, Inc. | 1,800 | 1.03 | % | (6,108 | ) | |||||||
Crown Castle, Inc. | 162 | 0.56 | % | (6,335 | ) | |||||||
First Industrial Realty Trust, Inc. | 594 | 0.63 | % | (6,480 | ) | |||||||
Simon Property Group, Inc. | 1,567 | 3.34 | % | (6,776 | ) | |||||||
Kite Realty Group Trust | 2,124 | 0.87 | % | (7,025 | ) | |||||||
NETSTREIT Corp. | 2,116 | 0.89 | % | (7,356 | ) | |||||||
Americold Realty Trust, Inc. | 1,223 | 0.71 | % | (7,590 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 2,232 | 0.73 | % | (7,772 | ) | |||||||
Kilroy Realty Corp. | 562 | 0.56 | % | (8,965 | ) | |||||||
Hudson Pacific Properties, Inc. | 714 | 0.19 | % | (9,179 | ) | |||||||
Sun Communities, Inc. | 884 | 2.84 | % | (10,664 | ) | |||||||
Healthcare Realty Trust, Inc. | 3,024 | 1.50 | % | (12,365 | ) | |||||||
SITE Centers Corp. | 4,045 | 1.03 | % | (12,414 | ) | |||||||
Cousins Properties, Inc. | 1,230 | 0.68 | % | (14,644 | ) | |||||||
Healthpeak Properties, Inc. | 2,734 | 1.49 | % | (14,953 | ) | |||||||
Boston Properties, Inc. | 919 | 1.64 | % | (15,915 | ) | |||||||
Alexandria Real Estate Equities, Inc. | 1,053 | 3.51 | % | (17,936 | ) | |||||||
Medical Properties Trust, Inc. | 2,864 | 0.81 | % | (21,205 | ) | |||||||
Ventas, Inc. | 2,611 | 2.49 | % | (22,365 | ) | |||||||
Digital Realty Trust, Inc. | 1,118 | 2.63 | % | (38,322 | ) | |||||||
Equinix, Inc. | 429 | 5.80 | % | (42,033 | ) | |||||||
Total Financial | (61,833 | ) | ||||||||||
Total MS Equity Long Custom Basket | $ | (61,833 | ) | |||||||||
GS EQUITY LONG CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Gaming and Leisure Properties, Inc. | 31,765 | 5.16 | % | $ | 189,604 | |||||||
AvalonBay Communities, Inc. | 10,320 | 6.96 | % | 49,476 | ||||||||
CareTrust REIT, Inc. | 70,199 | 4.65 | % | 8,495 | ||||||||
Equity Residential | 28,649 | 7.05 | % | (12,615 | ) | |||||||
Agree Realty Corp. | 21,108 | 5.22 | % | (30,401 | ) | |||||||
InvenTrust Properties Corp. | 22,322 | 1.74 | % | (50,189 | ) | |||||||
SBA Communications Corp. | 1,862 | 1.94 | % | (74,013 | ) | |||||||
Brixmor Property Group, Inc. | 38,570 | 2.61 | % | (80,022 | ) | |||||||
Ryman Hospitality Properties, Inc. | 22,516 | 6.06 | % | (84,915 | ) | |||||||
Healthcare Realty Trust, Inc. | 26,879 | 2.05 | % | (94,329 | ) | |||||||
American Tower Corp. — Class A | 2,352 | 1.85 | % | (95,128 | ) | |||||||
Crown Castle, Inc. | 3,543 | 1.87 | % | (100,459 | ) | |||||||
Boston Properties, Inc. | 7,155 | 1.96 | % | (110,828 | ) | |||||||
Piedmont Office Realty Trust, Inc. — Class A | 49,657 | 1.92 | % | (134,827 | ) | |||||||
Ventas, Inc. | 31,787 | 4.67 | % | (137,792 | ) | |||||||
Four Corners Property Trust, Inc. | 50,388 | 4.46 | % | (172,446 | ) | |||||||
Rexford Industrial Realty, Inc. | 24,979 | 4.75 | % | (231,924 | ) | |||||||
Alexandria Real Estate Equities, Inc. | 10,874 | 5.58 | % | (242,034 | ) | |||||||
Cousins Properties, Inc. | 21,500 | 1.84 | % | (245,663 | ) | |||||||
NETSTREIT Corp. | 78,646 | 5.13 | % | (252,536 | ) | |||||||
SITE Centers Corp. | 82,520 | 3.23 | % | (288,772 | ) | |||||||
Sun Communities, Inc. | 16,914 | 8.38 | % | (348,971 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 93,001 | 4.69 | % | (376,111 | ) | |||||||
National Storage Affiliates Trust | 40,927 | 6.23 | % | (436,507 | ) | |||||||
Total Financial | (3,352,907 | ) | ||||||||||
Total GS Equity Long Custom Basket | $ | (3,352,907 | ) | |||||||||
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
RISK MANAGED REAL ESTATE FUND |
| Shares | Percentage | Value and | |||||||||
GS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Douglas Emmett, Inc. | 68,899 | (4.59 | )% | $ | 1,007,556 | |||||||
Office Properties Income Trust | 75,808 | (3.96 | )% | 982,487 | ||||||||
Broadstone Net Lease, Inc. | 83,463 | (4.82 | )% | 787,834 | ||||||||
Realty Income Corp. | 37,802 | (8.18 | )% | 416,314 | ||||||||
Washington Real Estate Investment Trust | 71,549 | (4.67 | )% | 411,422 | ||||||||
STAG Industrial, Inc. | 48,637 | (5.14 | )% | 404,749 | ||||||||
Necessity Retail REIT, Inc. | 127,827 | (2.79 | )% | 399,373 | ||||||||
Phillips Edison & Company, Inc. | 78,599 | (8.19 | )% | 381,113 | ||||||||
Host Hotels & Resorts, Inc. | 127,191 | (7.51 | )% | 270,212 | ||||||||
Apartment Income REIT Corp. | 19,383 | (2.78 | )% | 248,473 | ||||||||
Essex Property Trust, Inc. | 6,685 | (6.02 | )% | 235,135 | ||||||||
Camden Property Trust | 6,151 | (2.73 | )% | 199,479 | ||||||||
Equity Commonwealth | 61,708 | (5.59 | )% | 198,701 | ||||||||
Apple Hospitality REIT, Inc. | 95,910 | (5.01 | )% | 197,897 | ||||||||
Mid-America Apartment Communities, Inc. | 7,921 | (4.56 | )% | 180,688 | ||||||||
Omega Healthcare Investors, Inc. | 21,650 | (2.37 | )% | 160,727 | ||||||||
Public Storage | 4,046 | (4.40 | )% | 129,583 | ||||||||
LTC Properties, Inc. | 6,299 | (0.88 | )% | 32,745 | ||||||||
Extra Space Storage, Inc. | 7,574 | (4.86 | )% | (248 | ) | |||||||
Total Financial | 6,644,240 | |||||||||||
Exchange Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 36,765 | (10.95 | )% | 1,017,016 | ||||||||
Total GS Equity Short Custom Basket | $ | 7,661,256 | ||||||||||
GS EQUITY LONG CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Public Storage | 677 | 4.69 | % | $ | 48,420 | |||||||
Extra Space Storage, Inc. | 609 | 2.50 | % | 39,036 | ||||||||
VICI Properties, Inc. | 4,773 | 3.38 | % | 28,464 | ||||||||
Duke Realty Corp. | 2,260 | 2.59 | % | 18,467 | ||||||||
Prologis, Inc. | 3,489 | 8.42 | % | 18,339 | ||||||||
Iron Mountain, Inc. | 1,359 | 1.42 | % | 18,181 | ||||||||
AvalonBay Communities, Inc. | 989 | 4.33 | % | 17,810 | ||||||||
Life Storage, Inc. | 577 | 1.52 | % | 15,729 | ||||||||
Invitation Homes, Inc. | 2,896 | 2.32 | % | 14,151 | ||||||||
Equity Residential | 2,638 | 4.21 | % | 13,356 | ||||||||
Mid-America Apartment Communities, Inc. | 288 | 1.06 | % | 8,043 | ||||||||
Regency Centers Corp. | 807 | 1.03 | % | 7,063 | ||||||||
Rexford Industrial Realty, Inc. | 1,583 | 1.95 | % | 6,617 | ||||||||
UDR, Inc. | 1,167 | 1.16 | % | 4,819 | ||||||||
Gaming and Leisure Properties, Inc. | 2,008 | 2.11 | % | 4,688 | ||||||||
Kimco Realty Corp. | 2,859 | 1.25 | % | 3,812 | ||||||||
Camden Property Trust | 201 | 0.57 | % | 3,602 | ||||||||
American Homes 4 Rent — Class A | 1,323 | 1.03 | % | 2,717 | ||||||||
Essex Property Trust, Inc. | 244 | 1.40 | % | 2,547 | ||||||||
Equity LifeStyle Properties, Inc. | 826 | 1.23 | % | 1,997 | ||||||||
Agree Realty Corp. | 919 | 1.47 | % | 1,843 | ||||||||
Sabra Health Care REIT, Inc. | 2,195 | 0.68 | % | 1,832 | ||||||||
Welltower, Inc. | 1,792 | 2.74 | % | 1,800 | ||||||||
WP Carey, Inc. | 931 | 1.54 | % | 1,433 | ||||||||
National Retail Properties, Inc. | 639 | 0.60 | % | 213 | ||||||||
Ryman Hospitality Properties, Inc. | 569 | 0.99 | % | (364 | ) | |||||||
CareTrust REIT, Inc. | 1,797 | 0.77 | % | (492 | ) | |||||||
Park Hotels & Resorts, Inc. | 1,074 | 0.29 | % | (546 | ) | |||||||
Terreno Realty Corp. | 346 | 0.44 | % | (898 | ) | |||||||
DiamondRock Hospitality Co. | 2,049 | 0.37 | % | (1,959 | ) | |||||||
Empire State Realty Trust, Inc. — Class A | 676 | 0.11 | % | (2,652 | ) | |||||||
Pebblebrook Hotel Trust | 607 | 0.21 | % | (2,693 | ) | |||||||
Brixmor Property Group, Inc. | 2,365 | 1.04 | % | (2,938 | ) | |||||||
National Storage Affiliates Trust | 1,394 | 1.38 | % | (2,964 | ) | |||||||
Realty Income Corp. | 1,914 | 2.65 | % | (3,211 | ) | |||||||
Acadia Realty Trust | 441 | 0.13 | % | (3,537 | ) | |||||||
EPR Properties | 330 | 0.28 | % | (3,738 | ) | |||||||
American Tower Corp. — Class A | 114 | 0.58 | % | (4,355 | ) | |||||||
Piedmont Office Realty Trust, Inc. — Class A | 1,735 | 0.44 | % | (4,854 | ) | |||||||
Federal Realty Investment Trust | 141 | 0.30 | % | (4,878 | ) | |||||||
Highwoods Properties, Inc. | 494 | 0.32 | % | (5,443 | ) | |||||||
SBA Communications Corp. | 84 | 0.57 | % | (5,712 | ) | |||||||
Four Corners Property Trust, Inc. | 1,800 | 1.03 | % | (5,972 | ) | |||||||
Crown Castle, Inc. | 162 | 0.56 | % | (6,359 | ) | |||||||
First Industrial Realty Trust, Inc. | 594 | 0.63 | % | (6,503 | ) | |||||||
Simon Property Group, Inc. | 1,567 | 3.34 | % | (6,878 | ) | |||||||
Kite Realty Group Trust | 2,124 | 0.87 | % | (7,067 | ) | |||||||
NETSTREIT Corp. | 2,116 | 0.89 | % | (7,300 | ) | |||||||
Americold Realty Trust, Inc. | 1,223 | 0.71 | % | (7,571 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 2,232 | 0.73 | % | (8,143 | ) | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2022 |
RISK MANAGED REAL ESTATE FUND |
| Shares | Percentage | Value and | |||||||||
Kilroy Realty Corp. | 562 | 0.56 | % | $ | (8,991 | ) | ||||||
Hudson Pacific Properties, Inc. | 714 | 0.19 | % | (9,191 | ) | |||||||
Sun Communities, Inc. | 884 | 2.84 | % | (10,799 | ) | |||||||
Healthcare Realty Trust, Inc. | 3,024 | 1.50 | % | (12,304 | ) | |||||||
SITE Centers Corp. | 4,045 | 1.03 | % | (12,772 | ) | |||||||
Cousins Properties, Inc. | 1,230 | 0.68 | % | (14,621 | ) | |||||||
Healthpeak Properties, Inc. | 2,734 | 1.49 | % | (14,968 | ) | |||||||
Boston Properties, Inc. | 919 | 1.64 | % | (15,980 | ) | |||||||
Alexandria Real Estate Equities, Inc. | 1,053 | 3.51 | % | (17,939 | ) | |||||||
Medical Properties Trust, Inc. | 2,864 | 0.81 | % | (21,336 | ) | |||||||
Ventas, Inc. | 2,611 | 2.49 | % | (22,484 | ) | |||||||
Digital Realty Trust, Inc. | 1,118 | 2.63 | % | (38,355 | ) | |||||||
Equinix, Inc. | 429 | 5.80 | % | (42,033 | ) | |||||||
Total Financial | (63,821 | ) | ||||||||||
Total GS Equity Long Custom Basket | $ | (63,821 | ) | |||||||||
† | 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 September 30, 2022. |
2 | Rate indicated is the 7-day yield as of September 30, 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 September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 383,733,678 | $ | — | $ | — | $ | 383,733,678 | ||||||||
Money Market Fund | 44,066,311 | — | — | 44,066,311 | ||||||||||||
Equity Custom Basket Swap Agreements** | — | 15,416,352 | — | 15,416,352 | ||||||||||||
Total Assets | $ | 427,799,989 | $ | 15,416,352 | $ | — | $ | 443,216,341 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks Sold Short | $ | 23,338,473 | $ | — | $ | — | $ | 23,338,473 | ||||||||
Exchange-Traded Funds Sold Short | 2,816,051 | — | — | 2,816,051 | ||||||||||||
Equity Custom Basket Swap Agreements** | — | 6,823,860 | — | 6,823,860 | ||||||||||||
Total Liabilities | $ | 26,154,524 | $ | 6,823,860 | $ | — | $ | 32,978,384 | ||||||||
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
60 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RISK MANAGED REAL ESTATE FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2022 |
Assets: | ||||
Investments, at value (cost $470,288,268) | $ | 427,799,989 | ||
Cash | 30,699,289 | |||
Unrealized appreciation on OTC swap agreements | 15,416,352 | |||
Prepaid expenses | 45,470 | |||
Receivables: | ||||
Dividends | 1,500,062 | |||
Securities sold | 849,758 | |||
Fund shares sold | 286,809 | |||
Interest | 76,811 | |||
Other assets | 91,547 | |||
Total assets | 476,766,087 | |||
Liabilities: | ||||
Securities sold short, at value (proceeds $33,020,727) | 26,154,524 | |||
Segregated cash due to broker | 3,803,030 | |||
Unrealized depreciation on OTC swap agreements | 6,823,860 | |||
Payable for: | ||||
Fund shares redeemed | 792,661 | |||
Securities purchased | 755,636 | |||
Swap settlement | 630,534 | |||
Distributions to shareholders | 403,577 | |||
Management fees | 294,123 | |||
Transfer agent/maintenance fees | 21,382 | |||
Distribution and service fees | 9,810 | |||
Fund accounting/administration fees | 7,836 | |||
Trustees’ fees* | 3,382 | |||
Due to Investment Adviser | 9 | |||
Miscellaneous | 206,157 | |||
Total liabilities | 39,906,521 | |||
Net assets | $ | 436,859,566 | ||
Net assets consist of: | ||||
Paid in capital | $ | 461,518,734 | ||
Total distributable earnings (loss) | (24,659,168 | ) | ||
Net assets | $ | 436,859,566 | ||
A-Class: | ||||
Net assets | $ | 9,042,765 | ||
Capital shares outstanding | 306,691 | |||
Net asset value per share | $ | 29.48 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 30.95 | ||
C-Class: | ||||
Net assets | $ | 5,382,146 | ||
Capital shares outstanding | 184,157 | |||
Net asset value per share | $ | 29.23 | ||
P-Class: | ||||
Net assets | $ | 12,715,945 | ||
Capital shares outstanding | 429,102 | |||
Net asset value per share | $ | 29.63 | ||
Institutional Class: | ||||
Net assets | $ | 409,718,710 | ||
Capital shares outstanding | 13,711,801 | |||
Net asset value per share | $ | 29.88 | ||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 61 |
RISK MANAGED REAL ESTATE FUND |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2022 |
Investment Income: | ||||
Dividends | $ | 11,435,804 | ||
Interest | 248,020 | |||
Total investment income | 11,683,824 | |||
Expenses: | ||||
Management fees | 3,982,655 | |||
Distribution and service fees: | ||||
A-Class | 27,771 | |||
C-Class | 59,035 | |||
P-Class | 41,315 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 12,969 | |||
C-Class | 4,888 | |||
P-Class | 28,103 | |||
Institutional Class | 310,439 | |||
Short sale dividend expense | 1,864,652 | |||
Fund accounting/administration fees | 324,510 | |||
Professional fees | 92,771 | |||
Interest expense | 35,337 | |||
Trustees’ fees* | 19,201 | |||
Custodian fees | 15,676 | |||
Line of credit fees | 15,632 | |||
Miscellaneous | 159,015 | |||
Recoupment of previously waived fees: | ||||
A-Class | 2,545 | |||
C-Class | 1,565 | |||
P-Class | 7,501 | |||
Institutional Class | 62,645 | |||
Total expenses | 7,068,225 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (3,655 | ) | ||
C-Class | (1,621 | ) | ||
P-Class | (7,963 | ) | ||
Institutional Class | (86,966 | ) | ||
Expenses waived by Adviser | (418 | ) | ||
Earnings credits applied | (77 | ) | ||
Total waived/reimbursed expenses | (100,700 | ) | ||
Net expenses | 6,967,525 | |||
Net investment income | 4,716,299 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | $ | 24,414,771 | ||
Investments sold short | 1,409,614 | |||
Swap agreements | (5,588,929 | ) | ||
Net realized gain | 20,235,456 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (114,784,105 | ) | ||
Investments sold short | 6,649,782 | |||
Swap agreements | (310,260 | ) | ||
Net change in unrealized appreciation (depreciation) | (108,444,583 | ) | ||
Net realized and unrealized loss | (88,209,127 | ) | ||
Net decrease in net assets resulting from operations | $ | (83,492,828 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
62 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RISK MANAGED REAL ESTATE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 4,716,299 | $ | 4,849,203 | ||||
Net realized gain on investments | 20,235,456 | 36,168,078 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (108,444,583 | ) | 70,710,201 | |||||
Net increase (decrease) in net assets resulting from operations | (83,492,828 | ) | 111,727,482 | |||||
Distributions to shareholders: | ||||||||
A-Class | (666,926 | ) | (933,838 | ) | ||||
C-Class | (281,353 | ) | (188,880 | ) | ||||
P-Class | (925,053 | ) | (868,263 | ) | ||||
Institutional Class | (31,535,699 | ) | (24,055,000 | ) | ||||
Total distributions to shareholders | (33,409,031 | ) | (26,045,981 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 4,919,886 | 6,697,124 | ||||||
C-Class | 2,965,796 | 2,849,191 | ||||||
P-Class | 15,465,403 | 8,994,214 | ||||||
Institutional Class | 187,411,653 | 169,214,784 | ||||||
Distributions reinvested | ||||||||
A-Class | 503,570 | 902,695 | ||||||
C-Class | 266,910 | 176,660 | ||||||
P-Class | 925,053 | 868,263 | ||||||
Institutional Class | 28,721,651 | 19,938,359 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (4,115,443 | ) | (14,900,087 | ) | ||||
C-Class | (1,492,977 | ) | (1,002,677 | ) | ||||
P-Class | (14,526,672 | ) | (10,004,722 | ) | ||||
Institutional Class | (162,507,077 | ) | (95,198,371 | ) | ||||
Net increase from capital share transactions | 58,537,753 | 88,535,433 | ||||||
Net increase (decrease) in net assets | (58,364,106 | ) | 174,216,934 | |||||
Net assets: | ||||||||
Beginning of year | 495,223,672 | 321,006,738 | ||||||
End of year | $ | 436,859,566 | $ | 495,223,672 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 132,091 | 196,140 | ||||||
C-Class | 79,841 | 79,979 | ||||||
P-Class | 395,522 | 264,152 | ||||||
Institutional Class | 4,970,480 | 5,109,785 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 13,022 | 29,406 | ||||||
C-Class | 6,928 | 5,791 | ||||||
P-Class | 23,778 | 27,797 | ||||||
Institutional Class | 734,856 | 626,369 | ||||||
Shares redeemed | ||||||||
A-Class | (112,310 | ) | (480,725 | ) | ||||
C-Class | (40,193 | ) | (30,402 | ) | ||||
P-Class | (390,592 | ) | (295,005 | ) | ||||
Institutional Class | (4,452,685 | ) | (2,852,113 | ) | ||||
Net increase in shares | 1,360,738 | 2,681,174 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 63 |
RISK MANAGED REAL ESTATE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 36.87 | $ | 29.97 | $ | 34.11 | $ | 28.93 | $ | 29.70 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .23 | .32 | .31 | .34 | .41 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.35 | ) | 8.86 | (2.53 | ) | 5.65 | .38 | |||||||||||||
Total from investment operations | (5.12 | ) | 9.18 | (2.22 | ) | 5.99 | .79 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.55 | ) | (.54 | ) | (.63 | ) | (.55 | ) | (.52 | ) | ||||||||||
Net realized gains | (1.72 | ) | (1.74 | ) | (1.29 | ) | (.26 | ) | (1.04 | ) | ||||||||||
Total distributions | (2.27 | ) | (2.28 | ) | (1.92 | ) | (.81 | ) | (1.56 | ) | ||||||||||
Net asset value, end of period | $ | 29.48 | $ | 36.87 | $ | 29.97 | $ | 34.11 | $ | 28.93 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (15.31 | %) | 32.13 | % | (6.73 | %) | 21.12 | % | 2.70 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,043 | $ | 10,098 | $ | 15,857 | $ | 16,682 | $ | 13,772 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.62 | % | 0.95 | % | 0.99 | % | 1.09 | % | 1.42 | % | ||||||||||
Total expensesc | 1.62 | % | 1.39 | % | 1.71 | % | 1.89 | % | 1.78 | % | ||||||||||
Net expensesd,e,f | 1.58 | % | 1.38 | % | 1.70 | % | 1.88 | % | 1.76 | % | ||||||||||
Portfolio turnover rate | 47 | % | 80 | % | 180 | % | 122 | % | 107 | % | ||||||||||
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 36.55 | $ | 29.76 | $ | 33.88 | $ | 28.75 | $ | 29.54 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.01 | ) | .05 | .08 | .11 | .15 | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.30 | ) | 8.76 | (2.53 | ) | 5.60 | .42 | |||||||||||||
Total from investment operations | (5.31 | ) | 8.81 | (2.45 | ) | 5.71 | .57 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.29 | ) | (.28 | ) | (.38 | ) | (.32 | ) | (.32 | ) | ||||||||||
Net realized gains | (1.72 | ) | (1.74 | ) | (1.29 | ) | (.26 | ) | (1.04 | ) | ||||||||||
Total distributions | (2.01 | ) | (2.02 | ) | (1.67 | ) | (.58 | ) | (1.36 | ) | ||||||||||
Net asset value, end of period | $ | 29.23 | $ | 36.55 | $ | 29.76 | $ | 33.88 | $ | 28.75 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (15.93 | %) | 31.05 | % | (7.48 | %) | 20.23 | % | 1.93 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,382 | $ | 5,029 | $ | 2,446 | $ | 1,721 | $ | 867 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.03 | )% | 0.16 | % | 0.26 | % | 0.35 | % | 0.53 | % | ||||||||||
Total expensesc | 2.34 | % | 2.21 | % | 2.54 | % | 2.73 | % | 2.71 | % | ||||||||||
Net expensesd,e,f | 2.31 | % | 2.20 | % | 2.51 | % | 2.65 | % | 2.53 | % | ||||||||||
Portfolio turnover rate | 47 | % | 80 | % | 180 | % | 122 | % | 107 | % | ||||||||||
64 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RISK MANAGED REAL ESTATE FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 37.04 | $ | 30.12 | $ | 34.30 | $ | 29.09 | $ | 29.85 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .18 | .29 | .22 | .60 | .37 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.35 | ) | 8.91 | (2.48 | ) | 5.42 | .43 | |||||||||||||
Total from investment operations | (5.17 | ) | 9.20 | (2.26 | ) | 6.02 | .80 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.52 | ) | (.54 | ) | (.63 | ) | (.55 | ) | (.52 | ) | ||||||||||
Net realized gains | (1.72 | ) | (1.74 | ) | (1.29 | ) | (.26 | ) | (1.04 | ) | ||||||||||
Total distributions | (2.24 | ) | (2.28 | ) | (1.92 | ) | (.81 | ) | (1.56 | ) | ||||||||||
Net asset value, end of period | $ | 29.63 | $ | 37.04 | $ | 30.12 | $ | 34.30 | $ | 29.09 | ||||||||||
| ||||||||||||||||||||
Total Return | (15.35 | %) | 32.03 | % | (6.81 | %) | 21.12 | % | 2.68 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,716 | $ | 14,830 | $ | 12,152 | $ | 33,894 | $ | 4,217 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.48 | % | 0.86 | % | 0.70 | % | 1.87 | % | 1.29 | % | ||||||||||
Total expensesc | 1.69 | % | 1.47 | % | 1.84 | % | 1.93 | % | 1.88 | % | ||||||||||
Net expensesd,e,f | 1.64 | % | 1.45 | % | 1.78 | % | 1.89 | % | 1.78 | % | ||||||||||
Portfolio turnover rate | 47 | % | 80 | % | 180 | % | 122 | % | 107 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 65 |
RISK MANAGED REAL ESTATE FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 37.34 | $ | 30.34 | $ | 34.51 | $ | 29.27 | $ | 30.04 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .34 | .41 | .41 | .43 | .46 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.42 | ) | 8.98 | (2.58 | ) | 5.71 | .43 | |||||||||||||
Total from investment operations | (5.08 | ) | 9.39 | (2.17 | ) | 6.14 | .89 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.66 | ) | (.65 | ) | (.71 | ) | (.64 | ) | (.62 | ) | ||||||||||
Net realized gains | (1.72 | ) | (1.74 | ) | (1.29 | ) | (.26 | ) | (1.04 | ) | ||||||||||
Total distributions | (2.38 | ) | (2.39 | ) | (2.00 | ) | (.90 | ) | (1.66 | ) | ||||||||||
Net asset value, end of period | $ | 29.88 | $ | 37.34 | $ | 30.34 | $ | 34.51 | $ | 29.27 | ||||||||||
| ||||||||||||||||||||
Total Return | (15.05 | %) | 32.52 | % | (6.48 | %) | 21.46 | % | 2.98 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 409,719 | $ | 465,267 | $ | 290,551 | $ | 200,301 | $ | 154,245 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.92 | % | 1.18 | % | 1.31 | % | 1.38 | % | 1.56 | % | ||||||||||
Total expensesc | 1.30 | % | 1.10 | % | 1.43 | % | 1.61 | % | 1.51 | % | ||||||||||
Net expensesd,e,f | 1.28 | % | 1.10 | % | 1.43 | % | 1.60 | % | 1.50 | % | ||||||||||
Portfolio turnover rate | 47 | % | 80 | % | 180 | % | 122 | % | 107 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 |
A-Class | 0.02% | 0.01% | 0.02% | 0.03% | 0.03% |
C-Class | 0.03% | 0.06% | 0.04% | 0.01% | 0.01% |
P-Class | 0.05% | 0.06% | 0.02% | 0.02% | 0.01% |
Institutional Class | 0.01% | 0.00%* | 0.01% | 0.01% | 0.02% |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 |
A-Class | 1.22% | 1.21% | 1.23% | 1.27% | 1.29% |
C-Class | 1.95% | 2.04% | 2.05% | 2.05% | 2.05% |
P-Class | 1.28% | 1.29% | 1.30% | 1.30% | 1.30% |
Institutional Class | 0.92% | 0.94% | 0.96% | 1.00% | 1.03% |
66 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim Small Cap Value Fund (the “Fund”). The Fund is managed by a team of seasoned professionals, led by David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; James Schier, CFA, Senior Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Gregg Strohkorb, CFA, Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of -11.36%1,outperforming the Russell 2000 Value Index (“Index”), the Fund’s benchmark, which returned -17.69% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
After a positive start during the early months of the Reporting Period, the market as a whole came under pressure as the Fed strove to contain inflation by raising rates at the same time that the market had to deal with the uncertainty over the Ukraine invasion. The Fund’s general focus towards higher quality companies (those with better balance sheets than peers) that meet our valuation parameters tended to position the holdings well in most sectors. In fact, the Fund experienced significant positive contributions from our stock selection and sector allocation.
Stock selection within the Financials sector was the most significant positive contributor during the year. The Fund’s holdings in this sector were down 6.8% versus a 13.8% decline in the benchmark. First Horizon (a regional bank based in Memphis) gained 43% after receiving a takeover offer from Toronto-Dominion Bank. Another significant contributor, UNUM Group, gained more than 45%. UNUM, a supplemental disability and health insurance company, benefited from lower COVID related disability claims and strong payroll growth, given strong employment levels throughout the year. In addition, the reserves set aside for the closed long-term care book of business benefited from the higher fixed income rates brought about during the year.
During the year, sector allocation to the Materials sector was the second-most significant positive contributor. Although the overweight to the sector hurt performance slightly, the stock selection was very strong as the Fund’s holdings in this sector returned -3.9% versus a -22.6% decline in the benchmark. Reliance Steel, a steel and aluminum distributor and processor, had extremely strong results and was up 25% for the period. The company benefited from increasing prices and volumes as well as growth in its value-added fabrication business.
The third most significant contributor during the year was sector allocation and stock selection in the Energy sector. The slight energy overweighting was magnified by the significant outperformance the sector recorded. Energy was only one of two sectors that posted positive returns during the year and dwarfed the returns elsewhere by advancing 29.5%. The Fund’s holdings in this sector gained more than 40%. A focus on oil and gas exploration and development companies was a key contributor to these gains. EQT Corp. and Chesapeake Energy, natural gas producers, were up over 65% and 35%, respectively, as natural gas prices spiked as a result of the Russian Ukraine War and Europe’s supply of natural gas being curtailed. Pioneer Natural Resources, a Permian oil producer, performed extremely well as oil prices improved and the company exercised capital discipline throughout 2022.
Finally, the Industrials sector was a close runner up in performance contribution as well. Kirby Corp., a tank barge operator, recorded a 27% return for the year. The company experienced increasing lease rates on its inland barge business because of better demand/supply dynamics, which helped improve profitability throughout the year.
The Fund’s two largest detractors from performance were Medicare health insurance brokers EHealth and GoHealth, both of which were down around 75% for the year. The competitive environment proved to be far more intense than expected; as a result, both experienced a higher rate of insurance coverage changes and lower retention, which delayed a positive cashflow environment indefinitely. Both holdings have been sold out of the Fund.
Another detractor from the Fund’s performance was Conduent Inc., down around 50% for the year. The outsourced business process service company had declining revenue and earnings as its turnaround faltered and it was not successful in selling its transportation segment.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 67 |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2022 |
How was the Fund positioned at the end of the Reporting Period?
The market outlook is unusually cloudy. In addition to the geopolitical uncertainty that appears to be potentially significant, the market must contend with a hawkish Federal Reserve. Together, this provides a challenging environment for economic growth. All of this, however, does not change our process which is heavily bottom-up driven.
With that said, the Fund’s largest over-weightings can be found in the Industrials, Materials, and Information Technology sectors. Among the Fund’s holdings in the Industrials sector, opportunities appear abundant especially among truckers, building products, distributors, and aerospace & defense. In the Materials sector, we can find many self-help situations in the chemical industry (opportunities companies possess to generate earnings growth that are not dependent on general macroeconomic conditions; these opportunities could include cost cutting, asset redeployment, or share repurchases). Many of these companies also benefit from beneficial, low-cost North American natural gas feed stock costs. The Fund also has an overweighting among packaging companies. Among the Information Technology sector, the Fund has exposure to electronic manufacturing companies and electronic components and semiconductors companies that we believe have ample growth and improving profitability opportunities.
The Fund’s largest underweighting can be found in the Health Care sector, primarily in the biotechnology and pharmaceuticals sub-industries. Many of these companies are not considered to possess the quality attributes of balance sheet strength and positive earnings and cashflow that we desire. Another large underweight for the Fund is the Consumer Discretionary sector. Generally, in this sector, many companies appear to be operating at near peak profitability levels while consumer spending is expected to be nearing an inflection point or plateauing at best. Finally, the Fund is underweight in the Real Estate Investment Trust (“REIT”) sector. Among property REITs, we are generally leery of overall leverage levels among companies that must roll over debt at ever higher interest rates.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
68 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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. | 3.8% |
iShares Russell 2000 Value ETF | 2.6% |
Prosperity Bancshares, Inc. | 2.1% |
OGE Energy Corp. | 1.9% |
Unum Group | 1.9% |
BOK Financial Corp. | 1.8% |
Black Hills Corp. | 1.8% |
MSC Industrial Direct Company, Inc. — Class A | 1.5% |
Hanmi Financial Corp. | 1.5% |
First Merchants Corp. | 1.5% |
Top Ten Total | 20.4% |
“Ten Largest Holdings” excludes any temporary cash investments. | |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 69 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | 10 Year |
A Class Shares | (11.36%) | 2.69% | 6.58% |
A-Class Shares with sales charge‡ | (15.55%) | 1.70% | 6.06% |
C Class Shares | (12.02%) | 1.92% | 5.77% |
C-Class Shares with CDSC§ | (12.89%) | 1.92% | 5.77% |
Institutional Class Shares | (11.10%) | 2.95% | 6.84% |
Russell 2000 Value Index | (17.69%) | 2.87% | 7.94% |
| 1 Year | 5 Year | Since |
P Class Shares | (11.34%) | 2.71% | 4.26% |
Russell 2000 Value Index | (17.69%) | 2.87% | 5.45% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class Shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures. |
‡ | Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 1 Year, 5 Year and 10 Year average annual returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
70 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
SMALL CAP VALUE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 93.8% | ||||||||
Financial - 32.2% | ||||||||
Prosperity Bancshares, Inc. | 2,033 | $ | 135,560 | |||||
Unum Group | 3,204 | 124,315 | ||||||
BOK Financial Corp. | 1,354 | 120,316 | ||||||
Hanmi Financial Corp. | 4,023 | 95,265 | ||||||
First Merchants Corp. | 2,448 | 94,689 | ||||||
Cathay General Bancorp | 2,456 | 94,458 | ||||||
Physicians Realty Trust REIT | 6,064 | 91,203 | ||||||
Hancock Whitney Corp. | 1,912 | 87,589 | ||||||
CNO Financial Group, Inc. | 4,283 | 76,966 | ||||||
LXP Industrial Trust REIT | 7,952 | 72,840 | ||||||
Old Republic International Corp. | 3,210 | 67,185 | ||||||
Axis Capital Holdings Ltd. | 1,307 | 64,239 | ||||||
Banc of California, Inc. | 3,996 | 63,816 | ||||||
Zions Bancorp North America | 1,250 | 63,575 | ||||||
Stifel Financial Corp. | 1,124 | 58,347 | ||||||
STAG Industrial, Inc. REIT | 2,020 | 57,429 | ||||||
Old National Bancorp | 3,445 | 56,739 | ||||||
MGIC Investment Corp. | 4,422 | 56,690 | ||||||
Simmons First National Corp. — Class A | 2,450 | 53,385 | ||||||
Citizens Financial Group, Inc. | 1,492 | 51,265 | ||||||
First American Financial Corp. | 1,065 | 49,096 | ||||||
Independent Bank Group, Inc. | 792 | 48,621 | ||||||
Apple Hospitality REIT, Inc. | 3,371 | 47,396 | ||||||
Flagstar Bancorp, Inc. | 1,377 | 45,992 | ||||||
Trustmark Corp. | 1,239 | 37,951 | ||||||
Sunstone Hotel Investors, Inc. REIT | 3,925 | 36,974 | ||||||
Texas Capital Bancshares, Inc.* | 589 | 34,769 | ||||||
Wintrust Financial Corp. | 424 | 34,577 | ||||||
Heartland Financial USA, Inc. | 764 | 33,127 | ||||||
First Hawaiian, Inc. | 1,283 | 31,600 | ||||||
Kennedy-Wilson Holdings, Inc. | 1,884 | 29,127 | ||||||
Piedmont Office Realty Trust, Inc. — Class A REIT | 2,297 | 24,256 | ||||||
Park Hotels & Resorts, Inc. REIT | 1,923 | 21,653 | ||||||
RMR Group, Inc. — Class A | 797 | 18,881 | ||||||
United Community Banks, Inc. | 511 | 16,914 | ||||||
Heritage Insurance Holdings, Inc.* | 2,992 | 6,762 | ||||||
Total Financial | 2,103,567 | |||||||
Industrial - 24.0% | ||||||||
Curtiss-Wright Corp. | 670 | 93,237 | ||||||
Kirby Corp.* | 1,448 | 87,995 | ||||||
Sanmina Corp.* | 1,906 | 87,828 | ||||||
Graphic Packaging Holding Co. | 4,404 | 86,935 | ||||||
Valmont Industries, Inc. | 313 | 84,078 | ||||||
GATX Corp. | 982 | 83,617 | ||||||
Arcosa, Inc. | 1,451 | 82,968 | ||||||
MDU Resources Group, Inc. | 2,979 | 81,476 | ||||||
Knight-Swift Transportation Holdings, Inc. | 1,594 | 77,994 | ||||||
Littelfuse, Inc. | 384 | 76,297 | ||||||
Terex Corp. | 2,036 | 60,551 | ||||||
Daseke, Inc.* | 10,367 | 56,086 | ||||||
PGT Innovations, Inc.* | 2,617 | 54,852 | ||||||
Enovis Corp.* | 1,151 | 53,027 | ||||||
Altra Industrial Motion Corp. | 1,426 | 47,942 | ||||||
Moog, Inc. — Class A | 659 | 46,361 | ||||||
Zurn Elkay Water Solutions Corp. | 1,594 | 39,053 | ||||||
Belden, Inc. | 647 | 38,833 | ||||||
Sonoco Products Co. | 615 | 34,889 | ||||||
Plexus Corp.* | 378 | 33,098 | ||||||
Summit Materials, Inc. — Class A* | 1,369 | 32,801 | ||||||
Stoneridge, Inc.* | 1,910 | 32,375 | ||||||
EnerSys | 540 | 31,412 | ||||||
Mercury Systems, Inc.* | 747 | 30,328 | ||||||
Advanced Energy Industries, Inc. | 384 | 29,725 | ||||||
Park Aerospace Corp. | 2,395 | 26,441 | ||||||
Smith-Midland Corp.* | 939 | 25,118 | ||||||
Coherent Corp.* | 687 | 23,942 | ||||||
Esab Corp. | 711 | 23,719 | ||||||
Total Industrial | 1,562,978 | |||||||
Consumer, Cyclical - 10.5% | ||||||||
MSC Industrial Direct Company, Inc. — Class A | 1,347 | 98,075 | ||||||
Alaska Air Group, Inc.* | 2,094 | 81,980 | ||||||
H&E Equipment Services, Inc. | 2,870 | 81,336 | ||||||
Methode Electronics, Inc. | 2,092 | 77,718 | ||||||
Meritage Homes Corp.* | 1,019 | 71,605 | ||||||
Rush Enterprises, Inc. — Class A | 1,158 | 50,790 | ||||||
Hawaiian Holdings, Inc.* | 3,481 | 45,775 | ||||||
Leggett & Platt, Inc. | 1,004 | 33,353 | ||||||
Marriott Vacations Worldwide Corp. | 256 | 31,196 | ||||||
Whirlpool Corp. | 213 | 28,714 | ||||||
Lakeland Industries, Inc.* | 2,166 | 24,974 | ||||||
Macy’s, Inc. | 1,539 | 24,116 | ||||||
Newell Brands, Inc. | 1,428 | 19,835 | ||||||
UniFirst Corp. | 99 | 16,655 | ||||||
Total Consumer, Cyclical | 686,122 | |||||||
Utilities - 5.6% | ||||||||
OGE Energy Corp. | 3,443 | 125,532 | ||||||
Black Hills Corp. | 1,716 | 116,225 | ||||||
Spire, Inc. | 798 | 49,739 | ||||||
Avista Corp. | 1,052 | 38,977 | ||||||
ALLETE, Inc. | 710 | 35,535 | ||||||
Total Utilities | 366,008 | |||||||
Energy - 5.4% | ||||||||
Pioneer Natural Resources Co. | 1,159 | 250,958 | ||||||
CNX Resources Corp.* | 5,066 | 78,675 | ||||||
Patterson-UTI Energy, Inc. | 2,118 | 24,738 | ||||||
Total Energy | 354,371 | |||||||
Basic Materials - 5.3% | ||||||||
Huntsman Corp. | 3,206 | 78,675 | ||||||
Reliance Steel & Aluminum Co. | 423 | 73,776 | ||||||
Ashland, Inc. | 710 | 67,429 | ||||||
Avient Corp. | 1,900 | 57,570 | ||||||
Commercial Metals Co. | 992 | 35,196 | ||||||
Element Solutions, Inc. | 2,001 | 32,556 | ||||||
Total Basic Materials | 345,202 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2022 |
SMALL CAP VALUE FUND |
| Shares | Value | ||||||
Consumer, Non-cyclical - 4.7% | ||||||||
Ingredion, Inc. | 1,017 | $ | 81,889 | |||||
Encompass Health Corp. | 1,717 | 77,660 | ||||||
Central Garden & Pet Co. — Class A* | 1,768 | 60,395 | ||||||
Euronet Worldwide, Inc.* | 378 | 28,637 | ||||||
Perdoceo Education Corp.* | 2,215 | 22,815 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 1,840 | 19,062 | ||||||
ICF International, Inc. | 156 | 17,007 | ||||||
Total Consumer, Non-cyclical | 307,465 | |||||||
Technology - 4.1% | ||||||||
Science Applications International Corp. | 908 | 80,295 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 923 | 47,802 | ||||||
Amkor Technology, Inc. | 2,739 | 46,700 | ||||||
Conduent, Inc.* | 10,165 | 33,951 | ||||||
Silicon Laboratories, Inc.* | 253 | 31,230 | ||||||
Power Integrations, Inc. | 453 | 29,137 | ||||||
Total Technology | 269,115 | |||||||
Communications - 2.0% | ||||||||
Ciena Corp.* | 1,218 | 49,244 | ||||||
Infinera Corp.* | 8,638 | 41,808 | ||||||
Gray Television, Inc. | 2,889 | 41,370 | ||||||
Total Communications | 132,422 | |||||||
Total Common Stocks | ||||||||
(Cost $6,236,883) | 6,127,250 | |||||||
CONVERTIBLE PREFERRED STOCKS††† - 0.0% | ||||||||
Industrial - 0.0% | ||||||||
Thermoenergy Corp.*,1 | 6,250 | 2 | ||||||
Total Convertible Preferred Stocks | ||||||||
(Cost $5,969) | 2 | |||||||
RIGHTS† - 0.2% | ||||||||
Basic Materials - 0.2% | ||||||||
Pan American Silver Corp.* | 17,705 | 10,198 | ||||||
Total Rights | ||||||||
(Cost $—) | 10,198 | |||||||
EXCHANGE-TRADED FUNDS† - 3.6% | ||||||||
iShares Russell 2000 Value ETF | 1,306 | 168,382 | ||||||
SPDR S&P Biotech ETF* | 819 | 64,963 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $281,537) | 233,345 | |||||||
MONEY MARKET FUND† - 2.9% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%2 | 189,323 | 189,323 | ||||||
Total Money Market Fund | ||||||||
(Cost $189,323) | 189,323 | |||||||
Total Investments - 100.5% | ||||||||
(Cost $6,713,712) | $ | 6,560,118 | ||||||
Other Assets & Liabilities, net - (0.5)% | (31,102 | ) | ||||||
Total Net Assets - 100.0% | $ | 6,529,016 | ||||||
* | 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 September 30, 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 September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 6,127,250 | $ | — | $ | — | $ | 6,127,250 | ||||||||
Convertible Preferred Stocks | — | — | 2 | 2 | ||||||||||||
Rights | 10,198 | — | — | 10,198 | ||||||||||||
Exchange-Traded Funds | 233,345 | — | — | 233,345 | ||||||||||||
Money Market Fund | 189,323 | — | — | 189,323 | ||||||||||||
Total Assets | $ | 6,560,116 | $ | — | $ | 2 | $ | 6,560,118 | ||||||||
72 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SMALL CAP VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2022 |
Assets: | ||||
Investments, at value (cost $6,713,712) | $ | 6,560,118 | ||
Prepaid expenses | 35,883 | |||
Receivables: | ||||
Securities sold | 40,730 | |||
Investment Adviser | 9,734 | |||
Dividends | 7,785 | |||
Fund shares sold | 604 | |||
Interest | 370 | |||
Total assets | 6,655,224 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 80,496 | |||
Professional fees | 29,513 | |||
Fund accounting/administration fees | 4,369 | |||
Transfer agent/maintenance fees | 2,754 | |||
Distribution and service fees | 1,299 | |||
Due to Investment Adviser | 1,014 | |||
Trustees’ fees* | 913 | |||
Fund shares redeemed | 9 | |||
Miscellaneous | 5,841 | |||
Total liabilities | 126,208 | |||
Net assets | $ | 6,529,016 | ||
Net assets consist of: | ||||
Paid in capital | $ | 6,389,454 | ||
Total distributable earnings (loss) | 139,562 | |||
Net assets | $ | 6,529,016 | ||
A-Class: | ||||
Net assets | $ | 3,875,946 | ||
Capital shares outstanding | 275,685 | |||
Net asset value per share | $ | 14.06 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 14.76 | ||
C-Class: | ||||
Net assets | $ | 470,937 | ||
Capital shares outstanding | 36,904 | |||
Net asset value per share | $ | 12.76 | ||
P-Class: | ||||
Net assets | $ | 136,441 | ||
Capital shares outstanding | 9,628 | |||
Net asset value per share | $ | 14.17 | ||
Institutional Class: | ||||
Net assets | $ | 2,045,692 | ||
Capital shares outstanding | 161,338 | |||
Net asset value per share | $ | 12.68 | ||
STATEMENT OF OPERATIONS |
Year Ended September 30, 2022 |
Investment Income: | ||||
Dividends | $ | 151,813 | ||
Interest | 1,609 | |||
Total investment income | 153,422 | |||
Expenses: | ||||
Management fees | 54,365 | |||
Distribution and service fees: | ||||
A-Class | 11,197 | |||
C-Class | 6,296 | |||
P-Class | 209 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 18,047 | |||
C-Class | 3,544 | |||
P-Class | 573 | |||
Institutional Class | 8,000 | |||
Registration fees | 67,110 | |||
Professional fees | 35,343 | |||
Fund accounting /administration fees | 28,421 | |||
Trustees’ fees* | 12,909 | |||
Custodian fees | 2,480 | |||
Line of credit fees | 192 | |||
Miscellaneous | 4,500 | |||
Recoupment of previously waived fees: | ||||
A-Class | 608 | |||
C-Class | 73 | |||
P-Class | 20 | |||
Institutional Class | 314 | |||
Total expenses | 254,201 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (65,118 | ) | ||
C-Class | (10,146 | ) | ||
P-Class | (1,484 | ) | ||
Institutional Class | (29,785 | ) | ||
Expenses waived by Adviser | (54,218 | ) | ||
Total waived/reimbursed expenses | (160,751 | ) | ||
Net expenses | 93,450 | |||
Net investment income | 59,972 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 418,401 | |||
Net realized gain | 418,401 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,359,821 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,359,821 | ) | ||
Net realized and unrealized loss | (941,420 | ) | ||
Net decrease in net assets resulting from operations | $ | (881,448 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 73 |
SMALL CAP VALUE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 59,972 | $ | 29,932 | ||||
Net realized gain on investments | 418,401 | 781,131 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (1,359,821 | ) | 1,804,257 | |||||
Net increase (decrease) in net assets resulting from operations | (881,448 | ) | 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 | 407,538 | 552,766 | ||||||
C-Class | 41,313 | 132,046 | ||||||
P-Class | 110,889 | 11,399 | ||||||
Institutional Class | 1,337,253 | 716,219 | ||||||
Distributions reinvested | ||||||||
A-Class | 18,496 | 35,259 | ||||||
C-Class | 3,410 | — | ||||||
P-Class | 217 | 472 | ||||||
Institutional Class | 8,466 | 13,445 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (555,575 | ) | (1,108,297 | ) | ||||
C-Class | (273,299 | ) | (507,467 | ) | ||||
P-Class | (4,885 | ) | (1,829 | ) | ||||
Institutional Class | (505,781 | ) | (629,091 | ) | ||||
Net increase (decrease) from capital share transactions | 588,042 | (785,078 | ) | |||||
Net increase (decrease) in net assets | (324,522 | ) | 1,780,235 | |||||
Net assets: | ||||||||
Beginning of year | 6,853,538 | 5,073,303 | ||||||
End of year | $ | 6,529,016 | $ | 6,853,538 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 25,122 | 36,752 | ||||||
C-Class | 2,809 | 10,139 | ||||||
P-Class | 6,839 | 720 | ||||||
Institutional Class | 90,568 | 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 | (34,430 | ) | (75,105 | ) | ||||
C-Class | (18,423 | ) | (36,767 | ) | ||||
P-Class | (297 | ) | (115 | ) | ||||
Institutional Class | (35,975 | ) | (43,634 | ) | ||||
Net increase (decrease) in shares | 38,197 | (49,000 | ) | |||||
74 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SMALL CAP VALUE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 15.93 | $ | 10.61 | $ | 12.86 | $ | 15.56 | $ | 15.74 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .13 | .07 | .06 | .10 | .04 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.93 | ) | 5.37 | (1.87 | ) | (1.28 | ) | .91 | ||||||||||||
Total from investment operations | (1.80 | ) | 5.44 | (1.81 | ) | (1.18 | ) | .95 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (.12 | ) | (.18 | ) | (.19 | ) | (.15 | ) | |||||||||||
Net realized gains | (.07 | ) | — | (.26 | ) | (1.33 | ) | (.98 | ) | |||||||||||
Total distributions | (.07 | ) | (.12 | ) | (.44 | ) | (1.52 | ) | (1.13 | ) | ||||||||||
Net asset value, end of period | $ | 14.06 | $ | 15.93 | $ | 10.61 | $ | 12.86 | $ | 15.56 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (11.36 | %) | 51.48 | % | (14.79 | %) | (6.14 | %) | 6.32 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,876 | $ | 4,521 | $ | 3,390 | $ | 9,751 | $ | 11,931 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.80 | % | 0.47 | % | 0.54 | % | 0.75 | % | 0.29 | % | ||||||||||
Total expensesc | 3.50 | % | 4.07 | % | 3.23 | % | 2.27 | % | 2.09 | % | ||||||||||
Net expensesd,e,f | 1.30 | % | 1.30 | % | 1.30 | % | 1.30 | % | 1.03 | % | ||||||||||
Portfolio turnover rate | 37 | % | 28 | % | 40 | % | 78 | % | 18 | % | ||||||||||
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 14.57 | $ | 9.69 | $ | 11.75 | $ | 14.30 | $ | 14.51 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | — | g | (.03 | ) | (.02 | ) | — | g | (.07 | ) | ||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.74 | ) | 4.91 | (1.73 | ) | (1.18 | ) | .84 | ||||||||||||
Total from investment operations | (1.74 | ) | 4.88 | (1.75 | ) | (1.18 | ) | .77 | ||||||||||||
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 | $ | 12.76 | $ | 14.57 | $ | 9.69 | $ | 11.75 | $ | 14.30 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (12.02 | %) | 50.36 | % | (15.43 | %) | (6.89 | %) | 5.57 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 471 | $ | 762 | $ | 765 | $ | 1,593 | $ | 2,884 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.02 | % | (0.25 | %) | (0.14 | %) | 0.01 | % | (0.50 | %) | ||||||||||
Total expensesc | 4.41 | % | 5.04 | % | 4.33 | % | 3.09 | % | 2.94 | % | ||||||||||
Net expensesd,e,f | 2.05 | % | 2.05 | % | 2.06 | % | 2.05 | % | 2.05 | % | ||||||||||
Portfolio turnover rate | 37 | % | 28 | % | 40 | % | 78 | % | 18 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 75 |
SMALL CAP VALUE FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 16.05 | $ | 10.75 | $ | 13.01 | $ | 15.73 | $ | 15.76 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .16 | .07 | .05 | .09 | .05 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.97 | ) | 5.42 | (1.86 | ) | (1.29 | ) | .90 | ||||||||||||
Total from investment operations | (1.81 | ) | 5.49 | (1.81 | ) | (1.20 | ) | .95 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (.19 | ) | (.19 | ) | (.19 | ) | — | ||||||||||||
Net realized gains | (.07 | ) | — | (.26 | ) | (1.33 | ) | (.98 | ) | |||||||||||
Total distributions | (.07 | ) | (.19 | ) | (.45 | ) | (1.52 | ) | (.98 | ) | ||||||||||
Net asset value, end of period | $ | 14.17 | $ | 16.05 | $ | 10.75 | $ | 13.01 | $ | 15.73 | ||||||||||
| ||||||||||||||||||||
Total Return | (11.34 | %) | 51.46 | % | (14.66 | %) | (6.18 | %) | 6.30 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 136 | $ | 49 | $ | 26 | $ | 47 | $ | 15 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.00 | % | 0.48 | % | 0.46 | % | 0.72 | % | 0.30 | % | ||||||||||
Total expensesc | 3.82 | % | 4.39 | % | 4.07 | % | 2.73 | % | 2.79 | % | ||||||||||
Net expensesd,e,f | 1.29 | % | 1.30 | % | 1.30 | % | 1.28 | % | 1.30 | % | ||||||||||
Portfolio turnover rate | 37 | % | 28 | % | 40 | % | 78 | % | 18 | % | ||||||||||
76 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SMALL CAP VALUE FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 14.33 | $ | 9.54 | $ | 11.60 | $ | 14.24 | $ | 14.50 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .16 | .10 | .09 | .12 | .07 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.74 | ) | 4.81 | (1.68 | ) | (1.20 | ) | .84 | ||||||||||||
Total from investment operations | (1.58 | ) | 4.91 | (1.59 | ) | (1.08 | ) | .91 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (.12 | ) | (.21 | ) | (.23 | ) | (.19 | ) | |||||||||||
Net realized gains | (.07 | ) | — | (.26 | ) | (1.33 | ) | (.98 | ) | |||||||||||
Total distributions | (.07 | ) | (.12 | ) | (.47 | ) | (1.56 | ) | (1.17 | ) | ||||||||||
Net asset value, end of period | $ | 12.68 | $ | 14.33 | $ | 9.54 | $ | 11.60 | $ | 14.24 | ||||||||||
| ||||||||||||||||||||
Total Return | (11.10 | %) | 51.78 | % | (14.54 | %) | (5.96 | %) | 6.64 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,046 | $ | 1,522 | $ | 892 | $ | 3,143 | $ | 3,798 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.13 | % | 0.75 | % | 0.82 | % | 0.99 | % | 0.50 | % | ||||||||||
Total expensesc | 3.24 | % | 3.80 | % | 2.86 | % | 2.09 | % | 1.91 | % | ||||||||||
Net expensesd,e,f | 1.04 | % | 1.05 | % | 1.05 | % | 1.05 | % | 1.05 | % | ||||||||||
Portfolio turnover rate | 37 | % | 28 | % | 40 | % | 78 | % | 18 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | 0.01% | — | — | — | — | |
C-Class | 0.01% | — | — | — | — | |
P-Class | 0.02% | — | — | — | — | |
Institutional Class | 0.02% | — | — | — | — |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | 1.29% | 1.30% | 1.30% | 1.30% | 1.30% | |
C-Class | 2.04% | 2.05% | 2.05% | 2.05% | 2.05% | |
P-Class | 1.29% | 1.30% | 1.30% | 1.28% | 1.30% | |
Institutional Class | 1.04% | 1.05% | 1.05% | 1.05% | 1.05% |
g | Less than $0.01 per share. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 77 |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim StylePlusTM—Large Core Fund (the “Fund”). The Fund is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of -18.94%1, underperforming the S&P 500 Index (“Index”), the Fund’s benchmark, which returned -15.47%.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
Over the period, 15%-25% of the total equity position was allocated to actively managed equity and 75%-85% to passive equity. Remaining Fund assets were invested in the Guggenheim Strategy Funds, short-term fixed-income investment companies advised by Guggenheim Investments, and the Guggenheim Ultra Short Duration Fund, whose objective is to seek a high level of income consistent with the preservation of capital.
The Fund underperformed the S&P 500 Index for the Reporting Period by 3.3% net of fees. During this period, active equity and active fixed income contributed +0.2% and -1.9% to Fund’s excess return, respectively. The remainder resulted from equity index swap cost, implementation shortfall and Fund’s expenses.
How did the Fund use derivatives during the Reporting Period?
The passive equity component, which accounted for 75%-85% of the Fund’s exposure to the broad equity market, consisted of equity index swaps and equity index futures. On average, the equity index futures accounted for 0%~5% of the overall exposure, with the remainder from equity index swaps.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
78 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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 | 34.9% |
Guggenheim Strategy Fund II | 29.6% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 17.5% |
Apple, Inc. | 1.2% |
Microsoft Corp. | 0.9% |
Alphabet, Inc. — Class C | 0.7% |
Amazon.com, Inc. | 0.5% |
Home Depot, Inc. | 0.3% |
Johnson & Johnson | 0.3% |
Chevron Corp. | 0.3% |
Top Ten Total | 86.2% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 79 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (18.94%) | 7.31% | 10.48% |
A-Class Shares with sales charge‡ | (22.78%) | 6.27% | 9.94% |
C-Class Shares | (19.69%) | 6.33% | 9.46% |
C-Class Shares with CDSC§ | (20.44%) | 6.33% | 9.46% |
Institutional Class Shares | (18.78%) | 7.55% | 10.74% |
S&P 500 Index | (15.47%) | 9.24% | 11.70% |
| 1 Year | 5 Year | Since |
P-Class Shares | (19.09%) | 7.14% | 8.02% |
S&P 500 Index | (15.47%) | 9.24% | 9.48% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
80 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
STYLEPLUS—LARGE CORE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 18.3% | ||||||||
Consumer, Non-cyclical - 5.3% | ||||||||
Johnson & Johnson | 4,037 | $ | 659,484 | |||||
AbbVie, Inc. | 4,044 | 542,745 | ||||||
Bristol-Myers Squibb Co. | 7,586 | 539,289 | ||||||
CVS Health Corp. | 5,479 | 522,532 | ||||||
Amgen, Inc. | 2,073 | 467,254 | ||||||
Gilead Sciences, Inc. | 7,487 | 461,873 | ||||||
Merck & Company, Inc. | 5,169 | 445,154 | ||||||
Philip Morris International, Inc. | 5,151 | 427,585 | ||||||
Quest Diagnostics, Inc. | 3,237 | 397,148 | ||||||
Hologic, Inc.* | 6,050 | 390,346 | ||||||
Regeneron Pharmaceuticals, Inc.* | 541 | 372,679 | ||||||
Pfizer, Inc. | 8,383 | 366,840 | ||||||
Campbell Soup Co. | 7,764 | 365,840 | ||||||
Tyson Foods, Inc. — Class A | 5,450 | 359,319 | ||||||
Avery Dennison Corp. | 2,058 | 334,836 | ||||||
Conagra Brands, Inc. | 9,588 | 312,856 | ||||||
Altria Group, Inc. | 7,374 | 297,762 | ||||||
Colgate-Palmolive Co. | 4,156 | 291,959 | ||||||
UnitedHealth Group, Inc. | 503 | 254,035 | ||||||
Henry Schein, Inc.* | 3,803 | 250,123 | ||||||
Mondelez International, Inc. — Class A | 4,423 | 242,513 | ||||||
United Rentals, Inc.* | 754 | 203,671 | ||||||
Eli Lilly & Co. | 606 | 195,950 | ||||||
Global Payments, Inc. | 1,645 | 177,742 | ||||||
HCA Healthcare, Inc. | 891 | 163,757 | ||||||
Vertex Pharmaceuticals, Inc.* | 551 | 159,536 | ||||||
FleetCor Technologies, Inc.* | 862 | 151,859 | ||||||
Organon & Co. | 5,319 | 124,465 | ||||||
DaVita, Inc.* | 1,459 | 120,761 | ||||||
PepsiCo, Inc. | 687 | 112,160 | ||||||
Procter & Gamble Co. | 859 | 108,449 | ||||||
Laboratory Corporation of America Holdings | 515 | 105,477 | ||||||
Abbott Laboratories | 756 | 73,151 | ||||||
PayPal Holdings, Inc.* | 848 | 72,987 | ||||||
Thermo Fisher Scientific, Inc. | 142 | 72,021 | ||||||
Total Consumer, Non-cyclical | 10,144,158 | |||||||
Technology - 5.0% | ||||||||
Apple, Inc. | 16,510 | 2,281,682 | ||||||
Microsoft Corp. | 7,743 | 1,803,345 | ||||||
Texas Instruments, Inc. | 2,760 | 427,193 | ||||||
Analog Devices, Inc. | 2,453 | 341,801 | ||||||
NetApp, Inc. | 5,414 | 334,856 | ||||||
Skyworks Solutions, Inc. | 3,374 | 287,701 | ||||||
NXP Semiconductor N.V. | 1,894 | 279,384 | ||||||
Intel Corp. | 10,786 | 277,955 | ||||||
Akamai Technologies, Inc.* | 3,403 | 273,329 | ||||||
Hewlett Packard Enterprise Co. | 22,225 | 266,256 | ||||||
Microchip Technology, Inc. | 4,130 | 252,054 | ||||||
QUALCOMM, Inc. | 2,221 | 250,929 | ||||||
Fidelity National Information Services, Inc. | 3,212 | 242,731 | ||||||
Seagate Technology Holdings plc | 4,316 | 229,741 | ||||||
Cognizant Technology Solutions Corp. — Class A | 3,717 | 213,504 | ||||||
Broadcom, Inc. | 468 | 207,797 | ||||||
HP, Inc. | 8,255 | 205,715 | ||||||
Fiserv, Inc.* | 2,127 | 199,023 | ||||||
Applied Materials, Inc. | 2,365 | 193,764 | ||||||
Qorvo, Inc.* | 2,200 | 174,702 | ||||||
KLA Corp. | 565 | 170,986 | ||||||
Lam Research Corp. | 461 | 168,726 | ||||||
Micron Technology, Inc. | 3,319 | 166,282 | ||||||
Western Digital Corp.* | 5,008 | 163,010 | ||||||
International Business Machines Corp. | 1,287 | 152,908 | ||||||
NVIDIA Corp. | 1,236 | 150,038 | ||||||
Total Technology | 9,715,412 | |||||||
Communications - 2.4% | ||||||||
Alphabet, Inc. — Class C* | 14,114 | 1,357,061 | ||||||
Amazon.com, Inc.* | 8,467 | 956,771 | ||||||
Meta Platforms, Inc. — Class A* | 4,318 | 585,866 | ||||||
Cisco Systems, Inc. | 12,721 | 508,840 | ||||||
CDW Corp. | 2,223 | 346,966 | ||||||
VeriSign, Inc.* | 1,811 | 314,571 | ||||||
Corning, Inc. | 9,353 | 271,424 | ||||||
F5, Inc.* | 1,427 | 206,530 | ||||||
Netflix, Inc.* | 533 | 125,489 | ||||||
Total Communications | 4,673,518 | |||||||
Energy - 1.4% | ||||||||
Chevron Corp. | 4,388 | 630,424 | ||||||
Exxon Mobil Corp. | 6,806 | 594,232 | ||||||
Kinder Morgan, Inc. | 24,190 | 402,521 | ||||||
Marathon Petroleum Corp. | 3,776 | 375,070 | ||||||
Valero Energy Corp. | 3,216 | 343,630 | ||||||
Williams Companies, Inc. | 6,332 | 181,285 | ||||||
Occidental Petroleum Corp. | 2,325 | 142,871 | ||||||
ONEOK, Inc. | 1,957 | 100,277 | ||||||
Total Energy | 2,770,310 | |||||||
Consumer, Cyclical - 1.1% | ||||||||
Home Depot, Inc. | 2,469 | 681,296 | ||||||
Tesla, Inc.* | 1,541 | 408,750 | ||||||
Lowe’s Companies, Inc. | 2,000 | 375,620 | ||||||
McDonald’s Corp. | 1,492 | 344,264 | ||||||
Bath & Body Works, Inc. | 4,738 | 154,459 | ||||||
Starbucks Corp. | 1,808 | 152,342 | ||||||
Total Consumer, Cyclical | 2,116,731 | |||||||
Industrial - 1.1% | ||||||||
Parker-Hannifin Corp. | 1,462 | 354,257 | ||||||
Huntington Ingalls Industries, Inc. | 1,368 | 303,012 | ||||||
Snap-on, Inc. | 1,493 | 300,616 | ||||||
Sealed Air Corp. | 6,731 | 299,597 | ||||||
Packaging Corporation of America | 2,492 | 279,827 | ||||||
Westrock Co. | 8,815 | 272,295 | ||||||
Masco Corp. | 3,579 | 167,103 | ||||||
Keysight Technologies, Inc.* | 713 | 112,198 | ||||||
Total Industrial | 2,088,905 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 81 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
STYLEPLUS—LARGE CORE FUND |
| Shares | Value | ||||||
Financial - 1.0% | ||||||||
Everest Re Group Ltd. | 1,359 | $ | 356,656 | |||||
Raymond James Financial, Inc. | 2,878 | 284,355 | ||||||
Loews Corp. | 5,521 | 275,167 | ||||||
Visa, Inc. — Class A | 1,530 | 271,804 | ||||||
Berkshire Hathaway, Inc. — Class B* | 882 | 235,511 | ||||||
Regions Financial Corp. | 10,685 | 214,448 | ||||||
Mastercard, Inc. — Class A | 608 | 172,879 | ||||||
JPMorgan Chase & Co. | 1,024 | 107,008 | ||||||
Total Financial | 1,917,828 | |||||||
Basic Materials - 0.6% | ||||||||
LyondellBasell Industries N.V. — Class A | 4,647 | 349,826 | ||||||
Dow, Inc. | 7,561 | 332,155 | ||||||
Eastman Chemical Co. | 4,051 | 287,823 | ||||||
Nucor Corp. | 1,749 | 187,126 | ||||||
Total Basic Materials | 1,156,930 | |||||||
Utilities - 0.4% | ||||||||
American Electric Power Company, Inc. | 3,882 | 335,599 | ||||||
FirstEnergy Corp. | 7,274 | 269,138 | ||||||
PPL Corp. | 5,987 | 151,770 | ||||||
Total Utilities | 756,507 | |||||||
Total Common Stocks | ||||||||
(Cost $39,153,715) | 35,340,299 | |||||||
MUTUAL FUNDS† - 82.0% | ||||||||
Guggenheim Strategy Fund III1 | 2,802,295 | 67,311,123 | ||||||
Guggenheim Strategy Fund II1 | 2,386,396 | 57,201,913 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 3,523,908 | 33,794,274 | ||||||
Total Mutual Funds | ||||||||
(Cost $163,879,585) | 158,307,310 | |||||||
MONEY MARKET FUND† - 1.0% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%2 | 1,894,382 | 1,894,382 | ||||||
Total Money Market Fund | ||||||||
(Cost $1,894,382) | 1,894,382 | |||||||
Total Investments - 101.3% | ||||||||
(Cost $204,927,682) | $ | 195,541,991 | ||||||
Other Assets & Liabilities, net - (1.3)% | (2,452,515 | ) | ||||||
Total Net Assets - 100.0% | $ | 193,089,476 | ||||||
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration Date | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
S&P 500 Index Mini Futures Contracts | 9 | Dec 2022 | $ | 1,618,763 | $ | (239,749 | ) | |||||||||
Total Return Swap Agreements | ||||||||||||||||||
Counterparty | Index | Type | Financing Rate | Payment | Maturity | Units | Notional | Value and | ||||||||||
OTC Equity Index Swap Agreements†† | ||||||||||||||||||
Wells Fargo Bank, N.A. | S&P 500 Total Return Index | Pay | 3.56% (Federal Funds Rate + 0.48%) | At Maturity | 12/28/22 | 20,856 | $ | 158,558,366 | $ | (40,790,186 | ) | |||||||
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of September 30, 2022. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
82 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2022 |
STYLEPLUS—LARGE CORE FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 35,340,299 | $ | — | $ | — | $ | 35,340,299 | ||||||||
Mutual Funds | 158,307,310 | — | — | 158,307,310 | ||||||||||||
Money Market Fund | 1,894,382 | — | — | 1,894,382 | ||||||||||||
Total Assets | $ | 195,541,991 | $ | — | $ | — | $ | 195,541,991 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts** | $ | 239,749 | $ | — | $ | — | $ | 239,749 | ||||||||
Equity Index Swap Agreements** | — | 40,790,186 | — | 40,790,186 | ||||||||||||
Total Liabilities | $ | 239,749 | $ | 40,790,186 | $ | — | $ | 41,029,935 | ||||||||
** | 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 year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 71,198,274 | $ | 24,471,193 | $ | (35,822,923 | ) | $ | (726,885 | ) | $ | (1,917,746 | ) | $ | 57,201,913 | 2,386,396 | $ | 1,312,673 | ||||||||||||||
Guggenheim Strategy Fund III | 69,179,563 | 18,621,699 | (16,883,940 | ) | (520,871 | ) | (3,085,328 | ) | 67,311,123 | 2,802,295 | 1,607,734 | |||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 75,115,499 | 709,398 | (40,181,982 | ) | (3,125 | ) | (1,845,516 | ) | 33,794,274 | 3,523,908 | 702,081 | |||||||||||||||||||||
| $ | 215,493,336 | $ | 43,802,290 | $ | (92,888,845 | ) | $ | (1,250,881 | ) | $ | (6,848,590 | ) | $ | 158,307,310 | $ | 3,622,488 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 83 |
STYLEPLUS—LARGE CORE FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2022 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $41,048,097) | $ | 37,234,681 | ||
Investments in affiliated issuers, at value (cost $163,879,585) | 158,307,310 | |||
Segregated cash with broker | 40,889,500 | |||
Prepaid expenses | 39,697 | |||
Receivables: | ||||
Dividends | 549,549 | |||
Fund shares sold | 10,531 | |||
Interest | 3,294 | |||
Total assets | 237,034,562 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 5,388 | |||
Unrealized depreciation on OTC swap agreements | 40,790,186 | |||
Payable for: | ||||
Swap settlement | 2,315,207 | |||
Securities purchased | 544,016 | |||
Management fees | 122,611 | |||
Distribution and service fees | 42,937 | |||
Fund shares redeemed | 30,221 | |||
Variation margin on futures contracts | 25,650 | |||
Fund accounting/administration fees | 10,906 | |||
Trustees’ fees* | 6,652 | |||
Miscellaneous | 51,312 | |||
Total liabilities | 43,945,086 | |||
Net assets | $ | 193,089,476 | ||
Net assets consist of: | ||||
Paid in capital | $ | 188,845,665 | ||
Total distributable earnings (loss) | 4,243,811 | |||
Net assets | $ | 193,089,476 | ||
A-Class: | ||||
Net assets | $ | 186,957,026 | ||
Capital shares outstanding | 8,828,782 | |||
Net asset value per share | $ | 21.18 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 22.24 | ||
C-Class: | ||||
Net assets | $ | 998,736 | ||
Capital shares outstanding | 73,638 | |||
Net asset value per share | $ | 13.56 | ||
P-Class: | ||||
Net assets | $ | 255,476 | ||
Capital shares outstanding | 12,267 | |||
Net asset value per share | $ | 20.83 | ||
Institutional Class: | ||||
Net assets | $ | 4,878,238 | ||
Capital shares outstanding | 232,553 | |||
Net asset value per share | $ | 20.98 | ||
STATEMENT OF OPERATIONS |
Year Ended September 30, 2022 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $475) | $ | 804,387 | ||
Dividends from securities of affiliated issuers | 3,622,488 | |||
Interest | 56,626 | |||
Total investment income | 4,483,501 | |||
Expenses: | ||||
Management fees | 1,838,628 | |||
Distribution and service fees: | ||||
A-Class | 593,325 | |||
C-Class | 9,734 | |||
P-Class | 839 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 127,042 | |||
C-Class | 1,944 | |||
P-Class | 703 | |||
Institutional Class | 6,500 | |||
Fund accounting/administration fees | 154,756 | |||
Professional fees | 44,401 | |||
Interest expense | 33,930 | |||
Custodian fees | 16,697 | |||
Trustees’ fees* | 12,475 | |||
Line of credit fees | 7,775 | |||
Miscellaneous | 96,708 | |||
Total expenses | 2,945,457 | |||
Less: | ||||
Expenses waived by Adviser | (129,282 | ) | ||
Earnings credits applied | (209 | ) | ||
Total waived expenses | (129,491 | ) | ||
Net expenses | 2,815,966 | |||
Net investment income | 1,667,535 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 843,348 | |||
Investments in affiliated issuers | (1,250,881 | ) | ||
Swap agreements | 60,628,492 | |||
Futures contracts | (185,269 | ) | ||
Net realized gain | 60,035,690 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (7,608,762 | ) | ||
Investments in affiliated issuers | (6,848,590 | ) | ||
Swap agreements | (92,942,880 | ) | ||
Futures contracts | (43,858 | ) | ||
Net change in unrealized appreciation (depreciation) | (107,444,090 | ) | ||
Net realized and unrealized loss | (47,408,400 | ) | ||
Net decrease in net assets resulting from operations | $ | (45,740,865 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
84 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STYLEPLUS—LARGE CORE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 1,667,535 | $ | 549,916 | ||||
Net realized gain on investments | 60,035,690 | 29,570,890 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (107,444,090 | ) | 30,655,086 | |||||
Net increase (decrease) in net assets resulting from operations | (45,740,865 | ) | 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 | 4,911,344 | 10,210,123 | ||||||
C-Class | 523,465 | 100,074 | ||||||
P-Class | 123,406 | 50,547 | ||||||
Institutional Class | 6,528,320 | 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 | (20,545,489 | ) | (25,572,115 | ) | ||||
C-Class | (181,556 | ) | (512,538 | ) | ||||
P-Class | (154,507 | ) | (2,969 | ) | ||||
Institutional Class | (6,385,546 | ) | (1,527,547 | ) | ||||
Net increase (decrease) from capital share transactions | (3,609,976 | ) | 4,321,058 | |||||
Net increase (decrease) in net assets | (61,629,273 | ) | 45,703,925 | |||||
Net assets: | ||||||||
Beginning of year | 254,718,749 | 209,014,824 | ||||||
End of year | $ | 193,089,476 | $ | 254,718,749 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 184,289 | 398,868 | ||||||
C-Class | 32,562 | 5,947 | ||||||
P-Class | 4,730 | 2,066 | ||||||
Institutional Class | 245,318 | 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 | (788,816 | ) | (1,001,912 | ) | ||||
C-Class | (10,107 | ) | (30,271 | ) | ||||
P-Class | (5,888 | ) | (119 | ) | ||||
Institutional Class | (254,438 | ) | (59,156 | ) | ||||
Net increase (decrease) in shares | (183,752 | ) | 225,618 | |||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 85 |
STYLEPLUS—LARGE CORE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 27.35 | $ | 23.01 | $ | 20.48 | $ | 24.78 | $ | 25.23 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .18 | .06 | .17 | .30 | .30 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.02 | ) | 6.46 | 2.70 | (.72 | ) | 3.52 | |||||||||||||
Total from investment operations | (4.84 | ) | 6.52 | 2.87 | (.42 | ) | 3.82 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.08 | ) | (.19 | ) | (.31 | ) | (.30 | ) | (.24 | ) | ||||||||||
Net realized gains | (1.25 | ) | (1.99 | ) | (.03 | ) | (3.58 | ) | (4.03 | ) | ||||||||||
Total distributions | (1.33 | ) | (2.18 | ) | (.34 | ) | (3.88 | ) | (4.27 | ) | ||||||||||
Net asset value, end of period | $ | 21.18 | $ | 27.35 | $ | 23.01 | $ | 20.48 | $ | 24.78 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (18.94 | %) | 29.91 | % | 14.18 | % | 1.50 | % | 16.60 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 186,957 | $ | 247,243 | $ | 204,428 | $ | 196,563 | $ | 217,697 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.68 | % | 0.23 | % | 0.79 | % | 1.48 | % | 1.27 | % | ||||||||||
Total expensesc | 1.20 | % | 1.23 | % | 1.32 | % | 1.31 | % | 1.34 | % | ||||||||||
Net expensesd | 1.15 | % | 1.17 | % | 1.28 | % | 1.28 | % | 1.31 | % | ||||||||||
Portfolio turnover rate | 62 | % | 25 | % | 69 | % | 51 | % | 46 | % | ||||||||||
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 18.03 | $ | 15.87 | $ | 14.22 | $ | 18.41 | $ | 19.74 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.02 | ) | (.11 | ) | (.02 | ) | .08 | .06 | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.20 | ) | 4.34 | 1.87 | (.69 | ) | 2.69 | |||||||||||||
Total from investment operations | (3.22 | ) | 4.23 | 1.85 | (.61 | ) | 2.75 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (.08 | ) | (.17 | ) | — | (.05 | ) | ||||||||||||
Net realized gains | (1.24 | ) | (1.99 | ) | (.03 | ) | (3.58 | ) | (4.03 | ) | ||||||||||
Total distributions | (1.24 | ) | (2.07 | ) | (.20 | ) | (3.58 | ) | (4.08 | ) | ||||||||||
Net asset value, end of period | $ | 13.57 | $ | 18.03 | $ | 15.87 | $ | 14.22 | $ | 18.41 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (19.69 | %) | 28.69 | % | 13.11 | % | 0.60 | % | 15.56 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 999 | $ | 869 | $ | 1,019 | $ | 973 | $ | 1,239 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.10 | %) | (0.67 | %) | (0.15 | %) | 0.58 | % | 0.33 | % | ||||||||||
Total expensesc | 2.10 | % | 2.15 | % | 2.24 | % | 2.23 | % | 2.24 | % | ||||||||||
Net expensesd | 2.04 | % | 2.09 | % | 2.20 | % | 2.19 | % | 2.21 | % | ||||||||||
Portfolio turnover rate | 62 | % | 25 | % | 69 | % | 51 | % | 46 | % | ||||||||||
86 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 26.93 | $ | 22.69 | $ | 20.21 | $ | 24.49 | $ | 25.03 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .13 | .02 | .14 | .29 | .26 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.94 | ) | 6.38 | 2.67 | (.73 | ) | 3.45 | |||||||||||||
Total from investment operations | (4.81 | ) | 6.40 | 2.81 | (.44 | ) | 3.71 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.05 | ) | (.17 | ) | (.30 | ) | (.26 | ) | (.22 | ) | ||||||||||
Net realized gains | (1.24 | ) | (1.99 | ) | (.03 | ) | (3.58 | ) | (4.03 | ) | ||||||||||
Total distributions | (1.29 | ) | (2.16 | ) | (.33 | ) | (3.84 | ) | (4.25 | ) | ||||||||||
Net asset value, end of period | $ | 20.83 | $ | 26.93 | $ | 22.69 | $ | 20.21 | $ | 24.49 | ||||||||||
| ||||||||||||||||||||
Total Return | (19.09 | %) | 29.79 | % | 13.98 | % | 1.47 | % | 16.23 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 255 | $ | 347 | $ | 224 | $ | 236 | $ | 319 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.53 | % | 0.09 | % | 0.67 | % | 1.45 | % | 1.06 | % | ||||||||||
Total expensesc | 1.36 | % | 1.36 | % | 1.46 | % | 1.36 | % | 1.56 | % | ||||||||||
Net expensesd | 1.31 | % | 1.30 | % | 1.42 | % | 1.33 | % | 1.53 | % | ||||||||||
Portfolio turnover rate | 62 | % | 25 | % | 69 | % | 51 | % | 46 | % | ||||||||||
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 27.10 | $ | 22.83 | $ | 20.31 | $ | 24.65 | $ | 25.13 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .23 | .10 | .21 | .35 | .37 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.97 | ) | 6.40 | 2.70 | (.75 | ) | 3.51 | |||||||||||||
Total from investment operations | (4.74 | ) | 6.50 | 2.91 | (.40 | ) | 3.88 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.14 | ) | (.24 | ) | (.36 | ) | (.36 | ) | (.33 | ) | ||||||||||
Net realized gains | (1.24 | ) | (1.99 | ) | (.03 | ) | (3.58 | ) | (4.03 | ) | ||||||||||
Total distributions | (1.38 | ) | (2.23 | ) | (.39 | ) | (3.94 | ) | (4.36 | ) | ||||||||||
Net asset value, end of period | $ | 20.98 | $ | 27.10 | $ | 22.83 | $ | 20.31 | $ | 24.65 | ||||||||||
| ||||||||||||||||||||
Total Return | (18.78 | %) | 30.12 | % | 14.44 | % | 1.74 | % | 16.96 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,878 | $ | 6,260 | $ | 3,344 | $ | 3,747 | $ | 6,826 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.88 | % | 0.38 | % | 1.01 | % | 1.73 | % | 1.57 | % | ||||||||||
Total expensesc | 1.00 | % | 1.06 | % | 1.08 | % | 1.09 | % | 1.06 | % | ||||||||||
Net expensesd | 0.95 | % | 0.99 | % | 1.04 | % | 1.06 | % | 1.03 | % | ||||||||||
Portfolio turnover rate | 62 | % | 25 | % | 69 | % | 51 | % | 46 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 87 |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim StylePlusTM—Mid Growth Fund (the “Fund”). The Fund is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of -30.68%1, underperforming the Russell Midcap Growth Index (“Index”), the Fund’s benchmark, which returned -29.50%.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
Over the period, 15%-25% of the total equity position was allocated to actively managed equity and 75%-85% to passive equity. Remaining Fund assets were invested in the Guggenheim Strategy Funds, short-term fixed-income investment companies advised by Guggenheim Investments, and the Guggenheim Ultra Short Duration Fund whose objective is to seek a high level of income consistent with the preservation of capital.
For the Reporting Period, the Fund underperformed the Russell Mid Growth Index by 1.1% net of fees. During this period, active equity and active fixed income contributed +1.7% and -1.7% to Fund’s excess return, respectively. The remainder resulted from equity index swap cost, implementation shortfall and Fund’s expenses.
How did the Fund use derivatives during the Reporting Period?
The passive equity component, which accounted for 75%-85% of the Fund’s exposure to the broad equity market, consisted of equity index swaps and equity index futures. On average, the equity index futures accounted for 0%~5% of the overall exposure, with the remainder from equity index swaps.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
88 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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 III | 35.1% |
Guggenheim Strategy Fund II | 33.5% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 2.9% |
Targa Resources Corp. | 0.6% |
Steel Dynamics, Inc. | 0.5% |
Builders FirstSource, Inc. | 0.4% |
Genpact Ltd. | 0.4% |
Carlisle Companies, Inc. | 0.4% |
Brunswick Corp. | 0.4% |
Eagle Materials, Inc. | 0.4% |
Top Ten Total | 74.6% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 89 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (30.68%) | 5.49% | 9.12% |
A-Class Shares with sales charge‡ | (33.98%) | 4.47% | 8.59% |
C-Class Shares | (31.33%) | 4.56% | 8.15% |
C-Class Shares with CDSC§ | (31.94%) | 4.56% | 8.15% |
Institutional Class Shares | (30.60%) | 5.65% | 9.24% |
Russell Midcap Growth Index | (29.50%) | 7.62% | 10.85% |
| 1 Year | 5 Year | Since |
P-Class Shares | (30.90%) | 5.32% | 5.87% |
Russell Midcap Growth Index | (29.50%) | 7.62% | 7.55% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell Midcap Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class, and Institutional Class will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
90 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
STYLEPLUS—MID GROWTH FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 26.8% | ||||||||
Industrial - 5.8% | ||||||||
Builders FirstSource, Inc.* | 5,080 | $ | 299,314 | |||||
Carlisle Companies, Inc. | 967 | 271,156 | ||||||
Eagle Materials, Inc. | 2,375 | 254,552 | ||||||
Jabil, Inc. | 3,843 | 221,779 | ||||||
TopBuild Corp.* | 1,256 | 206,964 | ||||||
Simpson Manufacturing Company, Inc. | 2,503 | 196,235 | ||||||
Donaldson Company, Inc. | 3,890 | 190,649 | ||||||
Acuity Brands, Inc. | 1,209 | 190,381 | ||||||
Middleby Corp.* | 1,475 | 189,051 | ||||||
Lennox International, Inc. | 809 | 180,140 | ||||||
nVent Electric plc | 5,498 | 173,792 | ||||||
National Instruments Corp. | 4,577 | 172,736 | ||||||
Louisiana-Pacific Corp. | 3,304 | 169,132 | ||||||
Lincoln Electric Holdings, Inc. | 1,180 | 148,350 | ||||||
Applied Industrial Technologies, Inc. | 1,443 | 148,312 | ||||||
UFP Industries, Inc. | 2,053 | 148,144 | ||||||
Mueller Industries, Inc. | 2,416 | 143,607 | ||||||
Littelfuse, Inc. | 693 | 137,692 | ||||||
Universal Display Corp. | 1,359 | 128,222 | ||||||
Trex Company, Inc.* | 2,573 | 113,058 | ||||||
Sealed Air Corp. | 2,398 | 106,735 | ||||||
Pentair plc | 1,926 | 78,253 | ||||||
Masco Corp. | 1,217 | 56,822 | ||||||
Toro Co. | 469 | 40,559 | ||||||
Total Industrial | 3,965,635 | |||||||
Consumer, Non-cyclical - 5.6% | ||||||||
Darling Ingredients, Inc.* | 3,775 | 249,716 | ||||||
Neurocrine Biosciences, Inc.* | 2,321 | 246,514 | ||||||
Halozyme Therapeutics, Inc.* | 5,873 | 232,218 | ||||||
United Therapeutics Corp.* | 1,066 | 223,199 | ||||||
Shockwave Medical, Inc.* | 768 | 213,558 | ||||||
Integra LifeSciences Holdings Corp.* | 4,895 | 207,352 | ||||||
Quest Diagnostics, Inc. | 1,595 | 195,691 | ||||||
Hologic, Inc.* | 2,962 | 191,108 | ||||||
Syneos Health, Inc.* | 3,503 | 165,166 | ||||||
Globus Medical, Inc. — Class A* | 2,717 | 161,852 | ||||||
Masimo Corp.* | 1,131 | 159,652 | ||||||
Tenet Healthcare Corp.* | 2,809 | 144,888 | ||||||
Service Corporation International | 2,490 | 143,773 | ||||||
Medpace Holdings, Inc.* | 849 | 133,437 | ||||||
Alarm.com Holdings, Inc.* | 2,028 | 131,536 | ||||||
Exelixis, Inc.* | 7,898 | 123,841 | ||||||
Ensign Group, Inc. | 1,420 | 112,890 | ||||||
Avery Dennison Corp. | 645 | 104,942 | ||||||
United Rentals, Inc.* | 320 | 86,438 | ||||||
H&R Block, Inc. | 1,931 | 82,145 | ||||||
Euronet Worldwide, Inc.* | 1,040 | 78,790 | ||||||
Incyte Corp.* | 1,164 | 77,569 | ||||||
QuidelOrtho Corp.* | 999 | 71,408 | ||||||
PerkinElmer, Inc. | 551 | 66,302 | ||||||
AMN Healthcare Services, Inc.* | 592 | 62,728 | ||||||
Coca-Cola Consolidated, Inc. | 139 | 57,231 | ||||||
Laboratory Corporation of America Holdings | 265 | 54,275 | ||||||
Sotera Health Co.* | 7,044 | 48,040 | ||||||
Paylocity Holding Corp.* | 167 | 40,344 | ||||||
Total Consumer, Non-cyclical | 3,866,603 | |||||||
Technology - 4.8% | ||||||||
Genpact Ltd. | 6,700 | 293,259 | ||||||
Maximus, Inc. | 4,134 | 239,235 | ||||||
ACI Worldwide, Inc.* | 9,148 | 191,193 | ||||||
Cirrus Logic, Inc.* | 2,509 | 172,619 | ||||||
Lumentum Holdings, Inc.* | 2,516 | 172,522 | ||||||
Fair Isaac Corp.* | 417 | 171,808 | ||||||
Synaptics, Inc.* | 1,714 | 169,703 | ||||||
Concentrix Corp. | 1,501 | 167,557 | ||||||
Lattice Semiconductor Corp.* | 3,182 | 156,586 | ||||||
Aspen Technology, Inc.* | 643 | 153,163 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 2,684 | 139,004 | ||||||
CommVault Systems, Inc.* | 2,610 | 138,434 | ||||||
Power Integrations, Inc. | 2,129 | 136,937 | ||||||
Amkor Technology, Inc. | 6,925 | 118,071 | ||||||
Teradata Corp.* | 3,570 | 110,884 | ||||||
Skyworks Solutions, Inc. | 1,187 | 101,216 | ||||||
NetApp, Inc. | 1,477 | 91,352 | ||||||
Wolfspeed, Inc.* | 826 | 85,375 | ||||||
Blackbaud, Inc.* | 1,926 | 84,860 | ||||||
Microchip Technology, Inc. | 1,292 | 78,851 | ||||||
Qorvo, Inc.* | 758 | 60,193 | ||||||
Akamai Technologies, Inc.* | 676 | 54,296 | ||||||
MKS Instruments, Inc. | 651 | 53,799 | ||||||
HP, Inc. | 2,141 | 53,354 | ||||||
Seagate Technology Holdings plc | 896 | 47,694 | ||||||
Semtech Corp.* | 1,182 | 34,763 | ||||||
Total Technology | 3,276,728 | |||||||
Consumer, Cyclical - 3.2% | ||||||||
Brunswick Corp. | 4,089 | 267,625 | ||||||
Boyd Gaming Corp. | 4,410 | 210,137 | ||||||
Deckers Outdoor Corp.* | 590 | 184,440 | ||||||
Tempur Sealy International, Inc. | 7,530 | 181,774 | ||||||
Mattel, Inc.* | 9,010 | 170,649 | ||||||
Williams-Sonoma, Inc. | 1,426 | 168,054 | ||||||
Churchill Downs, Inc. | 788 | 145,110 | ||||||
Dick’s Sporting Goods, Inc. | 1,376 | 143,985 | ||||||
Five Below, Inc.* | 1,002 | 137,945 | ||||||
Crocs, Inc.* | 1,740 | 119,468 | ||||||
Papa John’s International, Inc. | 1,506 | 105,435 | ||||||
Asbury Automotive Group, Inc.* | 595 | 89,905 | ||||||
AutoNation, Inc.* | 854 | 86,997 | ||||||
Light & Wonder, Inc. — Class A* | 2,027 | 86,918 | ||||||
Wingstop, Inc. | 681 | 85,411 | ||||||
Total Consumer, Cyclical | 2,183,853 | |||||||
Financial - 2.9% | ||||||||
Wintrust Financial Corp. | 3,044 | 248,238 | ||||||
Cathay General Bancorp | 5,147 | 197,954 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 91 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
STYLEPLUS—MID GROWTH FUND |
| Shares | Value | ||||||
United Community Banks, Inc. | 5,740 | $ | 189,994 | |||||
Hancock Whitney Corp. | 3,360 | 153,922 | ||||||
Bank of Hawaii Corp. | 1,925 | 146,531 | ||||||
Evercore, Inc. — Class A | 1,686 | 138,673 | ||||||
East West Bancorp, Inc. | 1,956 | 131,326 | ||||||
Jefferies Financial Group, Inc. | 3,891 | 114,785 | ||||||
Affiliated Managers Group, Inc. | 1,022 | 114,311 | ||||||
Interactive Brokers Group, Inc. — Class A | 1,641 | 104,876 | ||||||
Kinsale Capital Group, Inc. | 408 | 104,211 | ||||||
UMB Financial Corp. | 1,191 | 100,389 | ||||||
Rexford Industrial Realty, Inc. REIT | 1,612 | 83,824 | ||||||
Healthcare Realty Trust, Inc. REIT | 3,845 | 80,168 | ||||||
Life Storage, Inc. REIT | 462 | 51,171 | ||||||
National Retail Properties, Inc. REIT | 894 | 35,635 | ||||||
Total Financial | 1,996,008 | |||||||
Energy - 2.0% | ||||||||
Targa Resources Corp. | 7,250 | 437,465 | ||||||
Antero Midstream Corp. | 25,331 | 232,561 | ||||||
DT Midstream, Inc. | 4,100 | 212,749 | ||||||
ONEOK, Inc. | 3,357 | 172,013 | ||||||
PDC Energy, Inc. | 2,830 | 163,546 | ||||||
Southwestern Energy Co.* | 15,383 | 94,144 | ||||||
First Solar, Inc.* | 313 | 41,400 | ||||||
Total Energy | 1,353,878 | |||||||
Basic Materials - 1.9% | ||||||||
Steel Dynamics, Inc. | 5,315 | 377,099 | ||||||
Ingevity Corp.* | 3,281 | 198,927 | ||||||
Olin Corp. | 4,595 | 197,034 | ||||||
Cleveland-Cliffs, Inc.* | 13,173 | 177,440 | ||||||
Balchem Corp. | 983 | 119,513 | ||||||
Valvoline, Inc. | 3,722 | 94,315 | ||||||
Nucor Corp. | 803 | 85,913 | ||||||
Avient Corp. | 2,015 | 61,055 | ||||||
Total Basic Materials | 1,311,296 | |||||||
Communications - 0.4% | ||||||||
Ciena Corp.* | 3,275 | 132,408 | ||||||
VeriSign, Inc.* | 543 | 94,319 | ||||||
F5, Inc.* | 577 | 83,510 | ||||||
Total Communications | 310,237 | |||||||
Utilities - 0.2% | ||||||||
National Fuel Gas Co. | 2,428 | 149,443 | ||||||
Total Common Stocks | ||||||||
(Cost $21,631,916) | 18,413,681 | |||||||
MUTUAL FUNDS†,1 - 71.5% | ||||||||
Guggenheim Strategy Fund III | 1,004,046 | 24,117,173 | ||||||
Guggenheim Strategy Fund II | 959,130 | 22,990,350 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 207,807 | 1,992,867 | ||||||
Total Mutual Funds | ||||||||
(Cost $50,741,897) | 49,100,390 | |||||||
MONEY MARKET FUND† - 2.4% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%2 | 1,648,116 | 1,648,116 | ||||||
Total Money Market Fund | ||||||||
(Cost $1,648,116) | 1,648,116 | |||||||
Total Investments - 100.7% | ||||||||
(Cost $74,021,929) | $ | 69,162,187 | ||||||
Other Assets & Liabilities, net - (0.7)% | (467,136 | ) | ||||||
Total Net Assets - 100.0% | $ | 68,695,051 | ||||||
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration Date | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
S&P 500 Index Mini Futures Contracts | 1 | Dec 2022 | $ | 179,863 | $ | (26,639 | ) | |||||||||
NASDAQ-100 Index Mini Futures Contracts | 1 | Dec 2022 | 220,610 | (35,845 | ) | |||||||||||
S&P MidCap 400 Index Mini Futures Contracts | 2 | Dec 2022 | 441,560 | (64,747 | ) | |||||||||||
| $ | 842,033 | $ | (127,231 | ) | ||||||||||||
Total Return Swap Agreements | |||||||||||||||||||||||
Counterparty | Index | Type | Financing Rate | Payment | Maturity | Units | Notional | Value and | |||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||
Citibank, N.A. | Russell MidCap Growth Index Total Return | Pay | 3.38% (Federal Funds Rate + 0.30%) | At Maturity | 12/28/22 | 13,134 | $ | 50,309,656 | $ | (22,824,685 | ) | ||||||||||||
92 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 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 September 30, 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 September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 18,413,681 | $ | — | $ | — | $ | 18,413,681 | ||||||||
Mutual Funds | 49,100,390 | — | — | 49,100,390 | ||||||||||||
Money Market Fund | 1,648,116 | — | — | 1,648,116 | ||||||||||||
Total Assets | $ | 69,162,187 | $ | — | $ | — | $ | 69,162,187 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts** | $ | 127,231 | $ | — | $ | — | $ | 127,231 | ||||||||
Equity Index Swap Agreements** | — | 22,824,685 | — | 22,824,685 | ||||||||||||
Total Liabilities | $ | 127,231 | $ | 22,824,685 | $ | — | $ | 22,951,916 | ||||||||
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 93 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 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 year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 35,771,287 | $ | 8,683,644 | $ | (20,257,898 | ) | $ | (373,991 | ) | $ | (832,692 | ) | $ | 22,990,350 | 959,130 | $ | 599,772 | ||||||||||||||
Guggenheim Strategy Fund III | 34,436,584 | 9,779,050 | (18,668,892 | ) | (358,627 | ) | (1,070,942 | ) | 24,117,173 | 1,004,046 | 644,864 | |||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 22,848,856 | 72,643 | (20,747,986 | ) | (75,161 | ) | (105,485 | ) | 1,992,867 | 207,807 | 72,308 | |||||||||||||||||||||
| $ | 93,056,727 | $ | 18,535,337 | $ | (59,674,776 | ) | $ | (807,779 | ) | $ | (2,009,119 | ) | $ | 49,100,390 | $ | 1,316,944 | ||||||||||||||||
94 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STYLEPLUS—MID GROWTH FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2022 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $23,280,032) | $ | 20,061,797 | ||
Investments in affiliated issuers, at value (cost $50,741,897) | 49,100,390 | |||
Segregated cash with broker | 23,211,000 | |||
Prepaid expenses | 28,928 | |||
Receivables: | ||||
Dividends | 169,755 | |||
Fund shares sold | 17,792 | |||
Total assets | 92,589,662 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 4,493 | |||
Unrealized depreciation on OTC swap agreements | 22,824,685 | |||
Payable for: | ||||
Swap settlement | 732,455 | |||
Securities purchased | 168,396 | |||
Management fees | 45,513 | |||
Fund shares redeemed | 35,192 | |||
Distribution and service fees | 15,554 | |||
Variation margin on futures contracts | 10,285 | |||
Transfer agent/maintenance fees | 9,553 | |||
Fund accounting/administration fees | 6,721 | |||
Trustees’ fees* | 1,217 | |||
Miscellaneous | 40,547 | |||
Total liabilities | 23,894,611 | |||
Net assets | $ | 68,695,051 | ||
Net assets consist of: | ||||
Paid in capital | $ | 81,774,665 | ||
Total distributable earnings (loss) | (13,079,614 | ) | ||
Net assets | $ | 68,695,051 | ||
A-Class: | ||||
Net assets | $ | 67,014,363 | ||
Capital shares outstanding | 1,958,246 | |||
Net asset value per share | $ | 34.22 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 35.93 | ||
C-Class: | ||||
Net assets | $ | 688,294 | ||
Capital shares outstanding | 36,377 | |||
Net asset value per share | $ | 18.92 | ||
P-Class: | ||||
Net assets | $ | 108,828 | ||
Capital shares outstanding | 3,241 | |||
Net asset value per share | $ | 33.58 | ||
Institutional Class: | ||||
Net assets | $ | 883,566 | ||
Capital shares outstanding | 25,799 | |||
Net asset value per share | $ | 34.25 | ||
STATEMENT OF OPERATIONS |
Year Ended September 30, 2022 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $65) | $ | 215,971 | ||
Dividends from securities of affiliated issuers | 1,316,944 | |||
Interest | 14,016 | |||
Total investment income | 1,546,931 | |||
Expenses: | ||||
Management fees | 698,519 | |||
Distribution and service fees: | ||||
A-Class | 226,838 | |||
C-Class | 9,996 | |||
P-Class | 409 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 80,927 | |||
C-Class | 2,668 | |||
P-Class | 543 | |||
Institutional Class | 2,709 | |||
Registration fees | 76,084 | |||
Fund accounting/administration fees | 64,786 | |||
Professional fees | 40,598 | |||
Trustees’ fees* | 13,083 | |||
Custodian fees | 11,357 | |||
Line of credit fees | 3,115 | |||
Miscellaneous | 7,899 | |||
Total expenses | 1,239,531 | |||
Less: | ||||
Expenses waived by Adviser | (17,047 | ) | ||
Earnings credits applied | (161 | ) | ||
Total waived expenses | (17,208 | ) | ||
Net expenses | 1,222,323 | |||
Net investment income | 324,608 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (992,643 | ) | ||
Investments in affiliated issuers | (807,779 | ) | ||
Swap agreements | 19,852,243 | |||
Futures contracts | (166,703 | ) | ||
Net realized gain | 17,885,118 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (3,762,314 | ) | ||
Investments in affiliated issuers | (2,009,119 | ) | ||
Swap agreements | (44,591,287 | ) | ||
Futures contracts | (127,231 | ) | ||
Net change in unrealized appreciation (depreciation) | (50,489,951 | ) | ||
Net realized and unrealized loss | (32,604,833 | ) | ||
Net decrease in net assets resulting from operations | $ | (32,280,225 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 95 |
STYLEPLUS—MID GROWTH FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 324,608 | $ | (51,917 | ) | |||
Net realized gain on investments | 17,885,118 | 20,864,358 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (50,489,951 | ) | 7,252,977 | |||||
Net increase (decrease) in net assets resulting from operations | (32,280,225 | ) | 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 | 1,567,712 | 2,172,972 | ||||||
C-Class | 27,151 | 158,772 | ||||||
P-Class | 30,227 | 79,809 | ||||||
Institutional Class | 430,972 | 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 | (10,782,195 | ) | (10,248,122 | ) | ||||
C-Class | (289,331 | ) | (682,043 | ) | ||||
P-Class | (102,638 | ) | (7,208 | ) | ||||
Institutional Class | (507,524 | ) | (1,020,174 | ) | ||||
Net increase (decrease) from capital share transactions | (2,963,751 | ) | 4,252,880 | |||||
Net increase (decrease) in net assets | (42,242,429 | ) | 18,532,107 | |||||
Net assets: | ||||||||
Beginning of year | 110,937,480 | 92,405,373 | ||||||
End of year | $ | 68,695,051 | $ | 110,937,480 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 35,090 | 43,004 | ||||||
C-Class | 1,116 | 5,193 | ||||||
P-Class | 800 | 1,640 | ||||||
Institutional Class | 10,243 | 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 | (256,009 | ) | (201,221 | ) | ||||
C-Class | (11,608 | ) | (23,365 | ) | ||||
P-Class | (2,436 | ) | (151 | ) | ||||
Institutional Class | (12,632 | ) | (20,266 | ) | ||||
Net increase (decrease) in shares | (98,146 | ) | 93,751 | |||||
96 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STYLEPLUS—MID GROWTH FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 52.73 | $ | 45.98 | $ | 39.64 | $ | 49.70 | $ | 47.34 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .16 | (.02 | ) | .19 | .45 | .41 | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (15.32 | ) | 13.67 | 7.06 | (1.58 | ) | 7.70 | |||||||||||||
Total from investment operations | (15.16 | ) | 13.65 | 7.25 | (1.13 | ) | 8.11 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (.20 | ) | (.45 | ) | (.41 | ) | (.24 | ) | |||||||||||
Net realized gains | (3.35 | ) | (6.70 | ) | (.46 | ) | (8.52 | ) | (5.51 | ) | ||||||||||
Total distributions | (3.35 | ) | (6.90 | ) | (.91 | ) | (8.93 | ) | (5.75 | ) | ||||||||||
Net asset value, end of period | $ | 34.22 | $ | 52.73 | $ | 45.98 | $ | 39.64 | $ | 49.70 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (30.68 | %) | 31.07 | % | 18.57 | % | 2.34 | % | 18.51 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 67,014 | $ | 107,983 | $ | 89,469 | $ | 83,027 | $ | 87,509 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.36 | % | (0.04 | %) | 0.46 | % | 1.13 | % | 0.87 | % | ||||||||||
Total expensesc | 1.32 | % | 1.34 | % | 1.45 | % | 1.44 | % | 1.55 | % | ||||||||||
Net expensesd | 1.30 | % | 1.28 | % | 1.40 | % | 1.41 | % | 1.52 | % | ||||||||||
Portfolio turnover rate | 72 | % | 44 | % | 82 | % | 73 | % | 52 | % | ||||||||||
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 30.92 | $ | 29.40 | $ | 25.66 | $ | 35.78 | $ | 35.64 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.15 | ) | (.29 | ) | (.10 | ) | .08 | .02 | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (8.50 | ) | 8.51 | 4.53 | (1.68 | ) | 5.63 | |||||||||||||
Total from investment operations | (8.65 | ) | 8.22 | 4.43 | (1.60 | ) | 5.65 | |||||||||||||
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 | $ | 18.92 | $ | 30.92 | $ | 29.40 | $ | 25.66 | $ | 35.78 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (31.33 | %) | 29.88 | % | 17.53 | % | 1.46 | % | 17.51 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 688 | $ | 1,327 | $ | 1,510 | $ | 1,683 | $ | 1,849 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.59 | %) | (0.94 | %) | (0.39 | %) | 0.30 | % | 0.05 | % | ||||||||||
Total expensesc | 2.25 | % | 2.26 | % | 2.32 | % | 2.27 | % | 2.33 | % | ||||||||||
Net expensesd | 2.23 | % | 2.20 | % | 2.28 | % | 2.24 | % | 2.30 | % | ||||||||||
Portfolio turnover rate | 72 | % | 44 | % | 82 | % | 73 | % | 52 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 97 |
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.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 51.96 | $ | 45.45 | $ | 39.17 | $ | 49.12 | $ | 46.83 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | — | (.07 | ) | .15 | .41 | .32 | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (15.03 | ) | 13.51 | 6.99 | (1.58 | ) | 7.61 | |||||||||||||
Total from investment operations | (15.03 | ) | 13.44 | 7.14 | (1.17 | ) | 7.93 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (.23 | ) | (.40 | ) | (.26 | ) | (.13 | ) | |||||||||||
Net realized gains | (3.35 | ) | (6.70 | ) | (.46 | ) | (8.52 | ) | (5.51 | ) | ||||||||||
Total distributions | (3.35 | ) | (6.93 | ) | (.86 | ) | (8.78 | ) | (5.64 | ) | ||||||||||
Net asset value, end of period | $ | 33.58 | $ | 51.96 | $ | 45.45 | $ | 39.17 | $ | 49.12 | ||||||||||
| ||||||||||||||||||||
Total Return | (30.90 | %) | 30.92 | % | 18.48 | % | 2.22 | % | 18.26 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 109 | $ | 237 | $ | 116 | $ | 93 | $ | 125 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.01 | % | (0.14 | %) | 0.36 | % | 1.04 | % | 0.67 | % | ||||||||||
Total expensesc | 1.56 | % | 1.43 | % | 1.54 | % | 1.55 | % | 1.68 | % | ||||||||||
Net expensesd | 1.54 | % | 1.37 | % | 1.50 | % | 1.51 | % | 1.64 | % | ||||||||||
Portfolio turnover rate | 72 | % | 44 | % | 82 | % | 73 | % | 52 | % | ||||||||||
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 52.71 | $ | 45.98 | $ | 39.64 | $ | 49.80 | $ | 47.48 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .22 | .07 | .24 | .51 | .53 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (15.33 | ) | 13.65 | 7.09 | (1.63 | ) | 7.71 | |||||||||||||
Total from investment operations | (15.11 | ) | 13.72 | 7.33 | (1.12 | ) | 8.24 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (.29 | ) | (.53 | ) | (.52 | ) | (.41 | ) | |||||||||||
Net realized gains | (3.35 | ) | (6.70 | ) | (.46 | ) | (8.52 | ) | (5.51 | ) | ||||||||||
Total distributions | (3.35 | ) | (6.99 | ) | (.99 | ) | (9.04 | ) | (5.92 | ) | ||||||||||
Net asset value, end of period | $ | 34.25 | $ | 52.71 | $ | 45.98 | $ | 39.64 | $ | 49.80 | ||||||||||
| ||||||||||||||||||||
Total Return | (30.60 | %) | 31.26 | % | 18.79 | % | 2.42 | % | 18.77 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 884 | $ | 1,390 | $ | 1,311 | $ | 972 | $ | 875 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.50 | % | 0.14 | % | 0.58 | % | 1.28 | % | 1.11 | % | ||||||||||
Total expensesc | 1.20 | % | 1.17 | % | 1.26 | % | 1.31 | % | 1.26 | % | ||||||||||
Net expensesd | 1.18 | % | 1.11 | % | 1.22 | % | 1.28 | % | 1.23 | % | ||||||||||
Portfolio turnover rate | 72 | % | 44 | % | 82 | % | 73 | % | 52 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
98 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim World Equity Income Fund (the “Fund”). The Fund is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Evan Einstein, Director and Portfolio Manager; and Douglas Makin, Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of -13.44%1, outperforming the MSCI World Index (“Index”), the Fund’s benchmark, which returned -19.63% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The last year was a difficult period for global equity markets. Inflation has been historically high; the Federal Reserve has been increasing interest rates; and war has been destabilizing Europe. The Fund managed to outperform due to its positioning in lower risk and higher relative yield than the benchmark. The Fund’s strategy tends to create a bias toward value-oriented investments, which also tends to contribute to performance in a down market.
The leading contributor to return was security selection in the Health Care and Information Technology sectors. These sectors were also where the Fund was most underweight relative to the benchmark, which helped in the Technology sector but hurt in the Health Care sector. An overweight in the Industrials sector was also a strong positive contributor. The leading detractors from return were selection in the Financials and Energy sectors.
From a country perspective, the Fund had its strongest contribution from its holdings in Canada. Its holdings in most other countries, including the U.S., were negative for the period, detracting from return. However, the negative return of U.S. holdings, the largest in the Fund, was better than the benchmark return, contributing to relative performance.
The top individual contributors to the fund were the underweight in Meta Platforms, and an overweight in Tourmaline Oil Corp and Qualcomm Inc. The biggest detractors were an overweight in Intel Corp, International Paper, and Liberty Global plc.
How did the Fund use derivatives during the Reporting Period?
The Fund uses currency contract futures to hedge non-U.S. dollar equity positions, which helps to reduce volatility. Their contribution to performance in aggregate was positive, as the currency futures were active for much of the period and the dollar was strong against other currencies for much of the period as well.
How was the Fund positioned at the end of the Reporting Period?
Rising interest rates, the reopening of the economy following the pandemic, and a historically wide valuation gap between growth and value sectors were among the factors that saw value stocks solidly outperform growth stocks over the period. Compared with the Index, the Fund is positioned more cautiously, as we anticipate continuing market weakness that defined much of the period.
The Fund was most overweight in the Utilities, Energy, and Industrials sectors at the end of the Reporting Period, and most underweight in the Health Care, Information Technology, and Consumer Staples sectors.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 99 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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 | |||
United States | 65.5 | % | ||
Japan | 8.5 | % | ||
Canada | 6.7 | % | ||
Australia | 4.7 | % | ||
United Kingdom | 4.6 | % | ||
Ireland | 1.8 | % | ||
Switzerland | 1.3 | % | ||
Other | 6.9 | % | ||
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) | |
Microsoft Corp. | 3.0% |
Apple, Inc. | 3.0% |
Johnson & Johnson | 1.7% |
Alphabet, Inc. — Class C | 1.7% |
Amazon.com, Inc. | 1.5% |
Home Depot, Inc. | 1.3% |
Merck & Company, Inc. | 1.3% |
Shell plc | 1.1% |
Lowe’s Companies, Inc. | 1.1% |
McDonald’s Corp. | 1.1% |
Top Ten Total | 16.8% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
100 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | 10 Year |
A Class Shares | (13.44%) | 3.67% | 6.74% |
A-Class Shares with sales charge‡ | (17.54%) | 2.66% | 6.22% |
C Class Shares | (14.11%) | 2.89% | 5.94% |
C-Class Shares with CDSC§ | (14.75%) | 2.89% | 5.94% |
Institutional Class Shares | (13.18%) | 3.96% | 7.05% |
MSCI World Index | (19.63%) | 5.30% | 8.11% |
| 1 Year | 5 Year | Since |
P Class Shares | (13.44%) | 3.66% | 4.61% |
MSCI World Index | (19.63%) | 5.30% | 5.82% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The MSCI World Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 101 |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
WORLD EQUITY INCOME FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 96.6% | ||||||||
Consumer, Non-cyclical - 16.3% | ||||||||
Johnson & Johnson | 4,691 | $ | 766,322 | |||||
Merck & Company, Inc. | 6,759 | 582,085 | ||||||
Amgen, Inc. | 2,150 | 484,610 | ||||||
Gilead Sciences, Inc. | 7,095 | 437,691 | ||||||
AbbVie, Inc. | 3,200 | 429,472 | ||||||
Kellogg Co. | 5,901 | 411,064 | ||||||
J M Smucker Co. | 2,886 | 396,565 | ||||||
Colgate-Palmolive Co. | 5,259 | 369,445 | ||||||
Automatic Data Processing, Inc. | 1,623 | 367,106 | ||||||
Takeda Pharmaceutical Company Ltd.†† | 14,000 | 363,554 | ||||||
Becton Dickinson and Co. | 1,622 | 361,430 | ||||||
Imperial Brands plc†† | 16,900 | 347,476 | ||||||
Novartis AG†† | 4,500 | 343,126 | ||||||
Transurban Group†† | 40,000 | 315,908 | ||||||
AmerisourceBergen Corp. — Class A | 2,126 | 287,711 | ||||||
Philip Morris International, Inc. | 2,449 | 203,291 | ||||||
Booz Allen Hamilton Holding Corp. | 1,960 | 181,006 | ||||||
UnitedHealth Group, Inc. | 346 | 174,744 | ||||||
Abbott Laboratories | 1,200 | 116,112 | ||||||
Dai Nippon Printing Company Ltd.†† | 5,000 | 100,173 | ||||||
General Mills, Inc. | 1,200 | 91,932 | ||||||
PepsiCo, Inc. | 500 | 81,630 | ||||||
Total Consumer, Non-cyclical | 7,212,453 | |||||||
Technology - 14.8% | ||||||||
Microsoft Corp. | 5,727 | 1,333,818 | ||||||
Apple, Inc. | 9,555 | 1,320,501 | ||||||
Texas Instruments, Inc. | 3,004 | 464,959 | ||||||
International Business Machines Corp. | 3,549 | 421,657 | ||||||
Broadcom, Inc. | 946 | 420,034 | ||||||
Intel Corp. | 13,982 | 360,316 | ||||||
Analog Devices, Inc. | 2,200 | 306,548 | ||||||
Broadridge Financial Solutions, Inc. | 2,099 | 302,928 | ||||||
Paychex, Inc. | 2,600 | 291,746 | ||||||
Dell Technologies, Inc. — Class C | 8,361 | 285,695 | ||||||
Hewlett Packard Enterprise Co. | 22,484 | 269,358 | ||||||
Seagate Technology Holdings plc | 4,911 | 261,413 | ||||||
Ricoh Company Ltd.†† | 29,300 | 214,543 | ||||||
Seiko Epson Corp.†† | 10,100 | 137,912 | ||||||
Oracle Corp. | 1,348 | 82,322 | ||||||
Jack Henry & Associates, Inc. | 400 | 72,908 | ||||||
Total Technology | 6,546,658 | |||||||
Consumer, Cyclical - 13.3% | ||||||||
Home Depot, Inc. | 2,133 | 588,580 | ||||||
Lowe’s Companies, Inc. | 2,676 | 502,580 | ||||||
McDonald’s Corp. | 2,145 | 494,937 | ||||||
PACCAR, Inc. | 4,845 | 405,478 | ||||||
Dollar General Corp. | 1,548 | 371,303 | ||||||
Tesla, Inc.* | 1,329 | 352,517 | ||||||
Genuine Parts Co. | 2,350 | 350,902 | ||||||
Daiwa House Industry Company Ltd.†† | 16,100 | 327,360 | ||||||
Yum! Brands, Inc. | 3,008 | 319,871 | ||||||
Sumitomo Corp.†† | 24,100 | 297,745 | ||||||
Hasbro, Inc. | 3,828 | 258,084 | ||||||
Iida Group Holdings Company Ltd.†† | 16,200 | 219,292 | ||||||
Whirlpool Corp. | 1,599 | 215,561 | ||||||
O’Reilly Automotive, Inc.* | 300 | 211,005 | ||||||
Aisin Corp.†† | 8,000 | 205,921 | ||||||
Sharp Corp.†† | 34,100 | 203,335 | ||||||
Newell Brands, Inc. | 11,967 | 166,221 | ||||||
TJX Companies, Inc. | 1,900 | 118,028 | ||||||
Cummins, Inc. | 445 | 90,562 | ||||||
Lululemon Athletica, Inc.* | 300 | 83,868 | ||||||
Sumitomo Electric Industries Ltd.†† | 7,900 | 80,198 | ||||||
Total Consumer, Cyclical | 5,863,348 | |||||||
Financial - 12.6% | ||||||||
Principal Financial Group, Inc. | 5,842 | 421,500 | ||||||
Cboe Global Markets, Inc. | 3,355 | 393,776 | ||||||
Australia & New Zealand Banking Group Ltd.†† | 25,300 | 370,375 | ||||||
Prudential Financial, Inc. | 4,303 | 369,111 | ||||||
AvalonBay Communities, Inc. REIT | 1,946 | 358,434 | ||||||
Truist Financial Corp. | 7,900 | 343,966 | ||||||
Travelers Companies, Inc. | 2,219 | 339,951 | ||||||
MetLife, Inc. | 5,496 | 334,047 | ||||||
National Australia Bank Ltd.†† | 17,900 | 331,442 | ||||||
Aon plc — Class A | 1,000 | 267,870 | ||||||
Willis Towers Watson plc | 1,300 | 261,222 | ||||||
Chubb Ltd. | 1,262 | 229,533 | ||||||
Annaly Capital Management, Inc. REIT | 10,489 | 179,991 | ||||||
Gaming and Leisure Properties, Inc. REIT | 4,000 | 176,960 | ||||||
Erie Indemnity Co. — Class A | 700 | 155,617 | ||||||
Dexus REIT†† | 30,500 | 151,730 | ||||||
American International Group, Inc. | 2,686 | 127,531 | ||||||
Globe Life, Inc. | 1,100 | 109,670 | ||||||
Western Union Co. | 8,000 | 108,000 | ||||||
Aflac, Inc. | 1,900 | 106,780 | ||||||
Westpac Banking Corp.†† | 8,000 | 105,844 | ||||||
Marsh & McLennan Companies, Inc. | 700 | 104,503 | ||||||
SEI Investments Co. | 1,900 | 93,195 | ||||||
PNC Financial Services Group, Inc. | 500 | 74,710 | ||||||
GPT Group REIT†† | 29,806 | 73,360 | ||||||
Total Financial | 5,589,118 | |||||||
Industrial - 11.5% | ||||||||
Northrop Grumman Corp. | 972 | 457,151 | ||||||
Lockheed Martin Corp. | 1,079 | 416,807 | ||||||
Waste Connections, Inc. | 2,752 | 371,878 | ||||||
General Dynamics Corp. | 1,730 | 367,054 | ||||||
United Parcel Service, Inc. — Class B | 2,018 | 325,988 | ||||||
3M Co. | 2,866 | 316,693 | ||||||
Packaging Corporation of America | 2,754 | 309,247 | ||||||
Amcor plc | 28,063 | 301,116 | ||||||
Aurizon Holdings Ltd.†† | 108,600 | 240,194 | ||||||
Nippon Yusen K.K.†† | 13,800 | 234,242 | ||||||
L3Harris Technologies, Inc. | 1,103 | 229,237 | ||||||
Snap-on, Inc. | 1,000 | 201,350 | ||||||
Waste Management, Inc. | 1,250 | 200,262 | ||||||
Nordson Corp. | 908 | 192,741 | ||||||
102 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
WORLD EQUITY INCOME FUND |
| Shares | Value | ||||||
Republic Services, Inc. — Class A | 1,378 | $ | 187,463 | |||||
SITC International Holdings Company Ltd.†† | 99,600 | 182,669 | ||||||
AP Moller - Maersk A/S — Class B†† | 100 | 181,722 | ||||||
Mitsui OSK Lines Ltd.†† | 9,700 | 173,560 | ||||||
Illinois Tool Works, Inc. | 643 | 116,158 | ||||||
Arrow Electronics, Inc.* | 997 | 91,914 | ||||||
Total Industrial | 5,097,446 | |||||||
Energy - 8.9% | ||||||||
Shell plc†† | 20,300 | 503,571 | ||||||
Equinor ASA†† | 12,100 | 399,088 | ||||||
Enbridge, Inc. | 10,517 | 390,133 | ||||||
TotalEnergies SE†† | 7,900 | 370,646 | ||||||
Suncor Energy, Inc. | 12,678 | 357,176 | ||||||
Eni SpA†† | 31,000 | 329,508 | ||||||
Imperial Oil Ltd. | 6,900 | 298,885 | ||||||
ENEOS Holdings, Inc.†† | 80,000 | 258,016 | ||||||
Parkland Corp. | 9,900 | 212,231 | ||||||
Keyera Corp. | 10,000 | 205,974 | ||||||
Idemitsu Kosan Company Ltd.†† | 9,000 | 195,602 | ||||||
Galp Energia SGPS S.A. — Class B†† | 20,100 | 193,400 | ||||||
Aker BP ASA†† | 3,900 | 111,960 | ||||||
Repsol S.A.†† | 8,600 | 98,822 | ||||||
Total Energy | 3,925,012 | |||||||
Communications - 7.2% | ||||||||
Alphabet, Inc. — Class C* | 7,951 | 764,489 | ||||||
Amazon.com, Inc.* | 5,721 | 646,473 | ||||||
Verizon Communications, Inc. | 11,559 | 438,895 | ||||||
Motorola Solutions, Inc. | 1,134 | 253,982 | ||||||
Comcast Corp. — Class A | 8,452 | 247,897 | ||||||
Liberty Global plc — Class C* | 12,480 | 205,920 | ||||||
Cisco Systems, Inc. | 4,648 | 185,920 | ||||||
NortonLifeLock, Inc. | 7,944 | 159,992 | ||||||
FactSet Research Systems, Inc. | 300 | 120,033 | ||||||
Omnicom Group, Inc. | 1,400 | 88,326 | ||||||
Meta Platforms, Inc. — Class A* | 500 | 67,840 | ||||||
Total Communications | 3,179,767 | |||||||
Utilities - 6.9% | ||||||||
EDP - Energias de Portugal S.A.†† | 74,300 | 322,481 | ||||||
Emera, Inc. | 7,936 | 321,231 | ||||||
SSE plc†† | 19,000 | 320,781 | ||||||
Fortis, Inc. | 7,936 | 301,632 | ||||||
National Grid plc†† | 25,800 | 265,574 | ||||||
Kansai Electric Power Company, Inc.*,†† | 28,100 | 235,098 | ||||||
Chubu Electric Power Company, Inc.†† | 25,600 | 230,239 | ||||||
Canadian Utilities Ltd. — Class A | 8,506 | 221,342 | ||||||
Southern Co. | 2,975 | 202,300 | ||||||
Duke Energy Corp. | 1,600 | 148,832 | ||||||
AltaGas Ltd. | 6,000 | 114,937 | ||||||
Red Electrica Corporation S.A.†† | 7,000 | 107,425 | ||||||
Hydro One Ltd.1 | 4,000 | 97,859 | ||||||
Exelon Corp. | 2,567 | 96,160 | ||||||
Enagas S.A.†† | 5,100 | 78,947 | ||||||
Total Utilities | 3,064,838 | |||||||
Basic Materials - 5.1% | ||||||||
Air Products and Chemicals, Inc. | 1,597 | 371,670 | ||||||
Rio Tinto plc†† | 6,700 | 362,531 | ||||||
LyondellBasell Industries N.V. — Class A | 3,798 | 285,914 | ||||||
International Paper Co. | 8,795 | 278,801 | ||||||
Fortescue Metals Group Ltd.†† | 24,900 | 267,320 | ||||||
South32 Ltd.†† | 111,100 | 263,751 | ||||||
Eastman Chemical Co. | 3,268 | 232,191 | ||||||
JFE Holdings, Inc.†† | 21,700 | 201,496 | ||||||
Total Basic Materials | 2,263,674 | |||||||
Total Common Stocks | ||||||||
(Cost $47,826,029) | 42,742,314 | |||||||
EXCHANGE-TRADED FUNDS† - 1.4% | ||||||||
iShares MSCI EAFE ETF | 5,478 | 306,823 | ||||||
SPDR S&P 500 ETF Trust | 841 | 300,388 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $629,596) | 607,211 | |||||||
MONEY MARKET FUND† - 0.2% | ||||||||
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.49%2 | 72,103 | 72,103 | ||||||
Total Money Market Fund | ||||||||
(Cost $72,103) | 72,103 | |||||||
Total Investments - 98.2% | ||||||||
(Cost $48,527,728) | $ | 43,421,628 | ||||||
Other Assets & Liabilities, net - 1.8% | 799,387 | |||||||
Total Net Assets - 100.0% | $ | 44,221,015 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 103 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2022 |
WORLD EQUITY INCOME FUND |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration Date | Notional | Value and | ||||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||||
Canadian Dollar Futures Contracts | 36 | Dec 2022 | $ | 2,606,760 | $ | 111,217 | ||||||||||
Australian Dollar Futures Contracts | 33 | Dec 2022 | 2,113,320 | 82,184 | ||||||||||||
British Pound Futures Contracts | 27 | Dec 2022 | 1,885,950 | 64,889 | ||||||||||||
Japanese Yen Futures Contracts | 44 | Dec 2022 | 3,831,300 | 33,000 | ||||||||||||
Euro FX Futures Contracts | 7 | Dec 2022 | 862,269 | (6,624 | ) | |||||||||||
| $ | 11,299,599 | $ | 284,666 | |||||||||||||
* | 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 | 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 $97,859 (cost $108,457), or 0.2% of total net assets. |
2 | Rate indicated is the 7-day yield as of September 30, 2022. |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 32,424,377 | $ | 10,317,937 | $ | — | $ | 42,742,314 | ||||||||
Exchange-Traded Funds | 607,211 | — | — | 607,211 | ||||||||||||
Money Market Fund | 72,103 | — | — | 72,103 | ||||||||||||
Currency Futures Contracts** | 291,290 | — | — | 291,290 | ||||||||||||
Total Assets | $ | 33,394,981 | $ | 10,317,937 | $ | — | $ | 43,712,918 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Currency Futures Contracts** | $ | 6,624 | $ | — | $ | — | $ | 6,624 | ||||||||
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
104 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WORLD EQUITY INCOME FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2022 |
Assets: | ||||
Investments, at value (cost $48,527,728) | $ | 43,421,628 | ||
Foreign currency, at value (cost 32,966) | 30,941 | |||
Segregated cash with broker | 333,500 | |||
Prepaid expenses | 33,586 | |||
Receivables: | ||||
Securities sold | 185,363 | |||
Dividends | 167,134 | |||
Foreign tax reclaims | 79,816 | |||
Fund shares sold | 64,374 | |||
Variation margin on futures contracts | 33,825 | |||
Interest | 492 | |||
Total assets | 44,350,659 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 3,032 | |||
Payable for: | ||||
Professional fees | 37,387 | |||
Fund shares redeemed | 29,377 | |||
Management fees | 15,391 | |||
Distribution and service fees | 10,160 | |||
Distributions to shareholders | 9,220 | |||
Transfer agent/maintenance fees | 6,408 | |||
Fund accounting/administration fees | 5,190 | |||
Trustees’ fees* | 2,805 | |||
Due to Investment Adviser | 2,515 | |||
Miscellaneous | 8,159 | |||
Total liabilities | 129,644 | |||
Net assets | $ | 44,221,015 | ||
Net assets consist of: | ||||
Paid in capital | $ | 49,595,984 | ||
Total distributable earnings (loss) | (5,374,969 | ) | ||
Net assets | $ | 44,221,015 | ||
A-Class: | ||||
Net assets | $ | 35,904,865 | ||
Capital shares outstanding | 2,874,003 | |||
Net asset value per share | $ | 12.49 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 13.11 | ||
C-Class: | ||||
Net assets | $ | 2,518,077 | ||
Capital shares outstanding | 246,825 | |||
Net asset value per share | $ | 10.20 | ||
P-Class: | ||||
Net assets | $ | 61,865 | ||
Capital shares outstanding | 4,910 | |||
Net asset value per share | $ | 12.60 | ||
Institutional Class: | ||||
Net assets | $ | 5,736,208 | ||
Capital shares outstanding | 462,750 | |||
Net asset value per share | $ | 12.40 | ||
STATEMENT OF OPERATIONS |
Year Ended September 30, 2022 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $134,216) | $ | 1,571,688 | ||
Interest | 1,666 | |||
Total investment income | 1,573,354 | |||
Expenses: | ||||
Management fees | 355,927 | |||
Distribution and service fees: | ||||
A-Class | 107,254 | |||
C-Class | 30,986 | |||
P-Class | 252 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 36,952 | |||
C-Class | 4,579 | |||
P-Class | 318 | |||
Institutional Class | 3,123 | |||
Registration fees | 68,273 | |||
Professional fees | 42,784 | |||
Fund accounting/administration fees | 39,180 | |||
Custodian fees | 10,822 | |||
Trustees’ fees* | 10,262 | |||
Line of credit fees | 1,488 | |||
Miscellaneous | 6,361 | |||
Recoupment of previously waived fees: | ||||
A-Class | 2,297 | |||
C-Class | 150 | |||
Institutional Class | 449 | |||
Total expenses | 721,457 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (38,498 | ) | ||
C-Class | (4,671 | ) | ||
P-Class | (318 | ) | ||
Institutional Class | (3,463 | ) | ||
Expenses waived by Adviser | (50,992 | ) | ||
Total waived/reimbursed expenses | (97,942 | ) | ||
Net expenses | 623,515 | |||
Net investment income | 949,839 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (349,735 | ) | ||
Futures contracts | 203,522 | |||
Foreign currency transactions | (13,525 | ) | ||
Net realized loss | (159,738 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (7,861,101 | ) | ||
Futures contracts | 296,264 | |||
Foreign currency translations | (14,114 | ) | ||
Net change in unrealized appreciation (depreciation) | (7,578,951 | ) | ||
Net realized and unrealized loss | (7,738,689 | ) | ||
Net decrease in net assets resulting from operations | $ | (6,788,850 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 105 |
WORLD EQUITY INCOME FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 949,839 | $ | 762,621 | ||||
Net realized gain (loss) on investments | (159,738 | ) | 12,880,078 | |||||
Net change in unrealized appreciation (depreciation) on investments | (7,578,951 | ) | (2,137,068 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (6,788,850 | ) | 11,505,631 | |||||
Distributions to shareholders: | ||||||||
A-Class | (10,744,755 | ) | (878,652 | ) | ||||
C-Class | (873,734 | ) | (42,902 | ) | ||||
P-Class | (28,439 | ) | (2,092 | ) | ||||
Institutional Class | (968,069 | ) | (67,115 | ) | ||||
Total distributions to shareholders | (12,614,997 | ) | (990,761 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 1,877,448 | 2,117,138 | ||||||
C-Class | 269,648 | 593,534 | ||||||
P-Class | 3,577 | 21,774 | ||||||
Institutional Class | 5,857,937 | 628,784 | ||||||
Distributions reinvested | ||||||||
A-Class | 10,254,795 | 847,352 | ||||||
C-Class | 870,099 | 42,591 | ||||||
P-Class | 28,438 | 2,092 | ||||||
Institutional Class | 962,451 | 66,615 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (4,367,556 | ) | (5,732,482 | ) | ||||
C-Class | (560,409 | ) | (984,650 | ) | ||||
P-Class | (48,299 | ) | (19,188 | ) | ||||
Institutional Class | (2,193,005 | ) | (839,632 | ) | ||||
Net increase (decrease) from capital share transactions | 12,955,124 | (3,256,072 | ) | |||||
Net increase (decrease) in net assets | (6,448,723 | ) | 7,258,798 | |||||
Net assets: | ||||||||
Beginning of year | 50,669,738 | 43,410,940 | ||||||
End of year | $ | 44,221,015 | $ | 50,669,738 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 126,711 | 116,957 | ||||||
C-Class | 21,381 | 38,329 | ||||||
P-Class | 242 | 1,170 | ||||||
Institutional Class | 390,214 | 35,268 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 659,255 | 46,434 | ||||||
C-Class | 68,252 | 2,739 | ||||||
P-Class | 1,802 | 113 | ||||||
Institutional Class | 62,780 | 3,667 | ||||||
Shares redeemed | ||||||||
A-Class | (278,966 | ) | (318,411 | ) | ||||
C-Class | (44,338 | ) | (64,340 | ) | ||||
P-Class | (3,361 | ) | (1,237 | ) | ||||
Institutional Class | (150,633 | ) | (46,787 | ) | ||||
Net increase (decrease) in shares | 853,339 | (186,098 | ) | |||||
106 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WORLD EQUITY INCOME FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 18.73 | $ | 15.03 | $ | 15.26 | $ | 15.77 | $ | 14.84 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .29 | .28 | .20 | .35 | .23 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.97 | ) | 3.79 | (.12 | )g | (.36 | ) | .95 | ||||||||||||
Total from investment operations | (1.68 | ) | 4.07 | .08 | (.01 | ) | 1.18 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.34 | ) | (.34 | ) | (.27 | ) | (.37 | ) | (.25 | ) | ||||||||||
Net realized gains | (4.22 | ) | (.03 | ) | (.04 | ) | (.13 | ) | — | |||||||||||
Total distributions | (4.56 | ) | (.37 | ) | (.31 | ) | (.50 | ) | (.25 | ) | ||||||||||
Net asset value, end of period | $ | 12.49 | $ | 18.73 | $ | 15.03 | $ | 15.26 | $ | 15.77 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (13.44 | %) | 27.13 | % | 0.60 | % | 0.14 | % | 8.01 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 35,905 | $ | 44,337 | $ | 37,911 | $ | 60,639 | $ | 67,679 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.87 | % | 1.55 | % | 1.36 | % | 2.39 | % | 1.48 | % | ||||||||||
Total expensesc | 1.39 | % | 1.45 | % | 1.48 | % | 1.37 | % | 1.37 | % | ||||||||||
Net expensesd,e,f | 1.20 | % | 1.21 | % | 1.22 | % | 1.22 | % | 1.22 | % | ||||||||||
Portfolio turnover rate | 162 | % | 191 | % | 192 | % | 127 | % | 125 | % | ||||||||||
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 16.03 | $ | 12.87 | $ | 13.06 | $ | 13.53 | $ | 12.72 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .14 | .13 | .08 | .21 | .09 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.56 | ) | 3.24 | (.10 | )g | (.33 | ) | .83 | ||||||||||||
Total from investment operations | (1.42 | ) | 3.37 | (.02 | ) | (.12 | ) | .92 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.19 | ) | (.18 | ) | (.13 | ) | (.22 | ) | (.11 | ) | ||||||||||
Net realized gains | (4.22 | ) | (.03 | ) | (.04 | ) | (.13 | ) | — | |||||||||||
Total distributions | (4.41 | ) | (.21 | ) | (.17 | ) | (.35 | ) | (.11 | ) | ||||||||||
Net asset value, end of period | $ | 10.20 | $ | 16.03 | $ | 12.87 | $ | 13.06 | $ | 13.53 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (14.11 | %) | 26.22 | % | (0.13 | %) | (0.69 | %) | 7.27 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,518 | $ | 3,230 | $ | 2,893 | $ | 3,366 | $ | 4,215 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.12 | % | 0.81 | % | 0.67 | % | 1.64 | % | 0.71 | % | ||||||||||
Total expensesc | 2.20 | % | 2.28 | % | 2.40 | % | 2.28 | % | 2.18 | % | ||||||||||
Net expensesd,e,f | 1.95 | % | 1.96 | % | 1.97 | % | 1.97 | % | 1.97 | % | ||||||||||
Portfolio turnover rate | 162 | % | 191 | % | 192 | % | 127 | % | 125 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 107 |
WORLD EQUITY INCOME FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 18.91 | $ | 15.17 | $ | 15.38 | $ | 15.92 | $ | 15.08 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .29 | .30 | .20 | .36 | .24 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.99 | ) | 3.80 | (.11 | )g | (.39 | ) | .95 | ||||||||||||
Total from investment operations | (1.70 | ) | 4.10 | .09 | (.03 | ) | 1.19 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.39 | ) | (.33 | ) | (.26 | ) | (.38 | ) | (.35 | ) | ||||||||||
Net realized gains | (4.22 | ) | (.03 | ) | (.04 | ) | (.13 | ) | — | |||||||||||
Total distributions | (4.61 | ) | (.36 | ) | (.30 | ) | (.51 | ) | (.35 | ) | ||||||||||
Net asset value, end of period | $ | 12.60 | $ | 18.91 | $ | 15.17 | $ | 15.38 | $ | 15.92 | ||||||||||
| ||||||||||||||||||||
Total Return | (13.44 | %) | 27.10 | % | 0.66 | % | 0.06 | % | 7.99 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 62 | $ | 118 | $ | 94 | $ | 129 | $ | 195 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.82 | % | 1.61 | % | 1.36 | % | 2.38 | % | 1.50 | % | ||||||||||
Total expensesc | 1.62 | % | 1.53 | % | 1.56 | % | 1.44 | % | 1.40 | % | ||||||||||
Net expensesd,e,f | 1.20 | % | 1.21 | % | 1.22 | % | 1.22 | % | 1.22 | % | ||||||||||
Portfolio turnover rate | 162 | % | 191 | % | 192 | % | 127 | % | 125 | % | ||||||||||
108 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WORLD EQUITY INCOME FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 18.61 | $ | 14.94 | $ | 15.16 | $ | 15.71 | $ | 14.74 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .36 | .33 | .25 | .39 | .29 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.98 | ) | 3.75 | (.13 | )g | (.37 | ) | .93 | ||||||||||||
Total from investment operations | (1.62 | ) | 4.08 | .12 | .02 | 1.22 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.37 | ) | (.38 | ) | (.30 | ) | (.44 | ) | (.25 | ) | ||||||||||
Net realized gains | (4.22 | ) | (.03 | ) | (.04 | ) | (.13 | ) | — | |||||||||||
Total distributions | (4.59 | ) | (.41 | ) | (.34 | ) | (.57 | ) | (.25 | ) | ||||||||||
Net asset value, end of period | $ | 12.40 | $ | 18.61 | $ | 14.94 | $ | 15.16 | $ | 15.71 | ||||||||||
| ||||||||||||||||||||
Total Return | (13.18 | %) | 27.38 | % | 0.92 | % | 0.40 | % | 8.34 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,736 | $ | 2,985 | $ | 2,513 | $ | 3,458 | $ | 19,589 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.36 | % | 1.82 | % | 1.66 | % | 2.67 | % | 1.85 | % | ||||||||||
Total expensesc | 1.13 | % | 1.21 | % | 1.50 | % | 1.17 | % | 1.02 | % | ||||||||||
Net expensesd,e,f | 0.95 | % | 0.96 | % | 0.97 | % | 0.97 | % | 0.97 | % | ||||||||||
Portfolio turnover rate | 162 | % | 191 | % | 192 | % | 127 | % | 125 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | 0.01% | — | — | 0.00%* | 0.00%* | |
C-Class | 0.00%* | — | — | — | 0.00%* | |
P-Class | 0.00%* | — | — | — | — | |
Institutional Class | 0.01% | 0.02% | — | — | 0.00%* |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | 1.20% | 1.21% | 1.22% | 1.22% | 1.22% | |
C-Class | 1.95% | 1.96% | 1.97% | 1.97% | 1.97% | |
P-Class | 1.20% | 1.21% | 1.22% | 1.22% | 1.22% | |
Institutional Class | 0.95% | 0.96% | 0.97% | 0.97% | 0.96% |
g | The amount shown for a share outstanding throughout the year does not agree with the aggregate net gain on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 109 |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares of each Fund automatically convert to A-Class shares of the same Fund on or about the 10th day of the month following the 8-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” or the “Adviser”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds.
This report covers the following funds (collectively, the “Funds”):
Fund | Investment |
Alpha Opportunity Fund | Diversified |
Large Cap Value Fund | Diversified |
Market Neutral Real Estate Fund | Diversified |
Risk Managed Real Estate Fund | Diversified |
Small Cap Value Fund | Diversified |
StylePlus—Large Core Fund | Diversified |
StylePlus—Mid Growth Fund | Diversified |
World Equity Income Fund | Diversified |
At 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, provide 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”) adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Funds with respect to all Fund investments and/or other assets. As the Funds’ valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from
110 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in 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 Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly review the appropriateness of the inputs, methods, models and assumptions employed by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
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 generally valued at the last quoted sale price.
The value of futures contracts are valued on the basis of the last sale price at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation .
The values of swap agreements entered into by a fund are generally valued using an evaluated price provided by a third party pricing vendor.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. 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.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 111 |
NOTES TO FINANCIAL STATEMENTS (continued) |
(c) Futures Contracts
Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(d) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
(e) Currency Translations
The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(f) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 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.
112 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
(j) Earnings Credits
Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 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 3.08% at September 30, 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 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 GUGGENHEIM FUNDS ANNUAL REPORT | 113 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following table represents the Funds’ use and volume of futures on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
StylePlus—Large Core Fund | Index exposure | $ | 3,817,930 | $ | — | ||||
StylePlus—Mid Growth Fund | Index exposure | 2,017,520 | — | ||||||
World Equity Income Fund | Hedge | — | 4,555,989 | ||||||
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 | $ | 197,701,730 | $ | – | ||||
StylePlus—Mid Growth Fund | Index exposure | 69,700,251 | – | ||||||
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 | $ | 16,760,910 | $ | 29,026,814 | ||||
Market Neutral Real Estate Fund | Hedge | — | 34,240,543 | ||||||
Risk Managed Real Estate Fund | Hedge, Leverage | 114,998,405 | 91,615,148 | ||||||
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Currency/Equity futures contracts | Variation margin on futures contracts | Variation margin on futures contracts |
Equity swap contracts | Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
114 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2022:
Asset Derivative Investments Value | ||||||||||||||||
Fund | Futures | Swaps | Futures | Total Value at | ||||||||||||
Alpha Opportunity Fund | $ | — | $ | 4,982,106 | $ | — | $ | 4,982,106 | ||||||||
Market Neutral Real Estate Fund | — | 4,712,825 | — | 4,712,825 | ||||||||||||
Risk Managed Real Estate Fund | — | 15,416,352 | — | 15,416,352 | ||||||||||||
World Equity Income Fund | — | — | 291,290 | 291,290 | ||||||||||||
Liability Derivative Investments Value | ||||||||||||||||
Fund | Futures | Swaps | Futures | Total Value at | ||||||||||||
Alpha Opportunity Fund | $ | — | $ | 1,723,056 | $ | — | $ | 1,723,056 | ||||||||
Risk Managed Real Estate Fund | — | 6,823,860 | — | 6,823,860 | ||||||||||||
StylePlus—Large Core Fund | 239,749 | 40,790,186 | — | 41,029,935 | ||||||||||||
StylePlus—Mid Growth Fund | 127,231 | 22,824,685 | — | 22,951,916 | ||||||||||||
World Equity Income Fund | — | — | 6,624 | 6,624 | ||||||||||||
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedules of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended September 30, 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 year ended September 30, 2022:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||
Fund | Futures | Swaps | Futures | Total | ||||||||||||
Alpha Opportunity Fund | $ | — | $ | (774,197 | ) | $ | — | $ | (774,197 | ) | ||||||
Market Neutral Real Estate Fund | — | (3,943,961 | ) | — | (3,943,961 | ) | ||||||||||
Risk Managed Real Estate Fund | — | (5,588,929 | ) | — | (5,588,929 | ) | ||||||||||
StylePlus—Large Core Fund | (185,269 | ) | 60,628,492 | — | 60,443,223 | |||||||||||
StylePlus—Mid Growth Fund | (166,703 | ) | 19,852,243 | — | 19,685,540 | |||||||||||
World Equity Income Fund | — | — | 203,522 | 203,522 | ||||||||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 115 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||
Fund | Futures | Swaps | Futures | Total | ||||||||||||
Alpha Opportunity Fund | $ | — | $ | 3,531,961 | $ | — | $ | 3,531,961 | ||||||||
Market Neutral Real Estate Fund | — | 6,860,125 | — | 6,860,125 | ||||||||||||
Risk Managed Real Estate Fund | — | (310,260 | ) | — | (310,260 | ) | ||||||||||
StylePlus—Large Core Fund | (43,857 | ) | (92,942,880 | ) | — | (92,986,737 | ) | |||||||||
StylePlus—Mid Growth Fund | (127,231 | ) | (44,591,287 | ) | — | (44,718,518 | ) | |||||||||
World Equity Income Fund | — | — | 296,264 | 296,264 | ||||||||||||
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.
116 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Alpha Opportunity Fund | Custom basket swap agreements | $ | 4,982,106 | $ | — | $ | 4,982,106 | $ | (1,723,056 | ) | $ | — | $ | 3,259,050 | |||||||||||
Market Neutral Real Estate Fund | Custom basket swap agreements | 4,712,825 | — | 4,712,825 | — | (2,726,303 | ) | 1,986,522 | |||||||||||||||||
Risk Managed Real Estate Fund | Custom basket swap agreements | 15,416,352 | — | 15,416,352 | (6,823,860 | ) | (3,803,030 | ) | 4,789,462 | ||||||||||||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 117 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Alpha Opportunity Fund | Custom basket swap agreements | $ | 1,723,056 | $ | — | $ | 1,723,056 | $ | (1,723,056 | ) | $ | — | $ | — | |||||||||||
Risk Managed Real Estate Fund | Custom basket swap agreements | 6,823,860 | — | 6,823,860 | (6,823,860 | ) | — | — | |||||||||||||||||
StylePlus—Large Core Fund | Swap equity contracts | 40,790,186 | — | 40,790,186 | — | (40,630,000 | ) | 160,186 | |||||||||||||||||
StylePlus—Mid Growth Fund | Swap equity contracts | 22,824,685 | — | 22,824,685 | — | (22,824,685 | ) | — | |||||||||||||||||
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2022.
Fund | Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
Market Neutral Real Estate Fund | Goldman Sachs International | Custom basket swap agreements | $ | — | $ | 840,000 | ||||
Morgan Stanley Capital Services LLC | Custom basket swap agreements | — | 1,886,303 | |||||||
Market Neutral Real Estate Fund Total |
|
| 2,726,303 | |||||||
Risk Managed Real Estate Fund | Morgan Stanley Capital Services LLC | Custom basket swap agreements | — | 3,803,030 | ||||||
StylePlus—Large Core Fund | Morgan Stanley Capital Services LLC | Futures contracts | 259,500 | — | ||||||
| Wells Fargo Bank, N.A. | Total return swap agreements | 40,630,000 | — | ||||||
StylePlus—Large Core Fund Total |
|
| 40,889,500 | — | ||||||
StylePlus—Mid Growth Fund | Citibank, N.A. | Total return swap agreements | 23,090,000 | — | ||||||
| Morgan Stanley Capital Services LLC | Futures contracts | 121,000 | — | ||||||
StylePlus—Mid Growth Fund Total |
|
| 23,211,000 | — | ||||||
World Equity Income Fund | BofA Securities, Inc. | Futures contracts | 333,500 | — | ||||||
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 between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
| Level 1 — | unadjusted quoted prices in active markets for identical assets or liabilities. |
| Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
| Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
118 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees | |||
Alpha Opportunity Fund | 0.90 | % | ||
Large Cap Value Fund | 0.65 | % | ||
Market Neutral Real Estate Fund | 1.10 | % | ||
Risk Managed Real Estate Fund | 0.75 | % | ||
Small Cap Value Fund | 0.75 | % | ||
StylePlus—Large Core Fund | 0.75 | % | ||
StylePlus—Mid Growth Fund | 0.75 | % | ||
World Equity Income Fund | 0.70 | % | ||
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.
Contractual expense limitation agreements for the following Funds provide that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which a Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
Alpha Opportunity Fund – A-Class | 1.76 | % | 05/31/17 | 02/01/24 | ||||||||
Alpha Opportunity Fund – C-Class | 2.51 | % | 05/31/17 | 02/01/24 | ||||||||
Alpha Opportunity - P-Class | 1.76 | % | 05/31/17 | 02/01/24 | ||||||||
Alpha Opportunity Fund – Institutional Class | 1.51 | % | 05/31/17 | 02/01/24 | ||||||||
Large Cap Value Fund – A-Class | 1.15 | % | 11/30/12 | 02/01/24 | ||||||||
Large Cap Value Fund – C-Class | 1.90 | % | 11/30/12 | 02/01/24 | ||||||||
Large Cap Value Fund – P-Class | 1.15 | % | 05/01/15 | 02/01/24 | ||||||||
Large Cap Value Fund – Institutional Class | 0.90 | % | 06/05/13 | 02/01/24 | ||||||||
Market Neutral Real Estate Fund – A-Class | 1.65 | % | 02/26/16 | 02/01/24 | ||||||||
Market Neutral Real Estate Fund – C-Class | 2.40 | % | 02/26/16 | 02/01/24 | ||||||||
Market Neutral Real Estate Fund – P-Class | 1.65 | % | 02/26/16 | 02/01/24 | ||||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 119 |
NOTES TO FINANCIAL STATEMENTS (continued) |
| Limit | Effective | Contract | |||||||||
Market Neutral Real Estate Fund – Institutional Class | 1.40 | % | 02/26/16 | 02/01/24 | ||||||||
Risk Managed Real Estate Fund – A-Class | 1.30 | % | 03/26/14 | 02/01/24 | ||||||||
Risk Managed Real Estate Fund – C-Class | 2.05 | % | 03/26/14 | 02/01/24 | ||||||||
Risk Managed Real Estate Fund – P-Class | 1.30 | % | 05/01/15 | 02/01/24 | ||||||||
Risk Managed Real Estate Fund – Institutional Class | 1.10 | % | 03/26/14 | 02/01/24 | ||||||||
Small Cap Value Fund – A-Class | 1.30 | % | 11/30/12 | 02/01/24 | ||||||||
Small Cap Value Fund – C-Class | 2.05 | % | 11/30/12 | 02/01/24 | ||||||||
Small Cap Value Fund – P-Class | 1.30 | % | 05/01/15 | 02/01/24 | ||||||||
Small Cap Value Fund – Institutional Class | 1.05 | % | 11/30/12 | 02/01/24 | ||||||||
World Equity Income Fund – A-Class | 1.22 | % | 08/15/13 | 02/01/24 | ||||||||
World Equity Income Fund – C-Class | 1.97 | % | 08/15/13 | 02/01/24 | ||||||||
World Equity Income Fund – P-Class | 1.22 | % | 05/01/15 | 02/01/24 | ||||||||
World Equity Income Fund – Institutional Class | 0.97 | % | 08/15/13 | 02/01/24 | ||||||||
GI and GPIM are entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI and GPIM are entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI or GPIM. At September 30, 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 | 2023 | 2024 | 2025 | Total | ||||||||||||
Alpha Opportunity Fund | ||||||||||||||||
A-Class | $ | 753 | $ | 5,716 | $ | 4,189 | $ | 10,658 | ||||||||
C-Class | 949 | 739 | 584 | 2,272 | ||||||||||||
P-Class | — | 3,276 | 971 | 4,247 | ||||||||||||
Institutional Class | — | 3,971 | 6,408 | 10,379 | ||||||||||||
Large Cap Value Fund | ||||||||||||||||
A-Class | 123,000 | 115,360 | 99,071 | 337,431 | ||||||||||||
C-Class | 6,365 | 5,446 | 5,729 | 17,540 | ||||||||||||
P-Class | 1,005 | 961 | 796 | 2,762 | ||||||||||||
Institutional Class | 2,945 | 3,072 | 6,589 | 12,606 | ||||||||||||
Market Neutral Real Estate Fund | ||||||||||||||||
A-Class | 55,287 | 20,606 | 7,180 | 83,073 | ||||||||||||
C-Class | 1,909 | 888 | 689 | 3,486 | ||||||||||||
P-Class | 8,658 | 15,753 | 6,928 | 31,339 | ||||||||||||
Institutional Class | 79,024 | 103,050 | 121,875 | 303,949 | ||||||||||||
Risk Managed Real Estate Fund | ||||||||||||||||
A-Class | — | — | 1,483 | 1,483 | ||||||||||||
C-Class | — | — | 1,058 | 1,058 | ||||||||||||
P-Class | — | 1,567 | 6,841 | 8,408 | ||||||||||||
Institutional Class | — | — | 1,075 | 1,075 | ||||||||||||
Small Cap Value Fund | ||||||||||||||||
A-Class | 118,318 | 126,091 | 98,289 | 342,698 | ||||||||||||
C-Class | 25,348 | 24,783 | 14,817 | 64,948 | ||||||||||||
P-Class | 1,268 | 1,282 | 2,097 | 4,647 | ||||||||||||
Institutional Class | 35,467 | 38,236 | 44,992 | 118,695 | ||||||||||||
World Equity Income Fund | ||||||||||||||||
A-Class | 120,308 | 103,050 | 78,363 | 301,721 | ||||||||||||
C-Class | 13,263 | 10,532 | 7,540 | 31,335 | ||||||||||||
P-Class | 359 | 336 | 408 | 1,103 | ||||||||||||
Institutional Class | 16,027 | 7,366 | 7,859 | 31,252 |
120 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
For the year ended September 30, 2022, GI recouped amounts from the Funds as follows:
Alpha Opportunity Fund | $ | 18,730 | ||
Market Neutral Real Estate Fund | 4,941 | |||
Risk Managed Real Estate Fund | 74,256 | |||
Small Cap Value Fund | 1,015 | |||
World Equity Income Fund | 2,896 |
If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2022, the following Funds waived fees related to investments in affiliated funds:
Fund | Amount Waived | |||
StylePlus—Large Core Fund | $ | 129,282 | ||
StylePlus—Mid Growth Fund | 17,047 | |||
For the year ended September 30, 2022, GFD retained sales charges of $144,088 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Funds’ custodian. As custodian, BNY is responsible for the custody of the Funds’ assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Funds’ average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
At September 30, 2022, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:
Fund | Percent of Outstanding | |||
Alpha Opportunity Fund | 77 | % | ||
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 ANNUAL REPORT | 121 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended September 30, 2022 was as follows:
Fund | Ordinary | Long-Term | Total | |||||||||
Alpha Opportunity Fund | $ | 282,314 | $ | — | $ | 282,314 | ||||||
Large Cap Value Fund | 570,132 | 2,127,841 | 2,697,973 | |||||||||
Market Neutral Real Estate Fund | 161,651 | — | 161,651 | |||||||||
Risk Managed Real Estate Fund | 26,745,499 | 6,663,532 | 33,409,031 | |||||||||
Small Cap Value Fund | — | 31,116 | 31,116 | |||||||||
StylePlus—Large Core Fund | 8,865,934 | 3,412,498 | 12,278,432 | |||||||||
StylePlus—Mid Growth Fund | 5,134,467 | 1,863,986 | 6,998,453 | |||||||||
World Equity Income Fund | 10,456,355 | 2,158,642 | 12,614,997 | |||||||||
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
Fund | Ordinary | Long-Term | Total | |||||||||
Alpha Opportunity Fund | $ | 411,952 | $ | — | $ | 411,952 | ||||||
Large Cap Value Fund | 990,392 | 1,316,580 | 2,306,972 | |||||||||
Market Neutral Real Estate Fund | 204,622 | 28,095 | 232,717 | |||||||||
Risk Managed Real Estate Fund | 17,748,987 | 8,296,994 | 26,045,981 | |||||||||
Small Cap Value Fund | 50,007 | — | 50,007 | |||||||||
StylePlus—Large Core Fund | 1,785,952 | 17,607,073 | 19,393,025 | |||||||||
StylePlus—Mid Growth Fund | 388,530 | 13,397,661 | 13,786,191 | |||||||||
World Equity Income Fund | 890,081 | 100,680 | 990,761 | |||||||||
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:
Fund | Undistributed | Undistributed | Net Unrealized | Accumulated | Other | Total | ||||||||||||||||||
Alpha Opportunity Fund | $ | 205,930 | $ | — | $ | (837,672 | ) | $ | (29,050,339 | ) | $ | — | $ | (29,682,081 | ) | |||||||||
Large Cap Value Fund | 542,487 | 3,089,048 | 2,727,144 | — | — | 6,358,679 | ||||||||||||||||||
Market Neutral Real Estate Fund | 99,279 | — | 2,288,020 | (3,734,218 | ) | — | (1,346,919 | ) | ||||||||||||||||
Risk Managed Real Estate Fund | — | 18,153,953 | (38,072,686 | ) | (1,242,012 | ) | (3,498,423 | ) | (24,659,168 | ) | ||||||||||||||
Small Cap Value Fund | 62,767 | 250,425 | (173,630 | ) | — | — | 139,562 | |||||||||||||||||
StylePlus—Large Core Fund | 1,974,499 | 57,379,626 | (50,904,304 | ) | (4,206,010 | ) | — | 4,243,811 | ||||||||||||||||
StylePlus—Mid Growth Fund | 327,894 | 18,746,182 | (28,211,380 | ) | (3,942,310 | ) | — | (13,079,614 | ) | |||||||||||||||
World Equity Income Fund | — | 25,045 | (5,400,014 | ) | — | — | (5,374,969 | ) | ||||||||||||||||
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, capital loss carryforwards for the Funds were as follows:
Fund | Unlimited | ||||||||||
Short-Term | Long-Term | Total Capital Loss | |||||||||
Alpha Opportunity Fund | $ | (22,997,412 | ) | $ | (6,052,927 | ) | $ | (29,050,339 | ) | ||
Market Neutral Real Estate Fund | (3,734,218 | ) | — | (3,734,218 | ) | ||||||
122 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
For the year ended September 30, 2022, the following capital loss carryforward amounts were utilized:
Fund | Utilized | |||
Small Cap Value Fund | $ | 98,717 | ||
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts, foreign currency gains and losses, losses deferred due to wash sales, distributions in connection with redemption of fund shares, and the “mark-to-market,” recharacterization, or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of securities sold short, dividends payable, distribution reclasses, and the “mark-to-market” of certain derivatives. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statements of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences:
Fund | Paid In | Total | ||||||
Large Cap Value Fund | $ | 382,239 | $ | (382,239 | ) | |||
Risk Managed Real Estate Fund | 340,135 | (340,135 | ) | |||||
Small Cap Value Fund | 32,750 | (32,750 | ) | |||||
StylePlus—Large Core Fund | 5,895,724 | (5,895,724 | ) | |||||
StylePlus—Mid Growth Fund | 2,148,361 | (2,148,361 | ) | |||||
World Equity Income Fund | 313,517 | (313,517 | ) | |||||
At September 30, 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 | Tax | Tax | Net Tax | ||||||||||||
Alpha Opportunity Fund | $ | 31,407,300 | $ | 5,109,969 | $ | (5,947,641 | ) | $ | (837,672 | ) | ||||||
Large Cap Value Fund | 35,301,930 | 5,473,209 | (2,746,065 | ) | 2,727,144 | |||||||||||
Market Neutral Real Estate Fund | 47,334,591 | 4,935,987 | (2,647,967 | ) | 2,288,020 | |||||||||||
Risk Managed Real Estate Fund | 448,122,643 | 29,859,074 | (67,743,760 | ) | (37,884,686 | ) | ||||||||||
Small Cap Value Fund | 6,733,748 | 712,299 | (885,929 | ) | (173,630 | ) | ||||||||||
StylePlus—Large Core Fund | 205,656,109 | 858,857 | (51,763,161 | ) | (50,904,304 | ) | ||||||||||
StylePlus—Mid Growth Fund | 74,548,882 | 233,258 | (28,444,638 | ) | (28,211,380 | ) | ||||||||||
World Equity Income Fund | 48,809,853 | 1,795,197 | (7,183,422 | ) | (5,388,225 | ) | ||||||||||
Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and September 30 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and September 30 of each year as occurring on the first day of the following tax year. For the year ended September 30, 2022, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until October 1, 2022:
Fund | Ordinary | Capital | ||||||
StylePlus—Large Core Fund | $ | (671,774 | ) | $ | (3,534,236 | ) | ||
StylePlus—Mid Growth Fund | — | (3,942,310 | ) | |||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 123 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 7 – Securities Transactions
For the year ended September 30, 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 | $ | 89,692,446 | $ | 91,527,427 | ||||
Large Cap Value Fund | 14,864,236 | 12,921,782 | ||||||
Market Neutral Real Estate Fund | 17,269,252 | 39,872,457 | ||||||
Risk Managed Real Estate Fund | 267,792,484 | 245,249,676 | ||||||
Small Cap Value Fund | 3,470,033 | 2,538,750 | ||||||
StylePlus—Large Core Fund | 145,619,232 | 193,760,613 | ||||||
StylePlus—Mid Growth Fund | 64,135,917 | 99,932,027 | ||||||
World Equity Income Fund | 82,394,286 | 80,815,094 | ||||||
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 September 30, 2022, at which time a new line of credit was entered into in the amount of $1,150,000,000. 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”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.
The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.
Note 9 – Large Shareholder Risk
As of September 30, 2022, 77.2% of the Alpha Opportunity Fund (the “Fund”) was held by Guggenheim Macro Opportunities Fund. The Fund may experience adverse effects if a large number of shares of the Fund are held by a single shareholder (e.g., an institutional investor, financial intermediary or another GI Fund). The Fund is subject to the risk that a redemption by those shareholders of all or a large portion of the Fund could cause the Fund to liquidate its assets at inopportune times, or at a loss or depressed value, which could adversely impact the Fund’s performance and cause the value of a shareholder’s investment to decline. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization.
Note 10 – Market Risks
The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Funds in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the
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NOTES TO FINANCIAL STATEMENTS (concluded) |
foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds’ investments and performance of the Funds.
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.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of Guggenheim Alpha Opportunity Fund, Guggenheim Large Cap Value Fund, Guggenheim Market Neutral Real Estate Fund, Guggenheim Risk Managed Real Estate Fund, Guggenheim Small Cap Value Fund, Guggenheim StylePlus-Large Core Fund, Guggenheim StylePlus-Mid Growth Fund and Guggenheim World Equity Income Fund and the Board of Trustees of Guggenheim Funds Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Guggenheim Alpha Opportunity Fund, Guggenheim Large Cap Value Fund, Guggenheim Market Neutral Real Estate Fund, Guggenheim Risk Managed Real Estate Fund, Guggenheim Small Cap Value Fund, Guggenheim StylePlus-Large Core Fund, Guggenheim StylePlus-Mid Growth Fund and Guggenheim World Equity Income Fund (collectively referred to as the “Funds”) (eight of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedules of investments, as of September 30, 2022, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (eight of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2022
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OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.
The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
Fund | Qualified | Dividend | Qualified | Qualified | ||||||||||||
Alpha Opportunity Fund | 100.00 | % | 100.00 | % | 0.05 | % | 0.00 | % | ||||||||
Large Cap Value Fund | 100.00 | % | 100.00 | % | 0.00 | % | 100.00 | % | ||||||||
Market Neutral Real Estate Fund | 12.52 | % | 12.52 | % | 8.74 | % | 0.00 | % | ||||||||
Risk Managed Real Estate Fund | 3.43 | % | 3.44 | % | 0.67 | % | 100.00 | % | ||||||||
Small Cap Value Fund | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
StylePlus—Large Core Fund | 8.94 | % | 8.66 | % | 23.34 | % | 100.00 | % | ||||||||
StylePlus—Mid Growth Fund | 4.97 | % | 4.13 | % | 0.00 | % | 100.00 | % | ||||||||
World Equity Income Fund | 22.14 | % | 12.23 | % | 0.17 | % | 100.00 | % | ||||||||
With respect to the taxable year ended September 30, 2022, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Fund | From long-term | From long-term capital | ||||||
Large Cap Value Fund | $ | 2,127,841 | $ | 380,091 | ||||
Risk Managed Real Estate Fund | 6,663,532 | 340,134 | ||||||
Small Cap Value Fund | 31,116 | 35,545 | ||||||
StylePlus—Large Core Fund | 3,412,498 | 5,895,724 | ||||||
StylePlus—Mid Growth Fund | 1,863,986 | 2,148,361 | ||||||
World Equity Income Fund | 2,158,642 | 313,516 | ||||||
Final regulations dated June 24, 2020 enable a regulated investment company to pay Section 199A dividends to its shareholders. Section 199A, enacted as part of the Tax Cuts and Jobs Act of 2017, may allow non-corporate tax payers a deduction of up to 20% of qualified business income from flow-through entities, including dividends from real estate investment trusts. The qualifying percentage of the Fund’s ordinary income and short-term capital gain distributions, if any, for the purposes of the Section 199A deduction was 74.56% for Market Neutral Real Estate Fund and 40.30% for Risk Managed Real Estate Fund.
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OTHER INFORMATION (Unaudited)(continued) |
Delivery of Shareholder Reports
Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds’ voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● | Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”) | ● | Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”) |
● | Guggenheim Core Bond Fund (“Core Bond Fund”) | ● | Guggenheim Diversified Income Fund (“Diversified Income Fund”) |
● | Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”) | ● | Guggenheim High Yield Fund (“High Yield Fund”) |
● | Guggenheim Large Cap Value Fund (“Large Cap Value Fund”) | ● | Guggenheim Limited Duration Fund (“Limited Duration Fund”) |
● | Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”) | ● | Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”) |
● | Guggenheim Municipal Income Fund (“Municipal Income Fund”) | ● | Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”) |
● | Guggenheim Small Cap Value Fund (“Small Cap Value Fund”) | ● | Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”) |
● | Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”) | ● | Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”) |
● | Guggenheim Total Return Bond Fund (“Total Return Bond Fund”) | ● | Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”) |
● | Guggenheim World Equity Income Fund (“World Equity Income Fund”) |
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OTHER INFORMATION (Unaudited)(continued) |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
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OTHER INFORMATION (Unaudited)(continued) |
peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund, Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).4 Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA Sub-Advisory Agreement at the Special Meeting. |
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OTHER INFORMATION (Unaudited)(continued) |
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.5 As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.
5 | Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements. |
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OTHER INFORMATION (Unaudited)(continued) |
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.
Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee6 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(continued) |
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.
Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.
Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Total Return Bond Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense
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OTHER INFORMATION (Unaudited)(continued) |
waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Sub-Advisory Agreements
Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
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OTHER INFORMATION (Unaudited)(concluded) |
With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.
Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that the GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.
Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) Held | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee) | Current: Private Investor (2001-present). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). |
Angela Brock-Kyle (1959) | Trustee | Since 2019 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Member, Board of Directors, Mutual Fund Directors Forum (2022-present). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019 (Trustee) | 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); Vice Chairman, VettaFi (2022-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present). |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2014 | Current: Of Counsel, Momkus LLP (2016-present). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee) | Current: Retired. | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). | 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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE |
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|
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Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee) | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). | 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. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and President of Mutual Funds Boards, Guggenheim Investments (2018-present). |
James M. Howley (1972) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since August 2022 | Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present). |
Mark E. Mathiasen (1978) | Secretary | Since 2014 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2014 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); 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). |
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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) Held | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
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
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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.
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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.
144 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 145 |
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9.30.2022
Guggenheim Funds Annual Report
Guggenheim Diversified Income Fund | ||
Guggenheim High Yield Fund | ||
Guggenheim Core Bond Fund | ||
Guggenheim Municipal Income Fund | ||
GuggenheimInvestments.com | SBINC-ANN-0922x0923 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
DIVERSIFIED INCOME FUND | 9 |
HIGH YIELD FUND | 19 |
CORE BOND FUND | 38 |
MUNICIPAL INCOME FUND | 66 |
NOTES TO FINANCIAL STATEMENTS | 80 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 100 |
OTHER INFORMATION | 101 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 111 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 117 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 120 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2022 |
Dear Shareholder:
Security Investors, LLC and Guggenheim Partners Investment Management, LLC (the “Investment Advisers”) are pleased to present the shareholder report for a selection of our Funds (the “Funds”) for the annual fiscal period ended September 30, 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, and then the Managers’ Commentary for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC,
Guggenheim Partners Investment Management, LLC,
October 31, 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.
Diversified Income Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the fund to greater volatility. ● Derivatives may pose risks in addition to and greater than those associated with investing directly in securities or other investments, including risks relating to leverage, imperfect correlations with underlying investments or the fund’s other portfolio holdings, high price volatility, lack of availability, counterparty credit, liquidity, valuation and legal restrictions. ● Stock prices, especially stock prices of smaller companies, can be volatile as they reflect changes in the issuing company’s financial conditions and changes in the overall market ● Some asset-backed securities, including mortgage-backed securities, may have structures that make their reaction to interest rates and other factors difficult to predict, making their prices very volatile and they are subject to liquidity risk.● The Fund’s investments in other investment vehicles subject the fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● Master limited partnerships
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| September 30, 2022 |
(“MLPs”) are subject to certain risks inherent in the structure of MLPs, including tax risks, limited control and voting rights and potential conflicts of interest. MLPs that concentrate in a particular industry or a particular geographic region are subject to risks associated with such industry or region. ● The Fund’s investments in real estate securities subject the fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments and investment strategies, including investments in MLPs and certain investment vehicles, may be subject to special and complex federal income tax provisions that may adversely affect the fund and its distributions to shareholders. ● Leveraging will exaggerate the effect on NAV of any increase or decrease in the market value of the Fund’s portfolio. It is important to note that the Fund is not guaranteed by the U.S. government.● Please read the prospectus for more detailed information regarding these and other risks.
High Yield Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ●The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● The Fund may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
Core Bond Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund may use leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
Municipal Income Fund may not be suitable for all investors. ● The Fund will be significantly affected by events that affect the municipal bond market, which could include unfavorable legislative or political developments and adverse changes in the financial conditions of state and municipal issuers or the federal government in case it provides financial support to the municipality. Income from municipal bonds held by the Fund could be declared taxable because of changes in tax laws. The Fund may invest in securities that generate taxable income. A portion of the Fund’s otherwise tax-exempt dividends may be taxable to those shareholders subject to the alternative minimum tax. ● Certain sectors of the municipal bond market have special risks that can affect them more significantly than the market as a whole. Because many municipal instruments are issued to finance similar projects, conditions in these industries can significantly affect the Fund and the overall municipal market. ● Municipalities currently experience budget shortfalls, which could cause them to default on their debt and thus subject the Fund to unforeseen losses. ● Like other funds that hold bonds and other fixed-income investments, the Fund’s market value will change in response to interest rate changes and market conditions, among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high-yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ●Instruments and strategies (such as reverse repurchase agreements, unfunded commitments, tender option bonds, and borrowings) may expose the Fund to many of the same risks as investments in derivatives and may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2022 |
Equity and fixed income markets declined during the 12-month period ended September 30, 2022, amid continued market volatility, Federal Reserve policy, and global economic headwinds.
The Federal Reserve (the “Fed”) has abandoned talk of a soft or even “softish” landing, with the latest Summary of Economic Projections pointing to a 90-basis-point rise in the unemployment rate, an increase never before experienced without a recession. One basis point equals 0.01%. The seemingly endless string of upside inflation surprises has cemented the Fed’s view that the labor market needs to soften and economic activity needs to weaken further, which could require interest rates heading even higher.
Signs are indicating that the economy is heading in the direction the Fed wants. While gross domestic product (“GDP”) rebounded in the third quarter of 2022 to an inflation-adjusted 2.6%, private domestic demand (consumption and fixed investment) continued to slow, growing just 0.1%. The slowdown was led by a significant contraction in housing activity, historically the first sector to be hit by rising rates, cutting about 1.4 percentage points from GDP’s growth rate. The sharp tightening in financial conditions indicates a broader economic slowdown is ahead, which may help to loosen up the labor market. Signs of a labor market slowdown are already evident, with monthly job growth at less than half the pace of early 2022, wage growth cooling, and job openings falling sharply.
Inflation remains high, but a variety of factors point to a substantial moderation in 2023. Goods prices have stopped rising, and supply chain improvement and input and import costs suggest outright deflation could lie ahead. Services inflation is now the main price stability concern, but even the Bureau of Labor Statistics and several Fed speakers have acknowledged that the lagged data on home rental prices doesn’t reflect the sharp slowdown in market rents that has taken place (and that would start to show up in the data next year).
With the economy cooling and inflation likely to fall, it is fair to expect that rate hikes are nearly coming to an end, particularly with rising strains in financial markets and overseas. But having been repeatedly burned by expectations that inflation would cool and fearing a replay of the “stop-start” rate hike campaigns of the 1970s, the Fed will likely err on the side of overdoing it with rate hikes, viewing a recession as the “least bad” outcome for the economy.
For the 12-month period ended September 30, 2022, the S&P 500® Index* returned -15.47%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -25.13%. The return of the MSCI Emerging Markets Index* was -28.11%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -14.60% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -14.14%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.62% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
4 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 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 ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
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All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2022 and ending September 30, 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 ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
Diversified Income Fund | |||||
A-Class | 0.72% | (13.91%) | $ 1,000.00 | $ 860.90 | $ 3.36 |
C-Class | 1.46% | (14.24%) | 1,000.00 | 857.60 | 6.80 |
P-Class | 0.72% | (13.91%) | 1,000.00 | 860.90 | 3.36 |
Institutional Class | 0.47% | (13.84%) | 1,000.00 | 861.60 | 2.19 |
High Yield Fund | |||||
A-Class | 1.12% | (8.94%) | 1,000.00 | 910.60 | 5.36 |
C-Class | 1.90% | (9.29%) | 1,000.00 | 907.10 | 9.08 |
P-Class | 1.15% | (8.94%) | 1,000.00 | 910.60 | 5.51 |
Institutional Class | 0.90% | (8.80%) | 1,000.00 | 912.00 | 4.31 |
R6-Class | 0.86% | (8.85%) | 1,000.00 | 911.50 | 4.12 |
Core Bond Fund | |||||
A-Class | 0.78% | (11.00%) | 1,000.00 | 890.00 | 3.70 |
C-Class | 1.53% | (11.33%) | 1,000.00 | 886.70 | 7.24 |
P-Class | 0.78% | (11.05%) | 1,000.00 | 889.50 | 3.69 |
Institutional Class | 0.49% | (10.94%) | 1,000.00 | 890.60 | 2.32 |
Municipal Income Fund | |||||
A-Class | 0.79% | (8.94%) | 1,000.00 | 910.60 | 3.78 |
C-Class | 1.54% | (9.21%) | 1,000.00 | 907.90 | 7.37 |
P-Class | 0.79% | (8.87%) | 1,000.00 | 911.30 | 3.79 |
Institutional Class | 0.54% | (8.82%) | 1,000.00 | 911.80 | 2.59 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 2. Based on hypothetical 5% return (before expenses) |
| ||||
Diversified Income Fund | |||||
A-Class | 0.72% | 5.00% | $ 1,000.00 | $ 1,021.46 | $ 3.65 |
C-Class | 1.46% | 5.00% | 1,000.00 | 1,017.75 | 7.38 |
P-Class | 0.72% | 5.00% | 1,000.00 | 1,021.46 | 3.65 |
Institutional Class | 0.47% | 5.00% | 1,000.00 | 1,022.71 | 2.38 |
High Yield Fund | |||||
A-Class | 1.12% | 5.00% | 1,000.00 | 1,019.45 | 5.67 |
C-Class | 1.90% | 5.00% | 1,000.00 | 1,015.54 | 9.60 |
P-Class | 1.15% | 5.00% | 1,000.00 | 1,019.30 | 5.82 |
Institutional Class | 0.90% | 5.00% | 1,000.00 | 1,020.56 | 4.56 |
R6-Class | 0.86% | 5.00% | 1,000.00 | 1,020.76 | 4.36 |
Core Bond Fund | |||||
A-Class | 0.78% | 5.00% | 1,000.00 | 1,021.16 | 3.95 |
C-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 |
P-Class | 0.78% | 5.00% | 1,000.00 | 1,021.16 | 3.95 |
Institutional Class | 0.49% | 5.00% | 1,000.00 | 1,022.61 | 2.48 |
Municipal Income Fund | |||||
A-Class | 0.79% | 5.00% | 1,000.00 | 1,021.11 | 4.00 |
C-Class | 1.54% | 5.00% | 1,000.00 | 1,017.35 | 7.79 |
P-Class | 0.79% | 5.00% | 1,000.00 | 1,021.11 | 4.00 |
Institutional Class | 0.54% | 5.00% | 1,000.00 | 1,022.36 | 2.74 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest, if any. This ratio represents net expenses, which may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the period would be: |
| A-Class | C-Class | P-Class | Institutional | R6-Class | |
Diversified Income Fund | 0.73% | 1.48% | 0.73% | 0.48% | N/A | |
High Yield Fund | 1.09% | 1.89% | 1.14% | 0.87% | 0.75% | |
Core Bond Fund | 0.77% | 1.52% | 0.77% | 0.48% | N/A | |
Municipal Income Fund | 0.78% | 1.53% | 0.78% | 0.53% | N/A |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2022 to September 30, 2022. |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Diversified Income Fund (the “Fund”). The Fund is managed by a team of seasoned professionals led by Farhan Sharaff, Senior Managing Director, Portfolio Manager and Assistant Chief Investment Officer, Equities; and Patrick Mitchell, Senior Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of -13.94%1, outperforming the Bloomberg U.S. Aggregate Bond Index, the Fund’s primary benchmark, which returned -14.60% for the same period. The 70% Bloomberg U.S. Aggregate Bond Index / 30% MSCI World Index, the Fund’s secondary benchmark, returned -15.82%.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The Fund outperformed its primary benchmark by 66 basis points during the Reporting Period. On average, the Fund allocated 50% to fixed income, 40% to equity, 9% to closed-end funds, with the remainder in cash. Fixed income and equity components outperformed their benchmarks by 3.3% and 3.1%, respectively. However, the Fund’s decision to overweight equity was the main detractor in asset allocation. Overall, allocation effect and selection effect contributed -0.7% and +3.2%, respectively, before fees.
For the Reporting Period, the Fund maintained its equity/fixed allocation, and some of the funds within each asset class. This is due to the Fund’s long-term approach to allocation decisions, in which few changes are made within a single Reporting Period.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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 | 25.4% |
Guggenheim RBP Large-Cap Market Fund — Institutional Class | 19.1% |
Guggenheim Floating Rate Strategies Fund — R6-Class | 10.3% |
Guggenheim Core Bond Fund — Institutional Class | 9.8% |
Guggenheim RBP Dividend Fund — Institutional Class | 9.5% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 5.1% |
Guggenheim World Equity Income Fund — Institutional Class | 4.8% |
Guggenheim Risk Managed Real Estate Fund — Institutional Class | 4.7% |
First Trust Energy Income and Growth Fund | 0.3% |
ClearBridge MLP & Midstream Total Return Fund, Inc. | 0.3% |
Top Ten Total | 89.3% |
“Ten Largest Holdings” excludes any temporary cash investments. | |
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | Since |
A-Class Shares | (13.94%) | 0.55% | 3.08% |
A-Class Shares with sales charge‡ | (17.40%) | (0.27%) | 2.45% |
C-Class Shares | (14.57%) | (0.18%) | 2.32% |
C-Class Shares with CDSC§ | (15.40%) | (0.18%) | 2.32% |
P-Class Shares | (13.95%) | 0.55% | 3.07% |
Institutional Class Shares | (13.74%) | 0.80% | 3.33% |
Bloomberg U.S. Aggregate Bond Index | (14.60%) | (0.27%) | 0.45% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares and Institutional Class shares will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.00%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
DIVERSIFIED INCOME FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 88.8% | ||||||||
Guggenheim High Yield Fund — R6-Class1 | 201,505 | $ | 1,837,726 | |||||
Guggenheim RBP Large-Cap Market Fund — Institutional Class*,1 | 145,335 | 1,383,590 | ||||||
Guggenheim Floating Rate Strategies Fund — R6-Class1 | 31,974 | 747,554 | ||||||
Guggenheim Core Bond Fund — Institutional Class1 | 44,264 | 704,685 | ||||||
Guggenheim RBP Dividend Fund — Institutional Class1 | 66,599 | 685,303 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 38,364 | 367,906 | ||||||
Guggenheim World Equity Income Fund — Institutional Class1 | 27,796 | 344,667 | ||||||
Guggenheim Risk Managed Real Estate Fund — Institutional Class1 | 11,301 | 337,666 | ||||||
Total Mutual Funds | ||||||||
(Cost $7,444,718) | 6,409,097 | |||||||
CLOSED-END FUNDS† - 8.9% | ||||||||
First Trust Energy Income and Growth Fund | 1,500 | 22,275 | ||||||
ClearBridge MLP & Midstream Total Return Fund, Inc. | 800 | 21,048 | ||||||
PIMCO Corporate & Income Strategy Fund | 1,600 | 18,944 | ||||||
Neuberger Berman High Yield Strategies Fund, Inc. | 2,317 | 18,304 | ||||||
John Hancock Premium Dividend Fund | 1,350 | 18,279 | ||||||
Eaton Vance Tax-Managed Buy-Write Opportunities Fund | 1,370 | 18,015 | ||||||
BlackRock Floating Rate Income Trust | 1,600 | 17,376 | ||||||
Eaton Vance Tax-Advantaged Dividend Income Fund | 797 | 17,335 | ||||||
BlackRock Enhanced Equity Dividend Trust | 2,100 | 17,031 | ||||||
Voya Global Equity Dividend and Premium Opportunity Fund | 3,400 | 17,000 | ||||||
BlackRock Limited Duration Income Trust | 1,400 | 16,940 | ||||||
John Hancock Preferred Income Fund | 1,050 | 16,821 | ||||||
Western Asset High Income Fund II, Inc. | 3,798 | 16,559 | ||||||
Eaton Vance Tax-Managed Buy-Write Income Fund | 1,250 | 16,512 | ||||||
Blackstone Strategic Credit Fund | 1,550 | 16,476 | ||||||
PIMCO Dynamic Income Fund | 845 | 16,376 | ||||||
Voya Infrastructure Industrials and Materials Fund | 1,850 | 16,354 | ||||||
PIMCO High Income Fund | 3,500 | 16,275 | ||||||
Delaware Ivy High Income Opportunities Fund | 1,600 | 16,144 | ||||||
Cohen & Steers REIT and Preferred and Income Fund, Inc. | 815 | 15,803 | ||||||
KKR Income Opportunities Fund | 1,350 | 15,444 | ||||||
John Hancock Income Securities Trust | 1,450 | 15,413 | ||||||
Calamos Convertible Opportunities and Income Fund | 1,594 | 15,398 | ||||||
Eaton Vance Limited Duration Income Fund | 1,650 | 15,197 | ||||||
Pioneer High Income Fund, Inc. | 2,350 | 15,181 | ||||||
Western Asset Premier Bond Fund | 1,550 | 15,175 | ||||||
PIMCO Dynamic Income Opportunities Fund | 1,150 | 15,169 | ||||||
DoubleLine Income Solutions Fund | 1,400 | 15,120 | ||||||
PGIM High Yield Bond Fund, Inc. | 1,300 | 15,002 | ||||||
Reaves Utility Income Fund | 550 | 14,982 | ||||||
Invesco High Income Trust II | 1,525 | 14,899 | ||||||
Royce Value Trust, Inc. | 1,150 | 14,433 | ||||||
BlackRock Credit Allocation Income Trust | 1,500 | 14,310 | ||||||
John Hancock Investors Trust | 1,178 | 14,207 | ||||||
Eaton Vance Enhanced Equity Income Fund II | 908 | 13,892 | ||||||
Western Asset Mortgage Opportunity Fund, Inc. | 1,250 | 13,888 | ||||||
Apollo Senior Floating Rate Fund, Inc. | 1,100 | 13,761 | ||||||
Virtus Diversified Income & Co. | 779 | 13,671 | ||||||
Western Asset Global Corporate Defined Opportunity Fund, Inc. | 1,200 | 13,380 | ||||||
Western Asset Emerging Markets Debt Fund, Inc. | 1,650 | 13,167 | ||||||
Total Closed-End Funds | ||||||||
(Cost $741,128) | 641,556 | |||||||
MONEY MARKET FUND† - 2.4% | ||||||||
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 2.49%2 | 176,647 | 176,647 | ||||||
Total Money Market Fund | ||||||||
(Cost $176,647) | 176,647 | |||||||
Total Investments - 100.1% | ||||||||
(Cost $8,362,493) | $ | 7,227,300 | ||||||
Other Assets & Liabilities, net - (0.1)% | (3,895 | ) | ||||||
Total Net Assets - 100.0% | $ | 7,223,405 | ||||||
* | 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 September 30, 2022. |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2022 |
DIVERSIFIED INCOME FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 6,409,097 | $ | — | $ | — | $ | 6,409,097 | ||||||||
Closed-End Funds | 641,556 | — | — | 641,556 | ||||||||||||
Money Market Fund | 176,647 | — | — | 176,647 | ||||||||||||
Total Assets | $ | 7,227,300 | $ | — | $ | — | $ | 7,227,300 | ||||||||
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | Capital | |||||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||||||
Guggenheim Core Bond Fund — Institutional Class | $ | 766,128 | $ | 203,941 | $ | (75,509 | ) | $ | (14,010 | ) | $ | (175,865 | ) | $ | 704,685 | 44,264 | $ | 23,686 | $ | 11,172 | ||||||||||||||||
Guggenheim Floating Rate Strategies Fund — R6-Class | 766,388 | 176,570 | (134,365 | ) | (7,514 | ) | (53,525 | ) | 747,554 | 31,974 | 30,929 | — | ||||||||||||||||||||||||
Guggenheim High Yield Fund — R6-Class | 1,918,674 | 504,862 | (200,496 | ) | (26,392 | ) | (358,922 | ) | 1,837,726 | 201,505 | 118,186 | — | ||||||||||||||||||||||||
Guggenheim RBP Dividend Fund — Institutional Class | 700,580 | 310,112 | (70,485 | ) | (9,916 | ) | (244,988 | ) | 685,303 | 66,599 | 11,322 | 125,470 | ||||||||||||||||||||||||
Guggenheim RBP Large-Cap Market Fund — Institutional Class * | 1,348,962 | 860,827 | (185,668 | ) | (27,267 | ) | (613,264 | ) | 1,383,590 | 145,335 | — | 317,345 | ||||||||||||||||||||||||
Guggenheim Risk Managed Real Estate Fund — Institutional Class | 360,541 | 102,833 | (38,223 | ) | (2,421 | ) | (85,064 | ) | 337,666 | 11,301 | 7,461 | 18,256 | ||||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 382,840 | 84,831 | (83,030 | ) | (2,709 | ) | (14,026 | ) | 367,906 | 38,364 | 6,105 | — | ||||||||||||||||||||||||
Guggenheim World Equity Income Fund — Institutional Class | 378,399 | 153,977 | (28,266 | ) | (11,208 | ) | (148,235 | ) | 344,667 | 27,796 | 10,084 | 93,852 | ||||||||||||||||||||||||
| $ | 6,622,512 | $ | 2,397,953 | $ | (816,042 | ) | $ | (101,437 | ) | $ | (1,693,889 | ) | $ | 6,409,097 | $ | 207,773 | $ | 566,095 | ||||||||||||||||||
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
DIVERSIFIED INCOME FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2022 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $917,775) | $ | 818,203 | ||
Investments in affiliated issuers, at value (cost $7,444,718) | 6,409,097 | |||
Prepaid expenses | 21,429 | |||
Receivables: | ||||
Dividends | 25,450 | |||
Investment Adviser | 15,006 | |||
Interest | 241 | |||
Total assets | 7,289,426 | |||
Liabilities: | ||||
Payable for: | ||||
Professional fees | 28,069 | |||
Securities purchased | 25,059 | |||
Fund accounting/administration fees | 4,326 | |||
Transfer agent/maintenance fees | 2,197 | |||
Trustees’ fees* | 2,026 | |||
Distribution and service fees | 344 | |||
Fund shares redeemed | 97 | |||
Miscellaneous | 3,903 | |||
Total liabilities | 66,021 | |||
Net assets | $ | 7,223,405 | ||
Net assets consist of: | ||||
Paid in capital | $ | 8,067,783 | ||
Total distributable earnings (loss) | (844,378 | ) | ||
Net assets | $ | 7,223,405 | ||
A-Class: | ||||
Net assets | $ | 284,091 | ||
Capital shares outstanding | 12,045 | |||
Net asset value per share | $ | 23.59 | ||
Maximum offering price per share (Net asset value divided by 96.00%) | $ | 24.57 | ||
C-Class: | ||||
Net assets | $ | 224,249 | ||
Capital shares outstanding | 9,552 | |||
Net asset value per share | $ | 23.48 | ||
P-Class: | ||||
Net assets | $ | 415,268 | ||
Capital shares outstanding | 17,600 | |||
Net asset value per share | $ | 23.59 | ||
Institutional Class: | ||||
Net assets | $ | 6,299,797 | ||
Capital shares outstanding | 267,048 | |||
Net asset value per share | $ | 23.59 | ||
STATEMENT OF OPERATIONS |
Year Ended September 30, 2022 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 47,410 | ||
Dividends from securities of affiliated issuers | 207,773 | |||
Interest | 579 | |||
Total investment income | 255,762 | |||
Expenses: | ||||
Management fees | 62,862 | |||
Distribution and service fees: | ||||
A-Class | 881 | |||
C-Class | 6,788 | |||
P-Class | 682 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 1,543 | |||
C-Class | 2,677 | |||
P-Class | 1,173 | |||
Institutional Class | 21,104 | |||
Registration fees | 73,809 | |||
Professional fees | 36,773 | |||
Fund accounting/administration fees | 28,414 | |||
Trustees’ fees* | 13,505 | |||
Custodian fees | 4,644 | |||
Tax expense | 533 | |||
Line of credit fees | 236 | |||
Miscellaneous | 8,858 | |||
Total expenses | 264,482 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (4,807 | ) | ||
C-Class | (8,386 | ) | ||
P-Class | (3,922 | ) | ||
Institutional Class | (87,976 | ) | ||
Expenses waived by Adviser | (109,727 | ) | ||
Total waived/reimbursed expenses | (214,818 | ) | ||
Net expenses | 49,664 | |||
Net investment income | 206,098 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 41,713 | |||
Investments in affiliated issuers | (101,437 | ) | ||
Distributions received from affiliated investment companies | 566,095 | |||
Net realized gain | 506,371 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (255,527 | ) | ||
Investments in affiliated issuers | (1,693,889 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,949,416 | ) | ||
Net realized and unrealized loss | (1,443,045 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,236,947 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
DIVERSIFIED INCOME FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 206,098 | $ | 207,930 | ||||
Net realized gain on investments | 506,371 | 301,631 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (1,949,416 | ) | 562,987 | |||||
Net increase (decrease) in net assets resulting from operations | (1,236,947 | ) | 1,072,548 | |||||
Distributions to shareholders: | ||||||||
A-Class | (13,926 | ) | (9,389 | ) | ||||
C-Class | (22,111 | ) | (5,154 | ) | ||||
P-Class | (9,123 | ) | (4,350 | ) | ||||
Institutional Class | (277,436 | ) | (219,556 | ) | ||||
Total distributions to shareholders | (322,596 | ) | (238,449 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 120,099 | 76,986 | ||||||
C-Class | 628,708 | 34,067 | ||||||
P-Class | 389,539 | 7,814 | ||||||
Institutional Class | 583,577 | 53,000 | ||||||
Distributions reinvested | ||||||||
A-Class | 13,926 | 9,389 | ||||||
C-Class | 22,111 | 5,154 | ||||||
P-Class | 9,123 | 4,350 | ||||||
Institutional Class | 277,436 | 219,556 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (126,698 | ) | (48,400 | ) | ||||
C-Class | (551,222 | ) | (7,025 | ) | ||||
P-Class | (72,266 | ) | (4,588 | ) | ||||
Institutional Class | (206,918 | ) | (45,672 | ) | ||||
Net increase from capital share transactions | 1,087,415 | 304,631 | ||||||
Net increase (decrease) in net assets | (472,128 | ) | 1,138,730 | |||||
Net assets: | ||||||||
Beginning of year | 7,695,533 | 6,556,803 | ||||||
End of year | $ | 7,223,405 | $ | 7,695,533 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 4,278 | 2,729 | ||||||
C-Class | 22,058 | 1,197 | ||||||
P-Class | 14,554 | 276 | ||||||
Institutional Class | 20,354 | 1,849 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 503 | 341 | ||||||
C-Class | 791 | 189 | ||||||
P-Class | 339 | 159 | ||||||
Institutional Class | 10,120 | 7,993 | ||||||
Shares redeemed | ||||||||
A-Class | (4,685 | ) | (1,686 | ) | ||||
C-Class | (22,244 | ) | (249 | ) | ||||
P-Class | (2,623 | ) | (167 | ) | ||||
Institutional Class | (7,812 | ) | (1,603 | ) | ||||
Net increase in shares | 35,633 | 11,028 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
DIVERSIFIED INCOME FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 28.45 | $ | 25.27 | $ | 26.99 | $ | 26.70 | $ | 27.58 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .71 | .73 | .81 | .86 | .91 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.55 | ) | 3.30 | (1.63 | ) | .50 | (.70 | ) | ||||||||||||
Total from investment operations | (3.84 | ) | 4.03 | (.82 | ) | 1.36 | .21 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.93 | ) | (.85 | ) | (.81 | ) | (.77 | ) | (.90 | ) | ||||||||||
Net realized gains | (.09 | ) | — | (.09 | ) | (.30 | ) | (.19 | ) | |||||||||||
Total distributions | (1.02 | ) | (.85 | ) | (.90 | ) | (1.07 | ) | (1.09 | ) | ||||||||||
Net asset value, end of period | $ | 23.59 | $ | 28.45 | $ | 25.27 | $ | 26.99 | $ | 26.70 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (13.94 | %) | 16.10 | % | (3.06 | %) | 5.31 | % | 0.78 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 284 | $ | 340 | $ | 267 | $ | 278 | $ | 141 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.59 | % | 2.64 | % | 3.14 | % | 3.26 | % | 3.37 | % | ||||||||||
Total expensesc | 3.42 | % | 3.92 | % | 4.24 | % | 4.03 | % | 4.83 | % | ||||||||||
Net expensesd,e,f | 0.74 | % | 0.78 | % | 0.83 | % | 0.85 | % | 0.84 | % | ||||||||||
Portfolio turnover rate | 12 | % | 50 | % | 66 | % | 58 | % | 37 | % | ||||||||||
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 28.36 | $ | 25.19 | $ | 27.00 | $ | 26.69 | $ | 27.56 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .47 | .52 | .60 | .69 | .71 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.49 | ) | 3.29 | (1.62 | ) | .46 | (.69 | ) | ||||||||||||
Total from investment operations | (4.02 | ) | 3.81 | (1.02 | ) | 1.15 | .02 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.77 | ) | (.64 | ) | (.70 | ) | (.54 | ) | (.70 | ) | ||||||||||
Net realized gains | (.09 | ) | — | (.09 | ) | (.30 | ) | (.19 | ) | |||||||||||
Total distributions | (.86 | ) | (.64 | ) | (.79 | ) | (.84 | ) | (.89 | ) | ||||||||||
Net asset value, end of period | $ | 23.48 | $ | 28.36 | $ | 25.19 | $ | 27.00 | $ | 26.69 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (14.57 | %) | 15.24 | % | (3.77 | %) | 4.50 | % | 0.08 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 224 | $ | 254 | $ | 197 | $ | 816 | $ | 145 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.70 | % | 1.89 | % | 2.26 | % | 2.59 | % | 2.63 | % | ||||||||||
Total expensesc | 4.04 | % | 4.68 | % | 4.86 | % | 4.74 | % | 5.65 | % | ||||||||||
Net expensesd,e,f | 1.49 | % | 1.52 | % | 1.58 | % | 1.59 | % | 1.59 | % | ||||||||||
Portfolio turnover rate | 12 | % | 50 | % | 66 | % | 58 | % | 37 | % | ||||||||||
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
DIVERSIFIED INCOME FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 28.43 | $ | 25.25 | $ | 26.97 | $ | 26.70 | $ | 27.58 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .58 | .73 | .81 | .85 | .91 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.43 | ) | 3.30 | (1.63 | ) | .51 | (.70 | ) | ||||||||||||
Total from investment operations | (3.85 | ) | 4.03 | (.82 | ) | 1.36 | .21 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.90 | ) | (.85 | ) | (.81 | ) | (.79 | ) | (.90 | ) | ||||||||||
Net realized gains | (.09 | ) | — | (.09 | ) | (.30 | ) | (.19 | ) | |||||||||||
Total distributions | (.99 | ) | (.85 | ) | (.90 | ) | (1.09 | ) | (1.09 | ) | ||||||||||
Net asset value, end of period | $ | 23.59 | $ | 28.43 | $ | 25.25 | $ | 26.97 | $ | 26.70 | ||||||||||
| ||||||||||||||||||||
Total Return | (13.95 | %) | 16.12 | % | (3.03 | %) | 5.23 | % | 0.82 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 415 | $ | 152 | $ | 128 | $ | 131 | $ | 125 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.16 | % | 2.64 | % | 3.14 | % | 3.22 | % | 3.37 | % | ||||||||||
Total expensesc | 3.49 | % | 3.92 | % | 4.19 | % | 3.97 | % | 4.82 | % | ||||||||||
Net expensesd,e,f | 0.74 | % | 0.78 | % | 0.83 | % | 0.85 | % | 0.84 | % | ||||||||||
Portfolio turnover rate | 12 | % | 50 | % | 66 | % | 58 | % | 37 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
DIVERSIFIED INCOME FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 28.44 | $ | 25.26 | $ | 26.98 | $ | 26.72 | $ | 27.59 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .69 | .80 | .87 | .92 | .98 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.46 | ) | 3.30 | (1.63 | ) | .49 | (.70 | ) | ||||||||||||
Total from investment operations | (3.77 | ) | 4.10 | (.76 | ) | 1.41 | .28 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.99 | ) | (.92 | ) | (.87 | ) | (.85 | ) | (.96 | ) | ||||||||||
Net realized gains | (.09 | ) | — | (.09 | ) | (.30 | ) | (.19 | ) | |||||||||||
Total distributions | (1.08 | ) | (.92 | ) | (.96 | ) | (1.15 | ) | (1.15 | ) | ||||||||||
Net asset value, end of period | $ | 23.59 | $ | 28.44 | $ | 25.26 | $ | 26.98 | $ | 26.72 | ||||||||||
| ||||||||||||||||||||
Total Return | (13.74 | %) | 16.40 | % | (2.82 | %) | 5.52 | % | 1.06 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,300 | $ | 6,950 | $ | 5,965 | $ | 6,165 | $ | 5,757 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.54 | % | 2.89 | % | 3.39 | % | 3.47 | % | 3.62 | % | ||||||||||
Total expensesc | 3.05 | % | 3.55 | % | 3.78 | % | 3.58 | % | 4.42 | % | ||||||||||
Net expensesd,e,f | 0.49 | % | 0.53 | % | 0.58 | % | 0.60 | % | 0.60 | % | ||||||||||
Portfolio turnover rate | 12 | % | 50 | % | 66 | % | 58 | % | 37 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | — | — | — | — | — | |
C-Class | — | — | 0.00%* | — | — | |
P-Class | — | — | 0.00%* | — | — | |
Institutional Class | — | — | 0.00%* | — | — |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | 0.73% | 0.77% | 0.82% | 0.85% | 0.84% | |
C-Class | 1.48% | 1.51% | 1.57% | 1.59% | 1.58% | |
P-Class | 0.73% | 0.77% | 0.82% | 0.85% | 0.84% | |
Institutional Class | 0.48% | 0.52% | 0.57% | 0.60% | 0.59% |
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim High Yield Fund (“Fund”). Guggenheim Partners Advisors, LLC, an affiliate of SI, serves as the Fund’s sub-adviser (“GPA” or the “Sub-Adviser”). The Fund is managed by a team of seasoned professionals at SI and GPA. This team includes B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC.; and Thomas J. Hauser, Senior Managing Director and Portfolio Manager of SI. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of -12.10%1, outperforming the Bloomberg U.S. Corporate High Yield Index, the Fund’s benchmark, which returned -14.14% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The Reporting Period was significantly impacted by challenging macroeconomics. High yield was down -14.14% over the last year, amid the sharp rise in interest rates, due to the ongoing conflict in Ukraine, elevated inflation, and the potential for recession. The high yield market experienced outflows during the Reporting Period, which negatively impacted trading levels. All sectors and rating categories generated negative returns while interest rates continued to climb and credit spreads widened.
Bottom-up fundamental credit analysis continues to be the main driver of the Fund’s positioning and performance. The largest contributing sectors to performance were the Consumer Cyclicals and Non-Cyclicals sectors, where the Fund benefited from strong security selection relative to the benchmark. The Fund’s underweight to the Energy sector detracted from performance for the Reporting Period. An up-in-quality bias for the Reporting Period drove an overweight to single B rated issuers and underweight to CCC rated issuers, which both contributed to outperformance relative to the benchmark. The Fund’s larger allocation to bank loans was a meaningful contributor to performance due to their insulation from the selloff in interest rates.
How did the Fund use derivatives during the Reporting Period?
The Fund invests in non-U.S. dollar denominated assets when the risk-return profile is favorable. The Fund entered forward foreign currency exchange contracts to hedge exchange rate risk for non-U.S. dollar denominated positions which had a positive impact to performance. Non-U.S. dollar denominated assets comprise less than 2% of the Fund.
How was the Fund positioned at the end of the Reporting Period?
The Fund’s largest exposure is to high yield bonds followed by a meaningful exposure to bank loans. We continue to evaluate the relative value between high yield bonds and bank loans, potentially looking to shift the allocation as the relationship changes.
The Fund remains cautious given heightened risk of default and recession. As such, the Fund continues to avoid highly levered industries and companies with high capital expenditure needs that could impair cash flow, and instead focuses on companies with recurring revenue streams, strong cash flows, and high-quality margins. Even with heightened credit risk and rising risk of recession, we think current spreads offer opportunities to find credits that are trading cheap to their fundamentals and risk of default/loss.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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 |
Fixed Income Instruments | |
A | 0.4% |
BBB | 2.5% |
BB | 44.2% |
B | 38.5% |
CCC | 6.6% |
D | 0.4% |
NR2 | 1.3% |
Other Instruments | 6.1% |
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) | |
Terraform Global Operating LLC, 6.13% | 1.4% |
Hunt Companies, Inc., 5.25% | 1.4% |
CPI CG, Inc., 8.63% | 1.4% |
Carpenter Technology Corp., 6.38% | 1.3% |
McGraw-Hill Education, Inc., 5.75% | 1.3% |
Exterran Energy Solutions Limited Partnership / EES Finance Corp., 8.13% | 1.2% |
FAGE International S.A. / FAGE USA Dairy Industry, Inc., 5.63% | 1.1% |
Artera Services LLC, 9.03% | 1.1% |
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00% | 1.1% |
GrafTech Finance, Inc., 4.63% | 1.1% |
Top Ten Total | 12.4% |
“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. |
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (12.10%) | 1.05% | 3.98% |
A-Class Shares with sales charge‡ | (15.64%) | 0.23% | 3.47% |
C-Class Shares | (12.76%) | 0.26% | 3.19% |
C-Class Shares with CDSC§ | (13.59%) | 0.26% | 3.19% |
Institutional Class Shares | (11.80%) | 1.29% | 4.25% |
Bloomberg U.S. Corporate High Yield Index | (14.14%) | 1.57% | 3.94% |
| 1 Year | 5 Year | Since |
P-Class Shares | (12.13%) | 0.98% | 2.70% |
Bloomberg U.S. Corporate High Yield Index | (14.14%) | 1.57% | 3.03% |
| 1 Year | 5 Year | Since |
R6-Class Shares | (11.91%) | 1.37% | 1.74% |
Bloomberg U.S. Corporate High Yield Index | (14.14%) | 1.57% | 1.96% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Corporate High Yield Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class and R6-Class shares will vary due to differences in fee structures. |
‡ | Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge is used to calculate performance for periods based on subscriptions made on or after October 2, 2015. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
HIGH YIELD FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 2.0% | ||||||||
Financial - 1.3% | ||||||||
KKR Acquisition Holdings I Corp. — Class A*,1 | 142,310 | $ | 1,400,330 | |||||
TPG Pace Beneficial II Corp.*,1 | 46,138 | 451,225 | ||||||
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | 38,845 | 376,991 | ||||||
RXR Acquisition Corp. — Class A*,1 | 1,874 | 18,440 | ||||||
Colicity, Inc. — Class A*,1 | 1,419 | 13,963 | ||||||
MSD Acquisition Corp. — Class A*,1 | 721 | 7,138 | ||||||
Total Financial | 2,268,087 | |||||||
Utilities - 0.4% | ||||||||
TexGen Power LLC*,†† | 26,665 | 693,290 | ||||||
Communications - 0.2% | ||||||||
Vacasa, Inc. — Class A* | 117,451 | 360,574 | ||||||
Energy - 0.1% | ||||||||
Permian Production Partners LLC††† | 57,028 | 46,763 | ||||||
Legacy Reserves, Inc.*,††† | 3,452 | 30,205 | ||||||
Bruin E&P Partnership Units*,††† | 44,023 | 986 | ||||||
Total Energy | 77,954 | |||||||
Consumer, Non-cyclical - 0.0% | ||||||||
Targus Group International Equity, Inc.*,†††,2 | 12,825 | 32,255 | ||||||
Cengage Learning Holdings II, Inc.*,†† | 2,107 | 25,284 | ||||||
Save-A-Lot*,†† | 17,185 | 7,167 | ||||||
Total Consumer, Non-cyclical | 64,706 | |||||||
Consumer, Cyclical - 0.0% | ||||||||
Metro-Goldwyn-Mayer, Inc.†† | 7,040 | 31,328 | ||||||
Industrial - 0.0% | ||||||||
BP Holdco LLC*,†††,2 | 23,711 | 14,378 | ||||||
Vector Phoenix Holdings, LP*,††† | 23,711 | 5,666 | ||||||
Total Industrial | 20,044 | |||||||
Total Common Stocks | ||||||||
(Cost $4,021,255) | 3,515,983 | |||||||
PREFERRED STOCKS†† - 2.2% | ||||||||
Financial - 2.2% | ||||||||
American Equity Investment Life Holding Co. | ||||||||
5.95%3 | 54,000 | 1,212,301 | ||||||
Arch Capital Group Ltd. | ||||||||
4.55% | 55,000 | 1,031,800 | ||||||
Charles Schwab Corp. | ||||||||
4.00%* | 1,325,000 | 973,323 | ||||||
Assurant, Inc. | ||||||||
5.25% due 01/15/61 | 30,000 | 638,400 | ||||||
Total Financial | 3,855,823 | |||||||
Industrial - 0.0% | ||||||||
U.S. Shipping Corp.*,††† | 14,718 | — | ||||||
Total Preferred Stocks | ||||||||
(Cost $5,175,000) | 3,855,824 | |||||||
WARRANTS† - 0.0% | ||||||||
KKR Acquisition Holdings I Corp. | ||||||||
Expiring 12/31/27*,1 | 35,577 | 4,271 | ||||||
Acropolis Infrastructure Acquisition Corp. | ||||||||
Expiring 03/31/26*,1 | 12,947 | 1,296 | ||||||
Colicity, Inc. | ||||||||
Expiring 12/31/27*,1 | 281 | 14 | ||||||
MSD Acquisition Corp. | ||||||||
Expiring 05/13/23*,1 | 143 | 12 | ||||||
RXR Acquisition Corp. | ||||||||
Expiring 03/08/26*,1 | 372 | 9 | ||||||
Ginkgo Bioworks Holdings, Inc. | ||||||||
Expiring 08/01/26* | 4 | 3 | ||||||
SandRidge Energy, Inc. | ||||||||
Expiring 10/04/22* | 505 | — | ||||||
Expiring 10/04/22* | 212 | — | ||||||
Total Warrants | ||||||||
(Cost $92,427) | 5,605 | |||||||
MONEY MARKET FUND† - 1.8% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%4 | 3,140,418 | 3,140,418 | ||||||
Total Money Market Fund | ||||||||
(Cost $3,140,418) | 3,140,418 | |||||||
Face | ||||||||
CORPORATE BONDS†† - 73.5% | ||||||||
Communications - 14.4% | ||||||||
McGraw-Hill Education, Inc. | ||||||||
5.75% due 08/01/285 | 2,575,000 | 2,150,166 | ||||||
8.00% due 08/01/295 | 1,525,000 | 1,251,987 | ||||||
Altice France S.A. | ||||||||
5.13% due 07/15/295 | 1,450,000 | 1,083,309 | ||||||
5.50% due 10/15/295 | 1,250,000 | 940,480 | ||||||
8.13% due 02/01/275 | 900,000 | 804,375 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
4.50% due 05/01/32 | 1,850,000 | 1,410,939 | ||||||
4.25% due 01/15/345 | 975,000 | 697,885 | ||||||
6.38% due 09/01/295 | 275,000 | 252,477 | ||||||
Level 3 Financing, Inc. | ||||||||
3.63% due 01/15/295 | 1,825,000 | 1,351,212 | ||||||
4.25% due 07/01/285 | 1,150,000 | 897,012 | ||||||
CSC Holdings LLC | ||||||||
4.13% due 12/01/305 | 1,150,000 | 859,280 | ||||||
4.63% due 12/01/305 | 950,000 | 646,000 | ||||||
3.38% due 02/15/315 | 850,000 | 599,250 | ||||||
Cengage Learning, Inc. | ||||||||
9.50% due 06/15/245 | 1,739,000 | 1,630,313 | ||||||
VZ Secured Financing BV | ||||||||
5.00% due 01/15/325 | 2,175,000 | 1,624,934 | ||||||
Vmed O2 UK Financing I plc | ||||||||
4.25% due 01/31/315 | 1,125,000 | 852,401 | ||||||
4.75% due 07/15/315 | 850,000 | 655,772 | ||||||
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
HIGH YIELD FUND |
| Face | Value | ||||||
Telenet Finance Luxembourg Notes SARL | ||||||||
5.50% due 03/01/28 | 1,400,000 | $ | 1,214,178 | |||||
LCPR Senior Secured Financing DAC | ||||||||
6.75% due 10/15/275 | 1,417,000 | 1,176,110 | ||||||
AMC Networks, Inc. | ||||||||
4.25% due 02/15/29 | 1,550,000 | 1,146,009 | ||||||
UPC Broadband Finco BV | ||||||||
4.88% due 07/15/315 | 1,200,000 | 931,236 | ||||||
Sirius XM Radio, Inc. | ||||||||
4.13% due 07/01/305 | 800,000 | 650,272 | ||||||
Cogent Communications Group, Inc. | ||||||||
7.00% due 06/15/275 | 625,000 | 587,785 | ||||||
Virgin Media Secured Finance plc | ||||||||
4.50% due 08/15/305 | 675,000 | 526,804 | ||||||
Match Group Holdings II LLC | ||||||||
4.63% due 06/01/285 | 600,000 | 524,250 | ||||||
Outfront Media Capital LLC / Outfront Media Capital Corp. | ||||||||
4.25% due 01/15/295 | 450,000 | 353,475 | ||||||
Zayo Group Holdings, Inc. | ||||||||
4.00% due 03/01/275 | 300,000 | 240,735 | ||||||
Total Communications | 25,058,646 | |||||||
Consumer, Non-cyclical - 13.2% | ||||||||
Nielsen Finance LLC / Nielsen Finance Co. | ||||||||
4.75% due 07/15/315 | 1,650,000 | 1,617,627 | ||||||
5.88% due 10/01/305 | 1,000,000 | 995,865 | ||||||
CPI CG, Inc. | ||||||||
8.63% due 03/15/265 | 2,572,000 | 2,390,828 | ||||||
FAGE International S.A. / FAGE USA Dairy Industry, Inc. | ||||||||
5.63% due 08/15/265 | 2,200,000 | 1,953,336 | ||||||
Rent-A-Center, Inc. | ||||||||
6.38% due 02/15/295,6 | 2,281,000 | 1,779,180 | ||||||
Sabre GLBL, Inc. | ||||||||
7.38% due 09/01/255 | 1,220,000 | 1,092,670 | ||||||
9.25% due 04/15/255 | 250,000 | 239,353 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||
3.38% due 08/31/275 | 1,525,000 | 1,281,259 | ||||||
BCP V Modular Services Finance II plc | ||||||||
4.75% due 10/30/285 | EUR | 1,486,000 | 1,165,148 | |||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | ||||||||
7.00% due 12/31/275 | 961,000 | 735,165 | ||||||
5.00% due 12/31/265 | 350,000 | 307,142 | ||||||
Sotheby’s/Bidfair Holdings, Inc. | ||||||||
5.88% due 06/01/295 | 1,200,000 | 991,344 | ||||||
KeHE Distributors LLC / KeHE Finance Corp. | ||||||||
8.63% due 10/15/265 | 956,000 | 955,962 | ||||||
Par Pharmaceutical, Inc. | ||||||||
7.50% due 04/01/275,7 | 1,210,000 | 955,923 | ||||||
DaVita, Inc. | ||||||||
3.75% due 02/15/315 | 1,225,000 | 872,812 | ||||||
ADT Security Corp. | ||||||||
4.13% due 08/01/295 | 1,050,000 | 871,500 | ||||||
Bausch Health Companies, Inc. | ||||||||
4.88% due 06/01/285 | 1,200,000 | 773,640 | ||||||
Endo Luxembourg Finance Company I SARL / Endo US, Inc. | ||||||||
6.13% due 04/01/295,7 | 950,000 | 749,931 | ||||||
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc. | ||||||||
5.00% due 02/01/265 | 850,000 | 727,880 | ||||||
Medline Borrower, LP | ||||||||
5.25% due 10/01/295 | 850,000 | 641,750 | ||||||
WW International, Inc. | ||||||||
4.50% due 04/15/295 | 825,000 | 431,134 | ||||||
Lamb Weston Holdings, Inc. | ||||||||
4.13% due 01/31/305 | 425,000 | 359,652 | ||||||
Albertsons Companies Incorporated / Safeway Inc / New Albertsons Limited Partnership / Albertsons LLC | ||||||||
5.88% due 02/15/285 | 375,000 | 345,938 | ||||||
Nathan’s Famous, Inc. | ||||||||
6.63% due 11/01/255 | 259,000 | 256,410 | ||||||
Tenet Healthcare Corp. | ||||||||
6.13% due 06/15/305 | 275,000 | 251,900 | ||||||
Garden Spinco Corp. | ||||||||
8.63% due 07/20/305 | 200,000 | 206,626 | ||||||
Endo Dac / Endo Finance LLC / Endo Finco, Inc. | ||||||||
9.50% due 07/31/275,7 | 171,000 | 24,795 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
8.00% due 03/15/265 | 25,000 | 21,645 | ||||||
Total Consumer, Non-cyclical | 22,996,415 | |||||||
Financial - 10.9% | ||||||||
Hunt Companies, Inc. | ||||||||
5.25% due 04/15/295 | 3,150,000 | 2,412,050 | ||||||
United Wholesale Mortgage LLC | ||||||||
5.50% due 04/15/295 | 1,475,000 | 1,121,000 | ||||||
5.75% due 06/15/275 | 1,300,000 | 1,030,123 | ||||||
Iron Mountain, Inc. | ||||||||
5.63% due 07/15/325 | 1,275,000 | 1,020,000 | ||||||
4.88% due 09/15/295 | 530,000 | 435,390 | ||||||
5.25% due 07/15/305 | 475,000 | 393,048 | ||||||
Jefferies Finance LLC / JFIN Company-Issuer Corp. | ||||||||
5.00% due 08/15/285 | 2,500,000 | 1,843,750 | ||||||
NFP Corp. | ||||||||
6.88% due 08/15/285 | 2,250,000 | 1,755,000 | ||||||
OneMain Finance Corp. | ||||||||
3.88% due 09/15/28 | 1,225,000 | 901,919 | ||||||
4.00% due 09/15/30 | 750,000 | 526,282 | ||||||
HUB International Ltd. | ||||||||
5.63% due 12/01/295 | 850,000 | 709,750 | ||||||
7.00% due 05/01/265 | 575,000 | 545,339 | ||||||
Home Point Capital, Inc. | ||||||||
5.00% due 02/01/265 | 1,275,000 | 798,469 | ||||||
Iron Mountain Information Management Services, Inc. | ||||||||
5.00% due 07/15/325 | 1,000,000 | 774,093 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
HIGH YIELD FUND |
| Face | Value | ||||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
3.88% due 03/01/315 | 725,000 | $ | 525,519 | |||||
4.00% due 10/15/335 | 350,000 | 240,630 | ||||||
USI, Inc. | ||||||||
6.88% due 05/01/255 | 775,000 | 744,993 | ||||||
SLM Corp. | ||||||||
3.13% due 11/02/26 | 900,000 | 744,993 | ||||||
Wilton Re Finance LLC | ||||||||
5.88% due 03/30/333,5 | 650,000 | 638,113 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.30% due 02/01/615 | 750,000 | 470,806 | ||||||
Kennedy-Wilson, Inc. | ||||||||
4.75% due 03/01/29 | 575,000 | 438,840 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75% due 05/15/285 | 450,000 | 417,397 | ||||||
Starwood Property Trust, Inc. | ||||||||
4.38% due 01/15/275 | 425,000 | 362,306 | ||||||
Total Financial | 18,849,810 | |||||||
Energy - 9.2% | ||||||||
NuStar Logistics, LP | ||||||||
5.63% due 04/28/27 | 1,585,000 | 1,382,010 | ||||||
6.38% due 10/01/30 | 850,000 | 727,316 | ||||||
Exterran Energy Solutions Limited Partnership / EES Finance Corp. | ||||||||
8.13% due 05/01/25 | 2,037,000 | 2,062,462 | ||||||
Parkland Corp. | ||||||||
4.50% due 10/01/295 | 1,275,000 | 1,029,334 | ||||||
4.63% due 05/01/305 | 1,100,000 | 891,743 | ||||||
Global Partners Limited Partnership / GLP Finance Corp. | ||||||||
7.00% due 08/01/27 | 1,200,000 | 1,092,636 | ||||||
6.88% due 01/15/29 | 900,000 | 810,000 | ||||||
CVR Energy, Inc. | ||||||||
5.75% due 02/15/285 | 1,725,000 | 1,473,479 | ||||||
5.25% due 02/15/255 | 250,000 | 225,030 | ||||||
ITT Holdings LLC | ||||||||
6.50% due 08/01/295 | 1,875,000 | 1,454,568 | ||||||
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp. | ||||||||
5.63% due 05/01/275 | 1,250,000 | 1,131,250 | ||||||
EnLink Midstream LLC | ||||||||
6.50% due 09/01/305 | 925,000 | 903,262 | ||||||
TransMontaigne Partners Limited Partnership / TLP Finance Corp. | ||||||||
6.13% due 02/15/26 | 1,000,000 | 835,000 | ||||||
PDC Energy, Inc. | ||||||||
6.13% due 09/15/24 | 776,000 | 763,722 | ||||||
Holly Energy Partners Limited Partnership / Holly Energy Finance Corp. | ||||||||
6.38% due 04/15/275 | 525,000 | 501,375 | ||||||
Southwestern Energy Co. | ||||||||
5.38% due 02/01/29 | 425,000 | 385,390 | ||||||
Kinetik Holdings, LP | ||||||||
5.88% due 06/15/305 | 350,000 | 320,481 | ||||||
Total Energy | 15,989,058 | |||||||
Industrial - 9.1% | ||||||||
New Enterprise Stone & Lime Company, Inc. | ||||||||
9.75% due 07/15/285 | 1,725,000 | 1,455,063 | ||||||
5.25% due 07/15/285 | 675,000 | 557,904 | ||||||
Artera Services LLC | ||||||||
9.03% due 12/04/255 | 2,350,000 | 1,891,750 | ||||||
Brundage-Bone Concrete Pumping Holdings, Inc. | ||||||||
6.00% due 02/01/265 | 2,076,000 | 1,873,590 | ||||||
GrafTech Finance, Inc. | ||||||||
4.63% due 12/15/285 | 2,500,000 | 1,868,750 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
5.50% due 04/15/245 | 1,050,000 | 997,500 | ||||||
8.50% due 04/15/245 | 175,000 | 166,250 | ||||||
Great Lakes Dredge & Dock Corp. | ||||||||
5.25% due 06/01/295 | 1,325,000 | 1,021,040 | ||||||
Standard Industries, Inc. | ||||||||
5.00% due 02/15/275 | 900,000 | 796,419 | ||||||
Masonite International Corp. | ||||||||
5.38% due 02/01/285 | 850,000 | 751,850 | ||||||
Amsted Industries, Inc. | ||||||||
4.63% due 05/15/305 | 900,000 | 744,930 | ||||||
Builders FirstSource, Inc. | ||||||||
6.38% due 06/15/325 | 700,000 | 621,771 | ||||||
Arcosa, Inc. | ||||||||
4.38% due 04/15/295 | 700,000 | 595,000 | ||||||
TransDigm, Inc. | ||||||||
6.25% due 03/15/265 | 500,000 | 485,000 | ||||||
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc | ||||||||
6.00% due 06/15/275 | 500,000 | 470,852 | ||||||
Howmet Aerospace, Inc. | ||||||||
5.95% due 02/01/37 | 475,000 | 429,274 | ||||||
Summit Materials LLC / Summit Materials Finance Corp. | ||||||||
6.50% due 03/15/275 | 425,000 | 407,039 | ||||||
Stericycle, Inc. | ||||||||
5.38% due 07/15/245 | 375,000 | 360,499 | ||||||
Harsco Corp. | ||||||||
5.75% due 07/31/275 | 500,000 | 312,394 | ||||||
Total Industrial | 15,806,875 | |||||||
Basic Materials - 7.2% | ||||||||
Carpenter Technology Corp. | ||||||||
6.38% due 07/15/28 | 2,475,000 | 2,295,315 | ||||||
7.63% due 03/15/30 | 650,000 | 625,820 | ||||||
Minerals Technologies, Inc. | ||||||||
5.00% due 07/01/285 | 1,547,000 | 1,346,397 | ||||||
SCIL IV LLC / SCIL USA Holdings LLC | ||||||||
5.38% due 11/01/265 | 1,650,000 | 1,274,625 | ||||||
Clearwater Paper Corp. | ||||||||
4.75% due 08/15/285 | 1,375,000 | 1,203,983 | ||||||
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
HIGH YIELD FUND |
| Face | Value | ||||||
Kaiser Aluminum Corp. | ||||||||
4.63% due 03/01/285 | 790,000 | $ | 644,576 | |||||
4.50% due 06/01/315 | 725,000 | 530,512 | ||||||
EverArc Escrow SARL | ||||||||
5.00% due 10/30/295 | 1,350,000 | 1,089,781 | ||||||
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. | ||||||||
9.00% due 07/01/285 | 900,000 | 747,000 | ||||||
Diamond BC BV | ||||||||
4.63% due 10/01/295 | 1,050,000 | 730,611 | ||||||
Valvoline, Inc. | ||||||||
3.63% due 06/15/315 | 600,000 | 441,893 | ||||||
4.25% due 02/15/305 | 250,000 | 236,250 | ||||||
Ingevity Corp. | ||||||||
3.88% due 11/01/285 | 675,000 | 558,080 | ||||||
Compass Minerals International, Inc. | ||||||||
6.75% due 12/01/275 | 500,000 | 469,887 | ||||||
Yamana Gold, Inc. | ||||||||
4.63% due 12/15/27 | 256,000 | 233,034 | ||||||
Mirabela Nickel Ltd. | ||||||||
due 06/24/197,8 | 278,115 | 13,906 | ||||||
Total Basic Materials | 12,441,670 | |||||||
Consumer, Cyclical - 6.5% | ||||||||
Crocs, Inc. | ||||||||
4.25% due 03/15/295 | 1,769,000 | 1,406,355 | ||||||
JB Poindexter & Company, Inc. | ||||||||
7.13% due 04/15/265 | 1,225,000 | 1,133,125 | ||||||
CD&R Smokey Buyer, Inc. | ||||||||
6.75% due 07/15/255 | 925,000 | 838,439 | ||||||
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. | ||||||||
5.75% due 01/20/265 | 950,000 | 837,891 | ||||||
Wolverine World Wide, Inc. | ||||||||
4.00% due 08/15/295 | 1,000,000 | 762,860 | ||||||
Scotts Miracle-Gro Co. | ||||||||
4.38% due 02/01/32 | 1,050,000 | 746,760 | ||||||
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc. | ||||||||
6.63% due 03/01/305 | 875,000 | 701,400 | ||||||
Newell Brands, Inc. | ||||||||
6.63% due 09/15/29 | 500,000 | 488,865 | ||||||
4.45% due 04/01/26 | 200,000 | 184,000 | ||||||
Tempur Sealy International, Inc. | ||||||||
3.88% due 10/15/315 | 850,000 | 622,625 | ||||||
Wabash National Corp. | ||||||||
4.50% due 10/15/285 | 675,000 | 523,263 | ||||||
Clarios Global, LP | ||||||||
6.75% due 05/15/255 | 527,000 | 516,054 | ||||||
Asbury Automotive Group, Inc. | ||||||||
5.00% due 02/15/325 | 550,000 | 423,533 | ||||||
Michaels Companies, Inc. | ||||||||
5.25% due 05/01/285 | 600,000 | 421,188 | ||||||
Rite Aid Corp. | ||||||||
7.50% due 07/01/255 | 519,000 | 394,866 | ||||||
Superior Plus, LP | ||||||||
4.25% due 05/18/28†††,5 | CAD | 550,000 | 346,548 | |||||
Air Canada | ||||||||
3.88% due 08/15/265 | 300,000 | 257,625 | ||||||
Six Flags Theme Parks, Inc. | ||||||||
7.00% due 07/01/255 | 215,000 | 214,909 | ||||||
Penn Entertainment, Inc. | ||||||||
4.13% due 07/01/295 | 250,000 | 191,364 | ||||||
Allison Transmission, Inc. | ||||||||
4.75% due 10/01/275 | 200,000 | 176,135 | ||||||
Total Consumer, Cyclical | 11,187,805 | |||||||
Technology - 1.6% | ||||||||
Boxer Parent Company, Inc. | ||||||||
7.13% due 10/02/255 | 1,025,000 | 1,004,577 | ||||||
AthenaHealth Group, Inc. | ||||||||
6.50% due 02/15/305 | 1,075,000 | 849,863 | ||||||
Central Parent Incorporated / CDK Global Inc | ||||||||
7.25% due 06/15/295 | 700,000 | 665,486 | ||||||
Open Text Holdings, Inc. | ||||||||
4.13% due 12/01/315 | 400,000 | 301,247 | ||||||
Total Technology | 2,821,173 | |||||||
Utilities - 1.4% | ||||||||
Terraform Global Operating LLC | ||||||||
6.13% due 03/01/265 | 2,630,000 | 2,465,625 | ||||||
Basic Energy Services, Inc. | ||||||||
due 10/15/23†††,7 | 1,175,000 | 32,312 | ||||||
Total Utilities | 2,497,937 | |||||||
Total Corporate Bonds | ||||||||
(Cost $155,267,178) | 127,649,389 | |||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 19.8% | ||||||||
Consumer, Cyclical - 5.5% | ||||||||
PetSmart LLC | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28 | 1,336,500 | 1,261,883 | ||||||
First Brands Group LLC | ||||||||
7.94% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 03/30/27 | 1,029,548 | 987,336 | ||||||
NES Global Talent | ||||||||
8.31% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 05/11/23 | 861,822 | 823,040 | ||||||
American Tire Distributors, Inc. | ||||||||
9.03% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.00%) due 10/20/28 | 870,625 | 807,818 | ||||||
Alexander Mann | ||||||||
7.19% (3 Month GBP SONIA + 5.00%, Rate Floor: 5.00%) due 06/16/25 | GBP | 749,100 | 794,717 | |||||
Congruex Group LLC | ||||||||
8.48% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 05/03/29††† | 723,188 | 701,492 | ||||||
ScribeAmerica Intermediate Holdco LLC (Healthchannels) | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25 | 750,976 | 627,065 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
HIGH YIELD FUND |
| Face | Value | ||||||
FR Refuel LLC | ||||||||
8.42% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 11/08/28††† | 597,350 | $ | 570,469 | |||||
Holding SOCOTEC | ||||||||
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 06/30/28 | 603,900 | 558,608 | ||||||
Galaxy US Opco, Inc. | ||||||||
7.78% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 04/30/29††† | 550,000 | 515,625 | ||||||
Accuride Corp. | ||||||||
8.92% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23 | 581,041 | 497,034 | ||||||
Sweetwater Sound | ||||||||
7.38% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 08/07/28††† | 325,000 | 295,750 | ||||||
Flutter Financing B.V. | ||||||||
due 07/24/28 | 300,000 | 292,452 | ||||||
WW International, Inc. | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 04/13/28 | 401,625 | 279,382 | ||||||
BCPE Empire Holdings, Inc. | ||||||||
7.76% (1 Month Term SOFR + 4.63%, Rate Floor: 4.63%) due 06/11/26 | 273,625 | 260,628 | ||||||
Pacific Bells LLC | ||||||||
8.31% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28 | 248,760 | 231,347 | ||||||
Total Consumer, Cyclical | 9,504,646 | |||||||
Industrial - 4.6% | ||||||||
Arcline FM Holdings LLC | ||||||||
7.00% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28††† | 1,509,750 | 1,396,519 | ||||||
Dispatch Terra Acquisition LLC | ||||||||
7.92% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28††† | 1,185,619 | 1,055,201 | ||||||
Pelican Products, Inc. | ||||||||
8.16% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/29/28 | 895,489 | 814,895 | ||||||
Pro Mach Group, Inc. | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28 | 744,584 | 708,554 | ||||||
LTI Holdings, Inc. | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 07/24/26 | 747,188 | 700,488 | ||||||
Aegion Corp. | ||||||||
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 05/17/28††† | 692,999 | 632,362 | ||||||
Michael Baker International LLC | ||||||||
8.12% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 12/01/28††† | 595,500 | 577,635 | ||||||
PECF USS Intermediate Holding III Corp. | ||||||||
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28 | 546,374 | 464,871 | ||||||
ASP Dream Acquisiton Co. LLC | ||||||||
7.38% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/15/28 | 399,000 | 381,045 | ||||||
YAK MAT (YAK ACCESS LLC) | ||||||||
13.64% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26††† | 1,025,000 | 307,500 | ||||||
Osmose Utility Services, Inc. | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 06/23/28 | 320,191 | 292,975 | ||||||
STS Operating, Inc. (SunSource) | ||||||||
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24 | 295,656 | 281,488 | ||||||
US Farathane LLC | ||||||||
7.92% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/23/24 | 271,333 | 236,060 | ||||||
Sundyne (Star US Bidco) | ||||||||
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/17/27 | 198,979 | 187,786 | ||||||
Total Industrial | 8,037,379 | |||||||
Consumer, Non-cyclical - 4.2% | ||||||||
SCP Eye Care Services LLC | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28††† | 1,075,781 | 1,070,402 | ||||||
7.32% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28††† | 188,352 | 186,469 | ||||||
HAH Group Holding Co. LLC | ||||||||
8.71% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27 | 1,305,488 | 1,240,214 | ||||||
Blue Ribbon LLC | ||||||||
8.56% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28 | 1,097,310 | 934,085 | ||||||
Quirch Foods Holdings LLC | ||||||||
7.93% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 10/27/27††† | 957,938 | 894,474 | ||||||
Gibson Brands, Inc. | ||||||||
7.94% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 08/11/28††† | 863,475 | 673,510 | ||||||
Women’s Care Holdings, Inc. | ||||||||
7.87% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28 | 666,563 | 621,016 | ||||||
Moran Foods LLC | ||||||||
14.42% (3 Month USD LIBOR + 10.75%, Rate Floor: 11.75%) due 10/01/24 | 407,847 | 281,414 | ||||||
10.67% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 04/01/24 | 311,449 | 263,695 | ||||||
1.00% (3 Month USD LIBOR - Rate Floor: 1.00%) due 04/01/24 | 40,545 | 34,328 | ||||||
Confluent Health LLC | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/30/28††† | 433,341 | 379,173 | ||||||
Kronos Acquisition Holdings, Inc. | ||||||||
8.94% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 12/22/26 | 297,750 | 282,118 | ||||||
Florida Food Products LLC | ||||||||
8.12% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 10/18/28††† | 223,875 | 204,846 | ||||||
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
HIGH YIELD FUND |
| Face | Value | ||||||
TGP Holdings LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/29/28 | 228,453 | $ | 178,909 | |||||
Total Consumer, Non-cyclical | 7,244,653 | |||||||
Technology - 2.5% | ||||||||
Datix Bidco Ltd. | ||||||||
6.19% (6 Month GBP LIBOR + 4.50%, Rate Floor: 5.19%) due 04/28/25††† | GBP | 1,300,000 | 1,415,313 | |||||
8.44% (6 Month GBP SONIA + 7.75%, Rate Floor: 8.44%) due 04/27/26††† | GBP | 650,000 | 710,995 | |||||
Taxware Holdings (Sovos Compliance LLC) | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28 | 745,203 | 709,061 | ||||||
Apttus Corp. | ||||||||
7.12% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28††† | 618,750 | 566,156 | ||||||
Atlas CC Acquisition Corp. | ||||||||
7.32% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28 | 567,813 | 496,552 | ||||||
24-7 Intouch, Inc. | ||||||||
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 08/25/25 | 268,601 | 255,171 | ||||||
Park Place Technologies, LLC | ||||||||
8.13% (1 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 11/10/27 | 168,967 | 159,956 | ||||||
Total Technology | 4,313,204 | |||||||
Financial - 1.7% | ||||||||
Franchise Group, Inc. | ||||||||
7.56% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26 | 938,947 | 874,789 | ||||||
Claros Mortgage Trust, Inc. | ||||||||
7.25% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 08/10/26 | 910,123 | 871,442 | ||||||
Avison Young (Canada), Inc. | ||||||||
8.90% (1 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 01/31/26 | 529,375 | 489,672 | ||||||
Eisner Advisory Group | ||||||||
8.40% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/28/28††† | 445,502 | 420,999 | ||||||
Teneo Holdings LLC | ||||||||
8.38% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/11/25 | 322,899 | 304,064 | ||||||
Total Financial | 2,960,966 | |||||||
Basic Materials - 0.8% | ||||||||
Ascend Performance Materials Operations LLC | ||||||||
8.42% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 08/27/26 | 643,398 | 628,761 | ||||||
NIC Acquisition Corp. | ||||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27 | 740,730 | 574,681 | ||||||
DCG Acquisition Corp. | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26 | 248,737 | 231,532 | ||||||
Total Basic Materials | 1,434,974 | |||||||
Communications - 0.3% | ||||||||
Cengage Learning Acquisitions, Inc. | ||||||||
7.81% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26 | 618,750 | 558,713 | ||||||
Utilities - 0.1% | ||||||||
TerraForm Power Operating LLC | ||||||||
6.40% (3 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 05/21/29 | 249,375 | 246,258 | ||||||
Energy - 0.1% | ||||||||
Permian Production Partners LLC | ||||||||
11.12% (1 Month USD LIBOR + 6.00%, Rate Floor: 9.12%) (in-kind rate was 2.00%) due 11/24/25†††,9 | 114,588 | 114,301 | ||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $37,957,421) | 34,415,094 | |||||||
ASSET-BACKED SECURITIES†† - 0.6% | ||||||||
Collateralized Loan Obligations - 0.4% | ||||||||
WhiteHorse X Ltd. | ||||||||
2015-10A E, 8.04% (3 Month USD LIBOR + 5.30%, Rate Floor: 5.30%) due 04/17/27◊,5 | 753,632 | 696,341 | ||||||
Infrastructure - 0.2% | ||||||||
Hotwire Funding LLC | ||||||||
2021-1, 4.46% due 11/20/515 | 400,000 | 326,274 | ||||||
Total Asset-Backed Securities | ||||||||
(Cost $1,069,128) | 1,022,615 | |||||||
Total Investments - 99.9% | ||||||||
(Cost $206,722,827) | $ | 173,604,928 | ||||||
Other Assets & Liabilities, net - 0.1% | 106,513 | |||||||
Total Net Assets - 100.0% | $ | 173,711,441 | ||||||
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
Morgan Stanley Capital Services LLC | GBP | Sell | 2,692,000 | 3,102,912 USD | 10/17/22 | $ | 95,688 | |||||||||||||||||
Bank of America, N.A. | EUR | Sell | 1,269,000 | 1,270,891 USD | 10/17/22 | 25,982 | ||||||||||||||||||
Morgan Stanley Capital Services LLC | CAD | Sell | 490,000 | 372,775 USD | 10/17/22 | 17,909 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Buy | 49,000 | 48,031 USD | 10/17/22 | 39 | ||||||||||||||||||
| $ | 139,618 | |||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 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 September 30, 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 September 30, 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 $109,181,022 (cost $132,235,530), or 62.9% 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 September 30, 2022, the total market value of segregated or earmarked securities was $1,779,180— 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 $13,906 (cost $252,369), or less than 0.01% 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 | |
SONIA — Sterling Overnight Index Average | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 2,628,661 | $ | 757,069 | $ | 130,253 | $ | 3,515,983 | ||||||||
Preferred Stocks | — | 3,855,824 | — | * | 3,855,824 | |||||||||||
Warrants | 5,605 | — | — | 5,605 | ||||||||||||
Money Market Fund | 3,140,418 | — | — | 3,140,418 | ||||||||||||
Corporate Bonds | — | 127,270,529 | 378,860 | 127,649,389 | ||||||||||||
Senior Floating Rate Interests | — | 21,725,903 | 12,689,191 | 34,415,094 | ||||||||||||
Asset-Backed Securities | — | 1,022,615 | — | 1,022,615 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 139,618 | — | 139,618 | ||||||||||||
Total Assets | $ | 5,774,684 | $ | 154,771,558 | $ | 13,198,304 | $ | 173,744,546 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Unfunded Loan Commitments (Note 9) | $ | — | $ | — | $ | 12,748 | $ | 12,748 | ||||||||
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 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 $1,608,982 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 | Valuation Technique | Unobservable Inputs | Input Range | Weighted Average* | |||||||||
Assets: |
|
|
|
| ||||||||||
Common Stocks | $ | 129,267 | Enterprise Value | Valuation Multiple | 2.6x-12.3x | 4.2x | ||||||||
Common Stocks | 986 | Model Price | Liquidation Value | — | — | |||||||||
Corporate Bonds | 378,860 | Third Party Pricing | Vendor Price | — | — | |||||||||
Senior Floating Rate Interests | 9,507,682 | Third Party Pricing | Broker Quote | — | — | |||||||||
Senior Floating Rate Interests | 1,055,201 | Third Party Pricing | Vendor Price | — | — | |||||||||
Senior Floating Rate Interests | 2,126,308 | Yield Analysis | Yield | 9.3%-12.2% | 10.3 | % | ||||||||
Total Assets | $ | 13,198,304 |
|
| ||||||||||
Liabilities: |
|
| ||||||||||||
Unfunded Loan Commitments | $ | 12,748 | Model Price | Purchase Price | — | — | ||||||||
* | Inputs are weighted by the fair value of the instruments. |
Significant changes in a quote, yield, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.
The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $4,668,584 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $410,165 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 year ended September 30, 2022:
Assets | Liabilities | |||||||||||||||||||
| Corporate | Senior Floating | Common | Total Assets | Unfunded Loan | |||||||||||||||
Beginning Balance | $ | 539,206 | $ | 8,849,956 | $ | 237,484 | $ | 9,626,646 | $ | (622 | ) | |||||||||
Purchases/(Receipts) | — | 6,731,238 | — | 6,731,238 | (4,832 | ) | ||||||||||||||
(Sales, maturities and paydowns)/Fundings | (3,146 | ) | (6,388,281 | ) | (686 | ) | (6,392,113 | ) | 1,799 | |||||||||||
Amortization of premiums/discounts | (6,095 | ) | 113,246 | — | 107,151 | (36 | ) | |||||||||||||
Total realized gains (losses) included in earnings | (46,376 | ) | (4,150 | ) | (5,480 | ) | (56,006 | ) | 416 | |||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | (104,729 | ) | (878,404 | ) | (93,898 | ) | (1,077,031 | ) | (9,473 | ) | ||||||||||
Transfers into Level 3 | — | 4,668,584 | — | 4,668,584 | — | |||||||||||||||
Transfers out of Level 3 | — | (402,998 | ) | (7,167 | ) | (410,165 | ) | — | ||||||||||||
Ending Balance | $ | 378,860 | $ | 12,689,191 | $ | 130,253 | $ | 13,198,304 | $ | (12,748 | ) | |||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022 | $ | (104,729 | ) | $ | (755,016 | ) | $ | (18,782 | ) | $ | (878,527 | ) | $ | (7,998 | ) | |||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2022 |
HIGH YIELD 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 year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||
BP Holdco LLC* | $ | 16,716 | $ | — | $ | — | $ | — | $ | (2,338 | ) | $ | 14,378 | 23,711 | ||||||||||||||
Targus Group International Equity, Inc.* | 31,234 | — | — | — | 1,021 | 32,255 | 12,825 | |||||||||||||||||||||
| $ | 47,950 | $ | — | $ | — | $ | — | $ | (1,317 | ) | $ | 46,633 | ||||||||||||||||
* | Non-income producing security. |
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HIGH YIELD FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2022 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $206,710,098) | $ | 173,558,295 | ||
Investments in affiliated issuers, at value (cost $12,729) | 46,633 | |||
Foreign currency, at value (cost 14,132) | 14,114 | |||
Cash | 81,294 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 139,618 | |||
Prepaid expenses | 45,803 | |||
Receivables: | ||||
Interest | 2,518,952 | |||
Securities sold | 661,251 | |||
Fund shares sold | 140,178 | |||
Dividends | 9,844 | |||
Total assets | 177,215,982 | |||
Liabilities: | ||||
Unfunded loan commitments, at value (Note 9) (commitment fees received $4,750) | 12,748 | |||
Reverse repurchase agreements (Note 6) | 1,608,982 | |||
Segregated cash due to broker | 178,281 | |||
Payable for: | ||||
Securities purchased | 804,916 | |||
Fund shares redeemed | 557,239 | |||
Distributions to shareholders | 80,672 | |||
Management fees | 72,429 | |||
Transfer agent/maintenance fees | 48,811 | |||
Distribution and service fees | 18,792 | |||
Fund accounting/administration fees | 5,596 | |||
Trustees’ fees* | 4,230 | |||
Miscellaneous | 111,845 | |||
Total liabilities | 3,504,541 | |||
Net assets | $ | 173,711,441 | ||
Net assets consist of: | ||||
Paid in capital | $ | 234,369,450 | ||
Total distributable earnings (loss) | (60,658,009 | ) | ||
Net assets | $ | 173,711,441 | ||
A-Class: | ||||
Net assets | $ | 43,822,448 | ||
Capital shares outstanding | 4,794,458 | |||
Net asset value per share | $ | 9.14 | ||
Maximum offering price per share (Net asset value divided by 96.00%) | $ | 9.52 | ||
C-Class: | ||||
Net assets | $ | 9,914,792 | ||
Capital shares outstanding | 1,075,657 | |||
Net asset value per share | $ | 9.22 | ||
P-Class: | ||||
Net assets | $ | 4,425,690 | ||
Capital shares outstanding | 484,017 | |||
Net asset value per share | $ | 9.14 | ||
Institutional Class: | ||||
Net assets | $ | 113,643,625 | ||
Capital shares outstanding | 15,262,200 | |||
Net asset value per share | $ | 7.45 | ||
R6-Class: | ||||
Net assets | $ | 1,904,886 | ||
Capital shares outstanding | 208,806 | |||
Net asset value per share | $ | 9.12 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
HIGH YIELD FUND |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2022 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 1,481,817 | ||
Interest from securities of unaffiliated issuers | 15,352,673 | |||
Total investment income | 16,834,490 | |||
Expenses: | ||||
Management fees | 1,603,619 | |||
Distribution and service fees: | ||||
A-Class | 126,331 | |||
C-Class | 129,515 | |||
P-Class | 12,232 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 32,882 | |||
C-Class | 17,386 | |||
P-Class | 8,911 | |||
Institutional Class | 181,193 | |||
R6-Class | 695 | |||
Fund accounting/administration fees | 171,200 | |||
Professional fees | 143,914 | |||
Line of credit fees | 18,543 | |||
Trustees’ fees* | 16,550 | |||
Custodian fees | 13,047 | |||
Interest expense | 2,929 | |||
Miscellaneous | 156,092 | |||
Recoupment of previously waived fees: | ||||
A-Class | 6,990 | |||
C-Class | 589 | |||
P-Class | 1,774 | |||
Institutional Class | 24,291 | |||
Total expenses | 2,668,683 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (18,658 | ) | ||
C-Class | (5,435 | ) | ||
P-Class | (6,102 | ) | ||
Institutional Class | (92,970 | ) | ||
R6-Class | (283 | ) | ||
Expenses waived by Adviser | (1,670 | ) | ||
Earnings credits applied | (165 | ) | ||
Total waived/reimbursed expenses | (125,283 | ) | ||
Net expenses | 2,543,400 | |||
Net investment income | 14,291,090 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (4,878,494 | ) | ||
Swap agreements | 243,774 | |||
Forward foreign currency exchange contracts | 1,046,568 | |||
Foreign currency transactions | (39,340 | ) | ||
Net realized loss | (3,627,492 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (41,467,822 | ) | ||
Investments in affiliated issuers | (1,317 | ) | ||
Forward foreign currency exchange contracts | 24,969 | |||
Foreign currency translations | (3,895 | ) | ||
Net change in unrealized appreciation (depreciation) | (41,448,065 | ) | ||
Net realized and unrealized loss | (45,075,557 | ) | ||
Net decrease in net assets resulting from operations | $ | (30,784,467 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HIGH YIELD FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 14,291,090 | $ | 18,058,114 | ||||
Net realized gain (loss) on investments | (3,627,492 | ) | 6,250,945 | |||||
Net change in unrealized appreciation (depreciation) on investments | (41,448,065 | ) | 16,483,574 | |||||
Net increase (decrease) in net assets resulting from operations | (30,784,467 | ) | 40,792,633 | |||||
Distributions to shareholders: | ||||||||
A-Class | (2,597,694 | ) | (2,500,210 | ) | ||||
C-Class | (553,044 | ) | (610,646 | ) | ||||
P-Class | (247,398 | ) | (256,302 | ) | ||||
Institutional Class | (7,588,631 | ) | (8,497,760 | ) | ||||
R6-Class | (2,498,200 | ) | (6,056,356 | ) | ||||
Return of capital | ||||||||
A-Class | (89,963 | ) | (149,239 | ) | ||||
C-Class | (19,153 | ) | (35,772 | ) | ||||
P-Class | (8,568 | ) | (14,856 | ) | ||||
Institutional Class | (262,809 | ) | (510,774 | ) | ||||
R6-Class | (86,517 | ) | (359,597 | ) | ||||
Total distributions to shareholders | (13,951,977 | ) | (18,991,512 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 5,952,402 | 7,498,237 | ||||||
C-Class | 657,102 | 3,471,056 | ||||||
P-Class | 1,402,958 | 1,790,815 | ||||||
Institutional Class | 43,343,283 | 50,818,387 | ||||||
R6-Class | 2,433,069 | 8,946,340 | ||||||
Redemption fees collected | ||||||||
A-Class | 751 | 1,117 | ||||||
C-Class | 195 | 327 | ||||||
P-Class | 73 | 114 | ||||||
Institutional Class | 2,141 | 3,665 | ||||||
R6-Class | 796 | 2,525 | ||||||
Distributions reinvested | ||||||||
A-Class | 2,442,802 | 2,386,801 | ||||||
C-Class | 555,783 | 607,096 | ||||||
P-Class | 255,966 | 271,158 | ||||||
Institutional Class | 6,418,053 | 6,378,870 | ||||||
R6-Class | 2,584,717 | 6,415,953 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (11,072,154 | ) | (11,470,510 | ) | ||||
C-Class | (5,286,119 | ) | (5,211,217 | ) | ||||
P-Class | (2,043,886 | ) | (2,577,681 | ) | ||||
Institutional Class | (78,495,447 | ) | (71,490,812 | ) | ||||
R6-Class | (122,325,066 | ) | (22,971,558 | ) | ||||
Net decrease from capital share transactions | (153,172,581 | ) | (25,129,317 | ) | ||||
Net decrease in net assets | (197,909,025 | ) | (3,328,196 | ) | ||||
Net assets: | ||||||||
Beginning of year | 371,620,466 | 374,948,662 | ||||||
End of year | $ | 173,711,441 | $ | 371,620,466 | ||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
HIGH YIELD FUND |
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
| Year Ended | Year Ended | ||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 579,055 | 692,089 | ||||||
C-Class | 62,888 | 317,074 | ||||||
P-Class | 143,033 | 167,163 | ||||||
Institutional Class | 5,262,893 | 5,775,858 | ||||||
R6-Class | 225,179 | 826,869 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 242,943 | 220,568 | ||||||
C-Class | 54,648 | 55,629 | ||||||
P-Class | 25,590 | 25,050 | ||||||
Institutional Class | 780,797 | 723,143 | ||||||
R6-Class | 242,535 | 593,662 | ||||||
Shares redeemed | ||||||||
A-Class | (1,087,791 | ) | (1,059,043 | ) | ||||
C-Class | (509,028 | ) | (477,190 | ) | ||||
P-Class | (199,930 | ) | (239,351 | ) | ||||
Institutional Class | (9,508,654 | ) | (8,088,067 | ) | ||||
R6-Class | (11,811,894 | ) | (2,130,982 | ) | ||||
Net decrease in shares | (15,497,736 | ) | (2,597,528 | ) | ||||
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HIGH YIELD FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.98 | $ | 10.37 | $ | 10.90 | $ | 11.04 | $ | 11.50 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .56 | .49 | .57 | .64 | .68 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.86 | ) | .63 | (.50 | ) | (.12 | ) | (.46 | ) | |||||||||||
Total from investment operations | (1.30 | ) | 1.12 | .07 | .52 | .22 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.52 | ) | (.48 | ) | (.60 | ) | (.66 | ) | (.68 | ) | ||||||||||
Return of capital | (.02 | ) | (.03 | ) | — | — | — | |||||||||||||
Total distributions | (.54 | ) | (.51 | ) | (.60 | ) | (.66 | ) | (.68 | ) | ||||||||||
Redemption fees collected | — | b | — | b | — | b | — | b | — | b | ||||||||||
Net asset value, end of period | $ | 9.14 | $ | 10.98 | $ | 10.37 | $ | 10.90 | $ | 11.04 | ||||||||||
| ||||||||||||||||||||
Total Returnc | (12.10 | %) | 11.02 | % | 0.84 | % | 4.99 | % | 2.00 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 43,822 | $ | 55,550 | $ | 53,997 | $ | 67,916 | $ | 75,028 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 5.46 | % | 4.51 | % | 5.44 | % | 5.94 | % | 6.05 | % | ||||||||||
Total expensesd | 1.14 | % | 1.07 | % | 1.21 | % | 1.27 | % | 1.35 | % | ||||||||||
Net expensese,f,g | 1.10 | % | 1.05 | % | 1.20 | % | 1.26 | % | 1.33 | % | ||||||||||
Portfolio turnover rate | 42 | % | 86 | % | 81 | % | 61 | % | 61 | % | ||||||||||
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 11.07 | $ | 10.46 | $ | 10.99 | $ | 11.14 | $ | 11.60 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .47 | .40 | .49 | .56 | .60 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.85 | ) | .64 | (.49 | ) | (.12 | ) | (.46 | ) | |||||||||||
Total from investment operations | (1.38 | ) | 1.04 | — | .44 | .14 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.45 | ) | (.43 | ) | (.53 | ) | (.59 | ) | (.60 | ) | ||||||||||
Return of capital | (.02 | ) | (.03 | ) | — | — | — | |||||||||||||
Total distributions | (.47 | ) | (.43 | ) | (.53 | ) | (.59 | ) | (.60 | ) | ||||||||||
Redemption fees collected | — | b | — | b | — | b | — | b | — | b | ||||||||||
Net asset value, end of period | $ | 9.22 | $ | 11.07 | $ | 10.46 | $ | 10.99 | $ | 11.14 | ||||||||||
| ||||||||||||||||||||
Total Returnc | (12.76 | %) | 10.04 | % | 0.09 | % | 4.12 | % | 1.27 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,915 | $ | 16,242 | $ | 16,437 | $ | 21,935 | $ | 22,350 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 4.55 | % | 3.67 | % | 4.68 | % | 5.17 | % | 5.31 | % | ||||||||||
Total expensesd | 1.94 | % | 1.91 | % | 2.00 | % | 2.03 | % | 2.11 | % | ||||||||||
Net expensese,f,g | 1.90 | % | 1.89 | % | 1.99 | % | 2.02 | % | 2.09 | % | ||||||||||
Portfolio turnover rate | 42 | % | 86 | % | 81 | % | 61 | % | 61 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
HIGH YIELD FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.98 | $ | 10.38 | $ | 10.91 | $ | 11.05 | $ | 11.51 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .55 | .48 | .57 | .64 | .68 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.85 | ) | .62 | (.50 | ) | (.12 | ) | (.46 | ) | |||||||||||
Total from investment operations | (1.30 | ) | 1.10 | .07 | .52 | .22 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.52 | ) | (.47 | ) | (.60 | ) | (.66 | ) | (.68 | ) | ||||||||||
Return of capital | (.02 | ) | (.03 | ) | — | — | — | |||||||||||||
Total distributions | (.54 | ) | (.50 | ) | (.60 | ) | (.66 | ) | (.68 | ) | ||||||||||
Redemption fees collected | — | b | — | b | — | b | — | b | — | b | ||||||||||
Net asset value, end of period | $ | 9.14 | $ | 10.98 | $ | 10.38 | $ | 10.91 | $ | 11.05 | ||||||||||
| ||||||||||||||||||||
Total Return | (12.13 | %) | 10.80 | % | 0.80 | % | 4.98 | % | 1.95 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,426 | $ | 5,660 | $ | 5,837 | $ | 8,170 | $ | 12,124 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 5.37 | % | 4.40 | % | 5.42 | % | 5.93 | % | 6.00 | % | ||||||||||
Total expensesd | 1.28 | % | 1.20 | % | 1.26 | % | 1.30 | % | 1.45 | % | ||||||||||
Net expensese,f,g | 1.15 | % | 1.16 | % | 1.25 | % | 1.28 | % | 1.39 | % | ||||||||||
Portfolio turnover rate | 42 | % | 86 | % | 81 | % | 61 | % | 61 | % | ||||||||||
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 8.94 | $ | 8.45 | $ | 8.88 | $ | 9.01 | $ | 9.38 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .47 | .41 | .48 | .54 | .58 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.50 | ) | .51 | (.39 | ) | (.10 | ) | (.38 | ) | |||||||||||
Total from investment operations | (1.03 | ) | .92 | .09 | .44 | .20 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.44 | ) | (.40 | ) | (.52 | ) | (.57 | ) | (.57 | ) | ||||||||||
Return of capital | (.02 | ) | (.03 | ) | — | — | — | |||||||||||||
Total distributions | (.46 | ) | (.43 | ) | (.52 | ) | (.57 | ) | (.57 | ) | ||||||||||
Redemption fees collected | — | b | — | b | — | b | — | b | — | b | ||||||||||
Net asset value, end of period | $ | 7.45 | $ | 8.94 | $ | 8.45 | $ | 8.88 | $ | 9.01 | ||||||||||
| ||||||||||||||||||||
Total Return | (11.80 | %) | 11.14 | % | 1.14 | % | 5.15 | % | 2.27 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 113,644 | $ | 167,486 | $ | 171,641 | $ | 180,442 | $ | 125,945 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 5.63 | % | 4.71 | % | 5.67 | % | 6.17 | % | 6.28 | % | ||||||||||
Total expensesd | 0.95 | % | 0.88 | % | 0.98 | % | 0.99 | % | 1.14 | % | ||||||||||
Net expensese,f,g | 0.88 | % | 0.85 | % | 0.96 | % | 0.97 | % | 1.11 | % | ||||||||||
Portfolio turnover rate | 42 | % | 86 | % | 81 | % | 61 | % | 61 | % | ||||||||||
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HIGH YIELD FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
R6-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.97 | $ | 10.36 | $ | 10.89 | $ | 11.03 | $ | 11.49 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .50 | .52 | .60 | .68 | .72 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.77 | ) | .63 | (.49 | ) | (.12 | ) | (.46 | ) | |||||||||||
Total from investment operations | (1.27 | ) | 1.15 | .11 | .56 | .26 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.56 | ) | (.51 | ) | (.64 | ) | (.70 | ) | (.72 | ) | ||||||||||
Return of capital | (.02 | ) | (.03 | ) | — | — | — | |||||||||||||
Total distributions | (.58 | ) | (.54 | ) | (.64 | ) | (.70 | ) | (.72 | ) | ||||||||||
Redemption fees collected | — | b | — | b | — | b | — | b | — | b | ||||||||||
Net asset value, end of period | $ | 9.12 | $ | 10.97 | $ | 10.36 | $ | 10.89 | $ | 11.03 | ||||||||||
| ||||||||||||||||||||
Total Return | (11.91 | %) | 11.35 | % | 1.19 | % | 5.39 | % | 2.34 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,905 | $ | 126,683 | $ | 127,037 | $ | 151,558 | $ | 190,421 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 4.70 | % | 4.80 | % | 5.79 | % | 6.31 | % | 6.41 | % | ||||||||||
Total expensesd | 0.75 | % | 0.77 | % | 0.85 | % | 0.89 | % | 1.00 | % | ||||||||||
Net expensese,f,g | 0.75 | % | 0.76 | % | 0.85 | % | 0.88 | % | 1.00 | % | ||||||||||
Portfolio turnover rate | 42 | % | 86 | % | 81 | % | 61 | % | 61 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Redemption fees collected are less than $0.01 per share. |
c | Total return does not reflect the impact of any applicable sales charges. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | 0.01% | 0.00%* | 0.05% | 0.05% | — | |
C-Class | 0.00%* | 0.01% | 0.04% | 0.05% | — | |
P-Class | 0.04% | 0.04% | 0.02% | 0.01% | 0.03% | |
Institutional Class | 0.02% | 0.01% | 0.02% | 0.02% | 0.04% | |
R6-Class | — | — | 0.00%* | 0.00%* | — |
* | Less than 0.01%. |
g | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | 1.09% | 1.03% | 1.12% | 1.15% | 1.10% | |
C-Class | 1.89% | 1.87% | 1.90% | 1.91% | 1.86% | |
P-Class | 1.14% | 1.14% | 1.16% | 1.16% | 1.16% | |
Institutional Class | 0.87% | 0.83% | 0.87% | 0.88% | 0.88% | |
R6-Class | 0.75% | 0.74% | 0.77% | 0.77% | 0.77% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim Core Bond Fund (“Fund”). Guggenheim Partners Advisors, LLC, an affiliate of GPIM, serves as the Fund’s sub-adviser (“GPA” or the “Sub-Adviser”). The Fund is managed by a team of seasoned professionals at SI and GPA. This team includes B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC; Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner of SI; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director and Portfolio Manager of SI; and Adam J. Bloch, Managing Director and Portfolio Manager of SI. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund returned -17.30%1, underperforming the Fund’s benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned -14.60% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The Fund ended the Reporting Period down -17.30% while the benchmark finished down -14.60%. The dramatic rise in interest rates drove the majority of absolute performance, detracting roughly -13.8% from the Fund’s performance over the twelve month period. The Fund’s performance from duration did however outperform the Benchmark on a relative basis, largely as a result of the Fund’s curve positioning over the period. The Fund’s bear flattener bias benefitted performance as the rise in front end yields outpaced that of longer maturity yields. Bear flattening refers to the yield curve for bonds in which short-term interest rates rise more rapidly than long-term interest rates. The performance effect from the widening in credit spreads was negative on both an absolute and relative basis given the Fund’s overweight credit allocation versus the Benchmark. Over the Reporting Period, we saw spreads in Investment Grade Corporates, High Yield Corporates, and AAA-rated collateralized loan obligations (“CLOs”) widen by 75 basis points, 263 basis points, and 102 basis points, respectively. Carry positively contributed about 3.5% on an absolute basis and 1.2% on a relative basis to performance. Carry refers to the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant.
How did the Fund use derivatives during the Reporting Period?
During the Reporting Period, the Fund used interest rate swaps, options and forwards to help manage duration positioning and foreign exchange risk. Over the Reporting Period, interest rate swaps and interest rate curve caps detracted from performance while performance from swaptions was immaterial. Options on equities which functioned as hedges to the Fund’s credit positioning contributed to performance. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the Reporting Period.
How was the Fund positioned at the end of the Reporting Period?
At 37% of net asset value (“NAV”), securitized credit continues to be a significant and growing asset class allocation within the Fund. As tail risks have risen across the market, we have increased our allocation to high grade pockets of securitized credit, picking credit quality and structural protection at attractive spreads versus comparably rated corporate credit. We believe a unique opportunity has emerged in securitized credit in that investors are now able to source investments at steep dollar price discounts given both the rise in interest rates and widening in credit spreads that have occurred year-to-date. We believe this dynamic presents a compelling total return opportunity as investors are now able to capture not only the traditional yield advantage offered by the sector in the form of higher coupons relative to similarly rated corporates, but also an accretion to par should rates fall or spreads tighten. In more normal market environments, the value proposition of much of securitized credit is typically limited to a carry advantage (i.e., the offered coupon) given the room for price appreciation above par ($100) is limited due to call structures. To this end, our buying efforts have been concentrated in the secondary market in subsectors like AA-rated CLOs which as of the end of the Reporting Period traded around $94.98 // +273dm (using Palmer Square CLO Index as a proxy). In primary markets, we are finding opportunities in the Non-Agency residential mortgage backed securities (“RMBS”) sector in senior tranches of Non-Qualified Mortgage deals, which price at dollar price discounts and offer yields and spreads comparable to BB-rated corporate credit.
Corporate credit totaled approximately 45% of the Fund’s NAV with roughly 29% Investment Grade rated and 16% High Yield. While fundamental credit metrics, such as leverage and interest coverage, generally still show improving or healthy trends across sectors we expect them to start gradually deteriorating over the next several quarters and for default rates to pick up. However, all spread asset classes have already materially re-priced lower this year due to tighter financial conditions. Credit spread valuations are broadly in their 70th – 80th widest percentiles versus long term historical ranges and absolute yields are at the highest levels since 2009. At current valuations the long-term value across credit assets is compelling although we expect volatility to remain elevated in the near-term. The Fund has taken advantage of dislocations across corporate
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2022 |
credit by purchasing high credit quality investment grade corporates at attractive absolute yields, while simultaneously trimming lower grade categories, like leveraged loans, that have performed well on a relative basis this year and have greater risks going into a potential economic slowdown.
We continued to add duration incrementally throughout the quarter as rates continued to climb and hawkish rhetoric intensified. Duration adds were made via two main tools: i) adding duration at the long end of the yield curve using Treasury Strips and ii) an increased allocation to Agency Mortgage-Backed Securities (“MBS”). As the Federal Reserve continues to emphasize its commitment to combatting inflation, we feel the long end of the yield curve should benefit through some combination of lower inflation expectations and lower growth expectations. The Agency MBS allocation was viewed as an efficient means to add duration via a highly liquid asset class while picking yield to Treasuries, upgraded the credit quality of the Fund, and monetized the elevated level of rate volatility. As of end of the Reporting Period, the Fund had 7.4 years of duration and the benchmark had 6.7 years of duration.
Though we expect to see continued volatility as markets grapple with the rapid tightening of financial conditions, at current valuations we see return distributions for fixed income skewed to the upside over the next year. With investment grade rated debt now yielding close to 6% and the Fund’s gross yield at 7.0%, we believe the carry profile alone for such opportunities provides a significantly higher buffer to performance volatility from rates and spreads. Importantly, we believe examples of market distress and falling inflation expectations are signaling we are nearing a ceiling for interest rates and potentially some moderation in rate volatility, all of which would prove to be massive tailwinds to fixed income valuations.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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 |
Fixed Income Instruments | |
AAA | 33.1% |
AA | 9.9% |
A | 19.1% |
BBB | 26.8% |
BB | 2.2% |
B | 0.8% |
CCC | 0.0%* |
CC | 0.1% |
C | 0.1% |
NR2 | 1.1% |
Other Instruments | 6.8% |
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) | |
Uniform MBS 30 Year | 6.1% |
U.S. Treasury Notes, 2.75% | 5.6% |
U.S. Treasury Notes, 2.63% | 1.2% |
U.S. Treasury Bonds, 3.00% | 1.1% |
Cerberus Loan Funding XXX, LP, 4.36% | 1.0% |
Woodmont Trust, 4.41% | 0.9% |
U.S. Treasury Bonds due 02/15/52 | 0.8% |
U.S. Treasury Bonds due 02/15/46 | 0.7% |
U.S. Treasury Bonds, 2.88% | 0.7% |
Mileage Plus Holdings LLC, 8.78% | 0.6% |
Top Ten Total | 18.7% |
“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%. |
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (17.30%) | 0.05% | 2.35% |
A-Class Shares with sales charge‡ | (20.63%) | (0.76%) | 1.86% |
C-Class Shares | (17.90%) | (0.69%) | 1.60% |
C-Class Shares with CDSC§ | (18.70%) | (0.69%) | 1.60% |
Bloomberg U.S. Aggregate Bond Index | (14.60%) | (0.27%) | 0.89% |
| 1 Year | 5 Year | Since |
P-Class Shares | (17.30%) | 0.04% | 1.32% |
Bloomberg U.S. Aggregate Bond Index | (14.60%) | (0.27%) | 0.54% |
| 1 Year | 5 Year | Since |
Institutional Class Shares | (17.09%) | 0.33% | 2.50% |
Bloomberg U.S. Aggregate Bond Index | (14.60%) | (0.27%) | 0.97% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only: performance for C-Class shares, P-Class shares and Institutional Class shares will vary due to differences in fee structures. |
‡ | Effective October 1, 2015, the maximum sales charge decreased fom 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge is used to calculated performance for periods based on subscriptions made on or after October 1, 2015. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
CORE BOND FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 0.5% | ||||||||
Financial - 0.5% | ||||||||
KKR Acquisition Holdings I Corp. — Class A*,1 | 299,316 | $ | 2,945,269 | |||||
RXR Acquisition Corp. — Class A*,1 | 72,327 | 711,698 | ||||||
TPG Pace Beneficial II Corp.*,1 | 64,278 | 628,633 | ||||||
MSD Acquisition Corp. — Class A*,1 | 46,697 | 462,300 | ||||||
AfterNext HealthTech Acquisition Corp. — Class A*,1 | 38,300 | 374,191 | ||||||
Conyers Park III Acquisition Corp. — Class A*,1 | 35,600 | 346,032 | ||||||
Waverley Capital Acquisition Corp. 1 — Class A*,††,1 | 28,200 | 275,514 | ||||||
Colicity, Inc. — Class A*,1 | 25,295 | 248,903 | ||||||
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | 24,900 | 241,655 | ||||||
Blue Whale Acquisition Corp. I — Class A*,1 | 20,700 | 200,583 | ||||||
Pershing Square Tontine Holdings Ltd. — Class A*,†††,1 | 622,890 | 62 | ||||||
Total Financial | 6,434,840 | |||||||
Communications - 0.0% | ||||||||
Figs, Inc. — Class A* | 12,590 | 103,867 | ||||||
Vacasa, Inc. — Class A* | 31,926 | 98,013 | ||||||
Total Communications | 201,880 | |||||||
Industrial - 0.0% | ||||||||
Constar International Holdings LLC*,††† | 68 | — | ||||||
Total Common Stocks | ||||||||
(Cost $6,996,308) | 6,636,720 | |||||||
PREFERRED STOCKS†† - 5.1% | ||||||||
Financial - 5.1% | ||||||||
Wells Fargo & Co. | ||||||||
4.38% | 210,000 | 3,641,400 | ||||||
3.90%* | 3,250,000 | 2,748,281 | ||||||
4.70% | 148,000 | 2,742,440 | ||||||
First Republic Bank | ||||||||
4.25% | 372,000 | 6,632,760 | ||||||
4.13% | 53,200 | 915,040 | ||||||
Charles Schwab Corp. | ||||||||
4.00%* | 8,500,000 | 6,243,957 | ||||||
Bank of America Corp. | ||||||||
4.13% | 148,000 | 2,548,560 | ||||||
4.38% | 106,000 | 1,937,680 | ||||||
6.13%* | 1,650,000 | 1,559,250 | ||||||
W R Berkley Corp. | ||||||||
4.13% | 282,142 | 4,937,485 | ||||||
4.25% | 11,828 | 200,958 | ||||||
Markel Corp. | ||||||||
6.00%* | 5,210,000 | 5,056,734 | ||||||
Bank of New York Mellon Corp. | ||||||||
3.75%* | 3,900,000 | 3,012,750 | ||||||
4.70%* | 1,060,000 | 1,014,950 | ||||||
JPMorgan Chase & Co. | ||||||||
3.65%* | 2,350,000 | 1,903,058 | ||||||
4.63% | 76,000 | 1,480,480 | ||||||
MetLife, Inc. | ||||||||
3.85%* | 3,520,000 | 3,148,974 | ||||||
Globe Life, Inc. | ||||||||
4.25% | 159,450 | 2,745,729 | ||||||
Public Storage | ||||||||
4.63% | 104,783 | 2,111,377 | ||||||
4.13% | 22,087 | 403,088 | ||||||
Arch Capital Group Ltd. | ||||||||
4.55% | 102,000 | 1,913,520 | ||||||
American Financial Group, Inc. | ||||||||
4.50% | 77,955 | 1,542,729 | ||||||
PartnerRe Ltd. | ||||||||
4.88% | 78,457 | 1,478,130 | ||||||
RenaissanceRe Holdings Ltd. | ||||||||
4.20% | 82,000 | 1,446,480 | ||||||
Kuvare US Holdings, Inc. | ||||||||
7.00%*,3 | 1,000,000 | 1,007,500 | ||||||
CNO Financial Group, Inc. | ||||||||
5.13% | 48,000 | 941,760 | ||||||
Assurant, Inc. | ||||||||
5.25% | 38,000 | 808,640 | ||||||
Depository Trust & Clearing Corp. | ||||||||
3.38%*,3 | 1,000,000 | 759,501 | ||||||
Total Financial | 64,883,211 | |||||||
Industrial - 0.0% | ||||||||
Constar International Holdings LLC | ||||||||
*,††† | 7 | — | ||||||
Total Preferred Stocks | ||||||||
(Cost $84,401,427) | 64,883,211 | |||||||
WARRANTS† - 0.0% | ||||||||
KKR Acquisition Holdings I Corp. | ||||||||
Expiring 12/31/27*,1 | 74,828 | 8,979 | ||||||
Ginkgo Bioworks Holdings, Inc. | ||||||||
Expiring 08/01/26* | 6,510 | 4,687 | ||||||
AfterNext HealthTech Acquisition Corp. | ||||||||
Expiring 07/09/23*,1 | 12,766 | 2,043 | ||||||
Conyers Park III Acquisition Corp. | ||||||||
Expiring 08/12/28* | 11,866 | 1,694 | ||||||
Acropolis Infrastructure Acquisition Corp. | ||||||||
Expiring 03/31/26*,1 | 8,300 | 831 | ||||||
MSD Acquisition Corp. | ||||||||
Expiring 05/13/23*,1 | 9,339 | 798 | ||||||
Blue Whale Acquisition Corp. | ||||||||
Expiring 07/09/23*,1 | 5,174 | 772 | ||||||
Waverley Capital Acquisition Corp. | ||||||||
Expiring 04/30/27*,1 | 9,400 | 420 | ||||||
RXR Acquisition Corp. | ||||||||
Expiring 03/08/26*,1 | 14,463 | 363 | ||||||
Colicity, Inc. | ||||||||
Expiring 12/31/27*,1 | 5,057 | 243 | ||||||
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CORE BOND FUND |
| Shares | Value | ||||||
Pershing Square Tontine Holdings Ltd. | ||||||||
Expiring 07/24/25*,†††,1 | 69,210 | $ | 7 | |||||
Total Warrants | ||||||||
(Cost $161,257) | 20,837 | |||||||
CLOSED-END FUNDS† - 0.2% | ||||||||
BlackRock MuniHoldings California Quality Fund, Inc. | 222,200 | 2,386,428 | ||||||
Total Closed-End Funds | ||||||||
(Cost $3,273,254) | 2,386,428 | |||||||
MONEY MARKET FUNDs† - 1.0% | ||||||||
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 2.15%4 | 12,986,886 | 12,986,886 | ||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%4 | 245,186 | 245,186 | ||||||
Total Money Market Funds | ||||||||
(Cost $13,232,072) | 13,232,072 | |||||||
Face | ||||||||
CORPORATE BONDS†† - 36.7% | ||||||||
Financial - 16.5% | ||||||||
Pershing Square Holdings Ltd. | ||||||||
3.25% due 10/01/31 | 6,200,000 | 4,641,506 | ||||||
3.25% due 11/15/303 | 4,500,000 | 3,473,820 | ||||||
JPMorgan Chase & Co. | ||||||||
3.11% due 04/22/412 | 3,530,000 | 2,445,544 | ||||||
2.52% due 04/22/312 | 2,210,000 | 1,746,919 | ||||||
2.96% due 05/13/312 | 1,870,000 | 1,481,220 | ||||||
4.49% due 03/24/312 | 1,600,000 | 1,455,428 | ||||||
Nippon Life Insurance Co. | ||||||||
2.75% due 01/21/512,3 | 8,150,000 | 6,351,233 | ||||||
Macquarie Bank Ltd. | ||||||||
3.62% due 06/03/303 | 7,470,000 | 6,045,855 | ||||||
BPCE S.A. | ||||||||
2.28% due 01/20/322,3 | 8,200,000 | 5,911,575 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.13% due 12/15/512,3 | 5,800,000 | 4,480,894 | ||||||
3.95% due 05/15/603 | 2,150,000 | 1,358,013 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.75% due 05/07/253 | 6,170,000 | 5,757,081 | ||||||
GLP Capital Limited Partnership / GLP Financing II, Inc. | ||||||||
4.00% due 01/15/31 | 4,650,000 | 3,800,984 | ||||||
5.30% due 01/15/29 | 1,900,000 | 1,731,768 | ||||||
Wilton RE Ltd. | ||||||||
6.00% 2,3,5 | 6,350,000 | 5,527,866 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
4.35% due 04/30/503 | 7,410,000 | 5,512,605 | ||||||
American Equity Investment Life Holding Co. | ||||||||
5.00% due 06/15/27 | 5,036,000 | 4,777,695 | ||||||
GA Global Funding Trust | ||||||||
1.63% due 01/15/263 | 5,450,000 | 4,777,129 | ||||||
Bank of America Corp. | ||||||||
2.59% due 04/29/312 | 5,400,000 | 4,282,530 | ||||||
Fairfax Financial Holdings Ltd. | ||||||||
3.38% due 03/03/31 | 4,000,000 | 3,230,033 | ||||||
5.63% due 08/16/323 | 1,000,000 | 922,029 | ||||||
Reinsurance Group of America, Inc. | ||||||||
3.15% due 06/15/30 | 4,750,000 | 3,955,827 | ||||||
Fidelity National Financial, Inc. | ||||||||
3.40% due 06/15/30 | 3,630,000 | 2,959,182 | ||||||
2.45% due 03/15/31 | 1,210,000 | 897,251 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
3.30% due 05/15/503 | 5,150,000 | 3,510,721 | ||||||
PartnerRe Finance B LLC | ||||||||
4.50% due 10/01/502 | 4,040,000 | 3,388,924 | ||||||
Iron Mountain, Inc. | ||||||||
4.50% due 02/15/313 | 1,730,000 | 1,337,601 | ||||||
5.25% due 07/15/303 | 1,470,000 | 1,216,381 | ||||||
5.63% due 07/15/323 | 1,000,000 | 800,000 | ||||||
MetLife, Inc. | ||||||||
5.00% due 07/15/52 | 3,600,000 | 3,281,622 | ||||||
Safehold Operating Partnership, LP | ||||||||
2.85% due 01/15/32 | 2,428,000 | 1,807,590 | ||||||
2.80% due 06/15/31 | 1,931,000 | 1,451,122 | ||||||
Allianz SE | ||||||||
3.20% 2,3,5 | 5,000,000 | 3,226,753 | ||||||
FS KKR Capital Corp. | ||||||||
2.63% due 01/15/27 | 2,150,000 | 1,736,034 | ||||||
3.25% due 07/15/27 | 1,800,000 | 1,482,564 | ||||||
Maple Grove Funding Trust I | ||||||||
4.16% due 08/15/513 | 4,750,000 | 3,216,735 | ||||||
Macquarie Group Ltd. | ||||||||
2.87% due 01/14/332,3 | 2,150,000 | 1,615,598 | ||||||
2.69% due 06/23/322,3 | 2,000,000 | 1,506,113 | ||||||
Ares Finance Company II LLC | ||||||||
3.25% due 06/15/303 | 3,660,000 | 2,992,231 | ||||||
KKR Group Finance Company VI LLC | ||||||||
3.75% due 07/01/293 | 3,230,000 | 2,874,697 | ||||||
Corebridge Financial, Inc. | ||||||||
3.90% due 04/05/323 | 1,600,000 | 1,350,511 | ||||||
6.88% due 12/15/522,3 | 1,000,000 | 914,458 | ||||||
4.35% due 04/05/423 | 750,000 | 577,022 | ||||||
Old Republic International Corp. | ||||||||
3.85% due 06/11/51 | 4,020,000 | 2,759,649 | ||||||
Assurant, Inc. | ||||||||
2.65% due 01/15/32 | 2,300,000 | 1,694,045 | ||||||
4.90% due 03/27/28 | 1,100,000 | 1,043,381 | ||||||
Host Hotels & Resorts, LP | ||||||||
3.50% due 09/15/30 | 3,385,000 | 2,699,455 | ||||||
OneAmerica Financial Partners, Inc. | ||||||||
4.25% due 10/15/503 | 3,620,000 | 2,659,021 | ||||||
First American Financial Corp. | ||||||||
4.00% due 05/15/30 | 3,180,000 | 2,651,410 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CORE BOND FUND |
| Face | Value | ||||||
Crown Castle, Inc. | ||||||||
2.90% due 04/01/41 | 2,200,000 | $ | 1,428,348 | |||||
3.30% due 07/01/30 | 1,149,000 | 962,095 | ||||||
Intercontinental Exchange, Inc. | ||||||||
3.00% due 06/15/50 | 2,430,000 | 1,588,476 | ||||||
2.65% due 09/15/40 | 1,100,000 | 740,681 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
3.88% due 03/01/313 | 3,150,000 | 2,283,290 | ||||||
Equitable Holdings, Inc. | ||||||||
7.00% due 04/01/28 | 2,050,000 | 2,182,535 | ||||||
UBS Group AG | ||||||||
2.10% due 02/11/322,3 | 2,950,000 | 2,143,964 | ||||||
Belrose Funding Trust | ||||||||
2.33% due 08/15/303 | 2,780,000 | 2,096,473 | ||||||
Sumitomo Life Insurance Co. | ||||||||
3.38% due 04/15/812,3 | 2,500,000 | 2,025,000 | ||||||
National Australia Bank Ltd. | ||||||||
2.33% due 08/21/303 | 1,500,000 | 1,116,880 | ||||||
2.99% due 05/21/313 | 1,150,000 | 884,809 | ||||||
Standard Chartered plc | ||||||||
4.64% due 04/01/312,3 | 2,250,000 | 1,965,411 | ||||||
Jefferies Group LLC | ||||||||
2.75% due 10/15/32 | 2,720,000 | 1,937,847 | ||||||
Ceamer Finance LLC | ||||||||
6.92% due 05/15/38††† | 2,000,000 | 1,917,671 | ||||||
Jefferies Finance LLC / JFIN Company-Issuer Corp. | ||||||||
5.00% due 08/15/283 | 2,450,000 | 1,806,875 | ||||||
Stewart Information Services Corp. | ||||||||
3.60% due 11/15/31 | 2,250,000 | 1,734,261 | ||||||
Arch Capital Group Ltd. | ||||||||
3.64% due 06/30/50 | 2,500,000 | 1,701,943 | ||||||
Everest Reinsurance Holdings, Inc. | ||||||||
3.50% due 10/15/50 | 2,560,000 | 1,692,329 | ||||||
Massachusetts Mutual Life Insurance Co. | ||||||||
3.38% due 04/15/503 | 2,450,000 | 1,671,375 | ||||||
QBE Insurance Group Ltd. | ||||||||
5.88% 2,3,5 | 1,750,000 | 1,622,180 | ||||||
KKR Group Finance Company VIII LLC | ||||||||
3.50% due 08/25/503 | 2,360,000 | 1,619,984 | ||||||
Manulife Financial Corp. | ||||||||
2.48% due 05/19/27 | 1,800,000 | 1,604,533 | ||||||
Westpac Banking Corp. | ||||||||
3.02% due 11/18/362 | 1,200,000 | 877,901 | ||||||
2.96% due 11/16/40 | 1,100,000 | 702,256 | ||||||
Americo Life, Inc. | ||||||||
3.45% due 04/15/313 | 2,060,000 | 1,546,556 | ||||||
Trustage Financial Group, Inc. | ||||||||
4.63% due 04/15/323 | 1,750,000 | 1,510,842 | ||||||
HS Wildcat LLC | ||||||||
3.83% due 12/31/50††† | 1,998,711 | 1,503,569 | ||||||
Dyal Capital Partners III | ||||||||
4.40% due 06/15/40††† | 1,750,000 | 1,401,673 | ||||||
Primerica, Inc. | ||||||||
2.80% due 11/19/31 | 1,750,000 | 1,374,093 | ||||||
AmFam Holdings, Inc. | ||||||||
2.81% due 03/11/313 | 1,750,000 | 1,358,700 | ||||||
Global Atlantic Finance Co. | ||||||||
3.13% due 06/15/313 | 1,800,000 | 1,318,168 | ||||||
Australia & New Zealand Banking Group Ltd. | ||||||||
2.57% due 11/25/352,3 | 1,800,000 | 1,306,699 | ||||||
Brookfield Finance, Inc. | ||||||||
3.50% due 03/30/51 | 1,250,000 | 788,613 | ||||||
4.70% due 09/20/47 | 650,000 | 516,636 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | ||||||||
5.88% due 05/23/422,3 | 1,350,000 | 1,274,063 | ||||||
Lincoln National Corp. | ||||||||
4.38% due 06/15/50 | 1,580,000 | 1,218,174 | ||||||
Assured Guaranty US Holdings, Inc. | ||||||||
3.15% due 06/15/31 | 830,000 | 671,464 | ||||||
3.60% due 09/15/51 | 800,000 | 521,997 | ||||||
Kemper Corp. | ||||||||
2.40% due 09/30/30 | 1,510,000 | 1,157,280 | ||||||
ABN AMRO Bank N.V. | ||||||||
2.47% due 12/13/292,3 | 1,400,000 | 1,109,737 | ||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. | ||||||||
2.63% due 10/15/31 | 1,400,000 | 1,015,647 | ||||||
Societe Generale S.A. | ||||||||
2.89% due 06/09/322,3 | 1,300,000 | 949,648 | ||||||
Raymond James Financial, Inc. | ||||||||
3.75% due 04/01/51 | 1,300,000 | 916,909 | ||||||
Prudential Financial, Inc. | ||||||||
3.70% due 10/01/502 | 1,160,000 | 916,168 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.22% due 09/17/31 | 1,050,000 | 785,392 | ||||||
Central Storage Safety Project Trust | ||||||||
4.82% due 02/01/386 | 911,680 | 778,701 | ||||||
Apollo Management Holdings, LP | ||||||||
2.65% due 06/05/303 | 930,000 | 733,573 | ||||||
CNO Financial Group, Inc. | ||||||||
5.25% due 05/30/29 | 700,000 | 651,853 | ||||||
W R Berkley Corp. | ||||||||
4.00% due 05/12/50 | 850,000 | 641,637 | ||||||
Weyerhaeuser Co. | ||||||||
4.00% due 04/15/30 | 722,000 | 638,483 | ||||||
Protective Life Corp. | ||||||||
3.40% due 01/15/303 | 740,000 | 637,676 | ||||||
Penn Mutual Life Insurance Co. | ||||||||
3.80% due 04/29/613 | 950,000 | 612,507 | ||||||
Brown & Brown, Inc. | ||||||||
2.38% due 03/15/31 | 800,000 | 597,498 | ||||||
Western & Southern Life Insurance Co. | ||||||||
3.75% due 04/28/613 | 850,000 | 576,081 | ||||||
Nasdaq, Inc. | ||||||||
3.25% due 04/28/50 | 850,000 | 557,515 | ||||||
New York Life Insurance Co. | ||||||||
3.75% due 05/15/503 | 600,000 | 443,636 | ||||||
Fidelity & Guaranty Life Holdings, Inc. | ||||||||
5.50% due 05/01/253 | 400,000 | 392,870 | ||||||
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CORE BOND FUND |
| Face | Value | ||||||
Cooperatieve Rabobank UA | ||||||||
4.66% due 08/22/282,3 | 400,000 | $ | 377,239 | |||||
Hanover Insurance Group, Inc. | ||||||||
2.50% due 09/01/30 | 480,000 | 367,449 | ||||||
Brookfield Finance LLC | ||||||||
3.45% due 04/15/50 | 470,000 | 296,724 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75% due 05/15/283 | 296,000 | 274,555 | ||||||
KKR Group Finance Company III LLC | ||||||||
5.13% due 06/01/443 | 100,000 | 86,451 | ||||||
Total Financial | 209,451,218 | |||||||
Industrial - 4.4% | ||||||||
Boeing Co. | ||||||||
5.81% due 05/01/50 | 7,340,000 | 6,378,400 | ||||||
5.71% due 05/01/40 | 4,380,000 | 3,825,766 | ||||||
5.04% due 05/01/27 | 2,150,000 | 2,071,227 | ||||||
3.63% due 02/01/31 | 1,450,000 | 1,203,571 | ||||||
2.20% due 02/04/26 | 1,000,000 | 887,438 | ||||||
National Basketball Association | ||||||||
2.51% due 12/16/24††† | 4,000,000 | 3,758,207 | ||||||
Textron, Inc. | ||||||||
2.45% due 03/15/31 | 3,200,000 | 2,454,708 | ||||||
3.00% due 06/01/30 | 1,355,000 | 1,115,672 | ||||||
FLNG Liquefaction 3 LLC | ||||||||
3.08% due 06/30/39††† | 4,303,845 | 3,235,614 | ||||||
TD SYNNEX Corp. | ||||||||
2.65% due 08/09/31 | 2,550,000 | 1,900,777 | ||||||
2.38% due 08/09/28 | 1,600,000 | 1,290,265 | ||||||
Howmet Aerospace, Inc. | ||||||||
3.00% due 01/15/29 | 3,800,000 | 3,104,448 | ||||||
Cellnex Finance Company S.A. | ||||||||
3.88% due 07/07/413 | 4,150,000 | 2,594,497 | ||||||
Vontier Corp. | ||||||||
2.95% due 04/01/31 | 3,450,000 | 2,481,240 | ||||||
Flowserve Corp. | ||||||||
3.50% due 10/01/30 | 1,810,000 | 1,488,324 | ||||||
2.80% due 01/15/32 | 1,150,000 | 823,212 | ||||||
Acuity Brands Lighting, Inc. | ||||||||
2.15% due 12/15/30 | 3,000,000 | 2,220,329 | ||||||
IP Lending II Ltd. | ||||||||
3.65% due 07/15/25†††,3 | 2,450,000 | 2,186,424 | ||||||
Owens Corning | ||||||||
3.88% due 06/01/30 | 2,380,000 | 2,079,158 | ||||||
GATX Corp. | ||||||||
4.00% due 06/30/30 | 2,110,000 | 1,828,266 | ||||||
Fortune Brands Home & Security, Inc. | ||||||||
4.00% due 03/25/32 | 2,050,000 | 1,701,117 | ||||||
CNH Industrial Capital LLC | ||||||||
1.88% due 01/15/26 | 1,880,000 | 1,673,988 | ||||||
Stadco LA, LLC | ||||||||
3.75% due 05/15/56††† | 2,000,000 | 1,416,375 | ||||||
Ryder System, Inc. | ||||||||
3.35% due 09/01/25 | 1,470,000 | 1,390,564 | ||||||
IP Lending V Ltd. | ||||||||
5.13% due 04/02/26†††,3 | 1,050,000 | 993,852 | ||||||
Amcor Flexibles North America, Inc. | ||||||||
2.63% due 06/19/30 | 1,230,000 | 988,204 | ||||||
Norfolk Southern Corp. | ||||||||
4.10% due 05/15/21 | 600,000 | 398,079 | ||||||
Sonoco Products Co. | ||||||||
5.75% due 11/01/40 | 150,000 | 142,100 | ||||||
Total Industrial | 55,631,822 | |||||||
Consumer, Cyclical - 4.1% | ||||||||
Marriott International, Inc. | ||||||||
4.63% due 06/15/30 | 2,830,000 | 2,557,415 | ||||||
3.50% due 10/15/32 | 3,000,000 | 2,412,667 | ||||||
2.85% due 04/15/31 | 2,020,000 | 1,586,027 | ||||||
2.75% due 10/15/33 | 1,000,000 | 725,896 | ||||||
Hyatt Hotels Corp. | ||||||||
5.63% due 04/23/25 | 3,950,000 | 3,905,785 | ||||||
5.75% due 04/23/30 | 3,010,000 | 2,917,727 | ||||||
Choice Hotels International, Inc. | ||||||||
3.70% due 01/15/31 | 7,340,000 | 6,101,359 | ||||||
Whirlpool Corp. | ||||||||
4.60% due 05/15/50 | 6,145,000 | 4,599,899 | ||||||
Alt-2 Structured Trust | ||||||||
2.95% due 05/14/31††† | 3,561,886 | 3,157,910 | ||||||
Delta Air Lines Inc. / SkyMiles IP Ltd. | ||||||||
4.50% due 10/20/253 | 3,150,000 | 3,057,569 | ||||||
Delta Air Lines, Inc. | ||||||||
7.00% due 05/01/253 | 3,014,000 | 3,033,446 | ||||||
Smithsonian Institution | ||||||||
2.70% due 09/01/44 | 4,000,000 | 2,742,979 | ||||||
British Airways Class A Pass Through Trust | ||||||||
4.25% due 11/15/323 | 2,124,045 | 1,910,975 | ||||||
2.90% due 03/15/353 | 843,809 | 685,714 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | ||||||||
6.50% due 06/20/273 | 2,422,500 | 2,371,095 | ||||||
BorgWarner, Inc. | ||||||||
2.65% due 07/01/27 | 2,310,000 | 2,012,983 | ||||||
Steelcase, Inc. | ||||||||
5.13% due 01/18/29 | 2,224,000 | 1,902,668 | ||||||
Ferguson Finance plc | ||||||||
3.25% due 06/02/303 | 1,204,000 | 989,729 | ||||||
4.65% due 04/20/323 | 600,000 | 528,134 | ||||||
Warnermedia Holdings, Inc. | ||||||||
5.14% due 03/15/523 | 1,650,000 | 1,199,250 | ||||||
Northern Group Housing LLC | ||||||||
6.80% due 08/15/533 | 1,100,000 | 1,160,187 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
4.10% due 04/15/50 | 1,541,000 | 1,103,480 | ||||||
American Airlines Class AA Pass Through Trust | ||||||||
3.20% due 06/15/28 | 742,000 | 645,207 | ||||||
Lowe’s Companies, Inc. | ||||||||
1.70% due 09/15/28 | 450,000 | 367,399 | ||||||
JB Poindexter & Company, Inc. | ||||||||
7.13% due 04/15/263 | 200,000 | 185,000 | ||||||
Total Consumer, Cyclical | 51,860,500 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CORE BOND FUND |
| Face | Value | ||||||
Consumer, Non-cyclical - 3.7% | ||||||||
Altria Group, Inc. | ||||||||
3.70% due 02/04/51 | 4,650,000 | $ | 2,807,121 | |||||
3.40% due 05/06/30 | 2,510,000 | 2,032,435 | ||||||
4.45% due 05/06/50 | 390,000 | 260,549 | ||||||
CoStar Group, Inc. | ||||||||
2.80% due 07/15/303 | 5,810,000 | 4,586,077 | ||||||
Quanta Services, Inc. | ||||||||
2.90% due 10/01/30 | 4,175,000 | 3,336,806 | ||||||
BAT Capital Corp. | ||||||||
3.98% due 09/25/50 | 2,800,000 | 1,712,913 | ||||||
4.70% due 04/02/27 | 1,410,000 | 1,315,625 | ||||||
Royalty Pharma plc | ||||||||
3.55% due 09/02/50 | 2,690,000 | 1,676,374 | ||||||
2.20% due 09/02/30 | 1,410,000 | 1,074,707 | ||||||
Global Payments, Inc. | ||||||||
2.90% due 05/15/30 | 1,620,000 | 1,291,342 | ||||||
2.90% due 11/15/31 | 1,650,000 | 1,261,540 | ||||||
Smithfield Foods, Inc. | ||||||||
2.63% due 09/13/313 | 2,400,000 | 1,759,076 | ||||||
3.00% due 10/15/303 | 970,000 | 748,976 | ||||||
Becle, SAB de CV | ||||||||
2.50% due 10/14/313 | 2,700,000 | 2,089,800 | ||||||
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc. | ||||||||
3.00% due 05/15/323 | 1,750,000 | 1,292,375 | ||||||
4.38% due 02/02/523 | 600,000 | 402,156 | ||||||
Triton Container International Ltd. | ||||||||
3.15% due 06/15/313 | 2,100,000 | 1,538,043 | ||||||
Emory University | ||||||||
2.97% due 09/01/50 | 2,000,000 | 1,404,044 | ||||||
Yale-New Haven Health Services Corp. | ||||||||
2.50% due 07/01/50 | 2,250,000 | 1,330,223 | ||||||
California Institute of Technology | ||||||||
3.65% due 09/01/19 | 2,000,000 | 1,249,147 | ||||||
Kimberly-Clark de Mexico SAB de CV | ||||||||
2.43% due 07/01/313 | 1,500,000 | 1,198,260 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
6.63% due 08/15/33 | 1,100,000 | 1,180,699 | ||||||
Transurban Finance Company Pty Ltd. | ||||||||
2.45% due 03/16/313 | 1,300,000 | 1,005,541 | ||||||
Health Care Service Corporation A Mutual Legal Reserve Co. | ||||||||
3.20% due 06/01/503 | 1,480,000 | 988,517 | ||||||
Universal Health Services, Inc. | ||||||||
2.65% due 10/15/303 | 1,320,000 | 976,583 | ||||||
Cheplapharm Arzneimittel GmbH | ||||||||
4.38% due 01/15/28 | EUR | 1,000,000 | 803,426 | |||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||
3.38% due 08/31/273 | 925,000 | 777,157 | ||||||
Wisconsin Alumni Research Foundation | ||||||||
3.56% due 10/01/49 | 1,000,000 | 732,672 | ||||||
OhioHealth Corp. | ||||||||
3.04% due 11/15/50 | 1,000,000 | 696,799 | ||||||
Kraft Heinz Foods Co. | ||||||||
7.13% due 08/01/393 | 650,000 | 681,043 | ||||||
Memorial Sloan-Kettering Cancer Center | ||||||||
2.96% due 01/01/50 | 1,000,000 | 671,399 | ||||||
Johns Hopkins University | ||||||||
2.81% due 01/01/60 | 1,000,000 | 619,479 | ||||||
Children’s Hospital Corp. | ||||||||
2.59% due 02/01/50 | 1,000,000 | 610,674 | ||||||
GXO Logistics, Inc. | ||||||||
2.65% due 07/15/31 | 850,000 | 601,811 | ||||||
Children’s Health System of Texas | ||||||||
2.51% due 08/15/50 | 1,000,000 | 597,891 | ||||||
Bimbo Bakeries USA, Inc. | ||||||||
4.00% due 05/17/513 | 800,000 | 585,400 | ||||||
Moody’s Corp. | ||||||||
3.25% due 05/20/50 | 700,000 | 474,356 | ||||||
Duke University | ||||||||
2.83% due 10/01/55 | 506,000 | 331,020 | ||||||
Triton Container International Limited / TAL International Container Corp. | ||||||||
3.25% due 03/15/32 | 200,000 | 147,891 | ||||||
Total Consumer, Non-cyclical | 46,849,947 | |||||||
Energy - 2.3% | ||||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||
3.25% due 09/30/403 | 6,250,000 | 4,568,860 | ||||||
2.94% due 09/30/403 | 3,930,440 | 2,982,974 | ||||||
BP Capital Markets plc | ||||||||
4.88% 2,5 | 7,530,000 | 6,475,800 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
4.50% due 05/15/30 | 4,190,000 | 3,816,962 | ||||||
Qatar Energy | ||||||||
3.13% due 07/12/413 | 2,375,000 | 1,732,054 | ||||||
3.30% due 07/12/513 | 2,350,000 | 1,668,124 | ||||||
Magellan Midstream Partners, LP | ||||||||
3.95% due 03/01/50 | 2,000,000 | 1,420,017 | ||||||
3.25% due 06/01/30 | 1,500,000 | 1,277,190 | ||||||
Targa Resources Partners Limited Partnership / Targa Resources Partners Finance Corp. | ||||||||
6.88% due 01/15/29 | 2,158,000 | 2,119,548 | ||||||
Midwest Connector Capital Company LLC | ||||||||
4.63% due 04/01/293 | 1,050,000 | 936,866 | ||||||
Valero Energy Corp. | ||||||||
2.15% due 09/15/27 | 950,000 | 821,278 | ||||||
NuStar Logistics, LP | ||||||||
6.38% due 10/01/30 | 700,000 | 598,966 | ||||||
6.00% due 06/01/26 | 200,000 | 183,077 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
2.74% due 12/31/39 | 450,000 | 324,552 | ||||||
Phillips 66 | ||||||||
3.70% due 04/06/23 | 250,000 | 249,160 | ||||||
Total Energy | 29,175,428 | |||||||
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CORE BOND FUND |
| Face | Value | ||||||
Communications - 2.2% | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
2.80% due 04/01/31 | 3,325,000 | $ | 2,513,527 | |||||
3.90% due 06/01/52 | 3,350,000 | 2,074,025 | ||||||
2.25% due 01/15/29 | 2,400,000 | 1,879,135 | ||||||
Paramount Global | ||||||||
4.95% due 01/15/31 | 3,078,000 | 2,715,206 | ||||||
4.95% due 05/19/50 | 2,490,000 | 1,769,520 | ||||||
2.90% due 01/15/27 | 450,000 | 400,707 | ||||||
British Telecommunications plc | ||||||||
4.88% due 11/23/812,3 | 2,900,000 | 2,357,589 | ||||||
4.25% due 11/23/812,3 | 500,000 | 421,809 | ||||||
9.63% due 12/15/30 | 150,000 | 173,303 | ||||||
Level 3 Financing, Inc. | ||||||||
4.25% due 07/01/283 | 2,175,000 | 1,696,522 | ||||||
3.88% due 11/15/293 | 1,150,000 | 906,041 | ||||||
Virgin Media Secured Finance plc | ||||||||
4.50% due 08/15/303 | 2,350,000 | 1,834,058 | ||||||
Vodafone Group plc | ||||||||
4.13% due 06/04/812 | 2,550,000 | 1,765,875 | ||||||
Rogers Communications, Inc. | ||||||||
4.55% due 03/15/523 | 2,000,000 | 1,595,142 | ||||||
Walt Disney Co. | ||||||||
3.80% due 05/13/60 | 2,000,000 | 1,475,111 | ||||||
AT&T, Inc. | ||||||||
2.75% due 06/01/31 | 1,500,000 | 1,200,705 | ||||||
Amazon.com, Inc. | ||||||||
2.70% due 06/03/60 | 1,610,000 | 949,808 | ||||||
VeriSign, Inc. | ||||||||
2.70% due 06/15/31 | 1,200,000 | 930,898 | ||||||
CSC Holdings LLC | ||||||||
4.13% due 12/01/303 | 600,000 | 448,320 | ||||||
Fox Corp. | ||||||||
3.05% due 04/07/25 | 450,000 | 428,615 | ||||||
Altice France S.A. | ||||||||
5.13% due 01/15/293 | 250,000 | 184,435 | ||||||
Telenet Finance Luxembourg Notes SARL | ||||||||
5.50% due 03/01/28 | 200,000 | 173,454 | ||||||
Total Communications | 27,893,805 | |||||||
Technology - 1.5% | ||||||||
Broadcom, Inc. | ||||||||
4.93% due 05/15/373 | 2,306,000 | 1,901,462 | ||||||
4.15% due 11/15/30 | 1,702,000 | 1,473,157 | ||||||
3.19% due 11/15/363 | 217,000 | 148,416 | ||||||
Entegris Escrow Corp. | ||||||||
4.75% due 04/15/293 | 3,700,000 | 3,259,051 | ||||||
Workday, Inc. | ||||||||
3.80% due 04/01/32 | 3,170,000 | 2,751,502 | ||||||
NetApp, Inc. | ||||||||
2.70% due 06/22/30 | 2,807,000 | 2,280,961 | ||||||
CDW LLC / CDW Finance Corp. | ||||||||
3.57% due 12/01/31 | 2,600,000 | 2,024,289 | ||||||
Fidelity National Information Services, Inc. | ||||||||
5.10% due 07/15/32 | 1,400,000 | 1,315,550 | ||||||
5.63% due 07/15/52 | 750,000 | 664,839 | ||||||
Oracle Corp. | ||||||||
3.95% due 03/25/51 | 2,450,000 | 1,624,853 | ||||||
Leidos, Inc. | ||||||||
2.30% due 02/15/31 | 1,750,000 | 1,296,610 | ||||||
4.38% due 05/15/30 | 200,000 | 175,282 | ||||||
CGI, Inc. | ||||||||
2.30% due 09/14/31 | 1,300,000 | 959,433 | ||||||
Total Technology | 19,875,405 | |||||||
Utilities - 1.1% | ||||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
3.52% due 12/31/39††† | 6,700,000 | 5,247,768 | ||||||
Jersey Central Power & Light Co. | ||||||||
2.75% due 03/01/323 | 3,220,000 | 2,554,807 | ||||||
AES Corp. | ||||||||
3.95% due 07/15/303 | 1,760,000 | 1,507,088 | ||||||
NRG Energy, Inc. | ||||||||
2.45% due 12/02/273 | 1,750,000 | 1,432,633 | ||||||
Alexander Funding Trust | ||||||||
1.84% due 11/15/233 | 950,000 | 888,941 | ||||||
Arizona Public Service Co. | ||||||||
3.35% due 05/15/50 | 1,300,000 | 849,935 | ||||||
Enel Finance International N.V. | ||||||||
2.88% due 07/12/413 | 1,250,000 | 713,123 | ||||||
Xcel Energy, Inc. | ||||||||
2.35% due 11/15/31 | 690,000 | 533,616 | ||||||
Total Utilities | 13,727,911 | |||||||
Basic Materials - 0.9% | ||||||||
Newcrest Finance Pty Ltd. | ||||||||
3.25% due 05/13/303 | 3,600,000 | 2,999,845 | ||||||
4.20% due 05/13/503 | 3,235,000 | 2,323,212 | ||||||
Anglo American Capital plc | ||||||||
5.63% due 04/01/303 | 1,800,000 | 1,702,972 | ||||||
3.95% due 09/10/503 | 970,000 | 660,266 | ||||||
2.63% due 09/10/303 | 250,000 | 192,434 | ||||||
WR Grace Holdings LLC | ||||||||
4.88% due 06/15/273 | 1,241,000 | 1,066,801 | ||||||
Yamana Gold, Inc. | ||||||||
2.63% due 08/15/31 | 1,200,000 | 887,503 | ||||||
Reliance Steel & Aluminum Co. | ||||||||
2.15% due 08/15/30 | 810,000 | 616,079 | ||||||
Corporation Nacional del Cobre de Chile | ||||||||
3.75% due 01/15/313 | 680,000 | 578,796 | ||||||
Total Basic Materials | 11,027,908 | |||||||
Total Corporate Bonds | ||||||||
(Cost $594,542,175) | 465,493,944 | |||||||
ASSET-BACKED SECURITIES†† - 26.9% | ||||||||
Collateralized Loan Obligations - 17.5% | ||||||||
LoanCore Issuer Ltd. | ||||||||
2021-CRE5 C, 5.17% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 07/15/36◊,3 | 7,500,000 | 7,032,038 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CORE BOND FUND |
| Face | Value | ||||||
2021-CRE4 D, 4.90% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/35◊ | 4,426,000 | $ | 4,189,794 | |||||
2021-CRE6 C, 5.12% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 11/15/38◊,3 | 4,000,000 | 3,715,899 | ||||||
2021-CRE4 C, 4.10% (30 Day Average SOFR + 1.81%, Rate Floor: 1.70%) due 07/15/35◊,3 | 1,000,000 | 940,684 | ||||||
2018-CRE1 A, 3.95% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/28◊,3 | 17,728 | 17,716 | ||||||
Woodmont Trust | ||||||||
2020-7A A1A, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,3 | 12,000,000 | 11,734,394 | ||||||
2020-7A B, 5.11% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/32◊,3 | 3,750,000 | 3,616,047 | ||||||
Cerberus Loan Funding XXX, LP | ||||||||
2020-3A A, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,3 | 13,500,000 | 13,218,383 | ||||||
2020-3A B, 5.01% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/15/33◊,3 | 2,000,000 | 1,933,326 | ||||||
Octagon Investment Partners 49 Ltd. | ||||||||
2021-5A B, 4.06% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/33◊,3 | 8,500,000 | 7,982,988 | ||||||
2021-5A C, 4.56% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 01/15/33◊,3 | 7,450,000 | 6,870,721 | ||||||
LCCM Trust | ||||||||
2021-FL3 A, 4.27% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,3 | 6,000,000 | 5,723,495 | ||||||
2021-FL3 AS, 4.62% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/15/38◊,3 | 3,950,000 | 3,756,419 | ||||||
2021-FL2 C, 4.97% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 12/13/38◊,3 | 3,100,000 | 2,888,814 | ||||||
AMMC CLO XIV Ltd. | ||||||||
2021-14A A2R2, 4.18% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/29◊,3 | 8,000,000 | 7,698,335 | ||||||
Dryden 36 Senior Loan Fund | ||||||||
2020-36A CR3, 4.56% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/15/29◊,3 | 8,000,000 | 7,531,522 | ||||||
Madison Park Funding XLVIII Ltd. | ||||||||
2021-48A B, 4.19% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,3 | 4,000,000 | 3,770,305 | ||||||
2021-48A C, 4.74% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/19/33◊,3 | 4,000,000 | 3,679,068 | ||||||
MF1 Multifamily Housing Mortgage Loan Trust | ||||||||
2021-FL6 D, 5.49% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/36◊ | 4,000,000 | 3,683,924 | ||||||
2021-FL6 C, 4.79% (1 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/16/36◊,3 | 3,400,000 | 3,164,343 | ||||||
Palmer Square Loan Funding Ltd. | ||||||||
2021-1A A2, 3.96% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/29◊,3 | 2,000,000 | 1,920,674 | ||||||
2021-1A B, 4.51% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/29◊,3 | 2,000,000 | 1,881,106 | ||||||
2021-3A C, 5.21% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/20/29◊,3 | 2,000,000 | 1,829,675 | ||||||
2021-2A C, 5.38% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 05/20/29◊,3 | 1,000,000 | 937,253 | ||||||
Golub Capital Partners CLO 33M Ltd. | ||||||||
2021-33A AR2, 4.86% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,3 | 6,500,000 | 6,175,105 | ||||||
Golub Capital Partners CLO 16 Ltd. | ||||||||
2021-16A A1R2, 4.39% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,3 | 4,000,000 | 3,820,244 | ||||||
2021-16A A2R2, 4.58% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/25/33◊,3 | 2,000,000 | 1,905,459 | ||||||
ABPCI Direct Lending Fund CLO II LLC | ||||||||
2021-1A A1R, 4.31% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,3 | 5,500,000 | 5,356,135 | ||||||
Cerberus Loan Funding XXXII, LP | ||||||||
2021-2A A, 4.13% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,3 | 4,250,000 | 4,083,298 | ||||||
2021-2A C, 5.36% (3 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 04/22/33◊,3 | 1,250,000 | 1,141,124 | ||||||
KREF Funding V LLC | ||||||||
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,††† | 4,726,802 | 4,705,523 | ||||||
0.15% due 06/25/26†††,7 | 21,818,182 | 873 | ||||||
Cerberus Loan Funding XXXI, LP | ||||||||
2021-1A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,3 | 4,500,000 | 4,441,962 | ||||||
48 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CORE BOND FUND |
| Face | Value | ||||||
BXMT Ltd. | ||||||||
2020-FL2 A, 3.84% (1 Month Term SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,3 | 4,250,000 | $ | 4,187,249 | |||||
THL Credit Lake Shore MM CLO I Ltd. | ||||||||
2021-1A A1R, 4.21% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,3 | 4,250,000 | 4,127,169 | ||||||
Golub Capital Partners CLO 36M Ltd. | ||||||||
2018-36A A, 4.13% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,3 | 4,100,000 | 4,039,673 | ||||||
FS Rialto Issuer LLC | ||||||||
2022-FL6 B, 6.65% (1 Month Term SOFR + 3.63%, Rate Floor: 3.63%) due 08/17/37◊,3 | 2,500,000 | 2,464,798 | ||||||
2022-FL6 AS, 6.15% (1 Month Term SOFR + 3.13%, Rate Floor: 3.13%) due 08/17/37◊,3 | 1,500,000 | 1,480,655 | ||||||
BSPDF Issuer Ltd. | ||||||||
2021-FL1 C, 5.07% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/15/36◊ | 4,000,000 | 3,827,984 | ||||||
ABPCI Direct Lending Fund CLO I LLC | ||||||||
2021-1A A1A2, 4.41% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,3 | 3,750,000 | 3,653,251 | ||||||
PFP Ltd. | ||||||||
2021-7 D, 5.34% (1 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/14/38◊,3 | 3,749,813 | 3,509,198 | ||||||
Cerberus Loan Funding XXVI, LP | ||||||||
2021-1A AR, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,3 | 3,500,000 | 3,433,696 | ||||||
ABPCI Direct Lending Fund CLO V Ltd. | ||||||||
2021-5A A1R, 4.21% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,3 | 3,250,000 | 3,178,532 | ||||||
Fortress Credit Opportunities IX CLO Ltd. | ||||||||
2021-9A A2TR, 4.31% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/33◊,3 | 3,250,000 | 3,142,600 | ||||||
Owl Rock CLO IV Ltd. | ||||||||
2021-4A A1R, 4.58% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,3 | 3,250,000 | 3,098,661 | ||||||
GoldenTree Loan Management US CLO 1 Ltd. | ||||||||
2021-9A C, 4.51% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/33◊,3 | 3,000,000 | 2,707,228 | ||||||
VOYA CLO | ||||||||
2021-2A A2AR, 4.16% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 06/07/30◊,3 | 2,550,000 | 2,448,000 | ||||||
Fortress Credit Opportunities XI CLO Ltd. | ||||||||
2018-11A A1T, 3.81% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,3 | 2,000,000 | 1,961,154 | ||||||
Apres Static CLO Ltd. | ||||||||
2020-1A A2R, 4.21% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/15/28◊,3 | 2,000,000 | 1,942,365 | ||||||
ACRES Commercial Realty Ltd. | ||||||||
2021-FL2 AS, 4.69% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 01/15/37◊ | 2,000,000 | 1,920,108 | ||||||
BRSP Ltd. | ||||||||
2021-FL1 C, 5.14% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 08/19/38◊,3 | 2,000,000 | 1,891,015 | ||||||
ABPCI Direct Lending Fund IX LLC | ||||||||
2021-9A A2R, 4.57% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/18/31◊,3 | 2,000,000 | 1,887,745 | ||||||
MidOcean Credit CLO VII | ||||||||
2020-7A BR, 4.11% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/15/29◊,3 | 2,000,000 | 1,886,658 | ||||||
FS Rialto | ||||||||
2021-FL3 C, 4.99% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 11/16/36◊,3 | 2,000,000 | 1,862,930 | ||||||
Neuberger Berman Loan Advisers CLO 40 Ltd. | ||||||||
2021-40A C, 4.49% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/16/33◊,3 | 2,000,000 | 1,822,439 | ||||||
Magnetite XXIX Ltd. | ||||||||
2021-29A C, 4.16% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 01/15/34◊,3 | 2,000,000 | 1,814,550 | ||||||
Cerberus Loan Funding XXXIII, LP | ||||||||
2021-3A B, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,3 | 2,000,000 | 1,793,879 | ||||||
Canyon Capital CLO Ltd. | ||||||||
2018-1A A2R, 4.28% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/30/31◊,3 | 1,900,000 | 1,769,507 | ||||||
OCP CLO Ltd. | ||||||||
2020-4A A2RR, 4.23% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/24/29◊,3 | 1,500,000 | 1,467,535 | ||||||
STWD Ltd. | ||||||||
2019-FL1 D, 5.39% (1 Month Term SOFR + 2.46%, Rate Floor: 2.35%) due 07/15/38◊,3 | 1,459,000 | 1,402,092 | ||||||
Golub Capital Partners CLO 54M L.P | ||||||||
2021-54A B, 4.68% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 08/05/33◊,3 | 1,500,000 | 1,390,357 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CORE BOND FUND |
| Face | Value | ||||||
Marathon CLO V Ltd. | ||||||||
2017-5A A2R, 4.43% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/27◊,3 | 1,000,000 | $ | 990,499 | |||||
2017-5A A1R, 3.85% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,3 | 81,957 | 81,715 | ||||||
NewStar Fairfield Fund CLO Ltd. | ||||||||
2018-2A A1N, 3.98% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/30◊,3 | 989,329 | 970,415 | ||||||
Northwoods Capital XII-B Ltd. | ||||||||
2018-12BA B, 5.14% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 06/15/31◊,3 | 1,000,000 | 966,194 | ||||||
Owl Rock CLO I Ltd. | ||||||||
2019-1A A, 4.78% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 05/20/31◊,3 | 1,000,000 | 965,072 | ||||||
Owl Rock CLO II Ltd. | ||||||||
2021-2A ALR, 4.26% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/33◊,3 | 1,000,000 | 961,440 | ||||||
KREF | ||||||||
2021-FL2 C, 4.94% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/39◊,3 | 1,000,000 | 948,582 | ||||||
BSPRT Issuer Ltd. | ||||||||
2021-FL7 C, 5.12% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 12/15/38◊ | 1,000,000 | 938,682 | ||||||
Dryden 37 Senior Loan Fund | ||||||||
2015-37A Q, due 01/15/313,8 | 1,000,000 | 763,305 | ||||||
ACRE Commercial Mortgage Ltd. | ||||||||
2021-FL4 D, 5.59% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 12/18/37◊,3 | 773,000 | 747,618 | ||||||
Golub Capital Partners CLO 17 Ltd. | ||||||||
2017-17A A1R, 4.43% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,3 | 750,000 | 738,883 | ||||||
Cerberus Loan Funding XXXVI, LP | ||||||||
2021-6A A, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,3 | 534,827 | 530,872 | ||||||
Newfleet CLO Ltd. | ||||||||
2018-1A A1R, 3.66% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,3 | 326,584 | 323,883 | ||||||
Babson CLO Ltd. | ||||||||
2014-IA SUB, due 07/20/253,8 | 650,000 | 40,560 | ||||||
Treman Park CLO Ltd. | ||||||||
2015-1A COM, due 10/20/283,8 | 162,950 | 20,260 | ||||||
Copper River CLO Ltd. | ||||||||
2007-1A INC, due 01/20/21†††,6,8 | 700,000 | 294 | ||||||
Total Collateralized Loan Obligations | 221,445,948 | |||||||
Whole Business - 2.2% | ||||||||
Arbys Funding LLC | ||||||||
2020-1A, 3.24% due 07/30/503 | 6,615,000 | 5,600,080 | ||||||
Domino’s Pizza Master Issuer LLC | ||||||||
2017-1A, 4.12% due 07/25/473 | 5,157,000 | 4,741,877 | ||||||
2021-1A, 3.15% due 04/25/513 | 987,500 | 787,811 | ||||||
DB Master Finance LLC | ||||||||
2019-1A, 4.35% due 05/20/493 | 3,637,500 | 3,308,790 | ||||||
2021-1A, 2.79% due 11/20/513 | 1,985,000 | 1,557,203 | ||||||
Taco Bell Funding LLC | ||||||||
2016-1A, 4.97% due 05/25/463 | 3,553,125 | 3,420,362 | ||||||
2021-1A, 2.29% due 08/25/513 | 1,419,275 | 1,134,060 | ||||||
ServiceMaster Funding LLC | ||||||||
2020-1, 2.84% due 01/30/513 | 3,940,000 | 3,210,123 | ||||||
SERVPRO Master Issuer LLC | ||||||||
2021-1A, 2.39% due 04/25/513 | 3,456,250 | 2,725,613 | ||||||
Wendy’s Funding LLC | ||||||||
2019-1A, 3.78% due 06/15/493 | 1,335,900 | 1,224,021 | ||||||
Wingstop Funding LLC | ||||||||
2022-1A, 3.73% due 03/05/523 | 1,000,000 | 839,677 | ||||||
Total Whole Business | 28,549,617 | |||||||
Transport-Aircraft - 2.0% | ||||||||
AASET Trust | ||||||||
2021-1A, 2.95% due 11/16/413 | 4,063,539 | 3,240,559 | ||||||
2020-1A, 3.35% due 01/16/403 | 1,079,166 | 870,677 | ||||||
2017-1A, 3.97% due 05/16/423 | 299,574 | 237,562 | ||||||
Castlelake Aircraft Structured Trust | ||||||||
2021-1A, 3.47% due 01/15/463 | 3,852,622 | 3,375,421 | ||||||
Navigator Aircraft ABS Ltd. | ||||||||
2021-1, 2.77% due 11/15/463 | 2,830,357 | 2,405,179 | ||||||
AASET US Ltd. | ||||||||
2018-2A, 4.45% due 11/18/383 | 2,635,672 | 2,181,101 | ||||||
MACH 1 Cayman Ltd. | ||||||||
2019-1, 3.47% due 10/15/393 | 2,103,585 | 1,848,913 | ||||||
Lunar Structured Aircraft Portfolio Notes | ||||||||
2021-1, 2.64% due 10/15/463 | 2,224,873 | 1,837,332 | ||||||
Sprite Ltd. | ||||||||
2021-1, 3.75% due 11/15/463 | 2,079,540 | 1,755,582 | ||||||
Sapphire Aviation Finance II Ltd. | ||||||||
2020-1A, 3.23% due 03/15/403 | 1,792,839 | 1,484,272 | ||||||
Falcon Aerospace Ltd. | ||||||||
2019-1, 3.60% due 09/15/393 | 1,438,864 | 1,143,253 | ||||||
2017-1, 4.58% due 02/15/423 | 291,786 | 264,572 | ||||||
MAPS Ltd. | ||||||||
2018-1A, 4.21% due 05/15/433 | 1,561,492 | 1,390,968 | ||||||
Sapphire Aviation Finance I Ltd. | ||||||||
2018-1A, 4.25% due 03/15/403 | 1,363,381 | 1,004,025 | ||||||
Raspro Trust | ||||||||
2005-1A, 3.64% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,3 | 984,943 | 913,306 | ||||||
WAVE LLC | ||||||||
2019-1, 3.60% due 09/15/443 | 832,599 | 658,642 | ||||||
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CORE BOND FUND |
| Face | Value | ||||||
Castlelake Aircraft Securitization Trust | ||||||||
2018-1, 4.13% due 06/15/433 | 698,469 | $ | 611,133 | |||||
Total Transport-Aircraft | 25,222,497 | |||||||
Financial - 1.6% | ||||||||
Strategic Partners Fund VIII LP | ||||||||
5.04% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,††† | 3,500,000 | 3,497,604 | ||||||
5.06% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,††† | 1,300,000 | 1,299,051 | ||||||
Madison Avenue Secured Funding Trust | ||||||||
2021-1, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,3 | 4,250,000 | 4,250,000 | ||||||
KKR Core Holding Company LLC | ||||||||
4.00% due 08/12/31††† | 4,108,835 | 3,516,084 | ||||||
HarbourVest Structured Solutions IV Holdings, LP | ||||||||
4.60% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,††† | 1,831,749 | 1,831,697 | ||||||
2.58% (3 Month EURIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,††† | EUR | 1,000,000 | 979,872 | |||||
Thunderbird A | ||||||||
5.50% due 03/01/37††† | 1,119,333 | 1,119,333 | ||||||
Lightning A | ||||||||
5.50% due 03/01/37††† | 1,083,778 | 1,083,778 | ||||||
Aesf Vi Verdi, LP | ||||||||
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,††† | EUR | 1,010,575 | 989,986 | |||||
Bib Merchant Voucher Receivables Ltd. | ||||||||
4.18% due 04/07/28††† | 897,924 | 873,117 | ||||||
Nassau LLC | ||||||||
2019-1, 3.98% due 08/15/343 | 812,067 | 772,903 | ||||||
Total Financial | 20,213,425 | |||||||
Net Lease - 1.4% | ||||||||
CF Hippolyta Issuer LLC | ||||||||
2022-1A, 6.11% due 08/15/623 | 2,750,000 | 2,605,903 | ||||||
2020-1, 2.28% due 07/15/603 | 690,378 | 603,733 | ||||||
CARS-DB4, LP | ||||||||
2020-1A, 3.81% due 02/15/503 | 2,235,469 | 1,947,941 | ||||||
2020-1A, 4.95% due 02/15/503 | 1,500,000 | 1,260,611 | ||||||
CMFT Net Lease Master Issuer LLC | ||||||||
2021-1, 3.44% due 07/20/513 | 3,570,000 | 2,784,774 | ||||||
STORE Master Funding I-VII | ||||||||
2016-1A, 3.96% due 10/20/463 | 2,565,914 | 2,391,044 | ||||||
Oak Street Investment Grade Net Lease Fund Series | ||||||||
2020-1A, 2.26% due 11/20/503 | 2,500,000 | 2,204,422 | ||||||
CF Hippolyta LLC | ||||||||
2020-1, 2.60% due 07/15/603 | 2,537,828 | 2,052,547 | ||||||
Capital Automotive REIT | ||||||||
2020-1A, 3.48% due 02/15/503 | 1,241,927 | 1,116,923 | ||||||
2021-1A, 2.76% due 08/15/513 | 999,167 | 761,790 | ||||||
Total Net Lease | 17,729,688 | |||||||
Collateralized Debt Obligations - 1.2% | ||||||||
Anchorage Credit Funding 4 Ltd. | ||||||||
2021-4A AR, 2.72% due 04/27/393 | 7,250,000 | 6,640,629 | ||||||
2021-4A BR, 3.12% due 04/27/39 | 1,500,000 | 1,274,194 | ||||||
Anchorage Credit Funding Ltd. | ||||||||
2021-13A A1, 2.88% due 07/27/393 | 2,500,000 | 2,201,504 | ||||||
2021-13A B2, 3.15% due 07/27/393 | 2,000,000 | 1,691,641 | ||||||
Anchorage Credit Funding 3 Ltd. | ||||||||
2021-3A A1R, 2.87% due 01/28/393 | 3,750,000 | 3,344,804 | ||||||
Total Collateralized Debt Obligations | 15,152,772 | |||||||
Transport-Container - 0.5% | ||||||||
Textainer Marine Containers VII Ltd. | ||||||||
2020-1A, 2.73% due 08/21/453 | 3,600,179 | 3,249,010 | ||||||
MC Ltd. | ||||||||
2021-1, 2.63% due 11/05/353 | 3,700,822 | 3,191,360 | ||||||
Total Transport-Container | 6,440,370 | |||||||
Single Family Residence - 0.3% | ||||||||
FirstKey Homes Trust | ||||||||
2020-SFR2, 4.00% due 10/19/373 | 1,400,000 | 1,254,687 | ||||||
2020-SFR2, 4.50% due 10/19/373 | 1,350,000 | 1,224,796 | ||||||
2020-SFR2, 3.37% due 10/19/373 | 900,000 | 794,526 | ||||||
Home Partners of America Trust | ||||||||
2021-3, 2.80% due 01/17/413 | 942,038 | 806,102 | ||||||
Total Single Family Residence | 4,080,111 | |||||||
Infrastructure - 0.2% | ||||||||
VB-S1 Issuer LLC - VBTEL | ||||||||
2022-1A, 4.29% due 02/15/523 | 2,500,000 | 2,187,012 | ||||||
Total Asset-Backed Securities | ||||||||
(Cost $367,831,711) | 341,021,440 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 18.9% | ||||||||
Government Agency - 12.0% | ||||||||
Uniform MBS 30 Year | ||||||||
due 11/15/5213 | 83,466,000 | 77,284,425 | ||||||
Fannie Mae | ||||||||
4.00% due 07/01/52 | 15,060,247 | 14,080,130 | ||||||
2.81% due 05/01/51 | 8,250,000 | 5,994,220 | ||||||
2.17% due 03/01/51 | 8,347,000 | 5,708,400 | ||||||
2.24% due 01/01/51 | 5,794,232 | 4,162,533 | ||||||
2.00% due 09/01/50 | 4,957,947 | 3,444,034 | ||||||
2.36% due 08/01/50 | 4,500,000 | 3,102,063 | ||||||
2.78% due 05/01/51 | 2,696,257 | 2,047,355 | ||||||
2.59% due 06/01/51 | 2,445,648 | 1,822,913 | ||||||
2.32% due 02/01/51 | 2,045,291 | 1,463,237 | ||||||
2.40% due 03/01/40 | 2,000,000 | 1,420,171 | ||||||
2.11% due 10/01/50 | 1,832,675 | 1,292,439 | ||||||
2.27% due 02/01/51 | 1,703,728 | 1,210,954 | ||||||
2.39% due 02/01/51 | 1,418,475 | 1,026,605 | ||||||
4.24% due 08/01/48 | 1,000,000 | 974,468 | ||||||
2.58% due 10/01/51 | 1,183,407 | 870,203 | ||||||
3.83% due 05/01/49 | 1,000,000 | 861,059 | ||||||
3.46% due 08/01/49 | 950,065 | 808,358 | ||||||
2.99% due 01/01/40 | 1,000,000 | 776,855 | ||||||
2.68% due 04/01/50 | 953,653 | 734,912 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CORE BOND FUND |
| Face | Value | ||||||
4.07% due 05/01/49 | 762,651 | $ | 692,829 | |||||
2.10% due 07/01/50 | 958,743 | 678,681 | ||||||
4.37% due 10/01/48 | 711,351 | 673,066 | ||||||
2.27% due 10/01/41 | 1,000,000 | 666,640 | ||||||
1.76% due 08/01/40 | 1,000,000 | 664,137 | ||||||
due 12/25/439,11 | 830,786 | 627,173 | ||||||
4.25% due 05/01/48 | 627,047 | 582,924 | ||||||
Freddie Mac | ||||||||
4.00% due 06/01/52 | 11,758,996 | 10,964,646 | ||||||
1.98% due 05/01/50 | 1,360,580 | 923,196 | ||||||
4.00% due 01/15/46 | 181,191 | 179,017 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust | ||||||||
2.00% due 05/25/60 | 3,493,366 | 2,967,001 | ||||||
2.00% due 11/25/59 | 1,334,727 | 1,133,601 | ||||||
Fannie Mae-Aces | ||||||||
1.61% (WAC) due 03/25/35◊,7 | 20,033,688 | 2,245,526 | ||||||
FARM Mortgage Trust | ||||||||
2.18% (WAC) due 01/25/51◊,3 | 898,392 | 732,484 | ||||||
Total Government Agency | 152,816,255 | |||||||
Commercial Mortgage-Backed Securities - 3.4% | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
2021-NYAH, 4.66% (1 Month USD LIBOR + 1.84%, Rate Floor: 1.84%) due 06/15/38◊,3 | 4,000,000 | 3,780,280 | ||||||
2016-JP3, 3.57% (WAC) due 08/15/49◊ | 4,000,000 | 3,389,010 | ||||||
GS Mortgage Securities Trust | ||||||||
2020-GSA2, 2.34% due 12/12/53 | 8,000,000 | 5,906,526 | ||||||
2020-GC45, 0.79% (WAC) due 02/13/53◊,7 | 18,908,990 | 645,248 | ||||||
2019-GC42, 0.93% (WAC) due 09/01/52◊,7 | 14,884,108 | 596,525 | ||||||
DBGS Mortgage Trust | ||||||||
2018-C1, 4.78% (WAC) due 10/15/51◊ | 7,000,000 | 6,338,164 | ||||||
CD Mortgage Trust | ||||||||
2017-CD4, 3.95% (WAC) due 05/10/50◊ | 4,750,000 | 4,176,684 | ||||||
2016-CD1, 1.50% (WAC) due 08/10/49◊,7 | 2,129,054 | 81,347 | ||||||
KKR Industrial Portfolio Trust | ||||||||
2021-KDIP, 4.07% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 12/15/37◊,3 | 3,450,000 | 3,259,722 | ||||||
BX Commercial Mortgage Trust | ||||||||
2021-VOLT, 4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,3 | 3,450,000 | 3,181,069 | ||||||
SMRT | ||||||||
2022-MINI, 4.80% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 01/15/39◊,3 | 2,000,000 | 1,874,835 | ||||||
Life Mortgage Trust | ||||||||
2021-BMR, 4.22% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 03/15/38◊,3 | 1,965,940 | 1,862,460 | ||||||
GS Mortgage Securities Corporation Trust | ||||||||
2020-DUNE, 4.17% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 12/15/36◊,3 | 1,000,000 | 978,519 | ||||||
2020-UPTN, 3.35% (WAC) due 02/10/37◊,3 | 1,000,000 | 881,936 | ||||||
BENCHMARK Mortgage Trust | ||||||||
2019-B14, 0.91% (WAC) due 12/15/62◊,7 | 19,772,032 | 655,124 | ||||||
2018-B6, 0.57% (WAC) due 10/10/51◊,7 | 29,363,927 | 450,020 | ||||||
Extended Stay America Trust | ||||||||
2021-ESH, 5.07% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/38◊,3 | 1,093,271 | 1,046,700 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
2019-GC43, 0.75% (WAC) due 11/10/52◊,7 | 19,893,557 | 653,223 | ||||||
2016-GC37, 1.84% (WAC) due 04/10/49◊,7 | 2,873,680 | 126,334 | ||||||
2016-C2, 1.88% (WAC) due 08/10/49◊,7 | 2,361,436 | 115,893 | ||||||
2016-P5, 1.53% (WAC) due 10/10/49◊,7 | 1,589,539 | 66,610 | ||||||
COMM Mortgage Trust | ||||||||
2015-CR24, 0.84% (WAC) due 08/10/48◊,7 | 38,336,196 | 599,252 | ||||||
2015-CR26, 1.06% (WAC) due 10/10/48◊,7 | 8,488,082 | 175,237 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
2019-C15, 1.20% (WAC) due 03/15/52◊,7 | 12,137,276 | 545,164 | ||||||
SG Commercial Mortgage Securities Trust | ||||||||
2016-C5, 2.04% (WAC) due 10/10/48◊,7 | 8,112,527 | 394,506 | ||||||
UBS Commercial Mortgage Trust | ||||||||
2017-C2, 1.24% (WAC) due 08/15/50◊,7 | 8,234,933 | 324,278 | ||||||
Morgan Stanley Capital I Trust | ||||||||
2016-UB11, 1.58% (WAC) due 08/15/49◊,7 | 5,947,165 | 259,456 | ||||||
JPMDB Commercial Mortgage Securities Trust | ||||||||
2016-C2, 1.65% (WAC) due 06/15/49◊,7 | 6,451,413 | 256,062 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2016-NXS5, 1.59% (WAC) due 01/15/59◊,7 | 3,614,256 | 125,839 | ||||||
2016-C37, 0.96% (WAC) due 12/15/49◊,7 | 2,719,785 | 65,732 | ||||||
CFCRE Commercial Mortgage Trust | ||||||||
2016-C3, 1.14% (WAC) due 01/10/48◊,7 | 5,389,519 | 140,455 | ||||||
Total Commercial Mortgage-Backed Securities | 42,952,210 | |||||||
Residential Mortgage-Backed Securities - 2.4% | ||||||||
Mill City Mortgage Loan Trust | ||||||||
2021-NMR1, 2.50% (WAC) due 11/25/60◊,3 | 4,800,000 | 3,879,540 | ||||||
GCAT Trust | ||||||||
2022-NQM3, 4.35% (WAC) due 04/25/67◊,3 | 3,389,117 | 3,166,744 | ||||||
Nationstar Home Equity Loan Trust | ||||||||
2007-C, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 06/25/37◊ | 3,222,305 | 3,121,018 | ||||||
CFMT LLC | ||||||||
2022-HB9, 3.25% (WAC) due 09/25/37◊,3 | 3,000,000 | 2,729,524 | ||||||
COLT Mortgage Loan Trust | ||||||||
2021-2, 2.38% (WAC) due 08/25/66◊,3 | 4,000,000 | 2,548,858 | ||||||
PRPM LLC | ||||||||
2021-RPL2, 2.93% (WAC) due 10/25/51◊,3 | 2,472,000 | 2,120,647 | ||||||
Starwood Mortgage Residential Trust | ||||||||
2020-1, 2.41% (WAC) due 02/25/50◊,3 | 890,915 | 859,239 | ||||||
2020-1, 2.56% (WAC) due 02/25/50◊,3 | 890,915 | 848,389 | ||||||
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CORE BOND FUND |
| Face | Value | ||||||
Imperial Fund Mortgage Trust | ||||||||
2022-NQM2, 4.02% (WAC) due 03/25/67◊,3 | 946,655 | $ | 850,297 | |||||
2022-NQM2, 4.20% (WAC) due 03/25/67◊,3 | 946,655 | 845,910 | ||||||
CSMC Trust | ||||||||
2018-RPL9, 3.85% (WAC) due 09/25/57◊,3 | 943,690 | 913,424 | ||||||
2020-NQM1, 1.72% due 05/25/653,10 | 261,607 | 235,017 | ||||||
SPS Servicer Advance Receivables Trust | ||||||||
2020-T2, 1.83% due 11/15/553 | 1,250,000 | 1,099,602 | ||||||
OBX Trust | ||||||||
2022-NQM8, 6.10% due 09/25/623,10 | 1,000,000 | 987,048 | ||||||
BRAVO Residential Funding Trust | ||||||||
2021-HE1, 3.78% (30 Day Average SOFR + 1.50%, Rate Floor: 0.00%) due 01/25/70◊,3 | 1,000,000 | 985,028 | ||||||
American Home Mortgage Investment Trust | ||||||||
2007-1, 2.08% due 05/25/477 | 6,368,328 | 911,548 | ||||||
Securitized Asset-Backed Receivables LLC Trust | ||||||||
2006-HE2, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/36◊ | 1,455,558 | 679,429 | ||||||
Verus Securitization Trust | ||||||||
2019-4, 2.85% due 11/25/593,10 | 680,211 | 661,615 | ||||||
MFRA Trust | ||||||||
2021-INV1, 2.29% (WAC) due 01/25/56◊,3 | 700,000 | 617,513 | ||||||
New Residential Mortgage Loan Trust | ||||||||
2019-6A, 3.50% (WAC) due 09/25/59◊,3 | 518,438 | 484,779 | ||||||
Angel Oak Mortgage Trust | ||||||||
2020-1, 2.77% (WAC) due 12/25/59◊,3 | 419,432 | 381,427 | ||||||
RALI Series Trust | ||||||||
2006-QO2, 3.52% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46◊ | 1,487,218 | 325,868 | ||||||
GS Mortgage-Backed Securities Trust | ||||||||
2020-NQM1, 1.79% (WAC) due 09/27/60◊,3 | 251,141 | 225,270 | ||||||
MASTR Adjustable Rate Mortgages Trust | ||||||||
2003-5, 1.50% (WAC) due 11/25/33◊ | 247,033 | 217,829 | ||||||
Residential Mortgage Loan Trust | ||||||||
2020-1, 2.68% (WAC) due 01/26/60◊,3 | 224,842 | 211,303 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | ||||||||
2006-AR9, 1.94% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊ | 251,837 | 204,017 | ||||||
UCFC Manufactured Housing Contract | ||||||||
1997-2, 7.38% due 10/15/28 | 42,962 | 41,206 | ||||||
Total Residential Mortgage-Backed Securities | 30,152,089 | |||||||
Military Housing - 1.1% | ||||||||
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | ||||||||
2015-R1, 4.66% (WAC) due 11/25/55◊,3 | 6,954,996 | 6,410,331 | ||||||
2015-R1, 4.44% (WAC) due 11/25/52◊,3 | 2,836,384 | 2,627,767 | ||||||
2015-R1, 0.70% (WAC) due 11/25/55◊,3,7 | 10,179,167 | 734,144 | ||||||
Capmark Military Housing Trust | ||||||||
2006-RILY, 6.15% due 07/10/51†††,3 | 2,266,866 | 2,089,453 | ||||||
2007-ROBS, 6.06% due 10/10/52†††,3 | 456,547 | 419,089 | ||||||
2007-AETC, 5.75% due 02/10/52†††,3 | 268,966 | 246,181 | ||||||
GMAC Commercial Mortgage Asset Corp. | ||||||||
2007-HCKM, 6.11% due 08/10/52†††,3 | 1,435,618 | 1,355,661 | ||||||
Total Military Housing | 13,882,626 | |||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $275,283,136) | 239,803,180 | |||||||
U.S. GOVERNMENT SECURITIES†† - 11.2% | ||||||||
U.S. Treasury Notes | ||||||||
2.75% due 08/15/32 | 77,510,000 | 70,873,206 | ||||||
2.63% due 05/31/2714 | 15,580,000 | 14,625,725 | ||||||
U.S. Treasury Bonds | ||||||||
3.00% due 08/15/52 | 16,000,000 | 13,807,500 | ||||||
due 02/15/529,11 | 29,980,000 | 10,234,797 | ||||||
due 02/15/469,11 | 22,605,000 | 8,729,162 | ||||||
2.88% due 05/15/52 | 10,000,000 | 8,385,938 | ||||||
due 05/15/449,11 | 19,265,000 | 7,921,210 | ||||||
1.88% due 11/15/51 | 8,000,000 | 5,290,313 | ||||||
due 11/15/449,11,14 | 4,520,000 | 1,816,259 | ||||||
Total U.S. Government Securities | ||||||||
(Cost $155,041,281) | 141,684,110 | |||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 2.5% | ||||||||
Industrial - 0.9% | ||||||||
Mileage Plus Holdings LLC | ||||||||
8.78% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | 8,027,500 | 8,046,124 | ||||||
SkyMiles IP Ltd. | ||||||||
6.46% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 | 1,700,000 | 1,701,326 | ||||||
Air Canada | ||||||||
6.42% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | 854,587 | 811,097 | ||||||
Service Logic Acquisition, Inc. | ||||||||
6.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27 | 821,177 | 768,827 | ||||||
6.97% ((1 Month USD LIBOR + 4.00%) and (2 Month USD LIBOR + 4.00%), Rate Floor: 4.75%) due 10/29/27 | 8,373 | 7,839 | ||||||
Total Industrial | 11,335,213 | |||||||
Financial - 0.4% | ||||||||
Citadel Securities, LP | ||||||||
6.15% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 02/02/28 | 3,050,000 | 3,008,063 | ||||||
Cross Financial Corp. | ||||||||
7.13% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27 | 788,025 | 763,068 | ||||||
Nexus Buyer LLC | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 | 753,266 | 721,727 | ||||||
Alliant Holdings Intermediate LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 | 488,520 | 467,377 | ||||||
Total Financial | 4,960,235 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CORE BOND FUND |
| Face | Value | ||||||
Consumer, Non-cyclical - 0.4% | ||||||||
Packaging Coordinators Midco, Inc. | ||||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/30/27 | 2,216,250 | $ | 2,101,737 | |||||
Southern Veterinary Partners LLC | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27 | 1,474,648 | 1,391,699 | ||||||
HAH Group Holding Co. LLC | ||||||||
8.71% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27 | 1,135,628 | 1,078,846 | ||||||
Total Consumer, Non-cyclical | 4,572,282 | |||||||
Technology - 0.3% | ||||||||
Datix Bidco Ltd. | ||||||||
6.19% (6 Month GBP LIBOR + 4.50%, Rate Floor: 5.19%) due 04/28/25††† | GBP | 2,900,000 | 3,157,236 | |||||
7.01% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/27/25††† | 1,252,544 | 1,221,105 | ||||||
Total Technology | 4,378,341 | |||||||
Consumer, Cyclical - 0.3% | ||||||||
Amaya Holdings BV | ||||||||
3.73% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 07/21/26 | EUR | 4,000,000 | 3,616,583 | |||||
Utilities - 0.1% | ||||||||
Hamilton Projects Acquiror LLC | ||||||||
8.17% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27 | 1,582,111 | 1,550,469 | ||||||
Energy - 0.1% | ||||||||
Venture Global Calcasieu Pass LLC | ||||||||
5.74% (1 Month USD LIBOR + 2.63%, Rate Floor: 2.63%) due 08/19/26††† | 841,798 | 839,693 | ||||||
Communications - 0.0% | ||||||||
Radiate Holdco LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26 | 163,150 | 150,568 | ||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $33,942,143) | 31,403,384 | |||||||
FEDERAL AGENCY BONDS†† - 1.4% | ||||||||
Tennessee Valley Authority Principal Strips | ||||||||
due 06/15/389,11 | 9,400,000 | 4,459,595 | ||||||
due 01/15/489,11 | 9,700,000 | 2,778,662 | ||||||
due 01/15/389,11 | 4,000,000 | 1,941,412 | ||||||
due 06/15/359,11 | 1,583,000 | 881,397 | ||||||
due 12/15/429,11 | 1,600,000 | 605,800 | ||||||
Federal Farm Credit Bank | ||||||||
3.51% due 06/11/40 | 3,300,000 | 2,813,973 | ||||||
2.70% due 01/30/45 | 1,053,000 | 746,739 | ||||||
Tennessee Valley Authority | ||||||||
4.25% due 09/15/65 | 2,450,000 | 2,183,050 | ||||||
5.38% due 04/01/56 | 600,000 | 648,103 | ||||||
U.S. International Development Finance Corp. | ||||||||
due 01/17/2611 | 800,000 | 785,390 | ||||||
Total Federal Agency Bonds | ||||||||
(Cost $25,448,713) | 17,844,121 | |||||||
MUNICIPAL BONDS†† - 0.9% | ||||||||
Texas - 0.3% | ||||||||
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds | ||||||||
3.29% due 09/01/40 | 2,100,000 | 1,564,287 | ||||||
2.78% due 09/01/34 | 700,000 | 539,063 | ||||||
2.69% due 09/01/33 | 500,000 | 389,070 | ||||||
2.57% due 09/01/32 | 475,000 | 376,548 | ||||||
2.41% due 09/01/31 | 450,000 | 360,239 | ||||||
Grand Parkway Transportation Corp. Revenue Bonds | ||||||||
3.31% due 10/01/49 | 1,500,000 | 1,021,270 | ||||||
Dallas/Fort Worth International Airport Revenue Bonds | ||||||||
2.92% due 11/01/50 | 1,000,000 | 681,578 | ||||||
Total Texas | 4,932,055 | |||||||
New York - 0.3% | ||||||||
Westchester County Local Development Corp. Revenue Bonds | ||||||||
3.85% due 11/01/50 | 2,700,000 | 1,944,687 | ||||||
Port Authority of New York & New Jersey Revenue Bonds | ||||||||
3.14% due 02/15/51 | 1,370,000 | 969,217 | ||||||
Total New York | 2,913,904 | |||||||
Idaho - 0.1% | ||||||||
Boise State University Revenue Bonds | ||||||||
3.06% due 04/01/40 | 1,150,000 | 851,517 | ||||||
California - 0.1% | ||||||||
California Statewide Communities Development Authority Revenue Bonds | ||||||||
2.68% due 02/01/39 | 1,200,000 | 833,570 | ||||||
Mississippi - 0.1% | ||||||||
Medical Center Educational Building Corp. Revenue Bonds | ||||||||
2.92% due 06/01/41 | 1,000,000 | 699,872 | ||||||
Alabama - 0.0% | ||||||||
Auburn University Revenue Bonds | ||||||||
2.68% due 06/01/50 | 1,000,000 | 668,369 | ||||||
Ohio - 0.0% | ||||||||
County of Franklin Ohio Revenue Bonds | ||||||||
2.88% due 11/01/50 | 1,000,000 | 641,596 | ||||||
Illinois - 0.0% | ||||||||
State of Illinois General Obligation Unlimited | ||||||||
5.65% due 12/01/38 | 472,222 | 462,433 | ||||||
Cook County School District No. 155 Calumet City General Obligation Unlimited | ||||||||
5.30% due 12/01/22 | 5,000 | 4,965 | ||||||
Total Illinois | 467,398 | |||||||
Total Municipal Bonds | ||||||||
(Cost $16,714,223) | 12,008,281 | |||||||
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CORE BOND FUND |
| Face | Value | ||||||
FOREIGN GOVERNMENT DEBT†† - 0.2% | ||||||||
Panama Government International Bond | ||||||||
4.50% due 01/19/63 | 2,600,000 | $ | 1,714,674 | |||||
4.50% due 04/16/50 | 1,450,000 | 1,010,206 | ||||||
Bermuda Government International Bond | ||||||||
3.38% due 08/20/503 | 500,000 | 333,942 | ||||||
Total Foreign Government Debt | ||||||||
(Cost $4,707,479) | 3,058,822 | |||||||
SENIOR FIXED RATE INTERESTS††† - 0.2% | ||||||||
Industrial - 0.2% | ||||||||
CTL Logistics | ||||||||
2.65% due 10/10/42 | 3,639,469 | 2,788,277 | ||||||
Total Senior Fixed Rate Interests | ||||||||
(Cost $3,639,469) | 2,788,277 | |||||||
Contracts | ||||||||
LISTED OPTIONS PURCHASED† - 0.8% | ||||||||
Put Options on: | ||||||||
Equity Options | ||||||||
S&P 500 Index Expiring November 2022 with strike price of $3,800.00 (Notional Value $54,501,424) | 152 | 3,847,880 | ||||||
S&P 500 Index Expiring December 2022 with strike price of $3,600.00 (Notional Value $60,238,416) | 168 | 2,920,680 | ||||||
S&P 500 Index Expiring April 2023 with strike price of $4,000.00 (Notional Value $21,155,158) | 59 | 2,725,800 | ||||||
Total Equity Options | 9,494,360 | |||||||
Total Listed Options Purchased | ||||||||
(Cost $6,156,669) | 9,494,360 | |||||||
Total Investments - 106.7% | ||||||||
(Cost $1,591,371,317) | 1,351,759,187 | |||||||
LISTED OPTIONS WRITTEN† - (0.2)% | ||||||||
Call Options on: | ||||||||
Equity Options | ||||||||
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $7,425) | 9 | — | ||||||
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $7,425) | 9 | — | ||||||
Total Call Equity Options | — | |||||||
Put Options on: | ||||||||
Equity Options | ||||||||
S&P 500 Index Expiring December 2022 with strike price of $3,200.00 (Notional Value $60,238,416) | 168 | (1,046,640 | ) | |||||
S&P 500 Index Expiring November 2022 with strike price of $3,400.00 (Notional Value $54,501,424) | 152 | (1,165,080 | ) | |||||
Total Put Equity Options | (2,211,720 | ) | ||||||
Total Listed Options Written | ||||||||
(Premiums received $1,586,672) | (2,211,720 | ) | ||||||
OTC INTEREST RATE SWAPTIONS WRITTEN††,12 - 0.0% | ||||||||
Put Swaptions on: | ||||||||
Interest Rate Swaptions | ||||||||
Bank of America, N.A. 5-Year Interest Rate Swap Expiring November 2022 with exercise rate of 3.30% | USD | 22,750,000 | (647,142 | ) | ||||
Total Interest Rate Swaptions | (647,142 | ) | ||||||
Total OTC Interest Rate Swaptions Written | ||||||||
(Premiums received $187,688) | (647,142 | ) | ||||||
Other Assets & Liabilities, net - (6.5)% | (79,837,904 | ) | ||||||
Total Net Assets - 100.0% | $ | 1,269,062,421 | ||||||
Centrally Cleared Interest Rate Swap Agreements†† | ||||||||||||||||||||||||||||
Counterparty | Exchange | Floating | Floating | Fixed | Payment | Maturity | Notional | Value | Upfront | Unrealized | ||||||||||||||||||
BofA Securities, Inc. | CME | Pay | U.S. Secured Overnight Financing Rate | 3.45% | Annually | 09/26/32 | $ | 16,100,000 | $ | (143,221 | ) | $ | 428 | $ | (143,649 | ) | ||||||||||||
BofA Securities, Inc. | CME | Pay | U.S. Secured Overnight Financing Rate | 2.78% | Annually | 07/18/27 | 123,000,000 | (5,567,474 | ) | 817 | (5,568,291 | ) | ||||||||||||||||
| $ | (5,710,695 | ) | $ | 1,245 | $ | (5,711,940 | ) | |||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CORE BOND FUND |
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
Bank of America, N.A. | EUR | Sell | 5,735,000 | 5,743,545 USD | 10/17/22 | $ | 117,420 | |||||||||||||||||
Morgan Stanley Capital Services LLC | GBP | Sell | 2,897,000 | 3,339,204 USD | 10/17/22 | 102,975 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Buy | 69,000 | 67,635 USD | 10/17/22 | 55 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Sell | 1,028,000 | 1,003,785 USD | 12/30/22 | (11,184 | ) | |||||||||||||||||
| $ | 209,266 | |||||||||||||||||||||||
OTC Interest Rate Swaptions Written | ||||||||||||||||||||||||||||||||
Counterparty/ | Floating | Floating | Payment | Fixed | Expiration | Exercise | Swaption | Swaption | ||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||
Bank of America, N.A. 5-Year Interest Rate Swap | Pay | SOFR | Annual | 3.30 | % | 11/30/22 | 3.30 | % | $ | 22,750,000 | $ | (647,142 | ) | |||||||||||||||||||
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
◊ | Variable rate security. Rate indicated is the rate effective at September 30, 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 $557,199,031 (cost $644,334,009), or 43.9% of total net assets. |
4 | Rate indicated is the 7-day yield as of September 30, 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 $778,995 (cost $932,290), 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 September 30, 2022. See table below for additional step information for each security. |
11 | Zero coupon rate security. |
12 | Swaptions — See additional disclosure in the swaptions table above for more information on swaptions. |
13 | Security is unsettled at period end and does not have a stated effective rate. |
14 | All or a portion of this security is pledged as interest rate swap collateral at September 30, 2022. |
BofA — Bank of America | |
CME — Chicago Mercantile Exchange | |
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. |
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CORE BOND FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 6,361,144 | $ | 275,514 | $ | 62 | $ | 6,636,720 | ||||||||
Preferred Stocks | — | 64,883,211 | — | * | 64,883,211 | |||||||||||
Warrants | 20,830 | — | 7 | 20,837 | ||||||||||||
Closed-End Funds | 2,386,428 | — | — | 2,386,428 | ||||||||||||
Money Market Funds | 13,232,072 | — | — | 13,232,072 | ||||||||||||
Corporate Bonds | — | 440,674,881 | 24,819,063 | 465,493,944 | ||||||||||||
Asset-Backed Securities | — | 316,874,228 | 24,147,212 | 341,021,440 | ||||||||||||
Collateralized Mortgage Obligations | — | 235,692,796 | 4,110,384 | 239,803,180 | ||||||||||||
U.S. Government Securities | — | 141,684,110 | — | 141,684,110 | ||||||||||||
Senior Floating Rate Interests | — | 26,185,350 | 5,218,034 | 31,403,384 | ||||||||||||
Federal Agency Bonds | — | 17,844,121 | — | 17,844,121 | ||||||||||||
Municipal Bonds | — | 12,008,281 | — | 12,008,281 | ||||||||||||
Foreign Government Debt | — | 3,058,822 | — | 3,058,822 | ||||||||||||
Senior Fixed Rate Interests | — | — | 2,788,277 | 2,788,277 | ||||||||||||
Options Purchased | 9,494,360 | — | — | 9,494,360 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 220,450 | — | 220,450 | ||||||||||||
Total Assets | $ | 31,494,834 | $ | 1,259,401,764 | $ | 61,083,039 | $ | 1,351,979,637 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Options Written | $ | 2,211,720 | $ | — | $ | — | $ | 2,211,720 | ||||||||
Interest Rate Swaptions Written | — | 647,142 | — | 647,142 | ||||||||||||
Interest Rate Swap Agreements** | — | 5,711,940 | — | 5,711,940 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 11,184 | — | 11,184 | ||||||||||||
Unfunded Loan Commitments (Note 9) | — | — | 84,249 | 84,249 | ||||||||||||
Total Liabilities | $ | 2,211,720 | $ | 6,370,266 | $ | 84,249 | $ | 8,666,235 | ||||||||
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 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 | Valuation Technique | Unobservable Inputs | Input Range | Weighted Average* | |||||||||||||||
Assets: | ||||||||||||||||||||
Asset-Backed Securities | $ | 13,303,733 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | ||||||||||||||
Asset-Backed Securitie | 294 | Model Price | Purchase Price | — | — | |||||||||||||||
Asset-Backed Securities | 6,592,312 | Yield Analysis | Yield | 6.4%-7.0% | 6.7 | % | ||||||||||||||
Asset-Backed Securities | 4,250,873 | Third Party Pricing | Broker Quote | — | — | |||||||||||||||
Collateralized Mortgage Obligations | 4,110,384 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||||||||||
Common Stocks | 62 | Model Price | Liquidation Value | — | — | |||||||||||||||
Corporate Bonds | 19,743,482 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||||||||||
Corporate Bonds | 1,917,671 | Option adjusted spread off Third Party Pricing | Trade Price | — | — | |||||||||||||||
Corporate Bonds | 3,157,910 | Yield Analysis | Yield | 6.4 | % | — | ||||||||||||||
Senior Fixed Rate Interests | 2,788,277 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||||||||||
Senior Floating Rate Interests | 4,378,341 | Yield Analysis | Yield | 9.3 | % | — | ||||||||||||||
Senior Floating Rate Interests | 839,693 | Third Party Pricing | Broker Quote | — | — | |||||||||||||||
Warrants | 7 | Model Price | Liquidation Value | — | — | |||||||||||||||
Total Assets | $ | 61,083,039 |
|
| ||||||||||||||||
Liabilities: | ||||||||||||||||||||
Unfunded Loan Commitments | $ | 84,249 | Model Price | Purchase Price | — | — | ||||||||||||||
* | Inputs are weighted by the fair value of the instruments. |
Significant changes in a quote, yield or liquidation value would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.
The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $6,922,316 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $5,828,319 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.
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 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 September 30, 2022:
Assets | Liabilities | |||||||||||||||||||||||||||||||||||
| Asset- | Collateralized | Corporate | Senior | Warrants | Common | Senior | Total | Unfunded | |||||||||||||||||||||||||||
Beginning Balance | $ | 43,311,905 | $ | — | $ | 34,387,505 | $ | 1,062,752 | $ | — | $ | — | $ | 3,543,333 | $ | 82,305,495 | $ | (33,278 | ) | |||||||||||||||||
Purchases/(Receipts) | 9,603,109 | — | 3,050,000 | 5,543,730 | — | — | — | 18,196,839 | — | |||||||||||||||||||||||||||
(Sales, maturities and paydowns)/Fundings | (30,716,299 | ) | — | (552,808 | ) | (383,110 | ) | — | — | (3,312 | ) | (31,655,529 | ) | 36,638 | ||||||||||||||||||||||
Amortization of premiums/discounts | 64,787 | — | 4,065 | 15,685 | — | — | — | 84,537 | — | |||||||||||||||||||||||||||
Total realized gains (losses) included in earnings | 60,967 | — | — | 26,909 | — | — | — | 87,876 | — | |||||||||||||||||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | (989,120 | ) | — | (6,541,833 | ) | (747,479 | ) | — | — | (751,744 | ) | (9,030,176 | ) | (87,609 | ) | |||||||||||||||||||||
Transfers into Level 3 | 2,811,863 | 4,110,384 | — | — | 7 | 62 | — | 6,922,316 | — | |||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | (5,527,866 | ) | (300,453 | ) | — | — | — | (5,828,319 | ) | — | ||||||||||||||||||||||||
Ending Balance | $ | 24,147,212 | $ | 4,110,384 | $ | 24,819,063 | $ | 5,218,034 | $ | 7 | $ | 62 | $ | 2,788,277 | $ | 61,083,039 | $ | (84,249 | ) | |||||||||||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022 | $ | (989,120 | ) | $ | — | $ | (5,144,071 | ) | $ | (738,635 | ) | $ | — | $ | — | $ | (751,744 | ) | $ | (7,623,570 | ) | $ | (75,846 | ) | ||||||||||||
Step Coupon Bonds
The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.
Name | Coupon Rate at | Next Rate Reset Date | ||||||
CSMC Trust 2020-NQM1, 1.72% due 05/25/65 | 2.72 | % | 09/26/24 | |||||
OBX 2022-NQM8 Trust 2022-NQM8, 6.10% due 09/25/62 | 7.10 | % | 10/01/26 | |||||
Verus Securitization Trust 2019-4, 2.85% due 11/25/59 | 3.85 | % | 10/26/23 | |||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 59 |
CORE BOND FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2022 |
Assets: | ||||
Investments, at value (cost $1,591,371,317) | $ | 1,351,759,187 | ||
Foreign currency, at value (cost 39,068) | 39,068 | |||
Cash | 372,445 | |||
Segregated cash with broker | 310,948 | |||
Unamortized upfront premiums paid on interest rate swap agreements | 1,245 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 220,450 | |||
Prepaid expenses | 53,237 | |||
Receivables: | ||||
Securities sold | 77,476,454 | |||
Interest | 10,531,356 | |||
Fund shares sold | 6,720,983 | |||
Dividends | 24,690 | |||
Foreign tax reclaims | 6,765 | |||
Total assets | 1,447,516,828 | |||
Liabilities: | ||||
Unfunded loan commitments, at value (Note 9) (commitment fees received $110) | 84,249 | |||
Options written, at value (premiums received $1,774,360) | 2,858,862 | |||
Segregated cash due to broker | 4,759,042 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 11,184 | |||
Payable for: | ||||
Securities purchased | 161,192,509 | |||
Fund shares redeemed | 8,178,747 | |||
Variation margin on interest rate swap agreements | 301,357 | |||
Management fees | 300,666 | |||
Transfer agent/maintenance fees | 232,650 | |||
Distribution and service fees | 52,926 | |||
Fund accounting/administration fees | 14,110 | |||
Trustees’ fees* | 4,894 | |||
Miscellaneous | 463,211 | |||
Total liabilities | 178,454,407 | |||
Net assets | $ | 1,269,062,421 | ||
Net assets consist of: | ||||
Paid in capital | $ | 1,550,685,515 | ||
Total distributable earnings (loss) | (281,623,094 | ) | ||
Net assets | $ | 1,269,062,421 | ||
A-Class: | ||||
Net assets | $ | 112,084,446 | ||
Capital shares outstanding | 7,028,838 | |||
Net asset value per share | $ | 15.95 | ||
Maximum offering price per share (Net asset value divided by 96.00%) | $ | 16.61 | ||
C-Class: | ||||
Net assets | $ | 20,969,660 | ||
Capital shares outstanding | 1,320,816 | |||
Net asset value per share | $ | 15.88 | ||
P-Class: | ||||
Net assets | $ | 53,203,204 | ||
Capital shares outstanding | 3,333,455 | |||
Net asset value per share | $ | 15.96 | ||
Institutional Class: | ||||
Net assets | $ | 1,082,805,111 | ||
Capital shares outstanding | 67,994,256 | |||
Net asset value per share | $ | 15.92 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
60 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CORE BOND FUND |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2022 |
Investment Income: | ||||
Dividends | $ | 2,522,704 | ||
Interest (net of foreign withholding tax of $19,484) | 46,862,756 | |||
Total investment income | 49,385,460 | |||
Expenses: | ||||
Management fees | 5,788,622 | |||
Distribution and service fees: | ||||
A-Class | 331,105 | |||
C-Class | 269,054 | |||
P-Class | 192,325 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 87,558 | |||
C-Class | 30,701 | |||
P-Class | 150,301 | |||
Institutional Class | 1,336,014 | |||
Fund accounting/administration fees | 893,202 | |||
Professional fees | 129,851 | |||
Line of credit fees | 98,438 | |||
Interest expense | 53,877 | |||
Custodian fees | 40,146 | |||
Trustees’ fees* | 15,337 | |||
Miscellaneous | 319,289 | |||
Recoupment of previously waived fees: | ||||
A-Class | 8,157 | |||
C-Class | 150 | |||
Total expenses | 9,744,127 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (37,546 | ) | ||
C-Class | (19,565 | ) | ||
P-Class | (115,220 | ) | ||
Institutional Class | (1,299,751 | ) | ||
Expenses waived by Adviser | (80,877 | ) | ||
Earnings credits applied | (1,080 | ) | ||
Total waived/reimbursed expenses | (1,554,039 | ) | ||
Net expenses | 8,190,088 | |||
Net investment income | 41,195,372 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (37,310,090 | ) | ||
Investments sold short | 53,035 | |||
Swap agreements | (267,391 | ) | ||
Options purchased | 4,983,391 | |||
Options written | (2,261,338 | ) | ||
Forward foreign currency exchange contracts | 2,059,346 | |||
Foreign currency transactions | 36,165 | |||
Net realized loss | (32,706,882 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (275,687,244 | ) | ||
Investments sold short | (55,804 | ) | ||
Swap agreements | (5,758,376 | ) | ||
Options purchased | 1,236,071 | |||
Options written | (1,225,827 | ) | ||
Forward foreign currency exchange contracts | (4,590 | ) | ||
Foreign currency translations | (5,866 | ) | ||
Net change in unrealized appreciation (depreciation) | (281,501,636 | ) | ||
Net realized and unrealized loss | (314,208,518 | ) | ||
Net decrease in net assets resulting from operations | $ | (273,013,146 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 61 |
CORE BOND FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 41,195,372 | $ | 38,596,466 | ||||
Net realized gain (loss) on investments | (32,706,882 | ) | 32,193,034 | |||||
Net change in unrealized appreciation (depreciation) on investments | (281,501,636 | ) | (36,579,122 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (273,013,146 | ) | 34,210,378 | |||||
Distributions to shareholders: | ||||||||
A-Class | (5,310,242 | ) | (6,777,135 | ) | ||||
C-Class | (886,223 | ) | (1,300,689 | ) | ||||
P-Class | (3,202,815 | ) | (3,119,744 | ) | ||||
Institutional Class | (53,683,559 | ) | (62,477,661 | ) | ||||
Total distributions to shareholders | (63,082,839 | ) | (73,675,229 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 25,104,560 | 40,344,152 | ||||||
C-Class | 3,987,535 | 12,009,830 | ||||||
P-Class | 23,865,120 | 50,228,861 | ||||||
Institutional Class | 846,789,895 | 818,599,668 | ||||||
Distributions reinvested | ||||||||
A-Class | 4,975,780 | 6,350,495 | ||||||
C-Class | 789,061 | 1,147,128 | ||||||
P-Class | 3,202,815 | 3,119,734 | ||||||
Institutional Class | 50,481,098 | 58,072,751 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (39,064,313 | ) | (111,584,248 | ) | ||||
C-Class | (11,198,757 | ) | (12,039,187 | ) | ||||
P-Class | (45,775,520 | ) | (23,176,345 | ) | ||||
Institutional Class | (914,366,168 | ) | (598,902,302 | ) | ||||
Net increase (decrease) from capital share transactions | (51,208,894 | ) | 244,170,537 | |||||
Net increase (decrease) in net assets | (387,304,879 | ) | 204,705,686 | |||||
Net assets: | ||||||||
Beginning of year | 1,656,367,300 | 1,451,661,614 | ||||||
End of year | $ | 1,269,062,421 | $ | 1,656,367,300 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 1,393,708 | 1,985,400 | ||||||
C-Class | 219,121 | 595,114 | ||||||
P-Class | 1,227,313 | 2,494,993 | ||||||
Institutional Class | 47,258,448 | 40,361,294 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 268,662 | 312,565 | ||||||
C-Class | 42,495 | 56,670 | ||||||
P-Class | 172,067 | 153,682 | ||||||
Institutional Class | 2,738,168 | 2,864,869 | ||||||
Shares redeemed | ||||||||
A-Class | (2,163,532 | ) | (5,426,999 | ) | ||||
C-Class | (613,680 | ) | (600,885 | ) | ||||
P-Class | (2,510,695 | ) | (1,149,450 | ) | ||||
Institutional Class | (51,037,587 | ) | (29,741,956 | ) | ||||
Net increase (decrease) in shares | (3,005,512 | ) | 11,905,297 | |||||
62 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CORE BOND FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 20.06 | $ | 20.53 | $ | 18.94 | $ | 18.33 | $ | 18.55 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .46 | .44 | .37 | .41 | .49 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.84 | ) | (.01 | ) | 1.63 | .63 | (.22 | ) | ||||||||||||
Total from investment operations | (3.38 | ) | .43 | 2.00 | 1.04 | .27 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.47 | ) | (.47 | ) | (.41 | ) | (.43 | ) | (.49 | ) | ||||||||||
Net realized gains | (.26 | ) | (.43 | ) | — | — | — | |||||||||||||
Total distributions | (.73 | ) | (.90 | ) | (.41 | ) | (.43 | ) | (.49 | ) | ||||||||||
Net asset value, end of period | $ | 15.95 | $ | 20.06 | $ | 20.53 | $ | 18.94 | $ | 18.33 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (17.30 | %) | 2.09 | % | 10.68 | % | 5.72 | % | 1.46 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 112,084 | $ | 151,026 | $ | 218,856 | $ | 149,442 | $ | 119,066 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.53 | % | 2.20 | % | 1.87 | % | 2.23 | % | 2.64 | % | ||||||||||
Total expensesc | 0.82 | % | 0.85 | % | 0.85 | % | 0.89 | % | 0.93 | % | ||||||||||
Net expensesd,e,f | 0.78 | % | 0.79 | % | 0.79 | % | 0.80 | % | 0.83 | % | ||||||||||
Portfolio turnover rate | 49 | % | 103 | % | 126 | % | 77 | % | 53 | % | ||||||||||
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 19.97 | $ | 20.45 | $ | 18.86 | $ | 18.25 | $ | 18.47 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .33 | .29 | .22 | .28 | .35 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.83 | ) | (.03 | ) | 1.64 | .62 | (.22 | ) | ||||||||||||
Total from investment operations | (3.50 | ) | .26 | 1.86 | .90 | .13 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.33 | ) | (.31 | ) | (.27 | ) | (.29 | ) | (.35 | ) | ||||||||||
Net realized gains | (.26 | ) | (.43 | ) | — | — | — | |||||||||||||
Total distributions | (.59 | ) | (.74 | ) | (.27 | ) | (.29 | ) | (.35 | ) | ||||||||||
Net asset value, end of period | $ | 15.88 | $ | 19.97 | $ | 20.45 | $ | 18.86 | $ | 18.25 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (17.90 | %) | 1.34 | % | 9.86 | % | 4.96 | % | 0.71 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 20,970 | $ | 33,407 | $ | 33,163 | $ | 22,531 | $ | 18,799 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.78 | % | 1.46 | % | 1.13 | % | 1.50 | % | 1.92 | % | ||||||||||
Total expensesc | 1.61 | % | 1.61 | % | 1.62 | % | 1.67 | % | 1.75 | % | ||||||||||
Net expensesd,e,f | 1.53 | % | 1.54 | % | 1.54 | % | 1.55 | % | 1.57 | % | ||||||||||
Portfolio turnover rate | 49 | % | 103 | % | 126 | % | 77 | % | 53 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 63 |
CORE BOND FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 20.07 | $ | 20.55 | $ | 18.96 | $ | 18.34 | $ | 18.56 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .46 | .44 | .36 | .41 | .48 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.84 | ) | (.02 | ) | 1.64 | .63 | (.21 | ) | ||||||||||||
Total from investment operations | (3.38 | ) | .42 | 2.00 | 1.04 | .27 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.47 | ) | (.47 | ) | (.41 | ) | (.42 | ) | (.49 | ) | ||||||||||
Net realized gains | (.26 | ) | (.43 | ) | — | — | — | |||||||||||||
Total distributions | (.73 | ) | (.90 | ) | (.41 | ) | (.42 | ) | (.49 | ) | ||||||||||
Net asset value, end of period | $ | 15.96 | $ | 20.07 | $ | 20.55 | $ | 18.96 | $ | 18.34 | ||||||||||
| ||||||||||||||||||||
Total Return | (17.30 | %) | 2.04 | % | 10.67 | % | 5.77 | % | 1.45 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 53,203 | $ | 89,223 | $ | 60,534 | $ | 50,258 | $ | 48,263 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.49 | % | 2.17 | % | 1.86 | % | 2.24 | % | 2.61 | % | ||||||||||
Total expensesc | 0.94 | % | 0.90 | % | 0.91 | % | 0.93 | % | 0.94 | % | ||||||||||
Net expensesd,e,f | 0.78 | % | 0.79 | % | 0.79 | % | 0.80 | % | 0.80 | % | ||||||||||
Portfolio turnover rate | 49 | % | 103 | % | 126 | % | 77 | % | 53 | % | ||||||||||
64 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CORE BOND FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 20.03 | $ | 20.51 | $ | 18.91 | $ | 18.30 | $ | 18.52 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .52 | .50 | .42 | .47 | .54 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.85 | ) | (.03 | ) | 1.65 | .62 | (.22 | ) | ||||||||||||
Total from investment operations | (3.33 | ) | .47 | 2.07 | 1.09 | .32 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.52 | ) | (.52 | ) | (.47 | ) | (.48 | ) | (.54 | ) | ||||||||||
Net realized gains | (.26 | ) | (.43 | ) | — | — | — | |||||||||||||
Total distributions | (.78 | ) | (.95 | ) | (.47 | ) | (.48 | ) | (.54 | ) | ||||||||||
Net asset value, end of period | $ | 15.92 | $ | 20.03 | $ | 20.51 | $ | 18.91 | $ | 18.30 | ||||||||||
| ||||||||||||||||||||
Total Return | (17.09 | %) | 2.34 | % | 11.07 | % | 6.03 | % | 1.75 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,082,805 | $ | 1,382,711 | $ | 1,139,109 | $ | 613,571 | $ | 380,974 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.84 | % | 2.49 | % | 2.17 | % | 2.52 | % | 2.92 | % | ||||||||||
Total expensesc | 0.60 | % | 0.60 | % | 0.58 | % | 0.62 | % | 0.60 | % | ||||||||||
Net expensesd,e,f | 0.49 | % | 0.50 | % | 0.50 | % | 0.51 | % | 0.52 | % | ||||||||||
Portfolio turnover rate | 49 | % | 103 | % | 126 | % | 77 | % | 53 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 9/30/22 | 9/30/21 | 9/30/20 | 9/30/19 | 9/30/18 | |
A-Class | 0.01% | 0.01% | 0.00%* | — | 0.00%* | |
C-Class | 0.00%* | — | 0.00%* | — | 0.00%* | |
P-Class | — | — | 0.00%* | 0.00%* | 0.00%* | |
Institutional Class | — | — | 0.00%* | — | 0.00%* |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 9/30/22 | 9/30/21 | 9/30/20 | 9/30/19 | 9/30/18 | |
A-Class | 0.77% | 0.78% | 0.78% | 0.79% | 0.82% | |
C-Class | 1.52% | 1.53% | 1.53% | 1.54% | 1.57% | |
P-Class | 0.77% | 0.78% | 0.78% | 0.79% | 0.80% | |
Institutional Class | 0.48% | 0.49% | 0.49% | 0.50% | 0.52% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 65 |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim Municipal Income Fund (“Fund”). Guggenheim Partners Investment Management, LLC (“GPIM”) and Guggenheim Partners Advisors, LLC (“GPA”), an affiliate of GPIM, serve as the Fund’s sub-advisers (“each a “Sub-Adviser”). The Fund is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC; Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner of GPIM; Allen Li, CFA, Managing Director and Portfolio Manager of GPIM; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director and Portfolio Manager of GPIM; and Adam J. Bloch, Managing Director and Portfolio Manager of GPIM. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund returned -16.67%1, underperforming the Fund’s benchmark, the Bloomberg Municipal Bond Index, which returned -11.50% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
Accelerating inflation expectations and multiple rounds of interest rate hikes by the Federal Reserve were the primary drivers of municipal market performance during the Reporting Period. Technical factors that propelled positive performance in fiscal year 2021 – such as mutual fund inflows and negative net supply – swung in the opposite direction during the Reporting Period, more than offsetting positive developments in credit fundamentals of most municipal obligors.
Investors stampeded out of municipal mutual funds, which experienced $91.5 billion of outflows – a new record –during the first nine months of 2022. Long duration paper was disproportionately impacted, as investors avoided interest rate risk. Within the Bloomberg Municipal Bond Index, bonds maturing beyond 22 years returned -18.48% during fiscal year 2022, underperforming the broader Index by nearly 700 basis points.
A similar story played out within the Fund, where long duration assets such as zero-coupon bonds and tax-exempt agency commercial mortgage-backed securities contributed to the underperformance. Tax-exempt closed-end funds, with their levered duration profile and exposure to short-term funding costs, also came under pressure and lagged cash bonds.
During the Reporting Period, the Fund used interest rate swaps to help manage duration positioning . Over the Reporting Period, interest rate swaps contributed to performance.
How was the Fund positioned at the end of the Reporting Period?
We continue to emphasize security selection of high-quality municipal issuers in the current environment. While most municipalities enter 2023 with high fund reserves and prudent budget planning, a slowing economic environment should favor the high quality, long duration securities that are overweight in the Fund. We remain focused on structural creditworthiness that can endure macroeconomic volatility while generating tax-exempt income that is competitive with high quality taxable bond markets.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
66 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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 |
Fixed Income Instruments | |
AAA | 34.6% |
AA | 38.2% |
A | 10.5% |
BBB | 2.5% |
BB | 0.7% |
NR2 | 0.2% |
Other Instruments | 13.3% |
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 | 3.9% |
Freddie Mac Multifamily ML Certificates Revenue Bonds, 2.49% | 3.6% |
Freddie Mac Multifamily, 1.90% | 3.0% |
Denton County Housing Finance Corp. Revenue Bonds, 2.15% | 3.0% |
Ysleta Independent School District General Obligation Unlimited, 4.00% | 2.5% |
Stockton Unified School District General Obligation Unlimited | 2.5% |
Dayton-Montgomery County Port Authority Revenue Bonds, 1.83% | 2.4% |
Freddie Mac Multifamily Variable Rate Certificate Revenue Bonds, 3.15% | 2.3% |
Los Angeles Department of Water & Power Revenue Bonds, 5.00% | 2.1% |
Bexar County Hospital District General Obligation Limited, 5.00% | 2.1% |
Top Ten Total | 27.4% |
“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 ANNUAL REPORT | 67 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (16.67%) | (0.71%) | 0.99% |
A-Class Shares with sales charge‡ | (20.00%) | (1.52%) | 0.50% |
C-Class Shares | (17.23%) | (1.43%) | 0.25% |
C-Class Shares with CDSC§ | (18.05%) | (1.43%) | 0.25% |
Institutional Class Shares | (16.46%) | (0.48%) | 1.25% |
Bloomberg Municipal Bond Index | (11.50%) | 0.59% | 1.79% |
| 1 Year | 5 Year | Since |
P-Class Shares | (16.61%) | (0.71%) | 0.29% |
Bloomberg Municipal Bond Index | (11.50%) | 0.59% | 1.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Municipal Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares and Institutional shares will vary due to differences in fee structures. |
‡ | Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge is used to calculate performance for periods based on subscriptions made on or after October 1, 2015. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
~ | Effective January 13, 2012, the Fund acquired all of the assets and liabilities of the TS&W/Claymore Tax-Advantage Balanced Fund (“TYW”), a registered closed-end management investment company. The A-Class performance prior to that date reflects performance of TYW. |
68 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
MUNICIPAL INCOME FUND |
| Shares | Value | ||||||
CLOSED-END FUNDS† - 8.7% | ||||||||
BlackRock MuniVest Fund, Inc. | 90,802 | $ | 602,925 | |||||
Nuveen California Quality Municipal Income Fund | 49,986 | 548,346 | ||||||
BlackRock Municipal Income Quality Trust | 43,500 | 477,195 | ||||||
BlackRock MuniYield Quality Fund, Inc. | 42,500 | 469,625 | ||||||
DWS Municipal Income Trust | 53,020 | 441,126 | ||||||
BlackRock Municipal Income Fund, Inc. | 38,861 | 422,030 | ||||||
Invesco Trust for Investment Grade Municipals | 40,355 | 377,723 | ||||||
Invesco Municipal Trust | 36,338 | 332,130 | ||||||
Nuveen AMT-Free Quality Municipal Income Fund | 29,451 | 312,181 | ||||||
BlackRock MuniHoldings California Quality Fund, Inc. | 27,404 | 294,319 | ||||||
Total Closed-End Funds | ||||||||
(Cost $5,626,620) | 4,277,600 | |||||||
MONEY MARKET FUNDS† - 3.7% | ||||||||
Dreyfus AMT-Free Tax Exempt Cash Management Fund — Institutional Shares, 1.96%1 | 1,389,627 | 1,389,627 | ||||||
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 2.15%1 | 423,438 | 423,438 | ||||||
Total Money Market Funds | ||||||||
(Cost $1,813,065) | 1,813,065 | |||||||
Face | ||||||||
MUNICIPAL BONDS†† - 81.6% | ||||||||
California - 23.5% | ||||||||
El Camino Healthcare District General Obligation Unlimited | ||||||||
due 08/01/292 | $ | 2,500,000 | 1,925,290 | |||||
Stockton Unified School District General Obligation Unlimited | ||||||||
due 08/01/332 | 2,000,000 | 1,231,629 | ||||||
due 08/01/372 | 810,000 | 399,195 | ||||||
due 08/01/422 | 250,000 | 92,665 | ||||||
Los Angeles Department of Water & Power Revenue Bonds | ||||||||
5.00% due 07/01/50 | 1,000,000 | 1,043,180 | ||||||
San Diego Unified School District General Obligation Unlimited | ||||||||
due 07/01/392 | 1,000,000 | 452,355 | ||||||
due 07/01/462 | 1,360,000 | 411,972 | ||||||
Sierra Joint Community College District School Facilities District No. 1 General Obligation Unlimited | ||||||||
due 08/01/312 | 705,000 | 504,990 | ||||||
due 08/01/302 | 415,000 | 311,523 | ||||||
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited | ||||||||
due 08/01/423,6 | 1,000,000 | 662,708 | ||||||
Newport Mesa Unified School District General Obligation Unlimited | ||||||||
due 08/01/392 | 1,300,000 | 600,366 | ||||||
Sonoma Valley Unified School District General Obligation Unlimited | ||||||||
4.00% due 08/01/44 | 600,000 | 539,599 | ||||||
State of California General Obligation Unlimited | ||||||||
5.00% due 09/01/26 | 500,000 | 533,949 | ||||||
Compton Unified School District General Obligation Unlimited | ||||||||
due 06/01/402 | 1,000,000 | 422,646 | ||||||
Delhi Unified School District General Obligation Unlimited | ||||||||
5.00% due 08/01/44 | 250,000 | 257,982 | ||||||
Gustine Unified School District General Obligation Unlimited | ||||||||
5.00% due 08/01/26 | 220,000 | 233,342 | ||||||
Alameda Corridor Transportation Authority Revenue Bonds | ||||||||
due 10/01/51 | 500,000 | 227,971 | ||||||
Stockton Public Financing Authority Revenue Bonds | ||||||||
5.00% due 10/01/33 | 200,000 | 213,304 | ||||||
M-S-R Energy Authority Revenue Bonds | ||||||||
6.13% due 11/01/29 | 190,000 | 206,383 | ||||||
Upland Unified School District General Obligation Unlimited | ||||||||
due 08/01/382 | 400,000 | 184,600 | ||||||
El Monte Union High School District General Obligation Unlimited | ||||||||
due 06/01/432 | 500,000 | 172,367 | ||||||
Westside Elementary School District General Obligation Unlimited | ||||||||
5.00% due 08/01/48 | 155,000 | 160,614 | ||||||
Rio Hondo Community College District General Obligation Unlimited | ||||||||
due 08/01/292 | 200,000 | 153,303 | ||||||
Freddie Mac Multifamily VRD Certificates Revenue Bonds | ||||||||
2.40% due 10/15/29 | 150,000 | 137,256 | ||||||
Coast Community College District General Obligation Unlimited | ||||||||
due 08/01/402 | 250,000 | 108,518 | ||||||
Department of Veterans Affairs Veteran’s Farm & Home Purchase Program Revenue Bonds | ||||||||
3.45% due 12/01/39 | 110,000 | 106,943 | ||||||
California - 23.5% | ||||||||
Buena Park School District General Obligation Unlimited | ||||||||
5.00% due 08/01/47 | 100,000 | 103,689 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MUNICIPAL INCOME FUND |
| Face | Value | ||||||
City of Los Angeles Department of Airports Revenue Bonds | ||||||||
5.00% due 05/15/44 | $ | 100,000 | $ | 103,509 | ||||
Roseville Joint Union High School District General Obligation Unlimited | ||||||||
due 08/01/302 | 100,000 | 73,413 | ||||||
Total California | 11,575,261 | |||||||
Texas - 17.0% | ||||||||
Denton County Housing Finance Corp. Revenue Bonds | ||||||||
2.15% due 11/01/38 | 2,000,000 | 1,492,946 | ||||||
Central Texas Regional Mobility Authority Revenue Bonds | ||||||||
5.00% due 01/01/45 | 1,250,000 | 1,254,300 | ||||||
Ysleta Independent School District General Obligation Unlimited | ||||||||
4.00% due 08/15/52 | 1,400,000 | 1,232,334 | ||||||
Bexar County Hospital District General Obligation Limited | ||||||||
5.00% due 02/15/47 | 1,000,000 | 1,033,267 | ||||||
Cleveland Independent School District General Obligation Unlimited | ||||||||
4.00% due 02/15/52 | 1,000,000 | 884,783 | ||||||
North Texas Tollway Authority Revenue Bonds | ||||||||
due 01/01/362 | 1,000,000 | 540,552 | ||||||
Lindale Independent School District General Obligation Unlimited | ||||||||
5.00% due 02/15/49 | 200,000 | 211,228 | ||||||
United Independent School District General Obligation Unlimited | ||||||||
5.00% due 08/15/49 | 200,000 | 211,228 | ||||||
Southwest Independent School District General Obligation Unlimited | ||||||||
due 02/01/422 | 500,000 | 198,451 | ||||||
Clifton Higher Education Finance Corp. Revenue Bonds | ||||||||
4.00% due 08/15/33 | 200,000 | 196,661 | ||||||
Arlington Higher Education Finance Corp. Revenue Bonds | ||||||||
5.00% due 12/01/46 | 200,000 | 195,755 | ||||||
Grand Parkway Transportation Corp. Revenue Bonds | ||||||||
5.00% due 10/01/43 | 175,000 | 181,348 | ||||||
Harris County-Houston Sports Authority Revenue Bonds | ||||||||
due 11/15/532 | 1,000,000 | 174,859 | ||||||
Texas Municipal Gas Acquisition and Supply Corporation I Revenue Bonds | ||||||||
6.25% due 12/15/26 | 135,000 | 140,264 | ||||||
Hutto Independent School District General Obligation Unlimited | ||||||||
5.00% due 08/01/49 | 100,000 | 105,208 | ||||||
Mansfield Independent School District General Obligation Unlimited | ||||||||
5.00% due 02/15/44 | 100,000 | 104,340 | ||||||
| Face | |||||||
University of North Texas System Revenue Bonds | ||||||||
5.00% due 04/15/44 | 100,000 | 102,819 | ||||||
City of Arlington Texas Special Tax Revenue Special Tax | ||||||||
5.00% due 02/15/48 | 100,000 | 100,744 | ||||||
San Antonio Education Facilities Corp. Revenue Bonds | ||||||||
5.00% due 06/01/23 | 10,000 | 10,024 | ||||||
Tarrant County Health Facilities Development Corp. Revenue Bonds | ||||||||
6.00% due 09/01/24 | 5,000 | 5,138 | ||||||
Leander Independent School District General Obligation Unlimited | ||||||||
due 08/15/242 | 5,000 | 2,760 | ||||||
Total Texas | 8,379,009 | |||||||
New York - 4.7% | ||||||||
New York City Municipal Water Finance Authority Revenue Bonds | ||||||||
5.00% due 06/15/49 | 1,000,000 | 1,031,115 | ||||||
New York City Industrial Development Agency Revenue Bonds | ||||||||
4.00% due 03/01/32 | 500,000 | 503,415 | ||||||
New York Transportation Development Corp. Revenue Bonds | ||||||||
5.00% due 12/01/22 | 250,000 | 250,392 | ||||||
5.00% due 07/01/34 | 200,000 | 201,070 | ||||||
New York State Dormitory Authority Revenue Bonds | ||||||||
4.00% due 08/01/43 | 250,000 | 224,729 | ||||||
New York Power Authority Revenue Bonds | ||||||||
4.00% due 11/15/45 | 100,000 | 89,832 | ||||||
Total New York | 2,300,553 | |||||||
Ohio - 3.2% | ||||||||
Dayton-Montgomery County Port Authority Revenue Bonds | ||||||||
1.83% due 09/01/38 | 1,600,000 | 1,170,189 | ||||||
County of Miami Ohio Revenue Bonds | ||||||||
5.00% due 08/01/33 | 200,000 | 205,380 | ||||||
American Municipal Power, Inc. Revenue Bonds | ||||||||
5.00% due 02/15/41 | 200,000 | 203,015 | ||||||
Total Ohio | 1,578,584 | |||||||
Tennessee - 3.0% | ||||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds | ||||||||
2.25% due 07/01/45 | 1,500,000 | 968,089 | ||||||
City of Shelbyville & Bedford County Health Educational & Housing Facility Board Revenue Bonds | ||||||||
2.21% due 06/01/38 | 500,000 | 369,730 | ||||||
70 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MUNICIPAL INCOME FUND |
| Face | Value | ||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds | ||||||||
2.48% due 12/01/37 | $ | 200,000 | $ | 155,397 | ||||
Total Tennessee | 1,493,216 | |||||||
Arizona - 2.9% | ||||||||
Arizona Industrial Development Authority Revenue Bonds | ||||||||
2.12% due 07/01/37 | 1,162,404 | 868,285 | ||||||
Maricopa County Industrial Development Authority Revenue Bonds | ||||||||
5.00% due 01/01/41 | 250,000 | 256,176 | ||||||
Salt Verde Financial Corp. Revenue Bonds | ||||||||
5.00% due 12/01/32 | 200,000 | 201,484 | ||||||
Pinal County Elementary School District No. 4 Casa Grande General Obligation Unlimited | ||||||||
5.00% due 07/01/37 | 100,000 | 107,357 | ||||||
Total Arizona | 1,433,302 | |||||||
Oregon - 2.7% | ||||||||
Clackamas & Washington Counties School District No. 3 General Obligation Unlimited | ||||||||
due 06/15/482 | 2,000,000 | 522,857 | ||||||
due 06/15/502 | 400,000 | 93,775 | ||||||
due 06/15/492 | 350,000 | 86,649 | ||||||
Salem-Keizer School District No. 24J General Obligation Unlimited | ||||||||
due 06/15/402 | 1,250,000 | 535,568 | ||||||
University of Oregon Revenue Bonds | ||||||||
5.00% due 04/01/48 | 100,000 | 102,999 | ||||||
Total Oregon | 1,341,848 | |||||||
Colorado - 2.6% | ||||||||
E-470 Public Highway Authority Revenue Bonds | ||||||||
5.00% due 09/01/36 | 650,000 | 692,062 | ||||||
City & County of Denver Colorado Airport System Revenue Bonds | ||||||||
5.00% due 12/01/28 | 200,000 | 208,845 | ||||||
City & County of Denver Colorado Dedicated Excise Tax Revenue Bonds | ||||||||
due 08/01/302 | 200,000 | 145,816 | ||||||
Colorado Educational & Cultural Facilities Authority Revenue Bonds | ||||||||
5.00% due 03/01/47 | 110,000 | 112,848 | ||||||
Colorado School of Mines Revenue Bonds | ||||||||
5.00% due 12/01/47 | 100,000 | 102,935 | ||||||
Total Colorado | 1,262,506 | |||||||
Virginia - 2.5% | ||||||||
Freddie Mac Multifamily Variable Rate Certificate Revenue Bonds | ||||||||
3.15% due 10/15/36 | 1,290,000 | 1,109,341 | ||||||
Loudoun County Economic Development Authority Revenue Bonds | ||||||||
due 07/01/492 | 500,000 | 129,767 | ||||||
City of Norfolk Virginia General Obligation Unlimited | ||||||||
2.50% due 10/01/463 | 5,000 | 4,950 | ||||||
Total Virginia | 1,244,058 | |||||||
North Carolina - 2.0% | ||||||||
Inlivian Revenue Bonds | ||||||||
2.02% due 04/01/42 | 1,000,000 | 655,492 | ||||||
North Carolina Central University Revenue Bonds | ||||||||
5.00% due 04/01/44 | 300,000 | 311,275 | ||||||
Total North Carolina | 966,767 | |||||||
District of Columbia - 2.0% | ||||||||
District of Columbia Revenue Bonds | ||||||||
4.00% due 03/01/39 | 1,000,000 | 960,926 | ||||||
West Virginia - 1.9% | ||||||||
West Virginia University Revenue Bonds | ||||||||
5.00% due 10/01/41 | 600,000 | 642,846 | ||||||
West Virginia Hospital Finance Authority Revenue Bonds | ||||||||
5.00% due 06/01/42 | 300,000 | 298,148 | ||||||
Total West Virginia | 940,994 | |||||||
Illinois - 1.9% | ||||||||
City of Chicago Illinois Wastewater Transmission Revenue Bonds | ||||||||
5.25% due 01/01/42 | 400,000 | 411,760 | ||||||
Illinois Finance Authority Revenue Bonds | ||||||||
5.00% due 10/01/38 | 250,000 | 268,387 | ||||||
University of Illinois Revenue Bonds | ||||||||
6.00% due 10/01/29 | 200,000 | 204,740 | ||||||
County of State Clair Illinois Highway Revenue Bonds | ||||||||
4.25% due 01/01/23 | 40,000 | 40,111 | ||||||
Total Illinois | 924,998 | |||||||
Washington - 1.6% | ||||||||
Yakima & Kittitas Counties School District No. 119 Selah General Obligation Unlimited | ||||||||
5.00% due 12/01/42 | 200,000 | 212,741 | ||||||
County of King Washington Sewer Revenue Bonds | ||||||||
5.00% due 07/01/42 | 200,000 | 207,661 | ||||||
Central Puget Sound Regional Transit Authority Revenue Bonds | ||||||||
5.00% due 11/01/41 | 200,000 | 207,277 | ||||||
Washington State Convention Center Public Facilities District Revenue Bonds | ||||||||
4.00% due 07/01/48 | 210,000 | 162,339 | ||||||
Total Washington | 790,018 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MUNICIPAL INCOME FUND |
| Face | Value | ||||||
New Jersey - 1.2% | ||||||||
New Jersey Turnpike Authority Revenue Bonds | �� | |||||||
5.00% due 01/01/31 | $ | 300,000 | $ | 319,067 | ||||
New Jersey Economic Development Authority Revenue Bonds | ||||||||
5.00% due 06/01/28 | 250,000 | 264,636 | ||||||
Total New Jersey | 583,703 | |||||||
Oklahoma - 1.1% | ||||||||
Oklahoma Development Finance Authority Revenue Bonds | ||||||||
5.00% due 08/15/28 | 350,000 | 335,989 | ||||||
Oklahoma City Airport Trust Revenue Bonds | ||||||||
5.00% due 07/01/30 | 200,000 | 207,406 | ||||||
Total Oklahoma | 543,395 | |||||||
Michigan - 1.0% | ||||||||
Michigan State Hospital Finance Authority Revenue Bonds | ||||||||
5.00% due 11/15/47 | 200,000 | 199,785 | ||||||
Michigan State Housing Development Authority Revenue Bonds | ||||||||
3.35% due 12/01/34 | 200,000 | 175,358 | ||||||
Flint Hospital Building Authority Revenue Bonds | ||||||||
5.00% due 07/01/25 | 100,000 | 101,892 | ||||||
Total Michigan | 477,035 | |||||||
Missouri - 0.8% | ||||||||
Industrial Development Authority of the City of State Louis Missouri Revenue Bonds | ||||||||
2.22% due 12/01/38 | 494,941 | 379,326 | ||||||
Arkansas - 0.7% | ||||||||
County of Baxter Arkansas Revenue Bonds | ||||||||
5.00% due 09/01/26 | 330,000 | 338,819 | ||||||
Alaska - 0.5% | ||||||||
University of Alaska Revenue Bonds | ||||||||
5.00% due 10/01/40 | 260,000 | 270,115 | ||||||
Louisiana - 0.5% | ||||||||
City of Shreveport Louisiana Water & Sewer Revenue Bonds | ||||||||
5.00% due 12/01/35 | 250,000 | 264,183 | ||||||
Louisiana Public Facilities Authority Revenue Bonds | ||||||||
5.00% due 05/15/26 | 5,000 | 5,212 | ||||||
Total Louisiana | 269,395 | |||||||
Nebraska - 0.4% | ||||||||
Central Plains Energy Project Revenue Bonds | ||||||||
5.00% due 09/01/29 | 200,000 | 204,977 | ||||||
South Carolina - 0.4% | ||||||||
Charleston County Airport District Revenue Bonds | ||||||||
5.00% due 07/01/43 | 200,000 | 204,436 | ||||||
Vermont - 0.4% | ||||||||
Vermont Educational & Health Buildings Financing Agency Revenue Bonds | ||||||||
5.00% due 12/01/46 | 200,000 | 196,569 | ||||||
Connecticut - 0.4% | ||||||||
New Haven Housing Authority Revenue Bonds | ||||||||
2.26% due 05/01/38 | 246,430 | 187,482 | ||||||
South Dakota - 0.3% | ||||||||
South Dakota Board of Regents Housing & Auxiliary Facilities System Revenue Bonds | ||||||||
5.00% due 04/01/34 | 150,000 | 157,710 | ||||||
Massachusetts - 0.3% | ||||||||
Massachusetts Development Finance Agency Revenue Bonds | ||||||||
5.00% due 10/01/34 | 150,000 | 154,418 | ||||||
Pennsylvania - 0.3% | ||||||||
Allegheny County Hospital Development Authority Revenue Bonds | ||||||||
5.00% due 07/15/32 | 100,000 | 103,520 | ||||||
Owen J Roberts School District General Obligation Unlimited | ||||||||
5.00% due 05/15/23 | 25,000 | 25,285 | ||||||
City of Erie Pennsylvania General Obligation Unlimited | ||||||||
3.10% due 11/15/22 | 5,000 | 4,950 | ||||||
Total Pennsylvania | 133,755 | |||||||
Florida - 0.2% | ||||||||
Greater Orlando Aviation Authority Revenue Bonds | ||||||||
5.00% due 10/01/32 | 100,000 | 103,854 | ||||||
Florida Higher Educational Facilities Financial Authority Revenue Bonds | ||||||||
3.00% due 12/01/22 | 15,000 | 14,847 | ||||||
Total Florida | 118,701 | |||||||
Idaho - 0.2% | ||||||||
Idaho Housing & Finance Association Revenue Bonds | ||||||||
5.00% due 07/15/30 | 100,000 | 108,811 | ||||||
Utah - 0.2% | ||||||||
South Davis Metro Fire Service Area Revenue Bonds | ||||||||
5.00% due 12/01/34 | 100,000 | 105,825 | ||||||
Rhode Island - 0.2% | ||||||||
Rhode Island Health and Educational Building Corp. Revenue Bonds | ||||||||
5.00% due 05/15/42 | 100,000 | 105,761 | ||||||
72 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MUNICIPAL INCOME FUND |
| Face | Value | ||||||
Montana - 0.2% | ||||||||
Montana State Board of Regents Revenue Bonds | ||||||||
5.00% due 11/15/43 | $ | 100,000 | $ | 104,522 | ||||
Kansas - 0.2% | ||||||||
University of Kansas Hospital Authority Revenue Bonds | ||||||||
5.00% due 09/01/48 | 100,000 | 101,808 | ||||||
Iowa - 0.2% | ||||||||
PEFA, Inc. Revenue Bonds | ||||||||
5.00% due 09/01/263,4 | 100,000 | 101,525 | ||||||
New Hampshire - 0.1% | ||||||||
New Hampshire Health and Education Facilities Authority Act Revenue Bonds | ||||||||
5.00% due 01/01/23 | 60,000 | 60,277 | ||||||
New Mexico - 0.0% | ||||||||
City of Albuquerque New Mexico Gross Receipts Tax Revenue Bonds | ||||||||
5.00% due 07/01/25 | 20,000 | 20,389 | ||||||
Maryland - 0.0% | ||||||||
Maryland Health & Higher Educational Facilities Authority Revenue Bonds | ||||||||
5.00% due 07/01/27 | 5,000 | 5,169 | ||||||
Total Municipal Bonds | ||||||||
(Cost $48,723,509) | 40,125,963 | |||||||
| Shares | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 6.6% | ||||||||
Government Agency - 6.6% | ||||||||
Freddie Mac Multifamily ML Certificates Revenue Bonds | ||||||||
2.49% due 07/25/35 | 2,164,255 | 1,744,275 | ||||||
Freddie Mac Multifamily | ||||||||
1.90% due 11/25/37 | 1,960,448 | 1,493,371 | ||||||
Total Government Agency | 3,237,646 | |||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $4,276,706) | 3,237,646 | |||||||
U.S. TREASURY BILLS††,5 – 1.1% | ||||||||
U.S. Treasury Bills | ||||||||
2.26% due 12/08/22 | 380,000 | 377,944 | ||||||
2.91% due 01/19/23 | 120,000 | 118,789 | ||||||
2.83% due 01/19/23 | 50,000 | 49,495 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $546,874) | 546,228 | |||||||
Total Investments - 101.7% | ||||||||
(Cost $60,986,774) | $ | 50,000,502 | ||||||
Other Assets & Liabilities, net - (1.7)% | (824,676 | ) | ||||||
Total Net Assets - 100.0% | $ | 49,175,826 | ||||||
Centrally Cleared Interest Rate Swap Agreements†† | ||||||||||||||||||||||||||||
Counterparty | Exchange | Floating | Floating | Fixed | Payment | Maturity | Notional | Value | Upfront | Unrealized | ||||||||||||||||||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.67% | Quarterly | 09/27/51 | $ | 2,850,000 | $ | 900,422 | $ | 338 | $ | 900,084 | ||||||||||||||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.28% | Quarterly | 11/04/50 | 1,200,000 | 460,175 | 301 | 459,874 | ||||||||||||||||||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.60% | Quarterly | 08/06/51 | 1,300,000 | 425,656 | 310 | 425,346 | ||||||||||||||||||
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 2.78% | Annually | 07/25/32 | 3,340,000 | 219,011 | 321 | 218,690 | ||||||||||||||||||
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 1.48% | Annually | 01/27/29 | 1,350,000 | 168,825 | 278 | 168,547 | ||||||||||||||||||
BofA Securities, Inc. | CME | Pay | U.S. Secured Overnight Financing Rate | 2.78% | Annually | 07/18/27 | 5,600,000 | (253,479 | ) | 311 | (253,790 | ) | ||||||||||||||||
| $ | 1,920,610 | $ | 1,859 | $ | 1,918,751 | |||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2022 |
MUNICIPAL INCOME FUND |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Rate indicated is the 7-day yield as of September 30, 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 September 30, 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 September 30, 2022. |
6 | 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. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Closed-End Funds | $ | 4,277,600 | $ | — | $ | — | $ | 4,277,600 | ||||||||
Money Market Funds | 1,813,065 | — | — | 1,813,065 | ||||||||||||
Municipal Bonds | — | 40,125,963 | — | 40,125,963 | ||||||||||||
Collateralized Mortgage Obligations | — | 3,237,646 | — | 3,237,646 | ||||||||||||
U.S. Treasury Bills | — | 546,228 | — | 546,228 | ||||||||||||
Interest Rate Swap Agreements** | — | 2,172,541 | — | 2,172,541 | ||||||||||||
Total Assets | $ | 6,090,665 | $ | 46,082,378 | $ | — | $ | 52,173,043 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Interest Rate Swap Agreements** | $ | — | $ | 253,790 | $ | — | $ | 253,790 | ||||||||
** | 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 Rate | Future Reset Rate(s) | Future Reset Date(s) | ||||||||||||
City of Norfolk Virginia General Obligation Unlimited, 2.50% due 10/01/46 | 3.00 | % | 10/01/22 | 3.75% - 5.00% | 10/01/26 - 10/01/41 | |||||||||||
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited, due 08/01/42 | 6.85 | % | 08/01/32 | — | — | |||||||||||
74 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MUNICIPAL INCOME FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2022 |
Assets: | ||||
Investments, at value (cost $60,986,774) | $ | 50,000,502 | ||
Segregated cash with broker | 67,778 | |||
Unamortized upfront premiums paid on interest rate swap agreements | 1,859 | |||
Prepaid expenses | 29,585 | |||
Receivables: | ||||
Interest | 274,588 | |||
Variation margin on interest rate swap agreements | 60,801 | |||
Dividends | 15,671 | |||
Fund shares sold | 509 | |||
Total assets | 50,451,293 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 7,972 | |||
Segregated cash due to broker | 900 | |||
Payable for: | ||||
Securities purchased | 1,048,730 | |||
Fund shares redeemed | 138,085 | |||
Transfer agent/maintenance fees | 11,655 | |||
Distribution and service fees | 10,149 | |||
Due to Investment Adviser | 5,837 | |||
Fund accounting/administration fees | 4,702 | |||
Distributions to shareholders | 4,534 | |||
Trustees’ fees* | 1,352 | |||
Miscellaneous | 41,551 | |||
Total liabilities | 1,275,467 | |||
Net assets | $ | 49,175,826 | ||
Net assets consist of: | ||||
Paid in capital | $ | 57,588,344 | ||
Total distributable earnings (loss) | (8,412,518 | ) | ||
Net assets | $ | 49,175,826 | ||
A-Class: | ||||
Net assets | $ | 43,354,179 | ||
Capital shares outstanding | 3,950,722 | |||
Net asset value per share | $ | 10.97 | ||
Maximum offering price per share (Net asset value divided by 96.00%) | $ | 11.43 | ||
C-Class: | ||||
Net assets | $ | 1,063,378 | ||
Capital shares outstanding | 96,980 | |||
Net asset value per share | $ | 10.96 | ||
P-Class: | ||||
Net assets | $ | 129,154 | ||
Capital shares outstanding | 11,778 | |||
Net asset value per share | $ | 10.97 | ||
Institutional Class: | ||||
Net assets | $ | 4,629,115 | ||
Capital shares outstanding | 421,809 | |||
Net asset value per share | $ | 10.97 | ||
STATEMENT OF OPERATIONS |
Year Ended September 30, 2022 |
Investment Income: | ||||
Dividends | $ | 332,305 | ||
Interest | 1,348,373 | |||
Total investment income | 1,680,678 | |||
Expenses: | ||||
Management fees | 320,076 | |||
Distribution and service fees: | ||||
A-Class | 132,813 | |||
C-Class | 16,037 | |||
P-Class | 430 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 43,862 | |||
C-Class | 2,088 | |||
P-Class | 661 | |||
Institutional Class | 14,528 | |||
Registration fees | 69,740 | |||
Fund accounting/administration fees | 47,327 | |||
Professional fees | 43,168 | |||
Trustees’ fees* | 13,112 | |||
Custodian fees | 5,005 | |||
Line of credit fees | 4,432 | |||
Interest expense | 578 | |||
Miscellaneous | 28,039 | |||
Recoupment of previously waived fees: | ||||
A-Class | 8,147 | |||
C-Class | 177 | |||
P-Class | 22 | |||
Institutional Class | 848 | |||
Total expenses | 751,090 | |||
Less: Expenses reimbursed by Adviser: | ||||
A-Class | (50,189 | ) | ||
C-Class | (2,282 | ) | ||
P-Class | (677 | ) | ||
Institutional Class | (15,279 | ) | ||
Expenses waived by Adviser | (187,754 | ) | ||
Total waived/reimbursed expenses | (256,181 | ) | ||
Net expenses | 494,909 | |||
Net investment income | 1,185,769 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (374,781 | ) | ||
Swap agreements | 1,173,103 | |||
Net realized gain | 798,322 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (14,288,157 | ) | ||
Swap agreements | 1,261,849 | |||
Net change in unrealized appreciation (depreciation) | (13,026,308 | ) | ||
Net realized and unrealized loss | (12,227,986 | ) | ||
Net decrease in net assets resulting from operations | $ | (11,042,217 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 75 |
MUNICIPAL INCOME FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 1,185,769 | $ | 1,442,781 | ||||
Net realized gain on investments | 798,322 | 360,400 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (13,026,308 | ) | 1,033,570 | |||||
Net increase (decrease) in net assets resulting from operations | (11,042,217 | ) | 2,836,751 | |||||
Distributions to shareholders: | ||||||||
A-Class | (1,171,658 | ) | (1,163,850 | ) | ||||
C-Class | (24,004 | ) | (21,932 | ) | ||||
P-Class | (3,881 | ) | (3,987 | ) | ||||
Institutional Class | (235,117 | ) | (298,334 | ) | ||||
Total distributions to shareholders | (1,434,660 | ) | (1,488,103 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 4,529,943 | 5,705,743 | ||||||
C-Class | 540,692 | 15,573 | ||||||
P-Class | 8,594 | 56,120 | ||||||
Institutional Class | 4,638,825 | 6,430,829 | ||||||
Distributions reinvested | ||||||||
A-Class | 1,073,119 | 1,058,269 | ||||||
C-Class | 22,692 | 20,578 | ||||||
P-Class | 3,881 | 3,987 | ||||||
Institutional Class | 231,198 | 294,007 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (15,257,098 | ) | (7,038,305 | ) | ||||
C-Class | (929,727 | ) | (481,275 | ) | ||||
P-Class | (70,519 | ) | (44,766 | ) | ||||
Institutional Class | (11,258,625 | ) | (7,617,977 | ) | ||||
Net decrease from capital share transactions | (16,467,025 | ) | (1,597,217 | ) | ||||
Net decrease in net assets | (28,943,902 | ) | (248,569 | ) | ||||
Net assets: | ||||||||
Beginning of year | 78,119,728 | 78,368,297 | ||||||
End of year | $ | 49,175,826 | $ | 78,119,728 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 341,411 | 421,464 | ||||||
C-Class | 41,372 | 1,157 | ||||||
P-Class | 690 | 4,134 | ||||||
Institutional Class | 366,434 | 478,875 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 86,038 | 78,479 | ||||||
C-Class | 1,798 | 1,529 | ||||||
P-Class | 310 | 296 | ||||||
Institutional Class | 18,207 | 21,808 | ||||||
Shares redeemed | ||||||||
A-Class | (1,183,904 | ) | (524,684 | ) | ||||
C-Class | (77,700 | ) | (35,903 | ) | ||||
P-Class | (5,573 | ) | (3,349 | ) | ||||
Institutional Class | (911,726 | ) | (565,459 | ) | ||||
Net decrease in shares | (1,322,643 | ) | (121,653 | ) | ||||
76 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MUNICIPAL INCOME FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.46 | $ | 13.23 | $ | 13.12 | $ | 12.46 | $ | 12.70 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .23 | .25 | .26 | .30 | .30 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.44 | ) | .23 | .11 | .70 | (.24 | ) | |||||||||||||
Total from investment operations | (2.21 | ) | .48 | .37 | 1.00 | .06 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.22 | ) | (.23 | ) | (.26 | ) | (.30 | ) | (.30 | ) | ||||||||||
Net realized gains | (.06 | ) | (.02 | ) | — | (.04 | ) | — | ||||||||||||
Total distributions | (.28 | ) | (.25 | ) | (.26 | ) | (.34 | ) | (.30 | ) | ||||||||||
Net asset value, end of period | $ | 10.97 | $ | 13.46 | $ | 13.23 | $ | 13.12 | $ | 12.46 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (16.67 | %) | 3.67 | % | 2.85 | % | 8.13 | % | 0.44 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 43,354 | $ | 63,359 | $ | 62,583 | $ | 42,512 | $ | 25,570 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.84 | % | 1.82 | % | 1.95 | % | 2.31 | % | 2.35 | % | ||||||||||
Total expensesc | 1.18 | % | 1.17 | % | 1.21 | % | 1.34 | % | 1.30 | % | ||||||||||
Net expensesd,e,f | 0.79 | % | 0.80 | % | 0.81 | % | 0.81 | % | 0.80 | % | ||||||||||
Portfolio turnover rate | 14 | % | 22 | % | 58 | % | 30 | % | 13 | % | ||||||||||
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.45 | $ | 13.22 | $ | 13.11 | $ | 12.45 | $ | 12.69 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .14 | .15 | .16 | .21 | .20 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.45 | ) | .23 | .11 | .69 | (.24 | ) | |||||||||||||
Total from investment operations | (2.31 | ) | .38 | .27 | .90 | (.04 | ) | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.12 | ) | (.13 | ) | (.16 | ) | (.20 | ) | (.20 | ) | ||||||||||
Net realized gains | (.06 | ) | (.02 | ) | — | (.04 | ) | — | ||||||||||||
Total distributions | (.18 | ) | (.15 | ) | (.16 | ) | (.24 | ) | (.20 | ) | ||||||||||
Net asset value, end of period | $ | 10.96 | $ | 13.45 | $ | 13.22 | $ | 13.11 | $ | 12.45 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (17.23 | %) | 2.91 | % | 2.09 | % | 7.33 | % | (0.30 | %) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,063 | $ | 1,769 | $ | 2,177 | $ | 1,981 | $ | 2,403 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.08 | % | 1.08 | % | 1.23 | % | 1.63 | % | 1.60 | % | ||||||||||
Total expensesc | 1.97 | % | 1.97 | % | 1.97 | % | 2.12 | % | 2.11 | % | ||||||||||
Net expensesd,e,f | 1.54 | % | 1.55 | % | 1.56 | % | 1.56 | % | 1.55 | % | ||||||||||
Portfolio turnover rate | 14 | % | 22 | % | 58 | % | 30 | % | 13 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 77 |
MUNICIPAL INCOME FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.45 | $ | 13.22 | $ | 13.13 | $ | 12.46 | $ | 12.70 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .23 | .25 | .26 | .29 | .29 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.43 | ) | .23 | .09 | .72 | (.23 | ) | |||||||||||||
Total from investment operations | (2.20 | ) | .48 | .35 | 1.01 | .06 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.22 | ) | (.23 | ) | (.26 | ) | (.30 | ) | (.30 | ) | ||||||||||
Net realized gains | (.06 | ) | (.02 | ) | — | (.04 | ) | — | ||||||||||||
Total distributions | (.28 | ) | (.25 | ) | (.26 | ) | (.34 | ) | (.30 | ) | ||||||||||
Net asset value, end of period | $ | 10.97 | $ | 13.45 | $ | 13.22 | $ | 13.13 | $ | 12.46 | ||||||||||
| ||||||||||||||||||||
Total Return | (16.61 | %) | 3.67 | % | 2.69 | % | 8.20 | % | 0.44 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 129 | $ | 220 | $ | 202 | $ | 207 | $ | 37 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.81 | % | 1.83 | % | 1.96 | % | 2.25 | % | 2.32 | % | ||||||||||
Total expensesc | 1.47 | % | 1.38 | % | 1.40 | % | 1.55 | % | 1.72 | % | ||||||||||
Net expensesd,e,f | 0.79 | % | 0.80 | % | 0.81 | % | 0.81 | % | 0.80 | % | ||||||||||
Portfolio turnover rate | 14 | % | 22 | % | 58 | % | 30 | % | 13 | % | ||||||||||
78 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MUNICIPAL INCOME FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.46 | $ | 13.23 | $ | 13.13 | $ | 12.46 | $ | 12.71 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .26 | .28 | .29 | .33 | .33 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.44 | ) | .24 | .10 | .71 | (.25 | ) | |||||||||||||
Total from investment operations | (2.18 | ) | .52 | .39 | 1.04 | .08 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.25 | ) | (.27 | ) | (.29 | ) | (.33 | ) | (.33 | ) | ||||||||||
Net realized gains | (.06 | ) | (.02 | ) | — | (.04 | ) | — | ||||||||||||
Total distributions | (.31 | ) | (.29 | ) | (.29 | ) | (.37 | ) | (.33 | ) | ||||||||||
Net asset value, end of period | $ | 10.97 | $ | 13.46 | $ | 13.23 | $ | 13.13 | $ | 12.46 | ||||||||||
| ||||||||||||||||||||
Total Return | (16.46 | %) | 3.93 | % | 3.03 | % | 8.48 | % | 0.61 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,629 | $ | 12,772 | $ | 13,406 | $ | 13,970 | $ | 9,067 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.04 | % | 2.08 | % | 2.23 | % | 2.59 | % | 2.59 | % | ||||||||||
Total expensesc | 0.98 | % | 0.96 | % | 1.00 | % | 1.08 | % | 1.09 | % | ||||||||||
Net expensesd,e,f | 0.54 | % | 0.55 | % | 0.56 | % | 0.56 | % | 0.55 | % | ||||||||||
Portfolio turnover rate | 14 | % | 22 | % | 58 | % | 30 | % | 13 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 9/30/22 | 9/30/21 | 9/30/20 | 9/30/19 | 9/30/18 | |
A-Class | 0.02% | — | 0.00%* | 0.00%* | — | |
C-Class | 0.01% | — | 0.00%* | — | — | |
P-Class | 0.01% | — | 0.00%* | — | — | |
Institutional Class | 0.01% | — | 0.00%* | — | — |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 9/30/22 | 9/30/21 | 9/30/20 | 9/30/19 | 9/30/18 | |
A-Class | 0.78% | 0.79% | 0.80% | 0.80% | 0.80% | |
C-Class | 1.53% | 1.54% | 1.55% | 1.55% | 1.55% | |
P-Class | 0.78% | 0.79% | 0.80% | 0.80% | 0.80% | |
Institutional Class | 0.53% | 0.54% | 0.55% | 0.55% | 0.55% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 79 |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares of each Fund automatically convert to A-Class shares of the same Fund on or about the 10th day of the month following the 8-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. The High Yield Fund Offers R6-Class shares. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 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 |
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, provides advisory services. Security Investors, LLC (or the “Adviser”) provides advisory services to High Yield Fund, Core Bond Fund, and Municipal Income Fund and GPIM (or the “Adviser”) provides advisory services to Diversified Income Fund.Guggenheim Partners Advisors, LLC (“GPA” or the “Sub-Adviser”) assists the Investment Adviser in the supervision and direction of the investment strategy of the High Yield Fund, Core Bond Fund and Municipal Income Fund in accordance with their investment policies. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI , GPA and GFD are affiliated entities. GPIM, an affiliate of GI, serves as investment sub-advisor (the “Sub-Adviser”) 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”) adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). The U.S. Securities and Exchange
80 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Funds with respect to all Fund investments and/or other assets. As the Funds’ valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s nvestment management, fund administration, legal and compliance departments (the “Valuation Committee”), in 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 Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
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 generally 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.
Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing services.
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 Adviser.
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.
Futures contracts are valued on the basis of the last sale price at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
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NOTES TO FINANCIAL STATEMENTS (continued) |
The value of interest rate swap agreements entered into by a fund is valued on the basis of the last sale price on the primary exchange on which the swap is traded.
The values of other swap agreements entered into by a fund are generally valued using an evaluated price provided by a third party pricing vendor.
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.
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.
(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
82 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.
When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
The Fund may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the options. The swaptions are forward premium swaptions which have extended settlement dates.
(g) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
(h) Currency Translations
The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(i) Forward Foreign Currency Exchange Contracts
The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
(j) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2022, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 83 |
NOTES TO FINANCIAL STATEMENTS (continued) |
(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, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.
Certain Funds may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Funds and included in interest income on the Statements of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.
(l) Distributions
The Funds declare dividends from investment income daily, except for Diversified Income Fund, which declares monthly. Each Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.
(m) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.
(n) Earnings Credits
Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 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 3.08% at September 30, 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
84 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 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.
Options Purchased and Written
A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.
The following table represents the Funds’ use and volume of call/put options purchased on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Call | Put | ||||||
Core Bond Fund | Duration, Hedge | $ | 509,175,000 | $ | 35,282,731 | ||||
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NOTES TO FINANCIAL STATEMENTS (continued) |
The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.
The following table represents the Funds’ use and volume of call/put options written on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Call | Put | ||||||
Core Bond Fund | Duration, Hedge | $ | 32,834 | $ | 33,320,216 | ||||
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 | ||||||
Core Bond Fund | Duration, Hedge | $ | 32,091,667 | $ | — | ||||
Municipal Income Fund | Duration, Hedge | 1,400,000 | 10,712,500 | ||||||
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. A fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming 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.
86 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The following table represents the Funds’ use and volume of credit default swaps on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Protection Sold | Protection Purchased | ||||||
High Yield | Index Exposure | $ | — | $ | 1,426,167 | ||||
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Funds may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.
The following table represents the Funds’ use and volume of forward foreign currency exchange contracts on a monthly basis:
Average Value | |||||||||
Fund | Use | Purchased | Sold | ||||||
High Yield Fund | Hedge | $ | 54,623 | $ | 6,283,188 | ||||
Core Bond Fund | Hedge | 239,248 | 11,757,043 | ||||||
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Currency forward contracts | Unrealized appreciation on forward foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts |
Interest rate on swap contracts | Unamortized upfront premiums paid on interest rate swap agreements Variation margin 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 |
Equity swap contracts | Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 87 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2022:
Asset Derivative Investments Value | ||||||||||||||||
Fund | Swaps | Options | Forward | Total | ||||||||||||
High Yield Fund | $ | — | $ | — | $ | 139,618 | $ | 139,618 | ||||||||
Core Bond Fund | — | 9,494,360 | 220,450 | 9,714,810 | ||||||||||||
Municipal Income Fund | 2,172,541 | — | — | 2,172,541 | ||||||||||||
Liability Derivative Investments Value | ||||||||||||||||||||||||
Fund | Swaps | Options | Option | Options | Forward | Total | ||||||||||||||||||
Core Bond Fund | $ | 5,711,940 | $ | 2,211,720 | $ | 647,142 | $ | — | $ | 11,184 | $ | 8,581,986 | ||||||||||||
Municipal Income Fund | 253,790 | — | — | — | — | 253,790 | ||||||||||||||||||
* | Includes cumulative appreciation (depreciation) of OTC and centrally-cleared derivatives contracts as reported on the Schedules of Investments. For centrally-cleared derivatives, variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended September 30, 2022:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Interest rate option contracts | Net realized gain (loss) on options purchased |
| Net change in unrealized appreciation (depreciation) on options purchased |
Net realized gain (loss) on options written | |
Net change in unrealized appreciation (depreciation) on options written | |
Interest rate/Credit swap contracts | Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
Currency forward contracts | Net realized gain (loss) on forward foreign currency exchange contracts |
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended September 30, 2022:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||||||||||||||
Fund | Swaps Interest | Swaps | Options | Options | Forward | Options | Options | Total | ||||||||||||||||||||||||
High Yield Fund | $ | — | $ | 243,774 | $ | — | $ | — | $ | 1,046,568 | $ | — | $ | — | $ | 1,290,342 | ||||||||||||||||
Core Bond Fund | (267,391 | ) | — | (2,473,926 | ) | 6,583,854 | 2,059,346 | (1,600,463 | ) | 212,588 | 4,514,008 | |||||||||||||||||||||
Municipal Income Fund | 1,173,103 | — | — | — | — | — | — | 1,173,103 | ||||||||||||||||||||||||
88 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||||||||||||||
Fund | Swaps Interest | Swaps | Options | Options | Forward | Options | Options | Total | ||||||||||||||||||||||||
High Yield Fund | $ | — | $ | — | $ | — | $ | — | $ | 24,969 | $ | — | $ | — | $ | 24,969 | ||||||||||||||||
Core Bond Fund | (5,758,376 | ) | — | (766,372 | ) | 3,197,691 | (4,590 | ) | (1,961,620 | ) | (459,455 | ) | (5,752,722 | ) | ||||||||||||||||||
Municipal Income Fund | 1,261,849 | — | — | — | — | — | — | 1,261,849 | ||||||||||||||||||||||||
In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
Foreign Investments
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.
The Fund may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Funds.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 89 |
NOTES TO FINANCIAL STATEMENTS (continued) |
OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
High Yield Fund | Forward foreign currency exchange contracts | $ | 139,618 | $ | — | $ | 139,618 | $ | — | $ | (113,597 | ) | $ | 26,021 | |||||||||||
Core Bond Fund | Forward foreign currency exchange contracts | 220,450 | — | 220,450 | (117,475 | ) | (102,975 | ) | — | ||||||||||||||||
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Core Bond Fund | Forward foreign currency exchange contracts | $ | 11,184 | $ | — | $ | 11,184 | $ | (55 | ) | $ | — | $ | 11,129 | |||||||||||
Options written | 647,142 | — | 647,142 | (117,420 | ) | — | 529,722 | ||||||||||||||||||
1 | Exchange traded and centrally-cleared derivatives are excluded from these reported amounts. |
90 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2022.
Fund | Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
High Yield Fund | Morgan Stanley Capital Services LLC | Forward foreign currency exchange contracts | $ | — | $ | 178,281 | ||||
Core Bond Fund | BofA Securities, Inc. | Interest rate swap agreements | 310,948 | 440,185 | ||||||
Goldman Sachs International | Options | — | 4,140,000 | |||||||
| Morgan Stanley Capital Services LLC | Forward foreign currency exchange contracts, Options | — | 178,857 | ||||||
|
|
| 310,948 | 4,759,042 | ||||||
Municipal Income Fund | BofA Securities, Inc. | Interest rate swap agreements | 67,778 | 900 | ||||||
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 between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | unadjusted quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Funds’ investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Funds’ assets and liabilities are categorized as Level 2, as indicated in this report.
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Funds’ assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Funds may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 91 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees | |||
Diversified Income Fund | 0.75 | % | ||
High Yield Fund | 0.60 | % | ||
Core Bond Fund | 0.39 | % | ||
Municipal Income Fund | 0.50 | % | ||
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
Pursuant to Investment Sub-Advisory Agreements between the Investment Adviser and GPA, GPA, under the oversight supervision of the Board and the Investment Adviser, assists the Investment Adviser in the supervision and direction of the investment strategy of the High Yield Fund, Core Bond Fund and Municipal Income Fund in accordance with their investment policies. As compensation for its services, the Investment Adviser pays GPA a fee, payable monthly, in an amount equal to 0.005% of the average daily net assets of these Funds.
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.
The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
Diversified Income Fund - A-Class | 1.30 | % | 01/29/16 | 02/01/24 | ||||||||
Diversified Income Fund - C-Class | 2.05 | % | 01/29/16 | 02/01/24 | ||||||||
Diversified Income Fund - P-Class | 1.30 | % | 01/29/16 | 02/01/24 | ||||||||
Diversified Income Fund - Institutional Class | 1.05 | % | 01/29/16 | 02/01/24 | ||||||||
High Yield Fund - A-Class | 1.16 | % | 11/30/12 | 02/01/24 | ||||||||
High Yield Fund - C-Class | 1.91 | % | 11/30/12 | 02/01/24 | ||||||||
High Yield Fund - P-Class | 1.16 | % | 05/01/15 | 02/01/24 | ||||||||
High Yield Fund - Institutional Class | 0.91 | % | 11/30/12 | 02/01/24 | ||||||||
High Yield Fund - R6-Class | 0.91 | % | 05/15/17 | 02/01/24 | ||||||||
Core Bond Fund - A-Class | 0.79 | % | 11/30/12 | 02/01/24 | ||||||||
Core Bond Fund - C-Class | 1.54 | % | 11/30/12 | 02/01/24 | ||||||||
Core Bond Fund - P-Class | 0.79 | % | 05/01/15 | 02/01/24 | ||||||||
Core Bond Fund - Institutional Class | 0.50 | % | 11/30/12 | 02/01/24 | ||||||||
Municipal Income Fund - A-Class | 0.80 | % | 11/30/12 | 02/01/24 | ||||||||
Municipal Income Fund - C-Class | 1.55 | % | 11/30/12 | 02/01/24 | ||||||||
Municipal Income Fund - P-Class | 0.80 | % | 05/01/15 | 02/01/24 | ||||||||
Municipal Income Fund - Institutional Class | 0.55 | % | 11/30/12 | 02/01/24 | ||||||||
92 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
GI is entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 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 | 2023 | 2024 | 2025 | Total | ||||||||||||
Diversified Income Fund | ||||||||||||||||
A-Class | $ | 7,853 | $ | 8,022 | $ | 7,429 | $ | 23,304 | ||||||||
C-Class | 13,188 | 5,885 | 13,460 | 32,533 | ||||||||||||
P-Class | 3,667 | 3,708 | 5,940 | 13,315 | ||||||||||||
Institutional Class | 161,912 | 164,958 | 140,525 | 467,395 | ||||||||||||
High Yield Fund | ||||||||||||||||
A-Class | — | — | 12,019 | 12,019 | ||||||||||||
C-Class | — | — | 4,615 | 4,615 | ||||||||||||
P-Class | 997 | 1,534 | 5,764 | 8,295 | ||||||||||||
Institutional Class | — | — | 74,642 | 74,642 | ||||||||||||
R6-Class | — | — | 151 | 151 | ||||||||||||
Core Bond Fund | ||||||||||||||||
A-Class | 101,962 | 98,028 | 35,811 | 235,801 | ||||||||||||
C-Class | 20,037 | 23,013 | 19,268 | 62,318 | ||||||||||||
P-Class | 60,229 | 82,001 | 114,700 | 256,930 | ||||||||||||
Institutional Class | 633,157 | 1,336,675 | 1,278,995 | 3,248,827 | ||||||||||||
Municipal Income Fund | ||||||||||||||||
A-Class | 194,998 | 233,041 | 204,036 | 632,075 | ||||||||||||
C-Class | 8,471 | 7,997 | 6,810 | 23,278 | ||||||||||||
P-Class | 1,347 | 1,251 | 1,160 | 3,758 | ||||||||||||
Institutional Class | 57,034 | 57,993 | 39,988 | 155,015 | ||||||||||||
For the year ended September 30, 2022, GI recouped amounts from the Funds as follows:
High Yield Fund | $ | 33,644 | ||
Core Bond Fund | 8,307 | |||
Municipal Income Fund | 9,194 |
If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2022, the following Funds waived fees related to investments in affiliated funds:
Fund | Amount Waived | |||
Diversified Income Fund | $ | 46,868 | ||
For the year ended September 30, 2022, GFD retained sales charges of $144,088 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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 93 |
NOTES TO FINANCIAL STATEMENTS (continued) |
and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
At September 30, 2022, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:
Fund | Percent of Outstanding |
Diversified Income Fund | 86% |
Note 6 – Reverse Repurchase Agreements
Each of the Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.
For the year ended September 30, 2022, the Funds entered into reverse repurchase agreements:
Fund | Number of Days | Balance at | Average Balance | Average | ||||||||||||
High Yield Fund | 365 | $ | 1,608,982 | $ | 3,043,683 | -1.57 | % | |||||||||
Core Bond Fund | 256 | — | * | 59,009,915 | 0.09 | % | ||||||||||
Municipal Income Fund | 21 | — | * | 734,988 | 1.37 | % | ||||||||||
* | As of September 30, 2022, the Core Bond Fund and the Municipal Income Fund had no open reverse repurchase agreements. |
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 | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
High Yield Fund | Reverse Repurchase Agreements | $ | 1,608,982 | $ | — | $ | 1,608,982 | $ | (1,608,982 | ) | $ | — | $ | — | |||||||||||
As of September 30, 2022, the High Yield Fund had $1,608,982 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 | Face Value | ||||||
High Yield Fund | Credit Suisse Securities (USA) LLC | (1.25%)* | Open Maturity | $ | 1,608,982 | |||||
* | 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. |
94 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of year-end, as aggregated by asset class of the related collateral pledged by the Funds:
Fund | Asset Type | Overnight and | Total | |||||||||
High Yield Fund | Corporate Bonds | $ | 1,608,982 | $ | 1,608,982 | |||||||
Gross amount of recoginized liabilities for reverse repurchase agreements |
| $ | 1,608,982 | $ | 1,608,982 | |||||||
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 tax character of distributions paid during the year ended September 30, 2022 was as follows:
Fund | Ordinary | Long-Term | Tax-Exempt | Return of | Total | |||||||||||||||
Diversified Income Fund | $ | 291,747 | $ | 30,849 | $ | — | $ | — | $ | 322,596 | ||||||||||
High Yield Fund | 13,484,967 | — | — | 467,010 | 13,951,977 | |||||||||||||||
Core Bond Fund | 49,456,388 | 13,626,451 | — | — | 63,082,839 | |||||||||||||||
Municipal Income Fund | — | 316,286 | 1,118,374 | — | 1,434,660 | |||||||||||||||
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
Fund | Ordinary | Long-Term | Tax-Exempt | Return of | Total | |||||||||||||||
Diversified Income Fund | $ | 238,449 | $ | — | $ | — | $ | — | $ | 238,449 | ||||||||||
High Yield Fund | 17,921,274 | — | — | 1,070,238 | 18,991,512 | |||||||||||||||
Core Bond Fund | 65,247,275 | 8,427,954 | — | — | 73,675,229 | |||||||||||||||
Municipal Income Fund | — | 111,351 | 1,376,752 | — | 1,488,103 | |||||||||||||||
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:
Fund | Undistributed | Undistributed | Net Unrealized | Accumulated | Other | Total | ||||||||||||||||||
Diversified Income Fund | $ | 378,365 | $ | 10,474 | $ | (1,215,190 | ) | $ | — | $ | (18,027 | ) | $ | (844,378 | ) | |||||||||
High Yield Fund | — | — | (33,385,059 | ) | (26,442,125 | ) | (830,825 | ) | (60,658,009 | ) | ||||||||||||||
Core Bond Fund | 3,188,924 | — | (249,261,909 | ) | (31,709,153 | ) | (3,840,956 | ) | (281,623,094 | ) | ||||||||||||||
Municipal Income Fund | 780,487 | * | — | (9,070,097 | ) | — | (122,908 | ) | (8,412,518 | ) | ||||||||||||||
* | For Municipal Income Fund, the amount shown includes Undistributed Tax-Exempt Income of $98,976. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 95 |
NOTES TO FINANCIAL STATEMENTS (continued) |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, capital loss carryforwards for the Funds were as follows:
Unlimited | Total | |||||||||||
Fund | Short-Term | Long-Term | Carryforward | |||||||||
High Yield Fund | $ | (1,747,079 | ) | $ | (24,539,625 | ) | $ | (26,286,704 | ) | |||
Core Bond Fund | (30,452,528 | ) | (1,256,625 | ) | (31,709,153 | ) | ||||||
For the year ended September 30, 2022, the following capital loss carryforward amounts were utilized:
Fund | Utilized | |||
Diversified Income Fund | $ | 7,145 | ||
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements, partnerships and CLO securities, foreign currency gains and losses, the “mark-to-market” of certain derivatives, losses deferred due to wash sales, the deferral of qualified late-year losses, reclassification of distributions, distributions in connection with redemption of fund shares, dividends payable, and the “mark-to-market” of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of bond premium/discount amortization, paydown reclasses, income accruals on certain investments, and the “mark-to-market” of certain investments denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statements of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences:
Fund | Paid In | Total | ||||||
Diversified Income Fund | $ | 51,524 | $ | (51,524 | ) | |||
Core Bond Fund | 161,266 | (161,266 | ) | |||||
Municipal Income Fund | 196,967 | (196,967 | ) | |||||
At September 30, 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 | Tax | Tax | Net Tax | ||||||||||||
Diversified Income Fund | $ | 8,442,490 | $ | 56,103 | $ | (1,271,293 | ) | $ | (1,215,190 | ) | ||||||
High Yield Fund | 206,976,766 | — | (33,371,838 | ) | (33,371,838 | ) | ||||||||||
Core Bond Fund | 1,592,360,983 | 2,289,398 | (251,461,996 | ) | (249,172,598 | ) | ||||||||||
Municipal Income Fund | 60,989,350 | 2,239,252 | (11,309,349 | ) | (9,070,097 | ) | ||||||||||
96 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and September 30 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and September 30 of each year as occurring on the first day of the following tax year. For the year ended September 30, 2022, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until October 1, 2022:
Fund | Ordinary | Capital | ||||||
High Yield Fund | $ | (155,421 | ) | $ | — | |||
Note 8 – Securities Transactions
For the year ended September 30, 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 | $ | 2,552,875 | $ | 957,539 | ||||
High Yield Fund | 108,688,227 | 268,291,431 | ||||||
Core Bond Fund | 230,472,971 | 367,869,812 | ||||||
Municipal Income Fund | 8,785,685 | 21,952,883 | ||||||
For the year ended September 30, 2022, the cost of purchases and proceeds from sales of government securities were as follows:
Fund | Purchases | Sales | ||||||
Core Bond Fund | $ | 450,481,453 | $ | 409,252,108 | ||||
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 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 | |||||||||
High Yield Fund | $ | 8,351,757 | $ | 89,206,998 | $ | (2,651,089 | ) | |||||
Core Bond Fund | 7,887,729 | 9,126,767 | (979,620 | ) | ||||||||
Note 9 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of September 30, 2022. The Funds are obligated to fund these loan commitments at the borrower’s discretion.
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NOTES TO FINANCIAL STATEMENTS (continued) |
The unfunded loan commitments as of September 30, 2022, were as follows:
Fund | Borrower | Maturity Date | Face Amount | Value | |||||||||
High Yield Fund | |||||||||||||
Confluent Health LLC | 11/30/28 | $ | 64,602 | $ | 8,075 | ||||||||
TGP Holdings LLC | 06/29/28 | 21,547 | 4,673 | ||||||||||
| $ | 86,149 | $ | 12,748 | ||||||||||
Core Bond Fund | |||||||||||||
CTL Logistics | 08/10/42 | 357,219 | 83,546 | ||||||||||
KKR Core Holding Company LLC | 07/15/31 | 1,050,000 | — | ||||||||||
Lightning A Unfunded | 03/01/37 | 2,316,222 | — | ||||||||||
Service Logic Acquisition, Inc. | 10/29/27 | 11,037 | 703 | ||||||||||
Thunderbird A Unfunded | 03/01/37 | 2,280,667 | — | ||||||||||
| $ | 6,015,145 | $ | 84,249 | ||||||||||
Note 10– Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Fund | Restricted Securities | Acquisition Date | Cost | Value | |||||||||
High Yield Fund | Mirabela Nickel Ltd. | ||||||||||||
due 06/24/192 | 12/31/13 | $ | 252,369 | $ | 13,906 | ||||||||
Core Bond Fund | Central Storage Safety Project Trust | ||||||||||||
4.82% due 02/01/38 | 03/20/18 | $ | 932,290 | $ | 778,701 | ||||||||
Copper River CLO Ltd. | |||||||||||||
2007-1A INC, due 01/20/211 | 05/09/14 | — | 294 | ||||||||||
| $ | 932,290 | $ | 778,995 | ||||||||||
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 September 30, 2022, at which time a new line of credit was entered into in the amount of $1,150,000,000. 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”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.
The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.
Note 12 – Market Risks
The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of
98 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (concluded) |
expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Funds in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds’ investments and performance of the Funds.
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.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 99 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of Guggenheim Diversified Income Fund, Guggenheim High Yield Fund, Guggenheim Core Bond Fund and Guggenheim Municipal Income Fund and the Board of Trustees of Guggenheim Funds Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Guggenheim Diversified Income Fund, Guggenheim High Yield Fund, Guggenheim Core Bond Fund and Guggenheim Municipal Income Fund (collectively referred to as the “Funds”), (four of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedules of investments, as of September 30, 2022, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (four of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2022
100 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.
The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Municipal Income Fund designates $1,118,374 as tax-exempt interest income according to IRC Section 852(b)(5)(A).
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See the qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
Fund | Qualified | Dividend | Qualified | Qualified | ||||||||||||
Diversified Income Fund | 5.82 | % | 2.37 | % | 28.24 | % | 0.00 | % | ||||||||
High Yield Fund | 2.48 | % | 1.99 | % | 86.27 | % | 0.00 | % | ||||||||
Core Bond Fund | 3.53 | % | 2.71 | % | 84.58 | % | 100.00 | % | ||||||||
With respect to the taxable year ended September 30, 2022, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Fund | From long-term | From long-term capital | ||||||
Diversified Income Fund | $ | 30,849 | $ | 51,524 | ||||
Core Bond Fund | 13,626,451 | — | ||||||
Municipal Income Fund | 316,286 | 145,701 | ||||||
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.
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OTHER INFORMATION (Unaudited)(continued) |
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the 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.
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OTHER INFORMATION (Unaudited)(continued) |
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● Guggenheim Alpha Opportunity Fund | ● Guggenheim Capital Stewardship Fund |
● Guggenheim Core Bond Fund | ● Guggenheim Diversified Income Fund |
● Guggenheim Floating Rate Strategies Fund | ● Guggenheim High Yield Fund |
● Guggenheim Large Cap Value Fund | ● Guggenheim Limited Duration Fund |
● Guggenheim Macro Opportunities Fund | ● Guggenheim Market Neutral Real Estate Fund |
● Guggenheim Municipal Income Fund | ● Guggenheim Risk Managed Real Estate Fund |
● Guggenheim Small Cap Value Fund | ● Guggenheim SMid Cap Value Fund |
● Guggenheim StylePlus—Large Core Fund | ● Guggenheim StylePlus—Mid Growth Fund |
● Guggenheim Total Return Bond Fund | ● Guggenheim Ultra Short Duration Fund |
● Guggenheim World Equity Income Fund |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
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OTHER INFORMATION (Unaudited)(continued) |
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
104 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund, Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).4 Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.5
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA Sub-Advisory Agreement at the Special Meeting. |
5 | Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements. |
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OTHER INFORMATION (Unaudited)(continued) |
As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.
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OTHER INFORMATION (Unaudited)(continued) |
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.
Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee6 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(continued) |
In addition, the Committee made the following observations:
Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.
Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.
Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Total Return Bond Fund The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
108 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Sub-Advisory Agreements
Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 109 |
OTHER INFORMATION (Unaudited)(concluded) |
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.
Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.
Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.
110 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee)
Since 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present).
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 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); Member, Board of Directors, Mutual Fund Directors Forum (2022-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 ANNUAL REPORT | 111 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
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); Vice Chairman, VettaFi (2022-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). |
112 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee)
Since 2020 (Chair of the Audit Committee) | Current: Retired.
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 ANNUAL REPORT | 113 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE |
|
|
|
| |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee)
Since 2014 (Chief Legal Officer)
Since 2007 (Vice President) | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 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. |
114 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and 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) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since August 2022 | Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present).
Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-August 2022); 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 ANNUAL REPORT | 115 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present).
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
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. |
116 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 117 |
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.
118 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 119 |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
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9.30.2022
Guggenheim Funds Annual Report
Guggenheim SMid Cap Value Fund |
GuggenheimInvestments.com | SBMCV-ANN-0922x0923 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
GUGGENHEIM SMID CAP VALUE FUND | 11 |
NOTES TO FINANCIAL STATEMENTS | 26 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 35 |
OTHER INFORMATION | 37 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 52 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 60 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 64 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2022 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the shareholder report for Guggenheim SMid Cap Value Fund (the “Fund”) for the annual fiscal period ended September 30, 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, and then the Managers’ Commentary for the Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
October 31, 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.
The SMid Cap Value Fund may not be suitable for all investors. ● An investment in the Fund will fluctuate and is subject to investment risks, which means investors could lose money. ● The intrinsic value of the underlying stocks may never be realized, or the stock may decline in value. ● Investments in small- and/or mid-sized company securities may present additional risks such as less predictable earnings, higher volatility and less liquidity than larger, more established companies. ● Please read the prospectus for more detailed information regarding these and other risks.
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2022 |
Equity and fixed income markets declined during the 12-month period ended September 30, 2022, amid continued market volatility, Federal Reserve policy, and global economic headwinds.
The Federal Reserve (the “Fed”) has abandoned talk of a soft or even “softish” landing, with the latest Summary of Economic Projections pointing to a 90-basis-point rise in the unemployment rate, an increase never before experienced without a recession. One basis point equals 0.01%. The seemingly endless string of upside inflation surprises has cemented the Fed’s view that the labor market needs to soften and economic activity needs to weaken further, which could require interest rates heading even higher.
Signs are indicating that the economy is heading in the direction the Fed wants. While gross domestic product (“GDP”) rebounded in the third quarter of 2022 to an inflation-adjusted 2.6%, private domestic demand (consumption and fixed investment) continued to slow, growing just 0.1%. The slowdown was led by a significant contraction in housing activity, historically the first sector to be hit by rising rates, cutting about 1.4 percentage points from GDP’s growth rate. The sharp tightening in financial conditions indicates a broader economic slowdown is ahead, which may help to loosen up the labor market. Signs of a labor market slowdown are already evident, with monthly job growth at less than half the pace of early 2022, wage growth cooling, and job openings falling sharply.
Inflation remains high, but a variety of factors point to a substantial moderation in 2023. Goods prices have stopped rising, and supply chain improvement and input and import costs suggest outright deflation could lie ahead. Services inflation is now the main price stability concern, but even the Bureau of Labor Statistics and several Fed speakers have acknowledged that the lagged data on home rental prices doesn’t reflect the sharp slowdown in market rents that has taken place (and that would start to show up in the data next year).
With the economy cooling and inflation likely to fall, it is fair to expect that rate hikes are nearly coming to an end, particularly with rising strains in financial markets and overseas. But having been repeatedly burned by expectations that inflation would cool and fearing a replay of the “stop-start” rate hike campaigns of the 1970s, the Fed will likely err on the side of overdoing it with rate hikes, viewing a recession as the “least bad” outcome for the economy.
For the 12-month period ended September 30, 2022, the S&P 500® Index* returned -15.47%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -25.13%. The return of the MSCI Emerging Markets Index* was -28.11%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -14.60% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -14.14%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.62% for the 12-month period.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 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.
4 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2022 and ending September 30, 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.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 5 |
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.
6 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense | Fund | Beginning | Ending | Expenses | |||||||||||||||
Table 1. Based on actual Fund return3 | ||||||||||||||||||||
A-Class | 1.18 | % | (15.16 | %) | $ | 1,000.00 | $ | 848.40 | $ | 5.47 | ||||||||||
C-Class | 2.02 | % | (15.49 | %) | 1,000.00 | 845.10 | 9.34 | |||||||||||||
P-Class | 1.23 | % | (15.18 | %) | 1,000.00 | 848.20 | 5.70 | |||||||||||||
Institutional Class | 1.00 | % | (15.12 | %) | 1,000.00 | 848.80 | 4.63 | |||||||||||||
| ||||||||||||||||||||
Table 2. Based on hypothetical 5% return (before expenses) | ||||||||||||||||||||
A-Class | 1.18 | % | 5.00 | % | $ | 1,000.00 | $ | 1,019.15 | $ | 5.97 | ||||||||||
C-Class | 2.02 | % | 5.00 | % | 1,000.00 | 1,014.94 | 10.20 | |||||||||||||
P-Class | 1.23 | % | 5.00 | % | 1,000.00 | 1,018.90 | 6.23 | |||||||||||||
Institutional Class | 1.00 | % | 5.00 | % | 1,000.00 | 1,020.05 | 5.06 | |||||||||||||
1 | Annualized and excludes expenses of the underlying funds in which the Fund invests, if any. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2022 to September 30, 2022. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Guggenheim SMid Cap Value Fund (the “Fund”) is managed by a team of seasoned professionals led by James Schier, CFA, Senior Managing Director and Portfolio Manager; David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Gregg Strohkorb, CFA, Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of -8.08%1, outperforming the Russell 2500 Value Index (“Index”), the Fund’s benchmark, which returned -15.35% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
After a positive start during the early months of the strategy’s fiscal year, the market as a whole came under pressure as the Federal Reverse (the “Fed”) strove to contain inflation by raising interest rates at the same time that the market had to deal with the uncertainty over the Ukraine invasion. The Fund’s general focus towards quality companies (those with better balance sheets than peers) that meet our valuation parameters tended to position the holdings well in most sectors. In fact, stock selection relative to the benchmark was only a negative in one of eleven sectors.
Stock selection within the Financials sector was the most significant positive contributor during the year. The Fund’s holdings in this sector gained 4.2% versus a 11.8% decline in the benchmark. First Horizon (a regional bank based in Memphis) gained 43% after receiving a takeover offer from Toronto-Dominion Bank. Another merger impacted Allegheny Corp. (primarily a reinsurance company), which received a merger offer from Berkshire Hathaway and gained more than 34%. Another significant contributor, UNUM Group, gained more than 61%. Unum Group, a supplemental disability and health insurance company, benefited from lower COVID-19 related disability claims and strong payroll growth, given strong employment levels throughout the year. In addition, the reserves set aside for the closed long-term care book of business benefited from the higher fixed income rates brought about during the year.
Stock selection within the Health Care sector was the second-most significant positive development, as the Fund’s holdings in this sector declined 9.3% versus 26.7% in the benchmark. Evolent Health, Inc. gained more than 15%. Evolent Health, Inc., a software company that develops cost-effective, high quality health care delivery and payment models, has had a successful year in booking new clients.
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(continued) | September 30, 2022 |
The third most significant attribute in the Reporting Period was the Fund’s underweighting and selection in the Consumer Discretionary sector. An average underweighting of 1.9% during the year helped cushion a 31.8% decline in the benchmark. Stock selection also helped, as the strategy’s holdings only fell 25.3%. LKQ Corp., which provides collision replacement parts in the U.S. and is an automotive parts distributor in Europe, was a significant holding in the sector and gained 7.6% on strong earnings results. The Energy sector was a close runner-up in performance contribution as well. The Fund’s slight Energy overweighting (the strategy had an average weighting of 7.0% versus 6.2%) was magnified by the significant outperformance the sector recorded. Energy was only one of two sectors that posted positive returns during the Reporting Period and dwarfed the returns elsewhere in advancing 40.7%. The Fund’s holdings in this sector gained more than 44%. A focus on oil and gas exploration and development companies among the Fund’s holdings was a key to success.
There was only one sector in which stock selection underperformed the benchmark. The biggest drawback occurred in Information Technology, where the sector provided a negative return of 32% versus a negative return of 21% for the benchmark. Selection was difficult in semiconductors. Generally, the Fund was exposed to companies that either had supply chain issues or were exposed to the wrong end-markets. Qorvo, Inc., Power Integrations, Inc., and Silicon Laboratories, Inc. declined 30%, 23%, and 14%, respectively, while a lack of exposure to companies with end-markets in auto and solar was detrimental. A slight overweighting and adverse selection in communications equipment companies was also significant, as Ciena Corp. and Infinera Corp. declined more than 47% and 49%, respectively. Supply chain disruption created operational havoc for both companies, as they had difficulty procuring enough parts to make timely shipment of strong order demand.
How was the Fund positioned at the end of the Reporting Period?
The market outlook is unusually cloudy at the end of the Reporting Period. In addition to the geopolitical uncertainty that appears to be potentially significant, the market must contend with a hawkish Fed. Together, this provides a challenging environment for economic growth. All of this, however, does not change our investment process which is heavily bottom-up driven.
With that said, the Fund’s largest overweightings can be found in the Industrials, Materials, and Consumer Staples sectors. Among the Industrials holdings, opportunities appear abundant especially among truckers and building products and distributors. In Materials, we find there are many self-help situations in the chemical industry (opportunities companies possess to generate earnings growth that are not dependent on general macroeconomic conditions; these opportunities could include cost cutting, asset redeployment, or share repurchases). Many of these companies also benefit from beneficial, low-cost North American natural gas feed stock costs. The strategy also has an overweighting among packaging companies. Among Consumer Staples, the strategy has a significant presence in agricultural products with overweightings in Bunge and Ingredion.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2022 |
The strategy’s largest underweighting to the benchmark can be found in the Consumer Discretionary (5% versus 10.3%), Financials (18.5 versus 22.3%), and REITS (7.8% versus 11.60%) sectors. Generally, in the Consumer Discretionary sector, many companies appear to be operating at near-peak profitability levels, while consumer spending should be nearing an inflection point or plateauing at best. Among the Financials sector, the Fund’s weighting is among insurance and banks, but the Fund lacks exposure among more market-sensitive sub-industries, such as exchanges, asset managers, and mortgage real estate investment trusts (“REITs”). Among property REITs, we are generally leery of overall leverage levels among companies that must roll over debt at ever higher interest rates.
Performance displayed represents past performance which is no guarantee of future results.
1 Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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. | 4.4% |
Unum Group | 2.5% |
Evolent Health, Inc. — Class A | 2.5% |
Bunge Ltd. | 2.2% |
Prosperity Bancshares, Inc. | 2.0% |
Ingredion, Inc. | 2.0% |
OGE Energy Corp. | 1.9% |
Physicians Realty Trust | 1.6% |
BOK Financial Corp. | 1.6% |
Graphic Packaging Holding Co. | 1.6% |
Top Ten Total | 22.3% |
“Ten Largest Holdings” excludes any temporary cash investments. | |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (8.08%) | 5.06% | 8.50% |
A-Class Shares with sales charge‡ | (12.46%) | 4.05% | 7.97% |
C-Class Shares | (8.85%) | 4.22% | 7.65% |
C-Class Shares with CDSC§ | (9.67%) | 4.22% | 7.65% |
Institutional Class Shares1 | (7.93%) | 5.38% | 8.81% |
Russell 2500 Value Index | (15.35%) | 3.78% | 8.41% |
| 1 Year | 5 Year | Since |
P-Class Shares | (8.16%) | 5.00% | 6.67% |
Russell 2500 Value Index | (15.35%) | 3.78% | 5.40% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2500 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares and Institutional Class shares will vary due to difference in fee structures. |
1 | The Institutional Class shares commenced operations on January 3, 2020 in connection with the reorganization of the SMid Cap Value Institutional Fund. The performance of the Institutional Class shares of the Fund for periods prior to January 3, 2020 reflects the performance of the Guggenheim SMid Cap Value Institutional Fund. The returns for the SMid Cap Value Institutional Fund have not been restated to reflect the fees and expenses applicable to the Institutional Class shares of the Fund. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
SMID CAP VALUE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 96.6% | ||||||||
Financial - 26.4% | ||||||||
Unum Group | 228,069 | $ | 8,849,077 | |||||
Prosperity Bancshares, Inc. | 108,788 | 7,253,984 | ||||||
Physicians Realty Trust REIT | 382,791 | 5,757,177 | ||||||
BOK Financial Corp. | 64,412 | 5,723,650 | ||||||
First Merchants Corp. | 132,480 | 5,124,327 | ||||||
VICI Properties, Inc. REIT | 165,679 | 4,945,518 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 33,157 | 4,648,280 | ||||||
Alleghany Corp.* | 4,862 | 4,081,017 | ||||||
Old Republic International Corp. | 178,191 | 3,729,538 | ||||||
Axis Capital Holdings Ltd. | 70,346 | 3,457,506 | ||||||
Sun Communities, Inc. REIT | 24,554 | 3,322,893 | ||||||
Stifel Financial Corp. | 61,030 | 3,168,067 | ||||||
Old National Bancorp | 186,883 | 3,077,963 | ||||||
Voya Financial, Inc. | 50,320 | 3,044,360 | ||||||
KeyCorp | 168,845 | 2,704,897 | ||||||
Apple Hospitality REIT, Inc. | 191,498 | 2,692,462 | ||||||
First American Financial Corp. | 57,283 | 2,640,746 | ||||||
Heartland Financial USA, Inc. | 48,817 | 2,116,705 | ||||||
Gaming and Leisure Properties, Inc. REIT | 46,248 | 2,046,011 | ||||||
Trustmark Corp. | 64,832 | 1,985,804 | ||||||
Hancock Whitney Corp. | 42,714 | 1,956,728 | ||||||
Wintrust Financial Corp. | 23,588 | 1,923,602 | ||||||
Texas Capital Bancshares, Inc.* | 31,945 | 1,885,713 | ||||||
First Hawaiian, Inc. | 76,443 | 1,882,791 | ||||||
STAG Industrial, Inc. REIT | 62,191 | 1,768,090 | ||||||
Medical Properties Trust, Inc. REIT | 124,560 | 1,477,282 | ||||||
Park Hotels & Resorts, Inc. REIT | 119,020 | 1,340,165 | ||||||
United Community Banks, Inc. | 27,510 | 910,581 | ||||||
Heritage Insurance Holdings, Inc.* | 174,400 | 394,144 | ||||||
Total Financial | 93,909,078 | |||||||
Industrial - 22.6% | ||||||||
Graphic Packaging Holding Co. | 279,720 | 5,521,673 | ||||||
Kirby Corp.* | 90,242 | 5,484,006 | ||||||
Curtiss-Wright Corp. | 37,616 | 5,234,642 | ||||||
Valmont Industries, Inc. | 18,655 | 5,011,106 | ||||||
Knight-Swift Transportation Holdings, Inc. | 99,408 | 4,864,033 | ||||||
Littelfuse, Inc. | 23,620 | 4,693,058 | ||||||
Arcosa, Inc. | 81,506 | 4,660,513 | ||||||
MDU Resources Group, Inc. | 160,895 | 4,400,478 | ||||||
Johnson Controls International plc | 76,754 | 3,777,832 | ||||||
PGT Innovations, Inc.* | 161,297 | 3,380,785 | ||||||
Terex Corp. | 111,278 | 3,309,408 | ||||||
Daseke, Inc.* | 576,933 | 3,121,208 | ||||||
Enovis Corp.* | 63,654 | 2,932,540 | ||||||
Altra Industrial Motion Corp. | 75,605 | 2,541,840 | ||||||
Zurn Elkay Water Solutions Corp. | 102,246 | 2,505,027 | ||||||
GATX Corp. | 27,068 | 2,304,840 | ||||||
Plexus Corp.* | 22,485 | 1,968,787 | ||||||
Sonoco Products Co. | 34,129 | 1,936,138 | ||||||
Advanced Energy Industries, Inc. | 24,186 | 1,872,238 | ||||||
Summit Materials, Inc. — Class A* | 75,831 | 1,816,911 | ||||||
Stoneridge, Inc.* | 104,064 | 1,763,885 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
SMID CAP VALUE FUND |
| Shares | Value | ||||||
Mercury Systems, Inc.* | 40,373 | $ | 1,639,144 | |||||
EnerSys | 26,876 | 1,563,377 | ||||||
Park Aerospace Corp. | 126,141 | 1,392,597 | ||||||
Esab Corp. | 41,571 | 1,386,809 | ||||||
Coherent Corp.* | 37,023 | 1,290,251 | ||||||
Total Industrial | 80,373,126 | |||||||
Consumer, Non-cyclical - 11.2% | ||||||||
Bunge Ltd. | 95,532 | 7,888,077 | ||||||
Ingredion, Inc. | 87,551 | 7,049,607 | ||||||
Henry Schein, Inc.* | 59,134 | 3,889,243 | ||||||
Central Garden & Pet Co. — Class A* | 100,456 | 3,431,577 | ||||||
Encompass Health Corp. | 72,511 | 3,279,673 | ||||||
Prothena Corporation plc* | 49,434 | 2,997,184 | ||||||
Tyson Foods, Inc. — Class A | 44,697 | 2,946,873 | ||||||
Integer Holdings Corp.* | 30,040 | 1,869,389 | ||||||
Quest Diagnostics, Inc. | 15,093 | 1,851,760 | ||||||
Euronet Worldwide, Inc.* | 20,487 | 1,552,095 | ||||||
Jazz Pharmaceuticals plc* | 7,906 | 1,053,791 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 101,303 | 1,049,499 | ||||||
ICF International, Inc. | 8,810 | 960,466 | ||||||
Total Consumer, Non-cyclical | 39,819,234 | |||||||
Consumer, Cyclical - 9.3% | ||||||||
MSC Industrial Direct Company, Inc. — Class A | 75,691 | 5,511,062 | ||||||
H&E Equipment Services, Inc. | 143,776 | 4,074,612 | ||||||
DR Horton, Inc. | 57,992 | 3,905,761 | ||||||
Methode Electronics, Inc. | 102,055 | 3,791,343 | ||||||
Alaska Air Group, Inc.* | 75,819 | 2,968,314 | ||||||
Ralph Lauren Corp. — Class A | 31,603 | 2,684,043 | ||||||
Leggett & Platt, Inc. | 52,314 | 1,737,871 | ||||||
Marriott Vacations Worldwide Corp. | 13,418 | 1,635,117 | ||||||
Whirlpool Corp. | 11,942 | 1,609,901 | ||||||
PVH Corp. | 28,203 | 1,263,494 | ||||||
Newell Brands, Inc. | 82,513 | 1,146,106 | ||||||
Lakeland Industries, Inc.* | 82,219 | 947,985 | ||||||
UniFirst Corp. | 5,406 | 909,451 | ||||||
Meritage Homes Corp.* | 12,155 | 854,132 | ||||||
Total Consumer, Cyclical | 33,039,192 | |||||||
Technology - 8.1% | ||||||||
Evolent Health, Inc. — Class A* | 244,973 | 8,801,880 | ||||||
Science Applications International Corp. | 54,403 | 4,810,857 | ||||||
Teradyne, Inc. | 59,776 | 4,492,166 | ||||||
Leidos Holdings, Inc. | 45,214 | 3,954,869 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 50,130 | 2,596,233 | ||||||
Silicon Laboratories, Inc.* | 20,880 | 2,577,427 | ||||||
Power Integrations, Inc. | 25,140 | 1,617,005 | ||||||
Total Technology | 28,850,437 | |||||||
Basic Materials - 7.0% | ||||||||
Westlake Corp. | 54,340 | 4,721,059 | ||||||
Huntsman Corp. | 189,411 | 4,648,146 | ||||||
Reliance Steel & Aluminum Co. | 22,854 | 3,985,966 | ||||||
Ashland, Inc. | 41,548 | 3,945,814 | ||||||
Avient Corp. | 109,330 | 3,312,699 | ||||||
Nucor Corp. | 22,336 | 2,389,729 | ||||||
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
SMID CAP VALUE FUND |
| Shares | Value | ||||||
Element Solutions, Inc. | 109,035 | $ | 1,773,999 | |||||
Total Basic Materials | 24,777,412 | |||||||
Energy - 5.9% | ||||||||
Pioneer Natural Resources Co. | 72,588 | 15,717,479 | ||||||
Diamondback Energy, Inc. | 16,407 | 1,976,387 | ||||||
Kinder Morgan, Inc. | 112,598 | 1,873,631 | ||||||
Patterson-UTI Energy, Inc. | 116,563 | 1,361,456 | ||||||
HydroGen Corp.*,†††,1 | 1,265,700 | 2 | ||||||
Total Energy | 20,928,955 | |||||||
Utilities - 3.8% | ||||||||
OGE Energy Corp. | 186,889 | 6,813,973 | ||||||
Black Hills Corp. | 52,292 | 3,541,737 | ||||||
Pinnacle West Capital Corp. | 26,603 | 1,716,160 | ||||||
Spire, Inc. | 22,032 | 1,373,254 | ||||||
Total Utilities | 13,445,124 | |||||||
Communications - 2.3% | ||||||||
Fox Corp. — Class B | 126,041 | 3,592,168 | ||||||
Ciena Corp.* | 60,437 | 2,443,468 | ||||||
Infinera Corp.* | 483,496 | 2,340,121 | ||||||
Total Communications | 8,375,757 | |||||||
Total Common Stocks | ||||||||
(Cost $330,556,084) | 343,518,315 | |||||||
CONVERTIBLE PREFERRED STOCKS††† - 0.0% | ||||||||
Industrial - 0.0% | ||||||||
Thermoenergy Corp.*,2 | 1,652,084 | 483 | ||||||
Total Convertible Preferred Stocks | ||||||||
(Cost $1,577,635) | 483 | |||||||
RIGHTS† - 0.1% | ||||||||
Basic Materials - 0.1% | ||||||||
Pan American Silver Corp. | 516,551 | 297,533 | ||||||
Total Rights | ||||||||
(Cost $—) | 297,533 | |||||||
MONEY MARKET FUND† - 4.3% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%3 | 15,222,872 | 15,222,872 | ||||||
Total Money Market Fund | ||||||||
(Cost $15,222,872) | 15,222,872 | |||||||
Total Investments - 101.0% | ||||||||
(Cost $347,356,591) | $ | 359,039,203 | ||||||
Other Assets & Liabilities, net - (1.0)% | (3,464,232 | ) | ||||||
Total Net Assets - 100.0% | $ | 355,574,971 | ||||||
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | PIPE (Private Investment in Public Equity) - Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering. |
3 | Rate indicated is the 7-day yield as of September 30, 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 ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2022 |
SMID CAP VALUE FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 343,518,313 | $ | — | $ | 2 | $ | 343,518,315 | ||||||||
Convertible Preferred Stocks | — | — | 483 | 483 | ||||||||||||
Rights | 297,533 | — | — | 297,533 | ||||||||||||
Money Market Fund | 15,222,872 | — | — | 15,222,872 | ||||||||||||
Total Assets | $ | 359,038,718 | $ | — | $ | 485 | $ | 359,039,203 | ||||||||
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | |||||||||||||||||||||
Common Stock | ||||||||||||||||||||||||||||
HydroGen Corp. * | $ | 2 | $ | — | $ | — | $ | — | $ | — | $ | 2 | 1,265,700 | |||||||||||||||
* | Non-income producing security. |
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
SMID CAP VALUE FUND |
September 30, 2022
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $347,354,060) | $ | 359,039,201 | ||
Investments in affiliated issuers, at value (cost $2,531) | 2 | |||
Prepaid expenses | 35,405 | |||
Receivables: | ||||
Securities sold | 2,460,136 | |||
Dividends | 478,850 | |||
Interest | 24,206 | |||
Fund shares sold | 13,395 | |||
Foreign tax reclaims | 302 | |||
Total assets | 362,051,497 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 5,883 | |||
Payable for: | ||||
Securities purchased | 5,821,536 | |||
Management fees | 233,260 | |||
Transfer agent/maintenance fees | 136,506 | |||
Fund shares redeemed | 102,556 | |||
Distribution and service fees | 63,521 | |||
Due to Investment Adviser | 27,648 | |||
Fund accounting/administration fees | 7,090 | |||
Trustees’ fees* | 2,928 | |||
Miscellaneous | 75,598 | |||
Total liabilities | 6,476,526 | |||
Net assets | $ | 355,574,971 | ||
Net assets consist of: | ||||
Paid in capital | $ | 311,827,589 | ||
Total distributable earnings (loss) | 43,747,382 | |||
Net assets | $ | 355,574,971 | ||
A-Class: | ||||
Net assets | $ | 262,942,859 | ||
Capital shares outstanding | 8,069,910 | |||
Net asset value per share | $ | 32.58 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 34.20 | ||
C-Class: | ||||
Net assets | $ | 5,255,809 | ||
Capital shares outstanding | 257,527 | |||
Net asset value per share | $ | 20.41 | ||
P-Class: | ||||
Net assets | $ | 5,584,048 | ||
Capital shares outstanding | 172,907 | |||
Net asset value per share | $ | 32.30 | ||
Institutional Class: | ||||
Net assets | $ | 81,792,255 | ||
Capital shares outstanding | 9,107,275 | |||
Net asset value per share | $ | 8.98 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
STATEMENT OF OPERATIONS |
SMID CAP VALUE FUND |
Year Ended September 30, 2022
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 8,864,953 | ||
Interest | 69,487 | |||
Total investment income | 8,934,440 | |||
Expenses: | ||||
Management fees | 3,131,103 | |||
Distribution and service fees: | ||||
A-Class | 772,819 | |||
C-Class | 76,835 | |||
P-Class | 16,766 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 221,528 | |||
C-Class | 17,181 | |||
P-Class | 11,221 | |||
Institutional Class | 122,930 | |||
Fund accounting/administration fees | 256,988 | |||
Professional fees | 50,749 | |||
Trustees’ fees* | 16,728 | |||
Line of credit fees | 12,029 | |||
Custodian fees | 9,518 | |||
Miscellaneous | 156,619 | |||
Recoupment of previously waived fees: | ||||
A-Class | 27,920 | |||
C-Class | 142 | |||
P-Class | 1,103 | |||
Institutional Class | 1,673 | |||
Total expenses | 4,903,852 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (27,798 | ) | ||
C-Class | (5,061 | ) | ||
P-Class | (2,700 | ) | ||
Institutional Class | (23,422 | ) | ||
Earnings credits applied | (65 | ) | ||
Total waived/reimbursed expenses | (59,046 | ) | ||
Net expenses | 4,844,806 | |||
Net investment income | 4,089,634 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 35,337,758 | |||
Net realized gain | 35,337,758 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (69,238,366 | ) | ||
Net change in unrealized appreciation (depreciation) | (69,238,366 | ) | ||
Net realized and unrealized loss | (33,900,608 | ) | ||
Net decrease in net assets resulting from operations | $ | (29,810,974 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS | |
SMID CAP VALUE FUND | |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 4,089,634 | $ | 2,278,536 | ||||
Net realized gain on investments | 35,337,758 | 49,091,986 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (69,238,366 | ) | 89,702,415 | |||||
Net increase (decrease) in net assets resulting from operations | (29,810,974 | ) | 141,072,937 | |||||
Distributions to shareholders: | ||||||||
A-Class | (21,330,395 | ) | — | |||||
C-Class | (847,652 | ) | — | |||||
P-Class | (452,599 | ) | — | |||||
Institutional Class | (20,988,300 | ) | — | |||||
Total distributions to shareholders | (43,618,946 | ) | — | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 11,484,211 | 20,445,417 | ||||||
C-Class | 480,284 | 1,277,246 | ||||||
P-Class | 1,019,491 | 858,767 | ||||||
Institutional Class | 19,826,586 | 31,236,075 | ||||||
Distributions reinvested | ||||||||
A-Class | 20,707,053 | — | ||||||
C-Class | 813,998 | — | ||||||
P-Class | 452,599 | — | ||||||
Institutional Class | 16,362,390 | — | ||||||
Cost of shares redeemed | ||||||||
A-Class | (41,110,959 | ) | (54,126,198 | ) | ||||
C-Class | (4,830,625 | ) | (11,088,501 | ) | ||||
P-Class | (1,852,112 | ) | (4,270,396 | ) | ||||
Institutional Class | (23,566,323 | ) | (21,979,519 | ) | ||||
Net decrease from capital share transactions | (213,407 | ) | (37,647,109 | ) | ||||
Net increase (decrease) in net assets | (73,643,327 | ) | 103,425,828 | |||||
Net assets: | ||||||||
Beginning of year | 429,218,298 | 325,792,470 | ||||||
End of year | $ | 355,574,971 | $ | 429,218,298 | ||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) | |
SMID CAP VALUE FUND | |
| Year Ended | Year Ended | ||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 307,454 | 561,341 | ||||||
C-Class | 19,865 | 52,040 | ||||||
P-Class | 27,573 | 23,190 | ||||||
Institutional Class | 1,899,357 | 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 | (1,104,633 | ) | (1,516,668 | ) | ||||
C-Class | (200,888 | ) | (473,341 | ) | ||||
P-Class | (50,585 | ) | (133,809 | ) | ||||
Institutional Class | (2,235,401 | ) | (1,907,686 | ) | ||||
Net increase (decrease) in shares | 914,562 | (770,956 | ) | |||||
20 | THE GUGGENHEIM FUNDS 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 | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 38.00 | $ | 26.27 | $ | 30.52 | $ | 36.20 | $ | 35.37 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .36 | .19 | .46 | .22 | .06 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.16 | ) | 11.54 | (3.37 | ) | (1.89 | ) | 3.37 | ||||||||||||
Total from investment operations | (2.80 | ) | 11.73 | (2.91 | ) | (1.67 | ) | 3.43 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.10 | ) | — | (.26 | ) | (.03 | ) | — | ||||||||||||
Net realized gains | (2.52 | ) | — | (1.04 | ) | (3.98 | ) | (2.60 | ) | |||||||||||
Return of capital | — | — | (.04 | ) | — | — | ||||||||||||||
Total distributions | (2.62 | ) | — | (1.34 | ) | (4.01 | ) | (2.60 | ) | |||||||||||
Net asset value, end of period | $ | 32.58 | $ | 38.00 | $ | 26.27 | $ | 30.52 | $ | 36.20 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (8.08 | %) | 44.65 | % | (10.25 | %) | (2.51 | %) | 10.05 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 262,943 | $ | 315,323 | $ | 243,072 | $ | 335,806 | $ | 392,495 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.96 | % | 0.53 | % | 1.64 | % | 0.72 | % | 0.17 | % | ||||||||||
Total expensesc | 1.19 | % | 1.20 | % | 1.25 | % | 1.23 | % | 1.26 | % | ||||||||||
Net expensesd,e,f | 1.18 | % | 1.19 | % | 1.24 | % | 1.23 | % | 1.26 | % | ||||||||||
Portfolio turnover rate | 39 | % | 34 | % | 41 | % | 45 | % | 54 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS 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.
C-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 24.85 | $ | 17.32 | $ | 20.48 | $ | 26.05 | $ | 26.33 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .01 | (.06 | ) | .16 | (.02 | ) | (.17 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.93 | ) | 7.59 | (2.22 | ) | (1.57 | ) | 2.49 | ||||||||||||
Total from investment operations | (1.92 | ) | 7.53 | (2.06 | ) | (1.59 | ) | 2.32 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | — | (.03 | ) | — | — | ||||||||||||||
Net realized gains | (2.52 | ) | — | (1.04 | ) | (3.98 | ) | (2.60 | ) | |||||||||||
Return of capital | — | — | (.03 | ) | — | — | ||||||||||||||
Total distributions | (2.52 | ) | — | (1.10 | ) | (3.98 | ) | (2.60 | ) | |||||||||||
Net asset value, end of period | $ | 20.41 | $ | 24.85 | $ | 17.32 | $ | 20.48 | $ | 26.05 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (8.85 | %) | 43.48 | % | (10.95 | %) | (3.35 | %) | 9.22 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,256 | $ | 10,015 | $ | 14,276 | $ | 31,221 | $ | 52,996 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.04 | % | (0.27 | %) | 0.86 | % | (0.11 | %) | (0.65 | %) | ||||||||||
Total expensesc | 2.09 | % | 2.05 | % | 2.14 | % | 2.07 | % | 2.03 | % | ||||||||||
Net expensesd,e,f | 2.02 | % | 2.02 | % | 2.07 | % | 2.06 | % | 2.03 | % | ||||||||||
Portfolio turnover rate | 39 | % | 34 | % | 41 | % | 45 | % | 54 | % | ||||||||||
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) |
SMID CAP VALUE FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 37.67 | $ | 26.06 | $ | 30.25 | $ | 35.94 | $ | 35.15 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .33 | .15 | .46 | .19 | .05 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.12 | ) | 11.46 | (3.37 | ) | (1.88 | ) | 3.34 | ||||||||||||
Total from investment operations | (2.79 | ) | 11.61 | (2.91 | ) | (1.69 | ) | 3.39 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.06 | ) | — | (.20 | ) | (.02 | ) | — | ||||||||||||
Net realized gains | (2.52 | ) | — | (1.04 | ) | (3.98 | ) | (2.60 | ) | |||||||||||
Return of capital | — | — | (.04 | ) | — | — | ||||||||||||||
Total distributions | (2.58 | ) | — | (1.28 | ) | (4.00 | ) | (2.60 | ) | |||||||||||
Net asset value, end of period | $ | 32.30 | $ | 37.67 | $ | 26.06 | $ | 30.25 | $ | 35.94 | ||||||||||
| ||||||||||||||||||||
Total Return | (8.16 | %) | 44.55 | % | (10.30 | %) | (2.61 | %) | 10.03 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,584 | $ | 6,907 | $ | 7,662 | $ | 14,165 | $ | 19,889 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.90 | % | 0.43 | % | 1.64 | % | 0.63 | % | 0.13 | % | ||||||||||
Total expensesc | 1.30 | % | 1.32 | % | 1.33 | % | 1.35 | % | 1.35 | % | ||||||||||
Net expensesd,e,f | 1.26 | % | 1.28 | % | 1.31 | % | 1.32 | % | 1.28 | % | ||||||||||
Portfolio turnover rate | 39 | % | 34 | % | 41 | % | 45 | % | 54 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
FINANCIAL HIGHLIGHTS (continued) |
SMID CAP VALUE FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year | Year | Period | |||||||||
Per Share Data | ||||||||||||
Net asset value, beginning of period | $ | 12.42 | $ | 8.57 | $ | 10.20 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)a | .12 | .08 | .11 | |||||||||
Net gain (loss) on investments (realized and unrealized) | (.82 | ) | 3.77 | (1.74 | ) | |||||||
Total from investment operations | (.70 | ) | 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 | $ | 8.98 | $ | 12.42 | $ | 8.57 | ||||||
| ||||||||||||
Total Return | (7.93 | %) | 44.92 | % | (15.98 | %) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (in thousands) | $ | 81,792 | $ | 96,973 | $ | 60,783 | ||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) | 1.14 | % | 0.70 | % | 1.87 | % | ||||||
Total expensesc | 1.03 | % | 1.06 | % | 1.09 | % | ||||||
Net expensesd,e,f | 1.01 | % | 1.02 | % | 1.03 | % | ||||||
Portfolio turnover rate | 39 | % | 34 | % | 41 | % | ||||||
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
SMID CAP VALUE FUND |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests, if any. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 |
A-Class | 0.01% | 0.00% | 0.00%* | 0.00%* | 0.01% |
C-Class | 0.00%* | 0.00%* | 0.00%* | 0.01% | 0.01% |
P-Class | 0.02% | 0.07% | 0.01% | 0.04% | 0.04% |
Institutional Class | 0.00%* | 0.00% | 0.00%*,g | N/A | N/A |
* | Less than 0.01% |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/22 | 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 | 1.25% | 1.28% | 1.30% | 1.32% | 1.28% |
Institutional Class | 1.01% | 1.02% | 1.03%g | N/A | N/A |
g | Since commencement of operations: January 3, 2020. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 8-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Guggenheim SMid Cap Value Fund (the “Fund”), a diversified investment company. At September 30, 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 (“GI” or the “Adviser”), 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.
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and/or other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and/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 Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly reviews 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 Adviser.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market
THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
NOTES TO FINANCIAL STATEMENTS (continued) |
on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are generally 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 the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.
(b) Foreign Taxes
The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 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.
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
(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.
(e) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.
(f) Earnings Credits
Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 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 3.08% at September 30, 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.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
NOTES TO FINANCIAL STATEMENTS (continued) |
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.
The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
A-Class | 1.30 | %1 | 01/03/20 | 02/01/23 | ||||||||
C-Class | 2.05 | %1 | 01/03/20 | 02/01/23 | ||||||||
P-Class | 1.30 | %1 | 01/03/20 | 02/01/23 | ||||||||
Institutional Class | 1.05 | % | 01/03/20 | 02/01/23 | ||||||||
1 | Prior to January 3, 2020, the expense limit for A-Class, C-Class and P-Class shares of the Fund was 1.42%, 2.12% and 1.32%, respectively. |
GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2022, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:
| 2023 | 2024 | 2025 | Total | ||||||||||||
A-Class | $ | — | $ | 1,470 | $ | 10,015 | $ | 11,485 | ||||||||
C-Class | 15,935 | 4,260 | 4,648 | 24,843 | ||||||||||||
P-Class | 2,623 | 2,971 | 2,276 | 7,870 | ||||||||||||
Institutional Class | 24,589 | 28,324 | 17,866 | 70,779 | ||||||||||||
During the year ended September 30, 2022, GI recouped $30,838 from the Fund.
For the year ended September 30, 2022, GFD retained sales charges of $144,088 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.
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
Note 3 - Federal Income Tax Information
The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
The tax character of distributions paid during the year ended September 30, 2022 was as follows:
| Ordinary | Long-Term | Total | |||||||||
| $ | 14,921,805 | $ | 28,697,141 | $ | 43,618,946 | |||||||
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:
| Undistributed | Undistributed | Net Unrealized | Accumulated | Total | |||||||||||||||
| $ | 4,095,772 | $ | 28,162,093 | $ | 11,489,517 | $ | — | $ | 43,747,382 | |||||||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
NOTES TO FINANCIAL STATEMENTS (continued) |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, the Fund had no capital loss carryforwards.
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to losses deferred due to wash sales, reclassification of distributions, and distributions in connection with redemption of fund shares. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statement of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences:
| Paid In | Total | ||||||
| $ | 4,500,437 | $ | (4,500,437 | ) | ||||
At September 30, 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 | Tax | Tax | Net Tax | ||||||||||||
| $ | 347,549,686 | $ | 50,407,585 | $ | (38,918,068 | ) | $ | 11,489,517 | ||||||||
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 between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | unadjusted quoted prices in active markets for identical assets or liabilities. |
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (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. |
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements.
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.
Note 5 – Securities Transactions
For the year ended September 30, 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 | ||||||
| $ | 156,669,040 | $ | 198,259,167 | |||||
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 September 30, 2022, at which time a new line of credit was entered into in the amount of $1,150,000,000. 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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
NOTES TO FINANCIAL STATEMENTS (concluded) |
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”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.
The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.
Note 7 – Market Risks
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.
Note 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.
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of Guggenheim SMid Cap Value Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Guggenheim SMid Cap Value Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2022, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded) |
audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2022
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OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.
The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See the qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
| Qualified Dividend | Dividend | Qualified | Qualified | ||||||||||||
| 44.44 | % | 43.89 | % | 0.01 | % | 100.00 | % | |||||||||
With respect to the taxable year ended September 30, 2022, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:
| From long-term | From long-term capital | ||||||
| $ | 28,697,141 | $ | 4,500,437 | |||||
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.
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OTHER INFORMATION (Unaudited)(continued) |
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
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OTHER INFORMATION (Unaudited)(continued) |
● Guggenheim Alpha Opportunity Fund
● Guggenheim Core Bond Fund
● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)
● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)
● Guggenheim Macro Opportunities Fund
● Guggenheim Municipal Income Fund
● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)
● Guggenheim StylePlus—Large Core Fund
● Guggenheim Total Return Bond Fund
● Guggenheim World Equity Income Fund | ● Guggenheim Capital Stewardship Fund
● Guggenheim Diversified Income Fund
● Guggenheim High Yield Fund
● Guggenheim Limited Duration Fund (“Limited Duration Fund”)
● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)
● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)
● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)
● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)
● Guggenheim Ultra Short Duration Fund |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
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OTHER INFORMATION (Unaudited)(continued) |
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
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OTHER INFORMATION (Unaudited)(continued) |
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund,
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OTHER INFORMATION (Unaudited)(continued) |
Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).4 Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA Sub-Advisory Agreement at the Special Meeting. |
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OTHER INFORMATION (Unaudited)(continued) |
regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.5 As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
5 | Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements. |
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OTHER INFORMATION (Unaudited)(continued) |
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s
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OTHER INFORMATION (Unaudited)(continued) |
relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.
Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.
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OTHER INFORMATION (Unaudited)(continued) |
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee6 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(continued) |
In addition, the Committee made the following observations:
Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser. Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.
Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive
THE GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
OTHER INFORMATION (Unaudited)(continued) |
and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Total Return Bond Fund The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
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OTHER INFORMATION (Unaudited)(continued) |
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
OTHER INFORMATION (Unaudited)(continued) |
Sub-Advisory Agreements
Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.
Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that the GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.
Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
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OTHER INFORMATION (Unaudited)(concluded) |
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee) (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
Angela Brock-Kyle (1959) | Trustee | Since 2019 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Member, Board of Directors, Mutual Fund Directors Forum (2022-present). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019 (Trustee) (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); Vice Chairman, VettaFi (2022-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present). |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2014 | Current: Of Counsel, Momkus LLP (2016-present). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee) (Chair of the Audit Committee) | Current: Retired. | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). | 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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE | |||||
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee) (Chief Legal Officer) (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). | 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 ANNUAL REPORT | 57 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and President of Mutual Funds Boards, Guggenheim Investments (2018-present). |
James M. Howley (1972) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since August 2022 | Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present). |
Mark E. Mathiasen (1978) | Secretary | Since 2014 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2014 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); 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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - continued | |||
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
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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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legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies.
You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
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
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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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LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
64 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
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9.30.2022
Guggenheim Funds Annual Report
Guggenheim Capital Stewardship Fund | ||
GuggenheimInvestments.com | CSF-ANN-0922x0923 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
CAPITAL STEWARDSHIP FUND | 7 |
NOTES TO FINANCIAL STATEMENTS | 15 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 20 |
OTHER INFORMATION | 21 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 30 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 36 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 39 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2022 |
Dear Shareholder:
Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Capital Stewardship Fund (the “Fund”). The report covers the annual fiscal period ended September 30, 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 Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for the Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC
October 31, 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 ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2022 |
Equity and fixed income markets declined during the 12-month period ended September 30, 2022, amid continued market volatility, Federal Reserve policy, and global economic headwinds.
The Federal Reserve (the “Fed”) has abandoned talk of a soft or even “softish” landing, with the latest Summary of Economic Projections pointing to a 90-basis-point rise in the unemployment rate, an increase never before experienced without a recession. One basis point equals 0.01%. The seemingly endless string of upside inflation surprises has cemented the Fed’s view that the labor market needs to soften and economic activity needs to weaken further, which could require interest rates heading even higher.
Signs are indicating that the economy is heading in the direction the Fed wants. While gross domestic product (“GDP”) rebounded in the third quarter of 2022 to an inflation-adjusted 2.6%, private domestic demand (consumption and fixed investment) continued to slow, growing just 0.1%. The slowdown was led by a significant contraction in housing activity, historically the first sector to be hit by rising rates, cutting about 1.4 percentage points from GDP’s growth rate. The sharp tightening in financial conditions indicates a broader economic slowdown is ahead, which may help to loosen up the labor market. Signs of a labor market slowdown are already evident, with monthly job growth at less than half the pace of early 2022, wage growth cooling, and job openings falling sharply.
Inflation remains high, but a variety of factors point to a substantial moderation in 2023. Goods prices have stopped rising, and supply chain improvement and input and import costs suggest outright deflation could lie ahead. Services inflation is now the main price stability concern, but even the Bureau of Labor Statistics and several Fed speakers have acknowledged that the lagged data on home rental prices doesn’t reflect the sharp slowdown in market rents that has taken place (and that would start to show up in the data next year).
With the economy cooling and inflation likely to fall, it is fair to expect that rate hikes are nearly coming to an end, particularly with rising strains in financial markets and overseas. But having been repeatedly burned by expectations that inflation would cool and fearing a replay of the “stop-start” rate hike campaigns of the 1970s, the Fed will likely err on the side of overdoing it with rate hikes, viewing a recession as the “least bad” outcome for the economy.
For the 12-month period ended September 30, 2022, the S&P 500® Index* returned -15.47%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -25.13%. The return of the MSCI Emerging Markets Index* was -28.11%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -14.60% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -14.14%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.62% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2022 |
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 ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
|
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2022 and ending September 30, 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 ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
|
| Expense | Fund | Beginning | Ending | Expenses | |||||||||||||||
Table 1. Based on actual Fund Institutional Class return3 | ||||||||||||||||||||
| 1.02 | % | (17.54 | %) | $ | 1,000.00 | $ | 824.60 | $ | 4.67 | |||||||||||
| ||||||||||||||||||||
Table 2. Based on hypothetical 5% return (before expenses) | ||||||||||||||||||||
| 1.02 | % | 5.00 | % | $ | 1,000.00 | $ | 1,019.95 | $ | 5.16 | |||||||||||
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest, if any. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2022 to September 30, 2022. |
6 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Capital Stewardship Fund (the “Fund”). Concinnity Advisors, LP serves as the Fund’s unaffiliated sub-adviser. The Fund is managed by a team of seasoned professionals led by Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Peter Derby, Portfolio Manager at Concinnity. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Guggenheim Capital Stewardship Fund Institutional Class provided a total return of -15.74%, underperforming the S&P 500 Index (“Index”), the Fund’s benchmark, which returned -15.47% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
During the Reporting Period, the Fund underperformed its benchmark by 0.27%. The contribution from sector allocation effect and security selection effect were 1.3% and -0.7%, respectively.
Across the 11 S&P sectors, relatively speaking, the Health Care sector added 1.4%. The Financials sector detracted 1.2%.
The top individual contributors to return were Chevron Corp., Bristol Myers Squibb, and H&R Block Inc. The top individual detractors were Intel Corp., Amazon.com, Inc., and Alphabet, Inc.
How was the Fund positioned at the end of the Reporting Period?
As of end of the Reporting Period, the Fund is fully invested, with less than 1% in cash or cash equivalents. Relative to its benchmark, the Fund is overweight in the Health Care sector and Energy sector by 5% and 4%, respectively. The Fund is underweight in the Communication Services sector and the Consumer Discretionary sector by 4% and 3%, respectively.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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.
Cumulative Fund Performance*
Inception Date: September 26, 2014 |
Ten Largest Holdings (% of Total Net Assets) | |
Apple, Inc. | 5.8% |
Microsoft Corp. | 5.0% |
Johnson & Johnson | 2.9% |
Chevron Corp. | 2.7% |
Alphabet, Inc. — Class A | 2.6% |
Bristol-Myers Squibb Co. | 2.2% |
Texas Instruments, Inc. | 2.2% |
Gilead Sciences, Inc. | 2.1% |
Home Depot, Inc. | 2.0% |
Amazon.com, Inc. | 2.0% |
Top Ten Total | 29.5% |
“Ten Largest Holdings” excludes any temporary cash investments. | |
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | Since |
Capital Stewardship Fund Institutional Class | (15.74%) | 7.58% | 7.73% |
S&P 500 Index | (15.47%) | 9.24% | 9.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
CAPITAL STEWARDSHIP FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.7% | ||||||||
Consumer, Non-cyclical - 31.7% | ||||||||
Johnson & Johnson | 29,803 | $ | 4,868,618 | |||||
Bristol-Myers Squibb Co. | 51,551 | 3,664,761 | ||||||
Gilead Sciences, Inc. | 56,268 | 3,471,173 | ||||||
Colgate-Palmolive Co. | 43,113 | 3,028,689 | ||||||
CVS Health Corp. | 26,379 | 2,515,765 | ||||||
Amgen, Inc. | 10,195 | 2,297,953 | ||||||
Campbell Soup Co. | 45,455 | 2,141,840 | ||||||
Cigna Corp. | 7,624 | 2,115,431 | ||||||
General Mills, Inc. | 26,269 | 2,012,468 | ||||||
Merck & Company, Inc. | 22,886 | 1,970,942 | ||||||
Becton Dickinson and Co. | 8,487 | 1,891,158 | ||||||
AbbVie, Inc. | 12,702 | 1,704,736 | ||||||
Kellogg Co. | 20,229 | 1,409,152 | ||||||
Quest Diagnostics, Inc. | 11,059 | 1,356,829 | ||||||
Mondelez International, Inc. — Class A | 24,682 | 1,353,314 | ||||||
UnitedHealth Group, Inc. | 2,494 | 1,259,570 | ||||||
Avery Dennison Corp. | 7,466 | 1,214,718 | ||||||
J M Smucker Co. | 8,364 | 1,149,297 | ||||||
PepsiCo, Inc. | 6,908 | 1,127,800 | ||||||
United Rentals, Inc.* | 4,044 | 1,092,365 | ||||||
Kimberly-Clark Corp. | 9,609 | 1,081,397 | ||||||
Hershey Co. | 4,900 | 1,080,303 | ||||||
Pfizer, Inc. | 23,181 | 1,014,401 | ||||||
Procter & Gamble Co. | 7,245 | 914,681 | ||||||
Regeneron Pharmaceuticals, Inc.* | 1,294 | 891,398 | ||||||
Eli Lilly & Co. | 2,698 | 872,398 | ||||||
Humana, Inc. | 1,590 | 771,452 | ||||||
Automatic Data Processing, Inc. | 3,358 | 759,546 | ||||||
Chemed Corp. | 1,300 | 567,528 | ||||||
Booz Allen Hamilton Holding Corp. | 5,384 | 497,213 | ||||||
Vertex Pharmaceuticals, Inc.* | 1,523 | 440,969 | ||||||
HCA Healthcare, Inc. | 2,124 | 390,370 | ||||||
Kroger Co. | 8,548 | 373,975 | ||||||
DaVita, Inc.* | 4,447 | 368,078 | ||||||
Centene Corp.* | 3,782 | 294,277 | ||||||
Abbott Laboratories | 2,827 | 273,541 | ||||||
Hormel Foods Corp. | 5,030 | 228,563 | ||||||
H&R Block, Inc. | 4,408 | 187,516 | ||||||
PayPal Holdings, Inc.* | 1,967 | 169,300 | ||||||
Total Consumer, Non-cyclical | 52,823,485 | |||||||
Technology - 23.9% | ||||||||
Apple, Inc. | 70,390 | 9,727,898 | ||||||
Microsoft Corp. | 35,809 | 8,339,916 | ||||||
Texas Instruments, Inc. | 23,230 | 3,595,539 | ||||||
International Business Machines Corp. | 20,619 | 2,449,743 | ||||||
Intel Corp. | 88,622 | 2,283,789 | ||||||
Dell Technologies, Inc. — Class C | 37,123 | 1,268,493 | ||||||
Analog Devices, Inc. | 8,657 | 1,206,266 | ||||||
SS&C Technologies Holdings, Inc. | 24,210 | 1,156,027 | ||||||
Jack Henry & Associates, Inc. | 6,239 | 1,137,183 | ||||||
Dropbox, Inc. — Class A* | 46,529 | 964,081 | ||||||
Skyworks Solutions, Inc. | 11,243 | 958,691 | ||||||
NetApp, Inc. | 13,970 | 864,045 | ||||||
KLA Corp. | 2,381 | 720,562 | ||||||
Seagate Technology Holdings plc | 12,080 | 643,018 | ||||||
HP, Inc. | 23,706 | 590,754 | ||||||
Akamai Technologies, Inc.* | 7,177 | 576,457 | ||||||
Lam Research Corp. | 1,566 | 573,156 | ||||||
Cognizant Technology Solutions Corp. — Class A | 9,645 | 554,009 | ||||||
NVIDIA Corp. | 4,349 | 527,925 | ||||||
Fiserv, Inc.* | 5,239 | 490,213 | ||||||
Applied Materials, Inc. | 5,576 | 456,842 | ||||||
Broadridge Financial Solutions, Inc. | 2,141 | 308,989 | ||||||
Paychex, Inc. | 1,615 | 181,219 | ||||||
Intuit, Inc. | 427 | 165,386 | ||||||
Total Technology | 39,740,201 | |||||||
Financial - 9.7% | ||||||||
Prudential Financial, Inc. | 24,983 | 2,143,042 | ||||||
Royal Bank of Canada | 22,774 | 2,050,571 | ||||||
Toronto-Dominion Bank | 29,858 | 1,831,191 | ||||||
Bank of Montreal | 20,527 | 1,798,986 | ||||||
Canadian Imperial Bank of Commerce | 39,456 | 1,726,595 | ||||||
Travelers Companies, Inc. | 10,462 | 1,602,778 | ||||||
MetLife, Inc. | 17,575 | 1,068,209 | ||||||
Citigroup, Inc. | 20,268 | 844,568 | ||||||
U.S. Bancorp | 20,134 | 811,803 | ||||||
Visa, Inc. — Class A | 4,089 | 726,411 | ||||||
Western Union Co. | 41,676 | 562,626 | ||||||
Mastercard, Inc. — Class A | 1,872 | 532,284 | ||||||
Bank of America Corp. | 8,041 | 242,838 | ||||||
Principal Financial Group, Inc. | 2,956 | 213,275 | ||||||
Total Financial | 16,155,177 | |||||||
Communications - 8.8% | ||||||||
Alphabet, Inc. — Class A* | 44,850 | 4,289,902 | ||||||
Amazon.com, Inc.* | 29,413 | 3,323,669 | ||||||
Verizon Communications, Inc. | 42,962 | 1,631,267 | ||||||
Motorola Solutions, Inc. | 6,582 | 1,474,171 | ||||||
Cisco Systems, Inc. | 31,878 | 1,275,120 | ||||||
CDW Corp. | 6,137 | 957,863 | ||||||
Meta Platforms, Inc. — Class A* | 5,589 | 758,315 | ||||||
F5, Inc.* | 3,449 | 499,174 | ||||||
Comcast Corp. — Class A | 7,042 | 206,542 | ||||||
Netflix, Inc.* | 793 | 186,704 | ||||||
Total Communications | 14,602,727 | |||||||
Energy - 8.5% | ||||||||
Chevron Corp. | 31,277 | 4,493,566 | ||||||
Kinder Morgan, Inc. | 183,456 | 3,052,708 | ||||||
Phillips 66 | 32,668 | 2,636,961 | ||||||
Valero Energy Corp. | 20,302 | 2,169,269 | ||||||
Cheniere Energy, Inc. | 7,084 | 1,175,306 | ||||||
ONEOK, Inc. | 13,915 | 713,005 | ||||||
Total Energy | 14,240,815 | |||||||
Consumer, Cyclical - 6.7% | ||||||||
Home Depot, Inc. | 12,154 | 3,353,775 | ||||||
Lowe’s Companies, Inc. | 7,889 | 1,481,633 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
CAPITAL STEWARDSHIP FUND |
| Shares | Value | ||||||
Dollar General Corp. | 3,998 | $ | 958,960 | |||||
Magna International, Inc. | 19,854 | 941,477 | ||||||
Tesla, Inc.* | 3,515 | 932,354 | ||||||
Cummins, Inc. | 3,520 | 716,355 | ||||||
NVR, Inc.* | 161 | 641,920 | ||||||
Starbucks Corp. | 5,556 | 468,149 | ||||||
Bath & Body Works, Inc. | 12,334 | 402,088 | ||||||
PulteGroup, Inc. | 10,029 | 376,087 | ||||||
Lululemon Athletica, Inc.* | 1,300 | 363,428 | ||||||
AutoNation, Inc.* | 3,400 | 346,358 | ||||||
Gentex Corp. | 6,945 | 165,569 | ||||||
Total Consumer, Cyclical | 11,148,153 | |||||||
Industrial - 5.7% | ||||||||
General Dynamics Corp. | 9,371 | 1,988,245 | ||||||
3M Co. | 14,145 | 1,563,023 | ||||||
Oshkosh Corp. | 14,936 | 1,049,851 | ||||||
Lennox International, Inc. | 3,998 | 890,234 | ||||||
Owens Corning | 11,170 | 878,074 | ||||||
L3Harris Technologies, Inc. | 3,661 | 760,866 | ||||||
Waste Management, Inc. | 4,435 | 710,532 | ||||||
Republic Services, Inc. — Class A | 3,982 | 541,711 | ||||||
Keysight Technologies, Inc.* | 3,430 | 539,745 | ||||||
Littelfuse, Inc. | 1,612 | 320,288 | ||||||
United Parcel Service, Inc. — Class B | 1,293 | 208,871 | ||||||
Total Industrial | 9,451,440 | |||||||
Utilities - 4.7% | ||||||||
WEC Energy Group, Inc. | 30,513 | 2,728,778 | ||||||
Duke Energy Corp. | 27,163 | 2,526,702 | ||||||
Exelon Corp. | 45,402 | 1,700,759 | ||||||
NextEra Energy, Inc. | 8,757 | 686,636 | ||||||
American Water Works Company, Inc. | 1,306 | 169,989 | ||||||
Total Utilities | 7,812,864 | |||||||
Total Common Stocks | ||||||||
(Cost $179,659,270) | 165,974,862 | |||||||
EXCHANGE-TRADED FUNDS† - 0.7% | ||||||||
SPDR S&P 500 ETF Trust | 3,500 | 1,250,130 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $1,518,700) | 1,250,130 | |||||||
MONEY MARKET FUND† - 0.4% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%1 | 638,870 | 638,870 | ||||||
Total Money Market Fund | ||||||||
(Cost $638,870) | 638,870 | |||||||
Total Investments - 100.8% | ||||||||
(Cost $181,816,840) | $ | 167,863,862 | ||||||
Other Assets & Liabilities, net - (0.8)% | (1,395,103 | ) | ||||||
Total Net Assets - 100.0% | $ | 166,468,759 | ||||||
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | Rate indicated is the 7-day yield as of September 30, 2022. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2022 |
CAPITAL STEWARDSHIP FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 165,974,862 | $ | — | $ | — | $ | 165,974,862 | ||||||||
Exchange-Traded Funds | 1,250,130 | — | — | 1,250,130 | ||||||||||||
Money Market Fund | 638,870 | — | — | 638,870 | ||||||||||||
Total Assets | $ | 167,863,862 | $ | — | $ | — | $ | 167,863,862 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
CAPITAL STEWARDSHIP FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2022 |
Assets: | ||||
Investments, at value (cost $181,816,840) | $ | 167,863,862 | ||
Prepaid expenses | 10,562 | |||
Receivables: | ||||
Dividends | 111,575 | |||
Foreign tax reclaims | 6,988 | |||
Interest | 1,132 | |||
Total assets | 167,994,119 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 4,735 | |||
Payable for: | ||||
Fund shares redeemed | 1,341,278 | |||
Management fees | 132,738 | |||
Fund accounting/administration fees | 10,173 | |||
Trustees’ fees* | 3,468 | |||
Transfer agent/maintenance fees | 2,256 | |||
Miscellaneous | 30,712 | |||
Total liabilities | 1,525,360 | |||
Net assets | $ | 166,468,759 | ||
Net assets consist of: | ||||
Paid in capital | $ | 182,700,944 | ||
Total distributable earnings (loss) | (16,232,185 | ) | ||
Net assets | $ | 166,468,759 | ||
Capital shares outstanding | 6,967,512 | |||
Net asset value per share | $ | 23.89 | ||
STATEMENT OF OPERATIONS |
Year Ended September 30, 2022 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $15,038) | $ | 3,985,480 | ||
Interest | 3,628 | |||
Total investment income | 3,989,108 | |||
Expenses: | ||||
Management fees | 1,876,195 | |||
Transfer agent/maintenance fees | 25,167 | |||
Fund accounting/administration fees | 133,308 | |||
Professional fees | 38,642 | |||
Trustees’ fees* | 16,676 | |||
Custodian fees | 7,324 | |||
Miscellaneous | 21,630 | |||
Total expenses | 2,118,942 | |||
Less: | ||||
Earnings credits applied | (135 | ) | ||
Net expenses | 2,118,807 | |||
Net investment income | 1,870,301 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 3,050,146 | |||
Investments sold short | 6,183 | |||
Net realized gain | 3,056,329 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (35,592,196 | ) | ||
Net change in unrealized appreciation (depreciation) | (35,592,196 | ) | ||
Net realized and unrealized loss | (32,535,867 | ) | ||
Net decrease in net assets resulting from operations | $ | (30,665,566 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CAPITAL STEWARDSHIP FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 1,870,301 | $ | 1,657,454 | ||||
Net realized gain on investments | 3,056,329 | 56,921,577 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (35,592,196 | ) | (6,631,844 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (30,665,566 | ) | 51,947,187 | |||||
Distributions to shareholders | (54,426,863 | ) | (13,020,049 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 106,639,651 | 8,500,000 | ||||||
Distributions reinvested | 54,379,479 | 12,936,786 | ||||||
Cost of shares redeemed | (135,570,764 | ) | (41,001,933 | ) | ||||
Net increase (decrease) from capital share transactions | 25,448,366 | (19,565,147 | ) | |||||
Net increase (decrease) in net assets | (59,644,063 | ) | 19,361,991 | |||||
Net assets: | ||||||||
Beginning of year | 226,112,822 | 206,750,831 | ||||||
End of year | $ | 166,468,759 | $ | 226,112,822 | ||||
Capital share activity: | ||||||||
Shares sold | 3,780,096 | 271,840 | ||||||
Shares issued from reinvestment of distributions | 1,772,473 | 402,138 | ||||||
Shares redeemed | (4,747,908 | ) | (1,164,212 | ) | ||||
Net increase (decrease) in shares | 804,661 | (490,234 | ) | |||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
CAPITAL STEWARDSHIP FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 36.69 | $ | 31.08 | $ | 28.23 | $ | 31.23 | $ | 29.11 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .27 | .25 | .28 | .33 | .28 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.05 | ) | 7.28 | 3.43 | .05 | 4.34 | ||||||||||||||
Total from investment operations | (3.78 | ) | 7.53 | 3.71 | .38 | 4.62 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.18 | ) | (.28 | ) | (.39 | ) | (.32 | ) | (.34 | ) | ||||||||||
Net realized gains | (8.84 | ) | (1.64 | ) | (.47 | ) | (3.06 | ) | (2.16 | ) | ||||||||||
Total distributions | (9.02 | ) | (1.92 | ) | (.86 | ) | (3.38 | ) | (2.50 | ) | ||||||||||
Net asset value, end of period | $ | 23.89 | $ | 36.69 | $ | 31.08 | $ | 28.23 | $ | 31.23 | ||||||||||
| ||||||||||||||||||||
Total Return | (15.74 | %) | 25.11 | % | 13.31 | % | 3.56 | % | 16.50 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 166,469 | $ | 226,113 | $ | 206,751 | $ | 210,053 | $ | 220,587 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.90 | % | 0.70 | % | 0.96 | % | 1.23 | % | 0.93 | % | ||||||||||
Total expensesb | 1.02 | % | 1.02 | % | 1.04 | % | 1.05 | % | 1.05 | % | ||||||||||
Portfolio turnover rate | 162 | % | 154 | % | 147 | % | 131 | % | 164 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Does not include expenses of the underlying funds in which the Fund invests. |
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Capital Stewardship Fund (the “Fund”), a diversified investment company. At September 30, 2022, Institutional Class shares have been issued by the Fund.
Guggenheim Partners Investment Management, LLC (“GPIM” or “the Adviser”), 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”) adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and/or other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and/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 Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets
THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
NOTES TO FINANCIAL STATEMENTS (continued) |
which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly review the appropriateness of the inputs, methods, models and assumptions employed by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are generally valued at the last quoted sale price.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.
(b) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(c) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares, unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.
(d) Expenses
Certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.
(e) Earnings Credits
Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 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 3.08% at September 30, 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.
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
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.
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
Note 3 – Federal Income Tax Information
The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
The tax character of distributions paid during the year ended September 30, 2022 was as follows:
| Ordinary | Long-Term | Total | |||||||||
| $ | 38,843,524 | $ | 15,583,339 | $ | 54,426,863 | |||||||
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
| Ordinary | Long-Term | Total | |||||||||
| $ | 3,520,938 | $ | 9,499,111 | $ | 13,020,049 | |||||||
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:
| Undistributed | Undistributed | Net Unrealized | Accumulated | Total | |||||||||||||||
| $ | 291,687 | $ | — | $ | (16,523,872 | ) | $ | — | $ | (16,232,185 | ) | |||||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
NOTES TO FINANCIAL STATEMENTS (continued) |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, the Fund had no capital loss carryforwards.
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to reclassification of distributions, losses deferred due to wash sales, and distributions in connection with redemption of fund shares. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statement of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences:
| Paid In | Total | ||||||
| $ | 3,345,710 | $ | (3,345,710 | ) | ||||
At September 30, 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 | Tax | Tax | Net Tax | ||||||||||||
| $ | 184,387,734 | $ | 6,155,989 | $ | (22,679,861 | ) | $ | (16,523,872 | ) | |||||||
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 between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | unadjusted quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (concluded) |
The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.
Note 5 – Securities Transactions
For the year ended September 30, 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 | ||||||
| $ | 336,901,143 | $ | 368,576,151 | |||||
Note 6 – Market Risks
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.
Note 7 – Subsequent Events
The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of Guggenheim Capital Stewardship Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Guggenheim Capital Stewardship Fund (the “Fund”) (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2022, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2022
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.
The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
| Qualified | Dividend | Qualified | Qualified | ||||||||||||
| 13.76 | % | 13.76 | % | 0.03 | % | 100.00 | % | |||||||||
With respect to the taxable year ended September 30, 2022, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:
| From long-term | From long-term capital | ||||||
| $ | 15,583,339 | $ | 3,345,710 | |||||
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.
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OTHER INFORMATION (Unaudited)(continued) |
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● Guggenheim Alpha Opportunity Fund
● Guggenheim Core Bond Fund (“Core Bond Fund”)
● Guggenheim Floating Rate Strategies Fund
● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)
● Guggenheim Macro Opportunities Fund
● Guggenheim Municipal Income Fund
● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)
● Guggenheim StylePlus—Large Core Fund
● Guggenheim Total Return Bond Fund
● Guggenheim World Equity Income Fund | ● Guggenheim Capital Stewardship Fund
● Guggenheim Diversified Income Fund
● Guggenheim High Yield Fund (“High Yield Fund”)
● Guggenheim Limited Duration Fund (“Limited Duration Fund”)
● Guggenheim Market Neutral Real Estate Fund
● Guggenheim Risk Managed Real Estate Fund
● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)
● Guggenheim StylePlus—Mid Growth Fund
● Guggenheim Ultra Short Duration Fund |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners,
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OTHER INFORMATION (Unaudited)(continued) |
Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI--Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub--Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
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OTHER INFORMATION (Unaudited)(continued) |
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund, Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).4 Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA Sub-Advisory Agreement at the Special Meeting. |
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OTHER INFORMATION (Unaudited)(continued) |
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.5 As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.
5 | Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements. |
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OTHER INFORMATION (Unaudited)(continued) |
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.
Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee6 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(continued) |
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group. In addition, the Committee made the following observations:
Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.
Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.
Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Total Return Bond Fund The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense
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OTHER INFORMATION (Unaudited)(continued) |
waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Sub-Advisory Agreements
Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(concluded) |
With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.
Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that the GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.
Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee)
Since 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present).
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 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); Member, Board of Directors, Mutual Fund Directors Forum (2022-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). |
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
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); Vice Chairman, VettaFi (2022-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 ANNUAL REPORT | 31 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee)
Since 2020 (Chair of the Audit Committee) | Current: Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 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). |
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE |
|
|
|
| |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee)
Since 2014
Since 2007 | 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 ANNUAL REPORT | 33 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and 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) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since August 2022 | Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present).
Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-August 2022); 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). |
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present).
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
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 ANNUAL REPORT | 35 |
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. |
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies.
You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com. European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other
THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
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.
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
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9.30.2022
Guggenheim Funds Annual Report
Guggenheim Macro Opportunities Fund | ||
GuggenheimInvestments.com | MO-ANN-0922x0923 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
MACRO OPPORTUNITIES FUND | 9 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS | 102 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 134 |
OTHER INFORMATION | 136 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 151 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 160 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 164 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2022 |
Dear Shareholder:
Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Macro Opportunities Fund (the “Fund”) for the annual fiscal period ended September 30, 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, and then the Managers’ Commentary for the Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC
October 31, 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.
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
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| September 30, 2022 |
decrease in the market value of the Fund’s portfolio. ● The use of short selling involves increased risks and costs. You risk paying more for a security than you received from its sale. Theoretically, stocks sold short have the risk of unlimited losses. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● A highly liquid secondary market may not exist for the commodity-linked structured notes the Fund invests in, and there can be no assurance that a highly liquid secondary market will develop. ● The Fund’s exposure to the commodity markets may subject the Fund to greater volatility as commodity-linked investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity such as droughts, floods, weather, embargos, tariffs and international economic, political and regulatory developments. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2022 |
Equity and fixed income markets declined during the 12-month period ended September 30, 2022, amid continued market volatility, Federal Reserve policy, and global economic headwinds.
The Federal Reserve (the “Fed”) has abandoned talk of a soft or even “softish” landing, with the latest Summary of Economic Projections pointing to a 90-basis-point rise in the unemployment rate, an increase never before experienced without a recession. One basis point equals 0.01%. The seemingly endless string of upside inflation surprises has cemented the Fed’s view that the labor market needs to soften and economic activity needs to weaken further, which could require interest rates heading even higher.
Signs are indicating that the economy is heading in the direction the Fed wants. While gross domestic product (“GDP”) rebounded in the third quarter of 2022 to an inflation-adjusted 2.6%, private domestic demand (consumption and fixed investment) continued to slow, growing just 0.1%. The slowdown was led by a significant contraction in housing activity, historically the first sector to be hit by rising rates, cutting about 1.4 percentage points from GDP’s growth rate. The sharp tightening in financial conditions indicates a broader economic slowdown is ahead, which may help to loosen up the labor market. Signs of a labor market slowdown are already evident, with monthly job growth at less than half the pace of early 2022, wage growth cooling, and job openings falling sharply.
Inflation remains high, but a variety of factors point to a substantial moderation in 2023. Goods prices have stopped rising, and supply chain improvement and input and import costs suggest outright deflation could lie ahead. Services inflation is now the main price stability concern, but even the Bureau of Labor Statistics and several Fed speakers have acknowledged that the lagged data on home rental prices doesn’t reflect the sharp slowdown in market rents that has taken place (and that would start to show up in the data next year).
With the economy cooling and inflation likely to fall, it is fair to expect that rate hikes are nearly coming to an end, particularly with rising strains in financial markets and overseas. But having been repeatedly burned by expectations that inflation would cool and fearing a replay of the “stop-start” rate hike campaigns of the 1970s, the Fed will likely err on the side of overdoing it with rate hikes, viewing a recession as the “least bad” outcome for the economy.
For the 12-month period ended September 30, 2022, the S&P 500® Index* returned -15.47%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -25.13%. The return of the MSCI Emerging Markets Index* was -28.11%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -14.60% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -14.14%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.62% for the 12-month period.
4 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 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.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2022 and ending September 30, 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 ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
A-Class | 1.41% | (8.07%) | $ 1,000.00 | $ 919.30 | $ 6.78 |
C-Class | 2.16% | (8.38%) | 1,000.00 | 916.20 | 10.38 |
P-Class | 1.41% | (8.06%) | 1,000.00 | 919.40 | 6.78 |
Institutional Class | 1.00% | (7.86%) | 1,000.00 | 921.40 | 4.82 |
R6-Class | 1.00% | (7.86%) | 1,000.00 | 921.40 | 4.82 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
A-Class | 1.41% | 5.00% | $ 1,000.00 | $ 1,018.00 | $ 7.13 |
C-Class | 2.16% | 5.00% | 1,000.00 | 1,014.24 | 10.91 |
P-Class | 1.41% | 5.00% | 1,000.00 | 1,018.00 | 7.13 |
Institutional Class | 1.00% | 5.00% | 1,000.00 | 1,020.05 | 5.06 |
R6-Class | 1.00% | 5.00% | 1,000.00 | 1,020.05 | 5.06 |
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 1.32%, 2.07%, 1.32%, 0.91% and 0.91% for the A-Class, C-Class, P-Class, Institutional Class and R6-Class, respectively. Excludes expenses of the underlying funds in which the Fund invests. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2022 to September 30, 2022. |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Macro Opportunities Fund (“Fund”). Guggenheim Partners Advisors, LLC, an affiliate of GPIM, serves as the Fund’s sub-adviser (“GPA” or the “Sub-Adviser”). The Fund is managed by a team of seasoned professionals at GPIM and GPA. This team includes B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC; Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner of GPIM; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager of GPIM; and Adam J. Bloch, Managing Director and Portfolio Manager of GPIM. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund returned -10.77%1. The comparison index is the ICE BofA 3-Month Treasury Bill Index, which returned 0.62% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The Fund ended the Reporting Period down -10.77% while the benchmark finished up 0.62%. The dramatic rise in interest rates was a significant driver of performance, detracting roughly -6.5% from the Fund’s performance over the Reporting Period. The Fund’s curve positioning, however, did help moderate the total detraction from rates over the Reporting Period. The Fund’s bear flattener bias benefitted performance as the rise in front end yields outpaced that of longer maturity yields. Bear flattening refers to the yield curve for bonds in which short-term interest rates rise more rapidly than long-term interest rates. The performance effect from the widening in credit spreads was the largest component of performance detracting approximately -7.7%. Over the Reporting Period, we saw spreads in Investment Grade Corporates, High Yield Corporates, and A-rated Collateralized Loan Obligations (“CLOs”) widen by 75 basis points, 263 basis points, and 177 basis points, respectively. Carry positively contributed about 4.5% on an absolute basis to performance. Carry refers to the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant.
How did the Fund use derivatives during the Reporting Period?
During the Reporting Period, the Fund used interest rate futures, options, swaptions, and swaps to help manage duration, generate additional yield, and for hedging purposes. Credit default swaps and total return swaps were used to both obtain and hedge existing index exposure. Forward foreign currency contracts and currency options were used for hedging and income producing purposes. Management also employed futures, options, total return swaps and interest
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
MANAGERS’ COMMENTARY (Unaudited)(continued) | September 30, 2022 |
rate swaps opportunistically for speculative purposes. Over the Reporting Period, interest rate swaps and interest rate curve caps detracted from performance while performance from futures and swaptions was incrementally positive. Options on equities, which functioned as hedges to the Fund’s credit positioning, contributed to performance. Performance from credit default swaps and credit default swap index (CDX) positions were immaterial. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the Reporting Period. Futures and options on various commodities detracted from performance over the Reporting Period.
How was the Fund positioned at the end of the Reporting Period?
At 28% of net asset value (“NAV”), securitized credit continues to be a significant and growing asset class allocation within the Fund. As tail risks have risen across the market, we have increased our allocation to high grade pockets of securitized credit, picking credit quality and structural protection at attractive spreads versus comparably rated corporate credit. We believe a unique opportunity has emerged in securitized credit in that investors are now able to source investments at steep dollar price discounts given both the rise in interest rates and widening in credit spreads that have occurred year-to-date. We believe this dynamic presents a compelling total return opportunity as investors are now able to capture not only the traditional yield advantage offered by the sector in the form of higher coupons relative to similarly rated corporates, but also an accretion to par should rates fall or spreads tighten. In more normal market environments, the value proposition of much of securitized credit is typically limited to a carry advantage (i.e., the offered coupon) given the room for price appreciation above par ($100) is limited due to call structures. To this end, our buying efforts have been concentrated in the secondary market in subsectors like AA-rated CLOs, which as of the end of the Reporting Period traded around $94.98 // +273dm (using Palmer Square CLO Index as a proxy). In primary markets, we are finding opportunities in the Non-Agency Residential Mortgage-Backed Securities (“RMBS”) sector in senior tranches of Non-Qualified Mortgage deals, which price at dollar price discounts and offer yields and spreads comparable to BB-rated corporate credit.
Corporate credit totaled approximately 71% of the Fund’s NAV, with roughly 18% Investment Grade rated and 53% High Yield. While fundamental credit metrics, such as leverage and interest coverage, generally still show improving or healthy trends across sectors we expect them to start gradually deteriorating over the next several quarters and for default rates to pick up. However, all spread asset classes have already materially re-priced lower this year due to tighter financial conditions. Credit spread valuations are broadly in their 70th – 80th widest percentiles versus long term historical ranges, and absolute yields are at the highest levels since 2009. At current valuations the long-term value across credit assets is compelling although we expect volatility to remain elevated in the near-term. The Fund has taken advantage of dislocations across corporate credit by purchasing high credit quality investment grade corporates at attractive absolute yields, while simultaneously trimming lower grade categories, like leveraged loans, that have performed well on a relative basis this year and have greater risks going into a potential economic slowdown.
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2022 |
We continued to add duration incrementally throughout the Reporting Period as rates continued to climb and hawkish rhetoric intensified. Duration adds were made via two main tools: i) adding duration at the long end of the yield curve using Treasury Strips and ii) an increased allocation to Agency Mortgage-Backed Securities (“MBS”). As the Federal Reserve continues to emphasize its commitment to combatting inflation, we feel the long end of the yield curve should benefit through some combination of lower inflation expectations and lower growth expectations. The Agency MBS allocation was viewed as an efficient means to add duration via a highly liquid asset class while picking yield to Treasuries, upgrade the credit quality of the Fund, and monetize the elevated level of rate volatility. As of the end of the Reporting Period, the Fund had 3.7 years of duration.
Though we expect to see continued volatility as markets grapple with the rapid tightening of financial conditions, at current valuations we see return distributions for fixed income skewed to the upside over the next year. With investment grade rated debt now yielding close to 6% and the Fund’s gross yield at 8.9%, we believe the carry profile alone for such opportunities provides a significantly higher buffer to performance volatility from rates and spreads. Importantly, we believe examples of market distress and falling inflation expectations are signaling we are nearing a ceiling for interest rates and potentially some moderation in rate volatility, all of which would prove to be massive tailwinds to fixed income valuations.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration Fund, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by Guggenheim Investments. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the Reporting Period, investment in the Short Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance which is no guarantee of future results.
1 Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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) | |
Uniform MBS 30 Year | 6.3% |
Guggenheim Risk Managed Real Estate Fund — Institutional Class | 1.1% |
U.S. Treasury Bonds due 08/15/51 | 0.9% |
KKR Acquisition Holdings I Corp. — Class A | 0.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 0.7% |
Midcap Funding XLVI Trust, 6.16% | 0.7% |
TSGE, 6.25% | 0.7% |
VB-S1 Issuer LLC - VBTEL, 5.27% | 0.6% |
VanEck Gold Miners ETF | 0.6% |
BP Capital Markets plc,4.88% | 0.5% |
Top Ten Total | 12.9% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | September 30, 2022 |
Portfolio Composition by Quality Rating1 | |
Rating | % of Total |
Fixed Income Instruments | |
AAA | 9.5% |
AA | 2.0% |
A | 7.6% |
BBB | 16.4% |
BB | 16.4% |
B | 24.0% |
CCC | 2.5% |
CC | 2.7% |
C | 0.1% |
D | 0.1% |
NR2 | 5.4% |
Other Instruments | 13.3% |
Total Investments | 100.0% |
1 | Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter. |
2 | NR (not rated) securities do not necessarily indicate low credit quality. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | September 30, 2022 |
Cumulative Fund Performance*
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (10.77%) | 0.78% | 2.90% |
A-Class Shares with sales charge‡ | (14.33%) | (0.04%) | 2.40% |
C-Class Shares | (11.41%) | 0.03% | 2.14% |
C-Class Shares with CDSC§ | (12.27%) | 0.03% | 2.14% |
Institutional Class Shares | (10.39%) | 1.18% | 3.28% |
ICE BofA 3-Month U.S. Treasury Bill Index | 0.62% | 1.15% | 0.68% |
| 1 Year | 5 Year | Since |
P-Class Shares | (10.77%) | 0.77% | 1.99% |
ICE BofA 3-Month U.S. Treasury Bill Index | 0.62% | 1.15% | 0.90% |
|
| 1 Year | Since |
R6-Class Shares |
| (10.39%) | 1.01% |
ICE BofA 3-Month U.S. Treasury Bill Index |
| 0.62% | 0.88% |
* | 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 3-Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class shares and R6-Class shares will vary due to differences in fee structures. |
‡ | Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after October 1, 2015. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
CONSOLIDATED SCHEDULE OF INVESTMENTS | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 2.2% | ||||||||
Financial - 2.0% | ||||||||
KKR Acquisition Holdings I Corp. — Class A*,1 | 5,062,315 | $ | 49,813,180 | |||||
RXR Acquisition Corp. — Class A*,1 | 1,087,275 | 10,698,786 | ||||||
Aequi Acquisition Corp. — Class A*,1 | 999,157 | 9,981,579 | ||||||
AfterNext HealthTech Acquisition Corp. — Class A*,1 | 895,600 | 8,750,012 | ||||||
MSD Acquisition Corp. — Class A*,1 | 833,026 | 8,246,957 | ||||||
Conyers Park III Acquisition Corp. — Class A*,1 | 832,100 | 8,088,012 | ||||||
TPG Pace Beneficial II Corp.*,1 | 807,638 | 7,898,619 | ||||||
Waverley Capital Acquisition Corp. 1 — Class A*,††,1 | 786,700 | 7,686,059 | ||||||
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | 578,278 | 5,612,188 | ||||||
Blue Whale Acquisition Corp. I — Class A*,1 | 477,700 | 4,628,913 | ||||||
Colicity, Inc. — Class A*,1 | 217,843 | 2,143,575 | ||||||
Pershing Square Tontine Holdings Ltd. — Class A†††,1 | 6,864,930 | 686 | ||||||
Total Financial | 123,548,566 | |||||||
Utilities - 0.1% | ||||||||
Texgen Power LLC*,†† | 180,169 | 4,684,394 | ||||||
Consumer, Cyclical - 0.1% | ||||||||
ATD New Holdings, Inc.*,†† | 42,478 | 2,973,460 | ||||||
Communications - 0.0% | ||||||||
Vacasa, Inc. — Class A* | 503,817 | 1,546,718 | ||||||
Figs, Inc. — Class A*,2 | 55,695 | 459,484 | ||||||
Total Communications | 2,006,202 | |||||||
Energy - 0.0% | ||||||||
Permian Production Partners LLC††† | 573,522 | 470,288 | ||||||
Consumer, Non-cyclical - 0.0% | ||||||||
Cengage Learning Holdings II, Inc.*,†† | 21,660 | 259,920 | ||||||
Targus Group International Equity, Inc.*,†††,3 | 12,773 | 32,125 | ||||||
Save-A-Lot*,†† | 22,703 | 9,467 | ||||||
Total Consumer, Non-cyclical | 301,512 | |||||||
Technology - 0.0% | ||||||||
Qlik Technologies, Inc. - Class A*,††† | 177 | 266,674 | ||||||
Qlik Technologies, Inc. - Class B*,††† | 43,738 | 4 | ||||||
Total Technology | 266,678 | |||||||
Industrial - 0.0% | ||||||||
BP Holdco LLC*,†††,3 | 37,539 | 22,763 | ||||||
Vector Phoenix Holdings, LP*,††† | 37,539 | 8,970 | ||||||
API Heat Transfer Parent LLC*,††† | 1,763,707 | 177 | ||||||
Total Industrial | 31,910 | |||||||
Total Common Stocks | ||||||||
(Cost $131,959,216) | 134,283,010 | |||||||
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Shares | Value | ||||||
PREFERRED STOCKS†† - 6.8% | ||||||||
Financial - 6.4% | ||||||||
Bank of America Corp. | ||||||||
4.13% | 1,078,000 | $ | 18,563,160 | |||||
4.38% | 736,000 | 13,454,080 | ||||||
4.38%* | 13,850,000 | 11,114,625 | ||||||
6.13%* | 5,800,000 | 5,481,000 | ||||||
First Republic Bank | ||||||||
4.25% | 1,168,000 | 20,825,440 | ||||||
4.50% | 725,600 | 13,445,368 | ||||||
4.13% | 369,600 | 6,357,120 | ||||||
Wells Fargo & Co. | ||||||||
3.90%* | 25,750,000 | 21,774,844 | ||||||
4.70% | 982,000 | 18,196,460 | ||||||
Citigroup, Inc. | ||||||||
3.88%* | 30,600,000 | 25,233,678 | ||||||
4.00%* | 13,100,000 | 11,036,750 | ||||||
Equitable Holdings, Inc. | ||||||||
4.95%*,4 | 24,550,000 | 23,015,625 | ||||||
4.30% | 616,000 | 10,318,000 | ||||||
Markel Corp. | ||||||||
6.00%* | 32,370,000 | 31,417,753 | ||||||
Public Storage | ||||||||
4.63% | 855,064 | 17,229,540 | ||||||
4.13% | 265,621 | 4,847,583 | ||||||
Bank of New York Mellon Corp. | ||||||||
3.75%*,4 | 20,550,000 | 15,874,875 | ||||||
4.70%* | 4,500,000 | 4,308,750 | ||||||
Kuvare US Holdings, Inc. | ||||||||
7.00% due 02/17/51*,5 | 19,150,000 | 19,293,625 | ||||||
W R Berkley Corp. | ||||||||
4.13% due 03/30/61 | 878,365 | 15,371,387 | ||||||
4.25% due 09/30/60 | 115,042 | 1,954,563 | ||||||
Goldman Sachs Group, Inc. | ||||||||
4.13%* | 20,500,000 | 16,297,500 | ||||||
Charles Schwab Corp. | ||||||||
4.00%*,4 | 18,700,000 | 13,736,704 | ||||||
Prudential Financial, Inc. | ||||||||
4.13% due 09/01/60 | 648,948 | 12,953,002 | ||||||
MetLife, Inc. | ||||||||
3.85%* | 12,200,000 | 10,914,058 | ||||||
Reinsurance Group of America, Inc. | ||||||||
7.13% due 10/15/52* | 300,400 | 7,555,060 | ||||||
CNO Financial Group, Inc. | ||||||||
5.13% due 11/25/60 | 324,000 | 6,356,880 | ||||||
Assurant, Inc. | ||||||||
5.25% due 01/15/61 | 258,000 | 5,490,240 | ||||||
American Financial Group, Inc. | ||||||||
4.50% due 09/15/60 | 270,159 | 5,346,447 | ||||||
Selective Insurance Group, Inc. | ||||||||
4.60% | 246,000 | 4,297,620 | ||||||
PartnerRe Ltd. | ||||||||
4.88% | 208,352 | 3,925,352 | ||||||
Total Financial | 395,987,089 | |||||||
Government - 0.4% | ||||||||
CoBank ACB | ||||||||
4.25%*,4 | 20,000,000 | 16,790,617 | ||||||
Farmer Mac | ||||||||
5.75% | 378,000 | 8,807,400 | ||||||
Total Government | 25,598,017 | |||||||
Industrial - 0.0% | ||||||||
API Heat Transfer Intermediate†††,* | 218 | — | ||||||
Total Preferred Stocks | ||||||||
(Cost $522,154,943) | 421,585,106 | |||||||
WARRANTS† - 0.0% | ||||||||
KKR Acquisition Holdings I Corp. — Class A | ||||||||
Expiring 12/31/27*,1 | 1,265,578 | 151,870 | ||||||
Ginkgo Bioworks Holdings, Inc. | ||||||||
Expiring 08/01/26* | 128,004 | 92,163 | ||||||
AfterNext HealthTech Acquisition Corp. — Class A | ||||||||
Expiring 07/09/23*,1 | 298,533 | 47,765 | ||||||
Conyers Park III Acquisition Corp. — Class A | ||||||||
Expiring 08/12/28* | 277,366 | 39,608 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Shares | Value | ||||||
Acropolis Infrastructure Acquisition Corp. — Class A | ||||||||
Expiring 03/31/26*,1 | 192,759 | $ | 19,295 | |||||
Blue Whale Acquisition Corp. I — Class A | ||||||||
Expiring 07/09/23*,1 | 119,424 | 17,818 | ||||||
MSD Acquisition Corp. — Class A | ||||||||
Expiring 05/13/23*,1 | 166,604 | 14,228 | ||||||
Aequi Acquisition Corp. — Class A | ||||||||
Expiring 11/30/27*,1 | 333,052 | 13,322 | ||||||
Waverley Capital Acquisition Corp. 1 — Class A | ||||||||
Expiring 04/30/27*,1 | 262,232 | 11,722 | ||||||
RXR Acquisition Corp. | ||||||||
Expiring 03/08/26*,1 | 217,453 | 5,458 | ||||||
Colicity, Inc. — Class A | ||||||||
Expiring 12/31/27*,1 | 43,567 | 2,091 | ||||||
Pershing Square Tontine Holdings Ltd. — Class A | ||||||||
Expiring 07/24/25*,†††,1 | 762,770 | 76 | ||||||
Total Warrants | ||||||||
(Cost $4,970,723) | 415,416 | |||||||
RIGHTS† - 0.0% | ||||||||
Financial - 0.0% | ||||||||
BlackRock Corporate High Yield Fund, Inc. | ||||||||
Expires 10/13/22 | 1,674,130 | 3,683 | ||||||
Total Rights | ||||||||
(Cost $15,941) | 3,683 | |||||||
EXCHANGE-TRADED FUNDS† - 0.6% | ||||||||
VanEck Gold Miners ETF | 1,430,590 | 34,505,831 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $54,624,676) | 34,505,831 | |||||||
MUTUAL FUNDS† - 2.8% | ||||||||
Guggenheim Risk Managed Real Estate Fund — Institutional Class3 | 2,255,589 | 67,397,011 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class3 | 4,774,129 | 45,783,897 | ||||||
Guggenheim Alpha Opportunity Fund — Institutional Class3 | 1,010,531 | 24,848,949 | ||||||
Guggenheim Strategy Fund II3 | 751,601 | 18,015,885 | ||||||
Guggenheim Strategy Fund III3 | 729,098 | 17,512,927 | ||||||
Total Mutual Funds | ||||||||
(Cost $184,314,054) | 173,558,669 | |||||||
CLOSED-END FUNDS† - 0.9% | ||||||||
BlackRock Corporate High Yield Fund, Inc. | 1,674,130 | 14,313,812 | ||||||
Blackstone Strategic Credit Fund | 1,225,934 | 13,031,678 | ||||||
BlackRock Credit Allocation Income Trust | 1,124,760 | 10,730,210 | ||||||
Eaton Vance Limited Duration Income Fund | 791,358 | 7,288,407 | ||||||
Ares Dynamic Credit Allocation Fund, Inc. | 479,990 | 5,639,883 | ||||||
BlackRock Debt Strategies Fund, Inc. | 488,322 | 4,355,832 | ||||||
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Shares | Value | ||||||
Western Asset High Income Opportunity Fund, Inc. | 882,357 | $ | 3,247,074 | |||||
Total Closed-End Funds | ||||||||
(Cost $64,114,825) | 58,606,896 | |||||||
MONEY MARKET FUNDS† - 0.7% | ||||||||
Western Asset Institutional U.S. Treasury Reserves — Institutional Shares, 2.47%6 | 18,145,780 | 18,145,780 | ||||||
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 2.45%6 | 15,052,680 | 15,052,680 | ||||||
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 2.15%6 | 8,322,253 | 8,322,253 | ||||||
Total Money Market Funds | ||||||||
(Cost $41,520,713) | 41,520,713 | |||||||
Face | ||||||||
CORPORATE BONDS†† - 34.8% | ||||||||
Financial - 9.3% | ||||||||
Pershing Square Holdings Ltd. | ||||||||
3.25% due 10/01/31 | 33,500,000 | 25,079,105 | ||||||
3.25% due 11/15/305 | 15,100,000 | 11,656,596 | ||||||
NFP Corp. | ||||||||
6.88% due 08/15/285 | 28,700,000 | 22,386,000 | ||||||
7.50% due 10/01/305 | 4,150,000 | 3,937,946 | ||||||
4.88% due 08/15/285 | 3,950,000 | 3,370,594 | ||||||
Wilton RE Ltd. | ||||||||
6.00%5,7,8 | 31,350,000 | 27,291,116 | ||||||
LPL Holdings, Inc. | ||||||||
4.00% due 03/15/295 | 24,100,000 | 20,670,088 | ||||||
4.38% due 05/15/315 | 6,350,000 | 5,265,507 | ||||||
GLP Capital Limited Partnership / GLP Financing II, Inc. | ||||||||
4.00% due 01/15/31 | 22,640,000 | 18,506,297 | ||||||
5.30% due 01/15/29 | 6,950,000 | 6,334,624 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.30% due 02/01/615 | 36,940,000 | 23,188,785 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
3.88% due 03/01/315 | 21,650,000 | 15,693,088 | ||||||
2.88% due 10/15/265 | 8,750,000 | 7,175,000 | ||||||
CBS Studio Center | ||||||||
5.29% (30 Day Average SOFR + 3.00%, Rate Floor: 3.00%) due 01/09/24◊,††† | 22,000,000 | 22,220,000 | ||||||
Iron Mountain, Inc. | ||||||||
5.63% due 07/15/325 | 25,025,000 | 20,020,000 | ||||||
4.50% due 02/15/315 | 925,000 | 715,192 | ||||||
Home Point Capital, Inc. | ||||||||
5.00% due 02/01/265 | 32,129,000 | 20,120,786 | ||||||
United Wholesale Mortgage LLC | ||||||||
5.50% due 11/15/255 | 12,600,000 | 10,990,728 | ||||||
5.50% due 04/15/295 | 7,150,000 | 5,434,000 | ||||||
5.75% due 06/15/275 | 4,550,000 | 3,605,432 | ||||||
Host Hotels & Resorts, LP | ||||||||
3.50% due 09/15/304 | 24,000,000 | 19,139,419 | ||||||
Starwood Property Trust, Inc. | ||||||||
4.38% due 01/15/275 | 21,000,000 | 17,902,185 | ||||||
FS KKR Capital Corp. | ||||||||
3.25% due 07/15/274 | 21,000,000 | 17,296,581 | ||||||
Jefferies Finance LLC / JFIN Company-Issuer Corp. | ||||||||
5.00% due 08/15/285 | 23,000,000 | 16,962,500 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Global Atlantic Finance Co. | ||||||||
4.70% due 10/15/515,8 | 22,350,000 | $ | 16,813,300 | |||||
JPMorgan Chase & Co. | ||||||||
5.72% due 09/14/338 | 16,800,000 | 15,886,828 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
4.35% due 04/30/504,5 | 21,150,000 | 15,734,359 | ||||||
Hampton Roads PPV LLC | ||||||||
6.62% due 06/15/535 | 16,800,000 | 14,012,594 | ||||||
Kennedy-Wilson, Inc. | ||||||||
5.00% due 03/01/31 | 16,825,000 | 12,199,135 | ||||||
4.75% due 02/01/30 | 250,000 | 185,425 | ||||||
4.75% due 03/01/29 | 25,000 | 19,080 | ||||||
Sherwood Financing plc | ||||||||
4.50% due 11/15/265 | EUR 15,600,000 | 11,611,182 | ||||||
Wilton Re Finance LLC | ||||||||
5.88% due 03/30/335,8 | 11,815,000 | 11,598,922 | ||||||
Ceamer Finance LLC | ||||||||
6.92% due 05/15/38††† | 11,050,000 | 10,595,135 | ||||||
Hunt Companies, Inc. | ||||||||
5.25% due 04/15/295 | 13,700,000 | 10,490,501 | ||||||
Corebridge Financial, Inc. | ||||||||
6.88% due 12/15/525,8 | 10,750,000 | 9,830,420 | ||||||
First American Financial Corp. | ||||||||
4.00% due 05/15/304 | 11,760,000 | 9,805,215 | ||||||
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer | ||||||||
4.25% due 10/15/275 | 10,000,000 | 8,541,778 | ||||||
OneAmerica Financial Partners, Inc. | ||||||||
4.25% due 10/15/504,5 | 11,550,000 | 8,483,894 | ||||||
Jane Street Group / JSG Finance, Inc. | ||||||||
4.50% due 11/15/295 | 9,650,000 | 8,299,000 | ||||||
SLM Corp. | ||||||||
3.13% due 11/02/26 | 10,000,000 | 8,277,700 | ||||||
OneMain Finance Corp. | ||||||||
4.00% due 09/15/30 | 11,750,000 | 8,245,093 | ||||||
HUB International Ltd. | ||||||||
5.63% due 12/01/295 | 8,500,000 | 7,097,500 | ||||||
7.00% due 05/01/265 | 750,000 | 711,311 | ||||||
QBE Insurance Group Ltd. | ||||||||
5.88% 5,7,8 | 7,550,000 | 6,998,548 | ||||||
PartnerRe Finance B LLC | ||||||||
4.50% due 10/01/504,8 | 6,460,000 | 5,418,922 | ||||||
AmWINS Group, Inc. | ||||||||
4.88% due 06/30/295 | 6,025,000 | 5,001,127 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75% due 05/15/285 | 5,303,000 | 4,918,798 | ||||||
American Equity Investment Life Holding Co. | ||||||||
5.00% due 06/15/27 | 4,813,000 | 4,566,133 | ||||||
Iron Mountain Information Management Services, Inc. | ||||||||
5.00% due 07/15/325 | 3,350,000 | 2,593,211 | ||||||
SBA Communications Corp. | ||||||||
3.13% due 02/01/29 | 3,100,000 | 2,493,237 | ||||||
Prudential Financial, Inc. | ||||||||
5.13% due 03/01/528 | 2,750,000 | 2,384,085 | ||||||
Atlas Mara Ltd. | ||||||||
due 12/31/21†††,9,10 | 4,642,499 | 1,624,875 | ||||||
Platinum for Belize Blue Investment Company LLC | ||||||||
1.60% due 10/20/40†††,5,11 | 1,900,000 | 1,565,394 | ||||||
Total Financial | 570,964,271 | |||||||
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Communications - 4.8% | ||||||||
British Telecommunications plc | ||||||||
4.88% due 11/23/815,8 | 28,200,000 | $ | 22,925,524 | |||||
4.25% due 11/23/815,8 | 5,250,000 | 4,428,998 | ||||||
McGraw-Hill Education, Inc. | ||||||||
8.00% due 08/01/295 | 26,800,000 | 22,002,130 | ||||||
5.75% due 08/01/285 | 4,550,000 | 3,799,323 | ||||||
Level 3 Financing, Inc. | ||||||||
4.25% due 07/01/285 | 22,035,000 | 17,187,520 | ||||||
3.75% due 07/15/295 | 7,600,000 | 5,567,000 | ||||||
3.88% due 11/15/295 | 2,600,000 | 2,048,439 | ||||||
CSC Holdings LLC | ||||||||
4.13% due 12/01/305 | 21,250,000 | 15,878,000 | ||||||
3.38% due 02/15/315 | 2,975,000 | 2,097,375 | ||||||
4.63% due 12/01/305 | 2,715,000 | 1,846,200 | ||||||
Altice France S.A. | ||||||||
5.13% due 07/15/295 | 13,250,000 | 9,899,207 | ||||||
5.50% due 10/15/295 | 11,760,000 | 8,848,035 | ||||||
LCPR Senior Secured Financing DAC | ||||||||
5.13% due 07/15/295 | 16,250,000 | 12,237,338 | ||||||
6.75% due 10/15/275 | 5,400,000 | 4,482,000 | ||||||
Virgin Media Finance plc | ||||||||
5.00% due 07/15/305 | 21,400,000 | 15,737,453 | ||||||
UPC Broadband Finco BV | ||||||||
4.88% due 07/15/315 | 20,200,000 | 15,675,806 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
4.50% due 06/01/335 | 14,265,000 | 10,538,554 | ||||||
4.25% due 02/01/315 | 3,310,000 | 2,538,902 | ||||||
VZ Secured Financing BV | ||||||||
5.00% due 01/15/325 | 16,950,000 | 12,663,276 | ||||||
Vodafone Group plc | ||||||||
5.13% due 06/04/818 | 16,875,000 | 11,413,913 | ||||||
Cable One, Inc. | ||||||||
4.00% due 11/15/305 | 12,575,000 | 9,788,506 | ||||||
Rogers Communications, Inc. | ||||||||
4.55% due 03/15/524,5 | 9,800,000 | 7,816,198 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc. | ||||||||
4.50% due 09/15/265 | 9,300,000 | 7,628,139 | ||||||
AMC Networks, Inc. | ||||||||
4.25% due 02/15/29 | 10,200,000 | 7,541,477 | ||||||
Paramount Global | ||||||||
4.95% due 05/19/504 | 10,340,000 | 7,348,127 | ||||||
Sirius XM Radio, Inc. | ||||||||
4.13% due 07/01/305 | 8,900,000 | 7,234,276 | ||||||
Match Group Holdings II LLC | ||||||||
4.63% due 06/01/285 | 7,700,000 | 6,727,875 | ||||||
Virgin Media Secured Finance plc | ||||||||
4.50% due 08/15/305 | 7,950,000 | 6,204,580 | ||||||
Telenet Finance Luxembourg Notes SARL | ||||||||
5.50% due 03/01/28 | 7,000,000 | 6,070,890 | ||||||
Switch Ltd. | ||||||||
3.75% due 09/15/285 | 5,135,000 | 5,102,906 | ||||||
Cengage Learning, Inc. | ||||||||
9.50% due 06/15/245 | 5,039,000 | 4,724,062 | ||||||
Ziggo BV | ||||||||
4.88% due 01/15/305 | 5,275,000 | 4,167,250 | ||||||
Cogent Communications Group, Inc. | ||||||||
7.00% due 06/15/275 | 3,750,000 | 3,526,711 | ||||||
Virgin Media Vendor Financing Notes IV DAC | ||||||||
5.00% due 07/15/285 | 3,650,000 | 2,951,938 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
3.90% due 06/01/52 | 3,500,000 | 2,166,891 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Lamar Media Corp. | ||||||||
4.00% due 02/15/30 | 2,400,000 | $ | 2,010,912 | |||||
TripAdvisor, Inc. | ||||||||
7.00% due 07/15/255 | 1,800,000 | 1,749,976 | ||||||
Zayo Group Holdings, Inc. | ||||||||
4.00% due 03/01/275 | 700,000 | 561,715 | ||||||
Total Communications | 295,137,422 | |||||||
Consumer, Non-cyclical - 4.4% | ||||||||
Medline Borrower, LP | ||||||||
3.88% due 04/01/294,5 | 38,500,000 | 30,865,065 | ||||||
5.25% due 10/01/295 | 7,200,000 | 5,436,000 | ||||||
US Foods, Inc. | ||||||||
6.25% due 04/15/255 | 11,950,000 | 11,738,485 | ||||||
4.75% due 02/15/295 | 6,550,000 | 5,606,800 | ||||||
4.63% due 06/01/305 | 2,675,000 | 2,213,576 | ||||||
Kraft Heinz Foods Co. | ||||||||
5.20% due 07/15/45 | 5,725,000 | 4,974,340 | ||||||
4.38% due 06/01/46 | 6,320,000 | 4,913,156 | ||||||
5.00% due 06/04/424 | 2,490,000 | 2,162,907 | ||||||
4.88% due 10/01/494 | 2,025,000 | 1,668,975 | ||||||
DaVita, Inc. | ||||||||
4.63% due 06/01/305 | 9,649,000 | 7,465,914 | ||||||
3.75% due 02/15/315 | 6,050,000 | 4,310,625 | ||||||
Bausch Health Companies, Inc. | ||||||||
4.88% due 06/01/285 | 15,600,000 | 10,057,320 | ||||||
Block, Inc. | ||||||||
2.75% due 06/01/26 | 11,031,000 | 9,480,721 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. | ||||||||
4.75% due 07/15/315 | 6,625,000 | 6,495,018 | ||||||
4.50% due 07/15/295 | 2,550,000 | 2,538,716 | ||||||
Sabre GLBL, Inc. | ||||||||
7.38% due 09/01/255 | 8,222,000 | 7,363,877 | ||||||
9.25% due 04/15/255 | 1,308,000 | 1,252,292 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||
3.38% due 08/31/275 | 7,300,000 | 6,133,241 | ||||||
5.25% due 04/15/245 | 1,900,000 | 1,833,500 | ||||||
Sotheby’s/Bidfair Holdings, Inc. | ||||||||
5.88% due 06/01/295 | 9,400,000 | 7,765,528 | ||||||
IQVIA, Inc. | ||||||||
5.00% due 05/15/275 | 6,650,000 | 6,201,125 | ||||||
5.00% due 10/15/265 | 1,350,000 | 1,286,358 | ||||||
Option Care Health, Inc. | ||||||||
4.38% due 10/31/295 | 8,725,000 | 7,372,625 | ||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | ||||||||
5.00% due 12/31/265 | 5,500,000 | 4,826,525 | ||||||
7.00% due 12/31/275 | 2,991,000 | 2,288,115 | ||||||
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc. | ||||||||
4.38% due 02/02/525 | 6,500,000 | 4,356,690 | ||||||
3.75% due 12/01/314,5 | 3,400,000 | 2,721,836 | ||||||
BCP V Modular Services Finance II plc | ||||||||
4.75% due 10/30/285 | EUR 9,000,000 | 7,056,748 | ||||||
Cheplapharm Arzneimittel GmbH | ||||||||
5.50% due 01/15/285 | 8,085,000 | 6,670,125 | ||||||
CPI CG, Inc. | ||||||||
8.63% due 03/15/265 | 7,077,000 | 6,578,496 | ||||||
TreeHouse Foods, Inc. | ||||||||
4.00% due 09/01/28 | 7,575,000 | 6,040,229 | ||||||
HealthEquity, Inc. | ||||||||
4.50% due 10/01/295 | 6,900,000 | 5,828,706 | ||||||
Service Corporation International | ||||||||
3.38% due 08/15/30 | 5,275,000 | 4,125,525 | ||||||
4.00% due 05/15/31 | 1,650,000 | 1,326,913 | ||||||
Smithfield Foods, Inc. | ||||||||
3.00% due 10/15/305 | 7,000,000 | 5,404,983 | ||||||
Grifols Escrow Issuer S.A. | ||||||||
4.75% due 10/15/285 | 6,750,000 | 5,212,821 | ||||||
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
FAGE International S.A. / FAGE USA Dairy Industry, Inc. | ||||||||
5.63% due 08/15/265 | 5,232,000 | $ | 4,645,388 | |||||
Spectrum Brands, Inc. | ||||||||
5.50% due 07/15/305 | 5,600,000 | 4,378,820 | ||||||
HCA, Inc. | ||||||||
3.50% due 07/15/51 | 6,950,000 | 4,303,228 | ||||||
Rent-A-Center, Inc. | ||||||||
6.38% due 02/15/294,5 | 5,450,000 | 4,251,000 | ||||||
Central Garden & Pet Co. | ||||||||
4.13% due 04/30/315 | 5,300,000 | 4,167,125 | ||||||
ADT Security Corp. | ||||||||
4.88% due 07/15/325 | 5,150,000 | 4,153,282 | ||||||
Chrome Bidco | ||||||||
3.50% due 05/31/285 | EUR 4,800,000 | 3,722,444 | ||||||
WW International, Inc. | ||||||||
4.50% due 04/15/295 | 7,050,000 | 3,684,233 | ||||||
Carriage Services, Inc. | ||||||||
4.25% due 05/15/295 | 4,575,000 | 3,618,021 | ||||||
Endo Luxembourg Finance Company I SARL / Endo US, Inc. | ||||||||
due 04/01/295,9 | 4,400,000 | 3,473,365 | ||||||
APi Group DE, Inc. | ||||||||
4.75% due 10/15/295 | 3,800,000 | 3,148,877 | ||||||
CAB SELAS | ||||||||
3.38% due 02/01/285 | EUR 4,100,000 | 3,061,237 | ||||||
Post Holdings, Inc. | ||||||||
4.63% due 04/15/305 | 1,725,000 | 1,416,656 | ||||||
5.50% due 12/15/295 | 1,300,000 | 1,123,853 | ||||||
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc. | ||||||||
5.00% due 02/01/265 | 2,775,000 | 2,376,316 | ||||||
Charles River Laboratories International, Inc. | ||||||||
4.00% due 03/15/315 | 2,500,000 | 2,016,059 | ||||||
Molina Healthcare, Inc. | ||||||||
4.38% due 06/15/285 | 1,770,000 | 1,597,425 | ||||||
Par Pharmaceutical, Inc. | ||||||||
due 04/01/275,9 | 1,825,000 | 1,441,784 | ||||||
Tenet Healthcare Corp. | ||||||||
4.63% due 06/15/285 | 975,000 | 852,117 | ||||||
5.13% due 11/01/275 | 550,000 | 493,508 | ||||||
Syneos Health, Inc. | ||||||||
3.63% due 01/15/295 | 1,600,000 | 1,274,048 | ||||||
Altria Group, Inc. | ||||||||
4.45% due 05/06/504 | 1,670,000 | 1,115,682 | ||||||
Performance Food Group, Inc. | ||||||||
6.88% due 05/01/255 | 304,000 | 302,100 | ||||||
Total Consumer, Non-cyclical | 272,190,444 | |||||||
Consumer, Cyclical - 4.4% | ||||||||
Marriott International, Inc. | ||||||||
2.85% due 04/15/314 | 14,730,000 | 11,565,437 | ||||||
4.63% due 06/15/304 | 10,900,000 | 9,850,115 | ||||||
5.75% due 05/01/25 | 8,440,000 | 8,523,275 | ||||||
3.50% due 10/15/324 | 8,150,000 | 6,554,411 | ||||||
Delta Air Lines, Inc. / SkyMiles IP Ltd. | ||||||||
4.75% due 10/20/284,5 | 24,150,000 | 22,492,239 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | ||||||||
6.50% due 06/20/274,5 | 18,715,000 | 18,317,868 | ||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||
4.00% due 10/15/305 | 22,200,000 | 17,484,276 | ||||||
Hilton Domestic Operating Company, Inc. | ||||||||
4.00% due 05/01/315 | 15,900,000 | 12,852,447 | ||||||
3.63% due 02/15/325 | 4,150,000 | 3,178,480 | ||||||
5.75% due 05/01/284,5 | 525,000 | 490,875 | ||||||
Delta Air Lines, Inc. | ||||||||
7.00% due 05/01/254,5 | 14,155,000 | 14,246,328 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Hyatt Hotels Corp. | ||||||||
5.63% due 04/23/25 | 7,350,000 | $ | 7,267,726 | |||||
5.75% due 04/23/30 | 6,530,000 | 6,329,820 | ||||||
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc. | ||||||||
4.63% due 01/15/295 | 15,975,000 | 13,219,312 | ||||||
JB Poindexter & Company, Inc. | ||||||||
7.13% due 04/15/265 | 11,725,000 | 10,845,625 | ||||||
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. | ||||||||
5.00% due 06/01/315 | 11,350,000 | 9,316,080 | ||||||
5.88% due 03/01/27 | 660,000 | 622,644 | ||||||
Boyne USA, Inc. | ||||||||
4.75% due 05/15/295 | 11,310,000 | 9,474,776 | ||||||
British Airways Class A Pass Through Trust | ||||||||
4.25% due 11/15/324,5 | 7,974,324 | 7,174,393 | ||||||
Wabash National Corp. | ||||||||
4.50% due 10/15/285 | 9,100,000 | 7,054,365 | ||||||
Scotts Miracle-Gro Co. | ||||||||
4.00% due 04/01/31 | 9,900,000 | 6,969,600 | ||||||
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. | ||||||||
5.75% due 01/20/265 | 6,495,000 | 5,728,525 | ||||||
Papa John’s International, Inc. | ||||||||
3.88% due 09/15/295 | 7,025,000 | 5,615,319 | ||||||
Penn Entertainment, Inc. | ||||||||
4.13% due 07/01/295 | 6,975,000 | 5,339,050 | ||||||
Aramark Services, Inc. | ||||||||
6.38% due 05/01/255 | 5,100,000 | 4,998,000 | ||||||
American Airlines Class AA Pass Through Trust | ||||||||
3.58% due 01/15/28 | 2,326,734 | 2,077,311 | ||||||
3.35% due 10/15/29 | 1,253,618 | 1,093,279 | ||||||
3.65% due 02/15/294 | 1,087,418 | 959,783 | ||||||
3.15% due 02/15/32 | 1,037,315 | 865,050 | ||||||
Superior Plus Limited Partnership / Superior General Partner, Inc. | ||||||||
4.50% due 03/15/295 | 4,800,000 | 3,964,128 | ||||||
Beacon Roofing Supply, Inc. | ||||||||
4.13% due 05/15/295 | 4,589,000 | 3,716,677 | ||||||
Asbury Automotive Group, Inc. | ||||||||
4.63% due 11/15/295 | 4,472,000 | 3,574,783 | ||||||
Station Casinos LLC | ||||||||
4.63% due 12/01/315 | 3,800,000 | 2,870,083 | ||||||
Air Canada Class A Pass Through Trust | ||||||||
5.25% due 04/01/295 | 3,030,748 | 2,848,530 | ||||||
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc. | ||||||||
6.63% due 03/01/305 | 3,500,000 | 2,805,600 | ||||||
Six Flags Theme Parks, Inc. | ||||||||
7.00% due 07/01/255 | 2,757,000 | 2,755,839 | ||||||
PetSmart, Inc. / PetSmart Finance Corp. | ||||||||
4.75% due 02/15/285 | 2,800,000 | 2,396,210 | ||||||
Allison Transmission, Inc. | ||||||||
3.75% due 01/30/315 | 2,925,000 | 2,242,276 | ||||||
Michaels Companies, Inc. | ||||||||
5.25% due 05/01/285 | 3,114,000 | 2,185,966 | ||||||
Air Canada | ||||||||
4.63% due 08/15/29†††,5 | CAD 3,550,000 | 2,166,108 | ||||||
Vail Resorts, Inc. | ||||||||
6.25% due 05/15/255 | 1,525,000 | 1,504,290 | ||||||
United Airlines, Inc. | ||||||||
4.63% due 04/15/295 | 1,700,000 | 1,406,648 | ||||||
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
WMG Acquisition Corp. | ||||||||
3.00% due 02/15/315 | 1,275,000 | $ | 967,928 | |||||
United Airlines Class AA Pass Through Trust | ||||||||
4.15% due 08/25/31 | 1,005,170 | 903,198 | ||||||
CD&R Smokey Buyer, Inc. | ||||||||
6.75% due 07/15/255 | 950,000 | 861,099 | ||||||
Wyndham Hotels & Resorts, Inc. | ||||||||
4.38% due 08/15/285 | 700,000 | 615,318 | ||||||
Tempur Sealy International, Inc. | ||||||||
3.88% due 10/15/315 | 375,000 | 274,688 | ||||||
Total Consumer, Cyclical | 268,565,778 | |||||||
Industrial - 3.9% | ||||||||
Boeing Co. | ||||||||
5.15% due 05/01/304 | 32,030,000 | 29,629,280 | ||||||
5.71% due 05/01/404 | 16,010,000 | 13,984,136 | ||||||
5.81% due 05/01/504 | 16,010,000 | 13,912,559 | ||||||
New Enterprise Stone & Lime Company, Inc. | ||||||||
5.25% due 07/15/285 | 11,300,000 | 9,339,733 | ||||||
9.75% due 07/15/285 | 10,350,000 | 8,730,376 | ||||||
Standard Industries, Inc. | ||||||||
4.38% due 07/15/305 | 11,025,000 | 8,434,125 | ||||||
3.38% due 01/15/315 | 6,552,000 | 4,608,022 | ||||||
5.00% due 02/15/275 | 3,290,000 | 2,911,354 | ||||||
IP Lending I LLC | ||||||||
4.00% due 09/08/25†††,5 | 15,347,531 | 13,945,990 | ||||||
Great Lakes Dredge & Dock Corp. | ||||||||
5.25% due 06/01/295 | 15,785,000 | 12,163,858 | ||||||
Artera Services LLC | ||||||||
9.03% due 12/04/255 | 14,385,000 | 11,579,925 | ||||||
TopBuild Corp. | ||||||||
4.13% due 02/15/325 | 8,850,000 | 6,739,202 | ||||||
3.63% due 03/15/295 | 5,550,000 | 4,381,670 | ||||||
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. | ||||||||
4.13% due 08/15/265 | 11,680,000 | 9,725,119 | ||||||
Pactiv Evergreen Group Issuer Incorporated/Pactiv Evergreen Group Issuer LLC | ||||||||
4.00% due 10/15/275 | 11,150,000 | 9,348,132 | ||||||
Flowserve Corp. | ||||||||
3.50% due 10/01/304 | 10,270,000 | 8,444,804 | ||||||
Dyal Capital Partners IV | ||||||||
3.65% due 02/22/41††† | 10,950,000 | 8,203,541 | ||||||
Arcosa, Inc. | ||||||||
4.38% due 04/15/295 | 9,400,000 | 7,990,000 | ||||||
GrafTech Finance, Inc. | ||||||||
4.63% due 12/15/285 | 10,000,000 | 7,475,000 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
8.50% due 04/15/245 | 6,550,000 | 6,222,500 | ||||||
5.50% due 04/15/245 | 800,000 | 760,000 | ||||||
IP Lending II Ltd. | ||||||||
3.65% due 07/15/25†††,5 | 7,450,000 | 6,648,514 | ||||||
Deuce FinCo plc | ||||||||
5.50% due 06/15/275 | GBP 7,350,000 | 6,114,945 | ||||||
Atkore, Inc. | ||||||||
4.25% due 06/01/315 | 7,625,000 | 6,097,712 | ||||||
BWX Technologies, Inc. | ||||||||
4.13% due 06/30/285 | 6,700,000 | 5,851,646 | ||||||
PGT Innovations, Inc. | ||||||||
4.38% due 10/01/295 | 6,100,000 | 5,003,836 | ||||||
Adevinta ASA | ||||||||
3.00% due 11/15/27 | EUR 3,433,000 | 2,879,608 | ||||||
Howmet Aerospace, Inc. | ||||||||
5.95% due 02/01/37 | 2,925,000 | 2,643,425 | ||||||
6.88% due 05/01/25 | 53,000 | 53,386 | ||||||
TK Elevator US Newco, Inc. | ||||||||
5.25% due 07/15/275 | 3,000,000 | 2,550,630 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Harsco Corp. | ||||||||
5.75% due 07/31/275 | 4,075,000 | $ | 2,546,016 | |||||
EnerSys | ||||||||
5.00% due 04/30/235 | 1,900,000 | 1,873,875 | ||||||
Builders FirstSource, Inc. | ||||||||
6.38% due 06/15/325 | 800,000 | 710,595 | ||||||
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc | ||||||||
4.00% due 09/01/295 | 950,000 | 695,735 | ||||||
Waste Pro USA, Inc. | ||||||||
5.50% due 02/15/265 | 600,000 | 527,118 | ||||||
Brundage-Bone Concrete Pumping Holdings, Inc. | ||||||||
6.00% due 02/01/265 | 525,000 | 473,812 | ||||||
TransDigm, Inc. | ||||||||
8.00% due 12/15/255 | 225,000 | 228,197 | ||||||
JELD-WEN, Inc. | ||||||||
6.25% due 05/15/255 | 100,000 | 94,000 | ||||||
Total Industrial | 243,522,376 | |||||||
Energy - 2.9% | ||||||||
BP Capital Markets plc | ||||||||
4.88%4,7,8 | 39,360,000 | 33,849,600 | ||||||
ITT Holdings LLC | ||||||||
6.50% due 08/01/294,5 | 39,200,000 | 30,410,176 | ||||||
Occidental Petroleum Corp. | ||||||||
7.95% due 06/15/39 | 12,735,000 | 14,271,481 | ||||||
4.50% due 07/15/44 | 2,850,000 | 2,380,139 | ||||||
4.63% due 06/15/45 | 1,700,000 | 1,406,989 | ||||||
4.40% due 04/15/46 | 900,000 | 739,705 | ||||||
Midwest Connector Capital Company LLC | ||||||||
4.63% due 04/01/294,5 | 18,763,000 | 16,741,350 | ||||||
Targa Resources Partners Limited Partnership / Targa Resources Partners Finance Corp. | ||||||||
6.88% due 01/15/294 | 12,632,000 | 12,406,917 | ||||||
4.88% due 02/01/314 | 5,000,000 | 4,300,000 | ||||||
NuStar Logistics, LP | ||||||||
6.38% due 10/01/30 | 19,025,000 | 16,279,046 | ||||||
5.63% due 04/28/27 | 450,000 | 392,369 | ||||||
Parkland Corp. | ||||||||
4.63% due 05/01/305 | 20,000,000 | 16,213,500 | ||||||
Global Partners Limited Partnership / GLP Finance Corp. | ||||||||
6.88% due 01/15/29 | 7,750,000 | 6,975,000 | ||||||
7.00% due 08/01/27 | 2,200,000 | 2,003,166 | ||||||
Kinetik Holdings, LP | ||||||||
5.88% due 06/15/305 | 6,100,000 | 5,585,520 | ||||||
DT Midstream, Inc. | ||||||||
4.13% due 06/15/295 | 5,250,000 | 4,436,250 | ||||||
Holly Energy Partners Limited Partnership / Holly Energy Finance Corp. | ||||||||
6.38% due 04/15/275 | 4,050,000 | 3,867,750 | ||||||
DCP Midstream Operating, LP | ||||||||
3.25% due 02/15/32 | 4,750,000 | 3,754,960 | ||||||
TransMontaigne Partners Limited Partnership / TLP Finance Corp. | ||||||||
6.13% due 02/15/26 | 700,000 | 584,500 | ||||||
Total Energy | 176,598,418 | |||||||
Technology - 1.9% | ||||||||
AthenaHealth Group, Inc. | ||||||||
6.50% due 02/15/305 | 26,650,000 | 21,068,691 | ||||||
Qorvo, Inc. | ||||||||
4.38% due 10/15/29 | 11,220,000 | 9,611,388 | ||||||
3.38% due 04/01/315 | 9,225,000 | 6,910,909 | ||||||
NCR Corp. | ||||||||
5.25% due 10/01/305 | 11,425,000 | 8,621,961 | ||||||
5.13% due 04/15/295 | 6,350,000 | 4,762,627 | ||||||
6.13% due 09/01/295 | 25,000 | 21,526 | ||||||
Twilio, Inc. | ||||||||
3.88% due 03/15/31 | 15,100,000 | 11,853,077 | ||||||
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
CDW LLC / CDW Finance Corp. | ||||||||
3.57% due 12/01/31 | 14,000,000 | $ | 10,900,016 | |||||
TeamSystem SpA | ||||||||
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 02/15/28◊ | EUR 11,750,000 | 10,450,970 | ||||||
Booz Allen Hamilton, Inc. | ||||||||
3.88% due 09/01/285 | 11,800,000 | 10,151,105 | ||||||
Boxer Parent Company, Inc. | ||||||||
6.50% due 10/02/25 | EUR 8,500,000 | 7,789,376 | ||||||
7.13% due 10/02/255 | 375,000 | 367,528 | ||||||
Playtika Holding Corp. | ||||||||
4.25% due 03/15/295 | 8,750,000 | 6,997,725 | ||||||
Broadcom, Inc. | ||||||||
3.19% due 11/15/364,5 | 6,400,000 | 4,377,255 | ||||||
MSCI, Inc. | ||||||||
3.88% due 02/15/315 | 883,000 | 743,454 | ||||||
ACI Worldwide, Inc. | ||||||||
5.75% due 08/15/265 | 400,000 | 377,880 | ||||||
Total Technology | 115,005,488 | |||||||
Basic Materials - 1.8% | ||||||||
Alcoa Nederland Holding BV | ||||||||
5.50% due 12/15/275 | 15,125,000 | 14,106,331 | ||||||
6.13% due 05/15/285 | 7,450,000 | 7,038,885 | ||||||
4.13% due 03/31/294,5 | 4,900,000 | 4,109,457 | ||||||
Carpenter Technology Corp. | ||||||||
6.38% due 07/15/28 | 8,315,000 | 7,711,331 | ||||||
7.63% due 03/15/30 | 6,250,000 | 6,017,500 | ||||||
WR Grace Holdings LLC | ||||||||
4.88% due 06/15/275 | 13,750,000 | 11,819,912 | ||||||
Kaiser Aluminum Corp. | ||||||||
4.50% due 06/01/315 | 13,250,000 | 9,695,555 | ||||||
4.63% due 03/01/284,5 | 650,000 | 530,347 | ||||||
Minerals Technologies, Inc. | ||||||||
5.00% due 07/01/285 | 11,230,000 | 9,773,778 | ||||||
EverArc Escrow SARL | ||||||||
5.00% due 10/30/295 | 11,525,000 | 9,303,499 | ||||||
SCIL IV LLC / SCIL USA Holdings LLC | ||||||||
5.38% due 11/01/265 | 10,675,000 | 8,246,437 | ||||||
Clearwater Paper Corp. | ||||||||
4.75% due 08/15/285 | 5,539,000 | 4,850,081 | ||||||
HB Fuller Co. | ||||||||
4.25% due 10/15/28 | 5,250,000 | 4,417,350 | ||||||
Novelis Sheet Ingot GmbH | ||||||||
3.38% due 04/15/29 | EUR 4,500,000 | 3,463,320 | ||||||
Compass Minerals International, Inc. | ||||||||
6.75% due 12/01/275 | 2,634,000 | 2,475,368 | ||||||
ArcelorMittal S.A. | ||||||||
4.55% due 03/11/264 | 2,450,000 | 2,344,978 | ||||||
Arconic Corp. | ||||||||
6.00% due 05/15/255 | 2,275,000 | 2,189,837 | ||||||
Ingevity Corp. | ||||||||
3.88% due 11/01/285 | 1,000,000 | 826,785 | ||||||
Mirabela Nickel Ltd. | ||||||||
due 06/24/199,10 | 1,885,418 | 94,271 | ||||||
Total Basic Materials | 109,015,022 | |||||||
Utilities - 1.4% | ||||||||
Midcap Funding XLVI Trust | ||||||||
6.16% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/22/23◊,††† | 43,400,000 | 43,277,258 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
3.52% due 12/31/39††† | 21,800,000 | 17,074,829 | ||||||
Clearway Energy Operating LLC | ||||||||
3.75% due 02/15/315 | 13,450,000 | 10,683,032 | ||||||
AES Corp. | ||||||||
3.95% due 07/15/304,5 | 9,760,000 | 8,357,488 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Terraform Global Operating LLC | ||||||||
6.13% due 03/01/265 | 8,285,000 | $ | 7,767,188 | |||||
Atlantica Sustainable Infrastructure plc | ||||||||
4.13% due 06/15/285 | 1,550,000 | 1,304,983 | ||||||
Basic Energy Services, Inc. | ||||||||
due 10/15/23†††,9 | 1,438,000 | 39,545 | ||||||
Total Utilities | 88,504,323 | |||||||
| �� | ||||||||
Total Corporate Bonds | ||||||||
(Cost $2,621,380,925) | 2,139,503,542 | |||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 28.3% | ||||||||
Consumer, Cyclical - 6.9% | ||||||||
MB2 Dental Solutions LLC | ||||||||
9.70% (3 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 01/29/27††† | 35,581,776 | 34,904,457 | ||||||
FR Refuel LLC | ||||||||
8.42% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 11/08/28††† | 23,495,767 | 22,438,457 | ||||||
Packers Holdings LLC | ||||||||
6.01% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28 | 22,783,434 | 20,861,196 | ||||||
Zephyr Bidco Ltd. | ||||||||
6.44% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 07/23/25 | GBP 20,850,000 | 19,092,767 | ||||||
9.19% (1 Month GBP SONIA + 7.50%, Rate Floor: 7.50%) due 07/23/26 | GBP 1,540,417 | 1,404,140 | ||||||
Pacific Bells LLC | ||||||||
8.31% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28 | 19,851,546 | 18,461,938 | ||||||
BGIS (BIFM CA Buyer, Inc.) | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26 | 17,854,317 | 17,274,052 | ||||||
BCPE Empire Holdings, Inc. | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/11/26 | 16,994,265 | 16,241,971 | ||||||
Mavis Tire Express Services TopCo Corp. | ||||||||
7.25% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 05/04/28 | 17,182,500 | 16,076,462 | ||||||
BRE/Everbright M6 Borrower LLC | ||||||||
8.05% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 09/09/26 | 14,288,690 | 13,836,167 | ||||||
Truck Hero, Inc. | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 01/31/28 | 15,619,321 | 13,575,845 | ||||||
PAI Holdco, Inc. | ||||||||
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 10/28/27 | 13,980,814 | 13,223,474 | ||||||
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
SP PF Buyer LLC | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25 | 15,268,484 | $ | 12,504,888 | |||||
Breitling Financing SARL | ||||||||
4.62% (3 Month EURIBOR + 3.43%, Rate Floor: 3.43%) due 10/25/28 | EUR 13,900,000 | 12,312,188 | ||||||
CNT Holdings I Corp. | ||||||||
6.25% (1 Month Term SOFR + 3.50%, Rate Floor: 4.25%) due 11/08/27 | 11,768,889 | 11,190,919 | ||||||
Loire Finco Luxembourg SARL | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/27 | 10,639,009 | 9,965,241 | ||||||
Rent-A-Center, Inc. | ||||||||
6.06% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28 | 10,448,184 | 9,455,607 | ||||||
CHG Healthcare Services, Inc. | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 09/29/28 | 9,131,000 | 8,752,429 | ||||||
Flamingo | ||||||||
4.62% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/24/28 | EUR 10,000,000 | 8,740,468 | ||||||
CD&R Firefly Bidco Ltd. | ||||||||
3.49% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 06/23/25 | EUR 6,000,000 | 5,413,878 | ||||||
5.55% (1 Month GBP SONIA + 4.25%, Rate Floor: 4.25%) due 06/23/25 | GBP 3,350,000 | 3,273,421 | ||||||
ImageFIRST Holdings LLC | ||||||||
8.17% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 04/27/28 | 8,843,097 | 8,356,727 | ||||||
Verisure Holding AB | ||||||||
3.75% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26 | EUR 7,651,053 | 6,767,691 | ||||||
3.47% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28 | EUR 1,770,000 | 1,552,632 | ||||||
NFM & J LLC | ||||||||
8.87% (1 Month USD LIBOR + 5.75%, Rate Floor: 6.75%) due 11/30/27††† | 8,363,096 | 8,155,528 | ||||||
First Brands Group LLC | ||||||||
7.94% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 03/30/27 | 7,411,876 | 7,107,989 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
BCP V Modular Services Holdings IV Ltd. | ||||||||
5.69% (3 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 12/15/28 | EUR 8,200,000 | $ | 7,044,301 | |||||
PetSmart LLC | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28 | 7,425,000 | 7,010,462 | ||||||
Holding SOCOTEC | ||||||||
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 06/30/28 | 7,078,500 | 6,547,613 | ||||||
Camin Cargo Control, Inc. | ||||||||
9.62% (1 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 06/04/26††† | 6,579,852 | 6,445,469 | ||||||
United Petfood | ||||||||
3.00% (6 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 04/24/28 | EUR 7,000,000 | 6,224,669 | ||||||
Accuride Corp. | ||||||||
8.92% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23 | 6,980,058 | 5,970,881 | ||||||
Congruex Group LLC | ||||||||
8.48% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 05/03/29††† | 6,134,625 | 5,950,586 | ||||||
The Facilities Group | ||||||||
8.86% ((1 Month USD LIBOR + 5.75%) and (3 Month USD LIBOR + 5.75%), Rate Floor: 6.75%) due 11/30/27††† | 5,846,070 | 5,700,973 | ||||||
AlixPartners, LLP | ||||||||
4.44% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 02/04/28 | EUR 5,910,000 | 5,365,223 | ||||||
Fertitta Entertainment LLC | ||||||||
7.03% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/27/29 | 5,522,250 | 5,113,824 | ||||||
Scientific Games Holdings, LP | ||||||||
5.62% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 04/04/29 | 5,500,000 | 5,081,780 | ||||||
Galls LLC | ||||||||
9.58% (3 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 01/31/25††† | 3,475,130 | 3,353,500 | ||||||
9.56% (3 Month USD LIBOR + 6.75%, Rate Floor: 8.25%) due 01/31/25††† | 466,730 | 450,394 | ||||||
9.60% ((1 Month USD LIBOR + 6.75%) and (3 Month USD LIBOR + 6.75%), Rate Floor: 7.75%) due 01/31/24††† | 452,301 | 436,471 | ||||||
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
ScribeAmerica Intermediate Holdco LLC (Healthchannels) | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25 | 4,716,294 | $ | 3,938,105 | |||||
Sovos Brands Intermediate, Inc. | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 06/08/28 | 3,998,759 | 3,798,821 | ||||||
Alexander Mann | ||||||||
7.19% (3 Month GBP SONIA + 5.00%, Rate Floor: 5.00%) due 06/16/25 | GBP 3,000,000 | 3,182,686 | ||||||
Cast & Crew Payroll LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/26 | 3,213,291 | 3,124,925 | ||||||
SHO Holding I Corp. | ||||||||
8.06% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/26/24 | 3,604,429 | 3,063,765 | ||||||
8.04% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24 | 60,373 | 51,317 | ||||||
Apro LLC | ||||||||
6.89% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/16/26 | 3,258,750 | 3,095,813 | ||||||
Eagle Parent Corp. | ||||||||
7.80% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29 | 3,184,000 | 3,091,123 | ||||||
Checkers Drive-In Restaurants, Inc. | ||||||||
7.32% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 04/25/24 | 3,270,300 | 2,747,052 | ||||||
WESCO | ||||||||
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/14/24††† | 2,300,773 | 2,266,790 | ||||||
Adevinta ASA | ||||||||
4.44% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 06/26/28 | EUR 2,340,000 | 2,155,837 | ||||||
CCRR Parent, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/06/28 | 1,871,500 | 1,798,979 | ||||||
TTF Holdings Intermediate LLC | ||||||||
7.13% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 03/31/28 | 1,565,285 | 1,518,326 | ||||||
EG Finco Ltd. | ||||||||
6.98% (3 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 02/07/25 | GBP 955,000 | 918,505 | ||||||
Total Consumer, Cyclical | 426,388,722 | |||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Consumer, Non-cyclical - 5.9% | ||||||||
Women’s Care Holdings, Inc. | ||||||||
7.87% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28 | 31,501,250 | $ | 29,348,770 | |||||
Mission Veterinary Partners | ||||||||
7.25% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28 | 21,235,500 | 19,934,826 | ||||||
HAH Group Holding Co. LLC | ||||||||
8.71% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27 | 12,195,615 | 11,585,834 | ||||||
8.71% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27††† | 7,960,000 | 7,562,000 | ||||||
Quirch Foods Holdings LLC | ||||||||
7.93% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 10/27/27††† | 19,559,051 | 18,263,264 | ||||||
National Mentor Holdings, Inc. | ||||||||
7.18% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28 | 20,929,785 | 14,833,985 | ||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28 | 479,283 | 339,691 | ||||||
Southern Veterinary Partners LLC | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27 | 15,696,690 | 14,813,752 | ||||||
Dhanani Group, Inc. | ||||||||
8.85% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 06/10/27††† | 14,700,000 | 14,553,000 | ||||||
SCP Eye Care Services LLC | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28††† | 12,430,679 | 12,368,526 | ||||||
7.32% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28††† | 2,176,417 | 2,154,652 | ||||||
Blue Ribbon LLC | ||||||||
8.56% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28 | 16,914,872 | 14,398,785 | ||||||
PetIQ LLC | ||||||||
7.07% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 04/13/28††† | 15,602,500 | 14,354,300 | ||||||
LaserAway Intermediate Holdings II LLC | ||||||||
8.23% (3 Month USD LIBOR + 5.75%, Rate Floor: 6.50%) due 10/14/27 | 13,299,500 | 13,016,886 | ||||||
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Kronos Acquisition Holdings, Inc. | ||||||||
6.82% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | 13,225,010 | $ | 12,218,455 | |||||
Florida Food Products LLC | ||||||||
8.12% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 10/18/28††† | 12,889,842 | 11,794,206 | ||||||
Del Monte Foods, Inc. | ||||||||
7.37% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 05/16/29 | 11,650,000 | 11,135,419 | ||||||
Nidda Healthcare Holding GmbH | ||||||||
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26 | EUR 11,387,239 | 9,914,364 | ||||||
Cambrex Corp. | ||||||||
6.63% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/04/26 | 10,101,381 | 9,656,314 | ||||||
EyeCare Partners LLC | ||||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/15/28 | 8,084,375 | 7,538,680 | ||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27 | 2,150,538 | 1,946,237 | ||||||
Sigma Holding BV (Flora Food) | ||||||||
3.74% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25 | EUR 12,019,549 | 9,401,472 | ||||||
Hearthside Group Holdings LLC | ||||||||
6.80% (1 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 05/23/25 | 6,688,680 | 5,190,416 | ||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25 | 5,001,176 | 3,946,778 | ||||||
Resonetics LLC | ||||||||
6.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/28/28 | 8,662,500 | 8,207,719 | ||||||
Medical Solutions Parent Holdings, Inc. | ||||||||
6.38% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/01/28 | 7,719,752 | 7,333,765 | ||||||
Endo Luxembourg Finance Company I SARL | ||||||||
12.25% (Commercial Prime Lending Rate + 6.00%, Rate Floor: 7.75%) due 03/27/28 | 7,653,125 | 6,443,931 | ||||||
Gibson Brands, Inc. | ||||||||
7.94% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 08/11/28††† | 8,237,750 | 6,425,445 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Weber-Stephen Products LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 10/29/27 | 7,232,385 | $ | 5,842,393 | |||||
7.38% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 10/30/27††† | 422,875 | 338,300 | ||||||
Osmosis Holdings Australia II Pty Ltd. | ||||||||
6.35% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 07/30/28 | 6,533,625 | 6,055,886 | ||||||
Pearl Intermediate Parent LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25 | 6,384,810 | 5,882,006 | ||||||
CAB (Biogroup) | ||||||||
3.28% (3 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 02/09/28 | EUR 6,500,000 | 5,650,024 | ||||||
Dermatology Intermediate Holdings III, Inc. | ||||||||
6.85% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29††† | 5,630,770 | 5,349,231 | ||||||
7.12% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29 | 166,709 | 158,373 | ||||||
Confluent Medical Technologies, Inc. | ||||||||
7.30% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 02/16/29††† | 5,273,500 | 4,930,722 | ||||||
Mascot Bidco Oy | ||||||||
5.13% (6 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 03/30/26 | EUR 5,075,000 | 4,398,930 | ||||||
Confluent Health LLC | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/30/28††† | 4,810,082 | 4,208,822 | ||||||
Zep, Inc. | ||||||||
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/12/24 | 3,672,376 | 3,167,424 | ||||||
Sharp Midco LLC | ||||||||
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 12/31/28††† | 3,283,500 | 3,086,490 | ||||||
IVC Acquisition Ltd. | ||||||||
4.39% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/13/26 | EUR 3,400,000 | 3,064,832 | ||||||
Fender Musical Instruments Corp. | ||||||||
6.75% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/01/28 | 3,525,039 | 2,987,471 | ||||||
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Packaging Coordinators Midco, Inc. | ||||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/30/27 | 2,524,372 | $ | 2,393,937 | |||||
Mamba Purchaser, Inc. | ||||||||
6.55% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 10/16/28 | 1,990,000 | 1,883,037 | ||||||
Care BidCo | ||||||||
4.19% (3 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 05/04/28††† | EUR 1,966,132 | 1,773,768 | ||||||
Certara Holdco, Inc. | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/17/26††† | 1,600,029 | 1,540,028 | ||||||
Recess Holdings, Inc. | ||||||||
6.55% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24 | 1,054,619 | 1,016,832 | ||||||
KDC US Holdings, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/22/25 | 818,638 | 770,886 | ||||||
Moran Foods LLC | ||||||||
14.42% (3 Month USD LIBOR + 10.75%, Rate Floor: 11.75%) due 10/01/24 | 538,794 | 371,768 | ||||||
10.67% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 04/01/24 | 411,446 | 348,359 | ||||||
due 04/01/24 | 53,562 | 45,350 | ||||||
Triton Water Holdings, Inc. | ||||||||
7.17% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 03/31/28 | 619,358 | 554,412 | ||||||
TGP Holdings LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/29/28 | 205,341 | 160,809 | ||||||
Total Consumer, Non-cyclical | 364,661,562 | |||||||
Industrial - 5.9% | ||||||||
CapStone Acquisition Holdings, Inc. | ||||||||
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27††† | 26,065,324 | 25,413,691 | ||||||
United Airlines, Inc. | ||||||||
6.53% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28 | 25,181,250 | 23,988,666 | ||||||
Arcline FM Holdings LLC | ||||||||
7.00% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28††† | 20,988,000 | 19,413,900 | ||||||
American Bath Group LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/23/27 | 20,543,462 | 17,811,182 | ||||||
Hunter Douglas, Inc. | ||||||||
6.34% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/26/29 | 21,000,000 | 17,188,500 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
AI Convoy Luxembourg SARL | ||||||||
5.05% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 01/18/27 | 8,169,469 | $ | 7,893,750 | |||||
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 01/18/27 | EUR 8,324,708 | 7,547,148 | ||||||
Mileage Plus Holdings LLC | ||||||||
8.78% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | 14,487,500 | 14,521,111 | ||||||
TransDigm, Inc. | ||||||||
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25 | 14,007,131 | 13,419,392 | ||||||
NA Rail Hold Co. LLC | ||||||||
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.25%) due 10/19/26 | 13,704,887 | 13,208,085 | ||||||
DXP Enterprises, Inc. | ||||||||
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27 | 12,904,401 | 12,262,407 | ||||||
Charter Next Generation, Inc. | ||||||||
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27 | 12,919,875 | 12,233,571 | ||||||
Fugue Finance BV | ||||||||
3.74% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 08/30/24 | EUR 12,545,690 | 11,399,449 | ||||||
Service Logic Acquisition, Inc. | ||||||||
6.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27 | 11,979,524 | 11,215,829 | ||||||
6.97% ((1 Month USD LIBOR + 4.00%) and (2 Month USD LIBOR + 4.00%), Rate Floor: 4.75%) due 10/29/27 | 122,149 | 114,362 | ||||||
Merlin Buyer, Inc. | ||||||||
7.03% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/14/28 | 11,940,000 | 11,283,300 | ||||||
Minerva Bidco Ltd. | ||||||||
5.69% (3 Month GBP SONIA + 4.50%, Rate Floor: 4.50%) due 07/30/25 | GBP 11,000,000 | 11,193,842 | ||||||
TricorBraun Holdings, Inc. | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28 | 10,817,597 | 10,138,793 | ||||||
Icebox Holdco III, Inc. | ||||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/28 | 10,676,350 | 9,982,387 | ||||||
DG Investment Intermediate Holdings 2, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/31/28 | 10,418,471 | 9,689,178 | ||||||
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Dispatch Terra Acquisition LLC | ||||||||
7.92% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28††† | 10,267,214 | $ | 9,137,821 | |||||
PECF USS Intermediate Holding III Corp. | ||||||||
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28 | 7,940,000 | 6,755,590 | ||||||
Pelican Products, Inc. | ||||||||
8.16% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/29/28 | 6,752,358 | 6,144,646 | ||||||
TK Elevator Midco GmbH | ||||||||
6.87% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27 | 4,162,348 | 3,981,994 | ||||||
3.69% (1 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 01/29/27††† | EUR 2,212,267 | 1,935,657 | ||||||
Air Canada | ||||||||
6.42% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | 6,203,670 | 5,887,965 | ||||||
LTI Holdings, Inc. | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 07/24/26 | 3,885,375 | 3,642,539 | ||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/08/25 | 2,335,337 | 2,155,516 | ||||||
Valcour Packaging LLC | ||||||||
5.22% (6 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 10/04/28 | 6,284,250 | 5,757,944 | ||||||
Park River Holdings, Inc. | ||||||||
5.53% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27 | 6,720,425 | 5,675,936 | ||||||
BWAY Holding Co. | ||||||||
5.81% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | 4,774,538 | 4,437,360 | ||||||
TSG Solutions Holding | ||||||||
4.49% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 03/30/29 | EUR 4,400,000 | 4,059,100 | ||||||
Patriot Container Corp. (Wastequip) | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/20/25 | 4,668,358 | 3,979,775 | ||||||
STS Operating, Inc. (SunSource) | ||||||||
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24 | 4,084,819 | 3,889,075 | ||||||
YAK MAT (YAK ACCESS LLC) | ||||||||
13.64% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26††† | 12,220,199 | 3,666,060 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
ILPEA Parent, Inc. | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 06/22/28††† | 3,636,187 | $ | 3,490,739 | |||||
Rinchem Company LLC | ||||||||
8.15% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 03/02/29††† | 3,541,125 | 3,377,348 | ||||||
Integrated Power Services Holdings, Inc. | ||||||||
7.47% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 11/22/28††† | 3,485,498 | 3,363,506 | ||||||
Filtration Group Corp. | ||||||||
4.19% (1 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25 | EUR 3,540,619 | 3,299,546 | ||||||
Saverglass | ||||||||
5.09% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 02/19/29 | EUR 3,700,000 | 3,173,086 | ||||||
Protective Industrial Products, Inc. | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/29/27††† | 3,238,349 | 3,044,048 | ||||||
Titan Acquisition Ltd. (Husky) | ||||||||
5.88% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 | 3,132,830 | 2,798,651 | ||||||
MI Windows And Doors LLC | ||||||||
6.63% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/18/27 | 2,453,460 | 2,381,893 | ||||||
Pro Mach Group, Inc. | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28 | 2,134,476 | 2,031,188 | ||||||
Waterlogic USA Holdings, Inc. | ||||||||
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 08/17/28 | 1,980,000 | 1,940,400 | ||||||
API Heat Transfer | ||||||||
12.00% (3 Month USD LIBOR, Rate Floor: 0.00%) (in-kind rate was 12.00%) due 01/01/24†††,12 | 1,287,526 | 643,763 | ||||||
12.00% (3 Month USD LIBOR, Rate Floor: 0.00% (in-kind rate was 12.00%) due 10/02/23†††,12 | 229,708 | 195,252 | ||||||
Duran Group Holding GMBH | ||||||||
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/29/24††† | EUR 416,090 | 389,680 | ||||||
4.04% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 12/20/24††† | EUR 81,858 | 76,662 | ||||||
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Transcendia Holdings, Inc. | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/30/24 | 559,067 | $ | 408,119 | |||||
Total Industrial | 361,639,402 | |||||||
Technology - 4.0% | ||||||||
Planview Parent, Inc. | ||||||||
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27 | 23,088,750 | 21,818,869 | ||||||
Datix Bidco Ltd. | ||||||||
6.01% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/28/25††† | 9,112,505 | 8,883,781 | ||||||
8.44% (6 Month GBP SONIA + 7.75%, Rate Floor: 8.44%) due 04/27/26††† | GBP 4,225,000 | 4,621,470 | ||||||
7.01% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/27/25††† | 3,400,533 | 3,315,180 | ||||||
6.19% (6 Month GBP LIBOR + 4.50%, Rate Floor: 5.19%) due 04/28/25††† | GBP 1,000,000 | 1,088,702 | ||||||
9.26% (6 Month Term SOFR + 7.75%, Rate Floor: 7.75%) due 04/27/26††† | 461,709 | 452,244 | ||||||
Peraton Corp. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | 17,225,859 | 16,295,663 | ||||||
Polaris Newco LLC | ||||||||
6.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/04/26††† | 14,084,714 | 12,789,822 | ||||||
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28 | 3,803,734 | 3,501,566 | ||||||
Project Ruby Ultimate Parent Corp. | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28 | 17,336,000 | 16,135,482 | ||||||
Avalara, Inc. | ||||||||
due 08/12/28††† | 16,000,000 | 15,804,471 | ||||||
Apttus Corp. | ||||||||
7.12% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28††† | 17,127,000 | 15,671,205 | ||||||
Sitecore Holding III A/S | ||||||||
7.00% (3 Month EURIBOR + 7.00%, Rate Floor: 7.00%) due 03/12/26††† | EUR 8,665,010 | 8,404,969 | ||||||
10.27% (3 Month USD LIBOR + 7.00%, Rate Floor: 7.50%) due 03/12/26††† | 7,056,876 | 6,984,051 | ||||||
Wrench Group LLC | ||||||||
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/30/26 | 15,342,085 | 14,824,289 | ||||||
Atlas CC Acquisition Corp. | ||||||||
7.32% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28 | 15,752,114 | 13,775,224 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Aston FinCo SARL | ||||||||
6.96% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 10/09/26††† | GBP 12,837,988 | $ | 13,189,664 | |||||
Team.Blue Finco SARL | ||||||||
4.89% (3 Month EURIBOR + 3.70%, Rate Floor: 3.70%) due 03/30/28 | EUR 14,000,000 | 12,486,524 | ||||||
Project Boost Purchaser LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26 | 6,912,500 | 6,532,312 | ||||||
Sportradar Capital SARL | ||||||||
4.21% (1 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 11/22/27 | EUR 5,552,381 | 5,108,593 | ||||||
Imprivata, Inc. | ||||||||
7.28% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/01/27 | 4,850,000 | 4,678,746 | ||||||
VT TopCo, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25 | 4,310,650 | 4,095,118 | ||||||
Sitecore USA, Inc. | ||||||||
10.27% (3 Month USD LIBOR + 7.00%, Rate Floor: 7.50%) due 03/12/26††† | 4,000,437 | 3,959,154 | ||||||
Taxware Holdings (Sovos Compliance LLC) | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28 | 3,775,697 | 3,592,576 | ||||||
AVS Group GmbH | ||||||||
4.13% (1 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 09/10/26 | EUR 3,750,000 | 3,350,742 | ||||||
Greenway Health LLC | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/16/24 | 3,436,776 | 3,035,807 | ||||||
Concorde Lux | ||||||||
4.00% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/01/28 | EUR 3,300,000 | 2,967,510 | ||||||
Ping Identity Corp. | ||||||||
6.88% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 11/22/28††† | 2,736,250 | 2,715,728 | ||||||
RLDatix | ||||||||
5.69% (3 Month GBP SONIA + 4.50%, Rate Floor: 4.50%) due 10/28/24††† | GBP 1,889,602 | 2,549,694 | ||||||
Verscend Holding Corp. | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/27/25 | 2,369,797 | 2,292,778 | ||||||
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
24-7 Intouch, Inc. | ||||||||
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 08/25/25 | 2,221,266 | $ | 2,110,203 | |||||
Misys Ltd. | ||||||||
6.87% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24 | 2,372,177 | 2,049,561 | ||||||
Boxer Parent Company, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25 | 1,811,258 | 1,712,508 | ||||||
Ep Purchaser LLC | ||||||||
7.17% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/06/28 | 1,492,500 | 1,452,202 | ||||||
Brave Parent Holdings, Inc. | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25 | 1,202,100 | 1,169,042 | ||||||
Kar Finland Bidco Oy | ||||||||
4.50% (6 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 11/27/23††† | EUR 1,000,000 | 950,701 | ||||||
Conair Holdings LLC | ||||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28 | 397,995 | 333,321 | ||||||
Total Technology | 244,699,472 | |||||||
Financial - 3.0% | ||||||||
Jones Deslauriers Insurance Management, Inc. | ||||||||
7.75% (3 Month Canada Banker Acceptance Rate + 4.25%, Rate Floor: 5.00%) due 03/27/28††† | CAD 39,690,223 | 26,301,858 | ||||||
11.00% (3 Month Canada Banker Acceptance Rate + 7.50%, Rate Floor: 8.00%) due 03/26/29††† | CAD 11,674,000 | 7,651,561 | ||||||
Orion Advisor Solutions, Inc. | ||||||||
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/24/27 | 21,296,806 | 20,018,998 | ||||||
HighTower Holding LLC | ||||||||
6.73% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28 | 18,708,625 | 17,293,879 | ||||||
Eisner Advisory Group | ||||||||
10.50% (Commercial Prime Lending Rate + 4.25%, Rate Floor: 4.25%) due 07/28/28 | 10,950,000 | 10,621,500 | ||||||
8.40% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/28/28††† | 6,098,045 | 5,762,652 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Camelia Bidco Banc Civica | ||||||||
6.96% (3 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 10/14/24 | GBP 12,975,000 | $ | 13,489,816 | |||||
Higginbotham Insurance Agency, Inc. | ||||||||
8.37% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.00%) due 11/25/26††† | 13,642,394 | 13,304,063 | ||||||
Duff & Phelps | ||||||||
6.78% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/09/27 | 12,903,000 | 12,150,368 | ||||||
Franchise Group, Inc. | ||||||||
7.56% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26 | 12,625,841 | 11,763,117 | ||||||
Teneo Holdings LLC | ||||||||
8.38% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/11/25 | 10,742,658 | 10,116,039 | ||||||
Alter Domus | ||||||||
6.49% (1 Month SOFR + 3.50%, Rate Floor: 3.50%) due 02/17/28 | 10,342,500 | 9,954,656 | ||||||
HUB International Ltd. | ||||||||
5.77% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25 | 5,093,314 | 4,890,651 | ||||||
5.98% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 04/25/25 | 2,597,989 | 2,498,954 | ||||||
Aretec Group, Inc. | ||||||||
7.38% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 10/01/25 | 6,460,051 | 6,325,488 | ||||||
Cross Financial Corp. | ||||||||
7.13% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27 | 4,688,156 | 4,539,682 | ||||||
Sandy Bidco BV | ||||||||
4.68% (1 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 08/17/29 | EUR 4,700,000 | 4,261,002 | ||||||
USI, Inc. | ||||||||
6.92% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26 | 3,145,838 | 3,022,616 | ||||||
Nexus Buyer LLC | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 | 1,307,260 | 1,252,525 | ||||||
Cobham Ultra SeniorCo SARL | ||||||||
7.06% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 08/03/29 | 500,000 | 477,500 | ||||||
Total Financial | 185,696,925 | |||||||
Communications - 1.4% | ||||||||
Syndigo LLC | ||||||||
7.32% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27††† | 27,136,750 | 24,423,075 | ||||||
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Xplornet Communications, Inc. | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28 | 25,174,479 | $ | 22,084,311 | |||||
FirstDigital Communications LLC | ||||||||
7.31% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 12/17/26††† | 10,550,000 | 10,328,561 | ||||||
Radiate Holdco LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26 | 7,665,167 | 7,074,029 | ||||||
Titan AcquisitionCo New Zealand Ltd. (Trade Me) | ||||||||
4.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/18/28 | 6,517,250 | 6,147,917 | ||||||
Zayo Group Holdings, Inc. | ||||||||
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27 | 6,146,447 | 5,117,717 | ||||||
McGraw Hill LLC | ||||||||
8.32% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28 | 4,331,872 | 3,985,322 | ||||||
Recorded Books, Inc. | ||||||||
7.08% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 08/29/25 | 4,143,341 | 3,977,608 | ||||||
Cincinnati Bell, Inc. | ||||||||
6.38% (1 Month Term SOFR + 3.35%, Rate Floor: 3.35%) due 11/22/28 | 992,500 | 949,902 | ||||||
Flight Bidco, Inc. | ||||||||
10.62% (1 Month USD LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26 | 1,000,000 | 902,500 | ||||||
SFR Group S.A. | ||||||||
6.91% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/14/26 | 433,125 | 391,978 | ||||||
Total Communications | 85,382,920 | |||||||
Basic Materials - 0.8% | ||||||||
Illuminate Buyer LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27 | 11,927,339 | 10,779,333 | ||||||
NIC Acquisition Corp. | ||||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27 | 10,886,230 | 8,445,864 | ||||||
Pregis TopCo LLC | ||||||||
6.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 07/31/26 | 6,484,500 | 6,144,064 | ||||||
CTEC III GmbH | ||||||||
4.33% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/16/29 | EUR 6,800,000 | 5,853,012 | ||||||
GrafTech Finance, Inc. | ||||||||
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25 | 3,379,917 | 3,151,772 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
American Rock Salt Company LLC | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 06/09/28 | 2,718,610 | $ | 2,503,377 | |||||
Barentz Midco BV | ||||||||
4.94% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 11/30/27 | EUR 2,400,000 | 2,177,501 | ||||||
Vectra Co. | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/08/25 | 2,476,708 | 2,064,956 | ||||||
DCG Acquisition Corp. | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26 | 1,722,288 | 1,603,158 | ||||||
Ascend Performance Materials Operations LLC | ||||||||
8.42% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 08/27/26 | 1,485,475 | 1,451,680 | ||||||
Schur Flexibles GmbH | ||||||||
4.25% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 09/12/27 | EUR 3,150,000 | 1,173,184 | ||||||
Total Basic Materials | 45,347,901 | |||||||
Utilities - 0.2% | ||||||||
Hamilton Projects Acquiror LLC | ||||||||
8.17% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27 | 12,575,206 | 12,323,702 | ||||||
Granite Generation LLC | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/09/26 | 698,388 | 666,960 | ||||||
Total Utilities | 12,990,662 | |||||||
Energy - 0.2% | ||||||||
TransMontaigne Operating Company LP | ||||||||
6.52% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/17/28 | 6,540,550 | 6,184,940 | ||||||
Venture Global Calcasieu Pass LLC | ||||||||
5.74% (1 Month USD LIBOR + 2.63%, Rate Floor: 2.63%) due 08/19/26††† | 5,471,685 | 5,458,006 | ||||||
Permian Production Partners LLC | ||||||||
11.12% (1 Month USD LIBOR + 6.00%, Rate Floor: 9.12%) (in-kind rate was 2.00%) due 11/24/25†††,12 | 1,132,127 | 1,129,297 | ||||||
Total Energy | 12,772,243 | |||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $1,932,154,103) | 1,739,579,809 | |||||||
ASSET-BACKED SECURITIES†† - 20.0% | ||||||||
Collateralized Loan Obligations - 11.3% | ||||||||
LoanCore Issuer Ltd. | ||||||||
2021-CRE4 D, 4.90% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/35◊ | 20,500,000 | 19,405,960 | ||||||
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
2019-CRE2 AS, 4.32% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,5 | 11,343,072 | $ | 11,245,592 | |||||
2021-CRE6 D, 5.67% (1 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 11/15/38◊,5 | 11,300,000 | 10,614,507 | ||||||
2021-CRE5 D, 5.82% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/15/36◊,5 | 8,250,000 | 7,820,258 | ||||||
2022-CRE7 D, 5.38% (30 Day Average SOFR + 3.10%, Rate Floor: 3.10%) due 01/17/37◊,5 | 6,400,000 | 6,107,069 | ||||||
FS Rialto | ||||||||
2021-FL3 D, 5.44% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 11/16/36◊,5 | 36,500,000 | 33,736,461 | ||||||
2021-FL2 D, 5.74% (1 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 05/16/38◊,5 | 8,850,000 | 8,175,248 | ||||||
Fortress Credit Opportunities IX CLO Ltd. | ||||||||
2021-9A CR, 5.31% (3 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 10/15/33◊,5 | 35,000,000 | 31,651,322 | ||||||
2021-9A DR, 6.46% (3 Month USD LIBOR + 3.95%, Rate Floor: 3.95%) due 10/15/33◊,5 | 7,750,000 | 6,894,422 | ||||||
Palmer Square Loan Funding Ltd. | ||||||||
2022-1A B, 4.33% (3 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 04/15/30◊,5 | 26,200,000 | 24,191,804 | ||||||
2021-3A C, 5.21% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/20/29◊,5 | 8,300,000 | 7,593,150 | ||||||
2022-1A C, 4.93% (3 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 04/15/30◊,5 | 3,400,000 | 3,153,729 | ||||||
LCCM Trust | ||||||||
2021-FL3 C, 5.42% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 11/15/38◊,5 | 28,865,000 | 26,995,957 | ||||||
2021-FL2 D, 5.72% (1 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 12/13/38◊,5 | 5,750,000 | 5,251,844 | ||||||
BXMT Ltd. | ||||||||
2020-FL2 C, 4.59% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/38◊ | 15,640,000 | 14,890,480 | ||||||
2020-FL2 D, 4.89% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 02/15/38◊,5 | 8,000,000 | 7,466,058 | ||||||
2020-FL3 D, 5.20% (30 Day Average SOFR + 2.91%, Rate Floor: 2.80%) due 11/15/37◊,5 | 7,350,000 | 7,081,537 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Diamond CLO Ltd. | ||||||||
2018-1A C, 5.36% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 07/22/30◊,5 | 10,624,293 | $ | 10,590,686 | |||||
2021-1A DR, 6.18% (3 Month USD LIBOR + 3.40%, Rate Floor: 3.40%) due 04/25/29◊,5 | 5,500,000 | 5,306,632 | ||||||
2018-1A D, 6.46% (3 Month USD LIBOR + 3.70%, Rate Floor: 3.70%) due 07/22/30◊,5 | 5,000,000 | 4,894,958 | ||||||
2021-1A CR, 5.18% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/25/29◊,5 | 1,322,000 | 1,311,960 | ||||||
Voya CLO Ltd. | ||||||||
2021-2A CR, 6.11% (3 Month USD LIBOR + 3.60%, Rate Floor: 3.60%) due 06/07/30◊,5 | 16,500,000 | 14,824,869 | ||||||
2013-1A INC, due 10/15/305,13 | 28,970,307 | 5,536,226 | ||||||
ACRES Commercial Realty Ltd. | ||||||||
2021-FL2 D, 6.04% (1 Month USD LIBOR + 3.10%, Rate Floor: 3.10%) due 01/15/37◊,5 | 8,350,000 | 7,925,094 | ||||||
2021-FL1 D, 5.59% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/36◊ | 7,250,000 | 6,701,407 | ||||||
2021-FL2 C, 5.59% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 01/15/37◊,5 | 5,250,000 | 5,073,723 | ||||||
MidOcean Credit CLO VII | ||||||||
2020-7A CR, 4.71% (3 Month USD LIBOR + 2.20%, Rate Floor: 0.00%) due 07/15/29◊,5 | 21,000,000 | 19,542,249 | ||||||
BSPDF Issuer Ltd. | ||||||||
2021-FL1 D, 5.57% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/15/36◊ | 19,975,000 | 18,507,698 | ||||||
BSPRT Issuer Ltd. | ||||||||
2021-FL6 D, 5.82% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/15/36◊,5 | 18,425,000 | 17,022,867 | ||||||
2021-FL7 D, 5.57% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 12/15/38◊,5 | 1,600,000 | 1,468,205 | ||||||
Golub Capital Partners CLO Ltd. | ||||||||
2018-36A C, 4.93% (3 Month USD LIBOR + 2.10%, Rate Floor: 0.00%) due 02/05/31◊,5 | 20,000,000 | 18,444,330 | ||||||
Golub Capital Partners CLO 49M Ltd. | ||||||||
2021-49A D, 6.56% (3 Month USD LIBOR + 3.85%, Rate Floor: 3.85%) due 08/26/33◊,5 | 18,100,000 | 16,009,903 | ||||||
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Anchorage Capital CLO 6 Ltd. | ||||||||
2021-6A DRR, 5.96% (3 Month USD LIBOR + 3.45%, Rate Floor: 3.45%) due 07/15/30◊,5 | 17,350,000 | $ | 15,947,761 | |||||
KREF Funding V LLC | ||||||||
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,††† | 15,952,957 | 15,881,139 | ||||||
0.15% due 06/25/26†††,14 | 73,636,363 | 2,945 | ||||||
STWD Ltd. | ||||||||
2022-FL3 D, 5.04% (30 Day Average SOFR + 2.75%, Rate Floor: 2.75%) due 11/15/38◊,5 | 11,900,000 | 11,053,206 | ||||||
2021-FL2 D, 5.74% (1 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 04/18/38◊,5 | 3,750,000 | 3,553,273 | ||||||
Cerberus Loan Funding XXX, LP | ||||||||
2020-3A C, 6.16% (3 Month USD LIBOR + 3.65%, Rate Floor: 3.65%) due 01/15/33◊,5 | 14,500,000 | 14,039,506 | ||||||
FS Rialto Issuer LLC | ||||||||
2022-FL5 C, 6.84% (1 Month Term SOFR + 3.92%, Rate Floor: 3.92%) due 06/19/37◊,5 | 6,950,000 | 6,816,124 | ||||||
2022-FL6 C, 7.25% (1 Month Term SOFR + 4.23%, Rate Floor: 4.23%) due 08/17/37◊,5 | 6,150,000 | 6,056,548 | ||||||
ABPCI Direct Lending Fund IX LLC | ||||||||
2021-9A BR, 5.27% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 11/18/31◊,5 | 11,550,000 | 10,608,891 | ||||||
Atlas Senior Loan Fund IX Ltd. | ||||||||
2018-9A C, 4.51% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/28◊,5 | 10,250,000 | 9,870,772 | ||||||
2018-9A SUB, due 04/20/285,13 | 9,600,000 | 566,256 | ||||||
Neuberger Berman Loan Advisers CLO 32 Ltd. | ||||||||
2021-32A DR, 5.44% (3 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 01/20/32◊,5 | 11,500,000 | 10,190,967 | ||||||
THL Credit Lake Shore MM CLO I Ltd. | ||||||||
2021-1A CR, 5.51% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/15/33◊,5 | 9,900,000 | 9,147,560 | ||||||
Cerberus Loan Funding XXXVI, LP | ||||||||
2021-6A B, 4.26% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/22/33◊,5 | 9,000,000 | 8,877,448 | ||||||
BCC Middle Market CLO LLC | ||||||||
2021-1A A1R, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,5 | 9,000,000 | 8,645,161 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
GoldenTree Loan Management US CLO 1 Ltd. | ||||||||
2021-9A D, 5.61% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 01/20/33◊,5 | 9,950,000 | $ | 8,547,920 | |||||
ABPCI Direct Lending Fund CLO V Ltd. | ||||||||
2021-5A BR, 5.61% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 04/20/31◊,5 | 9,200,000 | 8,524,113 | ||||||
Golub Capital Partners CLO 16 Ltd. | ||||||||
2021-16A CR2, 5.68% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 07/25/33◊,5 | 9,300,000 | 8,500,213 | ||||||
Marathon CLO V Ltd. | ||||||||
2017-5A A2R, 4.43% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/27◊,5 | 7,920,233 | 7,844,979 | ||||||
2013-5A SUB, due 11/21/275,13 | 5,500,000 | 295,350 | ||||||
Magnetite XXIX Ltd. | ||||||||
2021-29A D, 5.11% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/34◊,5 | 8,800,000 | 7,953,324 | ||||||
Venture XIV CLO Ltd. | ||||||||
2020-14A CRR, 5.29% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/28/29◊,5 | 8,000,000 | 7,551,598 | ||||||
ABPCI Direct Lending Fund CLO VII, LP | ||||||||
2021-7A BR, 5.32% (3 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 10/20/31◊,5 | 7,950,000 | 7,301,825 | ||||||
Dryden 37 Senior Loan Fund | ||||||||
2015-37A Q, due 01/15/315,13 | 9,500,000 | 7,251,395 | ||||||
CIFC Funding 2017-II Ltd. | ||||||||
2021-2A DR, 5.81% (3 Month USD LIBOR + 3.10%, Rate Floor: 3.10%) due 04/20/30◊,5 | 8,100,000 | 7,238,733 | ||||||
ACRE Commercial Mortgage Ltd. | ||||||||
2021-FL4 D, 5.59% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 12/18/37◊,5 | 7,350,000 | 7,108,657 | ||||||
Madison Park Funding XLVIII Ltd. | ||||||||
2021-48A D, 5.74% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/19/33◊,5 | 7,500,000 | 6,725,183 | ||||||
Octagon Loan Funding Ltd. | ||||||||
2014-1A SUB, due 11/18/315,13 | 19,435,737 | 6,058,119 | ||||||
Hull Street CLO Ltd. | ||||||||
2014-1A D, 6.34% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/18/26◊,5 | 5,785,000 | 5,685,976 | ||||||
48 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Cerberus Loan Funding XXXIII, LP | ||||||||
2021-3A C, 5.31% (3 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 07/23/33◊,5 | 5,900,000 | $ | 5,362,088 | |||||
CHCP Ltd. | ||||||||
2021-FL1 D, 5.96% (1 Month Term SOFR + 3.11%, Rate Floor: 3.00%) due 02/15/38◊,5 | 5,500,000 | 5,107,198 | ||||||
Telos CLO Ltd. | ||||||||
2017-6A CR, 5.34% (3 Month USD LIBOR + 2.60%, Rate Floor: 0.00%) due 01/17/27◊,5 | 5,092,865 | 5,076,273 | ||||||
ABPCI Direct Lending Fund CLO I LLC | ||||||||
2021-1A C2, 5.71% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/20/33◊,5 | 5,550,000 | 5,053,740 | ||||||
TCP Waterman CLO LLC | ||||||||
2016-1A A2, 6.29% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 12/15/28◊,5 | 4,981,633 | 4,984,153 | ||||||
WhiteHorse X Ltd. | ||||||||
2015-10A E, 8.04% (3 Month USD LIBOR + 5.30%, Rate Floor: 5.30%) due 04/17/27◊,5 | 5,004,114 | 4,623,703 | ||||||
Cerberus Loan Funding XXXV, LP | ||||||||
2021-5A C, 5.11% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 09/22/33◊,5 | 5,150,000 | 4,608,360 | ||||||
Cerberus Loan Funding XXVI, LP | ||||||||
2021-1A CR, 5.41% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 04/15/31◊,5 | 4,000,000 | 3,783,417 | ||||||
Neuberger Berman Loan Advisers CLO 40 Ltd. | ||||||||
2021-40A D, 5.49% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/16/33◊,5 | 4,050,000 | 3,576,152 | ||||||
BNPP IP CLO Ltd. | ||||||||
2014-2A E, 8.03% (3 Month USD LIBOR + 5.25%, Rate Floor: 0.00%) due 10/30/25◊,5 | 5,894,651 | 3,492,581 | ||||||
Dryden 50 Senior Loan Fund | ||||||||
2017-50A SUB, due 07/15/305,13 | 7,895,000 | 3,436,693 | ||||||
Dryden 41 Senior Loan Fund | ||||||||
2015-41A SUB, due 04/15/315,13 | 11,700,000 | 3,304,080 | ||||||
Carlyle Global Market Strategies CLO Ltd. | ||||||||
2012-3A SUB, due 01/14/325,13 | 6,400,000 | 2,085,760 | ||||||
2013-3X SUB, due 10/15/3013 | 4,938,326 | 748,650 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Silvermore CLO Ltd. | ||||||||
2014-1A B, 5.91% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 05/15/26◊,5 | 2,738,611 | $ | 2,733,849 | |||||
HGI CRE CLO Ltd. | ||||||||
2021-FL2 D, 5.09% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 09/17/36◊,5 | 1,600,000 | 1,456,014 | ||||||
2021-FL2 E, 5.39% (1 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/17/36◊,5 | 1,200,000 | 1,079,493 | ||||||
BDS Ltd. | ||||||||
2021-FL9 E, 5.59% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 11/16/38◊,5 | 2,700,000 | 2,510,114 | ||||||
Denali Capital CLO XI Ltd. | ||||||||
2018-1A BRR, 4.86% (3 Month USD LIBOR + 2.15%, Rate Floor: 0.00%) due 10/20/28◊,5 | 2,500,000 | 2,422,641 | ||||||
Treman Park CLO Ltd. | ||||||||
2015-1A SUB, due 10/20/285,13 | 18,918,010 | 2,352,076 | ||||||
Monroe Capital CLO Ltd. | ||||||||
2017-1A DR, 6.36% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/22/26◊,5 | 2,193,917 | 2,176,590 | ||||||
KVK CLO Ltd. | ||||||||
2013-1A SUB, due 01/14/285,13 | 11,900,000 | 2,093,722 | ||||||
AMMC CLO XI Ltd. | ||||||||
2012-11A SUB, due 04/30/315,13 | 5,650,000 | 1,891,055 | ||||||
Goldentree Loan Management US CLO 4 Ltd. | ||||||||
2021-4A DR, 5.93% (3 Month USD LIBOR + 3.15%, Rate Floor: 3.15%) due 04/24/31◊,5 | 2,000,000 | 1,752,085 | ||||||
PFP Ltd. | ||||||||
2021-7 E, 5.94% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/14/38◊,5 | 1,789,911 | 1,694,148 | ||||||
Venture XIII CLO Ltd. | ||||||||
2013-13A SUB, due 09/10/295,13 | 13,790,000 | 1,553,770 | ||||||
Babson CLO Ltd. | ||||||||
2014-IA SUB, due 07/20/255,13 | 11,900,000 | 742,560 | ||||||
Great Lakes CLO Ltd. | ||||||||
2014-1A SUB, due 10/15/295,13 | 1,500,000 | 629,250 | ||||||
Dryden Senior Loan Fund | ||||||||
due 01/15/3113 | 1,897,598 | 563,017 | ||||||
Avery Point II CLO Ltd. | ||||||||
2013-3X COM, due 01/18/2513 | 6,270,000 | 159,572 | ||||||
West CLO Ltd. | ||||||||
2013-1A SUB, due 11/07/255,13 | 5,300,000 | 6,943 | ||||||
OHA Credit Partners IX Ltd. | ||||||||
2013-9A ACOM, due 10/20/255,13 | 4,219,178 | 4,641 | ||||||
Copper River CLO Ltd. | ||||||||
2007-1A INC, due 01/20/21†††,10,13 | 8,150,000 | 3,423 | ||||||
Total Collateralized Loan Obligations | 694,348,958 | |||||||
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Transport-Aircraft - 3.4% | ||||||||
AASET Trust | ||||||||
2017-1A, 3.97% due 05/16/425 | 22,018,706 | $ | 17,460,834 | |||||
2021-1A, 2.95% due 11/16/415 | 19,889,956 | 15,861,681 | ||||||
2021-2A, 3.54% due 01/15/475 | 3,824,538 | 2,878,966 | ||||||
2020-1A, 4.34% due 01/16/405 | 4,322,982 | 1,733,204 | ||||||
KDAC Aviation Finance Ltd. | ||||||||
2017-1A, 4.21% due 12/15/425 | 40,778,018 | 31,212,209 | ||||||
Falcon Aerospace Ltd. | ||||||||
2017-1, 4.58% due 02/15/425 | 13,873,076 | 12,579,196 | ||||||
2019-1, 3.60% due 09/15/395 | 5,889,752 | 4,679,716 | ||||||
2017-1, 6.30% due 02/15/425 | 3,838,675 | 3,312,349 | ||||||
Castlelake Aircraft Securitization Trust | ||||||||
2018-1, 4.13% due 06/15/435 | 12,067,985 | 10,559,015 | ||||||
2019-1A, 3.97% due 04/15/395 | 5,837,933 | 5,035,750 | ||||||
2016-1, 4.45% due 08/15/41 | 3,569,594 | 3,206,177 | ||||||
Sprite Ltd. | ||||||||
2021-1, 3.75% due 11/15/465 | 18,484,800 | 15,605,175 | ||||||
Raspro Trust | ||||||||
2005-1A, 3.64% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,5 | 15,020,380 | 13,927,920 | ||||||
Sapphire Aviation Finance I Ltd. | ||||||||
2018-1A, 4.25% due 03/15/405 | 16,955,497 | 12,486,416 | ||||||
AASET US Ltd. | ||||||||
2018-2A, 4.45% due 11/18/385 | 13,791,309 | 11,412,740 | ||||||
JOL Air Ltd. | ||||||||
2019-1, 3.97% due 04/15/445 | 10,905,400 | 9,066,918 | ||||||
Sapphire Aviation Finance II Ltd. | ||||||||
2020-1A, 4.34% due 03/15/405 | 9,117,555 | 5,628,647 | ||||||
2020-1A, 3.23% due 03/15/405 | 572,183 | 473,704 | ||||||
WAVE LLC | ||||||||
2019-1, 3.60% due 09/15/445 | 7,443,431 | 5,888,260 | ||||||
GAIA Aviation Ltd. | ||||||||
2019-1, 3.97% due 12/15/445,11 | 7,112,786 | 5,758,040 | ||||||
Navigator Aircraft ABS Ltd. | ||||||||
2021-1, 3.57% due 11/15/465 | 6,023,995 | 4,439,954 | ||||||
MAPS Ltd. | ||||||||
2018-1A, 4.21% due 05/15/435 | 4,966,170 | 4,423,835 | ||||||
Lunar Structured Aircraft Portfolio Notes | ||||||||
2021-1, 3.43% due 10/15/465 | 5,451,889 | 4,374,709 | ||||||
Slam Ltd. | ||||||||
2021-1A, 3.42% due 06/15/465 | 3,318,840 | 2,632,267 | ||||||
Castlelake Aircraft Structured Trust | ||||||||
2021-1A, 6.66% due 01/15/465 | 2,538,516 | 2,043,379 | ||||||
Stripes Aircraft Ltd. | ||||||||
2013-1 A1, 6.49% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/20/23◊,††† | 762,830 | 729,624 | ||||||
Total Transport-Aircraft | 207,410,685 | |||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Financial - 2.9% | ||||||||
HarbourVest Structured Solutions IV Holdings, LP | ||||||||
4.60% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,††† | 23,234,292 | $ | 23,233,624 | |||||
2.58% (3 Month EURIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,††† | EUR 12,900,000 | 12,640,344 | ||||||
HV Eight LLC | ||||||||
3.36% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25◊,††† | EUR 28,000,000 | 27,428,145 | ||||||
Madison Avenue Secured Funding Trust | ||||||||
2021-1, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,5 | 20,750,000 | 20,750,000 | ||||||
KKR Core Holding Company LLC | ||||||||
4.00% due 08/12/31††† | 19,096,300 | 16,341,417 | ||||||
Bib Merchant Voucher Receivables Ltd. | ||||||||
4.18% due 04/07/28††† | 13,738,237 | 13,358,697 | ||||||
Nassau LLC | ||||||||
2019-1, 3.98% due 08/15/345 | 13,480,305 | 12,830,182 | ||||||
Lam Trade Finance Group LLC | ||||||||
2.50% due 12/29/22 | 12,000,000 | 12,000,000 | ||||||
Thunderbird A | ||||||||
5.50% due 03/01/37††† | 11,456,706 | 11,456,706 | ||||||
Lightning A | ||||||||
5.50% due 03/01/37††† | 11,092,784 | 11,092,784 | ||||||
Ceamer Finance LLC | ||||||||
3.69% due 03/22/31††† | 5,946,357 | 5,406,240 | ||||||
Aesf Vi Verdi, LP | ||||||||
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,††† | EUR 4,244,414 | 4,157,940 | ||||||
Thunderbird B | ||||||||
7.50% due 03/01/37††† | 2,304,510 | 2,304,510 | ||||||
Lightning B | ||||||||
7.50% due 03/01/37††† | 2,231,307 | 2,231,307 | ||||||
Total Financial | 175,231,896 | |||||||
Infrastructure - 0.8% | ||||||||
VB-S1 Issuer LLC - VBTEL | ||||||||
2022-1A, 5.27% due 02/15/525 | 39,650,000 | 34,601,984 | ||||||
Hotwire Funding LLC | ||||||||
2021-1, 4.46% due 11/20/515 | 11,750,000 | 9,584,301 | ||||||
Secured Tenant Site Contract Revenue Notes Series | ||||||||
2018-1A, 4.70% due 06/15/4810 | 6,561,371 | 6,470,334 | ||||||
Total Infrastructure | 50,656,619 | |||||||
Whole Business - 0.7% | ||||||||
TSGE | ||||||||
2017-1, 6.25% due 09/25/31††† | 42,367,052 | 40,124,264 | ||||||
Taco Bell Funding LLC | ||||||||
2016-1A, 4.97% due 05/25/465 | 2,676,688 | 2,576,673 | ||||||
Applebee’s Funding LLC / IHOP Funding LLC | ||||||||
2019-1A, 4.19% due 06/05/495 | 2,079,000 | 1,969,827 | ||||||
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Wendy’s Funding LLC | ||||||||
2018-1A, 3.88% due 03/15/485 | 381,000 | $ | 338,630 | |||||
Total Whole Business | 45,009,394 | |||||||
Single Family Residence - 0.5% | ||||||||
FirstKey Homes Trust | ||||||||
2020-SFR2, 4.00% due 10/19/375 | 13,550,000 | 12,143,574 | ||||||
2020-SFR2, 4.50% due 10/19/375 | 13,250,000 | 12,021,143 | ||||||
2020-SFR2, 3.37% due 10/19/375 | 8,550,000 | 7,547,997 | ||||||
Total Single Family Residence | 31,712,714 | |||||||
Net Lease - 0.3% | ||||||||
CARS-DB4, LP | ||||||||
2020-1A, 4.95% due 02/15/505 | 21,105,000 | 17,736,792 | ||||||
Collateralized Debt Obligations - 0.1% | ||||||||
Anchorage Credit Funding 4 Ltd. | ||||||||
2021-4A BR, 3.12% due 04/27/39 | 6,700,000 | 5,691,398 | ||||||
2021-4A CR, 3.52% due 04/27/395 | 4,250,000 | 3,322,305 | ||||||
Total Collateralized Debt Obligations | 9,013,703 | |||||||
Total Asset-Backed Securities | ||||||||
(Cost $1,337,146,479) | 1,231,120,761 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 15.8% | ||||||||
Government Agency - 8.3% | ||||||||
Uniform MBS 30 Year | ||||||||
due 11/15/5219 | 420,152,000 | 389,035,123 | ||||||
Fannie Mae | ||||||||
4.00% due 07/01/524 | 74,830,943 | 69,964,877 | ||||||
Freddie Mac | ||||||||
4.00% due 06/01/524 | 58,902,696 | 54,922,843 | ||||||
Total Government Agency | 513,922,843 | |||||||
Residential Mortgage-Backed Securities - 5.9% | ||||||||
FKRT | ||||||||
2.21% due 11/30/58†††,10 | 33,850,000 | 32,195,688 | ||||||
JP Morgan Mortgage Acquisition Trust | ||||||||
2006-WMC4, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/36◊ | 21,891,674 | 12,025,979 | ||||||
2006-WMC3, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/36◊ | 8,786,537 | 6,316,488 | ||||||
2006-HE3, 3.40% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 11/25/36◊ | 5,390,310 | 4,619,297 | ||||||
2006-WMC4, 3.20% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/36◊ | 7,535,307 | 4,131,541 | ||||||
2006-WMC4, 3.16% (1 Month USD LIBOR + 0.08%, Rate Floor: 0.08%) due 12/25/36◊ | 3,186,192 | 1,741,896 | ||||||
Ameriquest Mortgage Securities Trust | ||||||||
2006-M3, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 10/25/36◊ | 20,099,587 | 11,672,180 | ||||||
2006-M3, 3.32% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 10/25/36◊ | 32,415,053 | 11,073,604 | ||||||
2006-M3, 3.18% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/36◊ | 13,475,536 | 4,603,712 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
WaMu Asset-Backed Certificates WaMu Series | ||||||||
2007-HE2, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 04/25/37◊ | 24,259,885 | $ | 9,643,598 | |||||
2007-HE2, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37◊ | 18,485,818 | 7,342,256 | ||||||
2007-HE4, 3.25% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/47◊ | 6,892,376 | 5,110,287 | ||||||
2007-HE4, 3.33% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/47◊ | 2,071,157 | 1,333,735 | ||||||
BRAVO Residential Funding Trust | ||||||||
2022-R1, 3.13% due 01/29/705,11 | 25,589,791 | 22,606,139 | ||||||
Long Beach Mortgage Loan Trust | ||||||||
2006-6, 3.58% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 07/25/36◊ | 14,031,128 | 5,815,722 | ||||||
2006-8, 3.40% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/36◊ | 16,784,677 | 5,163,222 | ||||||
2006-1, 3.46% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 02/25/36◊ | 3,797,013 | 3,259,057 | ||||||
2006-4, 3.40% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 05/25/36◊ | 10,056,045 | 3,242,420 | ||||||
2006-6, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/36◊ | 4,369,123 | 1,805,933 | ||||||
2006-8, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 09/25/36◊ | 4,548,332 | 1,398,177 | ||||||
2006-6, 3.28% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 07/25/36◊ | 2,529,193 | 1,043,210 | ||||||
RALI Series Trust | ||||||||
2006-QO6, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/46◊ | 30,690,871 | 7,277,539 | ||||||
2007-QO2, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 02/25/47◊ | 13,125,162 | 5,202,569 | ||||||
2006-QO8, 3.48% (1 Month USD LIBOR + 0.40%, Rate Floor: 0.40%) due 10/25/46◊ | 3,916,761 | 3,750,072 | ||||||
2006-QO6, 3.54% (1 Month USD LIBOR + 0.46%, Rate Floor: 0.46%) due 06/25/46◊ | 7,985,346 | 1,948,701 | ||||||
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
2006-QO2, 3.62% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 02/25/46◊ | 5,947,913 | $ | 1,339,481 | |||||
2006-QO6, 3.60% (1 Month USD LIBOR + 0.52%, Rate Floor: 0.52%) due 06/25/46◊ | 5,038,073 | 1,248,692 | ||||||
2006-QO2, 3.76% (1 Month USD LIBOR + 0.68%, Rate Floor: 0.68%) due 02/25/46◊ | 3,182,638 | 745,346 | ||||||
2006-QO2, 3.52% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46◊ | 213,333 | 46,744 | ||||||
American Home Mortgage Assets Trust | ||||||||
2006-6, 3.29% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 12/25/46◊ | 7,783,882 | 6,412,155 | ||||||
2006-1, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 05/25/46◊ | 6,801,707 | 5,933,014 | ||||||
2006-3, 2.04% (1 Year CMT Rate + 0.94%, Rate Floor: 0.94%) due 10/25/46◊ | 5,213,992 | 3,719,304 | ||||||
Morgan Stanley IXIS Real Estate Capital Trust | ||||||||
2006-2, 3.30% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 11/25/36◊ | 22,062,898 | 7,995,623 | ||||||
2006-2, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/36◊ | 16,831,230 | 6,099,363 | ||||||
NYMT Loan Trust | ||||||||
2022-SP1, 5.25% due 07/25/625,11 | 14,204,925 | 13,608,247 | ||||||
Morgan Stanley ABS Capital I Incorporated Trust | ||||||||
2006-HE8, 3.30% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 10/25/36◊ | 19,748,433 | 9,624,814 | ||||||
2006-HE6, 3.28% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 09/25/36◊ | 4,390,162 | 1,692,827 | ||||||
2007-HE4, 3.31% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 02/25/37◊ | 3,860,152 | 1,290,338 | ||||||
IXIS Real Estate Capital Trust | ||||||||
2007-HE1, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 05/25/37◊ | 24,315,210 | 6,258,144 | ||||||
2007-HE1, 3.31% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 05/25/37◊ | 17,226,984 | 4,434,005 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
GSAMP Trust | ||||||||
2007-NC1, 3.21% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/46◊ | 18,747,585 | $ | 10,404,280 | |||||
Master Asset-Backed Securities Trust | ||||||||
2006-WMC3, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/36◊ | 10,255,706 | 3,915,714 | ||||||
2006-HE3, 3.28% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 08/25/36◊ | 9,603,787 | 3,032,917 | ||||||
2006-HE3, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/36◊ | 8,074,492 | 2,549,884 | ||||||
GSAA Home Equity Trust | ||||||||
2006-3, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36◊ | 10,707,407 | 6,062,181 | ||||||
2006-9, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 06/25/36◊ | 7,677,936 | 2,544,855 | ||||||
2007-7, 3.62% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/37◊ | 498,724 | 480,292 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
2007-AMC3, 3.33% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 03/25/37◊ | 10,293,041 | 8,997,041 | ||||||
CFMT LLC | ||||||||
2022-HB9, 3.25% (WAC) due 09/25/37◊,5 | 8,650,000 | 7,345,247 | ||||||
Home Equity Loan Trust | ||||||||
2007-FRE1, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37◊ | 7,301,267 | 6,797,796 | ||||||
First NLC Trust | ||||||||
2007-1, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 08/25/37◊,5 | 6,726,604 | 3,748,248 | ||||||
2007-1, 3.15% (1 Month USD LIBOR + 0.07%, Rate Floor: 0.07%) due 08/25/37◊,5 | 5,100,999 | 2,841,824 | ||||||
Lehman XS Trust Series | ||||||||
2006-18N, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 12/25/36◊ | 4,086,772 | 3,907,729 | ||||||
2006-10N, 3.50% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 07/25/46◊ | 2,602,158 | 2,507,896 | ||||||
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Argent Securities Trust | ||||||||
2006-W5, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 06/25/36◊ | 9,313,086 | $ | 6,265,085 | |||||
WaMu Asset-Backed Certificates WaMu Series Trust | ||||||||
2007-HE1, 3.31% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/37◊ | 7,590,128 | 3,793,038 | ||||||
2007-HE4, 3.25% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/47◊ | 2,900,780 | 1,867,783 | ||||||
Alternative Loan Trust | ||||||||
2007-OA7, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 05/25/47◊ | 6,638,886 | 5,636,513 | ||||||
ACE Securities Corporation Home Equity Loan Trust Series | ||||||||
2007-ASP1, 3.84% (1 Month USD LIBOR + 0.76%, Rate Floor: 0.76%) due 03/25/37◊ | 10,843,154 | 5,267,983 | ||||||
Citigroup Mortgage Loan Trust | ||||||||
2022-A, 6.17% due 09/25/625,11 | 5,085,729 | 4,982,144 | ||||||
OBX Trust | ||||||||
2022-NQM8, 6.10% due 09/25/625,11 | 4,900,000 | 4,783,580 | ||||||
HSI Asset Securitization Corporation Trust | ||||||||
2007-HE1, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/25/37◊ | 6,098,205 | 4,481,326 | ||||||
Finance of America HECM Buyout | ||||||||
2022-HB2, 6.00% (WAC) due 04/25/26◊,5 | 3,850,000 | 3,685,798 | ||||||
First Franklin Mortgage Loan Trust | ||||||||
2006-FF16, 3.50% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 12/25/36◊ | 7,648,140 | 3,568,060 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | ||||||||
2006-AR9, 1.94% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊ | 3,953,847 | 3,203,064 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
2006-9AR, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/36◊ | 8,489,365 | 2,637,364 | ||||||
Alliance Bancorp Trust | ||||||||
2007-OA1, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 07/25/37◊ | 2,096,076 | 1,763,145 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 57 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Nomura Resecuritization Trust | ||||||||
2015-4R, 2.20% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,5 | 1,941,134 | $ | 1,725,771 | |||||
Morgan Stanley Re-REMIC Trust | ||||||||
2010-R5, 2.40% due 06/26/365 | 568,087 | 509,073 | ||||||
Asset-Backed Securities Corporation Home Equity Loan Trust | ||||||||
2006-HE5, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 07/25/36◊ | 195,009 | 192,534 | ||||||
Total Residential Mortgage-Backed Securities | 364,269,284 | |||||||
Commercial Mortgage-Backed Securities - 1.1% | ||||||||
BX Commercial Mortgage Trust | ||||||||
2021-VOLT, 4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,5 | 19,750,000 | 18,210,470 | ||||||
2019-XL, 5.12% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 10/15/36◊,5 | 1,989,000 | 1,904,365 | ||||||
GS Mortgage Securities Corporation Trust | ||||||||
2020-UPTN, 3.35% (WAC) due 02/10/37◊,5 | 8,256,000 | 7,125,213 | ||||||
2020-DUNE, 5.32% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 12/15/36◊,5 | 7,340,000 | 6,914,814 | ||||||
2020-DUNE, 4.72% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/15/36◊,5 | 2,750,000 | 2,655,085 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH | ||||||||
2021-NYAH, 5.46% (1 Month USD LIBOR + 2.64%, Rate Floor: 2.64%) due 06/15/38◊,5 | 15,000,000 | 13,934,457 | ||||||
SMRT | ||||||||
2022-MINI, 4.80% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 01/15/39◊,5 | 10,000,000 | 9,374,176 | ||||||
MHP Commercial Mortgage Trust | ||||||||
2022-MHIL, 5.46% (1 Month Term SOFR + 2.61%, Rate Floor: 2.61%) due 01/15/27◊,5 | 8,744,927 | 8,132,013 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2015-NXS1, 2.63% due 05/15/48 | 96,395 | 96,242 | ||||||
Total Commercial Mortgage-Backed Securities | 68,346,835 | |||||||
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Military Housing - 0.5% | ||||||||
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | ||||||||
2015-R1, 0.70% (WAC) due 11/25/52◊,5,14 | 221,897,838 | $ | 14,016,217 | |||||
GMAC Commercial Mortgage Asset Corp. | ||||||||
2004-POKA, 6.36% due 09/10/44†††,5 | 9,000,000 | 8,843,990 | ||||||
Capmark Military Housing Trust | ||||||||
2007-AET2, 6.06% due 10/10/52†††,5 | 5,536,981 | 5,199,273 | ||||||
Total Military Housing | 28,059,480 | |||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $1,099,063,200) | 974,598,442 | |||||||
U.S. GOVERNMENT SECURITIES†† - 2.1% | ||||||||
U.S. Treasury Bonds | ||||||||
due 08/15/514,15,16 | 164,620,000 | 56,778,212 | ||||||
due 05/15/444,15,16 | 23,270,000 | 9,567,950 | ||||||
due 11/15/444,15,16 | 23,280,000 | 9,354,535 | ||||||
due 02/15/464,15,16 | 23,450,000 | 9,055,468 | ||||||
U.S. Treasury Notes | ||||||||
3.25% due 08/31/244 | 23,020,000 | 22,604,561 | ||||||
1.75% due 03/15/254 | 22,052,000 | 20,765,059 | ||||||
Total U.S. Government Securities | ||||||||
(Cost $142,826,906) | 128,125,785 | |||||||
FOREIGN GOVERNMENT DEBT†† - 1.0% | ||||||||
Government of Japan | ||||||||
(0.08)% due 10/03/2217 | JPY 2,000,000,000 | 13,819,026 | ||||||
(0.16)% due 10/20/2217 | JPY 1,000,000,000 | 6,909,881 | ||||||
(0.18)% due 10/17/2217 | JPY 1,000,000,000 | 6,909,801 | ||||||
State of Israel | ||||||||
1.25% due 11/30/22 | ILS 42,365,000 | 11,882,729 | ||||||
Province of Manitoba Canada T-Bill | ||||||||
3.19% due 10/19/2217 | CAD 12,000,000 | 8,675,657 | ||||||
Ontario T-Bill | ||||||||
2.84% due 10/05/2217 | CAD 10,000,000 | 7,239,129 | ||||||
3.19% due 10/12/2217 | CAD 975,000 | 705,441 | ||||||
3.09% due 10/19/2217 | CAD 450,000 | 325,406 | ||||||
Quebec T-Bill | ||||||||
3.08% due 10/07/2217 | CAD 2,245,000 | 1,625,054 | ||||||
3.16% due 10/28/2217 | CAD 780,000 | 563,528 | ||||||
3.11% due 10/21/2217 | CAD 500,000 | 361,464 | ||||||
Newfoundland T-Bill | ||||||||
3.21% due 10/04/2217 | CAD 900,000 | 651,515 | ||||||
3.16% due 10/27/2217 | CAD 500,000 | 361,152 | ||||||
3.16% due 10/13/2217 | CAD 400,000 | 289,435 | ||||||
Nova Scotia T-Bill | ||||||||
3.02% due 10/06/2217 | CAD 1,500,000 | 1,085,695 | ||||||
Alberta T-Bill | ||||||||
2.89% due 10/04/2217 | CAD 730,000 | 528,462 | ||||||
Total Foreign Government Debt | ||||||||
(Cost $63,318,044) | 61,933,375 | |||||||
U.S. TREASURY BILLS†† - 0.2% | ||||||||
U.S. Treasury Bills | ||||||||
2.15% due 12/08/2217 | 11,750,000 | 11,686,425 | ||||||
2.82% due 01/12/2317 | 3,600,000 | 3,567,443 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $15,273,214) | 15,253,868 | |||||||
CONVERTIBLE BONDS†† - 0.2% | ||||||||
Consumer, Non-cyclical - 0.1% | ||||||||
Block, Inc. | ||||||||
due 05/01/2615 | 12,240,000 | 9,553,320 | ||||||
Communications - 0.1% | ||||||||
Cable One, Inc. | ||||||||
due 03/15/2615 | 5,750,000 | 4,367,125 | ||||||
Total Convertible Bonds | ||||||||
(Cost $15,047,293) | 13,920,445 | |||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 59 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
SENIOR FIXED RATE INTERESTS†† - 0.1% | ||||||||
Consumer, Cyclical - 0.1% | ||||||||
WESCO | ||||||||
5.25% due 06/14/24††† | CAD 3,854,753 | $ | 2,750,527 | |||||
Industrial - 0.0% | ||||||||
Schur Flexibles GmbH | ||||||||
15.00% due 09/30/26 | EUR 400,913 | 389,007 | ||||||
9.50% due 09/30/26 | EUR 229,072 | 224,514 | ||||||
Total Industrial | 613,521 | |||||||
Total Senior Fixed Rate Interests | ||||||||
(Cost $3,569,464) | 3,364,048 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 0.0% | ||||||||
Federal Home Loan Bank | ||||||||
2.50% due 10/03/2217 | 700,000 | 699,944 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $699,903) | 699,944 | |||||||
| Contracts/ | |||||||
LISTED OPTIONS PURCHASED† - 0.8% | ||||||||
Put Options on: | ||||||||
Equity Options | ||||||||
S&P 500 Index Expiring November 2022 with strike price of $3,800.00 (Notional Value $275,734,178) | 769 | 19,467,235 | ||||||
S&P 500 Index Expiring April 2023 with strike price of $4,000.00 (Notional Value $116,174,088) | 324 | 14,968,800 | ||||||
S&P 500 Index Expiring December 2022 with strike price of $3,600.00 (Notional Value $305,494,824) | 852 | 14,812,020 | ||||||
Total Equity Options | 49,248,055 | |||||||
Total Listed Options Purchased | ||||||||
(Cost $31,787,855) | 49,248,055 | |||||||
60 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
OTC OPTIONS PURCHASED†† - 0.1% | ||||||||
Call Options on: | ||||||||
Foreign Exchange Options | ||||||||
J.P. Morgan Securities plc Foreign Exchange EUR/NOK Expiring October 2022 with strike price of EUR 10.14 (Notional Value $11,070,045) | EUR 11,300,000 | $ | 558,317 | |||||
J.P. Morgan Securities plc Foreign Exchange EUR/NOK Expiring October 2022 with strike price of EUR 10.00 (Notional Value $3,869,617) | EUR 3,950,000 | 245,996 | ||||||
Goldman Sachs International Foreign Exchange EUR/NOK Expiring October 2022 with strike price of EUR 10.16 (Notional Value $3,722,670) | EUR 3,800,000 | 183,981 | ||||||
UBS AG Foreign Exchange EUR/AUD Expiring October 2022 with strike price of EUR 1.51 (Notional Value $10,923,097) | EUR 11,150,000 | 140,705 | ||||||
J.P. Morgan Securities plc Foreign Exchange USD/SEK Expiring October 2022 with strike price of $10.86 | USD 4,000,000 | 113,519 | ||||||
Goldman Sachs International Foreign Exchange EUR/AUD Expiring October 2022 with strike price of EUR 1.48 (Notional Value $3,722,670) | EUR 3,800,000 | 109,572 | ||||||
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2022 with strike price of AUD 1.13 (Notional Value $10,930,150) | AUD 17,000,000 | 101,641 | ||||||
J.P. Morgan Securities plc Foreign Exchange EUR/AUD Expiring October 2022 with strike price of EUR 1.50 (Notional Value $3,820,635) | EUR 3,900,000 | 89,998 | ||||||
Bank of America, N.A. Foreign Exchange EUR/CAD Expiring October 2022 with strike price of EUR 1.31 (Notional Value $11,265,975) | EUR 11,500,000 | 81,702 | ||||||
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2022 with strike price of AUD 1.12 (Notional Value $3,857,700) | AUD 6,000,000 | 75,536 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 61 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
UBS AG Foreign Exchange USD/JPY Expiring November 2022 with strike price of $147.70 | USD 11,500,000 | $ | 68,080 | |||||
Deutsche Bank AG Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 10.84 (Notional Value $11,070,045) | EUR 11,300,000 | 67,005 | ||||||
J.P. Morgan Securities plc Foreign Exchange EUR/CAD Expiring October 2022 with strike price of EUR 1.33 (Notional Value $3,673,688) | EUR 3,750,000 | 60,687 | ||||||
Goldman Sachs International Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 10.92 (Notional Value $10,923,097) | EUR 11,150,000 | 57,084 | ||||||
Deutsche Bank AG Foreign Exchange EUR/USD Expiring October 2022 with strike price of EUR 1.01 (Notional Value $11,363,940) | EUR 11,600,000 | 55,315 | ||||||
Bank of America, N.A. Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 10.73 (Notional Value $3,722,670) | EUR 3,800,000 | 50,357 | ||||||
Citibank, N.A. Foreign Exchange EUR/USD Expiring October 2022 with strike price of EUR 0.98 (Notional Value $4,653,338) | EUR 4,750,000 | 45,010 | ||||||
J.P. Morgan Securities plc Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 11.01 (Notional Value $11,265,975) | EUR 11,500,000 | 39,015 | ||||||
Deutsche Bank AG Foreign Exchange NOK/SEK Expiring October 2022 with strike price of NOK 1.07 (Notional Value $10,277,822) | NOK 112,000,000 | 2,898 | ||||||
Barclays Bank plc Foreign Exchange NOK/SEK Expiring October 2022 with strike price of NOK 1.08 (Notional Value $3,578,885) | NOK 39,000,000 | 68 | ||||||
62 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
J.P. Morgan Securities plc Foreign Exchange NOK/SEK Expiring October 2022 with strike price of NOK 1.09 (Notional Value $10,186,056) | NOK 111,000,000 | $ | — | |||||
Total Foreign Exchange Options | $ | 2,146,486 | ||||||
Put Options on: | ||||||||
Foreign Exchange Options | ||||||||
J.P. Morgan Securities plc Foreign Exchange NOK/SEK Expiring October 2022 with strike price of NOK 1.05 (Notional Value $10,186,056) | NOK 111,000,000 | 362,965 | ||||||
Deutsche Bank AG Foreign Exchange NOK/SEK Expiring October 2022 with strike price of NOK 1.04 (Notional Value $10,277,822) | NOK 112,000,000 | 232,617 | ||||||
Barclays Bank plc Foreign Exchange NOK/SEK Expiring October 2022 with strike price of NOK 1.08 (Notional Value $3,578,885) | NOK 39,000,000 | 207,513 | ||||||
Deutsche Bank AG Foreign Exchange EUR/USD Expiring October 2022 with strike price of EUR 0.96 (Notional Value $11,363,940) | EUR 11,600,000 | 84,971 | ||||||
Citibank, N.A. Foreign Exchange EUR/USD Expiring October 2022 with strike price of EUR 0.98 (Notional Value $4,653,338) | EUR 4,750,000 | 58,847 | ||||||
UBS AG Foreign Exchange USD/JPY Expiring November 2022 with strike price of $140.50 | USD 11,500,000 | 58,075 | ||||||
J.P. Morgan Securities plc Foreign Exchange USD/SEK Expiring October 2022 with strike price of $10.86 | USD 4,000,000 | 29,833 | ||||||
J.P. Morgan Securities plc Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 10.72 (Notional Value $11,265,975) | EUR 11,500,000 | 22,627 | ||||||
Bank of America, N.A. Foreign Exchange EUR/CAD Expiring October 2022 with strike price of EUR 1.36 (Notional Value $11,265,975) | EUR 11,500,000 | 18,954 | ||||||
J.P. Morgan Securities plc Foreign Exchange EUR/CAD Expiring October 2022 with strike price of EUR 1.33 (Notional Value $3,673,688) | EUR 3,750,000 | 16,799 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 63 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
J.P. Morgan Securities plc Foreign Exchange EUR/AUD Expiring October 2022 with strike price of EUR 1.50 (Notional Value $3,820,635) | EUR 3,900,000 | $ | 14,588 | |||||
Goldman Sachs International Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 10.64 (Notional Value $10,923,098) | EUR 11,150,000 | 7,802 | ||||||
Goldman Sachs International Foreign Exchange EUR/AUD Expiring October 2022 with strike price of EUR 1.48 (Notional Value $3,722,670) | EUR 3,800,000 | 3,560 | ||||||
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2022 with strike price of AUD 1.12 (Notional Value $3,857,700) | AUD 6,000,000 | 2,354 | ||||||
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2022 with strike price of AUD 1.10 (Notional Value $10,930,150) | AUD 17,000,000 | 1,378 | ||||||
Goldman Sachs International Foreign Exchange EUR/NOK Expiring October 2022 with strike price of EUR 10.16 (Notional Value $3,722,670) | EUR 3,800,000 | 1,260 | ||||||
UBS AG Foreign Exchange EUR/AUD Expiring October 2022 with strike price of EUR 1.45 (Notional Value $10,923,097) | EUR 11,150,000 | 601 | ||||||
Bank of America, N.A. Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 10.73 (Notional Value $3,722,670) | EUR 3,800,000 | 512 | ||||||
Deutsche Bank AG Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 10.56 (Notional Value $11,070,045) | EUR 11,300,000 | 199 | ||||||
J.P. Morgan Securities plc Foreign Exchange EUR/NOK Expiring October 2022 with strike price of EUR 10.00 (Notional Value $3,869,617) | EUR 3,950,000 | 18 | ||||||
64 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
J.P. Morgan Securities plc Foreign Exchange EUR/NOK Expiring October 2022 with strike price of EUR 9.74 (Notional Value $11,070,045) | EUR 11,300,000 | $ | 2 | |||||
Total Foreign Exchange Options | 1,125,475 | |||||||
Total OTC Options Purchased | ||||||||
(Cost $1,825,256) | 3,271,961 | |||||||
OTC INTEREST RATE SWAPTIONS PURCHASED††,18 - 0.6% | ||||||||
Call Swaptions on: | ||||||||
Interest Rate Swaptions | ||||||||
Deutsche Bank AG 5-Year Interest Rate Swap Expiring April 2027 with exercise rate of 2.69% | USD 92,814,000 | 2,883,983 | ||||||
Deutsche Bank AG 5-Year Interest Rate Swap Expiring April 2032 with exercise rate of 2.39% | USD 72,235,000 | 2,184,543 | ||||||
Citibank, N.A. 20-Year Interest Rate Swap Expiring April 2029 with exercise rate of 2.38% | USD 24,141,000 | 2,077,464 | ||||||
Citibank, N.A. 5-Year Interest Rate Swap Expiring April 2027 with exercise rate of 1.60% (Notional Value $75,085,274) | EUR 76,645,000 | 1,487,732 | ||||||
Barclays Bank plc 20-Year Interest Rate Swap Expiring April 2027 with exercise rate of 1.58% (Notional Value $20,930,625) | GBP 18,750,000 | 1,337,648 | ||||||
Total Interest Rate Swaptions | 9,971,370 | |||||||
Put Swaptions on: | ||||||||
Interest Rate Swaptions | ||||||||
Citibank, N.A. 5-Year Interest Rate Swap Expiring April 2027 with exercise rate of 1.60% (Notional Value $75,085,274) | EUR 76,645,000 | 6,864,869 | ||||||
Barclays Bank plc 20-Year Interest Rate Swap Expiring April 2027 with exercise rate of 1.58% (Notional Value $20,930,625) | GBP 18,750,000 | 6,583,089 | ||||||
Deutsche Bank AG 5-Year Interest Rate Swap Expiring April 2027 with exercise rate of 2.69% | USD 92,814,000 | 5,369,141 | ||||||
Deutsche Bank AG 5-Year Interest Rate Swap Expiring April 2032 with exercise rate of 2.39% | USD 72,235,000 | 5,296,719 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 65 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
Citibank, N.A. 20-Year Interest Rate Swap Expiring April 2029 with exercise rate of 2.38% | USD 24,141,000 | $ | 3,929,248 | |||||
Total Interest Rate Swaptions | 28,043,066 | |||||||
Total OTC Interest Rate Swaptions Purchased | ||||||||
(Cost $33,025,782) | 38,014,436 | |||||||
Total Investments - 118.0% | ||||||||
(Cost $8,300,793,515) | 7,263,113,795 | |||||||
LISTED OPTIONS WRITTEN† - (0.2)% | ||||||||
Call Options on: | ||||||||
Equity Options | ||||||||
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $33,825) | 41 | — | ||||||
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $33,000) | 40 | — | ||||||
Total Equity Options | — | |||||||
Put Options on: | ||||||||
Equity Options | ||||||||
S&P 500 Index Expiring December 2022 with strike price of $3,200.00 (Notional Value $305,494,824) | 852 | (5,307,960 | ) | |||||
S&P 500 Index Expiring November 2022 with strike price of $3,400.00 (Notional Value $275,734,178) | 769 | (5,894,385 | ) | |||||
Total Equity Options | (11,202,345 | ) | ||||||
Total Listed Options Written | ||||||||
(Premiums received $8,028,640) | (11,202,345 | ) | ||||||
OTC OPTIONS WRITTEN†† - (0.1)% | ||||||||
Call Options on: | ||||||||
Foreign Exchange Options | ||||||||
Morgan Stanley Capital Services LLC Foreign Exchange EUR/JPY Expiring October 2022 with strike price of EUR 139.46 (Notional Value $2,645,055) | EUR 2,700,000 | (1,188 | ) | |||||
J.P. Morgan Securities plc Foreign Exchange GBP/USD Expiring October 2022 with strike price of GBP 1.18 (Notional Value $2,679,120) | GBP 2,400,000 | (2,750 | ) | |||||
UBS AG Foreign Exchange CAD/JPY Expiring October 2022 with strike price of CAD 109.18 (Notional Value $18,558,277) | CAD 25,500,000 | (3,529 | ) | |||||
66 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
J.P. Morgan Securities plc Foreign Exchange USD/JPY Expiring October 2022 with strike price of $146.42 | USD 2,800,000 | $ | (3,999 | ) | ||||
Deutsche Bank AG Foreign Exchange GBP/CAD Expiring October 2022 with strike price of GBP 1.55 (Notional Value $2,679,120) | GBP 2,400,000 | (4,697 | ) | |||||
Deutsche Bank AG Foreign Exchange EUR/CHF Expiring October 2022 with strike price of EUR 0.98 (Notional Value $18,858,262) | EUR 19,250,000 | (4,721 | ) | |||||
J.P. Morgan Securities plc Foreign Exchange GBP/USD Expiring October 2022 with strike price of GBP 1.17 (Notional Value $3,014,010) | GBP 2,700,000 | (7,398 | ) | |||||
Bank of America, N.A. Foreign Exchange USD/JPY Expiring October 2022 with strike price of $138.65 | USD 2,750,000 | (14,690 | ) | |||||
J.P. Morgan Securities plc Foreign Exchange EUR/GBP Expiring October 2022 with strike price of EUR 0.90 (Notional Value $2,694,037) | EUR 2,750,000 | (14,712 | ) | |||||
BNP Paribas Foreign Exchange USD/CAD Expiring October 2022 with strike price of $1.33 | USD 3,000,000 | (27,942 | ) | |||||
J.P. Morgan Securities plc Foreign Exchange GBP/USD Expiring October 2022 with strike price of GBP 1.15 (Notional Value $18,977,100) | GBP 17,000,000 | (35,411 | ) | |||||
J.P. Morgan Securities plc Foreign Exchange EUR/JPY Expiring October 2022 with strike price of EUR 143.15 (Notional Value $18,613,350) | EUR 19,000,000 | (136,709 | ) | |||||
Citibank, N.A. Foreign Exchange EUR/JPY Expiring October 2022 with strike price of EUR 139.94 (Notional Value $8,033,130) | EUR 8,200,000 | (178,444 | ) | |||||
Deutsche Bank AG Foreign Exchange USD/JPY Expiring October 2022 with strike price of $143.90 | USD 20,300,000 | (179,751 | ) | |||||
Goldman Sachs International Foreign Exchange AUD/NZD Expiring November 2022 with strike price of AUD 1.14 (Notional Value $19,288,500) | AUD 30,000,000 | (185,857 | ) | |||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 67 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
J.P. Morgan Securities plc Foreign Exchange EUR/CHF Expiring October 2022 with strike price of EUR 0.96 (Notional Value $18,907,245) | EUR 19,300,000 | $ | (214,329 | ) | ||||
BNP Paribas Foreign Exchange EUR/GBP Expiring October 2022 with strike price of EUR 0.88 (Notional Value $19,495,035) | EUR 19,900,000 | (259,497 | ) | |||||
Bank of America, N.A. Foreign Exchange USD/CAD Expiring November 2022 with strike price of $1.37 | USD 19,650,000 | (261,659 | ) | |||||
Deutsche Bank AG Foreign Exchange USD/JPY Expiring October 2022 with strike price of $143.20 | USD 22,300,000 | (338,517 | ) | |||||
UBS AG Foreign Exchange GBP/CAD Expiring October 2022 with strike price of GBP 1.48 (Notional Value $9,823,440) | GBP 8,800,000 | (379,895 | ) | |||||
Total Foreign Exchange Options | (2,255,695 | ) | ||||||
Commodity Options | ||||||||
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,800.00 (Notional Value $1,003,200) | 6 | (1,620 | ) | |||||
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,795.00 (Notional Value $1,003,200) | 6 | (1,740 | ) | |||||
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,790.00 (Notional Value $1,003,200) | 6 | (1,920 | ) | |||||
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,735.00 (Notional Value $7,858,400) | 47 | (45,590 | ) | |||||
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,730.00 (Notional Value $7,858,400) | 47 | (50,290 | ) | |||||
68 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,725.00 (Notional Value $7,858,400) | 47 | $ | (55,930 | ) | ||||
Total Commodity Options | (157,090 | ) | ||||||
Put Options on: | ||||||||
Foreign Exchange Options | ||||||||
Deutsche Bank AG Foreign Exchange GBP/CAD Expiring October 2022 with strike price of GBP 1.49 (Notional Value $2,679,120) | GBP 2,400,000 | (586 | ) | |||||
J.P. Morgan Securities plc Foreign Exchange USD/JPY Expiring October 2022 with strike price of $138.75 | USD 2,800,000 | (692 | ) | |||||
BNP Paribas Foreign Exchange USD/CAD Expiring October 2022 with strike price of $1.38 | USD 3,000,000 | (4,094 | ) | |||||
Bank of America, N.A. Foreign Exchange USD/JPY Expiring October 2022 with strike price of $146.48 | USD 2,750,000 | (5,912 | ) | |||||
Morgan Stanley Capital Services LLC Foreign Exchange EUR/JPY Expiring October 2022 with strike price of EUR 147.37 (Notional Value $2,645,055) | EUR 2,700,000 | (10,801 | ) | |||||
J.P. Morgan Securities plc Foreign Exchange EUR/GBP Expiring October 2022 with strike price of EUR 0.87 (Notional Value $2,694,038) | EUR 2,750,000 | (21,346 | ) | |||||
J.P. Morgan Securities plc Foreign Exchange GBP/USD Expiring October 2022 with strike price of GBP 1.12 (Notional Value $2,679,120) | GBP 2,400,000 | (43,208 | ) | |||||
J.P. Morgan Securities plc Foreign Exchange GBP/USD Expiring October 2022 with strike price of GBP 1.11 (Notional Value $3,014,010) | GBP 2,700,000 | (45,648 | ) | |||||
UBS AG Foreign Exchange GBP/CAD Expiring October 2022 with strike price of GBP 1.48 (Notional Value $9,823,440) | GBP 8,800,000 | (48,024 | ) | |||||
Deutsche Bank AG Foreign Exchange USD/JPY Expiring October 2022 with strike price of $143.90 | USD 20,300,000 | (74,134 | ) | |||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 69 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
Citibank, N.A. Foreign Exchange EUR/JPY Expiring October 2022 with strike price of EUR 139.94 (Notional Value $8,033,130) | EUR 8,200,000 | $ | (77,428 | ) | ||||
Deutsche Bank AG Foreign Exchange USD/JPY Expiring October 2022 with strike price of $143.20 | USD 22,300,000 | (128,964 | ) | |||||
J.P. Morgan Securities plc Foreign Exchange EUR/CHF Expiring October 2022 with strike price of EUR 0.96 (Notional Value $18,907,245) | EUR 19,300,000 | (137,295 | ) | |||||
Goldman Sachs International Foreign Exchange AUD/NZD Expiring November 2022 with strike price of AUD 1.14 (Notional Value $19,288,500) | AUD 30,000,000 | (175,398 | ) | |||||
BNP Paribas Foreign Exchange EUR/GBP Expiring October 2022 with strike price of EUR 0.88 (Notional Value $19,495,035) | EUR 19,900,000 | (223,880 | ) | |||||
Bank of America, N.A. Foreign Exchange USD/CAD Expiring November 2022 with strike price of $1.37 | USD 19,650,000 | (250,773 | ) | |||||
J.P. Morgan Securities plc Foreign Exchange EUR/JPY Expiring October 2022 with strike price of EUR 143.15 (Notional Value $18,613,350) | EUR 19,000,000 | (321,057 | ) | |||||
Deutsche Bank AG Foreign Exchange EUR/CHF Expiring October 2022 with strike price of EUR 0.98 (Notional Value $18,858,262) | EUR 19,250,000 | (343,541 | ) | |||||
UBS AG Foreign Exchange GBP/USD Expiring October 2022 with strike price of GBP 1.15 (Notional Value $18,977,100) | GBP 17,000,000 | (664,873 | ) | |||||
UBS AG Foreign Exchange CAD/JPY Expiring October 2022 with strike price of CAD 109.18 (Notional Value $18,558,277) | CAD 25,500,000 | (690,047 | ) | |||||
Total Foreign Exchange Options | (3,267,701 | ) | ||||||
Commodity Options | ||||||||
70 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,660.00 (Notional Value $1,003,200) | 6 | $ | (15,240 | ) | ||||
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,665.00 (Notional Value $1,003,200) | 6 | (16,560 | ) | |||||
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,670.00 (Notional Value $1,003,200) | 6 | (17,940 | ) | |||||
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,725.00 (Notional Value $7,691,200) | 46 | (298,080 | ) | |||||
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,730.00 (Notional Value $7,858,400) | 47 | (322,420 | ) | |||||
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,735.00 (Notional Value $7,858,400) | 47 | (341,220 | ) | |||||
Total Commodity Options | (1,011,460 | ) | ||||||
Total OTC Options Written | ||||||||
(Premiums received $7,002,035) | (6,691,946 | ) | ||||||
OTC INTEREST RATE SWAPTIONS WRITTEN††,18 - 0.0% | ||||||||
Call Swaptions on: | ||||||||
Interest Rate Swaptions | ||||||||
J.P. Morgan Securities plc 5-Year Interest Rate Swap Expiring April 2025 with exercise rate of 2.70% | USD 22,032,000 | (505,628 | ) | |||||
Total Interest Rate Swaptions | (505,628 | ) | ||||||
Put Swaptions on: | ||||||||
Interest Rate Swaptions | ||||||||
J.P. Morgan Securities plc 5-Year Interest Rate Swap Expiring April 2025 with exercise rate of 2.70% | USD 22,032,000 | (1,207,088 | ) | |||||
Total Interest Rate Swaptions | (1,207,088 | ) | ||||||
Total OTC Interest Rate Swaptions Written | ||||||||
(Premiums received $1,546,646) | (1,712,716 | ) | ||||||
Other Assets & Liabilities, net - (17.7)% | (1,087,394,299 | ) | ||||||
Total Net Assets - 100.0% | $ | 6,156,112,489 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 71 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||||
Silver Futures Contracts | 571 | Dec 2022 | $ | 54,273,550 | $ | (33,713 | ) | |||||||||
Gold 100 oz. Futures Contracts | 389 | Dec 2022 | 64,955,220 | (2,997,232 | ) | |||||||||||
| $ | 119,228,770 | $ | (3,030,945 | ) | ||||||||||||
Commodity Futures Contracts Sold Short† | ||||||||||||||||
Gold 100 oz. Futures Contracts | 84 | Dec 2022 | $ | 14,026,320 | $ | 429,981 | ||||||||||
Centrally Cleared Credit Default Swap Agreements Protection Sold†† | |||||||||||
Counterparty | Exchange | Index | Protection | Payment | Maturity | ||||||
J.P. Morgan Securities LLC | ICE | CDX.NA.IG.33.V1 | 1.00 | % | Quarterly | 12/20/24 | |||||
Notional | Value | Upfront | Unrealized | |||||||||||||
| $ | 70,000,000 | $ | 176,466 | $ | 1,100,724 | $ | (924,258 | ) | ||||||||
72 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
Centrally Cleared Interest Rate Swap Agreements†† | ||||||||||||
Counterparty | Exchange | Floating | Floating | Fixed | Payment | Maturity | ||||||
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 Warsaw Interbank Offering Rate | 4.98% | Semi-Annually | 08/01/26 | ||||||
JPM | LCH | Receive | 6-Month Budapest Interbank Offering Rate | 9.08% | Semi-Annually | 07/26/25 | ||||||
JPM | LCH | Pay | U.S. Secured Overnight Financing Rate | 2.69% | Annually | 04/21/32 | ||||||
JPM | LCH | Pay | Sterling Overnight Interbank Average Rate | 1.58% | Annually | 04/12/47 | ||||||
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 2.38% | Annually | 04/16/49 | ||||||
JPM | LCH | Receive | 3-Month Prague Interbank Offering Rate | 6.11% | Quarterly | 07/27/24 | ||||||
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 2.39% | Annually | 04/12/37 | ||||||
Notional | Value | Upfront | Unrealized | |||||||||||||
| 180,000,000 | $ | 29,085,480 | $ | 1,429 | $ | 29,084,051 | ||||||||||
| 23,700,000 | 3,396,620 | 415 | 3,396,205 | |||||||||||||
| PLN | 100,000,000 | 476,301 | 84 | 476,217 | ||||||||||||
| HUF | 18,000,000,000 | 411,828 | 13,527 | 398,301 | ||||||||||||
| 4,024,000 | 83,008 | (126,892 | ) | 209,900 | ||||||||||||
| GBP | 3,094,000 | (663,203 | ) | (767,838 | ) | 104,635 | ||||||||||
| 2,476,000 | 136,430 | 52,097 | 84,333 | |||||||||||||
| CZK | 920,000,000 | 35,463 | (14,117 | ) | 49,580 | |||||||||||
| 3,046,000 | 89,088 | 86,098 | 2,990 | |||||||||||||
| $ | 33,051,015 | $ | (755,197 | ) | $ | 33,806,212 | ||||||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 73 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
Centrally Cleared Interest Rate Swap Agreements†† (continued) | ||||||||||||
Counterparty | Exchange | Floating | Floating | Fixed | Payment | Maturity | ||||||
JPM | LCH | Pay | 3-Month Canadian Bankers Acceptances Rate | 3.40% | Semi-Annually | 07/27/29 | ||||||
JPM | LCH | Pay | Overnight Tokyo Average Rate | 0.51% | Annually | 07/29/32 | ||||||
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 2.70% | Annually | 04/22/30 | ||||||
JPM | LCH | Pay | U.S. Secured Overnight Financing Rate | 2.67% | Annually | 04/19/27 | ||||||
JPM | LCH | Pay | 6-Month EURIBOR | 1.60% | Semi-Annually | 04/12/32 | ||||||
JPM | LCH | Pay | 1D Euro Short Term Rate | 0.92% | Annually | 04/12/27 | ||||||
JPM | LCH | Pay | Sterling Overnight Interbank Average Rate | 0.85% | Annually | 12/03/26 | ||||||
JPM | LCH | Pay | U.S. Secured Overnight Financing Rate | 1.08% | Annually | 12/06/28 | ||||||
JPM | LCH | Pay | U.S. Secured Overnight Financing Rate | 1.23% | Annually | 12/03/31 | ||||||
JPM | CME | Pay | U.S. Secured Overnight Financing Rate | 2.78% | Annually | 07/18/27 | ||||||
Notional | Value | Upfront | Unrealized | |||||||||||||
| CAD | 28,300,000 | $ | 7 | $ | 115 | $ | (108 | ) | ||||||||
| JPY | 995,000,000 | (2,157 | ) | (1,427 | ) | (730 | ) | |||||||||
| 4,094,000 | (98,295 | ) | 67,076 | (165,371 | ) | |||||||||||
| 7,583,000 | (294,766 | ) | 256 | (295,022 | ) | |||||||||||
| EUR | 23,925,000 | (1,516,179 | ) | (1,180,634 | ) | (335,545 | ) | |||||||||
| EUR | 6,017,000 | (426,723 | ) | 1,041 | (427,764 | ) | ||||||||||
| GBP | 4,491,000 | (803,775 | ) | (50,122 | ) | (753,653 | ) | |||||||||
| 6,071,000 | (892,169 | ) | (104,342 | ) | (787,827 | ) | ||||||||||
| 6,975,000 | (1,207,471 | ) | (178,980 | ) | (1,028,491 | ) | ||||||||||
| 664,200,000 | (30,064,362 | ) | 3,101 | (30,067,463 | ) | |||||||||||
| $ | (35,305,890 | ) | $ | (1,443,916 | ) | $ | (33,861,974 | ) | ||||||||
Total interest rate swap agreements | $ | (2,254,875 | ) | $ | (2,199,113 | ) | $ | (55,762 | ) | |||||||
74 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
Forward Foreign Currency Exchange Contracts††
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
Bank of America, N.A. | EUR | Sell | 280,777,000 | 281,195,358 USD | 10/17/22 | $ | 5,748,687 | |||||||||||||||||
Morgan Stanley Capital Services LLC | GBP | Sell | 80,400,000 | 92,672,417 USD | 10/17/22 | 2,857,858 | ||||||||||||||||||
Morgan Stanley Capital Services LLC | CAD | Sell | 55,647,000 | 42,334,334 USD | 10/17/22 | 2,033,880 | ||||||||||||||||||
UBS AG | GBP | Buy | 11,480,000 | 12,388,640 USD | 10/05/22 | 431,764 | ||||||||||||||||||
Deutsche Bank AG | ILS | Sell | 34,485,750 | 10,089,453 USD | 11/30/22 | 353,911 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | NZD | Sell | 13,280,000 | 7,782,944 USD | 10/11/22 | 352,966 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Buy | 8,830,000 | 90,957,983 NOK | 10/11/22 | 303,484 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | JPY | Sell | 2,000,000,000 | 14,075,054 USD | 10/03/22 | 256,028 | ||||||||||||||||||
Deutsche Bank AG | GBP | Buy | 20,510,000 | 22,657,297 USD | 10/05/22 | 247,451 | ||||||||||||||||||
UBS AG | AUD | Sell | 14,814,113 | 9,694,933 USD | 10/11/22 | 217,910 | ||||||||||||||||||
Bank of America, N.A. | USD | Buy | 10,300,000 | 13,925,318 CAD | 10/12/22 | 214,938 | ||||||||||||||||||
Bank of America, N.A. | CAD | Sell | 8,878,583 | 6,642,528 USD | 10/12/22 | 212,438 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | CAD | Sell | 12,000,000 | 8,899,027 USD | 10/19/22 | 208,476 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Sell | 55,668,002 | 54,776,201 USD | 10/06/22 | 207,965 | ||||||||||||||||||
Barclays Bank plc | ILS | Sell | 5,382,450 | 1,706,566 USD | 11/30/22 | 187,067 | ||||||||||||||||||
UBS AG | EUR | Buy | 25,030,000 | 24,388,154 USD | 10/06/22 | 147,358 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Sell | 44,060,000 | 480,866,817 SEK | 10/06/22 | 147,089 | ||||||||||||||||||
Morgan Stanley Capital Services LLC | GBP | Sell | 12,701,792 | 14,321,691 USD | 10/05/22 | 136,837 | ||||||||||||||||||
UBS AG | ILS | Sell | 3,026,363 | 958,280 USD | 11/30/22 | 103,919 | ||||||||||||||||||
UBS AG | EUR | Buy | 12,280,000 | 11,772,204 CHF | 10/06/22 | 102,273 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | GBP | Buy | 3,380,000 | 3,676,152 USD | 10/05/22 | 98,497 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | AUD | Sell | 11,890,000 | 7,701,101 USD | 10/11/22 | 94,718 | ||||||||||||||||||
Citibank, N.A. | NZD | Sell | 1,791,400 | 1,090,855 USD | 10/11/22 | 88,591 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | USD | Buy | 22,820,000 | 3,287,408,294 JPY | 10/13/22 | 85,934 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | USD | Buy | 3,740,000 | 5,050,963 CAD | 10/12/22 | 81,967 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Buy | 10,190,000 | 9,772,186 CHF | 10/06/22 | 81,258 | ||||||||||||||||||
Bank of America, N.A. | USD | Buy | 14,090,000 | 2,009,537,092 JPY | 12/19/22 | 81,242 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | CAD | Sell | 2,245,000 | 1,707,124 USD | 10/07/22 | 81,220 | ||||||||||||||||||
Deutsche Bank AG | NOK | Sell | 25,186,562 | 2,391,561 USD | 10/11/22 | 77,987 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | JPY | Sell | 862,938,546 | 6,041,158 USD | 10/13/22 | 73,508 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | USD | Buy | 8,210,000 | 1,167,968,900 JPY | 12/19/22 | 67,929 | ||||||||||||||||||
Deutsche Bank AG | NZD | Sell | 3,270,000 | 1,890,981 USD | 10/11/22 | 61,461 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | GBP | Buy | 1,195,000 | 1,275,349 USD | 10/17/22 | 59,581 | ||||||||||||||||||
Goldman Sachs International | GBP | Buy | 3,000,000 | 3,291,927 USD | 10/05/22 | 58,353 | ||||||||||||||||||
Deutsche Bank AG | USD | Buy | 2,950,000 | 3,994,064 CAD | 10/12/22 | 57,399 | ||||||||||||||||||
Barclays Bank plc | EUR | Buy | 3,160,000 | 3,047,335 USD | 10/17/22 | 52,675 | ||||||||||||||||||
Bank of America, N.A. | EUR | Buy | 5,120,000 | 4,972,063 USD | 10/06/22 | 46,787 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | CAD | Sell | 10,000,000 | 7,280,749 USD | 10/05/22 | 38,379 | ||||||||||||||||||
Bank of America, N.A. | USD | Buy | 10,560,000 | 1,521,773,900 JPY | 10/13/22 | 36,175 | ||||||||||||||||||
UBS AG | GBP | Buy | 800,000 | 1,186,880 CAD | 10/27/22 | 34,365 | ||||||||||||||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 75 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
Forward Foreign Currency Exchange Contracts†† (continued)
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
UBS AG | CAD | Sell | 1,500,000 | 1,111,764 USD | 10/06/22 | $ | 25,411 | |||||||||||||||||
UBS AG | HUF | Sell | 218,000,000 | 523,351 USD | 11/02/22 | 22,301 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | CAD | Sell | 1,325,000 | 981,599 USD | 10/04/22 | 21,982 | ||||||||||||||||||
Bank of America, N.A. | NZD | Sell | 4,050,000 | 2,287,828 USD | 10/11/22 | 21,909 | ||||||||||||||||||
Bank of America, N.A. | GBP | Buy | 2,390,000 | 2,647,795 USD | 10/05/22 | 21,261 | ||||||||||||||||||
Goldman Sachs International | NZD | Sell | 1,130,000 | 650,735 USD | 10/11/22 | 18,516 | ||||||||||||||||||
Morgan Stanley Capital Services LLC | EUR | Buy | 1,820,000 | 1,766,655 USD | 10/06/22 | 17,389 | ||||||||||||||||||
Deutsche Bank AG | SEK | Sell | 42,302,000 | 3,829,408 USD | 10/06/22 | 17,070 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | CAD | Sell | 975,000 | 722,458 USD | 10/12/22 | 16,339 | ||||||||||||||||||
Morgan Stanley Capital Services LLC | NZD | Sell | 410,000 | 244,992 USD | 10/11/22 | 15,602 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | JPY | Sell | 1,000,000,000 | 6,932,683 USD | 10/20/22 | 12,529 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | CAD | Sell | 400,000 | 301,283 USD | 10/13/22 | 11,594 | ||||||||||||||||||
UBS AG | EUR | Buy | 300,000 | 443,910 AUD | 10/11/22 | 10,196 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | JPY | Sell | 1,000,000,000 | 6,927,870 USD | 10/17/22 | 9,712 | ||||||||||||||||||
Barclays Bank plc | NZD | Sell | 560,000 | 321,902 USD | 10/11/22 | 8,590 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Buy | 800,000 | 775,933 USD | 10/06/22 | 8,263 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Buy | 1,280,000 | 1,229,184 CHF | 10/20/22 | 8,177 | ||||||||||||||||||
Barclays Bank plc | USD | Buy | 1,850,000 | 266,374,655 JPY | 10/13/22 | 7,887 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | CAD | Sell | 780,000 | 572,665 USD | 10/28/22 | 7,792 | ||||||||||||||||||
Citibank, N.A. | EUR | Buy | 600,000 | 84,006,000 JPY | 10/27/22 | 7,305 | ||||||||||||||||||
Goldman Sachs International | AUD | Sell | 620,000 | 402,593 USD | 10/11/22 | 5,961 | ||||||||||||||||||
Barclays Bank plc | AUD | Sell | 400,000 | 261,268 USD | 10/11/22 | 5,377 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | CAD | Sell | 500,000 | 367,097 USD | 10/27/22 | 4,998 | ||||||||||||||||||
Barclays Bank plc | CAD | Sell | 500,000 | 367,099 USD | 10/21/22 | 4,994 | ||||||||||||||||||
Barclays Bank plc | CAD | Sell | 450,000 | 330,389 USD | 10/19/22 | 4,494 | ||||||||||||||||||
Citibank, N.A. | CAD | Sell | 305,000 | 224,957 USD | 10/04/22 | 4,064 | ||||||||||||||||||
Bank of America, N.A. | EUR | Buy | 4,550,000 | 4,461,492 USD | 10/17/22 | 2,130 | ||||||||||||||||||
Goldman Sachs International | USD | Buy | 3,775,000 | 545,726,080 JPY | 10/13/22 | 1,032 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Buy | 320,000 | 3,474,688 SEK | 10/24/22 | 672 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Buy | 40,000 | 39,154 USD | 12/30/22 | 339 | ||||||||||||||||||
Goldman Sachs International | EUR | Sell | 2,090,000 | 2,048,737 USD | 10/06/22 | 27 | ||||||||||||||||||
Goldman Sachs International | NZD | Sell | 2,640,000 | 1,490,612 USD | 10/11/22 | — | ||||||||||||||||||
Goldman Sachs International | USD | Buy | 6,110,000 | 8,439,028 CAD | 10/12/22 | (1,754 | ) | |||||||||||||||||
Deutsche Bank AG | NZD | Buy | 570,000 | 321,251 USD | 10/11/22 | (2,344 | ) | |||||||||||||||||
Morgan Stanley Capital Services LLC | EUR | Sell | 120,000 | 115,202 USD | 10/06/22 | (2,427 | ) | |||||||||||||||||
Citibank, N.A. | EUR | Sell | 560,000 | 546,099 USD | 10/06/22 | (2,838 | ) | |||||||||||||||||
Deutsche Bank AG | USD | Sell | 1,960,000 | 2,700,809 CAD | 10/12/22 | (4,007 | ) | |||||||||||||||||
Deutsche Bank AG | AUD | Buy | 2,380,000 | 1,527,779 USD | 10/11/22 | (5,223 | ) | |||||||||||||||||
JPMorgan Chase Bank, N.A. | USD | Sell | 4,220,000 | 609,329,598 JPY | 10/13/22 | (6,182 | ) | |||||||||||||||||
Bank of America, N.A. | AUD | Buy | 1,950,000 | 1,254,197 USD | 10/11/22 | (6,725 | ) | |||||||||||||||||
76 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
Forward Foreign Currency Exchange Contracts†† (concluded)
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
Citibank, N.A. | NZD | Buy | 420,000 | 241,847 USD | 10/11/22 | $ | (6,863 | ) | ||||||||||||||||
Citibank, N.A. | AUD | Buy | 660,000 | 430,633 USD | 10/11/22 | (8,411 | ) | |||||||||||||||||
Bank of America, N.A. | EUR | Sell | 3,610,000 | 3,478,376 CHF | 10/06/22 | (12,166 | ) | |||||||||||||||||
JPMorgan Chase Bank, N.A. | USD | Sell | 1,110,000 | 1,512,782 CAD | 10/12/22 | (14,405 | ) | |||||||||||||||||
Bank of America, N.A. | USD | Sell | 2,700,000 | 3,698,082 CAD | 11/03/22 | (21,899 | ) | |||||||||||||||||
Deutsche Bank AG | EUR | Buy | 1,500,000 | 1,472,880 CHF | 10/06/22 | (22,898 | ) | |||||||||||||||||
Goldman Sachs International | AUD | Buy | 6,990,000 | 4,496,775 USD | 10/11/22 | (25,067 | ) | |||||||||||||||||
UBS AG | NZD | Buy | 880,000 | 520,705 USD | 10/11/22 | (28,356 | ) | |||||||||||||||||
Deutsche Bank AG | CHF | Buy | 2,900,816 | 2,970,025 USD | 10/06/22 | (29,063 | ) | |||||||||||||||||
Bank of America, N.A. | NZD | Buy | 2,960,000 | 1,686,087 USD | 10/11/22 | (30,007 | ) | |||||||||||||||||
UBS AG | CAD | Buy | 1,300,000 | 142,038,000 JPY | 10/12/22 | (40,677 | ) | |||||||||||||||||
Citibank, N.A. | GBP | Sell | 2,960,000 | 3,261,621 USD | 10/05/22 | (43,988 | ) | |||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Sell | 4,318,000 | 4,216,289 USD | 12/30/22 | (46,976 | ) | |||||||||||||||||
Goldman Sachs International | NZD | Buy | 1,790,000 | 1,052,620 USD | 10/11/22 | (51,138 | ) | |||||||||||||||||
UBS AG | GBP | Buy | 1,500,000 | 1,731,450 USD | 10/11/22 | (56,058 | ) | |||||||||||||||||
Barclays Bank plc | NZD | Buy | 1,470,000 | 882,351 USD | 10/11/22 | (59,906 | ) | |||||||||||||||||
Morgan Stanley Capital Services LLC | CHF | Buy | 8,835,875 | 9,018,789 USD | 10/06/22 | (60,629 | ) | |||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Buy | 71,180,000 | 775,102,177 SEK | 10/06/22 | (79,928 | ) | |||||||||||||||||
Morgan Stanley Capital Services LLC | NZD | Buy | 2,360,000 | 1,407,580 USD | 10/11/22 | (87,194 | ) | |||||||||||||||||
UBS AG | EUR | Sell | 18,640,000 | 18,161,872 USD | 10/06/22 | (109,879 | ) | |||||||||||||||||
JPMorgan Chase Bank, N.A. | USD | Sell | 8,978,000 | 1,270,941,634 JPY | 12/19/22 | (118,092 | ) | |||||||||||||||||
Deutsche Bank AG | EUR | Sell | 22,490,000 | 21,925,021 USD | 10/06/22 | (120,671 | ) | |||||||||||||||||
UBS AG | GBP | Sell | 3,290,000 | 3,513,657 USD | 10/05/22 | (160,483 | ) | |||||||||||||||||
JPMorgan Chase Bank, N.A. | AUD | Buy | 26,230,000 | 16,975,127 USD | 10/11/22 | (195,022 | ) | |||||||||||||||||
JPMorgan Chase Bank, N.A. | SEK | Buy | 267,979,369 | 24,357,123 USD | 10/06/22 | (206,303 | ) | |||||||||||||||||
Bank of America, N.A. | USD | Sell | 20,232,000 | 2,863,660,594 JPY | 12/19/22 | (269,029 | ) | |||||||||||||||||
UBS AG | EUR | Sell | 19,460,000 | 18,492,249 CHF | 10/06/22 | (327,378 | ) | |||||||||||||||||
Deutsche Bank AG | GBP | Sell | 9,830,000 | 10,578,524 USD | 10/05/22 | (399,227 | ) | |||||||||||||||||
JPMorgan Chase Bank, N.A. | GBP | Sell | 22,230,000 | 24,273,857 USD | 10/05/22 | (551,719 | ) | |||||||||||||||||
UBS AG | NOK | Buy | 129,162,290 | 12,426,596 USD | 10/11/22 | (562,075 | ) | |||||||||||||||||
JPMorgan Chase Bank, N.A. | JPY | Buy | 5,010,462,651 | 35,377,461 USD | 10/13/22 | (727,617 | ) | |||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Sell | 40,080,000 | 417,307,261 NOK | 10/11/22 | (969,458 | ) | |||||||||||||||||
JPMorgan Chase Bank, N.A. | NZD | Buy | 31,520,000 | 18,642,143 USD | 10/11/22 | (1,007,134 | ) | |||||||||||||||||
| $ | 9,673,022 | |||||||||||||||||||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 77 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
OTC Interest Rate Swaptions Purchased | |||||||||||||||||||||||
Counterparty/ | Floating | Floating | Payment | Fixed | Expiration | Exercise | Swaption | Swaption | |||||||||||||||
Call | |||||||||||||||||||||||
Deutsche Bank AG 5-Year Interest Rate Swap | Pay | SOFR | Annual | 2.69% | 04/19/27 | 2.69% | $ | 92,814,000 | $ | 2,883,983 | |||||||||||||
Deutsche Bank AG 5-Year Interest Rate Swap | Pay | SOFR | Annual | 2.39% | 04/08/32 | 2.39% | 72,235,000 | 2,184,543 | |||||||||||||||
Citibank, N.A. 20-Year Interest Rate Swap | Pay | SOFR | Annual | 2.38% | 04/12/29 | 2.38% | 24,141,000 | 2,077,464 | |||||||||||||||
Citibank, N.A. 5-Year Interest Rate Swap | Pay | 6 Month EURIBOR | Semi-annual | 1.60% | 04/08/27 | 1.60% | 75,085,274 | 1,487,732 | |||||||||||||||
Barclays Bank plc 20-Year Interest Rate Swap | Pay | SONIA | Annual | 1.58% | 04/12/27 | 1.58% | 20,930,625 | 1,337,648 | |||||||||||||||
| $ | 9,971,370 | ||||||||||||||||||||||
Put | |||||||||||||||||||||||
Citibank, N.A. 5-Year Interest Rate Swap | Receive | 6 Month EURIBOR | Semi-annual | 1.60% | 04/08/27 | 1.60% | 75,085,274 | 6,864,869 | |||||||||||||||
Barclays Bank plc 20-Year Interest Rate Swap | Receive | SONIA | Annual | 1.58% | 04/12/27 | 1.58% | 20,930,625 | 6,583,089 | |||||||||||||||
Deutsche Bank AG 5-Year Interest Rate Swap | Receive | SOFR | Annual | 2.69% | 04/19/27 | 2.69% | 92,814,000 | 5,369,141 | |||||||||||||||
Deutsche Bank AG 5-Year Interest Rate Swap | Receive | SOFR | Annual | 2.39% | 04/08/32 | 2.39% | 72,235,000 | 5,296,719 | |||||||||||||||
Citibank, N.A. 20-Year Interest Rate Swap | Receive | SOFR | Annual | 2.38% | 04/12/29 | 2.38% | 24,141,000 | 3,929,248 | |||||||||||||||
| $ | 28,043,066 | ||||||||||||||||||||||
78 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
OTC Interest Rate Swaptions Written | |||||||||||||||||||||||
Counterparty/ | Floating | Floating | Payment | Fixed | Expiration | Exercise | Swaption | Swaption | |||||||||||||||
Call | |||||||||||||||||||||||
J.P. Morgan Securities plc 5-Year Interest Rate Swap | Receive | SOFR | Annual | 2.70% | 04/17/25 | 2.70% | $ | 22,032,000 | $ | (505,628 | ) | ||||||||||||
Put | |||||||||||||||||||||||
J.P. Morgan Securities plc 5-Year Interest Rate Swap | Pay | SOFR | Annual | 2.70% | 04/17/25 | 2.70% | 22,032,000 | (1,207,088 | ) | ||||||||||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 79 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 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 September 30, 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 | All or a portion of this security is pledged as listed options collateral at September 30, 2022. |
3 | Affiliated issuer. |
4 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2022, the total market value of segregated or earmarked securities was $725,529,402 — See Note 6. |
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 $2,631,428,890 (cost $3,089,023,944), or 42.7% of total net assets. |
6 | Rate indicated is the 7-day yield as of September 30, 2022. |
7 | Perpetual maturity. |
8 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
9 | Security is in default of interest and/or principal obligations. |
10 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $40,388,591 (cost $48,365,418), or 0.7% of total net assets — See Note 10. |
11 | Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2022. See table below for additional step information for each security. |
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 | Zero coupon rate security. |
16 | Security is a principal-only strip. |
17 | Rate indicated is the effective yield at the time of purchase. |
18 | Swaptions - See additional disclosure in the swaptions table above for more information on swaptions. |
19 | Security is unsettled at period end and does not have a stated effective rate. |
AUD — Australian Dollar | |
CAD — Canadian Dollar | |
CDX.NA.IG.33.V1 — Credit Default Swap North American Investment Grade Series 33 Index Version 1 | |
CHF — Swiss Franc | |
CME — Chicago Mercantile Exchange | |
CMT — Constant Maturity Treasury | |
CZK — Czech Koruna | |
EUR — Euro |
80 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
EURIBOR — European Interbank Offered Rate | |
GBP — British Pound | |
HUF — Hungarian Forint | |
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 | |
PLN — Poland Zloty | |
PPV — Public-Private Venture | |
REMIC — Real Estate Mortgage Investment Conduit | |
SARL — Société à Responsabilité Limitée | |
SEK — Swedish Krona | |
SOFR — Secured Overnight Financing Rate | |
SONIA — Sterling Overnight Index Average | |
WAC — Weighted Average Coupon | |
See Sector Classification in Other Information section. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 81 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2022 (See Note 4 in the Notes to Consolidated Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 117,868,023 | $ | 15,613,300 | $ | 801,687 | $ | 134,283,010 | ||||||||
Preferred Stocks | — | 421,585,106 | — | * | 421,585,106 | |||||||||||
Warrants | 415,340 | — | 76 | 415,416 | ||||||||||||
Rights | 3,683 | — | — | 3,683 | ||||||||||||
Exchange-Traded Funds | 34,505,831 | — | — | 34,505,831 | ||||||||||||
Mutual Funds | 173,558,669 | — | — | 173,558,669 | ||||||||||||
Closed-End Funds | 58,606,896 | — | — | 58,606,896 | ||||||||||||
Money Market Funds | 41,520,713 | — | — | 41,520,713 | ||||||||||||
Corporate Bonds | — | 2,012,142,353 | 127,361,189 | 2,139,503,542 | ||||||||||||
Senior Floating Rate Interests | — | 1,270,886,394 | 468,693,415 | 1,739,579,809 | ||||||||||||
Asset-Backed Securities | — | 1,023,977,652 | 207,143,109 | 1,231,120,761 | ||||||||||||
Collateralized Mortgage Obligations | — | 928,359,491 | 46,238,951 | 974,598,442 | ||||||||||||
U.S. Government Securities | — | 128,125,785 | — | 128,125,785 | ||||||||||||
Foreign Government Debt | — | 61,933,375 | — | 61,933,375 | ||||||||||||
U.S. Treasury Bills | — | 15,253,868 | — | 15,253,868 | ||||||||||||
Convertible Bonds | — | 13,920,445 | — | 13,920,445 | ||||||||||||
Senior Fixed Rate Interests | — | 613,521 | 2,750,527 | 3,364,048 | ||||||||||||
Federal Agency Discount Notes | — | 699,944 | — | 699,944 | ||||||||||||
Options Purchased | 49,248,055 | 3,271,961 | — | 52,520,016 | ||||||||||||
Interest Rate Swaptions Purchased | — | 38,014,436 | — | 38,014,436 | ||||||||||||
Commodity Futures Contracts** | 429,981 | — | — | 429,981 | ||||||||||||
Interest Rate Swap Agreements** | — | 33,806,212 | — | 33,806,212 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 16,154,238 | — | 16,154,238 | ||||||||||||
Total Assets | $ | 476,157,191 | $ | 5,984,358,081 | $ | 852,988,954 | $ | 7,313,504,226 | ||||||||
82 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Options Written | $ | 11,202,345 | $ | 6,691,946 | $ | — | $ | 17,894,291 | ||||||||
Interest Rate Swaptions Written | — | 1,712,716 | — | 1,712,716 | ||||||||||||
Commodity Futures Contracts** | 3,030,945 | — | — | 3,030,945 | ||||||||||||
Credit Default Swap Agreements** | — | 924,258 | — | 924,258 | ||||||||||||
Interest Rate Swap Agreements** | — | 33,861,974 | — | 33,861,974 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 6,481,216 | — | 6,481,216 | ||||||||||||
Unfunded Loan Commitments (Note 9) | — | — | 2,356,646 | 2,356,646 | ||||||||||||
Total Liabilities | $ | 14,233,290 | $ | 49,672,110 | $ | 2,356,646 | $ | 66,262,046 | ||||||||
* | 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 $672,053,602 are categorized as Level 2 within the disclosure hierarchy — See Note 6.
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category | Ending | Valuation | Unobservable | Input | Weighted | |||||||||
Assets: | ||||||||||||||
Asset-Backed Securities | $ | 96,909,685 | Yield Analysis | Yield | 6.4%-8.7% | 7.6% | ||||||||
Asset-Backed Securities | 89,477,056 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||||
Asset-Backed Securities | 20,752,945 | Third Party Pricing | Broker Quote | — | — | |||||||||
Asset-Backed Securities | 3,423 | Model Price | Purchase Price | — | — | |||||||||
Collateralized Mortgage Obligations | 32,195,688 | Model Price | Market Comparable Yields | 6.9% | — | |||||||||
Collateralized Mortgage Obligations | 14,043,263 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||||
Common Stocks | 800,820 | Enterprise Value | Valuation Multiple | 2.6x-16.0x | 7.7x | |||||||||
Common Stocks | 867 | Model Price | Liquidation Value | — | — | |||||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 83 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
Category | Ending | Valuation | Unobservable | Input | Weighted | |||||||||
Corporate Bonds | $ | 90,715,526 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | ||||||||
Corporate Bonds | 22,220,000 | Yield Analysis | Yield | 5.9% | — | |||||||||
Corporate Bonds | 10,595,135 | Option adjusted spread off Third Party Pricing | Trade Price | — | — | |||||||||
Corporate Bonds | 2,205,653 | Third Party Pricing | Vendor Price | — | — | |||||||||
Corporate Bonds | 1,624,875 | Model Price | Purchase Price | — | — | |||||||||
Senior Fixed Rate Interests | 2,750,527 | Yield Analysis | Yield | 8.0% | — | |||||||||
Senior Floating Rate Interests | 285,788,068 | Third Party Pricing | Broker Quote | — | — | |||||||||
Senior Floating Rate Interests | 127,383,507 | Yield Analysis | Yield | 7.5%-12.2% | 9.8% | |||||||||
Senior Floating Rate Interests | 19,608,365 | Model Price | Market Comparable Yields | 10.4%-11.7% | 10.7% | |||||||||
Senior Floating Rate Interests | 18,559,871 | Model Price | Purchase Price | — | — | |||||||||
Senior Floating Rate Interests | 14,553,000 | Third Party Pricing | Trade Price | — | — | |||||||||
Senior Floating Rate Interests | 9,137,821 | Third Party Pricing | Vendor Price | — | — | |||||||||
Warrants | 76 | Model Price | Liquidation Value | — | — | |||||||||
Total Assets | $ | 859,326,171 |
|
|
|
| ||||||||
Liabilities: | ||||||||||||||
Unfunded Loan Commitments | $ | 2,356,646 | 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.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $208,100,542 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $46,026,288 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.
84 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 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 year ended September 30, 2022:
Assets | ||||||||||||||||||||
| Asset- | Collateralized | Corporate | Senior | Warrants | |||||||||||||||
Beginning Balance | $ | 134,755,864 | $ | 33,621,388 | $ | 132,694,814 | $ | 202,766,682 | $ | — | ||||||||||
Purchases/(Receipts) | 62,475,307 | — | 78,264,090 | 206,748,573 | — | |||||||||||||||
(Sales, maturities and paydowns)/Fundings | (12,349,162 | ) | (22,382,728 | ) | (42,863,877 | ) | (32,418,795 | ) | — | |||||||||||
Amortization of premiums/discounts | 240,799 | (22,214 | ) | 1,730,058 | 1,597,118 | — | ||||||||||||||
Total realized gains (losses) included in earnings | (1,435,657 | ) | (10,469 | ) | (57,499 | ) | 32,479 | — | ||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | (12,421,433 | ) | (2,361,987 | ) | (15,115,281 | ) | (19,797,148 | ) | — | |||||||||||
Transfers into Level 3 | 35,877,391 | 37,394,961 | — | 134,827,428 | 76 | |||||||||||||||
Transfers out of Level 3 | — | — | (27,291,116 | ) | (18,725,705 | ) | — | |||||||||||||
Ending Balance | $ | 207,143,109 | $ | 46,238,951 | $ | 127,361,189 | $ | 475,030,632 | $ | 76 | ||||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022 | $ | (14,112,940 | ) | $ | (2,372,506 | ) | $ | (9,589,873 | ) | $ | (17,016,035 | ) | $ | — | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 85 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
MACRO OPPORTUNITIES FUND |
Assets | Liabilities | |||||||||||||||
| Common | Senior | Total Assets | Unfunded | ||||||||||||
Beginning Balance | $ | 1,167,187 | $ | 3,044,928 | $ | 508,050,863 | $ | (3,698,361 | ) | |||||||
Purchases/(Receipts) | (101 | ) | — | 347,487,869 | (1,862,404 | ) | ||||||||||
(Sales, maturities and paydowns)/Fundings | (826 | ) | (7,663 | ) | (110,023,051 | ) | 3,251,868 | |||||||||
Amortization of premiums/discounts | — | 2,689 | 3,548,450 | 232,545 | ||||||||||||
Total realized gains (losses) included in earnings | (6,599 | ) | 62 | (1,477,683 | ) | (127,631 | ) | |||||||||
Total change in unrealized appreciation (depreciation) included in earnings | (349,193 | ) | (289,489 | ) | (50,334,531 | ) | (152,663 | ) | ||||||||
Transfers into Level 3 | 686 | — | 208,100,542 | — | ||||||||||||
Transfers out of Level 3 | (9,467 | ) | — | (46,026,288 | ) | — | ||||||||||
Ending Balance | $ | 801,687 | $ | 2,750,527 | $ | 859,326,171 | $ | (2,356,646 | ) | |||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022 | $ | (249,532 | ) | $ | (289,489 | ) | $ | (43,630,375 | ) | $ | 24,152 | |||||
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 Rate | Future Reset | Future Reset | ||||||||||||
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70 | 6.13 | % | 01/30/25 | — | — | |||||||||||
Citigroup Mortgage Loan Trust 2022-A, 6.17% due 09/25/62 | 9.17 | % | 09/25/25 | 10.17 | % | 09/25/26 | ||||||||||
GAIA Aviation Ltd. 2019-1, 3.97% due 12/15/44 | 2.00 | % | 11/15/26 | — | — | |||||||||||
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62 | 8.25 | % | 07/01/25 | 9.25 | % | 07/01/26 | ||||||||||
OBX Trust 2022-NQM8, 6.10% due 09/25/62 | 7.10 | % | 10/01/26 | — | — | |||||||||||
Platinum for Belize Blue Investment | 10/21/23 - | |||||||||||||||
Company LLC, 1.60% due 10/20/40 | 2.10 | % | 10/21/22 | 3.60% - 4.47% | 10/21/25 | |||||||||||
86 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (concluded) | September 30, 2022 |
MACRO OPPORTUNITIES 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 year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | ||||||||||||
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 | 13,574,919 | — | — | ||||||||||||
Guggenheim Strategy Fund II | 17,552,529 | 1,210,789 | — | — | ||||||||||||
Guggenheim Strategy Fund III | 15,636,354 | 2,653,059 | — | — | ||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 46,880,462 | 700,367 | — | — | ||||||||||||
| $ | 177,872,137 | $ | 18,351,836 | $ | — | $ | — | |||||||||
Security Name | Change in | Value | Shares | Investment | Capital Gain | |||||||||||||||
Common Stocks | ||||||||||||||||||||
BP Holdco LLC* | $ | (3,702 | ) | $ | 22,763 | 37,539 | $ | — | $ | — | ||||||||||
Targus Group International Equity, Inc.* | 1,018 | 32,125 | 12,773 | — | — | |||||||||||||||
Mutual Funds | ||||||||||||||||||||
Guggenheim Alpha Opportunity Fund — Institutional Class | (1,886,707 | ) | 24,848,949 | 1,010,531 | 212,702 | — | ||||||||||||||
Guggenheim Risk Managed Real Estate Fund — Institutional Class | (17,400,174 | ) | 67,397,011 | 2,255,589 | 1,464,428 | 3,660,423 | ||||||||||||||
Guggenheim Strategy Fund II | (747,433 | ) | 18,015,885 | 751,601 | 365,409 | — | ||||||||||||||
Guggenheim Strategy Fund III | (776,486 | ) | 17,512,927 | 729,098 | 357,091 | — | ||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | (1,796,932 | ) | 45,783,897 | 4,774,129 | 692,697 | — | ||||||||||||||
| $ | (22,610,416 | ) | $ | 173,613,557 | $ | 3,092,327 | $ | 3,660,423 | ||||||||||||
* | Non-income producing security. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 87 |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES |
MACRO OPPORTUNITIES FUND |
September 30, 2022
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $8,116,461,181) | $ | 7,089,500,238 | ||
Investments in affiliated issuers, at value (cost $184,332,334) | 173,613,557 | |||
Foreign currency, at value (cost $7,181,597) | 7,184,327 | |||
Cash | 16,314,399 | |||
Segregated cash with broker | 7,211,350 | |||
Unamortized upfront premiums paid on credit default swap agreements | 1,100,724 | |||
Unamortized upfront premiums paid on interest rate swap agreements | 225,239 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 16,154,238 | |||
Prepaid expenses | 192,906 | |||
Receivables: | ||||
Securities sold | 424,338,725 | |||
Interest | 57,399,497 | |||
Fund shares sold | 8,216,950 | |||
Dividends | 1,043,584 | |||
Variation margin on futures contracts | 887,390 | |||
Swap settlement | 303,021 | |||
Foreign tax reclaims | 26,649 | |||
Protection fees on credit default swap agreements | 21,389 | |||
Variation margin on credit default swap agreements | 2,539 | |||
Total assets | 7,803,736,722 | |||
Liabilities: | ||||
Unfunded loan commitments, at value (Note 9) (commitment fees received $2,938,452) | $ | 2,356,646 | ||
Reverse repurchase agreements (Note 6) | 672,053,602 | |||
Options written, at value (premiums received $16,577,321) | 19,607,007 | |||
Segregated cash due to broker | 41,061,894 | |||
Unamortized upfront premiums received on interest rate swap agreements | 2,424,352 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 6,481,216 | |||
Payable for: | ||||
Securities purchased | 859,336,585 | |||
Fund shares redeemed | 34,195,370 | |||
Management fees | 3,988,983 | |||
Distributions to shareholders | 2,262,961 | |||
Transfer agent/maintenance fees | 912,476 | |||
Variation margin on interest rate swap agreements | 397,448 | |||
Distribution and service fees | 229,277 | |||
Fund accounting/administration fees | 51,980 | |||
Due to Investment Adviser | 13,166 | |||
Trustees’ fees* | 2,384 | |||
Miscellaneous | 2,248,886 | |||
Total liabilities | 1,647,624,233 | |||
Net assets | $ | 6,156,112,489 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
88 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (concluded) |
MACRO OPPORTUNITIES FUND |
September 30, 2022
Net assets consist of: | ||||
Paid in capital | $ | 7,288,591,502 | ||
Total distributable earnings (loss) | (1,132,479,013 | ) | ||
Net assets | $ | 6,156,112,489 | ||
A-Class: | ||||
Net assets | $ | 327,392,888 | ||
Capital shares outstanding | 14,012,322 | |||
Net asset value per share | $ | 23.36 | ||
Maximum offering price per share (Net asset value divided by 96.00%) | $ | 24.33 | ||
C-Class: | ||||
Net assets | $ | 145,468,746 | ||
Capital shares outstanding | 6,230,448 | |||
Net asset value per share | $ | 23.35 | ||
P-Class: | ||||
Net assets | $ | 161,232,245 | ||
Capital shares outstanding | 6,897,610 | |||
Net asset value per share | $ | 23.38 | ||
Institutional Class: | ||||
Net assets | $ | 5,397,130,878 | ||
Capital shares outstanding | 230,666,503 | |||
Net asset value per share | $ | 23.40 | ||
R6-Class: | ||||
Net assets | $ | 124,887,732 | ||
Capital shares outstanding | 5,339,214 | |||
Net asset value per share | $ | 23.39 | ||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 89 |
CONSOLIDATED STATEMENT OF OPERATIONS |
MACRO OPPORTUNITIES FUND |
Year Ended September 30, 2022
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 17,673,044 | ||
Dividends from securities of affiliated issuers | 3,092,327 | |||
Interest from securities of unaffiliated issuers (net of foreign withholding tax of $24,448) | 345,298,119 | |||
Total investment income | 366,063,490 | |||
Expenses: | ||||
Management fees | 66,611,239 | |||
Distribution and service fees: | ||||
A-Class | 982,746 | |||
C-Class | 1,828,019 | |||
P-Class | 460,055 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 410,653 | |||
C-Class | 179,283 | |||
P-Class | 269,283 | |||
Institutional Class | 5,948,054 | |||
R6-Class | 7,506 | |||
Fund accounting/administration fees | 4,556,515 | |||
Interest expense | 2,774,332 | |||
Professional fees | 608,171 | |||
Line of credit fees | 469,859 | |||
Custodian fees | 161,073 | |||
Trustees’ fees* | 47,819 | |||
Miscellaneous | 1,007,965 | |||
Recoupment of previously waived fees: | ||||
A-Class | 225,244 | |||
C-Class | 116,102 | |||
P-Class | 93,697 | |||
R6-Class | 122 | |||
Total expenses | 86,757,737 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (39,991 | ) | ||
C-Class | (18,242 | ) | ||
P-Class | (82,405 | ) | ||
Institutional Class | (6,364,004 | ) | ||
R6-Class | (18,144 | ) | ||
Expenses waived by Adviser | (2,698,849 | ) | ||
Earnings credits applied | (21,367 | ) | ||
Total waived/reimbursed expenses | (9,243,002 | ) | ||
Net expenses | 77,514,735 | |||
Net investment income | 288,548,755 | |||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
90 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENT OF OPERATIONS (concluded) |
MACRO OPPORTUNITIES FUND |
Year Ended September 30, 2022
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | $ | (46,636,319 | ) | |
Distributions received from affiliated investment companies | 3,660,423 | |||
Investments sold short | 245,563 | |||
Swap agreements | (4,777,275 | ) | ||
Futures contracts | (32,318,900 | ) | ||
Options purchased | 8,074,027 | |||
Options written | 35,015,405 | |||
Forward foreign currency exchange contracts | 82,184,788 | |||
Foreign currency transactions | (17,053,602 | ) | ||
Net realized gain | 28,394,110 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (1,135,880,788 | ) | ||
Investments in affiliated issuers | (22,610,416 | ) | ||
Investments sold short | (258,791 | ) | ||
Swap agreements | 1,482,273 | |||
Futures contracts | 6,617,671 | |||
Options purchased | 13,830,043 | |||
Options written | (4,543,650 | ) | ||
Forward foreign currency exchange contracts | (4,423,740 | ) | ||
Foreign currency translations | 1,040,996 | |||
Net change in unrealized appreciation (depreciation) | (1,144,746,402 | ) | ||
Net realized and unrealized loss | (1,116,352,292 | ) | ||
Net decrease in net assets resulting from operations | $ | (827,803,537 | ) | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 91 |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS | |
MACRO OPPORTUNITIES FUND | |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 288,548,755 | $ | 239,774,083 | ||||
Net realized gain on investments | 28,394,110 | 137,673,804 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (1,144,746,402 | ) | 43,672,282 | |||||
Net increase (decrease) in net assets resulting from operations | (827,803,537 | ) | 421,120,169 | |||||
Distributions to shareholders: | ||||||||
A-Class | (14,450,678 | ) | (14,764,867 | ) | ||||
C-Class | (5,329,080 | ) | (6,958,834 | ) | ||||
P-Class | (6,862,970 | ) | (4,838,625 | ) | ||||
Institutional Class | (271,453,423 | ) | (238,591,049 | ) | ||||
R6-Class | (6,954,612 | ) | (6,773,294 | ) | ||||
Total distributions to shareholders | (305,050,763 | ) | (271,926,669 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 126,958,094 | 235,685,397 | ||||||
C-Class | 17,647,591 | 45,952,659 | ||||||
P-Class | 141,236,656 | 95,919,416 | ||||||
Institutional Class | 2,865,859,194 | 3,976,890,531 | ||||||
R6-Class | 39,129,088 | 71,972,977 | ||||||
Distributions reinvested | ||||||||
A-Class | 12,395,501 | 12,141,681 | ||||||
C-Class | 4,714,100 | 6,099,243 | ||||||
P-Class | 6,862,970 | 4,835,559 | ||||||
Institutional Class | 236,975,014 | 208,271,783 | ||||||
R6-Class | 6,954,612 | 6,770,877 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (190,135,392 | ) | (135,116,396 | ) | ||||
C-Class | (58,112,906 | ) | (71,617,733 | ) | ||||
P-Class | (120,265,759 | ) | (39,880,927 | ) | ||||
Institutional Class | (3,617,935,972 | ) | (1,501,457,579 | ) | ||||
R6-Class | (92,877,977 | ) | (22,498,771 | ) | ||||
Net increase (decrease) from capital share transactions | (620,595,186 | ) | 2,893,968,717 | |||||
Net increase (decrease) in net assets | (1,753,449,486 | ) | 3,043,162,217 | |||||
Net assets: | ||||||||
Beginning of year | 7,909,561,975 | 4,866,399,758 | ||||||
End of year | $ | 6,156,112,489 | $ | 7,909,561,975 | ||||
92 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (concluded) | |
MACRO OPPORTUNITIES FUND | |
| Year Ended | Year Ended | ||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 4,889,782 | 8,625,070 | ||||||
C-Class | 674,828 | 1,685,027 | ||||||
P-Class | 5,424,419 | 3,504,866 | ||||||
Institutional Class | 110,104,278 | 145,580,629 | ||||||
R6-Class | 1,482,039 | 2,630,538 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 488,657 | 446,031 | ||||||
C-Class | 186,340 | 224,373 | ||||||
P-Class | 273,119 | 177,495 | ||||||
Institutional Class | 9,317,790 | 7,636,796 | ||||||
R6-Class | 273,699 | 248,502 | ||||||
Shares redeemed | ||||||||
A-Class | (7,374,841 | ) | (4,959,407 | ) | ||||
C-Class | (2,275,909 | ) | (2,626,829 | ) | ||||
P-Class | (4,789,373 | ) | (1,476,585 | ) | ||||
Institutional Class | (142,390,344 | ) | (55,109,331 | ) | ||||
R6-Class | (3,655,968 | ) | (829,134 | ) | ||||
Net increase (decrease) in shares | (27,371,484 | ) | 105,758,041 | |||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 93 |
CONSOLIDATED STATEMENT OF CASH FLOWS | |
MACRO OPPORTUNITIES FUND | |
Year Ended September 30, 2022
Cash Flows from Operating Activities: | ||||
Net decrease in net assets resulting from operations | $ | (827,803,537 | ) | |
Adjustments to Reconcile Net Decrease in Net Assets Resulting from Operations to | ||||
Net Cash Provided by Operating and Investing Activities: | ||||
Net change in unrealized (appreciation) depreciation on investments | 1,158,749,995 | |||
Net change in unrealized (appreciation) depreciation on options purchased | (13,830,043 | ) | ||
Net change in unrealized (appreciation) depreciation on options written | 4,543,650 | |||
Net change in unrealized (appreciation) depreciation on forward foreign currency exchange contracts | 4,423,740 | |||
Net realized loss on investments | 42,730,333 | |||
Net realized gain on options purchased | (8,074,027 | ) | ||
Net realized gain on options written | (35,015,405 | ) | ||
Net accretion of bond discount and amortization of bond premium | (46,638,047 | ) | ||
Purchase of long-term investments | (2,540,481,824 | ) | ||
Proceeds from sale of long-term investments | 1,671,629,998 | |||
Net proceeds from sale of short-term investments | 518,698,170 | |||
Return of capital distributions received from investments | 3,288,084 | |||
Corporate actions and other payments | 4,570,102 | |||
Premiums received on options written | 71,863,535 | |||
Cost of closing options written | (34,080,430 | ) | ||
Commitment fees received and repayments of unfunded commitments | (1,390,119 | ) | ||
Decrease in segregated cash with broker | 38,597,883 | |||
Increase in unamortized upfront premiums paid on credit default swap agreements | (1,100,724 | ) | ||
Increase in unamortized upfront premiums paid on interest rate swap agreements | (28,058 | ) | ||
Increase in prepaid expenses | (49,347 | ) | ||
Decrease in securities sold receivable | 296,489,577 | |||
Increase in interest receivable | (13,944,907 | ) | ||
Increase in dividends receivable | (496,631 | ) | ||
Decrease in variation margin on futures contracts receivable | 2,252,690 | |||
Increase in swap settlement receivable | (269,464 | ) | ||
Increase in foreign tax reclaims receivable | (26,649 | ) | ||
Increase in protection fees on credit default swap agreements receivable | (21,389 | ) | ||
Decrease in variation margin on credit default swap agreements receivable | 271,247 | |||
Decrease in amortized upfront premiums received on credit default swap agreements | (16,110,272 | ) | ||
Increase in segregated cash due to broker | 4,658,293 | |||
Increase in unamortized upfront premiums received on interest rate swap agreements | 2,240,253 | |||
Decrease in securities purchased payable | (164,622,811 | ) | ||
Decrease in management fees payable | (283,971 | ) | ||
Increase in transfer agent/maintenance fees payable | 455,687 | |||
Decrease in variation margin on interest rate swap agreements payable | (438,326 | ) | ||
Decrease in distribution and service fees payable | (65,132 | ) | ||
Decrease in fund accounting/administration fees payable | (369,082 | ) | ||
Decrease in due to investment adviser payable | (3,410 | ) | ||
Decrease in protection fees on credit default swap agreements payable | (269,347 | ) | ||
Decrease in trustees’ fees payable* | (53,437 | ) | ||
Increase in miscellaneous | 479,517 | |||
Net Cash Provided by Operating and Investing Activities | 120,476,365 |
94 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENT OF CASH FLOWS (concluded) | |
MACRO OPPORTUNITIES FUND | |
Year Ended September 30, 2022
Cash Flows From Financing Activities: | ||||
Distributions to shareholders | $ | (37,236,037 | ) | |
Proceeds from sale of shares | 3,200,795,026 | |||
Cost of shares redeemed | (4,058,923,756 | ) | ||
Proceeds from reverse repurchase agreements | 7,546,096,076 | |||
Payments made on reverse repurchase agreements | (6,880,641,685 | ) | ||
Net Cash Used in Financing Activities | (229,910,376 | ) | ||
Net decrease in cash | (109,434,011 | ) | ||
Cash at Beginning of Year (including foreign cash) | 132,932,737 | |||
Cash at End of Year (including foreign cash) | $ | 23,498,726 | ||
Supplemental Disclosure of Cash Flow Information: | ||||
Cash paid during the year for interest | $ | 1,199,617 | ||
Supplemental Disclosure of Cash Financing Activity: | ||||
Dividend reinvestment | $ | 267,902,197 |
* | 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 ANNUAL REPORT | 95 |
CONSOLIDATED FINANCIAL HIGHLIGHTS | |
MACRO OPPORTUNITIES FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 27.19 | $ | 26.31 | $ | 25.82 | $ | 26.53 | $ | 26.67 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .89 | .91 | .74 | .72 | .72 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.77 | ) | 1.04 | .61 | (.62 | ) | (.08 | ) | ||||||||||||
Total from investment operations | (2.88 | ) | 1.95 | 1.35 | .10 | .64 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.95 | ) | (1.07 | ) | (.86 | ) | (.79 | ) | (.78 | ) | ||||||||||
Net realized gains | — | — | — | (.02 | ) | — | ||||||||||||||
Total distributions | �� | (.95 | ) | (1.07 | ) | (.86 | ) | (.81 | ) | (.78 | ) | |||||||||
Net asset value, end of period | $ | 23.36 | $ | 27.19 | $ | 26.31 | $ | 25.82 | $ | 26.53 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (10.77 | %) | 7.49 | % | 5.39 | % | 0.41 | % | 2.42 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 327,393 | $ | 435,293 | $ | 312,986 | $ | 461,781 | $ | 714,630 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.46 | % | 3.35 | % | 2.90 | % | 2.76 | % | 2.72 | % | ||||||||||
Total expensesc | 1.42 | % | 1.43 | % | 1.51 | % | 1.47 | % | 1.43 | % | ||||||||||
Net expensesd,e,f | 1.37 | % | 1.37 | % | 1.39 | % | 1.39 | % | 1.33 | % | ||||||||||
Portfolio turnover rate | 25 | % | 84 | % | 130 | % | 46 | % | 66 | % | ||||||||||
96 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued) | |
MACRO OPPORTUNITIES FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 27.17 | $ | 26.29 | $ | 25.80 | $ | 26.52 | $ | 26.65 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .70 | .72 | .55 | .52 | .53 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.76 | ) | 1.03 | .61 | (.62 | ) | (.08 | ) | ||||||||||||
Total from investment operations | (3.06 | ) | 1.75 | 1.16 | (.10 | ) | .45 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.76 | ) | (.87 | ) | (.67 | ) | (.60 | ) | (.58 | ) | ||||||||||
Net realized gains | — | — | — | (.02 | ) | — | ||||||||||||||
Total distributions | (.76 | ) | (.87 | ) | (.67 | ) | (.62 | ) | (.58 | ) | ||||||||||
Net asset value, end of period | $ | 23.35 | $ | 27.17 | $ | 26.29 | $ | 25.80 | $ | 26.52 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (11.41 | %) | 6.70 | % | 4.60 | % | (0.37 | %) | 1.69 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 145,469 | $ | 207,739 | $ | 219,866 | $ | 321,576 | $ | 433,121 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.70 | % | 2.64 | % | 2.15 | % | 2.00 | % | 1.98 | % | ||||||||||
Total expensesc | 2.17 | % | 2.18 | % | 2.25 | % | 2.20 | % | 2.18 | % | ||||||||||
Net expensesd,e,f | 2.12 | % | 2.12 | % | 2.15 | % | 2.13 | % | 2.09 | % | ||||||||||
Portfolio turnover rate | 25 | % | 84 | % | 130 | % | 46 | % | 66 | % | ||||||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 97 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued) |
MACRO OPPORTUNITIES FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 27.20 | $ | 26.32 | $ | 25.82 | $ | 26.54 | $ | 26.68 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .90 | .91 | .74 | .71 | .73 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.77 | ) | 1.04 | .62 | (.62 | ) | (.09 | ) | ||||||||||||
Total from investment operations | (2.87 | ) | 1.95 | 1.36 | .09 | .64 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.95 | ) | (1.07 | ) | (.86 | ) | (.79 | ) | (.78 | ) | ||||||||||
Net realized gains | — | — | — | (.02 | ) | — | ||||||||||||||
Total distributions | (.95 | ) | (1.07 | ) | (.86 | ) | (.81 | ) | (.78 | ) | ||||||||||
Net asset value, end of period | $ | 23.38 | $ | 27.20 | $ | 26.32 | $ | 25.82 | $ | 26.54 | ||||||||||
| ||||||||||||||||||||
Total Return | (10.77 | %) | 7.48 | % | 5.42 | % | 0.37 | % | 2.42 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 161,232 | $ | 162,928 | $ | 99,575 | $ | 126,334 | $ | 160,578 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.51 | % | 3.33 | % | 2.91 | % | 2.73 | % | 2.73 | % | ||||||||||
Total expensesc | 1.45 | % | 1.45 | % | 1.50 | % | 1.46 | % | 1.46 | % | ||||||||||
Net expensesd,e,f | 1.37 | % | 1.37 | % | 1.40 | % | 1.39 | % | 1.33 | % | ||||||||||
Portfolio turnover rate | 25 | % | 84 | % | 130 | % | 46 | % | 66 | % | ||||||||||
98 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued) | |
MACRO OPPORTUNITIES FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 27.23 | $ | 26.34 | $ | 25.85 | $ | 26.57 | $ | 26.71 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .99 | 1.02 | .85 | .81 | .84 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.76 | ) | 1.05 | .60 | (.61 | ) | (.09 | ) | ||||||||||||
Total from investment operations | (2.77 | ) | 2.07 | 1.45 | .20 | .75 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.06 | ) | (1.18 | ) | (.96 | ) | (.90 | ) | (.89 | ) | ||||||||||
Net realized gains | — | — | — | (.02 | ) | — | ||||||||||||||
Total distributions | (1.06 | ) | (1.18 | ) | (.96 | ) | (.92 | ) | (.89 | ) | ||||||||||
Net asset value, end of period | $ | 23.40 | $ | 27.23 | $ | 26.34 | $ | 25.85 | $ | 26.57 | ||||||||||
| ||||||||||||||||||||
Total Return | (10.39 | %) | 7.91 | % | 5.84 | % | 0.77 | % | 2.83 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,397,131 | $ | 6,906,534 | $ | 4,097,303 | $ | 5,396,868 | $ | 6,065,678 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.85 | % | 3.74 | % | 3.32 | % | 3.12 | % | 3.15 | % | ||||||||||
Total expensesc | 1.09 | % | 1.08 | % | 1.17 | % | 1.13 | % | 1.08 | % | ||||||||||
Net expensesd,e,f | 0.96 | % | 0.96 | % | 0.99 | % | 0.98 | % | 0.93 | % | ||||||||||
Portfolio turnover rate | 25 | % | 84 | % | 130 | % | 46 | % | 66 | % | ||||||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 99 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued) |
MACRO OPPORTUNITIES FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
R6-Class | Year | Year | Year | Period | ||||||||||||
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)a | .98 | 1.02 | .87 | .36 | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.75 | ) | 1.04 | .58 | (.03 | ) | ||||||||||
Total from investment operations | (2.77 | ) | 2.06 | 1.45 | .33 | |||||||||||
Less distributions from: | ||||||||||||||||
Net investment income | (1.06 | ) | (1.18 | ) | (.95 | ) | (.47 | ) | ||||||||
Total distributions | (1.06 | ) | (1.18 | ) | (.95 | ) | (.47 | ) | ||||||||
Net asset value, end of period | $ | 23.39 | $ | 27.22 | $ | 26.34 | $ | 25.84 | ||||||||
| ||||||||||||||||
Total Return | (10.39 | %) | 7.91 | % | 5.81 | % | 1.30 | % | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 124,888 | $ | 197,067 | $ | 136,669 | $ | 676 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | 3.79 | % | 3.74 | % | 3.41 | % | 2.79 | % | ||||||||
Total expensesc | 1.00 | % | 1.01 | % | 1.09 | % | 1.11 | % | ||||||||
Net expensesd,e,f | 0.96 | % | 0.96 | % | 0.99 | % | 1.03 | % | ||||||||
Portfolio turnover rate | 25 | % | 84 | % | 130 | % | 46 | % | ||||||||
100 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED FINANCIAL HIGHLIGHTS (concluded) | |
MACRO OPPORTUNITIES FUND | |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | 0.06% | 0.10% | 0.03% | 0.02% | 0.04% | |
C-Class | 0.06% | 0.08% | 0.05% | 0.05% | 0.11% | |
P-Class | 0.05% | 0.09% | 0.03% | 0.04% | 0.04% | |
Institutional Class | — | — | 0.00%* | 0.00%* | — | |
R6-Class | 0.00%* | 0.00%* | 0.00%* | 0.00%*,g | N/A |
* | Less than 0.01% | |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: | |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | 1.33% | 1.33% | 1.33% | 1.33% | 1.31% | |
C-Class | 2.08% | 2.08% | 2.08% | 2.07% | 2.06% | |
P-Class | 1.33% | 1.33% | 1.33% | 1.33% | 1.31% | |
Institutional Class | 0.92% | 0.92% | 0.92% | 0.92% | 0.90% | |
R6-Class | 0.92% | 0.92% | 0.92% | 0.92%g | N/A |
g | Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 101 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS |
Note 1 – Organization, Consolidation of Subsidiary and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 8-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Macro Opportunities Fund (the “Fund”), a diversified investment company. At September 30, 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” or the “Adviser”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Partners Advisors, LLC (“GPA” or the “Sub-Adviser”) assists GPIM in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI, GFD and GPA are affiliated entities.
102 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
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.
The Fund may invest up to 25% of its total assets in its Subsidiary which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objectives and policies.
A summary of the Fund’s investment in its Subsidiary is as follows:
| Inception Date | Subsidiary | % of Net Assets | |||||||||
| 01/08/15 | $ | 32,349,141 | 0.5 | % | ||||||||
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”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and/or other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and/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 Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
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 generally 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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.
Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service.
Typically, loans are valued using information provided by an independent third party pricing service 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 Adviser.
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 are valued on the basis of the last sale price at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The value of interest rate swap agreements entered into by the Fund is valued on the basis of the last sale price on the primary exchange on which the swap is traded.
The value of other swap agreements entered into by the Fund is generally valued using an evaluated price provided by a third party pricing vendor.
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
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) Special Purpose Acquisition Companies
The Fund may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be profitable.
(c) U.S. Government and Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Consolidated Schedule of Investments reflect the effective rates paid at the time of purchase by the Fund. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
106 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
(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 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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
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.
(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 it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the 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.
108 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
(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 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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
(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 in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Consolidated Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 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.
110 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
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 reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.
(o) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.
(p) Earnings Credits
Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Consolidated Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 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 3.08% at September 30, 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
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
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.
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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
Options Purchased and Written
A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.
The following table represents the Fund’s use and volume of call/put options purchased on a monthly basis:
Average Notional Amount | ||||||||
Use | Call | Put | ||||||
Duration, Hedge, Speculation, Income | $ | 2,586,076,850 | $ | 536,877,188 | ||||
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, Income | $ | 207,565,981 | $ | 346,175,212 | ||||
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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The following table represents the Fund’s use and volume of futures on a monthly basis:
Average Notional Amount | ||||||||
Use | Long | Short | ||||||
Index exposure, Speculation | $ | 156,763,769 | $ | 43,709,467 | ||||
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 | ||||||
Index exposure, Income | $ | 13,898,507 | $ | — | ||||
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.
114 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Pay Floating Rate | Receive Floating Rate | ||||||
Duration, Hedge, Speculation | $ | 5,016,310,583 | $ | 12,810,916,583 | ||||
Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. The Fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.
The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 115 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The following table represents the Fund’s use and volume of credit default swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Protection Sold | Protection Purchased | ||||||
Index exposure, Income | $ | 64,166,667 | $ | 14,691,667 | ||||
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 | $ | 374,598,627 | $ | 898,536,855 | ||||
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Fund’s Consolidated Statement of Assets and Liabilities as of September 30, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Commodity futures contracts | Variation margin on futures contracts |
|
Credit/Interest rate swap contracts | Unamortized upfront premiums paid on interest rate swap agreements | Unamortized upfront premiums received on 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 |
|
Equity/Currency/Commodity/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 |
116 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2022:
Asset Derivative Investments Value | ||||||||||||||||||||||||||||||||||||
| Futures | Swaps | Swaps | Options | Options | Options | Options | Forward | Total | |||||||||||||||||||||||||||
| $ | 429,981 | $ | 33,806,212 | $ | – | $ | 49,248,055 | $ | 3,271,961 | $ | – | $ | 38,014,436 | $ | 16,154,238 | $ | 140,924,883 | |||||||||||||||||||
Liability Derivative Investments Value | ||||||||||||||||||||||||||||||||||||
| Futures | Swaps | Swaps | Options | Options | Options | Options | Forward | Total | |||||||||||||||||||||||||||
| $ | 3,030,945 | $ | 33,861,974 | $ | 924,258 | $ | 11,202,345 | $ | 5,523,396 | $ | 1,168,550 | $ | 1,712,716 | $ | 6,481,216 | $ | 63,905,400 | |||||||||||||||||||
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Consolidated Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Consolidated Statement of Assets and Liabilities |
The following is a summary of the location of derivative investments on the Fund’s Consolidated Statement of Operations for the year ended September 30, 2022:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Interest Rate/Commodity futures contracts | Net realized gain (loss) on futures contracts |
| Net change in unrealized appreciation (depreciation) on futures contracts |
Interest Rate/Credit swap contracts | Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
Equity/Interest Rate/Commodity/Foreign | Net realized gain (loss) on options purchased |
Currency option contracts | Net change in unrealized appreciation (depreciation) on options purchased |
Net realized gain (loss) on options written | |
| Net change in unrealized appreciation (depreciation) on options written |
Currency forward contracts | Net realized gain (loss) on forward foreign currency exchange contracts |
| Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 117 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Consolidated Statement of Operations categorized by primary risk exposure for the year ended September 30, 2022:
Realized Gain (Loss) on Derivative Investments Recognized on the Consolidated Statement of Operations | ||||||||||||||||||||||||||||||||
| Futures | Futures | Futures | Swaps | Swaps | Options | Options | Options | ||||||||||||||||||||||||
| $ | 162,937 | $ | 6,325 | $ | (32,488,162 | ) | $ | (178,563 | ) | $ | (4,598,712 | ) | $ | (9,130,720 | ) | $ | 26,858,357 | $ | (3,400,042 | ) | ||||||||||||
Options | Options | Options | Options | Options | Forward | Total | |||||||||||||||||||||
| $ | (13,139,705 | ) | $ | (2,244,583 | ) | $ | 39,584,010 | $ | 5,858,237 | $ | (1,296,122 | ) | $ | 82,184,788 | $ | 88,178,045 | |||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivative Investments | ||||||||||||||||||||||||||||||||
| Futures | Futures | Futures | Swaps | Swaps | Options | Options | Options | ||||||||||||||||||||||||
| $ | — | $ | — | $ | 6,617,671 | $ | 2,266,061 | $ | (783,788 | ) | $ | (4,479,780 | ) | $ | 16,156,519 | $ | — | |||||||||||||||
Options | Options | Options | Options | Options | Forward | Total | |||||||||||||||||||||
| $ | 1,505,794 | $ | (3,832,270 | ) | $ | 162,952 | $ | 6,195 | $ | (233,017 | ) | $ | (4,423,740 | ) | $ | 12,962,597 | |||||||||||
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.
118 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (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.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 119 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Consolidated Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities.
120 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
Gross Amounts Not Offset in | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net Amount | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 16,154,238 | $ | — | $ | 16,154,238 | $ | (5,379,502 | ) | $ | (10,774,736 | ) | $ | — | ||||||||||
Options purchased | 41,286,397 | — | 41,286,397 | (3,389,752 | ) | (3,014,756 | ) | 34,881,889 | ||||||||||||||||
Gross Amounts Not Offset | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net Amount | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 6,481,216 | $ | — | $ | 6,481,216 | $ | (4,899,776 | ) | $ | — | $ | 1,581,440 | |||||||||||
Options written | 8,404,662 | — | 8,404,662 | (3,869,478 | ) | (27,000 | ) | 4,508,184 | ||||||||||||||||
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 121 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments and reverse repurchase agreements as of September 30, 2022.
Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
Barclays Bank plc | Forward foreign currency exchange contracts, Options | $ | — | $ | 2,950,000 | ||||
BofA Securities, Inc. | Forward foreign currency exchange contracts, Options | — | 6,590,000 | ||||||
Citibank, N.A. | Forward foreign currency exchange contracts | — | 268,000 | ||||||
Citigroup | Reverse repurchase agreements | — | 1,985,000 | ||||||
Goldman Sachs International | Forward foreign currency exchange contracts, Options | — | 20,620,201 | ||||||
J.P. Morgan Securities LLC | Futures contracts | 7,184,350 | — | ||||||
J.P. Morgan Securities LLC | Interest rate swap agreements | — | 2,708,693 | ||||||
J.P. Morgan Securities LLC | Total return swap agreements, Options | 27,000 | — | ||||||
Morgan Stanley Capital Services LLC | Forward foreign currency exchange contracts, Options | — | 5,940,000 | ||||||
| $ | 7,211,350 | $ | 41,061,894 | ||||||
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 between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 | — unadjusted quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 | — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
122 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.
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:
| Annualized | |||
$5 billion or less | 0.89 | % | ||
> $5 billion | 0.84 | % | ||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 123 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
Pursuant to an Investment Sub-Advisory Agreement between the Adviser and GPA, GPA, under the oversight supervision of the Board and the Adviser, assists the Adviser in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies. As compensation for its services, the Adviser pays GPA a fee, payable monthly, in an amount equal to 0.005% of the Fund’s average daily net assets.
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 year ended September 30, 2022, the Fund waived $247,471 related to advisory fees in the Subsidiary.
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.
The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
A-Class | 1.36 | % | 11/30/12 | 02/01/24 | ||||||||
C-Class | 2.11 | % | 11/30/12 | 02/01/24 | ||||||||
P-Class | 1.36 | % | 05/01/15 | 02/01/24 | ||||||||
Institutional Class | 0.95 | % | 11/30/12 | 02/01/24 | ||||||||
R6-Class | 0.95 | % | 03/13/19 | 02/01/24 | ||||||||
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
124 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
for 36 months from the date of the waiver or reimbursement by GI. At September 30, 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:
| 2023 | 2024 | 2025 | Total | ||||||||||||
A-Class | $ | 249,814 | $ | 196,169 | $ | 80,282 | $ | 526,265 | ||||||||
C-Class | 150,071 | 102,752 | 37,685 | 290,508 | ||||||||||||
P-Class | 20,693 | 81,801 | 101,516 | 204,010 | ||||||||||||
Institutional Class | 5,879,352 | 6,245,889 | 7,075,307 | 19,200,548 | ||||||||||||
R6-Class | 41,632 | 59,463 | 38,182 | 139,277 | ||||||||||||
For the year ended September 30, 2022, GI recouped $435,165 from the Fund.
If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2022, the Fund waived $1,126,015 related to investments in affiliated funds.
For the year ended September 30, 2022, GFD retained sales charges of $144,088 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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 125 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.
For the year ended September 30, 2022, the Fund entered into reverse repurchase agreements:
| Number of Days | Balance at | Average Balance | Average | ||||||||||||
| 365 | $ | 672,053,602 | $ | 156,250,784 | 1.77 | % | ||||||||||
The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Consolidated Statement of Assets and Liabilities in conformity with U.S. GAAP:
Gross Amounts Not Offset in | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net Amount | ||||||||||||||||||
Reverse repurchase agreements | $ | 672,053,602 | $ | — | $ | 672,053,602 | $ | (672,053,602 | ) | $ | — | $ | — | |||||||||||
126 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
As of September 30, 2022, there was $672,053,602 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 | |||||||||
Bank of Montreal | 3.11 | %* | Open Maturity | $ | 52,606,382 | |||||||
Bank of Montreal | (0.35 | %) | 10/03/2022 | 20,999,996 | ||||||||
Barclays Capital, Inc. | 3.00 | % | 10/03/2022 | 1,982,040 | ||||||||
BMO Capital Markets Corp | 3.27% - 3.30% | * | Open Maturity | 87,452,302 | ||||||||
BofA Securities, Inc. | 3.23% - 3.30% | * | Open Maturity | 246,298,666 | ||||||||
Citigroup Global Markets, Inc. | 3.09% (U.S Secured Overnight Financing Rate + 0.11%)** | Open Maturity | 112,702,415 | |||||||||
Credit Suisse Securities (USA) LLC | (1.25 - 3.40% | %)* | Open Maturity | 27,528,257 | ||||||||
Goldman Sachs & Co. LLC | 3.20% - 3.40% | * | Open Maturity | 50,290,765 | ||||||||
J.P. Morgan Securities LLC | 3.09 | % | 10/04/22 | 32,533,324 | ||||||||
RBC Capital Markets LLC | 3.25% - 3.30% | * | Open Maturity | 39,659,455 | ||||||||
| $ | 672,053,602 | |||||||||||
* | The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set reference rate and spread. Rate indicated is the rate effective as of September 30, 2022. |
** | Variable rate. Rate indicated is the rate effective at September 30, 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 | Up to 30 days | Total | |||||||||
Corporate Bonds | $ | 451,229,445 | $ | — | $ | 451,229,445 | ||||||
U.S. Government Securities | 52,606,382 | 55,515,360 | 108,121,742 | |||||||||
Collateralized Mortgage Obligations | 112,702,415 | — | 112,702,415 | |||||||||
Gross amount of recognized liabilities for reverse repurchase agreements | $ | 616,538,242 | $ | 55,515,360 | $ | 672,053,602 | ||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 127 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
Note 7 – Federal Income Tax Information
The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
The Fund intends to invest up to 25% of its assets in the Subsidiary which is expected to provide the Fund with exposure to the commodities markets within the limitations of the U.S. federal income tax requirements under Subchapter M of the Internal Revenue Code. The Fund has received a private letter ruling from the IRS that concludes that the income the Fund receives from the Subsidiary will constitute qualifying income for purposes of Subchapter M of the Internal Revenue Code. The Subsidiary will be classified as a corporation for U.S. federal income tax purposes. A foreign corporation, such as the Subsidiary, will generally not be subject to U.S. federal income taxation unless it is deemed to be engaged in a U.S. trade or business. If, during a taxable year, the Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the Fund as a deductible amount for U.S. federal income tax purposes and cannot be carried forward to reduce future income from the Subsidiary in subsequent years.
The tax character of distributions paid during the year ended September 30, 2022 was as follows:
| Ordinary | Long-Term | Total | |||||||||
| $ | 305,050,763 | $ | — | $ | 305,050,763 | |||||||
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
| Ordinary | Long-Term | Total | |||||||||
| $ | 271,926,669 | $ | — | $ | 271,926,669 | |||||||
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
128 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:
| Undistributed | Undistributed | Net | Accumulated | Other | Total | ||||||||||||||||||
| $ | 6,557,343 | $ | 370,051 | $ | (1,196,735,483 | ) | $ | — | $ | 57,329,076 | $ | (1,132,479,013 | ) | |||||||||||
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, the Fund had no capital loss carryforwards.
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in CLO securities, the “mark-to-market” of certain derivatives, investments in swaps, investments in bonds, foreign currency gains and losses, losses deferred due to wash sales, dividend payable, amortization, recharacterization of income from investments, and transactions with the Fund’s wholly owned foreign subsidiary. Additional differences may result from investments in partnerships, distribution reclass, the “mark-to-market” of certain foreign currency denominated securities, and the “mark-to-market” or disposition of certain Passive Foreign Investment Companies (PFICs). To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Consolidated Statement of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences:
| Paid In | Total | ||||||
| $ | (30,532,843 | ) | $ | 30,532,843 | ||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 129 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
At September 30, 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 | Tax | Tax | Net Tax | ||||||||||||
| $ | 8,321,849,963 | $ | — | $ | (1,201,886,461 | ) | $ | (1,201,886,461 | ) | |||||||
Note 8 – Securities Transactions
For the year ended September 30, 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 | ||||||
| $ | 2,173,260,011 | $ | 1,403,562,385 | |||||
For the year ended September 30, 2022, the cost of purchases and proceeds from sales of government securities were as follows:
| Purchases | Sales | ||||||
| $ | 367,221,813 | $ | 268,067,613 | |||||
The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| Purchases | Sales | Realized Loss | |||||||||
| $ | 93,026,829 | $ | 37,109,249 | $ | (162,868 | ) | ||||||
130 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
Note 9 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of September 30, 2022, were as follows:
Borrower | Maturity | Face | Value | |||||||||
Avalara, Inc. | 08/12/28 | 1,600,000 | $ | 19,553 | ||||||||
Care BidCo | 05/04/28 | EUR 7,307,598 | 569,575 | |||||||||
Confluent Health LLC | 11/30/28 | 717,080 | 89,635 | |||||||||
Dermatology Intermediate Holdings III, Inc. | 04/02/29 | 888,409 | 44,420 | |||||||||
Fontainbleau Vegas | 09/30/25 | 26,500,000 | — | |||||||||
Galls LLC | 01/31/24 | 71,507 | 2,503 | |||||||||
Higginbotham Insurance Agency, Inc. | 11/25/26 | 5,230,899 | 129,726 | |||||||||
Icebox Holdco | 12/22/28 | 2,220,000 | 144,300 | |||||||||
KKR Core Holding Company LLC | 07/15/31 | 4,880,000 | — | |||||||||
Lightning A | 03/01/37 | 23,707,216 | — | |||||||||
Lightning B | 03/01/37 | 4,768,693 | — | |||||||||
Medical Solutions Parent Holdings, Inc. | 11/01/28 | 1,242,000 | 62,100 | |||||||||
Polaris Newco LLC | 06/04/26 | 2,682,803 | 417,928 | |||||||||
RLDatix | 10/21/24 | GBP 6,610,398 | 29,665 | |||||||||
RLDatix | 04/27/26 | 912,001 | 18,696 | |||||||||
Schur Flexibles GmbH | 09/30/26 | EUR 286,340 | — | |||||||||
Service Logic Acquisition, Inc. | 10/29/27 | 161,015 | 10,265 | |||||||||
TGP Holdings LLC | 06/29/28 | 19,659 | 4,263 | |||||||||
The Facilities Group | 11/30/27 | 2,644,784 | 65,642 | |||||||||
Thunderbird A | 03/01/37 | 23,343,294 | — | |||||||||
Thunderbird B | 03/01/37 | 4,695,490 | — | |||||||||
Vertical (TK Elevator) | 01/29/27 | EUR 10,252,596 | 742,152 | |||||||||
VT TopCo, Inc. | 08/01/25 | 124,468 | 6,223 | |||||||||
| $ | 2,356,646 | |||||||||||
* | The face amount is denominated in U.S. dollars unless otherwise indicated. |
EUR - Euro | |
GBP - British Pound |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 131 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
Note 10 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Restricted | Acquisition | Cost | Value | |||||||||
Atlas Mara Ltd. | ||||||||||||
due 12/31/211 | 10/01/15 | $ | 6,243,949 | $ | 1,624,875 | |||||||
Copper River CLO Ltd. | ||||||||||||
2007-1A INC, due 01/20/212 | 05/09/14 | — | 3,423 | |||||||||
FKRT | ||||||||||||
2.21% due 11/30/58 | 09/24/21 | 33,849,835 | 32,195,688 | |||||||||
Mirabela Nickel Ltd. | ||||||||||||
due 06/24/191 | 12/31/13 | 1,710,483 | 94,271 | |||||||||
Secured Tenant Site Contract Revenue Notes Series | ||||||||||||
2018-1A 4.70% due 06/15/48 | 05/25/18 | 6,561,151 | 6,470,334 | |||||||||
| $ | 48,365,418 | $ | 40,388,591 | |||||||||
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 September 30, 2022, at which time the line of credit was renewed as a 364-day committed, $1,150,000,000 line of credit. 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”, SOFR 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 Consolidated Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.
Note 12 – Market Risks
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from
132 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (concluded) |
broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.
Note 13 – Subsequent Events
The Fund evaluated subsequent events through the date the consolidated financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s consolidated financial statements.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 133 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of Guggenheim Macro Opportunities Fund
Opinion on the Financial Statements
We have audited the accompanying consolidated statement of assets and liabilities of Guggenheim Macro Opportunities Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the consolidated schedule of investments, as of September 30, 2022, and the related consolidated statements of operations and cash flows for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the consolidated financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the consolidated results of its operations and its cash flows for the year then ended, the consolidated changes in its net assets for each of the two years in the period then ended and the consolidated financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed
134 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded) |
other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2022
THE GUGGENHEIM FUNDS ANNUAL REPORT | 135 |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.
The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the Fund had the corresponding percentages qualify as interest related dividends as permitted by IRC Section 871(k)(1). See qualified interest income column in the table below.
| Qualified | Dividend | Qualified | |||||||||
| 3.35 | % | 3.00 | % | 88.04 | % | |||||||
With respect to the taxable year ended September 30, 2022, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:
| From long-term | From long-term | ||||||
| $ | 2,120,651 | $ | — | |||||
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.
136 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
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 ANNUAL REPORT | 137 |
OTHER INFORMATION (Unaudited)(continued) |
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)
● Guggenheim Core Bond Fund
● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)
● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)
● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)
● Guggenheim Municipal Income Fund (“Municipal Income Fund”)
● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)
● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)
● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)
● Guggenheim World Equity Income Fund (“World Equity Income Fund”) | ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)
● Guggenheim Diversified Income Fund (“Diversified Income Fund”)
● Guggenheim High Yield Fund
● Guggenheim Limited Duration Fund (“Limited Duration Fund”)
● Guggenheim Market Neutral
● Guggenheim Risk Managed
● Guggenheim SMid Cap Value Fund
● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)
● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”) |
138 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 139 |
OTHER INFORMATION (Unaudited)(continued) |
direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.4 At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees,
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA Sub-Advisory Agreement at the Special Meeting. |
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OTHER INFORMATION (Unaudited)(continued) |
expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund, Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”). Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate
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capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.5 As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.
5 | Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements. |
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With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors
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have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.
Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and
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three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee6 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.
Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In
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this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.
Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Total Return Bond Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
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The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee
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considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Sub-Advisory Agreements
Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.
Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.
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Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other Directorships |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee) | Current: Private Investor (2001-present). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). |
Angela Brock-Kyle (1959) | Trustee | Since 2019 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Member, Board of Directors, Mutual Fund Directors Forum (2022-present). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other Directorships |
INDEPENDENT TRUSTEES - continued | |||||
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019 (Trustee) | 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); Vice Chairman, VettaFi (2022-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other Directorships |
INDEPENDENT TRUSTEES - continued | |||||
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2014 | Current: Of Counsel, Momkus LLP (2016-present). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other Directorships |
INDEPENDENT TRUSTEES - continued | |||||
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee) | Current: Retired. | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). |
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Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other Directorships |
INDEPENDENT TRUSTEES - concluded | |||||
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). | 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). |
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Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other Directorships |
INTERESTED TRUSTEE | |||||
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee)
Since 2014
Since 2007 (Vice President) | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). | 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. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and President of Mutual Funds Boards, Guggenheim Investments (2018-present). |
James M. Howley (1972) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since August 2022 | Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present). |
Mark E. Mathiasen (1978) | Secretary | Since 2014 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2014 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2012-present). |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 157 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - continued | |||
Elisabeth Miller (1968) | Chief Compliance | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 159 |
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 ANNUAL REPORT | 161 |
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
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 163 |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
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9.30.2022
Guggenheim Funds Annual Report
Guggenheim Floating Rate Strategies Fund | ||
GuggenheimInvestments.com | FR-ANN-0922x0923 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
FLOATING RATE STRATEGIES FUND | 9 |
NOTES TO FINANCIAL STATEMENTS | 49 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 68 |
OTHER INFORMATION | 70 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 84 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 92 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 96 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2022 |
Dear Shareholder:
Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”) is pleased to present the shareholder report for Guggenheim Floating Rate Strategies Fund (the “Fund”) for the annual fiscal period ended September 30, 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, and then the Managers’ Commentary for the Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC
October 31, 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 ANNUAL REPORT |
| September 30, 2022 |
Floating Rate Strategies Fund may not be suitable for all investors. ● Investments in floating rate senior secured syndicated bank loans and other floating rate securities involve special types of risks, including credit rate risk, interest rate risk, liquidity risk and prepayment risk. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund may use leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements and synthetic instruments (such as synthetic collateralized debt obligations) expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2022 |
Equity and fixed income markets declined during the 12-month period ended September 30, 2022, amid continued market volatility, Federal Reserve policy, and global economic headwinds.
The Federal Reserve (the “Fed”) has abandoned talk of a soft or even “softish” landing, with the latest Summary of Economic Projections pointing to a 90-basis-point rise in the unemployment rate, an increase never before experienced without a recession. One basis point equals 0.01%. The seemingly endless string of upside inflation surprises has cemented the Fed’s view that the labor market needs to soften and economic activity needs to weaken further, which could require interest rates heading even higher.
Signs are indicating that the economy is heading in the direction the Fed wants. While gross domestic product (“GDP”) rebounded in the third quarter of 2022 to an inflation-adjusted 2.6%, private domestic demand (consumption and fixed investment) continued to slow, growing just 0.1%. The slowdown was led by a significant contraction in housing activity, historically the first sector to be hit by rising rates, cutting about 1.4 percentage points from GDP’s growth rate. The sharp tightening in financial conditions indicates a broader economic slowdown is ahead, which may help to loosen up the labor market. Signs of a labor market slowdown are already evident, with monthly job growth at less than half the pace of early 2022, wage growth cooling, and job openings falling sharply.
Inflation remains high, but a variety of factors point to a substantial moderation in 2023. Goods prices have stopped rising, and supply chain improvement and input and import costs suggest outright deflation could lie ahead. Services inflation is now the main price stability concern, but even the Bureau of Labor Statistics and several Fed speakers have acknowledged that the lagged data on home rental prices doesn’t reflect the sharp slowdown in market rents that has taken place (and that would start to show up in the data next year).
With the economy cooling and inflation likely to fall, it is fair to expect that rate hikes are nearly coming to an end, particularly with rising strains in financial markets and overseas. But having been repeatedly burned by expectations that inflation would cool and fearing a replay of the “stop-start” rate hike campaigns of the 1970s, the Fed will likely err on the side of overdoing it with rate hikes, viewing a recession as the “least bad” outcome for the economy.
For the 12-month period ended September 30, 2022, the S&P 500® Index* returned -15.47%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -25.13%. The return of the MSCI Emerging Markets Index* was -28.11%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -14.60% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -14.14%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.62% for the 12-month period.
4 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 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.
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 ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2022 and ending September 30, 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 ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense | Fund | Beginning | Ending | Expenses | |||||||||||||||
Table 1. Based on actual Fund return3 | ||||||||||||||||||||
A-Class | 1.02 | % | (3.52 | %) | $ | 1,000.00 | $ | 964.80 | $ | 5.02 | ||||||||||
C-Class | 1.77 | % | (3.84 | %) | 1,000.00 | 961.60 | 8.70 | |||||||||||||
P-Class | 1.02 | % | (3.52 | %) | 1,000.00 | 964.80 | 5.02 | |||||||||||||
Institutional Class | 0.78 | % | (3.40 | %) | 1,000.00 | 966.00 | 3.84 | |||||||||||||
R6-Class | 0.79 | % | (3.40 | %) | 1,000.00 | 966.00 | 3.89 | |||||||||||||
| ||||||||||||||||||||
Table 2. Based on hypothetical 5% return (before expenses) | ||||||||||||||||||||
A-Class | 1.02 | % | 5.00 | % | $ | 1,000.00 | $ | 1,019.95 | $ | 5.16 | ||||||||||
C-Class | 1.77 | % | 5.00 | % | 1,000.00 | 1,016.19 | 8.95 | |||||||||||||
P-Class | 1.02 | % | 5.00 | % | 1,000.00 | 1,019.95 | 5.16 | |||||||||||||
Institutional Class | 0.78 | % | 5.00 | % | 1,000.00 | 1,021.16 | 3.95 | |||||||||||||
R6-Class | 0.79 | % | 5.00 | % | 1,000.00 | 1,021.11 | 4.00 | |||||||||||||
1 | Annualized and excludes expenses of the underlying funds in which the Fund Invest, if any. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2022 to September 30, 2022. |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Floating Rate Strategies Fund (“Fund”). Guggenheim Partners Advisors, LLC, an affiliate of GPIM, serves as the Fund’s sub-adviser (“GPA” or the “Sub-Adviser”). The Fund is managed by a team of seasoned professionals at GPIM and GPA. This team includes B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC; Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner of GPIM; and Thomas J. Hauser, Senior Managing Director and Portfolio Manager of GPIM. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of -3.47%1, underperforming the Credit Suisse Leveraged Loan Index, the Fund’s benchmark, which returned -2.62% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
Despite a strong finish to the fiscal year 2021, leveraged credit experienced a broad-based selloff throughout the 2022 year-to-date period on the back of geopolitical conflict, inflation pressures, and policy tightening in the form of rising interest rates. Performance has been negative across the leveraged credit sector for the Reporting Period. Leveraged loans, with their floating rate coupons, have been the outperformer, as the asset class has been insulated from the rate-driven portion of the selloff relative to high yield and investment grade bonds.
Looking at the technical environment for bank loans, supply and demand have remained largely in balance for the Reporting Period. Thus, while the loan market has traded off, the market has not seen significant forced selling. Retail fund outflows in recent quarters have been offset by resiliency in collateralized loan obligations (CLO) issuance, and, on the supply side, new issuance has declined materially amid the market volatility and declining bank risk tolerances, alleviating a supply-side technical overhang.
In terms of Fund performance, the primary driver of relative return for the Reporting Period was credit selection, primarily in avoiding of some of the worst-performing names in the benchmark. From a sector point of view, credit selection in the Consumer Non-Cyclicals sector was the strongest segment on a relative basis to the benchmark, whereas credit selection in the Consumer Cyclicals and Capital Goods sectors were slight detractors. By rating, the Fund had an up-in-quality bias for the period, underweight the CCC ratings segment and underweight defaulted issuers, which both also contributed to performance given investors’ flight to quality amid recession fears. The Fund’s small allocation to high yield bonds, which underperformed bank loans during the period due to their increased rate sensitivity, detracted from performance for the period.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2022 |
How did the Fund use derivatives during the Reporting Period?
The Fund used derivatives in the form of forward foreign currency exchange contracts to hedge currency exposure on foreign-denominated bonds. The hedges had a positive impact on performance for the period.
How was the Fund positioned at the end of the Reporting Period?
Bank loans continue to outperform other risk assets (high yield bonds, investment grade corporates, equities) in the year-to-date 2022 period given their floating rate coupons and seniority in the capital stack, but performance has not been completely insulated from credit risk concerns amid the rising probability of recession. Leveraged loan discount margins have widened 178 basis points over the previous two quarters, from 438 basis points on March 31 to 616 basis points on September 30, and, while we believe default and recession risks are elevated, we think current spreads offer opportunities to find credits that are trading cheap to their fundamentals and risk of default/loss. As new issuance has materially slowed year-to-date and without a large impetus to increase before year end, our focus remains on finding relative value opportunities in the secondary market.
The portfolio remains positioned up in quality, underweight the benchmark in both CCCs and in exposure to distressed issuers (names trading below 80). As we see volatility pick up, we remain well-positioned to take advantage of the discounted levels in the secondary market to add selectively using our bottom-up credit approach.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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 |
SPDR Blackstone Senior Loan ETF | 2.9% |
Thevelia US LLC, 7.70% | 0.9% |
Wrench Group LLC, 7.67% | 0.8% |
Conair Holdings LLC, 7.42% | 0.8% |
Hunter Douglas, Inc., 6.34% | 0.8% |
STS Operating, Inc. (SunSource), 7.37% | 0.8% |
Del Monte Foods, Inc., 7.37% | 0.8% |
First Brands Group LLC, 7.94% | 0.8% |
Bombardier Recreational Products, Inc., 5.12% | 0.8% |
Xplornet Communications, Inc., 7.12% | 0.8% |
Top Ten Total | 10.2% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | September 30, 2022 |
Cumulative Fund Performance*
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | September 30, 2022 |
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | 10 Year |
A Class Shares | (3.47%) | 1.86% | 3.20% |
A-Class Shares with sales charge‡ | (6.38%) | 1.25% | 2.70% |
C Class Shares | (4.15%) | 1.11% | 2.44% |
C-Class Shares with CDSC§ | (5.09%) | 1.11% | 2.44% |
Institutional Class Shares | (3.20%) | 2.11% | 3.45% |
Credit Suisse Leveraged Loan Index | (2.62%) | 3.00% | 3.70% |
| 1 Year | 5 Year | Since |
P Class Shares | (3.47%) | 1.86% | 2.36% |
Credit Suisse Leveraged Loan Index | (2.62%) | 3.00% | 3.27% |
| 1 Year | Since |
R6 Class Shares | (3.25%) | 1.82% |
Credit Suisse Leveraged Loan Index | (2.62%) | 2.47% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Credit Suisse Leveraged Loan Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class shares and R6-Class shares will vary due to differences in fee structures. |
‡ | Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 3.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 3.00% maximum sales charge is used to calculated performance for periods based on subscriptions made on or after October 1, 2015. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Portfolio Composition by Quality Rating1 | |
Rating | % of Total |
Fixed Income Instruments | |
AAA | 0.0%** |
BBB | 6.2% |
BB | 29.8% |
B | 57.4% |
CCC | 1.1% |
CC | 0.5% |
NR2 | 0.8% |
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. |
** | Less than 0.1%. |
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Shares | Value | ||||||
COMMON STOCKS††† - 0.0% | ||||||||
Energy — 0.0% | ||||||||
Permian Production Partners LLC | 401,481 | $ | 329,214 | |||||
Industrial — 0.0% | ||||||||
BP Holdco LLC*,1 | 244,278 | 148,128 | ||||||
Vector Phoenix Holdings, LP* | 244,278 | 58,370 | ||||||
API Heat Transfer Parent LLC* | 4,994,727 | 500 | ||||||
Total Industrial | 206,998 | |||||||
Consumer, Non-cyclical — 0.0% | ||||||||
Targus Group International Equity, Inc.*,1 | 12,773 | 32,125 | ||||||
Total Common Stocks | ||||||||
(Cost $1,536,338) | 568,337 | |||||||
PREFERRED STOCKS††† - 0.0% | ||||||||
Industrial — 0.0% | ||||||||
API Heat Transfer Intermediate* | 618 | — | ||||||
Total Preferred Stocks | ||||||||
(Cost $493,920) | — | |||||||
EXCHANGE-TRADED FUNDS† - 2.9% | ||||||||
SPDR Blackstone Senior Loan ETF | 862,440 | 35,247,923 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $38,956,747) | 35,247,923 | |||||||
MONEY MARKET FUND† - 1.1% | ||||||||
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 2.45%2 | 13,591,356 | 13,591,356 | ||||||
Total Money Market Fund | ||||||||
(Cost $13,591,356) | 13,591,356 | |||||||
| Face | |||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 91.0% | ||||||||
Industrial — 22.7% | ||||||||
Hunter Douglas, Inc. | ||||||||
6.34% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/26/29 | 11,800,000 | 9,658,300 | ||||||
STS Operating, Inc. (SunSource) | ||||||||
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24 | 10,058,017 | 9,576,037 | ||||||
American Bath Group LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/23/27 | 10,905,977 | 9,455,482 | ||||||
APi Group DE, Inc. | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/03/29 | 9,346,473 | 9,085,520 | ||||||
Mirion Technologies, Inc. | ||||||||
5.63% (6 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 10/20/28 | 9,428,750 | 9,000,496 | ||||||
TransDigm, Inc. | ||||||||
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25 | 4,923,535 | 4,709,558 | ||||||
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25 | 4,328,059 | 4,146,454 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Arcline FM Holdings LLC | ||||||||
7.00% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28††† | 9,518,850 | $ | 8,804,936 | |||||
Pelican Products, Inc. | ||||||||
8.16% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/29/28 | 9,199,043 | 8,371,129 | ||||||
Park River Holdings, Inc. | ||||||||
5.53% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27 | 9,860,864 | 8,328,288 | ||||||
Brown Group Holding LLC | ||||||||
5.62% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 06/07/28 | 8,742,946 | 8,291,198 | ||||||
Quikrete Holdings, Inc. | ||||||||
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/12/28 | 7,960,000 | 7,644,943 | ||||||
Beacon Roofing Supply, Inc. | ||||||||
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/19/28 | 7,900,000 | 7,603,750 | ||||||
Core & Main, LP | ||||||||
5.17% ((1 Month USD LIBOR + 2.50%) and (3 Month USD LIBOR + 2.50%), Rate Floor: 2.50%) due 07/27/28 | 7,623,000 | 7,270,436 | ||||||
BWAY Holding Co. | ||||||||
5.81% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | 7,634,138 | 7,095,015 | ||||||
Atlantic Aviation | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 09/22/28 | 7,394,125 | 7,044,457 | ||||||
Charter Next Generation, Inc. | ||||||||
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27 | 7,164,541 | 6,783,961 | ||||||
CPG International LLC | ||||||||
4.09% (6 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 04/28/29††† | 7,000,000 | 6,737,500 | ||||||
PECF USS Intermediate Holding III Corp. | ||||||||
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28 | 7,886,151 | 6,709,774 | ||||||
Berry Global, Inc. | ||||||||
4.18% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26 | 6,911,938 | 6,683,567 | ||||||
Engineered Machinery Holdings, Inc. | ||||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 05/19/28 | 6,947,500 | 6,669,600 | ||||||
LTI Holdings, Inc. | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/08/25 | 6,920,029 | 6,387,187 | ||||||
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Aegion Corp. | ||||||||
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 05/17/28††† | 6,964,818 | $ | 6,355,396 | |||||
Alliance Laundry Systems LLC | ||||||||
5.96% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/08/27 | 6,619,185 | 6,335,090 | ||||||
Titan Acquisition Ltd. (Husky) | ||||||||
5.88% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 | 6,799,144 | 6,073,879 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25 | 6,182,253 | 5,897,436 | ||||||
TricorBraun Holdings, Inc. | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28 | 6,236,891 | 5,845,526 | ||||||
Icebox Holdco III, Inc. | ||||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/28 | 5,977,107 | 5,588,595 | ||||||
Ring Container Technologies Group LLC | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 08/14/28 | 5,229,281 | 5,028,843 | ||||||
USIC Holding, Inc. | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 05/12/28 | 5,303,944 | 4,956,960 | ||||||
Standard Industries, Inc. | ||||||||
6.68% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 09/22/28 | 5,062,000 | 4,902,243 | ||||||
Gardner Denver, Inc. | ||||||||
4.88% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 03/01/27 | 4,911,839 | 4,757,312 | ||||||
Reynolds Group Holdings, Inc. | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/05/26 | 4,868,287 | 4,648,338 | ||||||
Duran Group Holding GMBH | ||||||||
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/29/24††† | EUR 3,791,039 | 3,550,412 | ||||||
4.04% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 12/20/24††† | EUR 736,721 | 689,960 | ||||||
Pro Mach Group, Inc. | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28 | 4,368,229 | 4,156,850 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Filtration Group Corp. | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 10/23/28 | 2,871,000 | $ | 2,719,067 | |||||
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25 | 1,339,058 | 1,283,406 | ||||||
US Farathane LLC | ||||||||
7.92% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/23/24 | 4,212,926 | 3,665,246 | ||||||
DG Investment Intermediate Holdings 2, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/31/28 | 3,851,378 | 3,581,781 | ||||||
Hillman Group, Inc. | ||||||||
5.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/14/28 | 3,663,174 | 3,491,004 | ||||||
Berlin Packaging LLC | ||||||||
6.38% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.25%) due 03/13/28 | 3,415,500 | 3,219,109 | ||||||
Osmose Utility Services, Inc. | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 06/23/28 | 3,505,266 | 3,207,319 | ||||||
Savage Enterprises LLC | ||||||||
6.34% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 09/15/28 | 2,850,252 | 2,759,756 | ||||||
Ravago Holdings America, Inc. | ||||||||
6.18% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/06/28 | 2,807,250 | 2,687,942 | ||||||
Mileage Plus Holdings LLC | ||||||||
8.78% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | 2,660,000 | 2,666,171 | ||||||
API Heat Transfer | ||||||||
12.00% (3 Month USD LIBOR) (in-kind rate was 12.00%) due 01/01/24†††,3 | 3,646,208 | 1,823,104 | ||||||
12.00% (3 Month USD LIBOR) (in-kind rate was 12.00%) due 10/02/23†††,3 | 650,522 | 552,944 | ||||||
United Airlines, Inc. | ||||||||
6.53% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28 | 2,338,064 | 2,227,334 | ||||||
Air Canada | ||||||||
6.42% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | 2,200,000 | 2,088,042 | ||||||
TK Elevator Midco GmbH | ||||||||
6.87% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27 | 1,866,998 | 1,786,101 | ||||||
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Protective Industrial Products, Inc. | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/29/27††† | 1,836,888 | $ | 1,726,675 | |||||
Sundyne (Star US Bidco) | ||||||||
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/17/27 | 1,476,514 | 1,393,461 | ||||||
TAMKO Building Products, Inc. | ||||||||
6.08% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/29/26 | 1,178,734 | 1,110,462 | ||||||
YAK MAT (YAK ACCESS LLC) | ||||||||
13.64% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26††† | 2,550,000 | 765,000 | ||||||
Griffon Corporation | ||||||||
5.49% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 01/24/29 | 403,000 | 386,546 | ||||||
Total Industrial | 277,984,898 | |||||||
Consumer, Non-cyclical — 18.0% | ||||||||
Osmosis Holdings Australia II Pty Ltd. | ||||||||
6.35% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 07/30/28 | 5,985,000 | 5,547,377 | ||||||
4.50% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 07/31/28 | 5,092,593 | 4,726,588 | ||||||
Del Monte Foods, Inc. | ||||||||
7.37% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 05/16/29 | 10,000,000 | 9,558,300 | ||||||
Bombardier Recreational Products, Inc. | ||||||||
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27 | 9,953,254 | 9,505,358 | ||||||
Elanco Animal Health, Inc. | ||||||||
4.31% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27 | 9,523,234 | 9,041,168 | ||||||
Electron BidCo, Inc. | ||||||||
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.76%) due 11/01/28 | 9,452,500 | 8,941,025 | ||||||
VC GB Holdings I Corp. | ||||||||
6.38% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/21/28 | 9,875,375 | 8,597,798 | ||||||
Grifols Worldwide Operations USA, Inc. | ||||||||
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 11/15/27 | 8,730,304 | 8,270,741 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Medical Solutions Parent Holdings, Inc. | ||||||||
6.38% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/01/28 | 7,977,077 | $ | 7,578,223 | |||||
Hayward Industries, Inc. | ||||||||
5.62% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 05/30/28 | 7,702,500 | 7,249,978 | ||||||
Triton Water Holdings, Inc. | ||||||||
7.17% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 03/31/28 | 7,900,008 | 7,071,614 | ||||||
Kronos Acquisition Holdings, Inc. | ||||||||
6.82% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | 7,319,625 | 6,762,528 | ||||||
Aramark Services, Inc. | ||||||||
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/11/25 | 6,900,000 | 6,658,500 | ||||||
Medline Borrower LP | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 10/23/28 | 7,182,000 | 6,591,711 | ||||||
National Mentor Holdings, Inc. | ||||||||
7.18% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28 | 8,821,700 | 6,252,380 | ||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28 | 276,228 | 195,777 | ||||||
Perrigo Investments LLC | ||||||||
5.63% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 04/20/29 | 6,483,750 | 6,370,284 | ||||||
Quirch Foods Holdings LLC | ||||||||
7.93% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 10/27/27††† | 6,685,975 | 6,243,029 | ||||||
Mission Veterinary Partners | ||||||||
7.25% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28 | 6,442,462 | 6,047,862 | ||||||
HAH Group Holding Co. LLC | ||||||||
8.71% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27††† | 6,268,500 | 5,955,075 | ||||||
Recess Holdings, Inc. | ||||||||
6.55% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24 | 5,521,178 | 5,323,355 | ||||||
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Weber-Stephen Products LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 10/29/27 | 6,459,973 | $ | 5,218,431 | |||||
Froneri US, Inc. | ||||||||
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27 | 5,489,772 | 5,169,993 | ||||||
Chefs’ Warehouse, Inc. | ||||||||
7.93% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 08/23/29 | 4,850,000 | 4,813,625 | ||||||
US Foods, Inc. | ||||||||
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/14/26 | 4,961,637 | 4,807,628 | ||||||
Phoenix Newco, Inc. | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 11/15/28 | 4,987,500 | 4,750,594 | ||||||
DaVita, Inc. | ||||||||
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/12/26 | 4,899,244 | 4,649,040 | ||||||
Southern Veterinary Partners LLC | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27 | 4,735,360 | 4,468,996 | ||||||
KDC US Holdings, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/22/25 | 4,486,698 | 4,224,989 | ||||||
Dermatology Intermediate Holdings III, Inc. | ||||||||
6.85% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29††† | 4,403,766 | 4,183,578 | ||||||
7.12% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29 | 130,381 | 123,862 | ||||||
Cidron New Bidco Ltd. | ||||||||
3.69% (1 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 04/16/25 | EUR 4,125,000 | 3,793,601 | ||||||
Resonetics LLC | ||||||||
6.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/28/28 | 3,581,910 | 3,393,859 | ||||||
CHG PPC Parent LLC | ||||||||
6.13% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 12/08/28††† | 3,034,750 | 2,898,186 | ||||||
Icon Luxembourg SARL | ||||||||
5.94% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 07/03/28 | 2,833,056 | 2,765,062 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Energizer Holdings, Inc. | ||||||||
5.31% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27 | 2,807,250 | $ | 2,677,415 | |||||
Agiliti | ||||||||
5.38% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/04/26 | 2,672,308 | 2,578,777 | ||||||
Sigma Holding BV (Flora Food) | ||||||||
3.74% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25 | EUR 3,000,000 | 2,346,545 | ||||||
Pearl Intermediate Parent LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25 | 2,523,980 | 2,325,216 | ||||||
Blue Ribbon LLC | ||||||||
8.56% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28 | 2,728,205 | 2,322,385 | ||||||
TGP Holdings LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/29/28 | 2,958,397 | 2,316,809 | ||||||
Arctic Glacier Group Holdings, Inc. | ||||||||
7.17% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/20/24 | 2,272,564 | 1,998,152 | ||||||
Cambrex Corp. | ||||||||
6.63% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/04/26 | 1,831,477 | 1,750,782 | ||||||
Avantor Funding, Inc. | ||||||||
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 11/08/27 | 1,728,461 | 1,679,044 | ||||||
Endo Luxembourg Finance Company I SARL | ||||||||
12.25% (Commercial Prime Lending Rate + 6.00%, Rate Floor: 7.75%) due 03/27/28 | 1,896,000 | 1,596,432 | ||||||
Aveanna Healthcare LLC | ||||||||
6.80% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/17/28 | 1,106,965 | 880,038 | ||||||
Upstream Newco, Inc. | ||||||||
8.06% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 11/20/26 | 740,625 | 685,078 | ||||||
Total Consumer, Non-cyclical | 220,906,788 | |||||||
Consumer, Cyclical — 15.2% | ||||||||
Thevelia US LLC | ||||||||
7.70% (3 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 06/18/29 | 11,770,500 | 11,123,123 | ||||||
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
First Brands Group LLC | ||||||||
7.94% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 03/30/27 | 9,959,869 | $ | 9,551,515 | |||||
Fertitta Entertainment LLC | ||||||||
7.03% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/27/29 | 9,452,500 | 8,753,393 | ||||||
Packers Holdings LLC | ||||||||
6.01% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28 | 8,991,979 | 8,233,325 | ||||||
AlixPartners, LLP | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 02/04/28 | 8,125,342 | 7,788,709 | ||||||
Truck Hero, Inc. | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 01/31/28 | 8,935,588 | 7,766,545 | ||||||
Stars Group (Amaya) | ||||||||
5.89% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26 | 7,583,263 | 7,285,620 | ||||||
WIRB - Copernicus Group, Inc. | ||||||||
7.46% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 01/08/27 | 7,370,058 | 6,915,546 | ||||||
Congruex Group LLC | ||||||||
8.48% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 05/03/29††† | 6,982,500 | 6,773,025 | ||||||
Power Solutions (Panther) | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26 | 6,867,314 | 6,481,028 | ||||||
IBC Capital Ltd. | ||||||||
6.69% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23 | 7,071,805 | 6,473,672 | ||||||
American Tire Distributors, Inc. | ||||||||
9.03% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.00%) due 10/20/28 | 6,965,000 | 6,462,545 | ||||||
Alterra Mountain Co. | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/17/28 | 6,623,710 | 6,408,439 | ||||||
Mavis Tire Express Services TopCo Corp. | ||||||||
7.25% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 05/04/28 | 6,842,853 | 6,402,378 | ||||||
Eagle Parent Corp. | ||||||||
7.80% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29 | 6,343,125 | 6,158,096 | ||||||
PetSmart LLC | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28 | 6,286,500 | 5,935,525 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Galaxy US Opco, Inc. | ||||||||
7.78% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 04/30/29††† | 6,000,000 | $ | 5,625,000 | |||||
Scientific Games Holdings, LP | ||||||||
5.62% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 04/04/29 | 5,950,000 | 5,497,562 | ||||||
1011778 BC Unlimited Liability Co. | ||||||||
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/19/26 | 5,748,037 | 5,484,260 | ||||||
Entain Holdings (Gibraltar) Ltd. | ||||||||
6.17% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.99%) due 03/29/27 | 5,200,999 | 5,051,470 | ||||||
Zephyr Bidco Ltd. | ||||||||
6.44% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 07/23/25 | GBP 5,265,000 | 4,821,267 | ||||||
Penn National Gaming, Inc. | ||||||||
5.88% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 05/03/29 | 4,788,000 | 4,595,139 | ||||||
Burlington Stores, Inc. | ||||||||
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/26/28 | 4,690,625 | 4,444,367 | ||||||
PCI Gaming Authority, Inc. | ||||||||
5.62% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/29/26 | 4,257,140 | 4,129,425 | ||||||
CNT Holdings I Corp. | ||||||||
6.25% (1 Month Term SOFR + 3.50%, Rate Floor: 4.25%) due 11/08/27 | 3,743,000 | 3,559,181 | ||||||
EG Finco Ltd. | ||||||||
5.19% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25 | EUR 3,298,434 | 2,833,556 | ||||||
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25 | 765,600 | 712,490 | ||||||
Rent-A-Center, Inc. | ||||||||
6.06% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28 | 3,251,723 | 2,942,809 | ||||||
Michaels Stores, Inc. | ||||||||
7.92% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 04/14/28 | 3,236,273 | 2,595,491 | ||||||
TTF Holdings Intermediate LLC | ||||||||
7.13% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 03/31/28 | 2,661,120 | 2,581,287 | ||||||
Peloton Interactive, Inc. | ||||||||
8.35% (6 Month Term SOFR + 6.50%, Rate Floor: 6.50%) due 05/25/27 | 2,493,750 | 2,428,289 | ||||||
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Seren BidCo AB | ||||||||
6.57% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/16/28 | 2,183,500 | $ | 2,060,678 | |||||
BCPE Empire Holdings, Inc. | ||||||||
7.76% (1 Month Term SOFR + 4.63%, Rate Floor: 4.63%) due 06/11/26 | 2,039,750 | 1,942,862 | ||||||
Alexander Mann | ||||||||
7.19% (3 Month GBP SONIA + 5.00%, Rate Floor: 5.00%) due 06/16/25 | GBP 1,540,000 | 1,633,779 | ||||||
American Trailer World Corp. | ||||||||
6.88% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/03/28 | 1,580,000 | 1,429,236 | ||||||
WW International, Inc. | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 04/13/28 | 1,653,750 | 1,150,398 | ||||||
Sweetwater Sound | ||||||||
7.38% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 08/07/28††† | 1,233,977 | 1,122,919 | ||||||
SHO Holding I Corp. | ||||||||
8.06% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/26/24 | 558,656 | 474,858 | ||||||
8.04% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24 | 9,357 | 7,954 | ||||||
New Trojan Parent, Inc. | ||||||||
6.04% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 01/06/28††† | 207,704 | 163,048 | ||||||
Total Consumer, Cyclical | 185,799,809 | |||||||
Technology — 12.0% | ||||||||
Wrench Group LLC | ||||||||
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/30/26 | 10,454,192 | 10,101,363 | ||||||
Conair Holdings LLC | ||||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28 | 12,037,908 | 10,081,748 | ||||||
Polaris Newco LLC | ||||||||
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28 | 10,288,888 | 9,471,539 | ||||||
Informatica LLC | ||||||||
5.88% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/27/28 | 9,452,500 | 9,151,249 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Ascend Learning LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 12/11/28 | 9,031,750 | $ | 8,318,242 | |||||
Misys Ltd. | ||||||||
6.87% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24 | 9,244,553 | 7,987,294 | ||||||
Emerald TopCo, Inc. (Press Ganey) | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 | 8,528,771 | 7,739,859 | ||||||
Athenahealth Group, Inc. | ||||||||
6.58% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/15/29 | 8,333,173 | 7,449,856 | ||||||
WEX, Inc. | ||||||||
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 03/31/28 | 7,683,000 | 7,440,524 | ||||||
Peraton Corp. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | 7,494,516 | 7,089,812 | ||||||
RealPage, Inc. | ||||||||
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 04/24/28 | 7,046,750 | 6,590,684 | ||||||
CoreLogic, Inc. | ||||||||
6.63% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 06/02/28 | 8,631,113 | 6,451,757 | ||||||
Entegris, Inc. | ||||||||
5.68% ((1 Month Term SOFR + 3.00%) and (6 Month Term SOFR + 3.00%), Rate Floor: 3.00%) due 07/06/29 | 6,500,000 | 6,442,215 | ||||||
Atlas CC Acquisition Corp. | ||||||||
7.32% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28 | 6,821,803 | 5,965,667 | ||||||
Boxer Parent Company, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25 | 6,048,145 | 5,718,400 | ||||||
Sabre GLBL, Inc. | ||||||||
8.13% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 06/30/28 | 3,396,875 | 3,137,863 | ||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 12/17/27 | 1,382,500 | 1,234,462 | ||||||
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24 | 1,089,598 | 1,072,579 | ||||||
Verscend Holding Corp. | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/27/25 | 4,334,753 | 4,193,874 | ||||||
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
CCC Intelligent Solutions, Inc. | ||||||||
4.37% (1 Month USD LIBOR + 1.25%, Rate Floor: 2.26%) due 09/21/28 | 3,970,000 | $ | 3,831,050 | |||||
Taxware Holdings (Sovos Compliance LLC) | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28 | 3,775,697 | 3,592,576 | ||||||
Epicor Software | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 07/30/27 | 3,702,771 | 3,460,943 | ||||||
Park Place Technologies, LLC | ||||||||
8.13% (1 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 11/10/27 | 3,638,048 | 3,444,030 | ||||||
Project Ruby Ultimate Parent Corp. | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28 | 3,447,500 | 3,208,761 | ||||||
CDK Global, Inc. | ||||||||
6.61% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 07/06/29 | 3,000,000 | 2,884,440 | ||||||
Imprivata, Inc. | ||||||||
7.28% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/01/27 | 650,000 | 627,048 | ||||||
Ep Purchaser LLC | ||||||||
7.17% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/06/28 | 247,581 | 240,896 | ||||||
Total Technology | 146,928,731 | |||||||
Financial — 9.4% | ||||||||
Teneo Holdings LLC | ||||||||
8.38% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/11/25 | 9,793,988 | 9,222,705 | ||||||
AqGen Island Holdings, Inc. | ||||||||
7.19% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/02/28 | 9,186,711 | 8,336,940 | ||||||
FleetCor Technologies Operating Company LLC | ||||||||
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/28/28 | 8,513,870 | 8,189,832 | ||||||
Aretec Group, Inc. | ||||||||
7.38% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 10/01/25 | 7,555,625 | 7,398,241 | ||||||
NFP Corp. | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27 | 7,687,367 | 7,206,907 | ||||||
Jane Street Group LLC | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28 | 7,270,500 | 6,963,031 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Alliant Holdings Intermediate LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 | 7,188,198 | $ | 6,877,093 | |||||
AmWINS Group, Inc. | ||||||||
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28 | 6,907,427 | 6,595,004 | ||||||
Focus Financial Partners LLC | ||||||||
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24 | 6,671,670 | 6,497,472 | ||||||
HarbourVest Partners, LP | ||||||||
4.76% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 03/03/25 | 6,154,741 | 5,927,816 | ||||||
Duff & Phelps | ||||||||
6.78% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/09/27 | 4,935,656 | 4,647,759 | ||||||
Nexus Buyer LLC | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 | 4,636,914 | 4,442,766 | ||||||
Citadel Securities, LP | ||||||||
5.65% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 02/02/28 | 4,443,750 | 4,309,327 | ||||||
Franchise Group, Inc. | ||||||||
7.56% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26 | 3,955,564 | 3,685,280 | ||||||
Trans Union LLC | ||||||||
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28 | 3,712,911 | 3,589,940 | ||||||
Virtu Financial | ||||||||
6.12% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 01/13/29 | 3,600,000 | 3,441,384 | ||||||
Ryan Specialty Group LLC | ||||||||
6.13% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 09/01/27††† | 3,528,000 | 3,404,520 | ||||||
Apex Group Treasury LLC | ||||||||
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/27/28††† | 3,465,000 | 3,291,750 | ||||||
Cobham Ultra SeniorCo SARL | ||||||||
7.06% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 08/03/29 | 3,300,000 | 3,151,500 | ||||||
HighTower Holding LLC | ||||||||
6.73% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28 | 2,679,750 | 2,477,107 | ||||||
HUB International Ltd. | ||||||||
5.98% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 04/25/25 | 2,128,338 | 2,047,205 | ||||||
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Blackstone Mortgage Trust, Inc. | ||||||||
6.53% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 05/09/29 | 1,845,375 | $ | 1,762,333 | |||||
Zodiac Pool Solutions LLC | ||||||||
5.13% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 01/29/29 | 1,687,250 | 1,630,609 | ||||||
Total Financial | 115,096,521 | |||||||
Communications — 9.1% | ||||||||
Xplornet Communications, Inc. | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28 | 10,832,436 | 9,502,755 | ||||||
Zayo Group Holdings, Inc. | ||||||||
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27 | 6,648,468 | 5,535,714 | ||||||
7.28% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/09/27 | 3,980,000 | 3,447,675 | ||||||
Titan AcquisitionCo New Zealand Ltd. (Trade Me) | ||||||||
4.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/18/28 | 9,452,500 | 8,916,827 | ||||||
UPC Broadband Holding BV | ||||||||
5.74% (1 Month USD LIBOR + 2.93%, Rate Floor: 2.93%) due 01/31/29 | 9,300,000 | 8,858,250 | ||||||
McGraw Hill LLC | ||||||||
8.32% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28 | 8,616,970 | 7,927,612 | ||||||
Virgin Media Bristol LLC | ||||||||
5.32% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28 | 7,916,233 | 7,542,428 | ||||||
WMG Acquisition Corp. | ||||||||
5.24% (1 Month USD LIBOR + 2.13%, Rate Floor: 2.13%) due 01/20/28 | 7,000,000 | 6,772,500 | ||||||
CSC Holdings LLC | ||||||||
5.07% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/17/25 | 6,779,964 | 6,445,237 | ||||||
Ziggo Financing Partnership | ||||||||
5.32% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28 | 6,685,000 | 6,370,805 | ||||||
SBA Senior Finance II LLC | ||||||||
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/11/25 | 6,484,106 | 6,297,688 | ||||||
Playtika Holding Corp. | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28 | 6,482,844 | 6,197,015 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Authentic Brands | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24 | 5,353,601 | $ | 5,218,422 | |||||
Cengage Learning Acquisitions, Inc. | ||||||||
7.81% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26 | 5,132,198 | 4,634,221 | ||||||
SFR Group S.A. | ||||||||
6.20% (3 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 02/02/26 | 3,336,102 | 3,019,173 | ||||||
5.56% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/31/25 | 1,632,364 | 1,485,451 | ||||||
Radiate Holdco LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26 | 4,651,351 | 4,292,639 | ||||||
Telenet Financing USD LLC | ||||||||
4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/28/28 | 4,000,000 | 3,785,000 | ||||||
Level 3 Financing, Inc. | ||||||||
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/01/27 | 2,588,000 | 2,454,149 | ||||||
Recorded Books, Inc. | ||||||||
7.08% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 08/29/25 | 2,200,000 | 2,112,000 | ||||||
Cincinnati Bell, Inc. | ||||||||
6.38% (1 Month Term SOFR + 3.35%, Rate Floor: 3.35%) due 11/22/28 | 992,500 | 949,902 | ||||||
Total Communications | 111,765,463 | |||||||
Basic Materials — 3.7% | ||||||||
Messer Industries USA, Inc. | ||||||||
6.17% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/02/26 | 9,353,371 | 8,926,670 | ||||||
Illuminate Buyer LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27 | 7,640,935 | 6,905,495 | ||||||
CTEC III GmbH | ||||||||
4.33% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/16/29 | EUR 7,500,000 | 6,455,528 | ||||||
Diamond BC BV | ||||||||
5.56% (3 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 09/29/28 | 5,260,250 | 4,836,800 | ||||||
Ascend Performance Materials Operations LLC | ||||||||
8.42% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 08/27/26 | 3,385,851 | 3,308,823 | ||||||
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Asplundh Tree Expert LLC | ||||||||
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 09/07/27 | 3,242,614 | $ | 3,154,610 | |||||
NIC Acquisition Corp. | ||||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27 | 3,998,160 | 3,101,892 | ||||||
INEOS Ltd. | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 01/29/26 | 2,567,500 | 2,388,853 | ||||||
GrafTech Finance, Inc. | ||||||||
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25 | 1,921,721 | 1,792,005 | ||||||
W.R. Grace Holdings LLC | ||||||||
7.44% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 09/22/28 | 1,736,875 | 1,621,807 | ||||||
DCG Acquisition Corp. | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26 | 1,695,766 | 1,578,470 | ||||||
Trinseo Materials Operating S.C.A. | ||||||||
5.62% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28 | 1,580,000 | 1,445,210 | ||||||
Total Basic Materials | 45,516,163 | |||||||
Energy — 0.7% | ||||||||
TransMontaigne Operating Company LP | ||||||||
6.52% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/17/28 | 3,870,750 | 3,660,298 | ||||||
AL GCX Holdings LLC | ||||||||
5.92% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 05/17/29 | 3,700,000 | 3,642,650 | ||||||
Permian Production Partners LLC | ||||||||
11.12% (1 Month USD LIBOR + 6.00%, Rate Floor: 9.12%) (in-kind rate was 2.00%) due 11/24/25†††,3 | 806,698 | 804,681 | ||||||
Total Energy | 8,107,629 | |||||||
Utilities — 0.3% | ||||||||
Granite Generation LLC | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/09/26 | 3,486,157 | 3,329,280 | ||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $1,199,226,571) | 1,115,435,282 | |||||||
CORPORATE BONDS†† - 3.7% | ||||||||
Consumer, Non-cyclical — 1.7% | ||||||||
Nathan’s Famous, Inc. | ||||||||
6.63% due 11/01/254 | 3,135,000 | 3,103,650 | ||||||
Sotheby’s | ||||||||
7.38% due 10/15/274 | 2,875,000 | 2,640,659 | ||||||
CPI CG, Inc. | ||||||||
8.63% due 03/15/264 | 2,689,000 | 2,499,587 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc. | ||||||||
5.00% due 02/01/264 | 2,875,000 | $ | 2,461,949 | |||||
Cheplapharm Arzneimittel GmbH | ||||||||
5.50% due 01/15/284 | 2,975,000 | 2,454,375 | ||||||
ADT Security Corp. | ||||||||
4.13% due 08/01/294 | 2,875,000 | 2,386,250 | ||||||
Tenet Healthcare Corp. | ||||||||
4.38% due 01/15/304 | 2,800,000 | 2,337,160 | ||||||
WW International, Inc. | ||||||||
4.50% due 04/15/294 | 2,875,000 | 1,502,435 | ||||||
HCA, Inc. | ||||||||
4.50% due 02/15/27 | 1,500,000 | 1,400,266 | ||||||
Total Consumer, Non-cyclical | 20,786,331 | |||||||
Communications — 0.7% | ||||||||
VZ Secured Financing BV | ||||||||
5.00% due 01/15/324 | 3,500,000 | 2,614,836 | ||||||
LCPR Senior Secured Financing DAC | ||||||||
6.75% due 10/15/274 | 2,875,000 | 2,386,250 | ||||||
Altice France S.A. | ||||||||
5.50% due 10/15/294 | 2,850,000 | 2,144,294 | ||||||
McGraw-Hill Education, Inc. | ||||||||
5.75% due 08/01/284 | 1,575,000 | 1,315,150 | ||||||
Total Communications | 8,460,530 | |||||||
Energy — 0.3% | ||||||||
Sabine Pass Liquefaction LLC | ||||||||
5.63% due 04/15/23 | 4,200,000 | 4,202,220 | ||||||
Consumer, Cyclical — 0.3% | ||||||||
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc. | ||||||||
4.63% due 01/15/294 | 5,000,000 | 4,137,500 | ||||||
Industrial — 0.3% | ||||||||
New Enterprise Stone & Lime Company, Inc. | ||||||||
5.25% due 07/15/284 | 2,875,000 | 2,376,259 | ||||||
Brundage-Bone Concrete Pumping Holdings, Inc. | ||||||||
6.00% due 02/01/264 | 1,412,000 | 1,274,330 | ||||||
Total Industrial | 3,650,589 | |||||||
Basic Materials — 0.2% | ||||||||
WR Grace Holdings LLC | ||||||||
4.88% due 06/15/274 | 1,975,000 | 1,697,769 | ||||||
Mirabela Nickel Ltd. | ||||||||
due 06/24/195,6 | 1,279,819 | 63,991 | ||||||
Total Basic Materials | 1,761,760 | |||||||
Financial — 0.1% | ||||||||
Hunt Companies, Inc. | ||||||||
5.25% due 04/15/294 | 1,850,000 | 1,416,601 | ||||||
Lincoln Financing SARL | ||||||||
3.88% (3 Month EURIBOR + 3.88%, Rate Floor: 3.88%) due 04/01/24◊,4 | EUR 350,000 | 334,323 | ||||||
Total Financial | 1,750,924 | |||||||
Total Corporate Bonds | ||||||||
(Cost $53,661,861) | 44,749,854 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 0.8% | ||||||||
Residential Mortgage-Backed Securities — 0.8% | ||||||||
RALI Series Trust | ||||||||
2006-QO6, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/46◊ | 10,477,997 | 2,484,583 | ||||||
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
2006-QO2, 3.52% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46◊ | 416,751 | $ | 91,316 | |||||
Washington Mutual Mortgage Pass-Through Certificates Trust | ||||||||
2007-OA6, 1.91% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/47◊ | 2,403,359 | 1,968,320 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | ||||||||
2006-AR9, 1.94% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊ | 1,624,351 | 1,315,909 | ||||||
American Home Mortgage Assets Trust | ||||||||
2006-4, 3.29% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 10/25/46◊ | 2,312,072 | 1,278,351 | ||||||
Lehman XS Trust Series | ||||||||
2006-16N, 3.46% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 11/25/46◊ | 1,338,509 | 1,156,587 | ||||||
Nomura Resecuritization Trust | ||||||||
2015-4R, 2.20% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,4 | 753,971 | 670,320 | ||||||
Alliance Bancorp Trust | ||||||||
2007-OA1, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 07/25/37◊ | 381,105 | 320,572 | ||||||
Morgan Stanley Re-REMIC Trust | ||||||||
2010-R5, 2.40% due 06/26/364 | 293,838 | 263,313 | ||||||
New Century Home Equity Loan Trust | ||||||||
2004-4, 3.88% (1 Month USD LIBOR + 0.80%, Rate Cap/Floor: 12.50%/0.80%) due 02/25/35◊ | 156,837 | 149,358 | ||||||
GSAA Home Equity Trust | ||||||||
2007-7, 3.62% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/37◊ | 132,112 | 127,230 | ||||||
Total Residential Mortgage-Backed Securities | 9,825,859 | |||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $12,773,455) | 9,825,859 | |||||||
ASSET-BACKED SECURITIES†† - 0.1% | ||||||||
Collateralized Loan Obligations — 0.1% | ||||||||
Octagon Loan Funding Ltd. | ||||||||
2014-1A SUB, due 11/18/314,7 | 2,071,948 | 645,826 | ||||||
Treman Park CLO Ltd. | ||||||||
2015-1A COM, due 10/20/284,7 | 977,702 | 121,558 | ||||||
Avery Point II CLO Ltd. | ||||||||
2013-3X COM , due 01/18/257 | 1,361,673 | 34,654 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
OHA Credit Partners IX Ltd. | ||||||||
2013-9A ACOM, due 10/20/254,7 | 1,808,219 | $ | 1,989 | |||||
Total Collateralized Loan Obligations | 804,027 | |||||||
Total Asset-Backed Securities | ||||||||
(Cost $389,515) | 804,027 | |||||||
Total Investments — 99.5% | ||||||||
(Cost $1,320,629,763) | $ | 1,220,222,638 | ||||||
Other Assets & Liabilities, net — 0.5% | 5,530,968 | |||||||
Total Net Assets — 100.0% | $ | 1,225,753,606 | ||||||
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
Bank of America, N.A. | EUR | Sell | 21,930,000 | 21,962,676 USD | 10/17/22 | $ | 448,999 | |||||||||||||||||
Morgan Stanley Capital Services LLC | GBP | Sell | 6,137,000 | 7,073,764 USD | 10/17/22 | 218,143 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | GBP | Buy | 127,000 | 137,627 USD | 10/17/22 | 4,244 | ||||||||||||||||||
Citibank, N.A. | GBP | Buy | 69,000 | 77,048 USD | 10/17/22 | 32 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Buy | 1,053,000 | 1,043,835 USD | 10/17/22 | (10,825 | ) | |||||||||||||||||
| $ | 660,593 | |||||||||||||||||||||||
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 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 September 30, 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 September 30, 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 $40,786,383 (cost $48,146,779), or 3.3% 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 0.01% 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 | |
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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | — | $ | — | $ | 568,337 | $ | 568,337 | ||||||||
Preferred Stocks | — | — | — | * | — | |||||||||||
Exchange-Traded Funds | 35,247,923 | — | — | 35,247,923 | ||||||||||||
Money Market Fund | 13,591,356 | — | — | 13,591,356 | ||||||||||||
Senior Floating Rate Interests | — | 1,043,964,544 | 71,470,738 | 1,115,435,282 | ||||||||||||
Corporate Bonds | — | 44,749,854 | — | 44,749,854 | ||||||||||||
Collateralized Mortgage Obligations | — | 9,825,859 | — | 9,825,859 | ||||||||||||
Asset-Backed Securities | — | 804,027 | — | 804,027 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 671,418 | — | 671,418 | ||||||||||||
Total Assets | $ | 48,839,279 | $ | 1,100,015,702 | $ | 72,039,075 | $ | 1,220,894,056 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Exchange Contracts** | $ | — | $ | 10,825 | $ | — | $ | 10,825 | ||||||||
Unfunded Loan Commitments (Note 8) | — | ��� | 542,584 | 542,584 | ||||||||||||
Total Liabilities | $ | — | $ | 10,825 | $ | 542,584 | $ | 553,409 | ||||||||
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
FLOATING RATE STRATEGIES 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 | Valuation | Unobservable | Input | Weighted | |||||||||
Assets: | ||||||||||||||
Common Stocks | $ | 567,837 | Enterprise Value | Valuation Multiple | 2.6x-12.3x | 4.2x | ||||||||
Common Stocks | 500 | Model Price | Liquidation Value | — | — | |||||||||
Senior Floating Rate Interests | 2,376,048 | Model Price | Purchase Price | — | — | |||||||||
Senior Floating Rate Interests | 64,854,318 | Third Party Pricing | Broker Quote | — | — | |||||||||
Senior Floating Rate Interests | 4,240,372 | Yield Analysis | Yield | 7.5% | — | |||||||||
Total Assets | $ | 72,039,075 | ||||||||||||
Liabilities: | ||||||||||||||
Unfunded Loan Commitments | $ | 542,584 | Model Price | Purchase price | — | — | ||||||||
* | Inputs are weighted by the fair value of the instruments. |
Significant changes in a quote, yield, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.
The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $8,409,892 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $1,992,028 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2022 |
FLOATING RATE STRATEGIES FUND |
Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2022:
Assets | Liabilities | |||||||||||||||||||
| Asset-Backed | Senior | Common | Total | Unfunded | |||||||||||||||
Beginning Balance | $ | 90 | $ | 14,390,405 | $ | 785,225 | $ | 15,175,720 | $ | (7,155 | ) | |||||||||
Purchases/(Receipts) | — | 59,763,080 | — | 59,763,080 | (78,932 | ) | ||||||||||||||
(Sales, maturities and paydowns)/Fundings | — | (6,930,777 | ) | (1,316 | ) | (6,932,093 | ) | 93,369 | ||||||||||||
Amortization of premiums/discounts | — | 500,315 | — | 500,315 | 15,524 | |||||||||||||||
Total realized gains (losses) included in earnings | (723,185 | ) | (4,664 | ) | (10,513 | ) | (738,362 | ) | (77,967 | ) | ||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | 723,095 | (2,665,485 | ) | (205,059 | ) | (2,147,449 | ) | (487,423 | ) | |||||||||||
Transfers into Level 3 | — | 8,409,892 | — | 8,409,892 | — | |||||||||||||||
Transfers out of Level 3 | — | (1,992,028 | ) | — | (1,992,028 | ) | — | |||||||||||||
Ending Balance | $ | — | $ | 71,470,738 | $ | 568,337 | $ | 72,039,075 | $ | (542,584 | ) | |||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022 | $ | — | $ | (2,597,675 | ) | $ | (212,050 | ) | $ | (2,809,725 | ) | $ | (478,027 | ) | ||||||
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||
BP Holdco LLC* | $ | 172,216 | $ | — | $ | — | $ | — | $ | (24,088 | ) | $ | 148,128 | 244,278 | ||||||||||||||
Targus Group International Equity, Inc.* | 31,108 | — | — | — | 1,017 | 32,125 | 12,773 | |||||||||||||||||||||
| $ | 203,324 | $ | — | $ | — | $ | — | $ | (23,071 | ) | $ | 180,253 | ||||||||||||||||
* | Non-income producing security. |
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
FLOATING RATE STRATEGIES FUND |
September 30, 2022
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $1,320,538,482) | $ | 1,220,042,385 | ||
Investments in affiliated issuers, at value (cost $91,281) | 180,253 | |||
Foreign currency, at value (cost 112,250) | 113,094 | |||
Cash | 6,314,009 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 671,418 | |||
Prepaid expenses | 87,520 | |||
Receivables: | ||||
Securities sold | 14,143,868 | |||
Interest | 4,530,364 | |||
Fund shares sold | 1,117,696 | |||
Other assets | 7,850 | |||
Total assets | 1,247,208,457 | |||
Liabilities: | ||||
Unfunded loan commitments, at value (Note 8) (commitment fees received $63,798) | 542,584 | |||
Segregated cash due to broker | 1,015,000 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 10,825 | |||
Payable for: | ||||
Securities purchased | 12,949,895 | |||
Fund shares redeemed | 5,414,296 | |||
Management fees | 608,816 | |||
Distributions to shareholders | 577,562 | |||
Distribution and service fees | 81,531 | |||
Transfer agent/maintenance fees | 58,367 | |||
Fund accounting/administration fees | 13,670 | |||
Trustees’ fees* | 8,442 | |||
Due to Investment Adviser | 1,522 | |||
Miscellaneous | 172,341 | |||
Total liabilities | 21,454,851 | |||
Net assets | $ | 1,225,753,606 | ||
Net assets consist of: | ||||
Paid in capital | $ | 1,481,526,713 | ||
Total distributable earnings (loss) | (255,773,107 | ) | ||
Net assets | $ | 1,225,753,606 | ||
A-Class: | ||||
Net assets | $ | 154,159,924 | ||
Capital shares outstanding | 6,597,796 | |||
Net asset value per share | $ | 23.37 | ||
Maximum offering price per share (Net asset value divided by 97.00%) | $ | 24.09 | ||
C-Class: | ||||
Net assets | $ | 47,182,768 | ||
Capital shares outstanding | 2,020,135 | |||
Net asset value per share | $ | 23.36 | ||
P-Class: | ||||
Net assets | $ | 43,603,241 | ||
Capital shares outstanding | 1,865,344 | |||
Net asset value per share | $ | 23.38 | ||
Institutional Class: | ||||
Net assets | $ | 979,085,690 | ||
Capital shares outstanding | 41,866,084 | |||
Net asset value per share | $ | 23.39 | ||
R6-Class: | ||||
Net assets | $ | 1,721,983 | ||
Capital shares outstanding | 73,638 | |||
Net asset value per share | $ | 23.38 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
STATEMENT OF OPERATIONS |
FLOATING RATE STRATEGIES FUND |
Year Ended September 30, 2022
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 2,119,744 | ||
Interest from securities of unaffiliated issuers | 53,783,988 | |||
Total investment income | 55,903,732 | |||
Expenses: | ||||
Management fees | 7,873,587 | |||
Distribution and service fees: | ||||
A-Class | 374,104 | |||
C-Class | 516,181 | |||
P-Class | 107,299 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 111,254 | |||
C-Class | 56,248 | |||
P-Class | 38,600 | |||
Institutional Class | 710,995 | |||
R6-Class | 707 | |||
Fund accounting/administration fees | 720,264 | |||
Line of credit fees | 270,762 | |||
Professional fees | 82,493 | |||
Custodian fees | 31,144 | |||
Trustees’ fees* | 7,292 | |||
Interest expense | 3,293 | |||
Miscellaneous | 165,048 | |||
Recoupment of previously waived fees: | ||||
A-Class | 42,546 | |||
C-Class | 20,226 | |||
P-Class | 17,700 | |||
Institutional Class | 367,408 | |||
R6-Class | 1,043 | |||
Total expenses | 11,518,194 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (124,403 | ) | ||
C-Class | (66,674 | ) | ||
P-Class | (47,678 | ) | ||
Institutional Class | (780,679 | ) | ||
R6-Class | (793 | ) | ||
Expenses waived by Adviser | (22,121 | ) | ||
Earnings credits applied | (831 | ) | ||
Total waived/reimbursed expenses | (1,043,179 | ) | ||
Net expenses | 10,475,015 | |||
Net investment income | 45,428,717 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (6,404,668 | ) | ||
Forward foreign currency exchange contracts | 5,456,723 | |||
Foreign currency transactions | 234,478 | |||
Net realized loss | (713,467 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (93,536,497 | ) | ||
Investments in affiliated issuers | (23,071 | ) | ||
Forward foreign currency exchange contracts | (88,011 | ) | ||
Foreign currency translations | 1,994 | |||
Net change in unrealized appreciation (depreciation) | (93,645,585 | ) | ||
Net realized and unrealized loss | (94,359,052 | ) | ||
Net decrease in net assets resulting from operations | $ | (48,930,335 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS | |
FLOATING RATE STRATEGIES FUND | |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 45,428,717 | $ | 27,738,320 | ||||
Net realized (loss) on investments | (713,467 | ) | (13,132,511 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (93,645,585 | ) | 44,500,462 | |||||
Net increase (decrease) in net assets resulting from operations | (48,930,335 | ) | 59,106,271 | |||||
Distributions: | ||||||||
Distributions to shareholders: | ||||||||
A-Class | (5,383,798 | ) | (3,412,072 | ) | ||||
C-Class | (1,451,264 | ) | (1,100,775 | ) | ||||
P-Class | (1,548,137 | ) | (813,511 | ) | ||||
Institutional Class | (37,281,786 | ) | (14,371,249 | ) | ||||
R6-Class | (115,580 | ) | (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 | (45,780,565 | ) | (28,007,708 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 86,259,585 | 42,886,643 | ||||||
C-Class | 18,060,964 | 11,618,216 | ||||||
P-Class | 22,630,959 | 11,762,196 | ||||||
Institutional Class | 926,922,817 | 417,183,606 | ||||||
R6-Class | 21,224,287 | 425,184 | ||||||
Distributions reinvested | ||||||||
A-Class | 4,723,427 | 3,444,538 | ||||||
C-Class | 1,239,205 | 1,263,416 | ||||||
P-Class | 1,548,137 | 1,140,824 | ||||||
Institutional Class | 31,534,585 | 16,416,134 | ||||||
R6-Class | 113,860 | 56,275 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (49,092,897 | ) | (68,575,988 | ) | ||||
C-Class | (20,703,994 | ) | (26,924,208 | ) | ||||
P-Class | (12,692,806 | ) | (12,084,110 | ) | ||||
Institutional Class | (614,692,477 | ) | (247,889,580 | ) | ||||
R6-Class | (20,581,634 | ) | (924,217 | ) | ||||
Net increase from capital share transactions | 396,494,018 | 149,798,929 | ||||||
Net increase in net assets | 301,783,118 | 180,897,492 | ||||||
Net assets: | ||||||||
Beginning of year | 923,970,488 | 743,072,996 | ||||||
End of year | $ | 1,225,753,606 | $ | 923,970,488 | ||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) | |
FLOATING RATE STRATEGIES FUND | |
| Year Ended | Year Ended | ||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 3,504,723 | 1,722,444 | ||||||
C-Class | 730,311 | 466,982 | ||||||
P-Class | 908,598 | 472,737 | ||||||
Institutional Class | 37,486,066 | 16,736,374 | ||||||
R6-Class | 844,995 | 17,355 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 194,916 | 138,927 | ||||||
C-Class | 51,183 | 51,013 | ||||||
P-Class | 64,407 | 45,989 | ||||||
Institutional Class | 1,301,654 | 660,993 | ||||||
R6-Class | 4,639 | 2,270 | ||||||
Shares redeemed | ||||||||
A-Class | (2,019,443 | ) | (2,751,886 | ) | ||||
C-Class | (846,761 | ) | (1,086,812 | ) | ||||
P-Class | (519,050 | ) | (487,616 | ) | ||||
Institutional Class | (25,255,077 | ) | (9,995,214 | ) | ||||
R6-Class | (826,042 | ) | (37,009 | ) | ||||
Net increase in shares | 15,625,119 | 5,956,547 | ||||||
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS | |
FLOATING RATE STRATEGIES FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.09 | $ | 24.08 | $ | 25.23 | $ | 25.92 | $ | 26.01 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .87 | .83 | 1.02 | 1.17 | 1.04 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.72 | ) | 1.02 | (1.16 | ) | (.67 | ) | (.07 | ) | |||||||||||
Total from investment operations | (.85 | ) | 1.85 | (.14 | ) | .50 | .97 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.87 | ) | (.83 | ) | (.83 | ) | (1.19 | ) | (1.06 | ) | ||||||||||
Return of capital | — | (.01 | ) | (.18 | ) | — | — | |||||||||||||
Total distributions | (.87 | ) | (.84 | ) | (1.01 | ) | (1.19 | ) | (1.06 | ) | ||||||||||
Net asset value, end of period | $ | 23.37 | $ | 25.09 | $ | 24.08 | $ | 25.23 | $ | 25.92 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (3.47 | %) | 7.83 | % | (0.50 | %) | 2.01 | % | 3.80 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 154,160 | $ | 123,392 | $ | 139,857 | $ | 235,752 | $ | 431,562 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.57 | % | 3.36 | % | 4.23 | % | 4.60 | % | 4.02 | % | ||||||||||
Total expensesc | 1.11 | % | 1.09 | % | 1.25 | % | 1.23 | % | 1.15 | % | ||||||||||
Net expensesd,e,f | 1.02 | % | 1.05 | % | 1.10 | % | 1.07 | % | 1.03 | % | ||||||||||
Portfolio turnover rate | 30 | % | 57 | % | 20 | % | 10 | % | 33 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
FINANCIAL HIGHLIGHTS (continued) | |
FLOATING RATE STRATEGIES FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.08 | $ | 24.07 | $ | 25.22 | $ | 25.91 | $ | 26.00 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .68 | .65 | .84 | .98 | .85 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.71 | ) | 1.02 | (1.16 | ) | (.67 | ) | (.07 | ) | |||||||||||
Total from investment operations | (1.03 | ) | 1.67 | (.32 | ) | .31 | .78 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.69 | ) | (.65 | ) | (.68 | ) | (1.00 | ) | (.87 | ) | ||||||||||
Return of capital | — | (.01 | ) | (.15 | ) | — | — | |||||||||||||
Total distributions | (.69 | ) | (.66 | ) | (.83 | ) | (1.00 | ) | (.87 | ) | ||||||||||
Net asset value, end of period | $ | 23.36 | $ | 25.08 | $ | 24.07 | $ | 25.22 | $ | 25.91 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (4.15 | %) | 7.03 | % | (1.24 | %) | 1.26 | % | 3.03 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 47,183 | $ | 52,308 | $ | 63,891 | $ | 112,481 | $ | 172,906 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.78 | % | 2.61 | % | 3.47 | % | 3.86 | % | 3.29 | % | ||||||||||
Total expensesc | 1.91 | % | 1.86 | % | 1.96 | % | 1.93 | % | 1.87 | % | ||||||||||
Net expensesd,e,f | 1.77 | % | 1.80 | % | 1.85 | % | 1.82 | % | 1.78 | % | ||||||||||
Portfolio turnover rate | 30 | % | 57 | % | 20 | % | 10 | % | 33 | % | ||||||||||
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) |
FLOATING RATE STRATEGIES FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.10 | $ | 24.09 | $ | 25.24 | $ | 25.93 | $ | 26.02 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .88 | .83 | 1.04 | 1.17 | 1.05 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.73 | ) | 1.02 | (1.18 | ) | (.67 | ) | (.08 | ) | |||||||||||
Total from investment operations | (.85 | ) | 1.85 | (.14 | ) | .50 | .97 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.87 | ) | (.83 | ) | (.83 | ) | (1.19 | ) | (1.06 | ) | ||||||||||
Return of capital | — | (.01 | ) | (.18 | ) | — | — | |||||||||||||
Total distributions | (.87 | ) | (.84 | ) | (1.01 | ) | (1.19 | ) | (1.06 | ) | ||||||||||
Net asset value, end of period | $ | 23.38 | $ | 25.10 | $ | 24.09 | $ | 25.24 | $ | 25.93 | ||||||||||
| ||||||||||||||||||||
Total Return | (3.47 | %) | 7.83 | % | (0.50 | %) | 2.01 | % | 3.80 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 43,603 | $ | 35,430 | $ | 33,251 | $ | 135,036 | $ | 385,306 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.58 | % | 3.36 | % | 4.26 | % | 4.59 | % | 4.05 | % | ||||||||||
Total expensesc | 1.14 | % | 1.06 | % | 1.37 | % | 1.22 | % | 1.15 | % | ||||||||||
Net expensesd,e,f | 1.02 | % | 1.05 | % | 1.10 | % | 1.07 | % | 1.03 | % | ||||||||||
Portfolio turnover rate | 30 | % | 57 | % | 20 | % | 10 | % | 33 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
FINANCIAL HIGHLIGHTS (continued) |
FLOATING RATE STRATEGIES FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.11 | $ | 24.10 | $ | 25.25 | $ | 25.95 | $ | 26.03 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .94 | .89 | 1.09 | 1.23 | 1.11 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.73 | ) | 1.02 | (1.17 | ) | (.68 | ) | (.07 | ) | |||||||||||
Total from investment operations | (.79 | ) | 1.91 | (.08 | ) | .55 | 1.04 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.93 | ) | (.89 | ) | (.88 | ) | (1.25 | ) | (1.12 | ) | ||||||||||
Return of capital | — | (.01 | ) | (.19 | ) | — | — | |||||||||||||
Total distributions | (.93 | ) | (.90 | ) | (1.07 | ) | (1.25 | ) | (1.12 | ) | ||||||||||
Net asset value, end of period | $ | 23.39 | $ | 25.11 | $ | 24.10 | $ | 25.25 | $ | 25.95 | ||||||||||
| ||||||||||||||||||||
Total Return | (3.20 | %) | 8.08 | % | (0.26 | %) | 2.21 | % | 4.08 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 979,086 | $ | 711,583 | $ | 504,449 | $ | 1,065,820 | $ | 2,227,970 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.84 | % | 3.59 | % | 4.48 | % | 4.83 | % | 4.28 | % | ||||||||||
Total expensesc | 0.87 | % | 0.85 | % | 0.97 | % | 0.92 | % | 0.84 | % | ||||||||||
Net expensesd,e,f | 0.78 | % | 0.81 | % | 0.85 | % | 0.83 | % | 0.79 | % | ||||||||||
Portfolio turnover rate | 30 | % | 57 | % | 20 | % | 10 | % | 33 | % | ||||||||||
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) |
FLOATING RATE STRATEGIES FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
R6-Class | Year | Year | Year | Year | ||||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $ | 25.11 | $ | 24.10 | $ | 25.25 | $ | 25.38 | ||||||||
Net investment income (loss)a | .82 | .91 | 1.13 | .69 | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.62 | ) | 1.01 | (1.21 | ) | (.14 | ) | |||||||||
Total from investment operations | (.80 | ) | 1.92 | (.08 | ) | .55 | ||||||||||
Less distributions from: | ||||||||||||||||
Net investment income | (.93 | ) | (.90 | ) | (.88 | ) | (.68 | ) | ||||||||
Return of capital | — | (.01 | ) | (.19 | ) | — | ||||||||||
Total distributions | (.93 | ) | (.91 | ) | (1.07 | ) | (.68 | ) | ||||||||
Net asset value, end of period | $ | 23.38 | $ | 25.11 | $ | 24.10 | $ | 25.25 | ||||||||
| ||||||||||||||||
Total Return | (3.25 | %) | 8.06 | % | (0.22 | %) | 2.20 | % | ||||||||
Net assets, end of period (in thousands) | $ | 1,722 | $ | 1,257 | $ | 1,625 | $ | 71,680 | ||||||||
Net investment income (loss) | 3.31 | % | 3.66 | % | 4.56 | % | 4.89 | % | ||||||||
Total expensesc | 0.82 | % | 0.83 | % | 0.86 | % | 0.85 | % | ||||||||
Net expensesd,e,f | 0.79 | % | 0.82 | % | 0.84 | % | 0.84 | % | ||||||||
Portfolio turnover rate | 30 | % | 57 | % | 20 | % | 10 | % | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
FINANCIAL HIGHLIGHTS (concluded) |
FLOATING RATE STRATEGIES FUND |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 |
A-Class | 0.03% | — | 0.00%* | — | — |
C-Class | 0.04% | — | 0.00%* | — | 0.01% |
P-Class | 0.04% | 0.00%* | 0.00%* | — | — |
Institutional Class | 0.04% | 0.00%* | 0.00%* | — | — |
R6-Class | 0.03% | 0.01% | 0.00%* | 0.00%* | N/A |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 |
A-Class | 1.00% | 1.01% | 1.02% | 1.02% | 1.02% |
C-Class | 1.75% | 1.76% | 1.77% | 1.77% | 1.77% |
P-Class | 1.00% | 1.01% | 1.02% | 1.02% | 1.02% |
Institutional Class | 0.76% | 0.77% | 0.78% | 0.78% | 0.78% |
R6-Classg | 0.76% | 0.77% | 0.78% | 0.78% | N/A |
g | Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
48 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 8-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Floating Rate Strategies Fund (the “Fund”), a diversified investment company. At September 30, 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” or the “ Adviser”) which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Partners Advisors, LLC (“GPA” or the “Sub-Adviser”) assists GPIM in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI, GFD and GPA are affiliated entities.
Significant Accounting Policies
The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and/or other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and/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 Adviser, with the assistance of the Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly review the appropriateness of the inputs, methods, models and assumptions employed by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are generally valued at the last quoted sale price.
Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing services.
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 Adviser.
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining
THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
NOTES TO FINANCIAL STATEMENTS (continued) |
information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
(b) 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.
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
(d) 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.
(e) 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.
(f) Foreign Taxes
The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 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 GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
NOTES TO FINANCIAL STATEMENTS (continued) |
the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.
The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.
(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.
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
(j) Earnings Credits
Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 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 1.58% at September 30, 2022.
(l) Indemnifications
Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
Note 2 – Derivatives
As part of its investment strategy, the Fund utilizes forward foreign currency exchange contracts. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The Fund utilized derivatives for the following purposes:
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.
The following table represents the Fund’s use and volume of forward foreign currency exchange contracts on a monthly basis:
Average Value | ||||||||
Use | Purchased | Sold | ||||||
Hedge | $ | 700,856 | $ | 30,483,746 | ||||
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Currency forward contracts | Unrealized appreciation on forward foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts |
The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2022:
| Forward Foreign Currency | |||
Asset Derivative Investments Value | $ | 671,418 | ||
Liability Derivative Investments Value | $ | 10,825 | ||
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 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 year ended September 30, 2022:
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations | ||||||||
| Forward | |||||||
| $ | 5,456,723 | |||||||
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations | ||||||||
| Forward | |||||||
| $ | (88,011 | ) | ||||||
In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
Note 3 – Offsetting
In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral
THE GUGGENHEIM FUNDS ANNUAL REPORT | 57 |
NOTES TO FINANCIAL STATEMENTS (continued) |
received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs over-the-counter (“OTC”) derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
Gross Amounts Not | |||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | |||||||||||||||||||
Forward foreign currency exchange contracts | $ | 671,418 | $ | — | $ | 671,418 | $ | (4,244 | ) | $ | (667,142 | ) | $ | 32 | |||||||||||
Gross Amounts Not | |||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | |||||||||||||||||||
Forward foreign currency exchange contracts | $ | 10,825 | $ | — | $ | 10,825 | $ | (4,244 | ) | $ | — | $ | 6,581 | ||||||||||||
The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2022.
Counterparty | Asset Type | Cash | Cash | |||||||||
BofA Securities, Inc. | Forward foreign currency exchange contracts | $ | — | $ | 635,000 | |||||||
Morgan Stanley Capital Services LLC | Forward foreign currency exchange contracts | — | 380,000 | |||||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 59 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
| Level 1 — | unadjusted quoted prices in active markets for identical assets or liabilities. |
| Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
| Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although
60 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.
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.
Pursuant to an Investment Sub-Advisory Agreement between the Adviser and GPA, GPA, under the oversight supervision of the Board and the Adviser, assists the Adviser in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies. As compensation for its services, the Adviser pays GPA a fee, payable monthly, in an amount equal to 0.005% of the Fund’s average daily net assets.
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 61 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
A-Class | 1.02 | % | 11/30/12 | 02/01/24 | ||||||||
C-Class | 1.77 | % | 11/30/12 | 02/01/24 | ||||||||
P-Class | 1.02 | % | 05/01/15 | 02/01/24 | ||||||||
Institutional Class | 0.78 | % | 11/30/12 | 02/01/24 | ||||||||
R6-Class | 0.78 | % | 03/13/19 | 02/01/24 | ||||||||
GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 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:
| 2023 | 2024 | 2025 | Fund Total | ||||||||||||
A-Class | $ | 272,258 | $ | 62,574 | $ | 114,896 | $ | 449,728 | ||||||||
C-Class | 99,862 | 35,328 | 63,710 | 198,900 | ||||||||||||
P-Class | 205,400 | 3,944 | 45,054 | 254,398 | ||||||||||||
Institutional Class | 804,754 | 224,572 | 717,446 | 1,746,772 | ||||||||||||
R6-Class | 1,025 | 279 | 1,027 | 2,331 | ||||||||||||
For the year ended September 30, 2022, GI recouped $448,923 from the Fund.
For the year ended September 30, 2022, GFD retained sales charges of $144,088 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,
62 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
Note 6 – Federal Income Tax Information
The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
The tax character of distributions paid during the year ended September 30, 2022 was as follows:
| Ordinary | Long-Term | Return of | Total | ||||||||||||
| $ | 45,780,565 | $ | — | $ | — | $ | 45,780,565 | |||||||||
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
| Ordinary | Long-Term | Return of | Total | ||||||||||||
| $ | 19,738,893 | $ | — | $ | 8,268,815 | $ | 28,007,708 | |||||||||
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:
| Undistributed | Undistributed | Net | Accumulated | Other | Total | ||||||||||||||||||
| $ | 3,195,529 | $ | — | $ | (107,763,511 | ) | $ | (145,637,098 | ) | $ | (5,568,027 | ) | $ | (255,773,107 | ) | |||||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 63 |
NOTES TO FINANCIAL STATEMENTS (continued) |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, capital loss carryforwards for the Fund were as follows:
Unlimited | ||||||||||||
| Short-Term | Long-Term | Total | |||||||||
| $ | (2,032,521 | ) | $ | (143,604,577 | ) | $ | (145,637,098 | ) | ||||
For the year ended September 30, 2022, the following capital loss carryforward amounts were utilized:
| Utilized | |||
| $ | 40,650 | |||
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to foreign currency gains and losses, distribution payable, and investments in CLO securities and partnerships. Additional differences may result from the tax treatment of bond premium/discount amortization, losses deferred due to wash sales, and the “mark-to-market” of forward foreign currency exchange contracts. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences.
At September 30, 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 | Tax | Tax | Net Tax | ||||||||||||
| $ | 1,327,505,774 | $ | — | $ | (107,283,136 | ) | $ | (107,283,136 | ) | |||||||
64 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 7 – Securities Transactions
For the year ended September 30, 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 | ||||||
| $ | 749,053,699 | $ | 347,044,784 | |||||
The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| Purchases | Sales | Realized | |||||||||
| $ | 569,625 | $ | 9,572,375 | $ | (462,877 | ) | ||||||
Note 8 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of September 30, 2022, were as follows:
Borrower | Maturity | Face | Value | |||||||||
Athenahealth Group, Inc. | 02/15/29 | $ | 1,415,942 | $ | 150,090 | |||||||
Aveanna Healthcare LLC | 07/17/28 | 260,034 | 53,307 | |||||||||
Dermatology Intermediate Holdings III, Inc. | 04/02/29 | 694,816 | 34,741 | |||||||||
Hillman Group, Inc. | 07/14/28 | 800,000 | 37,600 | |||||||||
Icebox Holdco | 12/22/28 | 1,242,857 | 80,786 | |||||||||
Medical Solutions Parent Holdings, Inc. | 11/01/28 | 1,283,400 | 64,170 | |||||||||
Osmosis Holdings Australia II Pty Ltd. | 07/31/28 | 1,157,407 | 83,183 | |||||||||
TGP Holdings LLC | 06/29/28 | 178,482 | 38,707 | |||||||||
| $ | 7,032,938 | $ | 542,584 | |||||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 65 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 9 – Restricted Securities
The security below is considered illiquid and restricted under guidelines established by the Board:
Restricted Securities | Acquisition | Cost | Value | |||||||||
Mirabela Nickel Ltd. due 06/24/191 | 12/31/13 | $ | 1,160,811 | $ | 63,991 | |||||||
1 | Security is in default of interest and/or principal obligations. |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured a 364-day committe $1,230,000,000 line of credit from Citibank, N.A., which was in place through September 30, 2022, at which time a new line of credit was entered into in the amount of $1,150,000,000. 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”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.
The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.
Note 11 – Market Risks
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market
66 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (concluded) |
or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.
Note 12 – Subsequent Events
The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 67 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of Guggenheim Floating Rate Strategies Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Guggenheim Floating Rate Strategies Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2022, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed
68 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded) |
other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2022
THE GUGGENHEIM FUNDS ANNUAL REPORT | 69 |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.
The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the Fund had the corresponding percentages qualify as interest related dividends as permitted by IRC Section 871(k)(1). See qualified interest income columnin the table below.
| Qualified | Dividend | Qualified | |||||||||
| 3.94 | % | 3.94 | % | 99.45 | % | |||||||
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.
70 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)
● Guggenheim Core Bond Fund
● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)
● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)
● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”) | ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)
● Guggenheim Diversified Income Fund (“Diversified Income Fund”)
● Guggenheim High Yield Fund
● Guggenheim Limited Duration Fund (“Limited Duration Fund”)
● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”) |
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OTHER INFORMATION (Unaudited)(continued) |
● Guggenheim Municipal Income Fund (“Municipal Income Fund”)
● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)
● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)
● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)
● Guggenheim World Equity Income Fund (“World Equity Income Fund”) | ● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)
● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)
● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)
● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”) |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
72 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees,
2 | The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
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OTHER INFORMATION (Unaudited)(continued) |
expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund, Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).4 Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA |
74 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other
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OTHER INFORMATION (Unaudited)(continued) |
guidance.5 As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
5 | Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements. |
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OTHER INFORMATION (Unaudited)(continued) |
In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.
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OTHER INFORMATION (Unaudited)(continued) |
Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee6 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(continued) |
reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.
Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized
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OTHER INFORMATION (Unaudited)(continued) |
as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.
Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Total Return Bond Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
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OTHER INFORMATION (Unaudited)(continued) |
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support
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OTHER INFORMATION (Unaudited)(continued) |
the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Sub-Advisory Agreements
Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.
Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that the GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue.
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OTHER INFORMATION (Unaudited)(concluded) |
Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.
Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 83 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014
Since 2020 | 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); Member, Board of Directors, Mutual Fund Directors Forum (2022-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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019
Since 2020 | 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); Vice Chairman, VettaFi (2022-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 ANNUAL REPORT | 85 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019
Since 2020 | Current: Retired.
| 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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present).
Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE | |||||
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018
Since 2014
Since 2007 | 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. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and 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) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since August 2022 | Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present).
Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-August 2022); 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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - continued | |||
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present).
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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
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. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our
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legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law. We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction.
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and
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passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority. We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at
CorporateDataPrivacy@GuggenheimPartners.com.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 95 |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
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9.30.2022
Guggenheim Funds Annual Report
Guggenheim Total Return Bond Fund | ||
GuggenheimInvestments.com | TRB-ANN-0922x0923 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
TOTAL RETURN BOND FUND | 9 |
NOTES TO FINANCIAL STATEMENTS | 96 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 127 |
OTHER INFORMATION | 129 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 144 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 153 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 157 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2022 |
Dear Shareholder:
Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Total Return Bond Fund (the “Fund”) for the annual fiscal period ended September 30, 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, and then the Managers’ Commentary for the Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC
October 31, 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 ANNUAL REPORT |
| September 30, 2022 |
Total Return Bond Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2022 |
Equity and fixed income markets declined during the 12-month period ended September 30, 2022, amid continued market volatility, Federal Reserve policy, and global economic headwinds.
The Federal Reserve (the “Fed”) has abandoned talk of a soft or even “softish” landing, with the latest Summary of Economic Projections pointing to a 90-basis-point rise in the unemployment rate, an increase never before experienced without a recession. One basis point equals 0.01%. The seemingly endless string of upside inflation surprises has cemented the Fed’s view that the labor market needs to soften and economic activity needs to weaken further, which could require interest rates heading even higher.
Signs are indicating that the economy is heading in the direction the Fed wants. While gross domestic product (“GDP”) rebounded in the third quarter of 2022 to an inflation-adjusted 2.6%, private domestic demand (consumption and fixed investment) continued to slow, growing just 0.1%. The slowdown was led by a significant contraction in housing activity, historically the first sector to be hit by rising rates, cutting about 1.4 percentage points from GDP’s growth rate. The sharp tightening in financial conditions indicates a broader economic slowdown is ahead, which may help to loosen up the labor market. Signs of a labor market slowdown are already evident, with monthly job growth at less than half the pace of early 2022, wage growth cooling, and job openings falling sharply.
Inflation remains high, but a variety of factors point to a substantial moderation in 2023. Goods prices have stopped rising, and supply chain improvement and input and import costs suggest outright deflation could lie ahead. Services inflation is now the main price stability concern, but even the Bureau of Labor Statistics and several Fed speakers have acknowledged that the lagged data on home rental prices doesn’t reflect the sharp slowdown in market rents that has taken place (and that would start to show up in the data next year).
With the economy cooling and inflation likely to fall, it is fair to expect that rate hikes are nearly coming to an end, particularly with rising strains in financial markets and overseas. But having been repeatedly burned by expectations that inflation would cool and fearing a replay of the “stop-start” rate hike campaigns of the 1970s, the Fed will likely err on the side of overdoing it with rate hikes, viewing a recession as the “least bad” outcome for the economy.
For the 12-month period ended September 30, 2022, the S&P 500® Index* returned -15.47%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -25.13%. The return of the MSCI Emerging Markets Index* was -28.11%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -14.60% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -14.14%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.62% for the 12-month period.
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ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 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.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2022 and ending September 30, 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.
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ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense | Fund | Beginning | Ending | Expenses | |||||||||||||||
Table 1. Based on actual Fund return3 | ||||||||||||||||||||
A-Class | 0.85 | % | (11.11 | %) | $ | 1,000.00 | $ | 888.90 | $ | 4.02 | ||||||||||
C-Class | 1.60 | % | (11.41 | %) | 1,000.00 | 885.90 | 7.56 | |||||||||||||
P-Class | 0.85 | % | (11.08 | %) | 1,000.00 | 889.20 | 4.03 | |||||||||||||
Institutional Class | 0.56 | % | (10.97 | %) | 1,000.00 | 890.30 | 2.65 | |||||||||||||
R6-Class | 0.56 | % | (10.96 | %) | 1,000.00 | 890.40 | 2.65 | |||||||||||||
| ||||||||||||||||||||
Table 2. Based on hypothetical 5% return (before expenses) | ||||||||||||||||||||
A-Class | 0.85 | % | 5.00 | % | $ | 1,000.00 | $ | 1,020.81 | $ | 4.31 | ||||||||||
C-Class | 1.60 | % | 5.00 | % | 1,000.00 | 1,017.05 | 8.09 | |||||||||||||
P-Class | 0.85 | % | 5.00 | % | 1,000.00 | 1,020.81 | 4.31 | |||||||||||||
Institutional Class | 0.56 | % | 5.00 | % | 1,000.00 | 1,022.26 | 2.84 | |||||||||||||
R6-Class | 0.56 | % | 5.00 | % | 1,000.00 | 1,022.26 | 2.84 | |||||||||||||
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 0.47% for the A-Class, C-Class, P-Class, Institutional Class and R6-Class, respectively. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2022 to September 30, 2022. |
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MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Total Return Bond Fund (“Fund”). Guggenheim Partners Advisors, LLC, an affiliate of GPIM, serves as the Fund’s sub-adviser (“GPA” or the “Sub-Adviser”). The Fund is managed by a team of seasoned professionals at GPIM and GPA. This team includes B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC; Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner of GPIM; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager of GPIM; and Adam J. Bloch, Managing Director and Portfolio Manager of GPIM. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund returned -16.82%1, underperforming the Fund’s benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned -14.60% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The Fund ended the Reporting Period down -16.82% while the Benchmark finished down -14.60%. The dramatic rise in interest rates drove the majority of absolute performance, detracting roughly -13.7% from the Fund’s performance over Reporting Period. The Fund’s performance from duration did, however, outperform the Benchmark on a relative basis, largely as a result of the Fund’s curve positioning over the Reporting Period. The Fund’s bear flattener bias benefitted performance as the rise in front end yields outpaced that of longer maturity yields. Bear flattening refers to the yield curve for bonds in which short-term interest rates rise more rapidly than long-term interest rates. The performance effect from the widening in credit spreads was negative on both an absolute and relative basis given the Fund’s overweight credit allocation versus the Benchmark. Over the Reporting Period, we saw spreads in Investment Grade Corporates, High Yield Corporates, and AAA CLOs widen by 75 basis points, 263 basis points, and 102 basis points, respectively. Carry positively contributed about 3.8% on an absolute basis and 1.2% on a relative basis to performance. Carry refers to the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant.
How did the Fund use derivatives during the Reporting Period?
During the Reporting Period, the Fund used forwards, options, and swaps to help manage duration positioning, foreign exchange risk, and credit exposure. Over the Reporting Period, interest rate swaps and interest rate curve caps detracted from performance while performance from swaptions was immaterial. Options on equities, which functioned as hedges to the Fund’s
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
MANAGERS’ COMMENTARY (Unaudited)(continued) | September 30, 2022 |
credit positioning, contributed to performance. Performance from credit default swaps and credit default swap index (CDX) positions were immaterial. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the Reporting Period.
How was the Fund positioned at the end of the Reporting Period?
At 37% of net asset value (“NAV”), securitized credit continues to be a significant and growing asset class allocation within the Fund. As tail risks have risen across the market, we have increased our allocation to high grade pockets of securitized credit, picking credit quality and structural protection at attractive spreads versus comparably rated corporate credit. We believe a unique opportunity has emerged in securitized credit in that investors are now able to source investments at steep dollar price discounts given both the rise in interest rates and widening in credit spreads that have occurred year-to-date. We believe this dynamic presents a compelling total return opportunity as investors are now able to capture not only the traditional yield advantage offered by the sector in the form of higher coupons relative to similarly rated corporates, but also an accretion to par should rates fall or spreads tighten. In more normal market environments, the value proposition of much of securitized credit is typically limited to a carry advantage (i.e., the offered coupon) given the room for price appreciation above par ($100) is limited due to call structures. To this end, our buying efforts have been concentrated in the secondary market in subsectors like AA-rated CLOs which as of the end of the Reporting Period traded around $94.98 // +273dm (using Palmer Square CLO Index as a proxy). In primary markets, we are finding opportunities in the Non-Agency Residential Mortgage-Backed Securities (“RMBS”) sector in senior tranches of Non-Qualified Mortgage deals, which price at dollar price discounts and offer yields and spreads comparable to BB-rated corporate credit.
Corporate credit totaled approximately 45% of the Fund’s NAV, with roughly 29% Investment Grade rated and 16% High Yield. While fundamental credit metrics, such as leverage and interest coverage, generally still show improving or healthy trends across sectors we expect them to start gradually deteriorating over the next several quarters and for default rates to pick up. However, all spread asset classes have already materially re-priced lower this year due to tighter financial conditions. Credit spread valuations are broadly in their 70th – 80th widest percentiles versus long term historical ranges, and absolute yields are at the highest levels since 2009. At current valuations the long-term value across credit assets is compelling although we expect volatility to remain elevated in the near-term. The Fund has taken advantage of dislocations across corporate credit by purchasing high credit quality investment grade corporates at attractive absolute yields, while simultaneously trimming lower grade categories, like leveraged loans, that have performed well on a relative basis this year and have greater risks going into a potential economic slowdown.
We continued to add duration incrementally throughout the Reporting Period as rates continued to climb and hawkish rhetoric intensified. Duration adds were made via two main tools: i) adding duration at the long end of the yield curve using Treasury Strips and ii) an increased allocation to Agency Mortgage-Backed Securities (“MBS”). As the Federal Reserve continues to emphasize
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2022 |
its commitment to combatting inflation, we feel the long end of the yield curve should benefit through some combination of lower inflation expectations and lower growth expectations. The Agency MBS allocation was viewed as an efficient means to add duration via a highly liquid asset class while picking yield to Treasuries, upgrade the credit quality of the Fund, and monetize the elevated level of rate volatility. As of the end of the Reporting Period, the Fund had 7.4 years of duration and the Benchmark had 6.7 years of duration.
Though we expect to see continued volatility as markets grapple with the rapid tightening of financial conditions, at current valuations we see return distributions for fixed income skewed to the upside over the next year. With investment grade rated debt now yielding close to 6% and the Fund’s gross yield at 7.0%, we believe the carry profile alone for such opportunities provides a significantly higher buffer to performance volatility from rates and spreads. Importantly, we believe examples of market distress and falling inflation expectations are signaling we are nearing a ceiling for interest rates and potentially some moderation in rate volatility, all of which would prove to be massive tailwinds to fixed income valuations.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration Fund, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by Guggenheim Investments. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the Reporting Period, investment in the Short Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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.
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | September 30, 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 |
Fixed Income Instruments | |
AAA | 30.1% |
AA | 8.1% |
A | 13.2% |
BBB | 20.0% |
BB | 7.2% |
B | 6.3% |
CCC | 0.8% |
CC | 1.3% |
C | 0.1% |
NR2 | 6.0% |
Other Instruments | 6.9% |
Total Investments | 100.0% |
Ten Largest Holdings | (% of Total Net Assets) |
Uniform MBS 30 Year | 6.2% |
U.S. Treasury Notes, 2.75% | 5.0% |
U.S. Treasury Bonds, 2.00% | 2.9% |
U.S. Treasury Notes, 2.63% | 1.2% |
U.S. Treasury Bonds due 02/15/46 | 0.7% |
U.S. Treasury Bonds due 05/15/44 | 0.7% |
FKRT, 2.21% | 0.6% |
U.S. Treasury Strip Principal | 0.6% |
HV Eight LLC, 3.36% | 0.6% |
Boeing Co., 5.81% | 0.5% |
Top Ten Total | 19.0% |
“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. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | September 30, 2022 |
Cumulative Fund Performance*
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (16.82%) | 0.21% | 2.53% |
A-Class Shares with sales charge‡ | (20.16%) | (0.61%) | 2.03% |
C-Class Shares | (17.41%) | (0.53%) | 1.78% |
C-Class Shares with CDSC§ | (18.21%) | (0.53%) | 1.78% |
Institutional Class Shares | (16.59%) | 0.50% | 2.86% |
Bloomberg U.S. Aggregate Bond Index | (14.60%) | (0.27%) | 0.89% |
| 1 Year | 5 Year | Since |
P-Class Shares | (16.79%) | 0.22% | 1.48% |
Bloomberg U.S. Aggregate Bond Index | (14.60%) | (0.27%) | (0.15%) |
| 1 Year | 5 Year | Since |
R6-Class Shares | (16.55%) | 0.50% | 1.08% |
Bloomberg U.S. Aggregate Bond Index | (14.60%) | (0.27%) | (0.15%) |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares will vary due to differences in fee structures. |
‡ | Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after October 1, 2015. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 0.5% | ||||||||
Financial - 0.5% | ||||||||
KKR Acquisition Holdings I Corp. — Class A*,1 | 3,797,870 | $ | 37,371,041 | |||||
RXR Acquisition Corp. — Class A*,1 | 843,792 | 8,302,913 | ||||||
MSD Acquisition Corp. — Class A*,1 | 626,308 | 6,200,449 | ||||||
AfterNext HealthTech Acquisition Corp. — Class A*,1 | 611,700 | 5,976,309 | ||||||
TPG Pace Beneficial II Corp.*,1 | 604,770 | 5,914,590 | ||||||
Conyers Park III Acquisition Corp. — Class A*,1 | 570,000 | 5,540,400 | ||||||
Waverley Capital Acquisition Corp. 1 — Class A*,††,1 | 451,200 | 4,408,224 | ||||||
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | 397,100 | 3,853,856 | ||||||
Blue Whale Acquisition Corp. I — Class A*,1 | 330,700 | 3,204,483 | ||||||
Colicity, Inc. — Class A*,1 | 174,986 | 1,721,862 | ||||||
Pershing Square Tontine Holdings Ltd. — Class A*,†††,1 | 9,249,470 | 925 | ||||||
Total Financial | 82,495,052 | |||||||
Communications - 0.0% | ||||||||
Figs, Inc. — Class A*,19 | 198,762 | 1,639,787 | ||||||
Vacasa, Inc. — Class A* | 361,641 | 1,110,238 | ||||||
Total Communications | 2,750,025 | |||||||
Industrial - 0.0% | ||||||||
BP Holdco LLC*,†††,2 | 532 | 323 | ||||||
Vector Phoenix Holdings, LP*,††† | 532 | 127 | ||||||
API Heat Transfer Parent LLC*,††† | 73,183 | 7 | ||||||
Total Industrial | 457 | |||||||
Total Common Stocks | ||||||||
(Cost $89,815,160) | 85,245,534 | |||||||
PREFERRED STOCKS†† - 5.5% | ||||||||
Financial - 5.5% | ||||||||
Wells Fargo & Co. | ||||||||
3.90% | 49,600,000 | 41,943,000 | ||||||
4.70% | 2,184,000 | 40,469,520 | ||||||
4.38% | 1,774,000 | 30,761,160 | ||||||
Bank of America Corp. | ||||||||
4.13% | 2,218,000 | 38,193,960 | ||||||
4.38% | 1,552,000 | 28,370,560 | ||||||
4.38% | 27,700,000 | 22,229,250 | ||||||
6.13% | 11,550,000 | 10,914,750 | ||||||
Equitable Holdings, Inc. | ||||||||
4.95% | 70,950,000 | 66,515,625 | ||||||
4.30% | 1,839,200 | 30,806,600 | ||||||
Citigroup, Inc. | ||||||||
3.88% | 89,450,000 | 73,763,154 | ||||||
4.00% | 26,450,000 | 22,284,125 | ||||||
First Republic Bank | ||||||||
4.25% | 3,442,000 | 61,370,860 | ||||||
4.50% | 842,800 | 15,617,084 | ||||||
4.13% | 798,800 | 13,739,360 | ||||||
Markel Corp. | ||||||||
6.00% | 82,610,000 | 80,179,813 | ||||||
Bank of New York Mellon Corp. | ||||||||
3.75% | 65,200,000 | 50,367,000 | ||||||
4.70% | 16,500,000 | 15,798,750 | ||||||
Charles Schwab Corp. | ||||||||
4.00% | 73,350,000 | 53,881,672 | ||||||
JPMorgan Chase & Co. | ||||||||
3.65% | 37,250,000 | 30,165,482 | ||||||
4.63% | 1,180,000 | 22,986,400 | ||||||
MetLife, Inc. | ||||||||
3.85% | 53,200,000 | 47,592,448 | ||||||
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Shares | Value | ||||||
Public Storage | ||||||||
4.63% | 1,630,763 | $ | 32,859,875 | |||||
4.13% | 309,501 | 5,648,393 | ||||||
Arch Capital Group Ltd. | ||||||||
4.55% | 1,616,000 | 30,316,160 | ||||||
W R Berkley Corp. | ||||||||
4.13% | 1,448,221 | 25,343,867 | ||||||
4.25% | 173,779 | 2,952,505 | ||||||
RenaissanceRe Holdings Ltd. | ||||||||
4.20% | 1,304,000 | 23,002,560 | ||||||
American Financial Group, Inc. | ||||||||
4.50% | 1,161,045 | 22,977,081 | ||||||
Reinsurance Group of America, Inc. | ||||||||
7.13%* | 908,000 | 22,836,200 | ||||||
Goldman Sachs Group, Inc. | ||||||||
3.80% | 25,830,000 | 20,014,076 | ||||||
Kuvare US Holdings, Inc. | ||||||||
7.00%4 | 15,650,000 | 15,767,375 | ||||||
CNO Financial Group, Inc. | ||||||||
5.13% | 712,000 | 13,969,440 | ||||||
Assurant, Inc. | ||||||||
5.25% | 558,400 | 11,882,752 | ||||||
Selective Insurance Group, Inc. | ||||||||
4.60% | 538,000 | 9,398,860 | ||||||
Globe Life, Inc. | ||||||||
4.25% | 336,900 | 5,801,418 | ||||||
Depository Trust & Clearing Corp. | ||||||||
3.38%4 | 4,750,000 | 3,607,631 | ||||||
Total Financial | 1,044,328,766 | |||||||
Government - 0.0% | ||||||||
CoBank ACB | ||||||||
4.25% due 12/31/70 | 3,300,000 | 2,770,452 | ||||||
Industrial - 0.0% | ||||||||
API Heat Transfer Intermediate††† | 9 | — | ||||||
Total Preferred Stocks | ||||||||
(Cost $1,316,381,503) | 1,047,099,218 | |||||||
WARRANTS† - 0.0% | ||||||||
KKR Acquisition Holdings I Corp. | ||||||||
Expiring 12/31/27*,1 | 949,467 | 113,936 | ||||||
Ginkgo Bioworks Holdings, Inc. | ||||||||
Expiring 08/01/26* | 100,946 | 72,681 | ||||||
AfterNext HealthTech Acquisition Corp. | ||||||||
Expiring 07/09/23*,1 | 203,900 | 32,624 | ||||||
Conyers Park III Acquisition Corp. | ||||||||
Expiring 08/12/28* | 190,000 | 27,132 | ||||||
Acropolis Infrastructure Acquisition Corp. | ||||||||
Expiring 03/31/26*,1 | 132,366 | 13,250 | ||||||
Blue Whale Acquisition Corp. | ||||||||
Expiring 07/09/23*,1 | 82,674 | 12,335 | ||||||
MSD Acquisition Corp. | ||||||||
Expiring 05/13/23*,1 | 125,260 | 10,697 | ||||||
Waverley Capital Acquisition Corp. | ||||||||
Expiring 04/30/27*,1 | 150,400 | 6,723 | ||||||
RXR Acquisition Corp. | ||||||||
Expiring 03/08/26*,1 | 168,756 | 4,236 | ||||||
Colicity, Inc. | ||||||||
Expiring 12/31/27*,1 | 34,995 | 1,679 | ||||||
Pershing Square Tontine Holdings Ltd. | ||||||||
Expiring 07/24/25*,†††,1 | 1,027,718 | 103 | ||||||
Total Warrants | ||||||||
(Cost $2,495,705) | 295,396 | |||||||
MUTUAL FUNDS† - 0.4% | ||||||||
Guggenheim Strategy Fund II2 | 1,111,655 | 26,646,371 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class2 | 2,727,504 | 26,156,766 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Shares | Value | ||||||
Guggenheim Strategy Fund III2 | 598,806 | $ | 14,383,324 | |||||
Total Mutual Funds | ||||||||
(Cost $69,805,516) | 67,186,461 | |||||||
CLOSED-END FUNDS† - 0.1% | ||||||||
BlackRock MuniHoldings California Quality Fund, Inc. | 1,085,407 | 11,657,271 | ||||||
Total Closed-End Funds | ||||||||
(Cost $15,984,039) | 11,657,271 | |||||||
MONEY MARKET FUNDS† - 0.7% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%5 | 97,865,908 | 97,865,908 | ||||||
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 2.15%5 | 25,104,044 | 25,104,044 | ||||||
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 2.45%5 | 10,044,625 | 10,044,625 | ||||||
Total Money Market Funds | ||||||||
(Cost $133,014,577) | 133,014,577 | |||||||
| Face | |||||||
CORPORATE BONDS†† - 34.6% | ||||||||
Financial - 14.2% | ||||||||
Pershing Square Holdings Ltd. | ||||||||
3.25% due 10/01/31 | 104,800,000 | 78,456,424 | ||||||
3.25% due 11/15/304 | 64,600,000 | 49,868,616 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.75% due 05/07/254 | 96,010,000 | 89,584,654 | ||||||
Macquarie Bank Ltd. | ||||||||
3.62% due 06/03/304 | 93,835,000 | 75,945,492 | ||||||
3.05% due 03/03/363,4 | 16,600,000 | 12,154,594 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.30% due 02/01/614 | 94,150,000 | 59,101,898 | ||||||
3.95% due 05/15/604 | 33,870,000 | 21,393,439 | ||||||
4.13% due 12/15/513,4 | 3,600,000 | 2,781,245 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
4.35% due 04/30/504 | 111,750,000 | 83,135,441 | ||||||
Wilton RE Ltd. | ||||||||
6.00% 3,4,6 | 93,150,000 | 81,089,869 | ||||||
GLP Capital Limited Partnership / GLP Financing II, Inc. | ||||||||
4.00% due 01/15/31 | 53,354,000 | 43,612,411 | ||||||
5.30% due 01/15/29 | 28,165,000 | 25,671,179 | ||||||
3.25% due 01/15/32 | 4,150,000 | 3,119,642 | ||||||
4.00% due 01/15/30 | 475,000 | 396,691 | ||||||
Fairfax Financial Holdings Ltd. | ||||||||
3.38% due 03/03/31 | 61,210,000 | 49,427,578 | ||||||
5.63% due 08/16/324 | 13,100,000 | 12,078,586 | ||||||
Reinsurance Group of America, Inc. | ||||||||
3.15% due 06/15/30 | 69,919,000 | 58,228,942 | ||||||
Fidelity National Financial, Inc. | ||||||||
3.40% due 06/15/30 | 52,430,000 | 42,741,029 | ||||||
2.45% due 03/15/31 | 17,490,000 | 12,969,354 | ||||||
FS KKR Capital Corp. | ||||||||
2.63% due 01/15/27 | 34,850,000 | 28,139,904 | ||||||
3.25% due 07/15/27 | 30,100,000 | 24,791,766 | ||||||
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Maple Grove Funding Trust I | ||||||||
4.16% due 08/15/514 | 77,700,000 | $ | 52,619,020 | |||||
Safehold Operating Partnership, LP | ||||||||
2.85% due 01/15/32 | 39,904,000 | 29,707,612 | ||||||
2.80% due 06/15/31 | 30,138,000 | 22,648,321 | ||||||
Host Hotels & Resorts, LP | ||||||||
3.50% due 09/15/30 | 44,458,000 | 35,454,178 | ||||||
2.90% due 12/15/31 | 20,200,000 | 14,825,155 | ||||||
Global Atlantic Finance Co. | ||||||||
4.70% due 10/15/513,4 | 38,300,000 | 28,812,054 | ||||||
3.13% due 06/15/314 | 28,750,000 | 21,054,065 | ||||||
JPMorgan Chase & Co. | ||||||||
2.96% due 05/13/313 | 29,530,000 | 23,390,598 | ||||||
2.52% due 04/22/313 | 19,520,000 | 15,429,802 | ||||||
4.49% due 03/24/313 | 10,750,000 | 9,778,657 | ||||||
Bank of America Corp. | ||||||||
2.59% due 04/29/313 | 56,740,000 | 44,998,283 | ||||||
3.00% (SOFR + 0.73%, Rate Floor: 0.00%) due 10/24/24◊ | 1,660,000 | 1,645,907 | ||||||
1.73% due 07/22/273 | 1,650,000 | 1,415,583 | ||||||
Deloitte LLP | ||||||||
3.56% due 05/07/30††† | 30,700,000 | 26,184,833 | ||||||
3.76% due 05/07/35††† | 10,200,000 | 8,251,129 | ||||||
3.66% due 05/07/32††† | 9,450,000 | 7,934,858 | ||||||
7.33% due 11/20/26††† | 4,800,000 | 5,003,457 | ||||||
Ares Finance Company II LLC | ||||||||
3.25% due 06/15/304 | 53,085,000 | 43,399,620 | ||||||
Nippon Life Insurance Co. | ||||||||
2.75% due 01/21/513,4 | 45,350,000 | 35,340,910 | ||||||
2.90% due 09/16/513,4 | 10,380,000 | 8,024,167 | ||||||
National Australia Bank Ltd. | ||||||||
2.33% due 08/21/304 | 22,400,000 | 16,678,747 | ||||||
2.99% due 05/21/314 | 19,350,000 | 14,887,881 | ||||||
3.35% due 01/12/373,4 | 14,550,000 | 11,172,256 | ||||||
First American Financial Corp. | ||||||||
4.00% due 05/15/30 | 40,560,000 | 33,817,987 | ||||||
2.40% due 08/15/31 | 11,875,000 | 8,483,024 | ||||||
United Wholesale Mortgage LLC | ||||||||
5.50% due 04/15/294 | 32,550,000 | 24,738,000 | ||||||
5.50% due 11/15/254 | 20,100,000 | 17,532,828 | ||||||
OneAmerica Financial Partners, Inc. | ||||||||
4.25% due 10/15/504 | 54,430,000 | 39,980,808 | ||||||
Bain Capital, LP | ||||||||
3.41% due 04/15/41††† | 36,000,000 | 24,977,510 | ||||||
3.72% due 04/15/42††† | 20,300,000 | 14,800,958 | ||||||
Macquarie Group Ltd. | ||||||||
2.69% due 06/23/323,4 | 31,550,000 | 23,758,928 | ||||||
2.87% due 01/14/333,4 | 17,350,000 | 13,037,499 | ||||||
5.03% due 01/15/303,4 | 800,000 | 752,439 | ||||||
1.63% due 09/23/273,4 | 720,000 | 602,605 | ||||||
1.34% due 01/12/273,4 | 570,000 | 487,844 | ||||||
Iron Mountain, Inc. | ||||||||
5.25% due 07/15/304 | 19,359,000 | 16,018,992 | ||||||
4.50% due 02/15/314 | 16,291,000 | 12,595,875 | ||||||
5.63% due 07/15/324 | 8,350,000 | 6,680,000 | ||||||
4.88% due 09/15/274 | 1,938,000 | 1,735,741 | ||||||
CBS Studio Center | ||||||||
5.29% (30 Day Average SOFR + 3.00%, Rate Floor: 3.00%) due 01/09/24◊,††† | 34,100,000 | 34,441,000 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
3.88% due 03/01/314 | 46,650,000 | $ | 33,814,437 | |||||
LPL Holdings, Inc. | ||||||||
4.00% due 03/15/294 | 30,200,000 | 25,901,936 | ||||||
4.38% due 05/15/314 | 9,350,000 | 7,753,148 | ||||||
Sumitomo Life Insurance Co. | ||||||||
3.38% due 04/15/813,4 | 39,700,000 | 32,157,000 | ||||||
Stewart Information Services Corp. | ||||||||
3.60% due 11/15/31 | 38,800,000 | 29,906,360 | ||||||
Jefferies Group LLC | ||||||||
2.75% due 10/15/32 | 40,440,000 | 28,811,227 | ||||||
6.50% due 01/20/43 | 720,000 | 675,498 | ||||||
Jefferies Finance LLC / JFIN Company-Issuer Corp. | ||||||||
5.00% due 08/15/284 | 39,450,000 | 29,094,375 | ||||||
Belrose Funding Trust | ||||||||
2.33% due 08/15/304 | 38,150,000 | 28,769,948 | ||||||
Assurant, Inc. | ||||||||
2.65% due 01/15/32 | 36,760,000 | 27,075,259 | ||||||
6.75% due 02/15/34 | 1,450,000 | 1,447,553 | ||||||
NFP Corp. | ||||||||
6.88% due 08/15/284 | 20,775,000 | 16,204,500 | ||||||
7.50% due 10/01/304 | 11,950,000 | 11,339,388 | ||||||
PricewaterhouseCoopers LLP | ||||||||
3.43% due 09/13/30††† | 31,500,000 | 27,246,597 | ||||||
Crown Castle, Inc. | ||||||||
2.90% due 04/01/41 | 31,750,000 | 20,613,663 | ||||||
3.30% due 07/01/30 | 7,657,000 | 6,411,453 | ||||||
Massachusetts Mutual Life Insurance Co. | ||||||||
3.38% due 04/15/504 | 37,950,000 | 25,889,265 | ||||||
Standard Chartered plc | ||||||||
4.64% due 04/01/313,4 | 27,625,000 | 24,130,885 | ||||||
1.32% due 10/14/233,4 | 1,080,000 | 1,078,921 | ||||||
UBS Group AG | ||||||||
2.10% due 02/11/323,4 | 33,400,000 | 24,274,032 | ||||||
Americo Life, Inc. | ||||||||
3.45% due 04/15/314 | 32,210,000 | 24,181,833 | ||||||
Trustage Financial Group, Inc. | ||||||||
4.63% due 04/15/324 | 26,450,000 | 22,835,300 | ||||||
Kennedy-Wilson, Inc. | ||||||||
4.75% due 03/01/29 | 21,400,000 | 16,332,480 | ||||||
4.75% due 02/01/30 | 8,600,000 | 6,378,620 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
3.30% due 05/15/504 | 33,100,000 | 22,564,052 | ||||||
Westpac Banking Corp. | ||||||||
3.02% due 11/18/363 | 15,650,000 | 11,449,296 | ||||||
2.96% due 11/16/40 | 16,600,000 | 10,597,676 | ||||||
KKR Group Finance Company VIII LLC | ||||||||
3.50% due 08/25/504 | 31,910,000 | 21,904,106 | ||||||
Dyal Capital Partners III | ||||||||
4.40% due 06/15/40††† | 26,750,000 | 21,425,568 | ||||||
Manulife Financial Corp. | ||||||||
2.48% due 05/19/27 | 17,800,000 | 15,867,046 | ||||||
4.06% due 02/24/323 | 4,815,000 | 4,275,864 | ||||||
Arch Capital Group Ltd. | ||||||||
3.64% due 06/30/50 | 29,500,000 | 20,082,928 | ||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. | ||||||||
2.63% due 10/15/31 | 27,400,000 | 19,877,660 | ||||||
Brookfield Finance, Inc. | ||||||||
3.50% due 03/30/51 | 18,720,000 | 11,810,274 | ||||||
4.70% due 09/20/47 | 9,750,000 | 7,749,535 | ||||||
Hunt Companies, Inc. | ||||||||
5.25% due 04/15/294 | 25,000,000 | 19,143,250 | ||||||
Corebridge Financial, Inc. | ||||||||
6.88% due 12/15/523,4 | 15,980,000 | 14,613,034 | ||||||
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
4.35% due 04/05/424 | 4,950,000 | $ | 3,808,342 | |||||
Everest Reinsurance Holdings, Inc. | ||||||||
3.50% due 10/15/50 | 27,760,000 | 18,351,194 | ||||||
Kemper Corp. | ||||||||
2.40% due 09/30/30 | 22,380,000 | 17,152,267 | ||||||
Societe Generale S.A. | ||||||||
2.89% due 06/09/323,4 | 21,150,000 | 15,450,045 | ||||||
1.79% due 06/09/273,4 | 1,630,000 | 1,357,014 | ||||||
Central Storage Safety Project Trust | ||||||||
4.82% due 02/01/387 | 18,689,440 | 15,963,378 | ||||||
GA Global Funding Trust | ||||||||
2.90% due 01/06/324 | 17,480,000 | 13,285,585 | ||||||
1.25% due 12/08/234 | 1,650,000 | 1,570,517 | ||||||
AmFam Holdings, Inc. | ||||||||
2.81% due 03/11/314 | 19,050,000 | 14,790,424 | ||||||
QBE Insurance Group Ltd. | ||||||||
5.88% 3,4,6 | 15,700,000 | 14,553,272 | ||||||
Intercontinental Exchange, Inc. | ||||||||
3.00% due 06/15/50 | 22,190,000 | 14,505,470 | ||||||
Lincoln National Corp. | ||||||||
4.38% due 06/15/508 | 18,680,000 | 14,402,208 | ||||||
ABN AMRO Bank N.V. | ||||||||
2.47% due 12/13/293,4 | 18,000,000 | 14,268,049 | ||||||
Assured Guaranty US Holdings, Inc. | ||||||||
3.60% due 09/15/51 | 13,780,000 | 8,991,405 | ||||||
3.15% due 06/15/31 | 6,270,000 | 5,072,384 | ||||||
Prudential Financial, Inc. | ||||||||
3.70% due 10/01/503 | 17,050,000 | 13,466,090 | ||||||
PartnerRe Finance B LLC | ||||||||
4.50% due 10/01/503 | 13,970,000 | 11,718,629 | ||||||
Raymond James Financial, Inc. | ||||||||
3.75% due 04/01/51 | 15,300,000 | 10,791,308 | ||||||
CNO Financial Group, Inc. | ||||||||
5.25% due 05/30/29 | 11,125,000 | 10,359,811 | ||||||
KKR Group Finance Company X LLC | ||||||||
3.25% due 12/15/514 | 15,150,000 | 9,856,652 | ||||||
Penn Mutual Life Insurance Co. | ||||||||
3.80% due 04/29/614 | 14,970,000 | 9,651,818 | ||||||
Western & Southern Life Insurance Co. | ||||||||
3.75% due 04/28/614 | 13,360,000 | 9,054,632 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.22% due 09/17/31 | 11,900,000 | 8,901,112 | ||||||
Nasdaq, Inc. | ||||||||
3.25% due 04/28/50 | 13,150,000 | 8,625,077 | ||||||
Fidelity & Guaranty Life Holdings, Inc. | ||||||||
5.50% due 05/01/254 | 8,050,000 | 7,906,512 | ||||||
American Equity Investment Life Holding Co. | ||||||||
5.00% due 06/15/27 | 8,252,000 | 7,828,741 | ||||||
Blackstone Holdings Finance Company LLC | ||||||||
3.20% due 01/30/524 | 12,150,000 | 7,776,453 | ||||||
Ceamer Finance LLC | ||||||||
6.92% due 05/15/38††† | 7,500,000 | 7,191,268 | ||||||
New York Life Insurance Co. | ||||||||
3.75% due 05/15/504 | 9,300,000 | 6,876,362 | ||||||
Citigroup, Inc. | ||||||||
2.52% due 11/03/323 | 6,900,000 | 5,228,389 | ||||||
3.29% due 03/17/263 | 1,580,000 | 1,491,699 | ||||||
CNO Global Funding | ||||||||
1.75% due 10/07/264 | 7,400,000 | 6,401,791 | ||||||
W R Berkley Corp. | ||||||||
4.00% due 05/12/50 | 8,105,000 | 6,118,194 | ||||||
Cooperatieve Rabobank UA | ||||||||
4.66% due 08/22/283,4 | 6,200,000 | 5,847,212 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
NFL Trust XI SPV | ||||||||
3.53% due 10/05/35††† | 7,000,000 | $ | 5,831,566 | |||||
Goldman Sachs Group, Inc. | ||||||||
3.65% 3,6 | 2,450,000 | 1,880,375 | ||||||
2.83% (SOFR + 0.54%, Rate Floor: 0.00%) due 11/17/23◊ | 1,660,000 | 1,655,605 | ||||||
1.22% due 12/06/23 | 1,650,000 | 1,581,965 | ||||||
Horace Mann Educators Corp. | ||||||||
4.50% due 12/01/25 | 4,560,000 | 4,356,508 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75% due 05/15/284 | 4,682,000 | 4,342,789 | ||||||
Brookfield Finance LLC | ||||||||
3.45% due 04/15/50 | 6,820,000 | 4,305,652 | ||||||
HS Wildcat LLC | ||||||||
3.83% due 12/31/50††† | 4,996,778 | 3,758,922 | ||||||
Home Point Capital, Inc. | ||||||||
5.00% due 02/01/264 | 5,454,000 | 3,415,567 | ||||||
Fort Knox Military Housing Privatization Project | ||||||||
5.82% due 02/15/524 | 1,857,552 | 1,731,811 | ||||||
3.16% (1 Month USD LIBOR + 0.34%) due 02/15/52◊,4 | 1,667,955 | 1,223,063 | ||||||
Commonwealth Bank of Australia | ||||||||
3.61% due 09/12/343,4 | 3,550,000 | 2,947,673 | ||||||
Old Republic International Corp. | ||||||||
3.85% due 06/11/51 | 4,100,000 | 2,814,568 | ||||||
Primerica, Inc. | ||||||||
2.80% due 11/19/31 | 3,500,000 | 2,748,186 | ||||||
Murphy’s Bowl LLC | ||||||||
3.20% due 06/30/56††† | 3,500,000 | 2,469,670 | ||||||
KKR Group Finance Company III LLC | ||||||||
5.13% due 06/01/444 | 2,710,000 | 2,342,829 | ||||||
Enstar Group Ltd. | ||||||||
3.10% due 09/01/31 | 1,670,000 | 1,185,960 | ||||||
4.95% due 06/01/29 | 1,250,000 | 1,122,108 | ||||||
Iron Mountain Information Management Services, Inc. | ||||||||
5.00% due 07/15/324 | 2,750,000 | 2,128,755 | ||||||
New York Life Global Funding | ||||||||
2.51% (SOFR + 0.22%) due 02/02/23◊,4 | 2,070,000 | 2,067,412 | ||||||
American National Group, Inc. | ||||||||
6.14% due 06/13/324 | 2,000,000 | 1,861,377 | ||||||
Western Group Housing, LP | ||||||||
6.75% due 03/15/574 | 1,469,268 | 1,565,784 | ||||||
Bank of Nova Scotia | ||||||||
2.44% due 03/11/24 | 1,600,000 | 1,545,819 | ||||||
Jackson National Life Global Funding | ||||||||
1.75% due 01/12/254 | 1,650,000 | 1,516,279 | ||||||
Brighthouse Financial Global Funding | ||||||||
1.00% due 04/12/244 | 1,620,000 | 1,512,162 | ||||||
Danske Bank A/S | ||||||||
0.98% due 09/10/253,4 | 1,660,000 | 1,503,150 | ||||||
Ares Finance Company IV LLC | ||||||||
3.65% due 02/01/524 | 2,450,000 | 1,501,283 | ||||||
Lloyds Banking Group plc | ||||||||
3.51% due 03/18/263 | 1,580,000 | 1,479,133 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
4.08% due 04/19/283 | 1,580,000 | 1,470,487 | ||||||
BNP Paribas S.A. | ||||||||
1.32% due 01/13/273,4 | 1,640,000 | 1,397,729 | ||||||
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Mizuho Financial Group, Inc. | ||||||||
5.51% due 09/13/283 | 1,400,000 | $ | 1,368,491 | |||||
Transatlantic Holdings, Inc. | ||||||||
8.00% due 11/30/39 | 1,135,000 | 1,353,333 | ||||||
HSBC Holdings plc | ||||||||
5.21% due 08/11/283 | 1,440,000 | 1,346,216 | ||||||
Selective Insurance Group, Inc. | ||||||||
5.38% due 03/01/49 | 1,510,000 | 1,284,268 | ||||||
ING Groep N.V. | ||||||||
1.73% due 04/01/273 | 1,360,000 | 1,165,932 | ||||||
Athene Global Funding | ||||||||
2.67% due 06/07/314 | 1,550,000 | 1,159,393 | ||||||
Mid-Atlantic Military Family Communities LLC | ||||||||
5.24% due 08/01/504 | 1,087,287 | 958,379 | ||||||
Atlas Mara Ltd. | ||||||||
due 12/31/21†††,7,9 | 2,127,812 | 744,734 | ||||||
F&G Global Funding | ||||||||
2.30% due 04/11/274 | 790,000 | 680,286 | ||||||
Atlantic Marine Corporations Communities LLC | ||||||||
5.37% due 12/01/507 | 754,898 | 648,258 | ||||||
Pacific Beacon LLC | ||||||||
5.51% due 07/15/364 | 500,000 | 479,074 | ||||||
Swiss Re Finance Luxembourg S.A. | ||||||||
5.00% due 04/02/493,4 | 300,000 | 262,500 | ||||||
Pine Street Trust I | ||||||||
4.57% due 02/15/294 | 250,000 | 230,220 | ||||||
Peachtree Corners Funding Trust | ||||||||
3.98% due 02/15/254 | 215,000 | 207,473 | ||||||
Sompo International Holdings Ltd. | ||||||||
4.70% due 10/15/22 | 140,000 | 139,987 | ||||||
Total Financial | 2,691,377,887 | |||||||
Consumer, Non-cyclical - 4.6% | ||||||||
Altria Group, Inc. | ||||||||
3.70% due 02/04/51 | 67,650,000 | 40,839,088 | ||||||
3.40% due 05/06/30 | 32,920,000 | 26,656,479 | ||||||
4.45% due 05/06/50 | 6,120,000 | 4,088,608 | ||||||
CoStar Group, Inc. | ||||||||
2.80% due 07/15/304 | 89,110,000 | 70,338,259 | ||||||
Medline Borrower, LP | ||||||||
3.88% due 04/01/294 | 54,700,000 | 43,852,443 | ||||||
Global Payments, Inc. | ||||||||
2.90% due 11/15/31 | 30,265,000 | 23,139,711 | ||||||
2.90% due 05/15/30 | 19,810,000 | 15,791,046 | ||||||
5.30% due 08/15/29 | 4,300,000 | 4,043,914 | ||||||
Smithfield Foods, Inc. | ||||||||
2.63% due 09/13/314 | 39,050,000 | 28,621,627 | ||||||
3.00% due 10/15/304 | 15,760,000 | 12,168,933 | ||||||
5.20% due 04/01/294 | 850,000 | 793,519 | ||||||
BAT Capital Corp. | ||||||||
3.98% due 09/25/50 | 41,450,000 | 25,357,233 | ||||||
4.70% due 04/02/27 | 17,390,000 | 16,226,038 | ||||||
DaVita, Inc. | ||||||||
3.75% due 02/15/314 | 38,095,000 | 27,142,687 | ||||||
4.63% due 06/01/304 | 14,190,000 | 10,979,512 | ||||||
Royalty Pharma plc | ||||||||
3.55% due 09/02/50 | 39,710,000 | 24,746,772 | ||||||
2.20% due 09/02/30 | 15,800,000 | 12,042,815 | ||||||
US Foods, Inc. | ||||||||
6.25% due 04/15/254 | 24,050,000 | 23,624,316 | ||||||
4.75% due 02/15/294 | 8,107,000 | 6,939,592 | ||||||
4.63% due 06/01/304 | 4,850,000 | 4,013,399 | ||||||
Becle, SAB de CV | ||||||||
2.50% due 10/14/314 | 44,100,000 | 34,133,400 | ||||||
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc. | ||||||||
3.00% due 05/15/324 | 29,125,000 | 21,508,813 | ||||||
4.38% due 02/02/524 | 10,200,000 | 6,836,652 | ||||||
5.13% due 02/01/284 | 2,250,000 | 2,108,858 | ||||||
Kraft Heinz Foods Co. | ||||||||
4.88% due 10/01/49 | 14,525,000 | 11,971,289 | ||||||
5.00% due 06/04/42 | 7,850,000 | 6,818,802 | ||||||
4.38% due 06/01/46 | 8,090,000 | 6,289,150 | ||||||
5.20% due 07/15/45 | 1,930,000 | 1,676,939 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Triton Container International Ltd. | ||||||||
3.15% due 06/15/314 | 33,500,000 | $ | 24,535,443 | |||||
Emory University | ||||||||
2.97% due 09/01/50 | 30,000,000 | 21,060,656 | ||||||
California Institute of Technology | ||||||||
3.65% due 09/01/2119 | 31,896,000 | 19,921,399 | ||||||
Catalent Pharma Solutions, Inc. | ||||||||
3.13% due 02/15/294 | 15,911,000 | 12,271,359 | ||||||
3.50% due 04/01/304 | 9,500,000 | 7,473,840 | ||||||
Yale-New Haven Health Services Corp. | ||||||||
2.50% due 07/01/50 | 32,350,000 | 19,125,652 | ||||||
Kimberly-Clark de Mexico SAB de CV | ||||||||
2.43% due 07/01/314 | 22,650,000 | 18,093,726 | ||||||
TriNet Group, Inc. | ||||||||
3.50% due 03/01/294 | 21,450,000 | 17,471,025 | ||||||
Health Care Service Corporation A Mutual Legal Reserve Co. | ||||||||
3.20% due 06/01/504 | 23,030,000 | 15,382,130 | ||||||
Universal Health Services, Inc. | ||||||||
2.65% due 10/15/304 | 18,660,000 | 13,805,333 | ||||||
Sabre GLBL, Inc. | ||||||||
7.38% due 09/01/254 | 12,825,000 | 11,486,465 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||
3.38% due 08/31/274 | 13,450,000 | 11,300,287 | ||||||
Transurban Finance Company Pty Ltd. | ||||||||
2.45% due 03/16/314 | 14,400,000 | 11,138,298 | ||||||
Cheplapharm Arzneimittel GmbH | ||||||||
4.38% due 01/15/28 | EUR 13,750,000 | 11,047,113 | ||||||
Central Garden & Pet Co. | ||||||||
4.13% due 04/30/314 | 9,275,000 | 7,292,469 | ||||||
4.13% due 10/15/30 | 3,975,000 | 3,164,001 | ||||||
Spectrum Brands, Inc. | ||||||||
3.88% due 03/15/314 | 13,475,000 | 9,186,985 | ||||||
5.50% due 07/15/304 | 850,000 | 664,642 | ||||||
GXO Logistics, Inc. | ||||||||
2.65% due 07/15/31 | 13,725,000 | 9,717,482 | ||||||
Bimbo Bakeries USA, Inc. | ||||||||
4.00% due 05/17/514 | 12,775,000 | 9,348,106 | ||||||
Block, Inc. | ||||||||
2.75% due 06/01/26 | 10,125,000 | 8,702,049 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. | ||||||||
4.50% due 07/15/294 | 8,690,000 | 8,651,547 | ||||||
Moody’s Corp. | ||||||||
3.25% due 05/20/50 | 11,180,000 | 7,576,144 | ||||||
WW International, Inc. | ||||||||
4.50% due 04/15/294 | 12,900,000 | 6,741,362 | ||||||
OhioHealth Corp. | ||||||||
3.04% due 11/15/50 | 9,100,000 | 6,340,872 | ||||||
Syneos Health, Inc. | ||||||||
3.63% due 01/15/294 | 7,000,000 | 5,573,960 | ||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | ||||||||
5.00% due 12/31/264 | 6,325,000 | 5,550,504 | ||||||
Johns Hopkins University | ||||||||
2.81% due 01/01/60 | 8,750,000 | 5,420,439 | ||||||
Duke University | ||||||||
2.83% due 10/01/55 | 7,894,000 | 5,164,177 | ||||||
HCA, Inc. | ||||||||
3.50% due 07/15/51 | 6,175,000 | 3,823,372 | ||||||
3.50% due 09/01/30 | 1,600,000 | 1,321,152 | ||||||
CPI CG, Inc. | ||||||||
8.63% due 03/15/264 | 5,524,000 | 5,134,889 | ||||||
Children’s Hospital Corp. | ||||||||
2.59% due 02/01/50 | 7,100,000 | 4,335,787 | ||||||
Children’s Health System of Texas | ||||||||
2.51% due 08/15/50 | 6,500,000 | 3,886,290 | ||||||
APi Group DE, Inc. | ||||||||
4.13% due 07/15/294 | 4,150,000 | 3,288,875 | ||||||
Avantor Funding, Inc. | ||||||||
4.63% due 07/15/284 | 3,659,000 | 3,256,309 | ||||||
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Sotheby’s/Bidfair Holdings, Inc. | ||||||||
5.88% due 06/01/294 | 3,900,000 | $ | 3,221,868 | |||||
Wisconsin Alumni Research Foundation | ||||||||
3.56% due 10/01/49 | 3,775,000 | 2,765,835 | ||||||
BCP V Modular Services Finance II plc | ||||||||
4.75% due 11/30/28 | EUR 3,500,000 | 2,744,291 | ||||||
Providence St. Joseph Health Obligated Group | ||||||||
2.70% due 10/01/51 | 4,250,000 | 2,552,571 | ||||||
Memorial Sloan-Kettering Cancer Center | ||||||||
2.96% due 01/01/50 | 3,500,000 | 2,349,894 | ||||||
Tenet Healthcare Corp. | ||||||||
4.63% due 06/15/284 | 2,056,000 | 1,796,875 | ||||||
Beth Israel Lahey Health, Inc. | ||||||||
3.08% due 07/01/51 | 2,700,000 | 1,717,905 | ||||||
Service Corporation International | ||||||||
4.00% due 05/15/31 | 2,000,000 | 1,608,380 | ||||||
Quanta Services, Inc. | ||||||||
0.95% due 10/01/24 | 1,660,000 | 1,515,677 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
8.00% due 11/15/39 | 1,030,000 | 1,225,244 | ||||||
Aetna, Inc. | ||||||||
6.75% due 12/15/37 | 1,150,000 | 1,172,475 | ||||||
Molina Healthcare, Inc. | ||||||||
4.38% due 06/15/284 | 1,290,000 | 1,164,225 | ||||||
Reynolds American, Inc. | ||||||||
6.15% due 09/15/43 | 1,340,000 | 1,118,775 | ||||||
Humana, Inc. | ||||||||
0.65% due 08/03/23 | 1,000,000 | 965,590 | ||||||
Triton Container International Limited / TAL International Container Corp. | ||||||||
3.25% due 03/15/32 | 1,050,000 | 776,426 | ||||||
AmerisourceBergen Corp. | ||||||||
0.74% due 03/15/23 | 358,000 | 352,222 | ||||||
Total Consumer, Non-cyclical | 878,052,286 | |||||||
Industrial - 3.9% | ||||||||
Boeing Co. | ||||||||
5.81% due 05/01/50 | 114,650,000 | 99,629,912 | ||||||
5.71% due 05/01/40 | 68,110,000 | 59,491,536 | ||||||
3.63% due 02/01/31 | 21,400,000 | 17,763,045 | ||||||
5.04% due 05/01/27 | 17,150,000 | 16,521,651 | ||||||
FLNG Liquefaction 3 LLC | ||||||||
3.08% due 06/30/39††† | 66,638,655 | 50,098,688 | ||||||
TD SYNNEX Corp. | ||||||||
2.65% due 08/09/31 | 40,600,000 | 30,263,352 | ||||||
2.38% due 08/09/28 | 20,500,000 | 16,531,517 | ||||||
Cellnex Finance Company S.A. | ||||||||
3.88% due 07/07/414 | 68,935,000 | 43,096,783 | ||||||
Vontier Corp. | ||||||||
2.95% due 04/01/31 | 34,250,000 | 24,632,600 | ||||||
2.40% due 04/01/28 | 19,150,000 | 14,953,661 | ||||||
Textron, Inc. | ||||||||
2.45% due 03/15/31 | 31,150,000 | 23,895,052 | ||||||
3.00% due 06/01/30 | 18,395,000 | 15,145,969 | ||||||
Flowserve Corp. | ||||||||
3.50% due 10/01/30 | 22,340,000 | 18,369,710 | ||||||
2.80% due 01/15/32 | 19,800,000 | 14,173,559 | ||||||
Dyal Capital Partners IV | ||||||||
3.65% due 02/22/41††† | 41,800,000 | 31,315,798 | ||||||
Acuity Brands Lighting, Inc. | ||||||||
2.15% due 12/15/30 | 34,050,000 | 25,200,733 | ||||||
Standard Industries, Inc. | ||||||||
3.38% due 01/15/314 | 14,475,000 | 10,180,267 | ||||||
4.38% due 07/15/304 | 8,600,000 | 6,579,000 | ||||||
5.00% due 02/15/274 | 6,250,000 | 5,530,687 | ||||||
Stadco LA, LLC | ||||||||
3.75% due 05/15/56††† | 31,000,000 | 21,953,811 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Ryder System, Inc. | ||||||||
3.35% due 09/01/25 | 22,380,000 | $ | 21,170,629 | |||||
Owens Corning | ||||||||
3.88% due 06/01/30 | 21,890,000 | 19,123,013 | ||||||
NFL Ventures, LP | ||||||||
3.02% due 04/15/35††† | 20,000,000 | 17,666,797 | ||||||
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. | ||||||||
4.13% due 08/15/264 | 18,961,000 | 15,787,497 | ||||||
GATX Corp. | ||||||||
4.00% due 06/30/30 | 14,265,000 | 12,360,289 | ||||||
4.70% due 04/01/29 | 400,000 | 371,764 | ||||||
CNH Industrial Capital LLC | ||||||||
1.88% due 01/15/26 | 12,960,000 | 11,539,832 | ||||||
TFI International, Inc. | ||||||||
3.35% due 01/05/33††† | 14,000,000 | 10,791,481 | ||||||
Weir Group plc | ||||||||
2.20% due 05/13/264 | 12,815,000 | 10,766,621 | ||||||
National Basketball Association | ||||||||
2.51% due 12/16/24††† | 10,500,000 | 9,865,292 | ||||||
Hardwood Funding LLC | ||||||||
3.19% due 06/07/30††† | 8,000,000 | 6,936,869 | ||||||
2.83% due 06/07/31††† | 2,000,000 | 1,667,862 | ||||||
3.13% due 06/07/36††† | 1,000,000 | 788,236 | ||||||
Airbus SE | ||||||||
3.95% due 04/10/474 | 9,000,000 | 7,033,606 | ||||||
Amcor Flexibles North America, Inc. | ||||||||
2.63% due 06/19/30 | 8,580,000 | 6,893,328 | ||||||
Artera Services LLC | ||||||||
9.03% due 12/04/254 | 8,490,000 | 6,834,450 | ||||||
Norfolk Southern Corp. | ||||||||
4.10% due 05/15/21 | 9,100,000 | 6,037,527 | ||||||
Hillenbrand, Inc. | ||||||||
3.75% due 03/01/31 | 7,650,000 | 5,909,625 | ||||||
Mueller Water Products, Inc. | ||||||||
4.00% due 06/15/294 | 5,750,000 | 4,893,308 | ||||||
Huntington Ingalls Industries, Inc. | ||||||||
2.04% due 08/16/28 | 5,150,000 | 4,165,372 | ||||||
Virgin Media Vendor Financing Notes III DAC | ||||||||
4.88% due 07/15/28 | GBP 5,000,000 | 4,154,556 | ||||||
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc | ||||||||
4.00% due 09/01/294 | 3,750,000 | 2,746,324 | ||||||
Penske Truck Leasing Company, LP / PTL Finance Corp. | ||||||||
1.70% due 06/15/264 | 1,620,000 | 1,393,197 | ||||||
Trimble, Inc. | ||||||||
4.15% due 06/15/23 | 1,155,000 | 1,150,823 | ||||||
TransDigm, Inc. | ||||||||
6.25% due 03/15/264 | 1,075,000 | 1,042,750 | ||||||
Howmet Aerospace, Inc. | ||||||||
5.95% due 02/01/37 | 525,000 | 474,461 | ||||||
6.88% due 05/01/25 | 129,000 | 129,940 | ||||||
Adevinta ASA | ||||||||
3.00% due 11/15/27 | EUR 417,000 | 349,780 | ||||||
Martin Marietta Materials, Inc. | ||||||||
0.65% due 07/15/23 | 360,000 | 347,584 | ||||||
JELD-WEN, Inc. | ||||||||
6.25% due 05/15/254 | 300,000 | 282,000 | ||||||
Carlisle Companies, Inc. | ||||||||
0.55% due 09/01/23 | 220,000 | 211,145 | ||||||
Fortune Brands Home & Security, Inc. | ||||||||
4.50% due 03/25/52 | 300,000 | 206,223 | ||||||
Hexcel Corp. | ||||||||
4.20% due 02/15/27 | 180,000 | 166,113 | ||||||
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Canadian National Railway Co. | ||||||||
6.71% due 07/15/36 | 110,000 | $ | 118,353 | |||||
Total Industrial | 738,703,978 | |||||||
Consumer, Cyclical - 3.3% | ||||||||
Marriott International, Inc. | ||||||||
4.63% due 06/15/30 | 38,685,000 | 34,958,870 | ||||||
3.50% due 10/15/32 | 40,990,000 | 32,965,071 | ||||||
2.85% due 04/15/31 | 33,790,000 | 26,530,626 | ||||||
2.75% due 10/15/33 | 25,150,000 | 18,256,272 | ||||||
Alt-2 Structured Trust | ||||||||
2.95% due 05/14/31◊,††† | 54,764,001 | 48,552,866 | ||||||
Delta Air Lines, Inc. | ||||||||
7.00% due 05/01/254 | 46,725,000 | 47,026,471 | ||||||
Delta Air Lines Inc. / SkyMiles IP Ltd. | ||||||||
4.50% due 10/20/254 | 45,200,000 | 43,873,681 | ||||||
Hyatt Hotels Corp. | ||||||||
5.75% due 04/23/30 | 23,885,000 | 23,152,796 | ||||||
5.63% due 04/23/25 | 18,750,000 | 18,540,117 | ||||||
1.30% due 10/01/23 | 1,660,000 | 1,596,721 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | ||||||||
6.50% due 06/20/274 | 37,002,500 | 36,217,307 | ||||||
Hilton Domestic Operating Company, Inc. | ||||||||
3.75% due 05/01/294 | 34,700,000 | 28,654,566 | ||||||
4.00% due 05/01/314 | 5,900,000 | 4,769,147 | ||||||
3.63% due 02/15/324 | 1,900,000 | 1,455,207 | ||||||
Choice Hotels International, Inc. | ||||||||
3.70% due 01/15/31 | 40,900,000 | 33,998,039 | ||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||
4.00% due 10/15/304 | 27,350,000 | 21,540,313 | ||||||
3.88% due 01/15/284 | 6,940,000 | 6,039,258 | ||||||
WMG Acquisition Corp. | ||||||||
3.00% due 02/15/314 | 18,650,000 | 14,158,320 | ||||||
3.75% due 12/01/294 | 10,750,000 | 8,931,100 | ||||||
Warnermedia Holdings, Inc. | ||||||||
5.14% due 03/15/524 | 27,350,000 | 19,878,486 | ||||||
Ferguson Finance plc | ||||||||
3.25% due 06/02/304 | 17,904,000 | 14,717,696 | ||||||
4.65% due 04/20/324 | 5,200,000 | 4,577,160 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
4.10% due 04/15/50 | 24,778,000 | 17,743,049 | ||||||
British Airways Class A Pass Through Trust | ||||||||
2.90% due 03/15/354 | 15,287,839 | 12,423,520 | ||||||
4.25% due 11/15/324 | 5,300,004 | 4,768,343 | ||||||
American Airlines Class AA Pass Through Trust | ||||||||
3.35% due 10/15/29 | 8,802,746 | 7,676,867 | ||||||
3.20% due 06/15/28 | 5,490,800 | 4,774,532 | ||||||
3.00% due 10/15/28 | 3,984,111 | 3,439,439 | ||||||
3.15% due 02/15/32 | 159,919 | 133,362 | ||||||
Steelcase, Inc. | ||||||||
5.13% due 01/18/29 | 17,427,000 | 14,909,077 | ||||||
Whirlpool Corp. | ||||||||
4.60% due 05/15/50 | 16,920,000 | 12,665,630 | ||||||
Scotts Miracle-Gro Co. | ||||||||
4.00% due 04/01/31 | 15,750,000 | 11,088,000 | ||||||
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc. | ||||||||
4.63% due 01/15/294 | 10,500,000 | 8,688,750 | ||||||
Air Canada | ||||||||
3.88% due 08/15/264 | 8,650,000 | 7,428,188 | ||||||
Allison Transmission, Inc. | ||||||||
3.75% due 01/30/314 | 7,500,000 | 5,749,425 | ||||||
Levi Strauss & Co. | ||||||||
3.50% due 03/01/314 | 6,100,000 | 4,758,000 | ||||||
Delta Air Lines, Inc. / SkyMiles IP Ltd. | ||||||||
4.75% due 10/20/284 | 3,800,000 | 3,539,152 | ||||||
JB Poindexter & Company, Inc. | ||||||||
7.13% due 04/15/264 | 2,850,000 | 2,636,250 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Lowe’s Companies, Inc. | ||||||||
1.70% due 09/15/28 | 2,425,000 | $ | 1,979,870 | |||||
United Airlines, Inc. | ||||||||
4.38% due 04/15/264 | 1,750,000 | 1,561,875 | ||||||
PetSmart, Inc. / PetSmart Finance Corp. | ||||||||
4.75% due 02/15/284 | 1,750,000 | 1,497,631 | ||||||
Aramark Services, Inc. | ||||||||
5.00% due 02/01/284 | 1,525,000 | 1,358,333 | ||||||
HP Communities LLC | ||||||||
5.86% due 09/15/534 | 1,420,000 | 1,352,253 | ||||||
PulteGroup, Inc. | ||||||||
6.38% due 05/15/33 | 1,400,000 | 1,321,787 | ||||||
Lear Corp. | ||||||||
5.25% due 05/15/49 | 1,360,000 | 1,077,057 | ||||||
JetBlue Class A Pass Through Trust | ||||||||
4.00% due 11/15/32 | 135,277 | 120,248 | ||||||
Total Consumer, Cyclical | 623,080,728 | |||||||
Communications - 2.8% | ||||||||
Level 3 Financing, Inc. | ||||||||
4.25% due 07/01/284 | 34,430,000 | 26,855,744 | ||||||
3.63% due 01/15/294 | 34,600,000 | 25,617,494 | ||||||
3.88% due 11/15/294 | 20,300,000 | 15,993,583 | ||||||
3.75% due 07/15/294 | 13,950,000 | 10,218,375 | ||||||
Paramount Global | ||||||||
4.95% due 01/15/31 | 32,701,000 | 28,846,640 | ||||||
4.95% due 05/19/50 | 39,600,000 | 28,141,764 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
2.80% due 04/01/31 | 53,050,000 | 40,103,035 | ||||||
3.90% due 06/01/52 | 21,650,000 | 13,403,770 | ||||||
2.25% due 01/15/29 | 2,500,000 | 1,957,432 | ||||||
4.40% due 12/01/61 | 650,000 | 414,097 | ||||||
British Telecommunications plc | ||||||||
4.88% due 11/23/813,4 | 47,450,000 | 38,575,039 | ||||||
4.25% due 11/23/813,4 | 8,250,000 | 6,959,854 | ||||||
9.63% due 12/15/30 | 2,310,000 | 2,668,862 | ||||||
Vodafone Group plc | ||||||||
4.13% due 06/04/813 | 40,375,000 | 27,959,688 | ||||||
UPC Broadband Finco BV | ||||||||
4.88% due 07/15/314 | 31,900,000 | 24,755,357 | ||||||
Rogers Communications, Inc. | ||||||||
4.55% due 03/15/524 | 29,625,000 | 23,628,046 | ||||||
McGraw-Hill Education, Inc. | ||||||||
5.75% due 08/01/284 | 24,975,000 | 20,854,524 | ||||||
T-Mobile USA, Inc. | ||||||||
2.63% due 04/15/26 | 13,850,000 | 12,551,147 | ||||||
2.88% due 02/15/31 | 7,250,000 | 5,842,340 | ||||||
Go Daddy Operating Company LLC / GD Finance Co., Inc. | ||||||||
3.50% due 03/01/294 | 22,100,000 | 18,075,148 | ||||||
Walt Disney Co. | ||||||||
3.80% due 05/13/60 | 21,990,000 | 16,218,849 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
4.50% due 05/01/32 | 18,275,000 | 13,937,794 | ||||||
4.25% due 02/01/314 | 2,125,000 | 1,629,960 | ||||||
Altice France S.A. | ||||||||
5.13% due 07/15/294 | 17,600,000 | 13,149,136 | ||||||
5.13% due 01/15/294 | 2,290,000 | 1,689,425 | ||||||
LCPR Senior Secured Financing DAC | ||||||||
5.13% due 07/15/294 | 13,750,000 | 10,354,670 | ||||||
6.75% due 10/15/274 | 5,071,000 | 4,208,930 | ||||||
CSC Holdings LLC | ||||||||
3.38% due 02/15/314 | 14,175,000 | 9,993,375 | ||||||
4.13% due 12/01/304 | 5,741,000 | 4,289,675 | ||||||
Virgin Media Secured Finance plc | ||||||||
4.50% due 08/15/304 | 17,850,000 | 13,931,039 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc. | ||||||||
4.50% due 09/15/264 | 15,050,000 | 12,344,461 | ||||||
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
VeriSign, Inc. | ||||||||
2.70% due 06/15/31 | 13,950,000 | $ | 10,821,690 | |||||
Sirius XM Radio, Inc. | ||||||||
4.13% due 07/01/304 | 12,010,000 | 9,762,208 | ||||||
Ziggo BV | ||||||||
4.88% due 01/15/304 | 10,125,000 | 7,998,750 | ||||||
Amazon.com, Inc. | ||||||||
2.70% due 06/03/60 | 10,180,000 | 6,005,620 | ||||||
Virgin Media Vendor Financing Notes IV DAC | ||||||||
5.00% due 07/15/284 | 6,450,000 | 5,216,438 | ||||||
Lamar Media Corp. | ||||||||
3.63% due 01/15/31 | 5,600,000 | 4,404,456 | ||||||
AT&T, Inc. | ||||||||
2.75% due 06/01/31 | 5,360,000 | 4,290,518 | ||||||
Corning, Inc. | ||||||||
4.38% due 11/15/57 | 2,500,000 | 1,855,522 | ||||||
Switch Ltd. | ||||||||
3.75% due 09/15/284 | 1,782,000 | 1,770,862 | ||||||
Koninklijke KPN N.V. | ||||||||
8.38% due 10/01/30 | 1,140,000 | 1,257,239 | ||||||
Match Group Holdings II LLC | ||||||||
4.13% due 08/01/304 | 1,250,000 | 1,026,562 | ||||||
Virgin Media Finance plc | ||||||||
5.00% due 07/15/304 | 850,000 | 625,086 | ||||||
Motorola Solutions, Inc. | ||||||||
5.50% due 09/01/44 | 360,000 | 305,999 | ||||||
Total Communications | 530,510,203 | |||||||
Energy - 2.5% | ||||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||
3.25% due 09/30/404 | 91,750,000 | 67,070,869 | ||||||
2.94% due 09/30/404 | 57,826,599 | 43,887,011 | ||||||
1.75% due 09/30/274 | 1,828,641 | 1,661,110 | ||||||
BP Capital Markets plc | ||||||||
4.88% 3,6 | 114,865,000 | 98,783,900 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
4.50% due 05/15/30 | 63,355,000 | 57,714,471 | ||||||
Qatar Energy | ||||||||
3.13% due 07/12/414 | 37,875,000 | 27,621,707 | ||||||
3.30% due 07/12/514 | 37,450,000 | 26,583,508 | ||||||
ITT Holdings LLC | ||||||||
6.50% due 08/01/294 | 38,600,000 | 29,944,714 | ||||||
Valero Energy Corp. | ||||||||
2.80% due 12/01/31 | 13,230,000 | 10,522,773 | ||||||
2.15% due 09/15/27 | 8,920,000 | 7,711,366 | ||||||
3.65% due 12/01/51 | 4,175,000 | 2,846,278 | ||||||
7.50% due 04/15/32 | 2,530,000 | 2,744,269 | ||||||
4.00% due 06/01/52 | 290,000 | 209,242 | ||||||
Occidental Petroleum Corp. | ||||||||
5.55% due 03/15/26 | 5,940,000 | 5,946,772 | ||||||
4.30% due 08/15/39 | 6,600,000 | 5,360,883 | ||||||
4.40% due 08/15/49 | 2,500,000 | 2,044,843 | ||||||
4.40% due 04/15/46 | 1,400,000 | 1,150,653 | ||||||
4.63% due 06/15/45 | 800,000 | 662,112 | ||||||
Midwest Connector Capital Company LLC | ||||||||
4.63% due 04/01/294 | 15,975,000 | 14,253,748 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
2.74% due 12/31/39 | 19,150,000 | 13,811,495 | ||||||
NuStar Logistics, LP | ||||||||
6.38% due 10/01/30 | 13,850,000 | 11,850,975 | ||||||
5.63% due 04/28/27 | 1,799,000 | 1,568,603 | ||||||
Magellan Midstream Partners, LP | ||||||||
3.25% due 06/01/30 | 13,260,000 | 11,290,355 | ||||||
3.95% due 03/01/50 | 1,600,000 | 1,136,014 | ||||||
Parkland Corp. | ||||||||
4.63% due 05/01/304 | 8,000,000 | 6,485,400 | ||||||
DCP Midstream Operating, LP | ||||||||
3.25% due 02/15/32 | 7,645,000 | 6,043,509 | ||||||
DT Midstream, Inc. | ||||||||
4.30% due 04/15/324 | 3,250,000 | 2,794,155 | ||||||
4.13% due 06/15/294 | 550,000 | 464,750 | ||||||
Phillips 66 | ||||||||
3.70% due 04/06/23 | 2,250,000 | 2,242,440 | ||||||
Halliburton Co. | ||||||||
7.45% due 09/15/39 | 1,100,000 | 1,176,284 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Enterprise Products Operating LLC | ||||||||
5.10% due 02/15/45 | 1,340,000 | $ | 1,141,151 | |||||
Enbridge Energy Partners, LP | ||||||||
7.38% due 10/15/45 | 1,040,000 | 1,130,181 | ||||||
ONEOK Partners, LP | ||||||||
6.20% due 09/15/43 | 680,000 | 594,810 | ||||||
Total Energy | 468,450,351 | |||||||
Technology - 1.2% | ||||||||
Broadcom, Inc. | ||||||||
4.93% due 05/15/374 | 33,182,000 | 27,360,927 | ||||||
4.15% due 11/15/30 | 19,480,000 | 16,860,815 | ||||||
3.19% due 11/15/364 | 3,135,000 | 2,144,171 | ||||||
2.60% due 02/15/334 | 1,660,000 | 1,185,608 | ||||||
CDW LLC / CDW Finance Corp. | ||||||||
3.57% due 12/01/31 | 42,240,000 | 32,886,906 | ||||||
Oracle Corp. | ||||||||
3.95% due 03/25/51 | 38,750,000 | 25,699,210 | ||||||
6.13% due 07/08/39 | 1,190,000 | 1,090,294 | ||||||
Qorvo, Inc. | ||||||||
4.38% due 10/15/29 | 21,000,000 | 17,989,230 | ||||||
3.38% due 04/01/314 | 8,675,000 | 6,498,876 | ||||||
NetApp, Inc. | ||||||||
2.70% due 06/22/30 | 22,405,000 | 18,206,243 | ||||||
Leidos, Inc. | ||||||||
2.30% due 02/15/31 | 20,050,000 | 14,855,446 | ||||||
4.38% due 05/15/30 | 2,650,000 | 2,322,492 | ||||||
MSCI, Inc. | ||||||||
3.63% due 09/01/304 | 17,718,000 | 14,578,317 | ||||||
3.88% due 02/15/314 | 1,769,000 | 1,489,434 | ||||||
Boxer Parent Company, Inc. | ||||||||
6.50% due 10/02/25 | EUR 13,500,000 | 12,371,361 | ||||||
CGI, Inc. | ||||||||
2.30% due 09/14/31 | 16,050,000 | 11,845,304 | ||||||
Workday, Inc. | ||||||||
3.80% due 04/01/32 | 6,500,000 | 5,641,882 | ||||||
TeamSystem SpA | ||||||||
3.50% due 02/15/28 | EUR 5,000,000 | 4,036,754 | ||||||
Booz Allen Hamilton, Inc. | ||||||||
3.88% due 09/01/284 | 4,550,000 | 3,914,198 | ||||||
Microchip Technology, Inc. | ||||||||
0.97% due 02/15/24 | 1,650,000 | 1,554,565 | ||||||
Skyworks Solutions, Inc. | ||||||||
0.90% due 06/01/23 | 500,000 | 485,088 | ||||||
Open Text Holdings, Inc. | ||||||||
4.13% due 02/15/304 | 210,000 | 167,708 | ||||||
Total Technology | 223,184,829 | |||||||
Basic Materials - 1.1% | ||||||||
Newcrest Finance Pty Ltd. | ||||||||
3.25% due 05/13/304 | 48,900,000 | 40,747,888 | ||||||
4.20% due 05/13/504 | 26,390,000 | 18,951,948 | ||||||
Anglo American Capital plc | ||||||||
5.63% due 04/01/304 | 21,100,000 | 19,962,621 | ||||||
2.63% due 09/10/304 | 18,000,000 | 13,855,258 | ||||||
3.95% due 09/10/504 | 14,140,000 | 9,624,913 | ||||||
2.88% due 03/17/314 | 70,000 | 54,228 | ||||||
Minerals Technologies, Inc. | ||||||||
5.00% due 07/01/284 | 18,630,000 | 16,214,201 | ||||||
Alcoa Nederland Holding BV | ||||||||
4.13% due 03/31/294 | 8,600,000 | 7,212,517 | ||||||
5.50% due 12/15/274 | 6,525,000 | 6,085,541 | ||||||
6.13% due 05/15/284 | 2,800,000 | 2,645,487 | ||||||
Valvoline, Inc. | ||||||||
3.63% due 06/15/314 | 18,300,000 | 13,477,753 | ||||||
Yamana Gold, Inc. | ||||||||
2.63% due 08/15/31 | 14,350,000 | 10,613,060 | ||||||
4.63% due 12/15/27 | 3,000,000 | 2,730,869 | ||||||
Reliance Steel & Aluminum Co. | ||||||||
2.15% due 08/15/30 | 12,040,000 | 9,157,528 | ||||||
Corporation Nacional del Cobre de Chile | ||||||||
3.75% due 01/15/314 | 10,430,000 | 8,877,703 | ||||||
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
INEOS Quattro Finance 2 plc | ||||||||
2.50% due 01/15/26 | EUR 8,500,000 | $ | 6,833,657 | |||||
Steel Dynamics, Inc. | ||||||||
2.40% due 06/15/25 | 5,950,000 | 5,500,916 | ||||||
Nucor Corp. | ||||||||
2.00% due 06/01/25 | 5,000,000 | 4,615,001 | ||||||
Carpenter Technology Corp. | ||||||||
6.38% due 07/15/28 | 2,125,000 | 1,970,725 | ||||||
Albemarle Corp. | ||||||||
5.45% due 12/01/44 | 1,500,000 | 1,302,568 | ||||||
WR Grace Holdings LLC | ||||||||
4.88% due 06/15/274 | 925,000 | 795,158 | ||||||
Total Basic Materials | 201,229,540 | |||||||
Utilities - 1.0% | ||||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
3.52% due 12/31/39††† | 97,100,000 | 76,053,480 | ||||||
AES Corp. | ||||||||
3.95% due 07/15/304 | 27,890,000 | 23,882,207 | ||||||
3.30% due 07/15/254 | 3,750,000 | 3,457,987 | ||||||
NRG Energy, Inc. | ||||||||
2.45% due 12/02/274 | 26,000,000 | 21,284,834 | ||||||
Arizona Public Service Co. | ||||||||
3.35% due 05/15/50 | 23,140,000 | 15,128,842 | ||||||
Alexander Funding Trust | ||||||||
1.84% due 11/15/234 | 14,400,000 | 13,474,468 | ||||||
Enel Finance International N.V. | ||||||||
2.88% due 07/12/414 | 19,800,000 | 11,295,871 | ||||||
Clearway Energy Operating LLC | ||||||||
3.75% due 02/15/314 | 11,150,000 | 8,856,194 | ||||||
Entergy Texas, Inc. | ||||||||
1.50% due 09/01/26 | 1,650,000 | 1,424,955 | ||||||
Indiana Michigan Power Co. | ||||||||
6.05% due 03/15/37 | 1,310,000 | 1,316,944 | ||||||
NiSource, Inc. | ||||||||
5.65% due 02/01/45 | 1,370,000 | 1,268,141 | ||||||
Nevada Power Co. | ||||||||
6.65% due 04/01/36 | 1,180,000 | 1,248,654 | ||||||
Progress Energy, Inc. | ||||||||
6.00% due 12/01/39 | 1,290,000 | 1,244,276 | ||||||
Southern Power Co. | ||||||||
5.25% due 07/15/43 | 1,350,000 | 1,167,136 | ||||||
Consolidated Edison Company of New York, Inc. | ||||||||
5.10% due 06/15/33 | 1,080,000 | 1,037,359 | ||||||
Dominion Energy, Inc. | ||||||||
3.82% (3 Month USD LIBOR + 0.53%) due 09/15/23◊ | 1,030,000 | 1,025,195 | ||||||
Atmos Energy Corp. | ||||||||
0.63% due 03/09/23 | 800,000 | 787,227 | ||||||
ONE Gas, Inc. | ||||||||
0.85% due 03/11/23 | 404,000 | 397,702 | ||||||
OGE Energy Corp. | ||||||||
0.70% due 05/26/23 | 360,000 | 350,464 | ||||||
Total Utilities | 184,701,936 | |||||||
Total Corporate Bonds | ||||||||
(Cost $8,366,380,761) | 6,539,291,738 | |||||||
ASSET-BACKED SECURITIES†† - 24.9% | ||||||||
Collateralized Loan Obligations - 15.5% | ||||||||
BXMT Ltd. | ||||||||
2020-FL2 A, 3.84% (1 Month Term SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,4 | 76,225,000 | 75,099,538 | ||||||
2020-FL3 AS, 4.15% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 11/15/37◊,4 | 23,550,000 | 23,055,214 | ||||||
2020-FL3 C, 4.95% (30 Day Average SOFR + 2.66%, Rate Floor: 2.55%) due 11/15/37◊,4 | 16,125,000 | 15,550,682 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2020-FL2 B, 4.34% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 02/15/38◊,4 | 16,000,000 | $ | 15,395,158 | |||||
2020-FL3 B, 4.55% (30 Day Average SOFR + 2.26%, Rate Floor: 2.15%) due 11/15/37◊,7 | 10,600,000 | 10,283,971 | ||||||
2020-FL2 C, 4.59% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/38◊,7 | 5,360,000 | 5,103,131 | ||||||
2020-FL2 AS, 4.09% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38◊,7 | 5,200,000 | 5,027,734 | ||||||
LCCM Trust | ||||||||
2021-FL3 A, 4.27% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,4 | 98,500,000 | 93,960,706 | ||||||
2021-FL3 AS, 4.62% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/15/38◊,4 | 36,950,000 | 35,139,162 | ||||||
2021-FL3 B, 5.02% (1 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 11/15/38◊,4 | 20,750,000 | 19,823,027 | ||||||
LoanCore Issuer Ltd. | ||||||||
2021-CRE6 B, 4.72% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 11/15/38◊,7 | 44,000,000 | 41,358,236 | ||||||
2021-CRE4 C, 4.10% (30 Day Average SOFR + 1.81%, Rate Floor: 1.70%) due 07/15/35◊,4 | 25,982,000 | 24,440,849 | ||||||
2021-CRE6 C, 5.12% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 11/15/38◊,4 | 22,825,000 | 21,203,848 | ||||||
2019-CRE2 AS, 4.32% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,4 | 17,640,463 | 17,488,865 | ||||||
2021-CRE5 D, 5.82% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/15/36◊,4 | 14,350,000 | 13,602,510 | ||||||
2019-CRE2 B, 4.52% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 05/15/36◊,7 | 11,575,000 | 11,311,988 | ||||||
2021-CRE4 D, 4.90% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/35◊,7 | 5,600,000 | 5,301,140 | ||||||
2019-CRE3 B, 4.42% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/15/34◊,7 | 4,410,000 | 4,332,473 | ||||||
Cerberus Loan Funding XXX, LP | ||||||||
2020-3A A, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,4 | 100,000,000 | 97,913,950 | ||||||
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2020-3A B, 5.01% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/15/33◊,4 | 10,200,000 | $ | 9,859,965 | |||||
HERA Commercial Mortgage Ltd. | ||||||||
2021-FL1 B, 4.59% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/38◊,4 | 49,562,000 | 46,653,325 | ||||||
2021-FL1 AS, 4.29% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/18/38◊,4 | 28,000,000 | 26,752,146 | ||||||
2021-FL1 C, 4.94% (1 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 02/18/38◊,4 | 19,200,000 | 18,144,657 | ||||||
2021-FL1 A, 4.04% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/38◊,7 | 10,000,000 | 9,649,441 | ||||||
Woodmont Trust | ||||||||
2020-7A A1A, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,4 | 83,000,000 | 81,162,895 | ||||||
2020-7A B, 5.11% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/32◊,4 | 13,500,000 | 13,017,769 | ||||||
2020-7A A2, 4.76% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/32◊,4 | 7,000,000 | 6,865,328 | ||||||
Cerberus Loan Funding XXXII, LP | ||||||||
2021-2A A, 4.13% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,4 | 65,000,000 | 62,450,446 | ||||||
2021-2A C, 5.36% (3 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 04/22/33◊,4 | 20,925,000 | 19,102,424 | ||||||
2021-2A B, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/22/33◊,4 | 19,200,000 | 17,936,312 | ||||||
Golub Capital Partners CLO 33M Ltd. | ||||||||
2021-33A AR2, 4.86% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,4 | 104,600,001 | 99,371,684 | ||||||
Palmer Square Loan Funding Ltd. | ||||||||
2022-1A A2, 3.93% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,4 | 23,000,000 | 21,617,408 | ||||||
2021-3A B, 4.46% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/20/29◊,4 | 22,500,000 | 20,760,682 | ||||||
2021-1A A2, 3.96% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/29◊,4 | 19,000,000 | 18,246,405 | ||||||
2021-2A B, 4.38% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/29◊,4 | 10,500,000 | 9,640,910 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2021-1A B, 4.51% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/29◊,4 | 7,100,000 | $ | 6,677,925 | |||||
2021-2A C, 5.38% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 05/20/29◊,4 | 7,000,000 | 6,560,773 | ||||||
ABPCI Direct Lending Fund CLO II LLC | ||||||||
2021-1A A1R, 4.31% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,4 | 83,450,000 | 81,267,182 | ||||||
Cerberus Loan Funding XXXI, LP | ||||||||
2021-1A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,4 | 70,250,000 | 69,343,965 | ||||||
2021-1A C, 5.11% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 04/15/32◊,4 | 12,000,000 | 11,336,341 | ||||||
Golub Capital Partners CLO 36M Ltd. | ||||||||
2018-36A A, 4.13% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,4 | 76,300,000 | 75,177,322 | ||||||
KREF Funding V LLC | ||||||||
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,††† | 67,947,779 | 67,641,888 | ||||||
0.15% due 06/25/26†††,10 | 313,636,364 | 12,545 | ||||||
ABPCI Direct Lending Fund CLO V Ltd. | ||||||||
2021-5A A1R, 4.21% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,4 | 50,650,000 | 49,536,206 | ||||||
2021-5A A2R, 4.61% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/31◊,4 | 15,975,000 | 15,215,580 | ||||||
THL Credit Lake Shore MM CLO I Ltd. | ||||||||
2021-1A A1R, 4.21% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,4 | 33,500,000 | 32,531,803 | ||||||
2021-1A BR, 4.51% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/15/33◊,4 | 30,400,000 | 28,661,500 | ||||||
ABPCI Direct Lending Fund CLO I LLC | ||||||||
2021-1A A1A2, 4.41% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,4 | 59,500,000 | 57,964,918 | ||||||
2021-1A B12, 4.71% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/20/33◊,4 | 2,500,000 | 2,335,536 | ||||||
Cerberus Loan Funding XXVI, LP | ||||||||
2021-1A AR, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,4 | 55,700,000 | 54,644,814 | ||||||
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2021-1A BR, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/31◊,4 | 3,250,000 | $ | 3,128,227 | |||||
ABPCI Direct Lending Fund IX LLC | ||||||||
2021-9A A1R, 4.17% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/18/31◊,4 | 34,150,000 | 33,013,126 | ||||||
2021-9A A2R, 4.57% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/18/31◊,4 | 26,000,000 | 24,540,680 | ||||||
CHCP Ltd. | ||||||||
2021-FL1 A, 4.01% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,4 | 27,978,242 | 27,445,019 | ||||||
2021-FL1 AS, 4.26% (1 Month Term SOFR + 1.41%, Rate Floor: 1.30%) due 02/15/38◊,4 | 22,250,000 | 21,266,000 | ||||||
2021-FL1 B, 4.61% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/38◊,7 | 5,900,000 | 5,612,492 | ||||||
2021-FL1 C, 5.06% (1 Month Term SOFR + 2.21%, Rate Floor: 2.10%) due 02/15/38◊,7 | 2,950,000 | 2,762,418 | ||||||
FS Rialto | ||||||||
2021-FL3 C, 4.99% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 11/16/36◊,4 | 31,150,000 | 29,015,135 | ||||||
2021-FL2 C, 4.99% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 05/16/38◊,4 | 15,665,000 | 14,708,327 | ||||||
2021-FL3 B, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/36◊,7 | 8,000,000 | 7,506,552 | ||||||
Fortress Credit Opportunities IX CLO Ltd. | ||||||||
2021-9A A2TR, 4.31% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/33◊,4 | 46,200,000 | 44,673,266 | ||||||
2021-9A BR, 4.46% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 10/15/33◊,4 | 6,700,000 | 6,190,898 | ||||||
Owl Rock CLO IV Ltd. | ||||||||
2021-4A A1R, 4.58% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,4 | 36,500,000 | 34,800,352 | ||||||
2021-4A A2R, 4.88% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/20/33◊,4 | 16,750,000 | 15,551,814 | ||||||
Fortress Credit Opportunities XI CLO Ltd. | ||||||||
2018-11A A1T, 3.81% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,4 | 44,300,000 | 43,439,552 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2018-11A C, 5.01% (3 Month USD LIBOR + 2.50%, Rate Floor: 0.00%) due 04/15/31◊,4 | 2,300,000 | $ | 2,139,705 | |||||
ABPCI Direct Lending Fund CLO VII, LP | ||||||||
2021-7A A1R, 4.20% (3 Month USD LIBOR + 1.43%, Rate Floor: 1.43%) due 10/20/31◊,4 | 39,500,000 | 37,725,660 | ||||||
2021-7A A2R, 4.62% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 10/20/31◊,4 | 8,250,000 | 7,805,545 | ||||||
Cerberus Loan Funding XXXIII, LP | ||||||||
2021-3A A, 4.07% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/33◊,4 | 34,500,000 | 33,172,709 | ||||||
2021-3A B, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,4 | 9,500,000 | 8,520,924 | ||||||
GoldenTree Loan Management US CLO 1 Ltd. | ||||||||
2021-9A B, 4.21% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/20/33◊,4 | 35,900,000 | 33,382,793 | ||||||
2021-9A C, 4.51% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/33◊,4 | 3,900,000 | 3,519,396 | ||||||
Cerberus Loan Funding XXXV, LP | ||||||||
2021-5A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/33◊,4 | 30,750,000 | 29,436,062 | ||||||
2021-5A B, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 09/22/33◊,4 | 8,000,000 | 7,431,033 | ||||||
ACRES Commercial Realty Ltd. | ||||||||
2021-FL1 C, 4.94% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/15/36◊,7 | 13,092,000 | 12,210,925 | ||||||
2021-FL1 D, 5.59% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/36◊,7 | 11,750,000 | 10,860,901 | ||||||
2021-FL2 B, 5.19% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/37◊,7 | 10,100,000 | 9,745,937 | ||||||
2021-FL2 AS, 4.69% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 01/15/37◊,7 | 3,500,000 | 3,360,189 | ||||||
LCM XXIV Ltd. | ||||||||
2021-24A BR, 4.11% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 03/20/30◊,4 | 24,200,000 | 23,064,589 | ||||||
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2021-24A CR, 4.61% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 03/20/30◊,4 | 13,050,000 | $ | 11,823,603 | |||||
Golub Capital Partners CLO 16 Ltd. | ||||||||
2021-16A A1R2, 4.39% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,4 | 26,750,000 | 25,547,884 | ||||||
2021-16A A2R2, 4.58% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/25/33◊,4 | 9,000,000 | 8,574,564 | ||||||
GPMT Ltd. | ||||||||
2019-FL2 C, 5.36% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 02/22/36◊,4 | 21,400,000 | 21,173,811 | ||||||
2019-FL2 B, 4.91% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 02/22/36◊,7 | 11,039,044 | 10,935,514 | ||||||
Golub Capital Partners CLO 49M Ltd. | ||||||||
2021-49A BR, 4.61% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/26/33◊,4 | 21,695,000 | 20,139,087 | ||||||
2021-49A CR, 5.31% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 08/26/33◊,4 | 12,600,000 | 11,327,124 | ||||||
Madison Park Funding XLVIII Ltd. | ||||||||
2021-48A B, 4.19% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,4 | 27,500,000 | 25,920,848 | ||||||
2021-48A C, 4.74% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/19/33◊,4 | 5,900,000 | 5,426,626 | ||||||
BDS Ltd. | ||||||||
2021-FL9 C, 4.89% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 11/16/38◊,4 | 19,500,000 | 18,234,493 | ||||||
2020-FL5 B, 4.84% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 02/16/37◊,7 | 4,400,000 | 4,314,814 | ||||||
2021-FL9 D, 5.24% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 11/16/38◊,7 | 4,400,000 | 4,107,565 | ||||||
2020-FL5 AS, 4.39% (1 Month Term SOFR + 1.46%, Rate Floor: 1.35%) due 02/16/37◊,7 | 3,200,000 | 3,124,955 | ||||||
Golub Capital Partners CLO 17 Ltd. | ||||||||
2017-17A A1R, 4.43% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,4 | 29,900,000 | 29,456,783 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
BCC Middle Market CLO LLC | ||||||||
2021-1A A1R, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,4 | 30,450,000 | $ | 29,249,463 | |||||
Neuberger Berman Loan Advisers CLO 40 Ltd. | ||||||||
2021-40A B, 4.14% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/16/33◊,4 | 26,700,000 | 25,072,574 | ||||||
2021-40A C, 4.49% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/16/33◊,4 | 2,000,000 | 1,822,439 | ||||||
MidOcean Credit CLO VII | ||||||||
2020-7A BR, 4.11% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/15/29◊,4 | 27,500,000 | 25,941,542 | ||||||
OCP CLO Ltd. | ||||||||
2020-4A A2RR, 4.23% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/24/29◊,4 | 25,500,000 | 24,948,091 | ||||||
STWD Ltd. | ||||||||
2019-FL1 B, 4.64% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 07/15/38◊,7 | 11,210,000 | 10,841,547 | ||||||
2019-FL1 C, 4.99% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 07/15/38◊,7 | 8,800,000 | 8,488,505 | ||||||
2021-FL2 C, 5.04% (1 Month USD LIBOR + 2.10%, Rate Floor: 2.10%) due 04/18/38◊,7 | 2,820,000 | 2,690,464 | ||||||
2019-FL1 AS, 4.44% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 07/15/38◊,7 | 2,200,000 | 2,155,544 | ||||||
BSPDF Issuer Ltd. | ||||||||
2021-FL1 C, 5.07% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/15/36◊,7 | 15,300,000 | 14,642,039 | ||||||
2021-FL1 B, 4.62% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/36◊,7 | 6,500,000 | 6,223,468 | ||||||
2021-FL1 D, 5.57% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/15/36◊,7 | 3,500,000 | 3,242,901 | ||||||
Madison Park Funding LIII Ltd. | ||||||||
2022-53A B, 4.22% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,4 | 24,000,000 | 22,749,430 | ||||||
Venture XIV CLO Ltd. | ||||||||
2020-14A CRR, 5.29% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/28/29◊,4 | 22,725,000 | 21,451,257 | ||||||
Magnetite XXIX Ltd. | ||||||||
2021-29A B, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/15/34◊,4 | 15,100,000 | 14,234,166 | ||||||
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2021-29A C, 4.16% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 01/15/34◊,4 | 7,700,000 | $ | 6,986,016 | |||||
Apres Static CLO Ltd. | ||||||||
2020-1A A2R, 4.21% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/15/28◊,4 | 21,750,000 | 21,123,219 | ||||||
NewStar Fairfield Fund CLO Ltd. | ||||||||
2018-2A A1N, 3.98% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/30◊,4 | 21,171,638 | 20,766,878 | ||||||
Golub Capital Partners CLO 54M L.P | ||||||||
2021-54A B, 4.68% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 08/05/33◊,4 | 21,000,000 | 19,465,005 | ||||||
Marathon CLO V Ltd. | ||||||||
2017-5A A2R, 4.43% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/27◊,4 | 18,020,137 | 17,848,919 | ||||||
2017-5A A1R, 3.85% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,4 | 1,465,610 | 1,461,287 | ||||||
AMMC CLO XIV Ltd. | ||||||||
2021-14A A2R2, 4.18% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/29◊,4 | 18,290,000 | 17,600,319 | ||||||
Anchorage Capital CLO 6 Ltd. | ||||||||
2021-6A CRR, 4.71% (3 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 07/15/30◊,4 | 18,585,000 | 17,316,059 | ||||||
Recette CLO Ltd. | ||||||||
2021-1A BRR, 4.11% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 04/20/34◊,4 | 9,800,000 | 9,114,546 | ||||||
2021-1A CRR, 4.46% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 04/20/34◊,4 | 9,200,000 | 8,123,668 | ||||||
Neuberger Berman Loan Advisers CLO 32 Ltd. | ||||||||
2021-32A BR, 4.14% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/20/32◊,4 | 14,100,000 | 13,311,202 | ||||||
2021-32A CR, 4.44% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 01/20/32◊,4 | 4,200,000 | 3,818,605 | ||||||
BSPRT Issuer Ltd. | ||||||||
2021-FL7 C, 5.12% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 12/15/38◊,7 | 7,250,000 | 6,805,442 | ||||||
2021-FL6 C, 4.87% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/36◊,7 | 5,550,000 | 5,140,629 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2021-FL7 B, 4.87% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 12/15/38◊,7 | 4,875,000 | $ | 4,625,197 | |||||
Owl Rock CLO VI Ltd. | ||||||||
2021-6A B1, 5.28% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/21/32◊,4 | 17,450,000 | 16,393,109 | ||||||
KREF | ||||||||
2021-FL2 C, 4.94% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/39◊,4 | 16,600,000 | 15,746,465 | ||||||
Owl Rock CLO II Ltd. | ||||||||
2021-2A ALR, 4.26% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/33◊,4 | 15,600,000 | 14,998,464 | ||||||
Dryden 36 Senior Loan Fund | ||||||||
2020-36A CR3, 4.56% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/15/29◊,4 | 15,200,000 | 14,309,893 | ||||||
Golub Capital Partners CLO 25M Ltd. | ||||||||
2018-25A AR, 4.21% (3 Month USD LIBOR + 1.38%, Rate Floor: 1.38%) due 05/05/30◊,4 | 14,470,880 | 14,286,046 | ||||||
Octagon Investment Partners 49 Ltd. | ||||||||
2021-5A B, 4.06% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/33◊,4 | 12,800,000 | 12,021,441 | ||||||
Greystone Commercial Real Estate Notes | ||||||||
2021-FL3 C, 4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/39◊,7 | 12,000,000 | 11,006,670 | ||||||
Lake Shore MM CLO III LLC | ||||||||
2021-2A A1R, 4.22% (3 Month USD LIBOR + 1.48%, Rate Floor: 1.48%) due 10/17/31◊,4 | 10,000,000 | 9,757,911 | ||||||
Golub Capital Partners CLO 54M, LP | ||||||||
2021-54A A, 4.36% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/33◊,4 | 10,000,000 | 9,571,987 | ||||||
Neuberger Berman CLO XVI-S Ltd. | ||||||||
2021-16SA BR, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/34◊,4 | 10,200,000 | 9,525,554 | ||||||
Cerberus Loan Funding XXXVI, LP | ||||||||
2021-6A A, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,4 | 8,985,093 | 8,918,646 | ||||||
Neuberger Berman Loan Advisers CLO 47 Ltd. | ||||||||
2022-47A B, 4.10% (3 Month Term SOFR + 1.80%, Rate Floor: 1.80%) due 04/14/35◊,4 | 9,000,000 | 8,504,584 | ||||||
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Boyce Park CLO Ltd. | ||||||||
2022-1A B1, 2.37% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,4 | 8,800,000 | $ | 8,179,292 | |||||
Dryden 37 Senior Loan Fund | ||||||||
2015-37A Q, due 01/15/314,11 | 10,000,000 | 7,633,047 | ||||||
ACRE Commercial Mortgage Ltd. | ||||||||
2021-FL4 B, 4.39% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 12/18/37◊,7 | 3,100,000 | 3,016,548 | ||||||
2021-FL4 C, 4.74% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 12/18/37◊,7 | 3,100,000 | 3,003,293 | ||||||
HGI CRE CLO Ltd. | ||||||||
2021-FL2 B, 4.44% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/17/36◊,7 | 5,000,000 | 4,781,934 | ||||||
2021-FL2 C, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 09/17/36◊,7 | 1,000,000 | 938,110 | ||||||
Owl Rock CLO I Ltd. | ||||||||
2019-1A A, 4.78% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 05/20/31◊,4 | 5,650,000 | 5,452,656 | ||||||
Shackleton CLO Ltd. | ||||||||
2017-8A BR, 4.01% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 10/20/27◊,4 | 5,510,000 | 5,342,953 | ||||||
VOYA CLO | ||||||||
2021-2A BR, 4.66% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 06/07/30◊,4 | 4,950,000 | 4,619,412 | ||||||
Atlas Senior Loan Fund III Ltd. | ||||||||
2017-1A BR, 4.24% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 11/17/27◊,4 | 4,300,000 | 4,163,654 | ||||||
Elmwood CLO 19 Ltd. | ||||||||
2022-6A B1, due 10/17/34◊,4 | 4,000,000 | 3,997,871 | ||||||
Northwoods Capital XII-B Ltd. | ||||||||
2018-12BA B, 5.14% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 06/15/31◊,4 | 4,000,000 | 3,864,778 | ||||||
BRSP Ltd. | ||||||||
2021-FL1 D, 5.69% (1 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 08/19/38◊,7 | 3,800,000 | 3,547,967 | ||||||
MF1 Multifamily Housing Mortgage Loan Trust | ||||||||
2021-FL6 D, 5.49% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/36◊,7 | 3,800,000 | 3,499,728 | ||||||
Carlyle Global Market Strategies CLO Ltd. | ||||||||
2012-3A SUB, due 01/14/324,11 | 8,920,000 | 2,907,028 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Wellfleet CLO Ltd. | ||||||||
2018-2A A2R, 4.29% (3 Month USD LIBOR + 1.58%, Rate Floor: 1.58%) due 10/20/28◊,4 | 2,500,000 | $ | 2,408,084 | |||||
Diamond CLO Ltd. | ||||||||
2021-1A CR, 5.18% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/25/29◊,4 | 2,300,000 | 2,282,532 | ||||||
2021-1A BR, 4.48% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/25/29◊,4 | 74,868 | 74,801 | ||||||
Allegro CLO VII Ltd. | ||||||||
2018-1A C, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 06/13/31◊,4 | 2,500,000 | 2,301,229 | ||||||
Voya CLO Ltd. | ||||||||
2013-1A INC, due 10/15/304,11 | 10,575,071 | 2,020,896 | ||||||
TRTX Issuer Ltd. | ||||||||
2019-FL3 B, 4.79% (1 Month Term SOFR + 1.86%, Rate Floor: 1.75%) due 10/15/34◊,7 | 1,500,000 | 1,468,649 | ||||||
2019-FL3 A, 4.19% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 10/15/34◊,7 | 438,061 | 436,493 | ||||||
Treman Park CLO Ltd. | ||||||||
2015-1A SUB, due 10/20/284,11 | 6,859,005 | 852,780 | ||||||
Newfleet CLO Ltd. | ||||||||
2018-1A A1R, 3.66% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,4 | 775,636 | 769,221 | ||||||
Venture XIII CLO Ltd. | ||||||||
2013-13A SUB, due 09/10/294,11 | 3,700,000 | 416,893 | ||||||
Great Lakes CLO Ltd. | ||||||||
2014-1A SUB, due 10/15/294,11 | 461,538 | 193,615 | ||||||
Babson CLO Ltd. | ||||||||
2014-IA SUB, due 07/20/254,11 | 1,300,000 | 81,120 | ||||||
Atlas Senior Loan Fund IX Ltd. | ||||||||
2018-9A SUB, due 04/20/284,11 | 1,200,000 | 70,782 | ||||||
Avery Point II CLO Ltd. | ||||||||
2013-3X COM , due 01/18/2511 | 2,375,019 | 60,444 | ||||||
OHA Credit Partners IX Ltd. | ||||||||
2013-9A ACOM, due 10/20/254,11 | 1,808,219 | 1,989 | ||||||
Copper River CLO Ltd. | ||||||||
2007-1A INC, due 01/20/21†††,7,11 | 1,500,000 | 630 | ||||||
Total Collateralized Loan Obligations | 2,922,359,794 | |||||||
Financial - 2.7% | ||||||||
HV Eight LLC | ||||||||
3.36% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25◊,††† | EUR 107,000,000 | 104,814,697 | ||||||
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Strategic Partners Fund VIII LP | ||||||||
5.04% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,††† | 51,900,000 | $ | 51,864,477 | |||||
5.06% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,††† | 21,900,000 | 21,884,020 | ||||||
Madison Avenue Secured Funding Trust | ||||||||
2021-1, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,4 | 70,150,000 | 70,150,000 | ||||||
KKR Core Holding Company LLC | ||||||||
4.00% due 08/12/31††† | 65,584,832 | 56,123,391 | ||||||
Project Onyx | ||||||||
4.52% (3 Month Term SOFR + 2.40%, Rate Floor: 2.30%) due 01/26/27◊,††† | 31,000,000 | 30,988,788 | ||||||
HarbourVest Structured Solutions IV Holdings, LP | ||||||||
4.60% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,††† | 19,956,425 | 19,955,851 | ||||||
2.58% (3 Month EURIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26��,††† | EUR 11,100,000 | 10,876,575 | ||||||
Ceamer Finance LLC | ||||||||
3.69% due 03/22/31††† | 23,066,908 | 20,971,705 | ||||||
Thunderbird A | ||||||||
5.50% due 03/01/37††† | 18,995,745 | 18,995,745 | ||||||
Bib Merchant Voucher Receivables Ltd. | ||||||||
4.18% due 04/07/28††† | 19,215,573 | 18,684,713 | ||||||
Lightning A | ||||||||
5.50% due 03/01/37††† | 18,392,346 | 18,392,346 | ||||||
Aesf Vi Verdi, LP | ||||||||
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,††† | EUR 9,941,304 | 9,738,765 | ||||||
4.40% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,††† | 8,197,841 | 8,200,084 | ||||||
Oxford Finance Funding | ||||||||
2020-1A, 3.10% due 02/15/284 | 13,869,459 | 13,701,756 | ||||||
Nassau LLC | ||||||||
2019-1, 3.98% due 08/15/344 | 13,967,545 | 13,293,924 | ||||||
Lam Trade Finance Group LLC | ||||||||
2.50% due 12/29/22 | 11,000,000 | 11,000,000 | ||||||
Industrial DPR Funding Ltd. | ||||||||
2016-1A, 5.24% due 04/15/264 | 2,322,687 | 2,287,884 | ||||||
Total Financial | 501,924,721 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Transport-Aircraft - 2.2% | ||||||||
AASET Trust | ||||||||
2021-1A, 2.95% due 11/16/414 | 67,583,078 | $ | 53,895,605 | |||||
2021-2A, 2.80% due 01/15/474 | 23,494,895 | 18,570,513 | ||||||
2020-1A, 3.35% due 01/16/404 | 17,711,806 | 14,289,986 | ||||||
2019-1, 3.84% due 05/15/394 | 9,303,826 | 6,175,322 | ||||||
2017-1A, 3.97% due 05/16/424 | 5,841,697 | 4,632,466 | ||||||
2019-2, 3.38% due 10/16/394 | 2,021,475 | 1,437,472 | ||||||
Castlelake Aircraft Structured Trust | ||||||||
2021-1A, 3.47% due 01/15/464 | 55,124,596 | 48,296,649 | ||||||
Navigator Aircraft ABS Ltd. | ||||||||
2021-1, 2.77% due 11/15/464 | 45,705,552 | 38,839,632 | ||||||
Lunar Structured Aircraft Portfolio Notes | ||||||||
2021-1, 2.64% due 10/15/464 | 36,932,887 | 30,499,706 | ||||||
AASET US Ltd. | ||||||||
2018-2A, 4.45% due 11/18/384 | 36,500,997 | 30,205,718 | ||||||
Sprite Ltd. | ||||||||
2021-1, 3.75% due 11/15/464 | 34,936,272 | 29,493,781 | ||||||
Sapphire Aviation Finance II Ltd. | ||||||||
2020-1A, 3.23% due 03/15/404 | 28,418,408 | 23,527,293 | ||||||
KDAC Aviation Finance Ltd. | ||||||||
2017-1A, 4.21% due 12/15/424 | 27,761,132 | 21,248,856 | ||||||
Sapphire Aviation Finance I Ltd. | ||||||||
2018-1A, 4.25% due 03/15/404 | 25,160,569 | 18,528,819 | ||||||
MAPS Ltd. | ||||||||
2018-1A, 4.21% due 05/15/434 | 19,393,733 | 17,275,825 | ||||||
WAVE LLC | ||||||||
2019-1, 3.60% due 09/15/444 | 19,742,578 | 15,617,721 | ||||||
Falcon Aerospace Ltd. | ||||||||
2019-1, 3.60% due 09/15/394 | 11,564,873 | 9,188,897 | ||||||
2017-1, 4.58% due 02/15/424 | 4,588,991 | 4,160,996 | ||||||
Castlelake Aircraft Securitization Trust | ||||||||
2018-1, 4.13% due 06/15/434 | 14,066,381 | 12,307,534 | ||||||
2016-1, 4.45% due 08/15/41 | 147,417 | 132,408 | ||||||
Raspro Trust | ||||||||
2005-1A, 3.64% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,4 | 10,637,384 | 9,863,708 | ||||||
Slam Ltd. | ||||||||
2021-1A, 3.42% due 06/15/464 | 1,382,850 | 1,096,778 | ||||||
Stripes Aircraft Ltd. | ||||||||
2013-1 A1, 6.49% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/20/23◊,††† | 156,653 | 149,833 | ||||||
Total Transport-Aircraft | 409,435,518 | |||||||
Whole Business - 1.4% | ||||||||
Arbys Funding LLC | ||||||||
2020-1A, 3.24% due 07/30/504 | 95,599,000 | 80,931,532 | ||||||
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
SERVPRO Master Issuer LLC | ||||||||
2021-1A, 2.39% due 04/25/514 | 29,921,250 | $ | 23,596,017 | |||||
2022-1A, 3.13% due 01/25/524 | 23,382,500 | 18,566,079 | ||||||
Taco Bell Funding LLC | ||||||||
2021-1A, 2.29% due 08/25/514 | 23,393,225 | 18,692,169 | ||||||
2016-1A, 4.97% due 05/25/464 | 14,544,125 | 14,000,684 | ||||||
Wingstop Funding LLC | ||||||||
2020-1A, 2.84% due 12/05/504 | 25,308,750 | 21,507,401 | ||||||
2022-1A, 3.73% due 03/05/524 | 10,300,000 | 8,648,673 | ||||||
ServiceMaster Funding LLC | ||||||||
2020-1, 3.34% due 01/30/514 | 28,860,500 | 22,119,582 | ||||||
2020-1, 2.84% due 01/30/514 | 9,653,000 | 7,864,801 | ||||||
Domino’s Pizza Master Issuer LLC | ||||||||
2021-1A, 3.15% due 04/25/514 | 9,214,363 | 7,351,062 | ||||||
2017-1A, 4.12% due 07/25/474 | 7,926,500 | 7,288,441 | ||||||
Wendy’s Funding LLC | ||||||||
2019-1A, 3.78% due 06/15/494 | 12,346,125 | 11,312,162 | ||||||
2019-1A, 4.08% due 06/15/494 | 1,528,438 | 1,345,838 | ||||||
DB Master Finance LLC | ||||||||
2019-1A, 4.35% due 05/20/494 | 7,656,210 | 6,964,341 | ||||||
2021-1A, 2.79% due 11/20/514 | 6,699,375 | 5,255,559 | ||||||
Sonic Capital LLC | ||||||||
2021-1A, 2.64% due 08/20/514 | 11,472,120 | 8,211,055 | ||||||
Applebee’s Funding LLC / IHOP Funding LLC | ||||||||
2019-1A, 4.19% due 06/05/494 | 3,356,100 | 3,179,865 | ||||||
Total Whole Business | 266,835,261 | |||||||
Collateralized Debt Obligations - 1.0% | ||||||||
Anchorage Credit Funding 4 Ltd. | ||||||||
2021-4A AR, 2.72% due 04/27/394 | 108,450,000 | 99,334,647 | ||||||
2021-4A BR, 3.12% due 04/27/397 | 16,250,000 | 13,803,763 | ||||||
Anchorage Credit Funding 3 Ltd. | ||||||||
2021-3A A1R, 2.87% due 01/28/394 | 54,000,000 | 48,165,176 | ||||||
Anchorage Credit Funding Ltd. | ||||||||
2021-13A A1, 2.88% due 07/27/394 | 32,850,000 | 28,927,766 | ||||||
2021-13A B1, 3.23% due 07/27/397 | 6,345,000 | 5,391,954 | ||||||
2021-13A C2, 3.65% due 07/27/397 | 1,950,000 | 1,518,886 | ||||||
Total Collateralized Debt Obligations | 197,142,192 | |||||||
Net Lease - 0.9% | ||||||||
STORE Master Funding I-VII | ||||||||
2016-1A, 3.96% due 10/20/464 | 27,605,690 | 25,724,338 | ||||||
2016-1A, 4.32% due 10/20/464 | 11,195,251 | 10,372,661 | ||||||
CF Hippolyta Issuer LLC | ||||||||
2022-1A, 6.11% due 08/15/624 | 20,500,000 | 19,425,823 | ||||||
2020-1, 2.28% due 07/15/604 | 10,125,538 | 8,854,757 | ||||||
Capital Automotive REIT | ||||||||
2020-1A, 3.48% due 02/15/504 | 22,102,328 | 19,877,660 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2021-1A, 2.76% due 08/15/514 | 6,594,500 | $ | 5,027,814 | |||||
CARS-DB4, LP | ||||||||
2020-1A, 3.81% due 02/15/504 | 19,940,381 | 17,375,631 | ||||||
2020-1A, 3.25% due 02/15/504 | 3,416,346 | 2,921,684 | ||||||
CMFT Net Lease Master Issuer LLC | ||||||||
2021-1, 2.91% due 07/20/514 | 10,050,000 | 8,257,848 | ||||||
2021-1, 3.04% due 07/20/514 | 5,050,000 | 3,921,021 | ||||||
2021-1, 3.44% due 07/20/514 | 3,215,000 | 2,507,857 | ||||||
2021-1, 2.51% due 07/20/514 | 3,000,000 | 2,464,120 | ||||||
Oak Street Investment Grade Net Lease Fund Series | ||||||||
2020-1A, 2.26% due 11/20/504 | 15,000,000 | 13,226,531 | ||||||
STORE Master Funding I LLC | ||||||||
2015-1A, 4.17% due 04/20/454 | 9,580,058 | 9,033,042 | ||||||
New Economy Assets Phase 1 Sponsor LLC | ||||||||
2021-1, 2.41% due 10/20/614 | 10,000,000 | 8,355,996 | ||||||
CF Hippolyta LLC | ||||||||
2020-1, 2.60% due 07/15/604 | 4,413,814 | 3,569,808 | ||||||
STORE Master Funding LLC | ||||||||
2021-1A, 3.70% due 06/20/514 | 3,560,606 | 2,844,376 | ||||||
Capital Automotive LLC | ||||||||
2017-1A, 4.18% due 04/15/474 | 269,209 | 261,661 | ||||||
Total Net Lease | 164,022,628 | |||||||
Single Family Residence - 0.6% | ||||||||
FirstKey Homes Trust | ||||||||
2020-SFR2, 4.50% due 10/19/374 | 21,640,000 | 19,633,022 | ||||||
2020-SFR2, 4.00% due 10/19/374 | 20,340,000 | 18,228,804 | ||||||
2020-SFR2, 3.37% due 10/19/374 | 13,010,000 | 11,485,315 | ||||||
2021-SFR1, 2.19% due 08/17/384 | 8,174,000 | 6,918,058 | ||||||
Home Partners of America Trust | ||||||||
2021-2, 2.65% due 12/17/264 | 47,059,662 | 40,600,281 | ||||||
2021-3, 2.80% due 01/17/414 | 15,695,303 | 13,430,474 | ||||||
Tricon Residential Trust | ||||||||
2021-SFR1, 2.59% due 07/17/384 | 7,000,000 | 6,021,840 | ||||||
Total Single Family Residence | 116,317,794 | |||||||
Infrastructure - 0.3% | ||||||||
VB-S1 Issuer LLC - VBTEL | ||||||||
2022-1A, 4.29% due 02/15/524 | 40,900,000 | 35,779,520 | ||||||
Secured Tenant Site Contract Revenue Notes Series | ||||||||
2018-1A, 3.97% due 06/15/484 | 21,060,635 | 20,802,008 | ||||||
Hotwire Funding LLC | ||||||||
2021-1, 2.66% due 11/20/514 | 4,025,000 | 3,321,684 | ||||||
Total Infrastructure | 59,903,212 | |||||||
Transport-Container - 0.3% | ||||||||
Textainer Marine Containers VII Ltd. | ||||||||
2020-1A, 2.73% due 08/21/454 | 53,228,450 | 48,036,441 | ||||||
MC Ltd. | ||||||||
2021-1, 2.63% due 11/05/354 | 11,194,986 | 9,653,863 | ||||||
Total Transport-Container | 57,690,304 | |||||||
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Insurance - 0.0% | ||||||||
JGWPT XXIII LLC | ||||||||
2011-1A, 4.70% due 10/15/564 | 2,443,497 | $ | 2,317,334 | |||||
JGWPT XXIV LLC | ||||||||
2011-2A, 4.94% due 09/15/564 | 1,760,725 | 1,702,719 | ||||||
321 Henderson Receivables VI LLC | ||||||||
2010-1A, 5.56% due 07/15/594 | 836,932 | 827,454 | ||||||
Total Insurance | 4,847,507 | |||||||
Total Asset-Backed Securities | ||||||||
(Cost $5,070,281,116) | 4,700,478,931 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 21.5% | ||||||||
Government Agency - 9.7% | ||||||||
Uniform MBS 30 Year | ||||||||
due 11/15/5218 | 1,271,056,934 | 1,176,921,186 | ||||||
Fannie Mae | ||||||||
4.00% due 07/01/52 | 226,461,708 | 211,737,660 | ||||||
2.40% due 03/01/40 | 27,004,000 | 19,175,156 | ||||||
3.83% due 05/01/49 | 19,000,000 | 16,360,117 | ||||||
2.27% due 10/01/41 | 16,935,000 | 11,292,481 | ||||||
3.42% due 09/01/47 | 12,406,747 | 10,566,729 | ||||||
due 12/25/4312,14 | 12,221,159 | 9,225,939 | ||||||
2.07% due 10/01/50 | 13,049,040 | 9,196,180 | ||||||
2.57% due 08/01/51 | 12,382,650 | 8,666,258 | ||||||
2.00% due 09/01/50 | 11,710,524 | 8,150,369 | ||||||
2.31% due 10/01/41 | 9,435,000 | 6,339,004 | ||||||
1.76% due 08/01/40 | 9,360,000 | 6,216,321 | ||||||
2.17% due 03/01/51 | 8,638,000 | 5,907,411 | ||||||
2.44% due 10/01/51 | 8,500,000 | 5,583,483 | ||||||
2.10% due 07/01/50 | 7,430,256 | 5,259,775 | ||||||
2.43% due 12/01/51 | 7,401,000 | 5,103,475 | ||||||
2.49% due 12/01/39 | 6,700,872 | 5,025,717 | ||||||
2.41% due 12/01/41 | 7,100,000 | 4,836,717 | ||||||
due 10/25/4312,14 | 6,056,761 | 4,598,415 | ||||||
3.05% due 03/01/50 | 5,991,383 | 4,554,987 | ||||||
2.94% due 03/01/52 | 5,798,099 | 4,484,123 | ||||||
2.51% due 10/01/46 | 5,669,694 | 4,293,400 | ||||||
4.07% due 05/01/49 | 4,671,239 | 4,243,575 | ||||||
2.52% due 12/01/41 | 5,285,381 | 4,016,157 | ||||||
2.17% due 10/01/50 | 5,141,061 | 3,628,139 | ||||||
2.99% due 01/01/40 | 4,429,000 | 3,440,689 | ||||||
4.24% due 08/01/48 | 3,400,000 | 3,313,190 | ||||||
3.50% due 02/01/48 | 3,817,708 | 3,284,306 | ||||||
2.54% due 12/01/39 | 3,685,453 | 2,859,482 | ||||||
2.34% due 09/01/39 | 3,632,941 | 2,679,866 | ||||||
2.42% due 10/01/51 | 3,442,931 | 2,498,590 | ||||||
2.36% due 01/01/42 | 3,500,000 | 2,360,099 | ||||||
2.96% due 10/01/49 | 2,829,688 | 2,250,145 | ||||||
2.50% due 03/01/35 | 2,341,513 | 2,127,356 | ||||||
3.26% due 11/01/46 | 2,363,139 | 2,010,407 | ||||||
2.69% due 02/01/52 | 2,477,524 | 1,846,924 | ||||||
2.92% due 03/01/50 | 2,344,128 | 1,837,802 | ||||||
2.51% due 07/01/50 | 2,362,194 | 1,754,078 | ||||||
2.62% due 12/01/51 | 2,324,162 | 1,714,633 | ||||||
2.93% due 03/01/52 | 2,082,282 | 1,617,789 | ||||||
2.68% due 04/01/50 | 1,907,306 | 1,469,825 | ||||||
3.46% due 08/01/49 | 1,662,615 | 1,414,626 | ||||||
3.50% due 12/01/47 | 1,443,477 | 1,319,162 | ||||||
3.08% due 02/01/33 | 1,300,000 | 1,164,923 | ||||||
3.74% due 02/01/48 | 1,236,016 | 1,087,224 | ||||||
4.05% due 09/01/48 | 1,142,509 | 1,043,688 | ||||||
2.32% due 07/01/50 | 1,362,537 | 979,535 | ||||||
3.13% due 01/01/30 | 971,937 | 894,547 | ||||||
2.25% due 10/01/50 | 1,256,375 | 876,952 | ||||||
3.96% due 06/01/49 | 951,089 | 816,200 | ||||||
3.60% due 10/01/47 | 917,426 | 792,192 | ||||||
3.01% due 04/01/42 | 1,050,000 | 770,188 | ||||||
4.00% due 12/01/38 | 794,843 | 751,421 | ||||||
2.65% due 12/01/51 | 989,721 | 729,649 | ||||||
3.18% due 09/01/42 | 843,271 | 700,642 | ||||||
3.50% due 12/01/46 | 748,295 | 684,477 | ||||||
4.00% due 08/01/47 | 714,594 | 676,751 | ||||||
3.91% due 07/01/49 | 667,120 | 639,476 | ||||||
4.50% due 03/01/48 | 630,682 | 609,294 | ||||||
3.63% due 01/01/37 | 704,441 | 608,063 | ||||||
3.50% due 12/01/45 | 619,476 | 569,184 | ||||||
3.36% due 12/01/39 | 683,623 | 562,222 | ||||||
4.00% due 01/01/46 | 584,557 | 554,181 | ||||||
2.75% due 11/01/31 | 613,179 | 540,907 | ||||||
2.50% due 01/01/35 | 588,606 | 535,503 | ||||||
3.00% due 07/01/46 | 510,008 | 454,026 | ||||||
2.56% due 05/01/39 | 595,237 | 452,871 | ||||||
4.50% due 02/01/45 | 322,441 | 315,914 | ||||||
4.33% due 09/01/48 | 329,264 | 310,780 | ||||||
4.22% due 04/01/49 | 315,000 | 282,634 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
5.00% due 12/01/44 | 253,207 | $ | 251,544 | |||||
3.50% due 08/01/43 | 223,616 | 205,377 | ||||||
5.00% due 05/01/44 | 202,190 | 200,072 | ||||||
4.50% due 05/01/47 | 182,619 | 178,638 | ||||||
2.06% due 09/01/36 | 140,000 | 99,489 | ||||||
2.28% due 01/01/51 | 69,742 | 50,140 | ||||||
Freddie Mac | ||||||||
4.00% due 06/01/52 | 178,397,993 | 166,343,592 | ||||||
3.26% due 09/01/45 | 2,169,818 | 1,876,135 | ||||||
1.96% due 05/01/50 | 1,555,362 | 1,052,064 | ||||||
1.95% due 05/01/50 | 1,432,900 | 967,710 | ||||||
4.00% due 01/15/46 | 846,868 | 836,709 | ||||||
3.50% due 01/01/44 | 874,672 | 804,282 | ||||||
4.00% due 02/01/46 | 639,659 | 607,531 | ||||||
4.00% due 11/01/45 | 517,083 | 491,804 | ||||||
3.00% due 08/01/46 | 541,339 | 482,167 | ||||||
4.50% due 06/01/48 | 248,695 | 240,398 | ||||||
Fannie Mae-Aces | ||||||||
1.61% (WAC) due 03/25/35◊,10 | 229,938,302 | 25,773,209 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust | ||||||||
2.00% due 11/25/59 | 12,012,544 | 10,202,406 | ||||||
2.00% due 05/25/60 | 9,781,426 | 8,307,604 | ||||||
FARM Mortgage Trust | ||||||||
2.18% (WAC) due 01/25/51◊,4 | 10,946,906 | 8,925,322 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
0.64% (WAC) due 12/25/24◊,10 | 41,888,800 | 418,038 | ||||||
FREMF Mortgage Trust | ||||||||
0.13% due 05/25/464,10 | 660,233,285 | 167,567 | ||||||
Total Government Agency | 1,842,066,985 | |||||||
Residential Mortgage-Backed Securities - 8.8% | ||||||||
CSMC Trust | ||||||||
2020-RPL5, 3.02% (WAC) due 08/25/60◊,4 | 73,650,796 | 70,563,038 | ||||||
2021-RPL7, 1.93% (WAC) due 07/27/61◊,4 | 63,645,706 | 58,250,364 | ||||||
2021-RPL4, 1.80% (WAC) due 12/27/60◊,4 | 42,558,644 | 39,588,519 | ||||||
2021-RPL1, 1.67% (WAC) due 09/27/60◊,4 | 28,992,032 | 27,228,084 | ||||||
BRAVO Residential Funding Trust | ||||||||
2022-R1, 3.13% due 01/29/704,13 | 81,887,331 | 72,339,645 | ||||||
2021-C, 1.62% due 03/01/614,13 | 68,822,848 | 62,749,741 | ||||||
2021-HE1, 3.78% (30 Day Average SOFR + 1.50%, Rate Floor: 0.00%) due 01/25/70◊,4 | 7,500,000 | 7,387,708 | ||||||
FKRT | ||||||||
2.21% due 11/30/58†††,7 | 117,200,000 | 111,472,220 | ||||||
PRPM LLC | ||||||||
2021-5, 1.79% due 06/25/264,13 | 65,608,913 | 59,007,698 | ||||||
2021-8, 1.74% (WAC) due 09/25/26◊,4 | 36,376,957 | 33,215,520 | ||||||
2022-1, 3.72% due 02/25/274,13 | 8,898,082 | 8,282,418 | ||||||
Legacy Mortgage Asset Trust | ||||||||
2021-GS2, 1.75% due 04/25/614,13 | 42,352,615 | 39,293,634 | ||||||
2021-GS3, 1.75% due 07/25/614,13 | 37,811,363 | 34,436,642 | ||||||
2021-GS5, 2.25% due 07/25/674,13 | 24,285,480 | 22,248,137 | ||||||
Towd Point Revolving Trust | ||||||||
4.83% due 09/25/647 | 81,500,000 | 78,757,525 | ||||||
48 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Morgan Stanley ABS Capital I Incorporated Trust | ||||||||
2006-NC5, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/36◊ | 26,392,189 | $ | 14,493,242 | |||||
2007-HE5, 3.42% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 03/25/37◊ | 27,527,956 | 12,723,471 | ||||||
2006-HE6, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 09/25/36◊ | 23,666,187 | 9,168,418 | ||||||
2006-HE5, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 08/25/36◊ | 13,687,855 | 7,368,335 | ||||||
2006-HE4, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 06/25/36◊ | 8,547,639 | 4,730,342 | ||||||
2006-HE5, 3.58% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 08/25/36◊ | 8,201,661 | 4,337,750 | ||||||
2007-HE2, 3.21% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 01/25/37◊ | 8,360,500 | 4,129,555 | ||||||
2007-HE3, 3.19% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 12/25/36◊ | 5,790,354 | 3,081,084 | ||||||
2007-NC3, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 05/25/37◊ | 3,586,563 | 2,739,117 | ||||||
2007-HE6, 3.14% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/37◊ | 2,595,276 | 2,302,077 | ||||||
2007-HE3, 3.21% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/36◊,4 | 2,108,351 | 1,318,151 | ||||||
2006-HE6, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 09/25/36◊ | 2,999,939 | 1,159,374 | ||||||
LSTAR Securities Investment Ltd. | ||||||||
2021-1, 4.36% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,7 | 40,441,148 | 37,522,794 | ||||||
2021-2, 4.26% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,7 | 24,706,520 | 24,107,728 | ||||||
OSAT Trust | ||||||||
2021-RPL1, 2.12% due 05/25/654,13 | 62,532,975 | 58,006,275 | ||||||
Home Equity Loan Trust | ||||||||
2007-FRE1, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37◊ | 55,125,674 | 51,324,390 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
JP Morgan Mortgage Acquisition Trust | ||||||||
2006-WMC4, 3.21% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/36◊ | 65,025,176 | $ | 41,944,145 | |||||
2006-WMC4, 3.20% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/36◊ | 11,963,639 | 6,559,556 | ||||||
2006-WMC3, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 08/25/36◊ | 1,917,473 | 1,382,670 | ||||||
NYMT Loan Trust | ||||||||
2022-SP1, 5.25% due 07/25/624,13 | 43,055,618 | 41,247,066 | ||||||
Soundview Home Loan Trust | ||||||||
2006-OPT5, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 07/25/36◊ | 35,702,192 | 34,077,303 | ||||||
GSAMP Trust | ||||||||
2007-NC1, 3.21% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/46◊ | 26,148,226 | 14,511,387 | ||||||
2006-HE8, 3.31% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/37◊ | 10,107,000 | 8,620,898 | ||||||
2006-NC2, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 06/25/36◊ | 6,428,559 | 3,823,599 | ||||||
2007-NC1, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/46◊ | 5,834,052 | 3,001,821 | ||||||
Alternative Loan Trust | ||||||||
2007-OA4, 3.42% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 05/25/47◊ | 16,798,459 | 14,420,888 | ||||||
2007-OH3, 3.66% (1 Month USD LIBOR + 0.58%, Rate Cap/Floor: 10.00%/0.58%) due 09/25/47◊ | 6,629,837 | 5,810,732 | ||||||
2006-43CB, 6.00% (1 Month USD LIBOR + 0.50%, Rate Cap/Floor: 6.00%/6.00%) due 02/25/37◊ | 6,237,606 | 3,679,404 | ||||||
2007-OA7, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 05/25/47◊ | 2,463,087 | 2,091,198 | ||||||
2007-OH3, 3.52% (1 Month USD LIBOR + 0.44%, Rate Cap/Floor: 10.00%/0.44%) due 09/25/47◊ | 659,030 | 568,336 | ||||||
NovaStar Mortgage Funding Trust Series | ||||||||
2007-2, 3.28% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37◊ | 24,857,542 | 23,833,342 | ||||||
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2007-1, 3.21% (1 Month USD LIBOR + 0.13%, Rate Cap/Floor: 11.00%/0.13%) due 03/25/37◊ | 2,952,265 | $ | 1,985,080 | |||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
2007-AMC1, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 12/25/36◊,4 | 21,749,371 | 12,119,278 | ||||||
2006-WF1, 5.03% due 03/25/36 | 14,986,361 | 7,743,639 | ||||||
2007-AMC3, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 03/25/37◊ | 6,283,732 | 5,492,594 | ||||||
Imperial Fund Mortgage Trust | ||||||||
2022-NQM2, 4.02% (WAC) due 03/25/67◊,4 | 13,704,724 | 12,309,756 | ||||||
2022-NQM2, 4.20% (WAC) due 03/25/67◊,4 | 13,471,847 | 12,038,145 | ||||||
Structured Asset Securities Corporation Mortgage Loan Trust | ||||||||
2008-BC4, 3.71% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/37◊ | 22,308,681 | 21,662,131 | ||||||
2006-BC4, 3.42% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/36◊ | 2,306,751 | 2,239,752 | ||||||
2006-BC6, 3.25% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 01/25/37◊ | 154,628 | 151,778 | ||||||
2006-OPT1, 3.34% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/25/36◊ | 13,026 | 12,952 | ||||||
ACE Securities Corporation Home Equity Loan Trust Series | ||||||||
2006-NC1, 3.70% (1 Month USD LIBOR + 0.62%, Rate Floor: 0.62%) due 12/25/35◊ | 16,761,000 | 15,909,040 | ||||||
2007-ASP1, 3.48% (1 Month USD LIBOR + 0.40%, Rate Floor: 0.40%) due 03/25/37◊ | 8,409,116 | 4,085,778 | ||||||
2007-WM2, 3.29% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 02/25/37◊ | 6,486,963 | 3,055,886 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | ||||||||
2006-AR10, 3.42% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/36◊ | 8,537,449 | 7,657,437 | ||||||
2006-AR9, 1.93% (1 Year CMT Rate + 0.83%, Rate Floor: 0.83%) due 11/25/46◊ | 9,218,049 | 7,644,892 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2006-AR9, 1.94% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊ | 4,049,546 | $ | 3,280,591 | |||||
2006-7, 4.05% due 09/25/36 | 5,383,421 | 1,587,951 | ||||||
2006-8, 4.17% due 10/25/36 | 348,995 | 127,680 | ||||||
Starwood Mortgage Residential Trust | ||||||||
2020-1, 2.56% (WAC) due 02/25/50◊,4 | 11,581,890 | 11,029,056 | ||||||
2020-1, 2.41% (WAC) due 02/25/50◊,4 | 8,909,147 | 8,592,393 | ||||||
IXIS Real Estate Capital Trust | ||||||||
2007-HE1, 3.19% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 05/25/37◊ | 33,145,125 | 8,530,233 | ||||||
2006-HE1, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36◊ | 12,032,457 | 6,446,620 | ||||||
2007-HE1, 3.31% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 05/25/37◊ | 6,290,471 | 1,619,087 | ||||||
2007-HE1, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 05/25/37◊ | 5,907,900 | 1,520,550 | ||||||
2007-HE1, 3.14% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/37◊ | 4,915,100 | 1,264,872 | ||||||
American Home Mortgage Investment Trust | ||||||||
2007-1, 2.08% due 05/25/4710 | 129,546,489 | 18,542,999 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
2021-RPL9, 2.44% (WAC) due 02/25/61◊,4 | 19,470,501 | 17,801,634 | ||||||
SPS Servicer Advance Receivables Trust | ||||||||
2020-T2, 1.83% due 11/15/554 | 20,000,000 | 17,593,632 | ||||||
Merrill Lynch Mortgage Investors Trust Series | ||||||||
2007-HE2, 3.60% (1 Month USD LIBOR + 0.52%, Rate Floor: 0.52%) due 02/25/37◊ | 32,796,789 | 10,865,379 | ||||||
2006-HE6, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 11/25/37◊ | 8,632,581 | 4,899,665 | ||||||
Citigroup Mortgage Loan Trust | ||||||||
2022-A, 6.17% due 09/25/624,13 | 15,257,186 | 14,946,432 | ||||||
Cascade Funding Mortgage Trust | ||||||||
2018-RM2, 4.00% (WAC) due 10/25/68◊,7 | 8,907,905 | 8,592,161 | ||||||
2019-RM3, 2.80% (WAC) due 06/25/69◊,7 | 5,330,510 | 5,176,392 | ||||||
RALI Series Trust | ||||||||
2007-QO4, 3.46% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 05/25/47◊ | 4,119,465 | 3,693,530 | ||||||
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2006-QO2, 3.52% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46◊ | 16,536,210 | $ | 3,623,295 | |||||
2007-QO2, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 02/25/47◊ | 7,566,821 | 2,999,346 | ||||||
2006-QO2, 3.62% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 02/25/46◊ | 5,362,610 | 1,207,670 | ||||||
2006-QO6, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/46◊ | 4,717,823 | 1,118,709 | ||||||
2007-QO3, 3.40% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 03/25/47◊ | 884,734 | 770,039 | ||||||
Ameriquest Mortgage Securities Trust | ||||||||
2006-M3, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 10/25/36◊ | 27,480,993 | 9,388,279 | ||||||
2006-M3, 3.18% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/36◊ | 11,543,863 | 3,943,785 | ||||||
ABFC Trust | ||||||||
2007-WMC1, 4.33% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 06/25/37◊ | 15,935,337 | 11,622,894 | ||||||
Bear Stearns Asset-Backed Securities I Trust | ||||||||
2006-HE9, 3.22% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.28%) due 11/25/36◊ | 11,884,831 | 11,421,631 | ||||||
First NLC Trust | ||||||||
2005-4, 3.86% (1 Month USD LIBOR + 0.78%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/36◊ | 9,670,098 | 9,417,005 | ||||||
2005-1, 3.54% (1 Month USD LIBOR + 0.46%, Rate Cap/Floor: 14.00%/0.46%) due 05/25/35◊ | 2,301,413 | 1,955,791 | ||||||
GCAT Trust | ||||||||
2022-NQM3, 4.35% (WAC) due 04/25/67◊,4 | 12,017,807 | 11,229,273 | ||||||
Master Asset-Backed Securities Trust | ||||||||
2006-WMC4, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/36◊ | 10,910,350 | 3,618,167 | ||||||
2006-NC2, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 08/25/36◊ | 7,943,203 | 3,307,249 | ||||||
2006-WMC3, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/36◊ | 5,833,616 | 2,227,323 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2007-WMC1, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 01/25/37◊ | 6,032,133 | $ | 1,955,048 | |||||
Securitized Asset-Backed Receivables LLC Trust | ||||||||
2006-WM4, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 11/25/36◊ | 30,709,620 | 9,157,292 | ||||||
2006-HE2, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/36◊ | 3,396,301 | 1,585,334 | ||||||
HarborView Mortgage Loan Trust | ||||||||
2006-14, 3.29% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 01/25/47◊ | 6,913,878 | 6,004,396 | ||||||
2006-12, 3.18% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/19/38◊ | 5,228,136 | 4,616,740 | ||||||
First Franklin Mortgage Loan Trust | ||||||||
2006-FF16, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 12/25/36◊ | 20,970,210 | 9,736,961 | ||||||
Merrill Lynch Alternative Note Asset Trust Series | ||||||||
2007-A1, 3.54% (1 Month USD LIBOR + 0.46%, Rate Floor: 0.46%) due 01/25/37◊ | 19,626,757 | 7,006,132 | ||||||
2007-A1, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 01/25/37◊ | 7,442,794 | 2,624,768 | ||||||
Fremont Home Loan Trust | ||||||||
2006-E, 3.20% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 01/25/37◊ | 11,980,953 | 5,426,119 | ||||||
2006-D, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/36◊ | 10,727,918 | 4,001,593 | ||||||
Securitized Asset-Backed Receivables LLC Trust 2007-BR2 | ||||||||
2007-BR2, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 02/25/37◊,4 | 10,733,407 | 8,935,519 | ||||||
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG | ||||||||
2006-HE1, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 01/25/36◊ | 9,119,517 | 8,839,534 | ||||||
CFMT LLC | ||||||||
2022-HB9, 3.25% (WAC) due 09/25/37◊,4 | 9,250,000 | 8,416,032 | ||||||
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series | ||||||||
2005-W4, 3.84% (1 Month USD LIBOR + 0.76%, Rate Floor: 0.76%) due 02/25/36◊ | 10,032,327 | $ | 7,999,617 | |||||
Long Beach Mortgage Loan Trust | ||||||||
2006-8, 3.40% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/36◊ | 14,949,585 | 4,598,719 | ||||||
2006-6, 3.58% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 07/25/36◊ | 4,643,754 | 1,924,776 | ||||||
2006-8, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 09/25/36◊ | 3,989,765 | 1,226,471 | ||||||
Credit-Based Asset Servicing and Securitization LLC | ||||||||
2006-CB2, 3.46% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 12/25/36◊ | 7,566,430 | 7,083,510 | ||||||
Lehman XS Trust Series | ||||||||
2007-2N, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 02/25/37◊ | 5,154,922 | 4,683,478 | ||||||
2007-15N, 3.58% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.00%) due 08/25/37◊ | 1,430,924 | 1,304,932 | ||||||
2006-10N, 3.50% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 07/25/46◊ | 328,694 | 316,787 | ||||||
WaMu Asset-Backed Certificates WaMu Series | ||||||||
2007-HE4, 3.25% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/47◊ | 5,169,282 | 3,832,716 | ||||||
2007-HE4, 3.33% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/47◊ | 3,505,109 | 2,257,138 | ||||||
WaMu Mortgage Pass-Through Certificates Series Trust | ||||||||
2007-OA6, 1.91% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/47◊ | 4,799,324 | 3,930,586 | ||||||
2006-AR13, 1.98% (1 Year CMT Rate + 0.88%, Rate Floor: 0.88%) due 10/25/46◊ | 1,475,471 | 1,261,040 | ||||||
2006-AR11, 2.02% (1 Year CMT Rate + 0.92%, Rate Floor: 0.92%) due 09/25/46◊ | 689,932 | 596,043 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
American Home Mortgage Assets Trust | ||||||||
2006-4, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 10/25/46◊ | 7,118,996 | $ | 3,922,069 | |||||
2006-6, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 12/25/46◊ | 2,208,949 | 1,823,561 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust Series | ||||||||
2006-AR4, 3.34% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 12/25/36◊ | 9,984,218 | 3,685,397 | ||||||
2007-OA2, 1.87% (1 Year CMT Rate + 0.77%, Rate Floor: 0.77%) due 04/25/47◊ | 2,246,310 | 1,975,909 | ||||||
GSAA Home Equity Trust | ||||||||
2006-5, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 03/25/36◊ | 13,029,065 | 5,059,431 | ||||||
2007-7, 3.62% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/37◊ | 66,056 | 63,615 | ||||||
Impac Secured Assets CMN Owner Trust | ||||||||
2005-2, 3.58% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 03/25/36◊ | 5,500,698 | 4,944,736 | ||||||
COLT Mortgage Loan Trust | ||||||||
2021-2, 2.38% (WAC) due 08/25/66◊,4 | 7,108,000 | 4,529,320 | ||||||
OBX Trust | ||||||||
2022-NQM8, 6.10% due 09/25/624,13 | 4,250,000 | 4,194,952 | ||||||
Option One Mortgage Loan Trust | ||||||||
2007-2, 3.33% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 03/25/37◊ | 5,101,195 | 2,655,504 | ||||||
2007-5, 3.30% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 05/25/37◊ | 2,180,985 | 1,403,343 | ||||||
ASG Resecuritization Trust | ||||||||
2010-3, 2.83% (1 Month USD LIBOR + 0.29%, Rate Cap/Floor: 10.50%/0.29%) due 12/28/45◊,4 | 2,838,066 | 2,641,929 | ||||||
Morgan Stanley Capital I Incorporated Trust | ||||||||
2006-HE1, 3.66% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 01/25/36◊ | 1,972,203 | 1,894,070 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
2005-15, 3.76% (1 Month USD LIBOR + 0.45%, Rate Floor: 0.45%) due 03/25/36◊ | 1,270,494 | 1,248,523 | ||||||
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Residential Mortgage Loan Trust | ||||||||
2020-1, 2.68% (WAC) due 01/26/60◊,4 | 1,202,903 | $ | 1,130,472 | |||||
Structured Asset Investment Loan Trust | ||||||||
2006-3, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 06/25/36◊ | 396,651 | 384,010 | ||||||
2004-BNC2, 4.28% (1 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 12/25/34◊ | 311,000 | 304,297 | ||||||
Nomura Resecuritization Trust | ||||||||
2015-4R, 2.20% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,4 | 753,971 | 670,320 | ||||||
Impac Secured Assets Trust | ||||||||
2006-2, 3.42% (1 Month USD LIBOR + 0.34%, Rate Cap/Floor: 11.50%/0.34%) due 08/25/36◊ | 620,728 | 535,002 | ||||||
Alliance Bancorp Trust | ||||||||
2007-OA1, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 07/25/37◊ | 571,657 | 480,858 | ||||||
Morgan Stanley Resecuritization Trust | ||||||||
2014-R9, 2.58% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 11/26/46◊,4 | 291,820 | 287,753 | ||||||
UCFC Manufactured Housing Contract | ||||||||
1997-2, 7.38% due 10/15/28 | 185,597 | 178,011 | ||||||
Morgan Stanley Re-REMIC Trust | ||||||||
2010-R5, 2.40% due 06/26/364 | 130,595 | 117,028 | ||||||
Irwin Home Equity Loan Trust | ||||||||
2007-1, 5.85% due 08/25/374 | 788 | 760 | ||||||
Total Residential Mortgage-Backed Securities | 1,670,426,943 | |||||||
Commercial Mortgage-Backed Securities - 1.8% | ||||||||
BX Commercial Mortgage Trust | ||||||||
2021-VOLT, 4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,4 | 60,050,000 | 55,369,049 | ||||||
2021-VOLT, 4.47% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/36◊,4 | 52,000,000 | 48,272,156 | ||||||
2019-XL, 4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/15/36◊,4 | 6,162,500 | 5,914,646 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2022-LP2, 4.88% (1 Month Term SOFR + 1.96%, Rate Floor: 1.96%) due 02/15/39◊,4 | 5,883,098 | $ | 5,471,629 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
2021-NYAH, 4.66% (1 Month USD LIBOR + 1.84%, Rate Floor: 1.84%) due 06/15/38◊,4 | 14,350,000 | 13,561,753 | ||||||
2016-JP3, 3.57% (WAC) due 08/15/49◊ | 10,290,000 | 8,718,227 | ||||||
2021-NYAH, 5.01% (1 Month USD LIBOR + 2.19%, Rate Floor: 2.19%) due 06/15/38◊,4 | 8,000,000 | 7,481,479 | ||||||
2016-JP3, 1.52% (WAC) due 08/15/49◊,10 | 63,938,612 | 2,537,628 | ||||||
SMRT | ||||||||
2022-MINI, 4.80% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 01/15/39◊,4 | 32,500,000 | 30,466,072 | ||||||
Life Mortgage Trust | ||||||||
2021-BMR, 5.17% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 03/15/38◊,4 | 19,167,918 | 17,570,736 | ||||||
2021-BMR, 4.57% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/15/38◊,4 | 5,160,593 | 4,824,288 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
2019-GC43, 0.75% (WAC) due 11/10/52◊,10 | 218,829,131 | 7,185,451 | ||||||
2019-GC41, 1.17% (WAC) due 08/10/56◊,10 | 103,464,063 | 4,967,320 | ||||||
2016-C2, 1.88% (WAC) due 08/10/49◊,10 | 32,682,277 | 1,603,964 | ||||||
2016-P4, 2.05% (WAC) due 07/10/49◊,10 | 28,423,216 | 1,482,691 | ||||||
2016-P5, 1.53% (WAC) due 10/10/49◊,10 | 25,432,616 | 1,065,756 | ||||||
2016-GC37, 1.84% (WAC) due 04/10/49◊,10 | 17,343,593 | 762,464 | ||||||
2015-GC35, 0.87% (WAC) due 11/10/48◊,10 | 28,597,017 | 506,107 | ||||||
2013-GC15, 4.37% (WAC) due 09/10/46◊ | 380,000 | 377,168 | ||||||
2015-GC29, 1.16% (WAC) due 04/10/48◊,10 | 18,503,262 | 375,492 | ||||||
2016-C3, 1.16% (WAC) due 11/15/49◊,10 | 10,243,074 | 325,225 | ||||||
Extended Stay America Trust | ||||||||
2021-ESH, 5.07% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/38◊,4 | 12,423,539 | 11,894,321 | ||||||
2021-ESH, 4.52% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/15/38◊,4 | 6,410,546 | 6,161,552 | ||||||
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2017-C38, 1.12% (WAC) due 07/15/50◊,10 | 66,051,428 | $ | 2,329,350 | |||||
2016-BNK1, 1.86% (WAC) due 08/15/49◊,10 | 35,087,572 | 1,742,014 | ||||||
2017-RB1, 1.33% (WAC) due 03/15/50◊,10 | 35,115,407 | 1,406,937 | ||||||
2016-C32, 4.88% (WAC) due 01/15/59◊ | 1,400,000 | 1,316,361 | ||||||
2017-C42, 1.01% (WAC) due 12/15/50◊,10 | 34,255,400 | 1,222,486 | ||||||
2016-C35, 2.04% (WAC) due 07/15/48◊,10 | 23,035,235 | 1,220,128 | ||||||
2015-NXS4, 1.17% (WAC) due 12/15/48◊,10 | 38,117,399 | 972,760 | ||||||
2017-RC1, 1.63% (WAC) due 01/15/60◊,10 | 19,814,301 | 931,789 | ||||||
2016-NXS5, 1.59% (WAC) due 01/15/59◊,10 | 22,408,387 | 780,200 | ||||||
2015-C30, 1.03% (WAC) due 09/15/58◊,10 | 29,170,931 | 602,587 | ||||||
2015-P2, 1.09% (WAC) due 12/15/48◊,10 | 22,774,712 | 553,482 | ||||||
2016-C37, 0.96% (WAC) due 12/15/49◊,10 | 11,715,998 | 283,152 | ||||||
2015-NXS1, 1.21% (WAC) due 05/15/48◊,10 | 8,161,333 | 164,155 | ||||||
BENCHMARK Mortgage Trust | ||||||||
2019-B14, 0.91% (WAC) due 12/15/62◊,10 | 108,746,175 | 3,603,185 | ||||||
2020-IG3, 3.23% (WAC) due 09/15/48◊,4 | 5,232,000 | 3,538,132 | ||||||
2018-B2, 0.57% (WAC) due 02/15/51◊,10 | 120,140,703 | 1,754,775 | ||||||
2018-B6, 0.57% (WAC) due 10/10/51◊,10 | 60,592,230 | 928,612 | ||||||
2018-B6, 4.76% (WAC) due 10/10/51◊ | 750,000 | 677,192 | ||||||
GS Mortgage Securities Trust | ||||||||
2020-GC45, 0.79% (WAC) due 02/13/53◊,10 | 153,393,707 | 5,234,392 | ||||||
2019-GC42, 0.93% (WAC) due 09/01/52◊,10 | 69,459,169 | 2,783,785 | ||||||
2017-GS6, 1.16% (WAC) due 05/10/50◊,10 | 41,622,896 | 1,569,221 | ||||||
2017-GS6, 3.87% due 05/10/50 | 521,000 | 463,170 | ||||||
2015-GC28, 1.12% (WAC) due 02/10/48◊,10 | 14,931,097 | 259,782 | ||||||
GS Mortgage Securities Corporation Trust | ||||||||
2020-UPTN, 3.35% (WAC) due 02/10/37◊,4 | 5,350,000 | 4,718,356 | ||||||
2020-DUNE, 4.17% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 12/15/36◊,4 | 3,750,000 | 3,669,447 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2020-DUNE, 4.72% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/15/36◊,4 | 1,000,000 | $ | 965,486 | |||||
JPMDB Commercial Mortgage Securities Trust | ||||||||
2017-C7, 0.99% (WAC) due 10/15/50◊,10 | 129,624,220 | 3,871,240 | ||||||
2016-C4, 3.64% (WAC) due 12/15/49◊ | 2,650,000 | 2,285,253 | ||||||
2016-C4, 0.88% (WAC) due 12/15/49◊,10 | 81,950,671 | 2,026,534 | ||||||
2016-C2, 1.65% (WAC) due 06/15/49◊,10 | 23,895,456 | 948,432 | ||||||
2017-C5, 1.04% (WAC) due 03/15/50◊,10 | 7,604,906 | 217,770 | ||||||
COMM Mortgage Trust | ||||||||
2018-COR3, 0.58% (WAC) due 05/10/51◊,10 | 196,332,168 | 3,954,091 | ||||||
2015-CR26, 1.06% (WAC) due 10/10/48◊,10 | 78,057,068 | 1,611,496 | ||||||
2015-CR23, 1.02% (WAC) due 05/10/48◊,10 | 38,719,208 | 665,947 | ||||||
2015-CR23, 3.80% due 05/10/48 | 700,000 | 659,894 | ||||||
2015-CR24, 0.84% (WAC) due 08/10/48◊,10 | 40,161,729 | 627,788 | ||||||
2015-CR27, 1.06% (WAC) due 10/10/48◊,10 | 25,626,603 | 561,371 | ||||||
2013-CR13, 0.89% (WAC) due 11/10/46◊,10 | 34,806,156 | 239,884 | ||||||
2014-LC15, 1.22% (WAC) due 04/10/47◊,10 | 9,075,640 | 98,797 | ||||||
DBGS Mortgage Trust | ||||||||
2018-C1, 4.78% (WAC) due 10/15/51◊ | 7,588,000 | 6,870,570 | ||||||
KKR Industrial Portfolio Trust | ||||||||
2021-KDIP, 4.37% (1 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 12/15/37◊,4 | 6,562,500 | 6,167,646 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
2019-C15, 1.20% (WAC) due 03/15/52◊,10 | 94,670,751 | 4,252,279 | ||||||
2015-C1, 0.96% (WAC) due 04/15/50◊,10 | 49,391,032 | 672,261 | ||||||
2016-C6, 2.03% (WAC) due 01/15/49◊,10 | 4,960,663 | 248,375 | ||||||
BANK | ||||||||
2020-BN25, 0.53% (WAC) due 01/15/63◊,10 | 140,000,000 | 3,534,776 | ||||||
2017-BNK6, 0.91% (WAC) due 07/15/60◊,10 | 39,587,875 | 1,100,630 | ||||||
2017-BNK4, 1.49% (WAC) due 05/15/50◊,10 | 11,615,685 | 508,625 | ||||||
UBS Commercial Mortgage Trust | ||||||||
2017-C2, 1.24% (WAC) due 08/15/50◊,10 | 40,008,049 | 1,575,449 | ||||||
2017-C5, 1.19% (WAC) due 11/15/50◊,10 | 42,619,807 | 1,471,611 | ||||||
60 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
CD Mortgage Trust | ||||||||
2017-CD6, 1.02% (WAC) due 11/13/50◊,10 | 41,157,564 | $ | 1,206,658 | |||||
2016-CD1, 1.50% (WAC) due 08/10/49◊,10 | 29,561,096 | 1,129,467 | ||||||
2016-CD2, 0.70% (WAC) due 11/10/49◊,10 | 29,881,022 | 520,614 | ||||||
CD Commercial Mortgage Trust | ||||||||
2017-CD4, 1.38% (WAC) due 05/10/50◊,10 | 25,941,533 | 1,093,752 | ||||||
2017-CD3, 1.12% (WAC) due 02/10/50◊,10 | 32,143,894 | 1,035,998 | ||||||
BBCMS Mortgage Trust | ||||||||
2018-C2, 0.93% (WAC) due 12/15/51◊,10 | 57,573,418 | 2,047,829 | ||||||
CGMS Commercial Mortgage Trust | ||||||||
2017-B1, 0.88% (WAC) due 08/15/50◊,10 | 59,595,860 | 1,727,142 | ||||||
JPMCC Commercial Mortgage Securities Trust | ||||||||
2017-JP6, 1.20% (WAC) due 07/15/50◊,10 | 48,130,279 | 1,639,356 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
2015-C27, 1.29% (WAC) due 02/15/48◊,10 | 67,341,393 | 1,423,442 | ||||||
2013-C12, 0.53% (WAC) due 07/15/45◊,10 | 29,948,767 | 42,045 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
2015-C27, 1.02% (WAC) due 12/15/47◊,10 | 62,153,751 | 1,176,769 | ||||||
CFCRE Commercial Mortgage Trust | ||||||||
2016-C3, 1.14% (WAC) due 01/10/48◊,10 | 36,828,377 | 959,773 | ||||||
Bank of America Merrill Lynch Commercial Mortgage Trust | ||||||||
2017-BNK3, 1.16% (WAC) due 02/15/50◊,10 | 21,339,337 | 744,941 | ||||||
DBJPM Mortgage Trust | ||||||||
2017-C6, 1.05% (WAC) due 06/10/50◊,10 | 20,494,075 | 636,833 | ||||||
SG Commercial Mortgage Securities Trust | ||||||||
2016-C5, 2.04% (WAC) due 10/10/48◊,10 | 5,167,680 | 251,301 | ||||||
Morgan Stanley Capital I Trust | ||||||||
2016-UBS9, 4.75% (WAC) due 03/15/49◊ | 275,000 | 249,501 | ||||||
GS Mortgage Securities Corporation II | ||||||||
2013-GC10, 2.94% due 02/10/46 | 225,000 | 224,232 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
2013-C12, 1.22% (WAC) due 03/15/48◊,4,10 | 5,131,191 | 6,423 | ||||||
Total Commercial Mortgage-Backed Securities | $ | 340,872,905 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Military Housing - 1.2% | ||||||||
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | ||||||||
2015-R1, 4.66% (WAC) due 11/25/55◊,4 | 112,781,520 | $ | 103,949,294 | |||||
2015-R1, 4.44% (WAC) due 11/25/52◊,4 | 21,347,059 | 19,776,981 | ||||||
2015-R1, 0.70% (WAC) due 11/25/55◊,4,10 | 169,821,662 | 12,247,912 | ||||||
2015-R1, 4.32% (WAC) due 10/25/52◊,4 | 13,393,531 | 11,756,035 | ||||||
Capmark Military Housing Trust | ||||||||
2006-RILY, 6.15% due 07/10/51†††,4 | 12,694,452 | 11,700,935 | ||||||
2008-AMCW, 6.90% due 07/10/55†††,4 | 8,148,928 | 8,915,720 | ||||||
2007-AETC, 5.75% due 02/10/52†††,4 | 7,223,667 | 6,611,725 | ||||||
2006-RILY, 3.13% (1 Month USD LIBOR + 0.37%, Rate Floor: 0.37%) due 07/10/51◊,†††,4 | 6,829,471 | 4,411,079 | ||||||
2007-ROBS, 6.06% due 10/10/52†††,4 | 4,565,466 | 4,190,887 | ||||||
2007-AET2, 6.06% due 10/10/52†††,4 | 2,999,198 | 2,816,273 | ||||||
GMAC Commercial Mortgage Asset Corp. | ||||||||
2007-HCKM, 6.11% due 08/10/52†††,4 | 21,673,194 | 20,466,106 | ||||||
2005-DRUM, 5.47% due 05/10/50†††,4 | 4,407,587 | 3,839,565 | ||||||
2002-MEAD, 6.85% due 05/10/37†††,4 | 3,177,622 | 3,369,683 | ||||||
2005-BLIS, 5.25% due 07/10/50†††,4 | 2,500,000 | 2,121,229 | ||||||
Total Military Housing | 216,173,424 | |||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $4,465,722,841) | 4,069,540,257 | |||||||
U.S. GOVERNMENT SECURITIES†† - 12.2% | ||||||||
U.S. Treasury Notes | ||||||||
2.75% due 08/15/328 | 1,040,181,000 | 951,115,502 | ||||||
2.63% due 05/31/27 | 244,730,000 | 229,740,288 | ||||||
2.38% due 03/31/29 | 7,200,000 | 6,519,375 | ||||||
2.25% due 08/15/27 | 3,370,000 | 3,097,767 | ||||||
0.50% due 05/31/27 | 2,600,000 | 2,205,633 | ||||||
1.50% due 10/31/24 | 2,100,000 | 1,985,812 | ||||||
2.00% due 04/30/24 | 2,000,000 | 1,929,141 | ||||||
1.50% due 01/31/27 | 2,000,000 | 1,792,812 | ||||||
2.13% due 05/15/25 | 880,000 | 833,559 | ||||||
1.38% due 11/15/31 | 347,000 | 281,938 | ||||||
U.S. Treasury Bonds | ||||||||
2.00% due 08/15/518 | 800,000,000 | 546,437,504 | ||||||
due 02/15/4612,14 | 354,745,000 | 136,988,574 | ||||||
due 05/15/448,12,14 | 302,165,000 | 124,241,503 | ||||||
due 11/15/5112,14 | 275,000,000 | 94,193,151 | ||||||
due 02/15/5212,14 | 143,820,000 | 49,098,349 | ||||||
due 11/15/448,12,14 | 70,650,000 | 28,389,085 | ||||||
due 08/15/5112,14 | 43,990,000 | 15,172,358 | ||||||
2.88% due 08/15/45 | 2,630,000 | 2,145,916 | ||||||
2.38% due 11/15/49 | 2,300,000 | 1,732,008 | ||||||
3.25% due 05/15/42 | 1,830,000 | 1,624,125 | ||||||
1.38% due 08/15/50 | 2,450,000 | 1,418,607 | ||||||
2.75% due 11/15/42 | 700,000 | 567,082 | ||||||
U.S. Treasury Strip Principal | ||||||||
due 02/15/5112,14 | 310,000,000 | 107,931,795 | ||||||
Total U.S. Government Securities | ||||||||
(Cost $2,750,714,787) | 2,309,441,884 | |||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 8.5% | ||||||||
Consumer, Cyclical - 2.0% | ||||||||
MB2 Dental Solutions LLC | ||||||||
9.70% (3 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 01/29/27††† | 76,758,567 | 75,297,425 | ||||||
62 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Packers Holdings LLC | ||||||||
6.01% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28 | 36,032,553 | $ | 32,992,486 | |||||
Verisure Holding AB | ||||||||
3.47% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28 | EUR 30,010,000 | 26,324,561 | ||||||
3.75% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26 | EUR 6,890,000 | 6,094,507 | ||||||
BGIS (BIFM CA Buyer, Inc.) | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26 | 32,383,274 | 31,330,817 | ||||||
Mavis Tire Express Services TopCo Corp. | ||||||||
7.25% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 05/04/28 | 28,291,875 | 26,470,727 | ||||||
CNT Holdings I Corp. | ||||||||
6.25% (1 Month Term SOFR + 3.50%, Rate Floor: 4.25%) due 11/08/27 | 23,886,250 | 22,713,196 | ||||||
Zephyr Bidco Ltd. | ||||||||
6.44% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 07/23/25 | GBP 23,950,000 | 21,931,500 | ||||||
Pacific Bells LLC | ||||||||
8.31% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28 | 22,978,165 | 21,369,693 | ||||||
PetSmart LLC | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28 | 19,998,000 | 18,881,512 | ||||||
Loire Finco Luxembourg SARL | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/27 | 19,406,341 | 18,177,337 | ||||||
Flamingo | ||||||||
4.62% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/24/28 | EUR 18,600,000 | 16,257,271 | ||||||
Fertitta Entertainment LLC | ||||||||
7.03% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/27/29 | 13,979,750 | 12,945,808 | ||||||
BCP V Modular Services Holdings IV Ltd. | ||||||||
5.69% (3 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 12/15/28 | EUR 14,800,000 | 12,714,104 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
New Trojan Parent, Inc. | ||||||||
6.04% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 01/06/28††† | 13,874,375 | $ | 10,891,384 | |||||
Adevinta ASA | ||||||||
4.44% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 06/26/28 | EUR 9,900,000 | 9,120,847 | ||||||
Truck Hero, Inc. | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 01/31/28 | 8,865,000 | 7,705,192 | ||||||
PAI Holdco, Inc. | ||||||||
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 10/28/27 | 5,085,624 | 4,810,136 | ||||||
Power Solutions (Panther) | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26 | 3,931,066 | 3,709,944 | ||||||
SP PF Buyer LLC | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25 | 3,339,440 | 2,735,002 | ||||||
OEConnection LLC | ||||||||
7.56% ((1 Month USD LIBOR + 4.00%) and (3 Month USD LIBOR + 4.00%), Rate Floor: 4.00%) due 09/25/26 | 1,161,042 | 1,114,600 | ||||||
Cast & Crew Payroll LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/26 | 595,806 | 579,421 | ||||||
Rent-A-Center, Inc. | ||||||||
6.06% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28 | 492,500 | 445,713 | ||||||
BRE/Everbright M6 Borrower LLC | ||||||||
8.05% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 09/09/26 | 99,497 | 96,346 | ||||||
Total Consumer, Cyclical | 384,709,529 | |||||||
Industrial - 1.6% | ||||||||
United Airlines, Inc. | ||||||||
6.53% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28 | 40,586,250 | 38,664,085 | ||||||
American Bath Group LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/23/27 | 33,917,494 | 29,406,467 | ||||||
Mileage Plus Holdings LLC | ||||||||
8.78% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | 28,975,000 | 29,042,222 | ||||||
TransDigm, Inc. | ||||||||
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25 | 14,650,937 | 14,014,207 | ||||||
64 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25 | 5,739,186 | $ | 5,498,370 | |||||
Merlin Buyer, Inc. | ||||||||
7.03% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/14/28 | 20,049,250 | 18,946,541 | ||||||
IFCO Management GmbH | ||||||||
3.73% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 05/29/26 | EUR 19,870,000 | 17,483,380 | ||||||
SkyMiles IP Ltd. | ||||||||
6.46% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 | 17,127,651 | 17,141,010 | ||||||
Icebox Holdco III, Inc. | ||||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/28 | 17,519,107 | 16,380,365 | ||||||
Hunter Douglas, Inc. | ||||||||
6.34% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/26/29 | 19,750,000 | 16,165,375 | ||||||
AI Convoy Luxembourg SARL | ||||||||
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 01/18/27 | EUR 13,593,008 | 12,323,368 | ||||||
Service Logic Acquisition, Inc. | ||||||||
6.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27 | 12,124,438 | 11,351,505 | ||||||
6.97% ((1 Month USD LIBOR + 4.00%) and (2 Month USD LIBOR + 4.00%), Rate Floor: 4.75%) due 10/29/27 | 123,627 | 115,746 | ||||||
Hillman Group, Inc. | ||||||||
5.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/14/28 | 10,669,058 | 10,167,613 | ||||||
Fugue Finance BV | ||||||||
3.74% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 08/30/24 | EUR 10,500,000 | 9,540,664 | ||||||
Filtration Group Corp. | ||||||||
4.19% (1 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25 | EUR 7,868,042 | 7,332,324 | ||||||
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25 | 1,630,039 | 1,562,295 | ||||||
CapStone Acquisition Holdings, Inc. | ||||||||
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27††† | 8,640,428 | 8,424,417 | ||||||
Air Canada | ||||||||
6.42% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | 8,324,311 | 7,900,687 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
TK Elevator Midco GmbH | ||||||||
6.87% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27 | 8,165,827 | $ | 7,812,002 | |||||
TricorBraun Holdings, Inc. | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28 | 7,457,884 | 6,989,901 | ||||||
DXP Enterprises, Inc. | ||||||||
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27 | 5,843,502 | 5,552,788 | ||||||
Charter Next Generation, Inc. | ||||||||
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27 | 4,224,750 | 4,000,331 | ||||||
Dispatch Terra Acquisition LLC | ||||||||
7.92% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28††† | 3,844,976 | 3,422,029 | ||||||
Berlin Packaging LLC | ||||||||
6.38% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.25%) due 03/13/28 | 2,871,000 | 2,705,917 | ||||||
YAK MAT (YAK ACCESS LLC) | ||||||||
13.64% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26††† | 7,240,000 | 2,172,000 | ||||||
Anchor Packaging LLC | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/18/26 | 1,933,277 | 1,863,196 | ||||||
BWAY Holding Co. | ||||||||
5.81% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | 121,787 | 113,186 | ||||||
API Heat Transfer | ||||||||
12.00% (3 Month USD LIBOR, Rate Floor 0.00%) (in-kind rate was 12.00%) due 01/01/24†††,15 | 53,424 | 26,712 | ||||||
12.00% (3 Month USD LIBOR, Rate Floor 0.00%) (in-kind rate was 12.00%) due 10/02/23†††,15 | 9,531 | 8,102 | ||||||
Total Industrial | 306,126,805 | |||||||
Consumer, Non-cyclical - 1.5% | ||||||||
Quirch Foods Holdings LLC | ||||||||
7.93% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 10/27/27††† | 38,520,187 | 35,968,225 | ||||||
Bombardier Recreational Products, Inc. | ||||||||
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27 | 33,484,848 | 31,978,030 | ||||||
PetIQ LLC | ||||||||
7.07% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 04/13/28††† | 28,538,750 | 26,255,650 | ||||||
66 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Southern Veterinary Partners LLC | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27 | 21,873,940 | $ | 20,643,531 | |||||
National Mentor Holdings, Inc. | ||||||||
7.18% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28 | 27,924,401 | 19,791,419 | ||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28 | 538,426 | 381,609 | ||||||
HAH Group Holding Co. LLC | ||||||||
8.71% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27 | 19,464,648 | 18,491,416 | ||||||
Mission Veterinary Partners | ||||||||
7.25% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28 | 19,107,000 | 17,936,696 | ||||||
Nidda Healthcare Holding GmbH | ||||||||
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26 | EUR 18,276,306 | 15,912,370 | ||||||
Women’s Care Holdings, Inc. | ||||||||
7.87% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28 | 16,138,320 | 15,035,589 | ||||||
Sigma Holding BV (Flora Food) | ||||||||
3.74% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25 | EUR 17,000,000 | 13,297,089 | ||||||
Blue Ribbon LLC | ||||||||
8.56% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28 | 14,107,500 | 12,009,009 | ||||||
Medline Borrower LP | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 10/23/28 | 8,977,500 | 8,239,639 | ||||||
SCP Eye Care Services LLC | ||||||||
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28††† | 6,558,518 | 6,525,725 | ||||||
7.32% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28††† | 1,148,293 | 1,136,810 | ||||||
Confluent Health LLC | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/30/28††† | 8,103,471 | 7,090,537 | ||||||
Energizer Holdings, Inc. | ||||||||
5.31% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27 | 7,387,500 | 7,045,828 | ||||||
Elanco Animal Health, Inc. | ||||||||
4.31% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27 | 4,702,467 | 4,464,428 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Pearl Intermediate Parent LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25 | 4,751,020 | $ | 4,376,878 | |||||
Midwest Physician Administrative Services | ||||||||
6.92% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/13/28 | 4,437,181 | 4,054,474 | ||||||
Elsan SAS | ||||||||
4.26% ((1 Month EURIBOR + 3.35%) and (3 Month EURIBOR + 3.35%), Rate Floor: 3.35%) due 06/16/28 | EUR 4,500,000 | 4,041,885 | ||||||
Kronos Acquisition Holdings, Inc. | ||||||||
6.82% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | 3,183,300 | 2,941,019 | ||||||
Spectrum Brands, Inc. | ||||||||
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 03/03/28 | 2,610,043 | 2,473,015 | ||||||
IQVIA, Inc. | ||||||||
3.19% (3 Month EURIBOR + 2.00%, Rate Floor: 2.00%) due 03/07/24 | EUR 1,835,451 | 1,740,144 | ||||||
Aveanna Healthcare LLC | ||||||||
6.80% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/17/28 | 481,925 | 383,130 | ||||||
Total Consumer, Non-cyclical | 282,214,145 | |||||||
Financial - 1.2% | ||||||||
Higginbotham Insurance Agency, Inc. | ||||||||
8.37% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.00%) due 11/25/26††† | 25,388,548 | 24,758,912 | ||||||
HighTower Holding LLC | ||||||||
6.73% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28 | 22,678,625 | 20,963,668 | ||||||
Nexus Buyer LLC | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 | 21,861,782 | 20,946,429 | ||||||
Jane Street Group LLC | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28 | 21,013,262 | 20,124,612 | ||||||
Alter Domus | ||||||||
6.49% (1 Month SOFR + 3.50%, Rate Floor: 3.50%) due 02/17/28 | 20,576,650 | 19,805,026 | ||||||
68 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Orion Advisor Solutions, Inc. | ||||||||
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/24/27 | 17,371,828 | $ | 16,329,518 | |||||
HUB International Ltd. | ||||||||
5.77% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25 | 14,582,457 | 14,002,221 | ||||||
USI, Inc. | ||||||||
6.42% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/16/24 | 6,388,308 | 6,207,327 | ||||||
6.92% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26 | 6,123,694 | 5,883,829 | ||||||
Cross Financial Corp. | ||||||||
7.13% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27 | 11,968,130 | 11,589,099 | ||||||
Franchise Group, Inc. | ||||||||
7.56% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26 | 12,146,378 | 11,316,416 | ||||||
Jones Deslauriers Insurance Management, Inc. | ||||||||
7.75% (3 Month Canada Banker Acceptance Rate + 4.25%, Rate Floor: 5.00%) due 03/27/28††† | CAD 11,853,841 | 7,855,285 | ||||||
11.00% (3 Month Canada Banker Acceptance Rate + 7.50%, Rate Floor: 8.00%) due 03/26/29††† | CAD 3,489,000 | 2,286,817 | ||||||
Duff & Phelps | ||||||||
6.78% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/09/27 | 10,093,484 | 9,504,731 | ||||||
Trans Union LLC | ||||||||
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28 | 9,319,166 | 9,010,516 | ||||||
Alliant Holdings Intermediate LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 | 8,063,012 | 7,714,045 | ||||||
NFP Corp. | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27 | 7,553,392 | 7,081,305 | ||||||
Citadel Securities, LP | ||||||||
5.65% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 02/02/28 | 3,563,430 | 3,455,636 | ||||||
AmWINS Group, Inc. | ||||||||
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28 | 3,409,233 | 3,255,033 | ||||||
Total Financial | 222,090,425 | |||||||
Technology - 1.1% | ||||||||
Datix Bidco Ltd. | ||||||||
6.19% (6 Month GBP LIBOR + 4.50%, Rate Floor: 5.19%) due 04/28/25††† | GBP 45,800,000 | 49,862,553 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
7.01% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/27/25††† | 19,781,561 | $ | 19,285,043 | |||||
Peraton Corp. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | 32,122,028 | 30,387,438 | ||||||
Planview Parent, Inc. | ||||||||
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27 | 29,425,875 | 27,807,452 | ||||||
Team.Blue Finco SARL | ||||||||
4.89% (3 Month EURIBOR + 3.70%, Rate Floor: 3.70%) due 03/30/28 | EUR 22,750,000 | 20,290,601 | ||||||
Apttus Corp. | ||||||||
7.12% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28††† | 12,424,500 | 11,368,417 | ||||||
Project Boost Purchaser LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26 | 6,320,000 | 5,972,400 | ||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26 | 4,626,705 | 4,383,802 | ||||||
Boxer Parent Co., Inc. | ||||||||
4.69% (1 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 10/02/25 | EUR 8,212,377 | 7,425,186 | ||||||
Aston FinCo SARL | ||||||||
6.96% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 10/09/26††† | GBP 5,727,718 | 5,884,619 | ||||||
Athenahealth Group, Inc. | ||||||||
6.58% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/15/29 | 6,055,837 | 5,413,918 | ||||||
Navicure, Inc. | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/22/26 | 5,592,927 | 5,348,237 | ||||||
Storable, Inc. | ||||||||
6.38% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 04/17/28 | 4,962,500 | 4,652,344 | ||||||
Paya Holdings III, LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/23/28 | 3,366,000 | 3,265,020 | ||||||
Sportradar Capital SARL | ||||||||
4.21% (1 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 11/22/27 | EUR 2,776,190 | 2,554,297 | ||||||
Emerald TopCo, Inc. (Press Ganey) | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 | 1,202,170 | 1,090,969 | ||||||
70 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Aston FinCo SARL | ||||||||
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/09/26 | 632,773 | $ | 591,377 | |||||
Total Technology | 205,583,673 | |||||||
Communications - 0.5% | ||||||||
Syndigo LLC | ||||||||
7.32% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27††† | 24,526,500 | 22,073,850 | ||||||
Authentic Brands | ||||||||
6.63% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/21/28 | 21,745,500 | 20,757,819 | ||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24 | 1,023,145 | 997,310 | ||||||
McGraw Hill LLC | ||||||||
8.32% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28 | 20,147,120 | 18,535,351 | ||||||
UPC Broadband Holding BV | ||||||||
5.74% (1 Month USD LIBOR + 2.93%, Rate Floor: 2.93%) due 01/31/29 | 19,200,000 | 18,288,000 | ||||||
Xplornet Communications, Inc. | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28 | 9,900,000 | 8,684,775 | ||||||
Radiate Holdco LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26 | 2,447,249 | 2,258,517 | ||||||
Zayo Group Holdings, Inc. | ||||||||
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27 | 1,652,094 | 1,375,583 | ||||||
Internet Brands, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24 | 750,947 | 714,218 | ||||||
Flight Bidco, Inc. | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25 | 733,988 | 685,362 | ||||||
SFR Group S.A. | ||||||||
6.20% (3 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 02/02/26 | 614,482 | 556,106 | ||||||
Total Communications | 94,926,891 | |||||||
Basic Materials - 0.4% | ||||||||
INEOS Ltd. | ||||||||
3.44% (1 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26 | EUR 31,100,000 | 26,988,691 | ||||||
Illuminate Buyer LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27 | 26,705,322 | 24,134,935 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Trinseo Materials Operating S.C.A. | ||||||||
5.62% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28 | 10,961,250 | $ | 10,026,146 | |||||
GrafTech Finance, Inc. | ||||||||
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25 | 8,705,065 | 8,117,473 | ||||||
W.R. Grace Holdings LLC | ||||||||
7.44% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 09/22/28 | 1,240,625 | 1,158,434 | ||||||
Total Basic Materials | 70,425,679 | |||||||
Energy - 0.1% | ||||||||
ITT Holdings LLC | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28 | 13,308,570 | 12,676,413 | ||||||
Venture Global Calcasieu Pass LLC | ||||||||
5.74% (1 Month USD LIBOR + 2.63%, Rate Floor: 2.63%) due 08/19/26††† | 12,016,661 | 11,986,620 | ||||||
Lotus Midstream, LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/29/25 | 528,868 | 518,952 | ||||||
Total Energy | 25,181,985 | |||||||
Utilities - 0.1% | ||||||||
Hamilton Projects Acquiror LLC | ||||||||
8.17% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27 | 25,514,426 | 25,004,138 | ||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $1,798,909,681) | 1,616,263,270 | |||||||
FEDERAL AGENCY BONDS†† - 1.2% | ||||||||
Tennessee Valley Authority | ||||||||
4.25% due 09/15/65 | 138,205,000 | 123,146,321 | ||||||
4.63% due 09/15/60 | 42,258,000 | 40,712,371 | ||||||
5.38% due 04/01/56 | 8,960,000 | 9,678,341 | ||||||
due 09/15/5310,14 | 1,612,000 | 347,881 | ||||||
due 09/15/5510,14 | 1,612,000 | 313,046 | ||||||
due 09/15/5610,14 | 1,612,000 | 296,871 | ||||||
due 03/15/5710,14 | 1,612,000 | 289,565 | ||||||
due 09/15/5710,14 | 1,612,000 | 282,439 | ||||||
due 09/15/5810,14 | 1,612,000 | 270,598 | ||||||
due 03/15/5910,14 | 1,612,000 | 263,965 | ||||||
due 09/15/5910,14 | 1,612,000 | 257,494 | ||||||
due 09/15/6010,14 | 1,612,000 | 245,024 | ||||||
due 09/15/5410,14 | 1,020,000 | 207,534 | ||||||
due 03/15/6110,14 | 1,020,000 | 151,239 | ||||||
due 09/15/6110,14 | 1,020,000 | 147,532 | ||||||
due 09/15/6210,14 | 1,020,000 | 139,841 | ||||||
due 03/15/6310,14 | 1,020,000 | 136,406 | ||||||
due 09/15/6310,14 | 1,020,000 | 133,055 | ||||||
due 09/15/6410,14 | 1,020,000 | 126,599 | ||||||
due 03/15/6510,14 | 1,020,000 | 125,034 | ||||||
due 09/15/6510,14 | 1,020,000 | 121,470 | ||||||
Tennessee Valley Authority Principal Strips | ||||||||
due 01/15/4812,14 | 38,400,000 | 11,000,064 | ||||||
due 12/15/4212,14 | 23,785,000 | 9,005,596 | ||||||
due 01/15/3812,14 | 15,800,000 | 7,668,577 | ||||||
due 09/15/6512,14 | 3,500,000 | 416,808 | ||||||
due 09/15/3912,14 | 570,000 | 253,993 | ||||||
due 04/01/5612,14 | 540,000 | 101,732 | ||||||
Federal Farm Credit Bank | ||||||||
3.00% due 03/08/32 | 5,100,000 | 4,450,459 | ||||||
2.00% due 05/14/40 | 3,000,000 | 1,985,361 | ||||||
2.04% due 12/22/45 | 2,870,000 | 1,681,171 | ||||||
2.60% due 06/28/39 | 2,000,000 | 1,467,326 | ||||||
1.99% due 07/30/40 | 2,000,000 | 1,257,264 | ||||||
2.48% due 11/17/36 | 1,650,000 | 1,244,159 | ||||||
2.75% due 02/02/37 | 1,580,000 | 1,240,014 | ||||||
3.11% due 08/05/48 | 1,500,000 | 1,116,681 | ||||||
2.69% due 11/29/41 | 1,080,000 | 771,308 | ||||||
2.43% due 01/29/37 | 720,000 | 551,024 | ||||||
2.90% due 12/09/41 | 720,000 | 530,855 | ||||||
72 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2.84% due 06/01/46 | 720,000 | $ | 494,400 | |||||
2.59% due 12/30/41 | 180,000 | 126,209 | ||||||
2.59% due 08/24/46 | 140,000 | 92,063 | ||||||
3.67% due 02/26/44 | 70,000 | 59,077 | ||||||
Freddie Mac | ||||||||
due 09/15/3612,14 | 2,675,000 | 1,403,720 | ||||||
2.05% due 08/19/50 | 2,010,000 | 1,121,755 | ||||||
2.02% due 10/05/45 | 720,000 | 422,780 | ||||||
2.25% due 09/15/50 | 360,000 | 210,183 | ||||||
Resolution Funding Corporation Principal Strips | ||||||||
due 01/15/3012,14 | 1,950,000 | 1,434,102 | ||||||
due 04/15/3012,14 | 725,000 | 527,204 | ||||||
Federal Home Loan Bank | ||||||||
2.69% due 09/26/34 | 1,350,000 | 1,099,270 | ||||||
2.45% due 08/16/41 | 540,000 | 373,667 | ||||||
3.63% due 06/22/43 | 350,000 | 296,383 | ||||||
Total Federal Agency Bonds | ||||||||
(Cost $343,064,485) | 229,795,831 | |||||||
MUNICIPAL BONDS†† - 0.7% | ||||||||
New York - 0.3% | ||||||||
Westchester County Local Development Corp. Revenue Bonds | ||||||||
3.85% due 11/01/50 | 40,000,000 | 28,810,188 | ||||||
Port Authority of New York & New Jersey Revenue Bonds | ||||||||
3.14% due 02/15/51 | 23,045,000 | 16,303,358 | ||||||
Total New York | 45,113,546 | |||||||
Texas - 0.2% | ||||||||
Dallas Fort Worth International Airport Revenue Bonds | ||||||||
3.09% due 11/01/40 | 13,800,000 | 10,552,209 | ||||||
City of San Antonio Texas Electric & Gas Systems Revenue Bonds | ||||||||
2.91% due 02/01/48 | 10,500,000 | 7,375,703 | ||||||
Wylie Independent School District General Obligation Unlimited | ||||||||
due 08/15/4614 | 8,885,000 | 2,674,955 | ||||||
Central Texas Regional Mobility Authority Revenue Bonds | ||||||||
3.17% due 01/01/41 | 3,000,000 | 2,240,302 | ||||||
Central Texas Turnpike System Revenue Bonds | ||||||||
3.03% due 08/15/41 | 3,150,000 | 2,151,367 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds | ||||||||
3.42% due 09/01/50 | 2,500,000 | 1,726,413 | ||||||
Harris County-Houston Sports Authority Revenue Bonds | ||||||||
due 11/15/4514 | 2,850,000 | 794,819 | ||||||
due 11/15/4114 | 1,500,000 | 537,239 | ||||||
Harris County Cultural Education Facilities Finance Corp. Revenue Bonds | ||||||||
3.34% due 11/15/37 | 1,500,000 | 1,212,275 | ||||||
Dallas/Fort Worth International Airport Revenue Bonds | ||||||||
2.92% due 11/01/50 | 1,300,000 | 886,051 | ||||||
Grand Parkway Transportation Corp. Revenue Bonds | ||||||||
3.31% due 10/01/49 | 1,000,000 | 680,847 | ||||||
Total Texas | 30,832,180 | |||||||
California - 0.1% | ||||||||
California Public Finance Authority Revenue Bonds | ||||||||
3.07% due 10/15/40 | 8,000,000 | 5,780,902 | ||||||
2.55% due 01/01/40 | 3,600,000 | 2,617,953 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Oakland Unified School District/Alameda County General Obligation Unlimited | ||||||||
2.87% due 08/01/35 | 7,405,000 | $ | 5,733,736 | |||||
3.12% due 08/01/40 | 600,000 | 448,601 | ||||||
San Mateo Foster City School District General Obligation Unlimited | ||||||||
3.06% due 08/01/44 | 6,125,000 | 4,329,797 | ||||||
California State University Revenue Bonds | ||||||||
2.98% due 11/01/51 | 5,000,000 | 3,424,529 | ||||||
Oakland Redevelopment Agency Successor Agency Tax Allocation | ||||||||
4.00% due 09/01/39 | 1,100,000 | 952,583 | ||||||
Hillsborough City School District General Obligation Unlimited | ||||||||
due 09/01/3714 | 1,000,000 | 455,095 | ||||||
due 09/01/3914 | 1,000,000 | 400,077 | ||||||
Total California | 24,143,273 | |||||||
Illinois - 0.0% | ||||||||
State of Illinois General Obligation Unlimited | ||||||||
5.65% due 12/01/38 | 5,524,999 | 5,410,463 | ||||||
6.63% due 02/01/35 | 1,820,000 | 1,910,131 | ||||||
City of Chicago Illinois General Obligation Unlimited | ||||||||
6.31% due 01/01/44 | 4,500,000 | 4,718,606 | ||||||
Total Illinois | 12,039,200 | |||||||
Mississippi - 0.1% | ||||||||
Medical Center Educational Building Corp. Revenue Bonds | ||||||||
2.92% due 06/01/41 | 11,800,000 | 8,258,488 | ||||||
Alabama - 0.0% | ||||||||
Auburn University Revenue Bonds | ||||||||
2.68% due 06/01/50 | 6,500,000 | 4,344,397 | ||||||
North Carolina - 0.0% | ||||||||
Inlivian Revenue Bonds | ||||||||
3.02% due 01/01/38 | 4,125,000 | 3,464,121 | ||||||
Ohio - 0.0% | ||||||||
County of Franklin Ohio Revenue Bonds | ||||||||
2.88% due 11/01/50 | 4,000,000 | 2,566,383 | ||||||
Washington - 0.0% | ||||||||
Central Washington University Revenue Bonds | ||||||||
6.95% due 05/01/40 | 1,750,000 | 1,961,195 | ||||||
Arizona - 0.0% | ||||||||
Northern Arizona University Revenue Bonds | ||||||||
3.09% due 08/01/39 | 2,350,000 | 1,821,278 | ||||||
Florida - 0.0% | ||||||||
County of Miami-Dade Florida Revenue Bonds | ||||||||
due 10/01/4114 | 4,100,000 | 1,525,341 | ||||||
Oklahoma - 0.0% | ||||||||
Tulsa Airports Improvement Trust Revenue Bonds | ||||||||
3.10% due 06/01/45 | 1,000,000 | 679,821 | ||||||
74 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Oklahoma Development Finance Authority Revenue Bonds | ||||||||
4.65% due 08/15/30 | 450,000 | $ | 395,642 | |||||
Total Oklahoma | 1,075,463 | |||||||
Pennsylvania - 0.0% | ||||||||
Pennsylvania Economic Development Financing Authority Revenue Bonds | ||||||||
due 01/01/4114 | 995,000 | 363,650 | ||||||
Idaho - 0.0% | ||||||||
Boise State University Revenue Bonds | ||||||||
3.06% due 04/01/40 | 250,000 | 185,112 | ||||||
Total Municipal Bonds | ||||||||
(Cost $186,048,066) | 137,693,627 | |||||||
FOREIGN GOVERNMENT DEBT†† - 0.1% | ||||||||
Panama Government International Bond | ||||||||
4.50% due 04/16/50 | 22,700,000 | 15,814,943 | ||||||
Bermuda Government International Bond | ||||||||
3.38% due 08/20/504 | 8,400,000 | 5,610,228 | ||||||
Total Foreign Government Debt | ||||||||
(Cost $33,816,677) | 21,425,171 | |||||||
U.S. TREASURY BILLS†† - 0.1% | ||||||||
U.S. Treasury Bills | ||||||||
2.36% due 12/22/2216 | 18,000,000 | 17,872,080 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $17,903,199) | 17,872,080 | |||||||
SENIOR FIXED RATE INTERESTS††† - 0.0% | ||||||||
Industrial - 0.0% | ||||||||
CTL Logistics | ||||||||
2.65% due 10/10/42 | 7,051,472 | 5,402,287 | ||||||
Total Senior Fixed Rate Interests | ||||||||
(Cost $7,051,472) | 5,402,287 | |||||||
| Contracts/ | |||||||
LISTED OPTIONS PURCHASED† - 0.8% | ||||||||
Put Options on: | ||||||||
Equity Options | ||||||||
S&P 500 Index Expiring November 2022 with strike price of $3,800.00 (Notional Value $832,580,964) | 2,322 | 58,781,430 | ||||||
S&P 500 Index Expiring December 2022 with strike price of $3,600.00 (Notional Value $920,787,216) | 2,568 | 44,644,680 | ||||||
S&P 500 Index Expiring April 2023 with strike price of $4,000.00 (Notional Value $340,633,900) | 950 | 43,890,000 | ||||||
Total Listed Options Purchased | ||||||||
(Cost $95,235,620) | 147,316,110 | |||||||
Total Investments - 111.8% | ||||||||
(Cost $24,762,625,205) | $ | 21,139,019,643 | ||||||
LISTED OPTIONS WRITTEN† - (0.2)% | ||||||||
Call Options on: | ||||||||
Equity Options | ||||||||
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $120,450) | 146 | — | ||||||
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $117,150) | 142 | — | ||||||
Total Equity Options | — | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
| Contracts/ | Value | ||||||
Put Options on: | ||||||||
Equity Options | ||||||||
S&P 500 Index Expiring December 2022 with strike price of $3,200.00 (Notional Value $920,787,216) | 2,568 | $ | (15,998,640 | ) | ||||
S&P 500 Index Expiring November 2022 with strike price of $3,400.00 (Notional Value $832,580,964) | 2,322 | (17,798,130 | ) | |||||
Total Listed Options Written | ||||||||
(Premiums received $24,261,557) | (33,796,770 | ) | ||||||
OTC INTEREST RATE SWAPTIONS WRITTEN††,17 - 0.0% | ||||||||
Put Swaptions on: | ||||||||
Interest Rate Swaptions | ||||||||
Bank of America, N.A. 5-Year Interest Rate Swap Expiring November 2022 with exercise rate of 3.30% | USD 339,100,000 | (9,645,978 | ) | |||||
Total Interest Rate Swaptions | (9,645,978 | ) | ||||||
Total OTC Interest Rate Swaptions Written | ||||||||
(Premiums received $2,797,575) | (9,645,978 | ) | ||||||
Other Assets & Liabilities, net - (11.6)% | (2,186,299,131 | ) | ||||||
Total Net Assets - 100.0% | $ | 18,909,277,764 | ||||||
Centrally Cleared Interest Rate Swap Agreements†† | ||||||||||||
Counterparty | Exchange | Floating | Floating | Fixed | Payment | Maturity | ||||||
BofA Securities, Inc. | CME | Pay | U.S. Secured Overnight Financing Rate | 3.45 | % | Annually | 09/26/32 | |||||
BofA Securities, Inc. | CME | Pay | U.S. Secured Overnight Financing Rate | 2.81 | % | Annually | 07/05/32 | |||||
BofA Securities, Inc. | CME | Pay | U.S. Secured Overnight Financing Rate | 2.78 | % | Annually | 07/18/27 | |||||
Notional | Value | Upfront | Unrealized | |||||||||||||
| $ | 237,700,000 | $ | (2,114,508 | ) | $ | 2,197 | $ | (2,116,705 | ) | |||||||
| 700,000,000 | (43,748,614 | ) | 5,752 | (43,754,366 | ) | |||||||||||
| 2,220,000,000 | (100,486,124 | ) | 9,851 | (100,495,975 | ) | |||||||||||
| $ | (146,349,246 | ) | $ | 17,800 | $ | (146,367,046 | ) | |||||||||
76 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
Bank of America, N.A. | EUR | Sell | 393,690,000 | 394,276,598 USD | 10/17/22 | $ | 8,060,491 | |||||||||||||||||
Morgan Stanley Capital Services LLC | GBP | Sell | 76,470,000 | 88,142,534 USD | 10/17/22 | 2,718,164 | ||||||||||||||||||
Goldman Sachs International | ILS | Sell | 28,886,625 | 8,761,488 USD | 11/30/22 | 606,613 | ||||||||||||||||||
Morgan Stanley Capital Services LLC | CAD | Sell | 14,547,000 | 11,066,860 USD | 10/17/22 | 531,688 | ||||||||||||||||||
Goldman Sachs International | ILS | Buy | 28,886,625 | 7,727,829 USD | 11/30/22 | 427,045 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | GBP | Buy | 680,000 | 725,730 USD | 10/17/22 | 33,896 | ||||||||||||||||||
Barclays Bank plc | EUR | Buy | 4,385,000 | 4,269,404 USD | 10/17/22 | 32,350 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Buy | 2,650,000 | 2,571,584 USD | 10/17/22 | 28,108 | ||||||||||||||||||
Bank of America, N.A. | EUR | Buy | 5,700,000 | 5,589,121 USD | 10/17/22 | 2,669 | ||||||||||||||||||
Citibank, N.A. | GBP | Buy | 768,000 | 857,571 USD | 10/17/22 | 360 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Sell | 10,113,000 | 9,874,787 USD | 12/30/22 | (110,020 | ) | |||||||||||||||||
| $ | 12,331,364 | |||||||||||||||||||||||
OTC Interest Rate Swaptions Written | |||||||||||||||||||||||
Counterparty/ | Floating | Floating | Payment | Fixed | Expiration | Exercise | Swaption | Swaption | |||||||||||||||
Put | |||||||||||||||||||||||
Bank of America, N.A. 5-Year Interest Rate Swap | Pay | SOFR | Annual | 3.30% | 11/30/22 | 3.30% | $ | 339,100,000 | $ | (9,645,978 | ) | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 77 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 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 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 September 30, 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 $8,399,377,831 (cost $9,743,493,574), or 44.4% of total net assets. |
5 | Rate indicated is the 7-day yield as of September 30, 2022. |
6 | Perpetual maturity. |
7 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $567,165,927 (cost $601,689,110), or 3.0% of total net assets — See Note 10. |
8 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2022, the total market value of segregated or earmarked securities was $1,664,585,802 — See Note 6. |
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 | Security is a principal-only strip. |
13 | Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2022. See table below for additional step information for each security. |
14 | Zero coupon rate security. |
15 | Payment-in-kind security. |
16 17 18 | Rate indicated is the effective yield at the time of purchase. Swaptions - See additional disclosure in the swaptions table above for more information on swaptions. Security is unsettled at period end and does not have a stated effective rate. |
19 | All or a portion of this security is pledged as collateral for open call options written contracts at September 30, 2022. |
BofA — Bank of America | |
CAD — Canadian Dollar | |
CME — Chicago Mercantile Exchange | |
CMT — Constant Maturity Treasury | |
EUR — Euro | |
EURIBOR — European Interbank Offered Rate | |
GBP — British Pound | |
ILS — Israeli New Shekel |
78 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
LIBOR — London Interbank Offered Rate | |
plc — Public Limited Company | |
REMIC — Real Estate Mortgage Investment Conduit | |
REIT — Real Estate Investment Trust | |
SARL — Société à Responsabilité Limitée | |
SOFR — Secured Overnight Financing Rate | |
SONIA — Sterling Overnight Index Average | |
WAC — Weighted Average Coupon | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 79 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 80,835,928 | $ | 4,408,224 | $ | 1,382 | $ | 85,245,534 | ||||||||
Preferred Stocks | — | 1,047,099,218 | — | * | 1,047,099,218 | |||||||||||
Warrants | 295,293 | — | 103 | 295,396 | ||||||||||||
Mutual Funds | 67,186,461 | — | — | 67,186,461 | ||||||||||||
Closed-End Funds | 11,657,271 | — | — | 11,657,271 | ||||||||||||
Money Market Funds | 133,014,577 | — | — | 133,014,577 | ||||||||||||
Corporate Bonds | — | 6,073,338,488 | 465,953,250 | 6,539,291,738 | ||||||||||||
Asset-Backed Securities | — | 4,171,032,878 | 529,446,053 | 4,700,478,931 | ||||||||||||
Collateralized Mortgage Obligations | — | 3,889,624,835 | 179,915,422 | 4,069,540,257 | ||||||||||||
U.S. Government Securities | — | 2,309,441,884 | — | 2,309,441,884 | ||||||||||||
Senior Floating Rate Interests | — | 1,283,682,138 | 332,581,132 | 1,616,263,270 | ||||||||||||
Federal Agency Bonds | — | 229,795,831 | — | 229,795,831 | ||||||||||||
Municipal Bonds | — | 137,693,627 | — | 137,693,627 | ||||||||||||
Foreign Government Debt | — | 21,425,171 | — | 21,425,171 | ||||||||||||
U.S. Treasury Bills | — | 17,872,080 | — | 17,872,080 | ||||||||||||
Senior Fixed Rate Interests | — | — | 5,402,287 | 5,402,287 | ||||||||||||
Options Purchased | 147,316,110 | — | — | 147,316,110 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 12,441,384 | — | 12,441,384 | ||||||||||||
Total Assets | $ | 440,305,640 | $ | 19,197,855,758 | $ | 1,513,299,629 | $ | 21,151,461,027 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Options Written | $ | 33,796,770 | $ | — | $ | — | $ | 33,796,770 | ||||||||
Interest Rate Swaptions Written | — | 9,645,978 | — | 9,645,978 | ||||||||||||
Interest Rate Swap Agreements** | — | 146,367,046 | — | 146,367,046 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 110,020 | — | 110,020 | ||||||||||||
Unfunded Loan Commitments (Note 9) | — | — | 1,043,263 | 1,043,263 | ||||||||||||
Total Liabilities | $ | 33,796,770 | $ | 156,123,044 | $ | 1,043,263 | $ | 190,963,077 | ||||||||
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
80 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $1,002,218,735 are categorized as Level 2 within the disclosure hierarchy — See Note 6.
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category | Ending | Valuation Technique | Unobservable | Input Range | Weighted | |||||||||||||||
Assets: | ||||||||||||||||||||
Asset-Backed Securities | $ | 347,086,683 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | ||||||||||||||
Asset-Backed Securities | 112,196,195 | Yield Analysis | Yield | 6.4%-7.0% | 6.8% | |||||||||||||||
Asset-Backed Securities | 70,162,545 | Third Party Pricing | Broker Quote | — | — | |||||||||||||||
Asset-Backed Securities | 630 | Model Price | Purchase Price | — | — | |||||||||||||||
Collateralized Mortgage Obligations | 111,472,220 | Model Price | Market Comparable Yield | 6.9% | — | |||||||||||||||
Collateralized Mortgage Obligations | 68,443,202 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||||||||||
Common Stocks | 932 | Model Price | Liquidation Value | — | — | |||||||||||||||
Common Stocks | 450 | Enterprise Value | Valuation Multiple | 2.6x-12.3x | 5.3x | |||||||||||||||
Corporate Bonds | 375,023,382 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||||||||||
Corporate Bonds | 82,993,866 | Yield Analysis | Yield | 5.9%-6.4% | 6.2% | |||||||||||||||
Corporate Bonds | 7,191,268 | Option adjusted spread off Third Party Pricing | Trade Price | — | — | |||||||||||||||
Corporate Bonds | 744,734 | Model Price | Purchase Price | — | — | |||||||||||||||
Senior Fixed Rate Interests | 5,402,287 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||||||||||
Senior Floating Rate Interests | 159,920,356 | Third Party Pricing | Broker Quote | — | — | |||||||||||||||
Senior Floating Rate Interests | 169,203,933 | Yield Analysis | Yield | 9.3%-10.1% | 9.6% | |||||||||||||||
Senior Floating Rate Interests | 3,422,029 | Third Party Pricing | Vendor Price | — | — | |||||||||||||||
Senior Floating Rate Interests | 34,814 | Model Price | Purchase Price | — | — | |||||||||||||||
Warrants | 103 | Model Price | Liquidation Value | — | — | |||||||||||||||
Total Assets | $ | 1,513,299,629 |
|
|
|
| ||||||||||||||
Liabilities: | ||||||||||||||||||||
Unfunded Loan Commitments | $ | 1,043,263 | Model Price | Purchase Price | — | — | ||||||||||||||
* | Inputs are weighted by the fair value of the instruments. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 81 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
TOTAL RETURN BOND FUND |
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.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $311,936,764 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $89,594,232 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.
82 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 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 year ended September 30, 2022:
Assets | ||||||||||||||||
| Asset-Backed | Collateralized | Corporate | Senior | ||||||||||||
Beginning Balance | $ | 728,643,975 | $ | 102,193,653 | $ | 624,825,088 | $ | 136,117,831 | ||||||||
Purchases/(Receipts) | 188,818,090 | 4,150,795 | 65,263,600 | 123,375,236 | ||||||||||||
(Sales, maturities and paydowns)/Fundings | (385,192,819 | ) | (97,575,961 | ) | (12,976,689 | ) | (7,688,576 | ) | ||||||||
Amortization of premiums/ discounts | 1,004,871 | (45,044 | ) | 696,574 | 479,918 | |||||||||||
Total realized gains (losses) included in earnings | 263,936 | (76,473 | ) | — | 378,779 | |||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | (34,925,056 | ) | (1,437,722 | ) | (130,765,454 | ) | (19,974,199 | ) | ||||||||
Transfers into Level 3 | 30,833,056 | 172,706,174 | — | 108,396,506 | ||||||||||||
Transfers out of Level 3 | — | — | (81,089,869 | ) | (8,504,363 | ) | ||||||||||
Ending Balance | $ | 529,446,053 | $ | 179,915,422 | $ | 465,953,250 | $ | 332,581,132 | ||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022 | $ | (35,260,981 | ) | $ | (1,483,495 | ) | $ | (110,261,276 | ) | $ | (17,481,310 | ) | ||||
Assets | Liabilities | |||||||||||||||||||
| Warrants | Common | Senior Fixed | Total | Unfunded | |||||||||||||||
Beginning Balance | $ | — | $ | 521 | $ | 6,865,207 | $ | 1,598,646,275 | $ | (654,750 | ) | |||||||||
Purchases/(Receipts) | — | — | — | 381,607,721 | (34,932 | ) | ||||||||||||||
(Sales, maturities and paydowns)/Fundings | — | — | (6,416 | ) | (503,440,461 | ) | 662,525 | |||||||||||||
Amortization of premiums/discounts | — | — | — | 2,136,319 | 26,696 | |||||||||||||||
Total realized gains (losses) included in earnings | — | — | — | 566,242 | 7,884 | |||||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | — | (64 | ) | (1,456,504 | ) | (188,558,999 | ) | (1,050,686 | ) | |||||||||||
Transfers into Level 3 | 103 | 925 | — | 311,936,764 | — | |||||||||||||||
Transfers out of Level 3 | — | — | — | (89,594,232 | ) | — | ||||||||||||||
Ending Balance | $ | 103 | $ | 1,382 | $ | 5,402,287 | $ | 1,513,299,629 | $ | (1,043,263 | ) | |||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022 | $ | — | $ | (64 | ) | $ | (1,456,504 | ) | $ | (165,943,630 | ) | $ | (886,723 | ) | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 83 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 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 Rate | Future Reset Rate | Future Reset Date | ||||||||||||
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70 | 6.13 | % | 01/29/25 | — | — | |||||||||||
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61 | 4.62 | % | 09/26/24 | 5.62 | % | 09/26/25 | ||||||||||
Citigroup Mortgage Loan Trust 2022-A, 6.17% due 09/25/62 | 9.17 | % | 09/25/25 | — | — | |||||||||||
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 | ||||||||||
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62 | 8.25 | % | 07/01/25 | — | — | |||||||||||
OBX 2022-NQM8 Trust 2022-NQM8, 6.10% due 09/25/62 | 7.10 | % | 10/01/26 | — | — | |||||||||||
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 | % | 02/25/25 | 7.72 | % | 2/25/26 | ||||||||||
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.
84 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2022 |
TOTAL RETURN BOND FUND |
Transactions during the year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | ||||||||||||
Common Stocks | ||||||||||||||||
BP Holdco LLC * | $ | 375 | $ | — | $ | — | $ | — | ||||||||
Mutual Funds | ||||||||||||||||
Guggenheim Strategy Fund II | 27,213,251 | 553,693 | — | — | ||||||||||||
Guggenheim Strategy Fund III | 14,737,023 | 308,994 | — | — | ||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 26,783,244 | 400,126 | — | — | ||||||||||||
| $ | 68,733,893 | $ | 1,262,813 | $ | — | $ | — | |||||||||
Security Name | Change in | Value | Shares | Investment | ||||||||||||
Common Stocks | ||||||||||||||||
BP Holdco LLC * | $ | (52 | ) | $ | 323 | 532 | $ | — | ||||||||
Mutual Funds | ||||||||||||||||
Guggenheim Strategy Fund II | (1,120,573 | ) | 26,646,371 | 1,111,655 | 548,300 | |||||||||||
Guggenheim Strategy Fund III | (662,693 | ) | 14,383,324 | 598,806 | 306,010 | |||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | (1,026,604 | ) | 26,156,766 | 2,727,504 | 395,744 | |||||||||||
| $ | (2,809,922 | ) | $ | 67,186,784 | $ | 1,250,054 | ||||||||||
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 85 |
STATEMENT OF ASSETS AND LIABILITIES |
|
TOTAL RETURN BOND FUND |
September 30, 2022
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $24,692,819,501) | $ | 21,071,832,859 | ||
Investments in affiliated issuers, at value (cost $69,805,704) | 67,186,784 | |||
Foreign currency, at value (cost 2,917,102) | 2,917,322 | |||
Cash | 4,186,348 | |||
Unamortized upfront premiums paid on interest rate swap agreements | 17,800 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 12,441,384 | |||
Prepaid expenses | 535,330 | |||
Receivables: | ||||
Securities sold | 1,207,401,935 | |||
Interest | 153,250,871 | |||
Fund shares sold | 55,997,954 | |||
Dividends | 449,375 | |||
Foreign tax reclaims | 352,777 | |||
Other assets | 1,220 | |||
Total assets | 22,576,571,959 | |||
Liabilities: | ||||
Unfunded loan commitments, at value (Note 9) (commitment fees received $159,657) | 1,043,263 | |||
Reverse repurchase agreements | 1,002,218,735 | |||
Options written, at value (premiums received $27,059,132) | 43,442,748 | |||
Segregated cash due to broker | 80,372,921 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 110,020 | |||
Payable for: | ||||
Securities purchased | 2,426,361,024 | |||
Fund shares redeemed | 88,410,387 | |||
Variation margin on interest rate swap agreements | 6,461,214 | |||
Management fees | 4,979,377 | |||
Distributions to shareholders | 4,043,433 | |||
Transfer agent/maintenance fees | 3,455,949 | |||
Distribution and service fees | 385,256 | |||
Fund accounting/administration fees | 149,818 | |||
Trustees’ fees* | 24,760 | |||
Due to Investment Adviser | 14,072 | |||
Miscellaneous | 5,821,218 | |||
Total liabilities | 3,667,294,195 | |||
Net assets | $ | 18,909,277,764 | ||
Net assets consist of: | ||||
Paid in capital | $ | 23,296,927,781 | ||
Total distributable earnings (loss) | (4,387,650,017 | ) | ||
Net assets | $ | 18,909,277,764 | ||
A-Class: | ||||
Net assets | $ | 427,870,121 | ||
Capital shares outstanding | 18,503,443 | |||
Net asset value per share | $ | 23.12 | ||
Maximum offering price per share (Net asset value divided by 96.00%) | $ | 24.08 | ||
C-Class: | ||||
Net assets | $ | 197,933,448 | ||
Capital shares outstanding | 8,559,009 | |||
Net asset value per share | $ | 23.13 | ||
P-Class: | ||||
Net assets | $ | 572,112,587 | ||
Capital shares outstanding | 24,747,561 | |||
Net asset value per share | $ | 23.12 | ||
Institutional Class: | ||||
Net assets | $ | 17,501,690,312 | ||
Capital shares outstanding | 756,186,177 | |||
Net asset value per share | $ | 23.14 | ||
R6-Class: | ||||
Net assets | $ | 209,671,296 | ||
Capital shares outstanding | 9,053,833 | |||
Net asset value per share | $ | 23.16 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
86 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF OPERATIONS |
|
TOTAL RETURN BOND FUND |
Year Ended September 30, 2022
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 29,793,160 | ||
Dividends from securities of affiliated issuers | 1,250,054 | |||
Interest | 859,225,463 | |||
Total investment income | 890,268,677 | |||
Expenses: | ||||
Management fees | 92,491,890 | |||
Distribution and service fees: | ||||
A-Class | 1,401,684 | |||
C-Class | 2,661,319 | |||
P-Class | 2,126,786 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 486,429 | |||
C-Class | 323,153 | |||
P-Class | 1,496,526 | |||
Institutional Class | 23,375,065 | |||
R6-Class | 22,654 | |||
Fund accounting/administration fees | 14,216,829 | |||
Interest expense | 8,179,276 | |||
Professional fees | 1,560,048 | |||
Line of credit fees | 1,544,417 | |||
Custodian fees | 340,114 | |||
Trustees’ fees* | 298,917 | |||
Miscellaneous | 2,506,208 | |||
Recoupment of previously waived fees: | ||||
A-Class | 36,123 | |||
R6-Class | 13,020 | |||
Total expenses | 153,080,458 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (225,873 | ) | ||
C-Class | (181,666 | ) | ||
P-Class | (1,041,493 | ) | ||
Institutional Class | (20,427,229 | ) | ||
R6-Class | (19,651 | ) | ||
Expenses waived by Adviser | (356,521 | ) | ||
Earnings credits applied | (28,969 | ) | ||
Total waived/reimbursed expenses | (22,281,402 | ) | ||
Net expenses | 130,799,056 | |||
Net investment income | 759,469,621 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (716,051,285 | ) | ||
Investments sold short | 857,963 | |||
Swap agreements | 46,808,005 | |||
Options purchased | 76,456,677 | |||
Options written | (33,957,291 | ) | ||
Forward foreign currency exchange contracts | 112,357,264 | |||
Foreign currency transactions | (341,195 | ) | ||
Net realized loss | (513,869,862 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (4,189,156,082 | ) | ||
Investments in affiliated issuers | (2,809,922 | ) | ||
Investments sold short | (898,925 | ) | ||
Swap agreements | (232,886,520 | ) | ||
Options purchased | 19,847,946 | |||
Options written | (18,701,190 | ) | ||
Forward foreign currency exchange contracts | (10,960,349 | ) | ||
Foreign currency translations | (343,698 | ) | ||
Net change in unrealized appreciation (depreciation) | (4,435,908,740 | ) | ||
Net realized and unrealized loss | (4,949,778,602 | ) | ||
Net decrease in net assets resulting from operations | $ | (4,190,308,981 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 87 |
STATEMENTS OF CHANGES IN NET ASSETS |
|
TOTAL RETURN BOND FUND |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 759,469,621 | $ | 673,140,168 | ||||
Net realized gain (loss) on investments | (513,869,862 | ) | 389,594,002 | |||||
Net change in unrealized appreciation (depreciation) on investments | (4,435,908,740 | ) | (484,963,594 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (4,190,308,981 | ) | 577,770,576 | |||||
Distributions to shareholders: | ||||||||
A-Class | (22,845,332 | ) | (35,606,058 | ) | ||||
C-Class | (8,847,797 | ) | (15,002,591 | ) | ||||
P-Class | (35,091,237 | ) | (49,331,911 | ) | ||||
Institutional Class | (948,608,650 | ) | (1,162,088,286 | ) | ||||
R6-Class | (9,592,901 | ) | (10,411,606 | ) | ||||
Total distributions to shareholders | (1,024,985,917 | ) | (1,272,440,452 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 162,652,775 | 301,735,718 | ||||||
C-Class | 22,676,431 | 71,243,493 | ||||||
P-Class | 277,767,413 | 592,976,433 | ||||||
Institutional Class | 8,822,932,131 | 11,987,961,377 | ||||||
R6-Class | 141,977,419 | 125,161,838 | ||||||
Distributions reinvested | ||||||||
A-Class | 19,669,319 | 30,151,720 | ||||||
C-Class | 7,577,710 | 12,720,024 | ||||||
P-Class | 35,091,237 | 49,197,254 | ||||||
Institutional Class | 839,074,338 | 1,001,642,286 | ||||||
R6-Class | 9,497,105 | 10,404,509 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (310,183,050 | ) | (441,115,944 | ) | ||||
C-Class | (102,439,268 | ) | (84,837,172 | ) | ||||
P-Class | (599,756,830 | ) | (493,935,219 | ) | ||||
Institutional Class | (12,268,295,169 | ) | (6,600,975,826 | ) | ||||
R6-Class | (141,160,025 | ) | (50,585,771 | ) | ||||
Net increase (decrease) from capital share transactions | (3,082,918,464 | ) | 6,511,744,720 | |||||
Net increase (decrease) in net assets | (8,298,213,362 | ) | 5,817,074,844 | |||||
Net assets: | ||||||||
Beginning of year | 27,207,491,126 | 21,390,416,282 | ||||||
End of year | $ | 18,909,277,764 | $ | 27,207,491,126 | ||||
88 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
|
TOTAL RETURN BOND FUND |
| Year Ended | Year Ended | ||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 6,128,429 | 10,307,437 | ||||||
C-Class | 850,424 | 2,422,706 | ||||||
P-Class | 10,325,436 | 20,237,868 | ||||||
Institutional Class | 335,372,608 | 409,526,835 | ||||||
R6-Class | 5,491,289 | 4,284,001 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 736,999 | 1,027,814 | ||||||
C-Class | 283,159 | 433,192 | ||||||
P-Class | 1,309,242 | 1,677,702 | ||||||
Institutional Class | 31,483,958 | 34,155,691 | ||||||
R6-Class | 356,973 | 354,677 | ||||||
Shares redeemed | ||||||||
A-Class | (11,761,205 | ) | (14,980,704 | ) | ||||
C-Class | (3,897,258 | ) | (2,913,083 | ) | ||||
P-Class | (22,953,593 | ) | (17,001,560 | ) | ||||
Institutional Class | (470,717,032 | ) | (226,736,966 | ) | ||||
R6-Class | (5,318,515 | ) | (1,732,537 | ) | ||||
Net increase (decrease) in shares | (122,309,086 | ) | 221,063,073 | |||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 89 |
FINANCIAL HIGHLIGHTS |
|
TOTAL RETURN BOND FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 28.94 | $ | 29.76 | $ | 27.42 | $ | 26.69 | $ | 27.05 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .78 | .72 | .56 | .64 | .72 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.53 | ) | (.05 | ) | 2.41 | .85 | (.37 | ) | ||||||||||||
Total from investment operations | (4.75 | ) | .67 | 2.97 | 1.49 | .35 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.80 | ) | (.76 | ) | (.63 | ) | (.65 | ) | (.71 | ) | ||||||||||
Net realized gains | (.27 | ) | (.73 | ) | — | (.11 | ) | — | ||||||||||||
Total distributions | (1.07 | ) | (1.49 | ) | (.63 | ) | (.76 | ) | (.71 | ) | ||||||||||
Net asset value, end of period | $ | 23.12 | $ | 28.94 | $ | 29.76 | $ | 27.42 | $ | 26.69 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (16.82 | %) | 2.27 | % | 10.96 | % | 5.70 | % | 1.28 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 427,870 | $ | 677,172 | $ | 804,750 | $ | 609,602 | $ | 589,760 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.94 | % | 2.47 | % | 1.99 | % | 2.37 | % | 2.66 | % | ||||||||||
Total expensesc | 0.85 | % | 0.84 | % | 0.87 | % | 0.96 | % | 0.93 | % | ||||||||||
Net expensesd,e,f | 0.81 | % | 0.79 | % | 0.80 | % | 0.80 | % | 0.81 | % | ||||||||||
Portfolio turnover rate | 55 | % | 92 | % | 116 | % | 68 | % | 48 | % | ||||||||||
90 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) |
TOTAL RETURN BOND FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 28.94 | $ | 29.76 | $ | 27.43 | $ | 26.69 | $ | 27.05 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .58 | .50 | .35 | .43 | .52 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.52 | ) | (.05 | ) | 2.40 | .87 | (.38 | ) | ||||||||||||
Total from investment operations | (4.94 | ) | .45 | 2.75 | 1.30 | .14 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.60 | ) | (.54 | ) | (.42 | ) | (.45 | ) | (.50 | ) | ||||||||||
Net realized gains | (.27 | ) | (.73 | ) | — | (.11 | ) | — | ||||||||||||
Total distributions | (.87 | ) | (1.27 | ) | (.42 | ) | (.56 | ) | (.50 | ) | ||||||||||
Net asset value, end of period | $ | 23.13 | $ | 28.94 | $ | 29.76 | $ | 27.43 | $ | 26.69 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (17.41 | %) | 1.50 | % | 10.10 | % | 4.95 | % | 0.53 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 197,933 | $ | 327,712 | $ | 338,656 | $ | 286,050 | $ | 265,486 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.18 | % | 1.72 | % | 1.24 | % | 1.62 | % | 1.93 | % | ||||||||||
Total expensesc | 1.63 | % | 1.59 | % | 1.59 | % | 1.60 | % | 1.62 | % | ||||||||||
Net expensesd,e,f | 1.56 | % | 1.53 | % | 1.55 | % | 1.55 | % | 1.55 | % | ||||||||||
Portfolio turnover rate | 55 | % | 92 | % | 116 | % | 68 | % | 48 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS 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.
P-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 28.93 | $ | 29.75 | $ | 27.42 | $ | 26.69 | $ | 27.04 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .77 | .72 | .56 | .63 | .72 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.51 | ) | (.05 | ) | 2.40 | .86 | (.36 | ) | ||||||||||||
Total from investment operations | (4.74 | ) | .67 | 2.96 | 1.49 | .36 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.80 | ) | (.76 | ) | (.63 | ) | (.65 | ) | (.71 | ) | ||||||||||
Net realized gains | (.27 | ) | (.73 | ) | — | (.11 | ) | — | ||||||||||||
Total distributions | (1.07 | ) | (1.49 | ) | (.63 | ) | (.76 | ) | (.71 | ) | ||||||||||
Net asset value, end of period | $ | 23.12 | $ | 28.93 | $ | 29.75 | $ | 27.42 | $ | 26.69 | ||||||||||
| ||||||||||||||||||||
Total Return | (16.79 | %) | 2.27 | % | 10.92 | % | 5.70 | % | 1.32 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 572,113 | $ | 1,043,507 | $ | 926,745 | $ | 819,770 | $ | 738,694 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.90 | % | 2.47 | % | 1.98 | % | 2.37 | % | 2.69 | % | ||||||||||
Total expensesc | 0.93 | % | 0.87 | % | 0.88 | % | 0.87 | % | 0.91 | % | ||||||||||
Net expensesd,e,f | 0.81 | % | 0.79 | % | 0.80 | % | 0.80 | % | 0.80 | % | ||||||||||
Portfolio turnover rate | 55 | % | 92 | % | 116 | % | 68 | % | 48 | % | ||||||||||
92 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) | |
TOTAL RETURN BOND FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 28.97 | $ | 29.78 | $ | 27.45 | $ | 26.71 | $ | 27.07 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .86 | .81 | .65 | .71 | .80 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.54 | ) | (.05 | ) | 2.39 | .87 | (.37 | ) | ||||||||||||
Total from investment operations | (4.68 | ) | .76 | 3.04 | 1.58 | .43 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.88 | ) | (.84 | ) | (.71 | ) | (.73 | ) | (.79 | ) | ||||||||||
Net realized gains | (.27 | ) | (.73 | ) | — | (.11 | ) | — | ||||||||||||
Total distributions | (1.15 | ) | (1.57 | ) | (.71 | ) | (.84 | ) | (.79 | ) | ||||||||||
Net asset value, end of period | $ | 23.14 | $ | 28.97 | $ | 29.78 | $ | 27.45 | $ | 26.71 | ||||||||||
| ||||||||||||||||||||
Total Return | (16.59 | %) | 2.59 | % | 11.23 | % | 6.03 | % | 1.59 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 17,501,690 | $ | 24,912,049 | $ | 19,152,857 | $ | 12,138,270 | $ | 8,957,902 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.23 | % | 2.76 | % | 2.29 | % | 2.64 | % | 2.99 | % | ||||||||||
Total expensesc | 0.62 | % | 0.57 | % | 0.57 | % | 0.58 | % | 0.58 | % | ||||||||||
Net expensesd,e,f | 0.52 | % | 0.50 | % | 0.51 | % | 0.51 | % | 0.50 | % | ||||||||||
Portfolio turnover rate | 55 | % | 92 | % | 116 | % | 68 | % | 48 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 93 |
FINANCIAL HIGHLIGHTS (continued) | |
TOTAL RETURN BOND FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
R6-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 28.98 | $ | 29.80 | $ | 27.46 | $ | 26.73 | $ | 27.09 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .87 | .81 | .65 | .71 | .81 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.54 | ) | (.06 | ) | 2.40 | .86 | (.38 | ) | ||||||||||||
Total from investment operations | (4.67 | ) | .75 | 3.05 | 1.57 | .43 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.88 | ) | (.84 | ) | (.71 | ) | (.73 | ) | (.79 | ) | ||||||||||
Net realized gains | (.27 | ) | (.73 | ) | — | (.11 | ) | — | ||||||||||||
Total distributions | (1.15 | ) | (1.57 | ) | (.71 | ) | (.84 | ) | (.79 | ) | ||||||||||
Net asset value, end of period | $ | 23.16 | $ | 28.98 | $ | 29.80 | $ | 27.46 | $ | 26.73 | ||||||||||
| ||||||||||||||||||||
Total Return | (16.55 | %) | 2.56 | % | 11.26 | % | 5.99 | % | 1.59 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 209,671 | $ | 247,051 | $ | 167,409 | $ | 55,441 | $ | 37,735 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.26 | % | 2.76 | % | 2.28 | % | 2.64 | % | 3.00 | % | ||||||||||
Total expensesc | 0.53 | % | 0.50 | % | 0.52 | % | 0.52 | % | 0.53 | % | ||||||||||
Net expensesd,e,f | 0.52 | % | 0.50 | % | 0.51 | % | 0.51 | % | 0.50 | % | ||||||||||
Portfolio turnover rate | 55 | % | 92 | % | 116 | % | 68 | % | 48 | % | ||||||||||
94 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) | |
TOTAL RETURN BOND FUND | |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |||||||||||||||
A-Class | 0.01 | % | 0.00 | %* | 0.00 | %* | — | 0.00 | %* | |||||||||||
C-Class | — | 0.00 | %* | 0.00 | %* | — | 0.00 | %* | ||||||||||||
P-Class | — | — | 0.00 | %* | 0.00 | %* | 0.00 | %* | ||||||||||||
Institutional Class | — | — | 0.00 | %* | — | 0.00 | %* | |||||||||||||
R6-Class | 0.01 | % | 0.01 | % | 0.00 | %* | 0.00 | %* | 0.00 | %* | ||||||||||
* | Less than 0.01% |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |||||||||||||||
A-Class | 0.77 | % | 0.78 | % | 0.79 | % | 0.79 | % | 0.80 | % | ||||||||||
C-Class | 1.52 | % | 1.53 | % | 1.54 | % | 1.54 | % | 1.55 | % | ||||||||||
P-Class | 0.77 | % | 0.78 | % | 0.79 | % | 0.79 | % | 0.80 | % | ||||||||||
Institutional Class | 0.48 | % | 0.49 | % | 0.50 | % | 0.50 | % | 0.49 | % | ||||||||||
R6-Class | 0.48 | % | 0.49 | % | 0.50 | % | 0.50 | % | 0.49 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 95 |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 8-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Total Return Bond Fund (the “Fund”), a diversified investment company. At September 30, 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” or the “Adviser”) which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Partners Advisors, LLC (“GPA or the “Sub-Adviser”) assists GPIM in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI, GDF and GPA are affiliated entities.
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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”) adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and/or other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and/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 Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.
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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.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
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 generally 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.
Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service.
Repurchase agreements are valued at amortized cost, provided such amounts approximate 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 Adviser.
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NOTES TO FINANCIAL STATEMENTS (continued) |
Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded.
The value of interest rate swap agreements entered into by the Fund is valued on the basis of the last sale price on the primary exchange on which the swap is traded.
The value of other swap agreements entered into by the Fund are generally valued using an evaluated price provided by a third party pricing vendor.
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
(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.
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The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.
(d) Interest on When-Issued Securities
The Fund may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Fund actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Fund will generally purchase these securities with the intention of acquiring such securities, it may sell such securities before the settlement date.
(e) Short Sales
When the Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
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NOTES TO FINANCIAL STATEMENTS (continued) |
(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 Fund may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities 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.
(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.
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(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. 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 September 30, 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
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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 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.
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(n) Earnings Credits
Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 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 3.08% at September 30, 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
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NOTES TO FINANCIAL STATEMENTS (continued) |
identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be profitable.
Note 2 – Financial Instruments and Derivatives
As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Short Sales
A short sale is a transaction in which the Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Fund utilized derivatives for the following purposes:
Duration: the use of an instrument to manage the interest rate risk of a portfolio.
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.
Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.
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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 | $ | 7,606,350,000 | $ | 552,125,057 | ||||
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 | $ | 525,336 | $ | 514,501,294 | ||||
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
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NOTES TO FINANCIAL STATEMENTS (continued) |
counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.
The following table represents the Fund’s use and volume of total return swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Long | Short | ||||||
Income, Index exposure | $ | 17,803,707 | $ | — | ||||
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 | $ | 1,088,975,000 | $ | 270,500,000 | ||||
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
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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 | $ | — | $ | 19,358,333 | ||||
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 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.
108 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (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 | $ | 59,926,746 | $ | 630,552,061 | ||||
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Currency forward contracts | Unrealized appreciation on forward foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts |
Interest rate swap contracts | Unamortized upfront premiums paid on 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 |
The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2022:
Asset Derivative Investments Value | ||||||||||||||||
| Swaps | Options | Forward | Total Value at | ||||||||||||
| $ | — | $ | 147,316,110 | 12,441,384 | $ | 159,757,494 | ||||||||||
Liability Derivative Investments Value | ||||||||||||||||||||
| Swaps | Options | Options | Forward | Total Value at | |||||||||||||||
| $ | 146,367,046 | $ | 33,796,770 | $ | 9,645,978 | 110,020 | $ | 189,919,814 | ||||||||||||
* | 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 GUGGENHEIM FUNDS ANNUAL REPORT | 109 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 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 year ended September 30, 2022:
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations | ||||||||||||||||||||||||||||||||
| Swaps | Swaps | Options | Options | Forward | Options | Options | Total | ||||||||||||||||||||||||
| $ | 53,103,921 | $ | (6,295,916 | ) | $ | (37,311,524 | ) | $ | 99,671,217 | $ | 112,357,264 | $ | (23,214,540 | ) | $ | 3,354,233 | $ | 201,664,655 | ||||||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivative Investments | ||||||||||||||||||||||||||||||||
| Swaps | Swaps | Options | Options | Forward | Options | Options | Total | ||||||||||||||||||||||||
| $ | (233,072,245 | ) | $ | 185,725 | $ | (11,852,787 | ) | $ | 49,844,971 | $ | (10,960,349 | ) | $ | (29,997,025 | ) | $ | (6,848,403 | ) | $ | (242,700,113 | ) | |||||||||||
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.
110 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Foreign Investments
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.
The Fund may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 111 |
NOTES TO FINANCIAL STATEMENTS (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.
112 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
Gross Amounts Not Offset | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 12,441,384 | $ | — | $ | 12,441,384 | $ | (8,125,164 | ) | $ | (4,315,860 | ) | $ | 360 | ||||||||||
Gross Amounts Not Offset | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 110,020 | $ | — | $ | 110,020 | $ | (62,004 | ) | $ | — | $ | 48,016 | |||||||||||
Options written | 9,645,978 | — | 9,645,978 | (8,063,160 | ) | — | 1,582,818 | |||||||||||||||||
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2022.
Counterparty | Asset Type | Cash Received | |||
Barclays Bank plc | Forward foreign currency exchange contracts | $ | 5,805,000 | ||
BofA Securities, Inc. | Interest rate swap agreements | 3,460,011 | |||
Options | 3,415,000 | ||||
Goldman Sachs International | Forward foreign currency exchange contracts, Options | 63,492,910 | |||
Morgan Stanley Capital Services LLC | Forward foreign currency exchange contracts, Options | 4,200,000 | |||
|
| $ | 80,372,921 | ||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 113 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | unadjusted quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although
114 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.
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.
Pursuant to an Investment Sub-Advisory Agreement between the Adviser and GPA, GPA, under the oversight supervision of the Board and the Adviser, assists the Adviser in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies. As compensation for its services, the Adviser pays GPA a fee, payable monthly, in an amount equal to 0.005% of the Fund’s average daily net assets.
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 115 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
A-Class | 0.79 | % | 11/20/17 | 02/01/24 | ||||||||
C-Class | 1.54 | % | 11/20/17 | 02/01/24 | ||||||||
P-Class | 0.79 | % | 11/20/17 | 02/01/24 | ||||||||
Institutional Class | 0.50 | % | 11/30/12 | 02/01/24 | ||||||||
R6-Class | 0.50 | % | 10/19/16 | 02/01/24 | ||||||||
GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 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:
| 2023 | 2024 | 2025 | Total | ||||||||||||
A-Class | $ | 440,686 | $ | 421,811 | $ | 196,304 | $ | 1,058,801 | ||||||||
C-Class | 133,369 | 174,119 | 167,978 | 475,466 | ||||||||||||
P-Class | 636,580 | 783,250 | 1,002,868 | 2,422,698 | ||||||||||||
Institutional Class | 8,669,558 | 16,070,212 | 19,248,693 | 43,988,463 | ||||||||||||
R6-Class | — | — | 1,102 | 1,102 | ||||||||||||
For the year ended September 30, 2022, GI recouped $49,143 from the Fund.
If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2022, the Fund waived $66,143 related to investments in affiliated funds.
For the year ended September 30, 2022, GFD retained sales charges of $144,088 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.
116 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
Note 6 – Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.
For the year ended September 30, 2022, the Fund entered into reverse repurchase agreements as follows:
Number of Days | Balance at | Average Balance | Average | ||||||||||
365 | $ | 1,002,218,735 | $ | 1,540,681,557 | 0.53 | % | |||||||
The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statement of Assets of Liabilities in conformity with U.S. GAAP:
Gross Amounts Not Offset | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Reverse repurchase agreements | $ | 1,002,218,735 | $ | — | $ | 1,002,218,735 | $ | (1,002,218,735 | ) | $ | — | $ | — | |||||||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 117 |
NOTES TO FINANCIAL STATEMENTS (continued) |
As of September 30, 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 | |||||||||
Bank of Montreal | 2.85 | %* | Open Maturity | $ | 95,508,170 | |||||||
Citigroup Global Markets, Inc. | 2.80 | %* | Open Maturity | 363,729,846 | ||||||||
Goldman Sachs & Co. LLC | (0.75%)—2.85 | %* | Open Maturity | 294,010,475 | ||||||||
J.P. Morgan Securities LLC | 2.86 | %* | Open Maturity | 248,970,244 | ||||||||
Total | $ | 1,002,218,735 | ||||||||||
* | The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set reference rate and spread. Rate indicated is the rate effective as of September 30, 2022. |
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 | Overnight and | Total | ||||||
Corporate Bonds | $ | 6,945,287 | $ | 6,945,287 | ||||
Federal Agency Notes | 995,273,448 | 995,273,448 | ||||||
Gross amount of recognized liabilities for reverse repurchase agreements | $ | 1,002,218,735 | $ | 1,002,218,735 | ||||
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.
118 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended September 30, 2022 was as follows:
| Ordinary | Long-Term | Total | |||||||||
| $ | 882,654,723 | $ | 142,331,194 | $ | 1,024,985,917 | |||||||
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
| Ordinary | Long-Term | Total | |||||||||
| $ | 1,067,305,263 | $ | 205,135,189 | $ | 1,272,440,452 | |||||||
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:
| Undistributed | Undistributed | Net | Accumulated | Other | Total | ||||||||||||||||||
| $ | 25,752,243 | $ | — | $ | (3,756,930,811 | ) | $ | (589,823,177 | ) | $ | (66,648,272 | ) | $ | (4,387,650,017 | ) | |||||||||
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, capital loss carryforwards for the Fund were as follows:
Unlimited | ||||||||||||
| Short-Term | Long-Term | Total | |||||||||
| $ | (517,080,634 | ) | $ | (72,706,166 | ) | $ | (589,786,800 | ) | ||||
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements, real estate investment trusts and CLO securities, foreign currency gains and losses, the “mark-to-market” of certain derivatives, losses deferred due to wash sales, dividends payable, and the “mark-to-market” of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of bond premium/discount amortization, income accruals on certain investments, the deferral of losses related to tax straddle investments, and the “mark-to-market” of certain investments
THE GUGGENHEIM FUNDS ANNUAL REPORT | 119 |
NOTES TO FINANCIAL STATEMENTS (continued) |
denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences.
At September 30, 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 | Tax | Tax | Net Tax | ||||||||||||
| $ | 24,704,923,890 | $ | — | $ | (3,755,714,041 | ) | $ | (3,755,714,041 | ) | |||||||
Note 8 – Securities Transactions
For the year ended September 30, 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 | ||||||
| $ | 4,896,497,469 | $ | 6,799,503,618 | |||||
For the year ended September 30, 2022, the cost of purchases and proceeds from sales of government securities were as follows:
| Purchases | Sales | ||||||
| $ | 7,836,575,704 | $ | 8,654,459,805 | |||||
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
120 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
is effected at the current market price to save costs, where permissible. For the year ended September 30, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| Purchases | Sales | Realized | |||||||||
| $ | 36,129,637 | $ | 110,031,553 | $ | (12,036,036 | ) | ||||||
Note 9 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of September 30, 2022, were as follows:
Borrower | Maturity Date | Face Amount | Value | ||||||
Athenahealth Group, Inc. | 02/15/29 | $ | 1,028,986 | $ | 109,072 | ||||
Aveanna Healthcare LLC | 07/17/28 | 113,208 | 23,207 | ||||||
Confluent Health LLC | 11/30/28 | 1,208,053 | 151,007 | ||||||
CTL Logistics | 08/10/42 | 692,113 | 161,870 | ||||||
Fontainbleau Vegas Unfunded | 09/30/25 | 26,250,000 | — | ||||||
Higginbotham Insurance Agency, Inc. | 11/25/26 | 9,734,723 | 241,421 | ||||||
Hillman Group, Inc. | 07/14/28 | 2,330,014 | 109,511 | ||||||
Icebox Holdco | 12/22/28 | 3,642,857 | 236,786 | ||||||
KKR Core Holding Company LLC | 07/15/31 | 16,760,000 | — | ||||||
Lightning A | 03/01/37 | 39,307,654 | — | ||||||
Service Logic Acquisition, Inc. | 10/29/27 | 162,963 | 10,389 | ||||||
Thunderbird A | 03/01/37 | 38,704,255 | — | ||||||
| $ | 139,934,826 | $ | 1,043,263 | ||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 121 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 10 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Restricted Securities | Acquisition | Cost | Value | |||||||||
ACRE Commercial Mortgage Ltd. | ||||||||||||
2021-FL4 B, 4.39% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 12/18/371 | 01/21/21 | $ | 3,100,000 | $ | 3,016,548 | |||||||
ACRE Commercial Mortgage Ltd. | ||||||||||||
2021-FL4 C, 4.74% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 12/18/371 | 01/21/21 | 3,100,000 | 3,003,293 | |||||||||
ACRES Commercial Realty Ltd. | ||||||||||||
2021-FL1 C, 4.94% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/15/361 | 05/07/21 | 13,092,000 | 12,210,925 | |||||||||
ACRES Commercial Realty Ltd. | ||||||||||||
2021-FL1 D, 5.59% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/361 | 05/07/21 | 11,750,000 | 10,860,901 | |||||||||
ACRES Commercial Realty Ltd. | ||||||||||||
2021-FL2 B, 5.19% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/371 | 12/07/21 | 10,100,000 | 9,745,937 | |||||||||
ACRES Commercial Realty Ltd. | ||||||||||||
2021-FL2 AS, 4.69% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 01/15/371 | 12/07/21 | 3,500,000 | 3,360,189 | |||||||||
Anchorage Credit Funding 4 Ltd. | ||||||||||||
2021-4A BR, 3.12% due 04/27/39 | 01/29/21 | 16,250,000 | 13,803,763 | |||||||||
Anchorage Credit Funding Ltd. | ||||||||||||
2021-13A B1, 3.23% due 07/27/39 | 05/25/21 | 6,345,000 | 5,391,954 | |||||||||
Anchorage Credit Funding Ltd. | ||||||||||||
2021-13A C2, 3.65% due 07/27/39 | 06/30/21 | 1,950,000 | 1,518,886 | |||||||||
Atlantic Marine Corporations Communities LLC | ||||||||||||
5.37% due 12/01/50 | 02/02/17 | 769,696 | 648,258 | |||||||||
Atlas Mara Ltd. | ||||||||||||
due 12/31/212 | 10/01/15 | 2,828,684 | 744,734 | |||||||||
BDS Ltd. | ||||||||||||
2020-FL5 B, 4.84% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 02/16/371 | 07/27/20 | 4,335,627 | 4,314,814 | |||||||||
BDS Ltd. | ||||||||||||
2021-FL9 D, 5.24% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 11/16/381 | 10/01/21 | 4,400,000 | 4,107,565 | |||||||||
BDS Ltd. | ||||||||||||
2020-FL5 AS, 4.39% (1 Month Term SOFR + 1.46%, Rate Floor: 1.35%) due 02/16/371 | 06/08/20 | 3,146,829 | 3,124,955 | |||||||||
BRSP Ltd. | ||||||||||||
2021-FL1 D, 5.69% (1 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 08/19/381 | 07/12/21 | 3,800,000 | 3,547,967 | |||||||||
122 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Restricted Securities | Acquisition | Cost | Value | |||||||||
BSPDF Issuer Ltd. | ||||||||||||
2021-FL1 C, 5.07% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/15/361 | 10/06/21 | $ | 15,300,000 | $ | 14,642,039 | |||||||
BSPDF Issuer Ltd. | ||||||||||||
2021-FL1 B, 4.62% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/361 | 10/06/21 | 6,500,000 | 6,223,468 | |||||||||
BSPDF Issuer Ltd. | ||||||||||||
2021-FL1 D, 5.57% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/15/361 | 10/06/21 | 3,500,000 | 3,242,901 | |||||||||
BSPRT Issuer Ltd. | ||||||||||||
2021-FL7 C, 5.12% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 12/15/381 | 12/09/21 | 7,250,000 | 6,805,442 | |||||||||
BSPRT Issuer Ltd. | ||||||||||||
2021-FL6 C, 4.87% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/361 | 03/15/21 | 5,550,000 | 5,140,629 | |||||||||
BSPRT Issuer Ltd. | ||||||||||||
2021-FL7 B, 4.87% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 12/15/381 | 12/09/21 | 4,875,000 | 4,625,197 | |||||||||
BXMT Ltd. | ||||||||||||
2020-FL3 B, 4.55% (30 Day Average SOFR + 2.26%, Rate Floor: 2.15%) due 11/15/371 | 10/20/20 | 10,600,000 | 10,283,971 | |||||||||
BXMT Ltd. | ||||||||||||
2020-FL2 C, 4.59% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/381 | 09/25/20 | 5,297,426 | 5,103,131 | |||||||||
BXMT Ltd. | ||||||||||||
2020-FL2 AS, 4.09% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/381 | 06/03/20 | 5,130,369 | 5,027,734 | |||||||||
Cascade Funding Mortgage Trust | ||||||||||||
2018-RM2 4.00% (WAC) due 10/25/681 | 11/02/18 | 8,898,237 | 8,592,161 | |||||||||
Cascade Funding Mortgage Trust | ||||||||||||
2019-RM3 2.80% (WAC) due 06/25/691 | 06/25/19 | 5,330,475 | 5,176,392 | |||||||||
Central Storage Safety Project Trust | ||||||||||||
4.82% due 02/01/38 | 02/02/18 | 19,273,603 | 15,963,378 | |||||||||
CHCP Ltd. | ||||||||||||
2021-FL1 B, 4.61% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/381 | 02/12/21 | 5,900,000 | 5,612,492 | |||||||||
CHCP Ltd. | ||||||||||||
2021-FL1 C, 5.06% (1 Month Term SOFR + 2.21%, Rate Floor: 2.10%) due 02/15/381 | 02/12/21 | 2,950,000 | 2,762,418 | |||||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 123 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Restricted Securities | Acquisition | Cost | Value | |||||||||
Copper River CLO Ltd. | ||||||||||||
2007-1A INC, due 01/20/213 | 05/09/14 | $ | — | $ | 630 | |||||||
FKRT | ||||||||||||
2.21% due 11/30/58 | 09/24/21 | 117,199,428 | 111,472,220 | |||||||||
FS Rialto | ||||||||||||
2021-FL3 B, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/361 | 10/21/21 | 8,000,000 | 7,506,552 | |||||||||
GPMT Ltd. | ||||||||||||
2019-FL2 B, 4.91% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 02/22/361 | 07/23/20 | 10,984,207 | 10,935,514 | |||||||||
Greystone Commercial Real Estate Notes | ||||||||||||
2021-FL3 C, 4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/391 | 07/29/21 | 12,000,000 | 11,006,670 | |||||||||
HERA Commercial Mortgage Ltd. | ||||||||||||
2021-FL1 A, 4.04% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/381 | 02/10/21 | 10,000,000 | 9,649,441 | |||||||||
HGI CRE CLO Ltd. | ||||||||||||
2021-FL2 B, 4.44% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/17/361 | 09/17/21 | 5,000,000 | 4,781,934 | |||||||||
HGI CRE CLO Ltd. | ||||||||||||
2021-FL2 C, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 09/17/361 | 09/17/21 | 1,000,000 | 938,110 | |||||||||
LoanCore Issuer Ltd. | ||||||||||||
2021-CRE6 B, 4.72% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 11/15/381 | 10/27/21 | 44,000,000 | 41,358,236 | |||||||||
LoanCore Issuer Ltd. | ||||||||||||
2019-CRE2 B, 4.52% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 05/15/361 | 06/17/20 | 11,453,502 | 11,311,988 | |||||||||
LoanCore Issuer Ltd. | ||||||||||||
2021-CRE4 D, 4.90% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/351 | 09/16/21 | 5,600,376 | 5,301,140 | |||||||||
LoanCore Issuer Ltd. | ||||||||||||
2019-CRE3 B, 4.42% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/15/341 | 07/27/20 | 4,351,219 | 4,332,473 | |||||||||
LSTAR Securities Investment Ltd. | ||||||||||||
2021-1 4.36% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261 | 02/04/21 | 40,441,148 | 37,522,794 | |||||||||
LSTAR Securities Investment Ltd. | ||||||||||||
2021-2 4.26% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261 | 03/17/21 | 24,706,520 | 24,107,728 | |||||||||
MF1 Multifamily Housing Mortgage Loan Trust | ||||||||||||
2021-FL6 D, 5.49% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/361 | 06/10/21 | 3,800,000 | 3,499,728 | |||||||||
STWD Ltd. | ||||||||||||
2019-FL1 B, 4.64% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 07/15/381 | 06/29/20 | 11,105,716 | 10,841,547 | |||||||||
124 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Restricted Securities | Acquisition | Cost | Value | |||||||||
STWD Ltd. | ||||||||||||
2019-FL1 C, 4.99% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 07/15/381 | 01/05/21 | $ | 8,787,169 | $ | 8,488,505 | |||||||
STWD Ltd. | ||||||||||||
2021-FL2 C, 5.04% (1 Month USD LIBOR + 2.10%, Rate Floor: 2.10%) due 04/18/381 | 04/19/21 | 2,820,000 | 2,690,464 | |||||||||
STWD Ltd. | ||||||||||||
2019-FL1 AS, 4.44% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 07/15/381 | 08/14/20 | 2,189,373 | 2,155,544 | |||||||||
Towd Point Revolving Trust | ||||||||||||
4.83% due 09/25/64 | 03/17/22 | 81,499,179 | 78,757,525 | |||||||||
TRTX Issuer Ltd. | ||||||||||||
2019-FL3 B, 4.79% (1 Month Term SOFR + 1.86%, Rate Floor: 1.75%) due 10/15/341 | 01/05/21 | 1,494,049 | 1,468,649 | |||||||||
TRTX Issuer Ltd. | ||||||||||||
2019-FL3 A, 4.19% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 10/15/341 | 07/23/20 | 434,278 | 436,493 | |||||||||
| $ | 601,689,110 | $ | 567,165,927 | |||||||||
1 | Variable rate security. Rate indicated is the rate effective at September 30, 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 September 30, 2022, at which time a new line of credit was entered into in the amount of $1,150,000,000. 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”, SOFR 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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 125 |
NOTES TO FINANCIAL STATEMENTS (concluded) |
participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.
Note 12 – Market Risks
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.
Note 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.
126 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of Guggenheim Total Return Bond Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Guggenheim Total Return Bond Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2022, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed
THE GUGGENHEIM FUNDS ANNUAL REPORT | 127 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded) |
other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2022
128 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.
The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See the qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
| Qualified | Dividend | Qualified | Qualified | ||||||||||||
| 2.58 | % | 2.13 | % | 86.71 | % | 100.00 | % | |||||||||
With respect to the taxable year ended September 30, 2022, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:
| From long-term | From long-term capital | ||||||
| $ | 142,331,194 | $ | — | |||||
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.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 129 |
OTHER INFORMATION (Unaudited)(continued) |
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.
130 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)
● Guggenheim Core Bond Fund
● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)
● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)
● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)
● Guggenheim Municipal Income Fund (“Municipal Income Fund”)
● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)
● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)
● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)
● Guggenheim World Equity Income Fund (“World Equity Income Fund”) | ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)
● Guggenheim Diversified Income Fund (“Diversified Income Fund”)
● Guggenheim High Yield Fund (“High Yield Fund”)
● Guggenheim Limited Duration Fund (“Limited Duration Fund”)
● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)
● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)
● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)
● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)
● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”) |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM
THE GUGGENHEIM FUNDS ANNUAL REPORT | 131 |
OTHER INFORMATION (Unaudited)(continued) |
are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI--Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
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OTHER INFORMATION (Unaudited)(continued) |
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund,
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Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).4 Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA Sub-Advisory Agreement at the Special Meeting. |
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compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.5 As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
5 | Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements. |
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Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s
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relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.
Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.
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Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee6 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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In addition, the Committee made the following observations:
Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.
Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.
Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The
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Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Total Return Bond Fund The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
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Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
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Sub-Advisory Agreements
Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.
Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that the GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.
Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
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Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES: | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee)
Since 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present).
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
Angela Brock-Kyle (1959) | Trustee | Since 2019 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Member, Board of Directors, Mutual Fund Directors Forum (2022-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); Vice Chairman, VettaFi (2022-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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2014 | Current: Of Counsel, Momkus LLP (2016-present).
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 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). |
146 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
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 ANNUAL REPORT | 147 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present).
Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 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). |
148 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE: | |||||
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee)
Since 2014 (Chief Legal Officer)
Since 2007 (Vice President) | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 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 ANNUAL REPORT | 149 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and 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) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since August 2022 | Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present).
Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-August 2022); 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). |
150 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - 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 ANNUAL REPORT | 151 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: 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. |
152 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our
THE GUGGENHEIM FUNDS ANNUAL REPORT | 153 |
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.
154 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 155 |
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.
156 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
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9.30.2022
Guggenheim Funds Annual Report
Guggenheim Ultra Short Duration Fund | ||
GuggenheimInvestments.com | USD-ANN-0922x0923 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
ULTRA SHORT DURATION FUND | 9 |
NOTES TO FINANCIAL STATEMENTS | 44 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 67 |
OTHER INFORMATION | 69 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 84 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 92 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 96 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2022 |
Dear Shareholder:
Guggenheim Partners Investment Management, LLC (the “Investment Manager”) is pleased to present the shareholder report for Guggenheim Ultra Short Duration Fund (the “Fund”) for the annual fiscal period ended September 30, 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, and then the Managers’ Commentary for the Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC
October 31, 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 ANNUAL REPORT |
| September 30, 2022 |
Ultra Short Duration Fund may not be suitable for all investors. The investments in fixed-income instruments are subject to the possibility that interest rates could rise, causing the value of the holdings and share price to decline. Investors in asset- backed securities, including collateralized loan obligations (CLOs) generally receive payments that are part interest and part return of principal. These payments may vary based on the rate loans are repaid. Some asset-backed securities may have structures that make their reaction to interest rates and other factors difficult to predict, making their prices volatile and they are subject to liquidity and valuation risk. CLOs bear similar risks to investing in loans directly. Investments in loans involve special types of risks, including credit, interest rate, counterparty, prepayment, liquidity, and valuation risks. Loans are often below investment grade, may be unrated, and typically offer a fixed or floating interest rate. High yield and unrated debt securities are at a greater risk of default than investment grade bonds and may be less liquid, which may increase volatility. The use of leverage, through borrowings or instruments such as derivatives, may cause the fund to be more volatile and riskier than if it had not been leveraged. The more a fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. Foreign securities carry unique or additional risks when compared to U.S. securities, including currency fluctuations, adverse political and economic developments, unreliable or untimely information, less liquidity and more volatility, limited legal recourse and higher transactional costs, all of which are enhanced when investing in emerging markets. In addition, investments in emerging markets are subject to risks associated with trading in smaller markets, lower volumes of trading, and being subject to lower levels of government regulation and less extensive accounting, financial and other reporting requirements. It is important to note that the Fund is not guaranteed by the U.S. government. Please read the prospectus for more detailed information regarding these and other risks.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2022 |
Equity and fixed income markets declined during the 12-month period ended September 30, 2022, amid continued market volatility, Federal Reserve policy, and global economic headwinds.
The Federal Reserve (the “Fed”) has abandoned talk of a soft or even “softish” landing, with the latest Summary of Economic Projections pointing to a 90-basis-point rise in the unemployment rate, an increase never before experienced without a recession. One basis point equals 0.01%. The seemingly endless string of upside inflation surprises has cemented the Fed’s view that the labor market needs to soften and economic activity needs to weaken further, which could require interest rates heading even higher.
Signs are indicating that the economy is heading in the direction the Fed wants. While gross domestic product (“GDP”) rebounded in the third quarter of 2022 to an inflation-adjusted 2.6%, private domestic demand (consumption and fixed investment) continued to slow, growing just 0.1%. The slowdown was led by a significant contraction in housing activity, historically the first sector to be hit by rising rates, cutting about 1.4 percentage points from GDP’s growth rate. The sharp tightening in financial conditions indicates a broader economic slowdown is ahead, which may help to loosen up the labor market. Signs of a labor market slowdown are already evident, with monthly job growth at less than half the pace of early 2022, wage growth cooling, and job openings falling sharply.
Inflation remains high, but a variety of factors point to a substantial moderation in 2023. Goods prices have stopped rising, and supply chain improvement and input and import costs suggest outright deflation could lie ahead. Services inflation is now the main price stability concern, but even the Bureau of Labor Statistics and several Fed speakers have acknowledged that the lagged data on home rental prices doesn’t reflect the sharp slowdown in market rents that has taken place (and that would start to show up in the data next year).
With the economy cooling and inflation likely to fall, it is fair to expect that rate hikes are nearly coming to an end, particularly with rising strains in financial markets and overseas. But having been repeatedly burned by expectations that inflation would cool and fearing a replay of the “stop-start” rate hike campaigns of the 1970s, the Fed will likely err on the side of overdoing it with rate hikes, viewing a recession as the “least bad” outcome for the economy.
For the 12-month period ended September 30, 2022, the S&P 500® Index* returned -15.47%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -25.13%. The return of the MSCI Emerging Markets Index* was -28.11%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -14.60% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -14.14%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.62% for the 12-month period.
4 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 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.
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 ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2022 and ending September 30, 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 ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense | Fund | Beginning | Ending | Expenses | |||||||||||||||
Table 1. Based on actual Fund return3 | ||||||||||||||||||||
A-Class | 0.59 | % | (1.04 | %) | $ | 1,000.00 | $ | 989.60 | $ | 2.94 | ||||||||||
Institutional Class | 0.34 | % | (1.02 | %) | 1,000.00 | 989.80 | 1.70 | |||||||||||||
| ||||||||||||||||||||
Table 2. Based on hypothetical 5% return (before expenses) | ||||||||||||||||||||
A-Class | 0.59 | % | 5.00 | % | $ | 1,000.00 | $ | 1,022.11 | $ | 2.99 | ||||||||||
Institutional Class | 0.34 | % | 5.00 | % | 1,000.00 | 1,023.36 | 1.72 | |||||||||||||
1 | This ratio represents annualized net expenses, which may include short interest expense. Excluding these expenses, the operating expense ratios for the Fund would be 0.58% and 0.33% for the A-Class and Institutional Class, respectively. Excludes expenses of the underlying funds in which the Fund Invests. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2022 to September 30, 2022. |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Ultra Short Duration Fund (“Fund”). Guggenheim Partners Advisors, LLC, an affiliate of GPIM, serves as the Fund’s sub-adviser (“GPA” or the “Sub-Adviser”). The Fund is managed by a team of seasoned professionals at GPIM and GPA. This team includes B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC; Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner of GPIM; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director and Portfolio Manager of GPIM; Kris Dorr, Managing Director and Portfolio Manager of GPIM; and Adam J. Bloch, Managing Director and Portfolio Manager of GPIM. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund returned -2.49%1, underperforming the Fund’s benchmark, the Bloomberg 1-3 Month U.S. Treasury Bill Index, which returned 0.64% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The Fund ended the Reporting Period down -2.49% while the benchmark finished up 0.64%. The dramatic rise in interest rates drove the majority of absolute performance, detracting roughly -2.6% from the Fund’s performance over the Reporting Period. The performance effect from the widening in credit spreads was also negative, detracting about 2.3% on an absolute basis. Over the Reporting Period, we saw spreads in Investment Grade Corporates, High Yield Corporates, and AAA-rated collateralized loan obligations (“CLOs”) widen by 75 basis points, 263 basis points, and 102 basis points, respectively. Carry positively contributed about 2.8% on an absolute basis and 1.8% on a relative basis to performance. Carry refers to the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant.
How did the Fund use derivatives during the Reporting Period?
During the Reporting Period, the Fund used interest rate swaps and foreign currency forwards to help manage duration positioning, foreign exchange risk, and generate incremental income. Over the Reporting Period, interest rate swaps contributed to performance. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the Reporting Period.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
MANAGERS’ COMMENTARY (Unaudited)(continued) | September 30, 2022 |
How was the Fund positioned at the end of the Reporting Period?
At 50% of net asset value (“NAV”), securitized credit continues to be the largest and growing asset class allocation within the Fund. As tail risks have risen across the market, we have increased our allocation to high grade pockets of securitized credit, picking credit quality and structural protection at attractive spreads versus comparably rated corporate credit. We believe a unique opportunity has emerged in securitized credit in that investors are now able to source investments at steep dollar price discounts given both the rise in interest rates and widening in credit spreads that have occurred year-to-date. We believe this dynamic presents a compelling total return opportunity as investors are now able to capture not only the traditional yield advantage offered by the sector in the form of higher coupons relative to similarly rated corporates, but also an accretion to par should rates fall or spreads tighten. In more normal market environments, the value proposition of much of securitized credit is typically limited to a carry advantage (i.e., the offered coupon) given the room for price appreciation above par ($100) is limited due to call structures. To this end, our buying efforts have been concentrated in the secondary market. In primary markets, we are finding opportunities in the Non-Agency Residential Mortgage-Backed Securities (“RMBS”) sector in senior tranches of Non-Qualified Mortgage deals, which price at dollar price discounts and offer yields and spreads comparable to BB-rated corporate credit.
Corporate credit totaled approximately 46% of the Fund’s NAV with roughly 41% Investment Grade rated and 5% High Yield. While fundamental credit metrics, such as leverage and interest coverage, generally still show improving or healthy trends across sectors we expect them to start gradually deteriorating over the next several quarters and for default rates to pick up. However, all spread asset classes have already materially re-priced lower this year due to tighter financial conditions. Credit spread valuations are broadly in their 70th – 80th widest percentiles versus long term historical ranges and absolute yields are at the highest levels since 2009. At current valuations the long-term value across credit assets is compelling although we expect volatility to remain elevated in the near-term. The Fund remains focused on high credit quality investment grade corporates at attractive absolute yields.
During the Reporting Period the Fund modestly increased its interest rate exposure amid the backup in rates to the higher end of its historical range (approximately 0.75 year). As the Federal Reserve continues to reinforce its commitment to moderating and stabilizing inflationary
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2022 |
pressures through decreasing the demand function, we expect long term growth and inflation expectations to fall. Consequently, this era of peak hawkishness in the market signals to us that rates are likely peaking, and that extending duration is prudent.
Though we expect to see continued volatility as markets grapple with the rapid tightening of financial conditions, at current valuations we see return distributions for fixed income skewed to the upside over the next year. With the Fund’s gross yield of nearly 6.0%, we believe the carry profile alone for such fixed income opportunities provides a significantly higher buffer to performance volatility from rates and spreads.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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) | |
Lake Shore MM CLO III LLC, 4.22% | 1.5% |
Athene Global Funding, 2.84% | 1.4% |
Carlisle Companies, Inc., 0.55% | 1.3% |
BX Commercial Mortgage Trust, 4.47% | 1.3% |
Swedbank AB, 0.85% | 1.2% |
JPMorgan Chase & Co., 0.70% | 1.2% |
F&G Global Funding, 0.90% | 1.2% |
Charles Schwab Corp., 2.78% | 1.2% |
Banco Santander S.A., 0.70% | 1.2% |
Illumina, Inc., 0.55% | 1.1% |
Top Ten Total | 12.6% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (continued) | September 30, 2022 |
Portfolio Composition by Quality Rating1 | |
Rating | % of Total |
Fixed Income Instruments | |
AAA | 26.2% |
AA | 9.8% |
A | 25.2% |
BBB | 22.3% |
BB | 2.1% |
B | 2.9% |
NR | 9.0% |
Other Instruments | 2.5% |
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. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | Since |
Institutional Class Shares | (2.34%) | 1.04% | 1.25% |
Bloomberg 1-3 Month U.S. Treasury Bill Index | 0.64% | 1.10% | 0.74% |
|
| 1 Year | Since |
A-Class Shares |
| (2.49%) | 0.39% |
Bloomberg 1-3 Month U.S. Treasury Bill Index |
| 0.64% | 0.94% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg 1-3 Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on Institutional Class shares only; performance for A-Class shares will vary due to differences in fee structure. Prior to November 30, 2018, performance for Institutional Class shares reflects the performance of the Guggenheim Strategy Fund I, which did not charge a management fee and was not publicly offered as a separate investment product. |
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Shares | Value | ||||||
MONEY MARKET FUNDS† - 2.5% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%1 | 13,989,659 | $ | 13,989,659 | |||||
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 2.15%1 | 4,599,523 | 4,599,523 | ||||||
Total Money Market Funds | ||||||||
(Cost $18,589,182) | 18,589,182 | |||||||
Face | ||||||||
CORPORATE BONDS†† - 42.6% | ||||||||
Financial - 18.1% | ||||||||
Athene Global Funding | ||||||||
2.84% (SOFR Compounded Index + 0.56%) due 08/19/24◊,2 | $ | 11,000,000 | 10,703,100 | |||||
Goldman Sachs Group, Inc. | ||||||||
3.00% due 03/15/24 | 4,200,000 | 4,081,041 | ||||||
2.92% (SOFR + 0.62%) due 12/06/23◊ | 2,800,000 | 2,779,413 | ||||||
2.93% (SOFR + 0.70%) due 01/24/25◊ | 2,600,000 | 2,553,331 | ||||||
Swedbank AB | ||||||||
0.85% due 03/18/242 | 9,550,000 | 8,969,340 | ||||||
JPMorgan Chase & Co. | ||||||||
0.70% due 03/16/243 | 9,100,000 | 8,907,954 | ||||||
F&G Global Funding | ||||||||
0.90% due 09/20/242 | 9,700,000 | 8,825,649 | ||||||
Charles Schwab Corp. | ||||||||
2.78% (SOFR Compounded Index + 0.50%) due 03/18/24◊ | 8,850,000 | 8,808,055 | ||||||
Banco Santander S.A. | ||||||||
0.70% due 06/30/243 | 9,000,000 | 8,642,408 | ||||||
Sumitomo Mitsui Trust Bank Ltd. | ||||||||
0.85% due 03/25/242 | 8,900,000 | 8,348,630 | ||||||
Ameriprise Financial, Inc. | ||||||||
3.00% due 04/02/25 | 6,450,000 | 6,158,784 | ||||||
Credit Suisse AG NY | ||||||||
2.68% (SOFR Compounded Index + 0.39%) due 02/02/24◊ | 5,250,000 | 5,150,679 | ||||||
American Express Co. | ||||||||
3.23% (SOFR + 0.93%) due 03/04/25◊ | 4,800,000 | 4,795,396 | ||||||
Macquarie Group Ltd. | ||||||||
1.20% due 10/14/252,3 | 5,250,000 | 4,779,141 | ||||||
Macquarie Bank Ltd. | ||||||||
3.23% due 03/21/252 | 4,650,000 | 4,432,960 | ||||||
First-Citizens Bank & Trust Co. | ||||||||
3.93% due 06/19/243 | 4,400,000 | 4,340,597 | ||||||
Fifth Third Bancorp | ||||||||
4.30% due 01/16/24 | 3,000,000 | 2,970,234 | ||||||
Citigroup, Inc. | ||||||||
2.92% (SOFR + 0.69%) due 01/25/26◊ | 2,550,000 | 2,485,654 | ||||||
Bank of Nova Scotia | ||||||||
3.25% (SOFR Compounded Index + 0.96%) due 03/11/24◊ | 2,400,000 | 2,394,002 | ||||||
Jackson National Life Global Funding | ||||||||
1.75% due 01/12/252 | 2,600,000 | 2,389,289 | ||||||
Morgan Stanley | ||||||||
3.22% (SOFR + 0.95%) due 02/18/26◊ | 2,400,000 | 2,357,136 | ||||||
Starwood Property Trust, Inc. | ||||||||
3.75% due 12/31/242 | 2,550,000 | 2,310,938 | ||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
FS KKR Capital Corp. | ||||||||
4.25% due 02/14/252 | $ | 2,450,000 | $ | 2,272,569 | ||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
2.88% due 10/15/262 | 2,650,000 | 2,173,000 | ||||||
American Equity Investment Life Holding Co. | ||||||||
5.00% due 06/15/27 | 2,150,000 | 2,039,723 | ||||||
Capital One Financial Corp. | ||||||||
4.99% due 07/24/263 | 1,900,000 | 1,857,534 | ||||||
Standard Chartered plc | ||||||||
1.32% due 10/14/232,3 | 1,350,000 | 1,348,651 | ||||||
GA Global Funding Trust | ||||||||
1.63% due 01/15/262 | 1,300,000 | 1,139,499 | ||||||
Jefferies Financial Group, Inc. | ||||||||
5.50% due 10/18/23 | 950,000 | 948,176 | ||||||
OneMain Finance Corp. | ||||||||
3.50% due 01/15/27 | 1,150,000 | 895,818 | ||||||
Brighthouse Financial Global Funding | ||||||||
2.88% (SOFR + 0.76%) due 04/12/24◊,2 | 900,000 | 891,421 | ||||||
Wells Fargo & Co. | ||||||||
4.13% due 08/15/23 | 800,000 | 796,219 | ||||||
Peachtree Corners Funding Trust | ||||||||
3.98% due 02/15/252 | 650,000 | 627,244 | ||||||
Nordea Bank Abp | ||||||||
3.98% (3 Month USD LIBOR + 0.94%) due 08/30/23◊,2 | 550,000 | 551,606 | ||||||
ING Groep N.V. | ||||||||
3.29% (3 Month USD LIBOR + 1.00%) due 10/02/23◊ | 500,000 | 500,496 | ||||||
First American Financial Corp. | ||||||||
4.60% due 11/15/24 | 500,000 | 491,968 | ||||||
Markel Corp. | ||||||||
3.63% due 03/30/23 | 450,000 | 447,905 | ||||||
Equitable Holdings, Inc. | ||||||||
3.90% due 04/20/23 | 422,000 | 419,780 | ||||||
M&T Bank Corp. | ||||||||
4.00% due 07/15/24 | 400,000 | 394,356 | ||||||
Fidelity & Guaranty Life Holdings, Inc. | ||||||||
5.50% due 05/01/252 | 400,000 | 392,870 | ||||||
Apollo Management Holdings, LP | ||||||||
4.00% due 05/30/242 | 350,000 | 340,202 | ||||||
Reliance Standard Life Global Funding II | ||||||||
3.85% due 09/19/232 | 200,000 | 197,146 | ||||||
Total Financial | 135,909,914 | |||||||
Industrial - 6.8% | ||||||||
Boeing Co. | ||||||||
1.43% due 02/04/24 | 6,550,000 | 6,222,220 | ||||||
1.95% due 02/01/24 | 6,000,000 | 5,756,603 | ||||||
Carlisle Companies, Inc. | ||||||||
0.55% due 09/01/23 | 10,000,000 | 9,597,496 | ||||||
Ryder System, Inc. | ||||||||
3.35% due 09/01/25 | 4,820,000 | 4,559,537 | ||||||
3.75% due 06/09/23 | 2,650,000 | 2,632,434 | ||||||
Graphic Packaging International LLC | ||||||||
0.82% due 04/15/242 | 6,700,000 | 6,222,221 | ||||||
IP Lending V Ltd. | ||||||||
5.13% due 04/02/26†††,2 | 4,700,000 | 4,448,673 | ||||||
Berry Global, Inc. | ||||||||
0.95% due 02/15/24 | 2,150,000 | 2,019,954 | ||||||
1.65% due 01/15/27 | 1,100,000 | 912,128 | ||||||
TD SYNNEX Corp. | ||||||||
1.25% due 08/09/24 | 2,400,000 | 2,206,771 | ||||||
Silgan Holdings, Inc. | ||||||||
1.40% due 04/01/262 | 2,350,000 | 2,006,055 | ||||||
Vontier Corp. | ||||||||
1.80% due 04/01/26 | 2,150,000 | 1,827,651 | ||||||
Jabil, Inc. | ||||||||
1.70% due 04/15/26 | 650,000 | 564,675 | ||||||
4.25% due 05/15/27 | 600,000 | 559,280 | ||||||
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Penske Truck Leasing Company LP / PTL Finance Corp. | ||||||||
2.70% due 11/01/242 | $ | 900,000 | $ | 847,665 | ||||
CNH Industrial N.V. | ||||||||
4.50% due 08/15/23 | 400,000 | 397,604 | ||||||
Weir Group plc | ||||||||
2.20% due 05/13/262 | 440,000 | 369,669 | ||||||
Total Industrial | 51,150,636 | |||||||
Consumer, Non-cyclical - 4.5% | ||||||||
Illumina, Inc. | ||||||||
0.55% due 03/23/23 | 8,800,000 | 8,617,393 | ||||||
Triton Container International Ltd. | ||||||||
0.80% due 08/01/232 | 3,100,000 | 2,957,992 | ||||||
2.05% due 04/15/262 | 2,200,000 | 1,867,352 | ||||||
1.15% due 06/07/242 | 1,700,000 | 1,548,311 | ||||||
Global Payments, Inc. | ||||||||
1.50% due 11/15/24 | 5,700,000 | 5,236,992 | ||||||
Element Fleet Management Corp. | ||||||||
1.60% due 04/06/242 | 4,900,000 | 4,611,159 | ||||||
AmerisourceBergen Corp. | ||||||||
0.74% due 03/15/23 | 3,828,000 | 3,766,222 | ||||||
CVS Health Corp. | ||||||||
4.00% due 12/05/23 | 1,600,000 | 1,582,926 | ||||||
Stryker Corp. | ||||||||
3.38% due 05/15/24 | 1,600,000 | 1,563,752 | ||||||
Spectrum Brands, Inc. | ||||||||
5.75% due 07/15/25 | 700,000 | 661,520 | ||||||
Block, Inc. | ||||||||
2.75% due 06/01/26 | 550,000 | 472,704 | ||||||
Laboratory Corp. of America Holdings | ||||||||
3.60% due 02/01/25 | 350,000 | 337,728 | ||||||
General Mills, Inc. | ||||||||
3.75% (3 Month USD LIBOR + 1.01%) due 10/17/23◊ | 200,000 | 201,011 | ||||||
Total Consumer, Non-cyclical | 33,425,062 | |||||||
Technology - 4.1% | ||||||||
Microchip Technology, Inc. | ||||||||
2.67% due 09/01/23 | 8,070,000 | 7,864,538 | ||||||
0.97% due 02/15/24 | 750,000 | 706,620 | ||||||
Fidelity National Information Services, Inc. | ||||||||
0.60% due 03/01/24 | 8,200,000 | 7,689,629 | ||||||
HCL America, Inc. | ||||||||
1.38% due 03/10/262 | 7,300,000 | 6,389,661 | ||||||
CDW LLC / CDW Finance Corp. | ||||||||
2.67% due 12/01/26 | 4,300,000 | 3,729,710 | ||||||
Infor, Inc. | ||||||||
1.45% due 07/15/232 | 2,600,000 | 2,508,584 | ||||||
Qorvo, Inc. | ||||||||
1.75% due 12/15/242 | 2,050,000 | 1,889,716 | ||||||
Total Technology | 30,778,458 | |||||||
Utilities - 3.6% | ||||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
3.25% (3 Month USD LIBOR + 0.27%) due 02/22/23◊ | 8,600,000 | 8,575,055 | ||||||
2.69% (SOFR Compounded Index + 0.40%) due 11/03/23◊ | 2,500,000 | 2,476,985 | ||||||
2.84% (SOFR Compounded Index + 0.54%) due 03/01/23◊ | 100,000 | 99,871 | ||||||
CenterPoint Energy Resources Corp. | ||||||||
3.60% (3 Month USD LIBOR + 0.50%) due 03/02/23◊ | 5,406,000 | 5,393,423 | ||||||
Alexander Funding Trust | ||||||||
1.84% due 11/15/232 | 4,300,000 | 4,023,626 | ||||||
ONE Gas, Inc. | ||||||||
1.10% due 03/11/24 | 3,576,000 | 3,423,339 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
OGE Energy Corp. | ||||||||
0.70% due 05/26/23 | $ | 1,500,000 | $ | 1,460,265 | ||||
Atmos Energy Corp. | ||||||||
3.57% (3 Month USD LIBOR + 0.38%) due 03/09/23◊ | 1,000,000 | 998,372 | ||||||
AES Corp. | ||||||||
3.30% due 07/15/252 | 300,000 | 276,639 | ||||||
NRG Energy, Inc. | ||||||||
3.75% due 06/15/242 | 275,000 | 264,313 | ||||||
Entergy Louisiana LLC | ||||||||
3.30% due 12/01/22 | 175,000 | 174,435 | ||||||
Total Utilities | 27,166,323 | |||||||
Communications - 2.6% | ||||||||
NTT Finance Corp. | ||||||||
0.58% due 03/01/242 | 8,950,000 | 8,437,470 | ||||||
FactSet Research Systems, Inc. | ||||||||
2.90% due 03/01/27 | 3,750,000 | 3,393,461 | ||||||
Rogers Communications, Inc. | ||||||||
2.95% due 03/15/252 | 2,400,000 | 2,284,727 | ||||||
T-Mobile USA, Inc. | ||||||||
2.63% due 04/15/26 | 1,600,000 | 1,449,952 | ||||||
2.25% due 02/15/26 | 600,000 | 536,868 | ||||||
Cogent Communications Group, Inc. | ||||||||
3.50% due 05/01/262 | 2,000,000 | 1,760,296 | ||||||
Paramount Global | ||||||||
4.75% due 05/15/25 | 982,000 | 965,441 | ||||||
Sprint Spectrum Company LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | ||||||||
4.74% due 03/20/252 | 562,500 | 554,394 | ||||||
Vodafone Group plc | ||||||||
4.13% due 05/30/25 | 175,000 | 171,699 | ||||||
Total Communications | 19,554,308 | |||||||
Energy - 1.5% | ||||||||
Enbridge, Inc. | ||||||||
2.69% (SOFR + 0.40%) due 02/17/23◊ | 4,900,000 | 4,889,190 | ||||||
Phillips 66 | ||||||||
0.90% due 02/15/24 | 3,400,000 | 3,219,428 | ||||||
Valero Energy Corp. | ||||||||
1.20% due 03/15/24 | 3,000,000 | 2,835,030 | ||||||
Total Energy | 10,943,648 | |||||||
Consumer, Cyclical - 1.2% | ||||||||
Warnermedia Holdings, Inc. | ||||||||
3.64% due 03/15/252 | 5,700,000 | 5,398,025 | ||||||
Hyatt Hotels Corp. | ||||||||
1.80% due 10/01/24 | 3,500,000 | 3,281,383 | ||||||
Total Consumer, Cyclical | 8,679,408 | |||||||
Basic Materials - 0.2% | ||||||||
Reliance Steel & Aluminum Co. | ||||||||
4.50% due 04/15/23 | 1,300,000 | 1,297,146 | ||||||
Anglo American Capital plc | ||||||||
5.38% due 04/01/252 | 450,000 | 446,524 | ||||||
Total Basic Materials | 1,743,670 | |||||||
Total Corporate Bonds | ||||||||
(Cost $337,733,005) | 319,351,427 | |||||||
ASSET-BACKED SECURITIES†† - 31.1% | ||||||||
Collateralized Loan Obligations - 24.7% | ||||||||
Lake Shore MM CLO III LLC | ||||||||
2021-2A A1R, 4.22% (3 Month USD LIBOR + 1.48%, Rate Floor: 1.48%) due 10/17/31◊,2 | 11,350,000 | 11,075,229 | ||||||
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
BXMT Ltd. | ||||||||
2020-FL2 A, 3.84% (1 Month Term SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,2 | $ | 5,000,000 | $ | 4,926,175 | ||||
2020-FL2 AS, 4.09% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38◊,2 | 2,550,000 | 2,465,523 | ||||||
2020-FL3 AS, 4.15% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 11/15/37◊,2 | 2,500,000 | 2,447,475 | ||||||
HERA Commercial Mortgage Ltd. | ||||||||
2021-FL1 AS, 4.29% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/18/38◊,2 | 5,000,000 | 4,777,169 | ||||||
2021-FL1 A, 4.04% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/38◊,2 | 4,250,000 | 4,101,012 | ||||||
ABPCI Direct Lending Fund CLO V Ltd. | ||||||||
2021-5A A1R, 4.21% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,2 | 8,250,000 | 8,068,582 | ||||||
Palmer Square Loan Funding Ltd. | ||||||||
2021-2A B, 4.38% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/29◊,2 | 4,500,000 | 4,131,819 | ||||||
2021-1A A1, 3.61% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 04/20/29◊,2 | 2,439,362 | 2,400,951 | ||||||
2022-1A A2, 3.93% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,2 | 1,000,000 | 939,887 | ||||||
CHCP Ltd. | ||||||||
2021-FL1 A, 4.01% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,2 | 6,494,949 | 6,371,165 | ||||||
CIFC Funding Ltd. | ||||||||
2018-3A AR, 3.61% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 04/19/29◊,2 | 6,272,111 | 6,158,012 | ||||||
Golub Capital Partners CLO 49M Ltd. | ||||||||
2021-49A AR, 4.24% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/26/33◊,2 | 6,250,000 | 5,973,149 | ||||||
LCM XXIV Ltd. | ||||||||
2021-24A AR, 3.69% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.98%) due 03/20/30◊,2 | 5,750,000 | 5,650,106 | ||||||
ABPCI Direct Lending Fund IX LLC | ||||||||
2021-9A A1R, 4.17% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/18/31◊,2 | 5,700,000 | 5,510,244 | ||||||
ABPCI Direct Lending Fund CLO VII, LP | ||||||||
2021-7A A1R, 4.20% (3 Month USD LIBOR + 1.43%, Rate Floor: 1.43%) due 10/20/31◊,2 | 5,500,000 | 5,252,940 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Shackleton CLO Ltd. | ||||||||
2017-8A A1R, 3.63% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/27◊,2 | $ | 5,276,411 | $ | 5,208,395 | ||||
FS Rialto | ||||||||
2021-FL3 B, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/36◊,2 | 5,500,000 | 5,160,755 | ||||||
LCCM Trust | ||||||||
2021-FL3 A, 4.27% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,2 | 4,100,000 | 3,911,055 | ||||||
2021-FL2 B, 4.72% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/13/38◊,2 | 1,000,000 | 953,546 | ||||||
Carlyle Global Market Strategies CLO Ltd. | ||||||||
2018-4A A1RR, 3.51% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 01/15/31◊,2 | 4,927,378 | 4,807,516 | ||||||
Cerberus Loan Funding XXXV, LP | ||||||||
2021-5A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/33◊,2 | 5,000,000 | 4,786,352 | ||||||
Golub Capital Partners CLO 54M, LP | ||||||||
2021-54A A, 4.36% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/33◊,2 | 4,750,000 | 4,546,694 | ||||||
Parliament CLO II Ltd. | ||||||||
2021-2A A, 2.83% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/20/32◊,2 | 4,500,000 | 4,409,305 | ||||||
Owl Rock CLO IV Ltd. | ||||||||
2021-4A A1R, 4.58% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,2 | 4,500,000 | 4,290,454 | ||||||
BRSP Ltd. | ||||||||
2021-FL1 B, 4.89% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/19/38◊,2 | 4,250,000 | 4,063,466 | ||||||
Golub Capital Partners CLO 16 Ltd. | ||||||||
2021-16A A1R2, 4.39% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,2 | 4,250,000 | 4,059,010 | ||||||
Madison Park Funding XLVIII Ltd. | ||||||||
2021-48A B, 4.19% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,2 | 4,000,000 | 3,770,305 | ||||||
Golub Capital Partners CLO 33M Ltd. | ||||||||
2021-33A AR2, 4.86% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,2 | 3,750,000 | 3,562,560 | ||||||
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
MidOcean Credit CLO VII | ||||||||
2020-7A A1R, 3.55% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/29◊,2 | $ | 3,250,281 | $ | 3,194,712 | ||||
Cerberus Loan Funding XXX, LP | ||||||||
2020-3A A, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,2 | 3,000,000 | 2,937,418 | ||||||
ABPCI Direct Lending Fund CLO II LLC | ||||||||
2021-1A A1R, 4.31% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,2 | 3,000,000 | 2,921,528 | ||||||
BDS Ltd. | ||||||||
2021-FL8 C, 4.54% (1 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/18/36◊,2 | 2,000,000 | 1,875,873 | ||||||
2021-FL8 D, 4.89% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/18/36◊,2 | 1,000,000 | 936,024 | ||||||
Woodmont Trust | ||||||||
2020-7A A1A, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,2 | 2,750,000 | 2,689,132 | ||||||
Cerberus 2112 Levered LLC, | ||||||||
4.83% (3 Month Term SOFR + 2.35%, Rate Floor: 2.35%) due 02/15/29◊,††† | 2,500,000 | 2,497,691 | ||||||
Cerberus Loan Funding XXXI, LP | ||||||||
2021-1A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,2 | 2,500,000 | 2,467,757 | ||||||
Cerberus Loan Funding XXXII, LP | ||||||||
2021-2A A, 4.13% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,2 | 2,500,000 | 2,401,940 | ||||||
Cerberus Loan Funding XXXVI, LP | ||||||||
2021-6A A, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,2 | 2,353,239 | 2,335,836 | ||||||
Venture XIV CLO Ltd. | ||||||||
2020-14A ARR, 4.07% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/29◊,2 | 2,264,009 | 2,224,819 | ||||||
ABPCI Direct Lending Fund CLO I LLC | ||||||||
2021-1A A1A2, 4.41% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,2 | 2,250,000 | 2,191,951 | ||||||
THL Credit Lake Shore MM CLO I Ltd. | ||||||||
2021-1A A1R, 4.21% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,2 | 2,250,000 | 2,184,972 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Cerberus Loan Funding XXXIII, LP | ||||||||
2021-3A A, 4.07% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/33◊,2 | $ | 2,250,000 | $ | 2,163,438 | ||||
LoanCore Issuer Ltd. | ||||||||
2019-CRE2 AS, 4.32% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,2 | 1,147,548 | 1,137,686 | ||||||
2018-CRE1 AS, 4.32% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/28◊,2 | 1,000,000 | 995,987 | ||||||
2018-CRE1 A, 3.95% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/28◊,2 | 24,453 | 24,436 | ||||||
Cerberus Loan Funding XXVI, LP | ||||||||
2021-1A AR, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,2 | 2,000,000 | 1,962,112 | ||||||
Fortress Credit Opportunities XI CLO Ltd. | ||||||||
2018-11A A1T, 3.81% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,2 | 1,800,000 | 1,765,038 | ||||||
Madison Park Funding LIII Ltd. | ||||||||
2022-53A B, 4.22% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,2 | 1,750,000 | 1,658,813 | ||||||
Wellfleet CLO Ltd. | ||||||||
2020-2A A1R, 3.77% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/29◊,2 | 1,591,354 | 1,560,779 | ||||||
Allegro CLO IX Ltd. | ||||||||
2018-3A A, 3.91% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/31◊,2 | 1,500,000 | 1,452,300 | ||||||
GoldenTree Loan Management US CLO 1 Ltd. | ||||||||
2021-9A X, 3.21% (3 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 01/20/33◊,2 | 1,285,714 | 1,278,716 | ||||||
BCC Middle Market CLO LLC | ||||||||
2021-1A A1R, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,2 | 1,250,000 | 1,200,717 | ||||||
STWD Ltd. | ||||||||
2021-FL2 B, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/18/38◊,2 | 1,000,000 | 957,254 | ||||||
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Greystone Commercial Real Estate Notes | ||||||||
2021-FL3 B, 4.47% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/15/39◊,2 | $ | 1,000,000 | $ | 918,237 | ||||
ACRE Commercial Mortgage Ltd. | ||||||||
2021-FL4 AS, 4.09% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/37◊,2 | 850,000 | 827,680 | ||||||
Cerberus Loan Funding XXXIV, LP | ||||||||
2021-4A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 08/13/33◊,2 | 755,665 | 753,752 | ||||||
Fortress Credit Opportunities VI CLO Ltd. | ||||||||
2018-6A A1TR, 3.79% (3 Month USD LIBOR + 1.36%, Rate Floor: 0.00%) due 07/10/30◊,2 | 250,000 | 248,892 | ||||||
2018-6A A2R, 4.03% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/10/30◊,2 | 250,000 | 244,131 | ||||||
Voya CLO Ltd. | ||||||||
2019-2A X, 3.36% (3 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 07/20/32◊,2 | 468,750 | 467,370 | ||||||
Golub Capital Partners CLO 17 Ltd. | ||||||||
2017-17A A1R, 4.43% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,2 | 350,000 | 344,812 | ||||||
Newfleet CLO Ltd. | ||||||||
2018-1A A1R, 3.66% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,2 | 326,584 | 323,883 | ||||||
Marathon CLO V Ltd. | ||||||||
2017-5A A1R, 3.85% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,2 | 251,543 | 250,801 | ||||||
California Street CLO IX, LP | ||||||||
2019-9A XR2, 3.44% (3 Month USD LIBOR + 0.70%, Rate Floor: 0.00%) due 07/16/32◊,2 | 250,000 | 249,862 | ||||||
OZLM XII Ltd. | ||||||||
2018-12A A1R, 3.83% (3 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 04/30/27◊,2 | 356 | 356 | ||||||
Total Collateralized Loan Obligations | 185,425,556 | |||||||
Whole Business - 1.8% | ||||||||
Applebee’s Funding LLC / IHOP Funding LLC | ||||||||
2019-1A, 4.19% due 06/05/492 | 5,346,000 | 5,065,271 | ||||||
Domino’s Pizza Master Issuer LLC | ||||||||
2018-1A, 4.33% due 07/25/482 | 4,321,625 | 3,980,567 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Taco Bell Funding LLC | ||||||||
2021-1A, 1.95% due 08/25/512 | $ | 3,225,625 | $ | 2,694,503 | ||||
Wingstop Funding LLC | ||||||||
2020-1A, 2.84% due 12/05/502 | 1,339,875 | 1,138,627 | ||||||
SERVPRO Master Issuer LLC | ||||||||
2019-1A, 3.88% due 10/25/492 | 972,500 | 859,457 | ||||||
Total Whole Business | 13,738,425 | |||||||
Financial - 1.5% | ||||||||
Madison Avenue Secured Funding Trust Series | ||||||||
2022-1, 4.60% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,2 | 4,075,000 | 4,075,000 | ||||||
Station Place Securitization Trust | ||||||||
2022-SP1, 4.60% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,2 | 4,075,000 | 4,075,000 | ||||||
Madison Avenue Secured Funding Trust | ||||||||
2021-1, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,2 | 2,850,000 | 2,850,000 | ||||||
Total Financial | 11,000,000 | |||||||
Transport-Container - 1.3% | ||||||||
Triton Container Finance VIII LLC | ||||||||
2021-1A, 1.86% due 03/20/462 | 6,325,625 | 5,309,376 | ||||||
CLI Funding VIII LLC | ||||||||
2021-1A, 1.64% due 02/18/462 | 2,728,685 | 2,336,016 | ||||||
Textainer Marine Containers VII Ltd. | ||||||||
2021-1A, 1.68% due 02/20/462 | 1,834,000 | 1,551,105 | ||||||
2020-1A, 2.73% due 08/21/452 | 696,809 | 628,841 | ||||||
Total Transport-Container | 9,825,338 | |||||||
Net Lease - 1.0% | ||||||||
Oak Street Investment Grade Net Lease Fund Series | ||||||||
2020-1A, 1.85% due 11/20/502 | 6,534,192 | 5,748,900 | ||||||
CF Hippolyta Issuer LLC | ||||||||
2021-1A, 1.98% due 03/15/612 | 2,170,137 | 1,824,789 | ||||||
Total Net Lease | 7,573,689 | |||||||
Transport-Aircraft - 0.6% | ||||||||
Raspro Trust | ||||||||
2005-1A, 3.64% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,2 | 4,727,726 | 4,383,870 | ||||||
Collateralized Debt Obligations - 0.2% | ||||||||
Anchorage Credit Funding 3 Ltd. | ||||||||
2021-3A A1R, 2.87% due 01/28/392 | 1,750,000 | 1,560,908 | ||||||
Total Asset-Backed Securities | ||||||||
(Cost $244,410,895) | 233,507,786 | |||||||
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 18.8% | ||||||||
Residential Mortgage-Backed Securities - 15.6% | ||||||||
CSMC Trust | ||||||||
2021-RPL1, 1.67% (WAC) due 09/27/60◊,2 | $ | 5,763,476 | $ | 5,412,812 | ||||
2021-RPL7, 1.93% (WAC) due 07/27/61◊,2 | 2,527,295 | 2,313,052 | ||||||
2020-RPL5, 3.02% (WAC) due 08/25/60◊,2 | 2,196,010 | 2,103,944 | ||||||
2021-RPL4, 1.80% (WAC) due 12/27/60◊,2 | 1,424,046 | 1,324,664 | ||||||
2020-NQM1, 1.21% due 05/25/652,4 | 1,334,158 | 1,219,750 | ||||||
BRAVO Residential Funding Trust | ||||||||
2021-C, 1.62% due 03/01/612,4 | 8,235,213 | 7,508,516 | ||||||
2022-R1, 3.13% due 01/29/702,4 | 2,924,548 | 2,583,559 | ||||||
2021-HE1, 3.13% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 01/25/70◊,2 | 1,181,079 | 1,167,414 | ||||||
2021-HE2, 3.13% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 11/25/69◊,2 | 529,721 | 523,303 | ||||||
PRPM LLC | ||||||||
2021-5, 1.79% due 06/25/262,4 | 3,792,423 | 3,410,850 | ||||||
2022-1, 3.72% due 02/25/272,4 | 3,603,723 | 3,354,379 | ||||||
2021-8, 1.74% (WAC) due 09/25/26◊,2 | 1,969,536 | 1,798,368 | ||||||
2021-RPL2, 2.24% (WAC) due 10/25/51◊,2 | 2,000,000 | 1,702,517 | ||||||
NYMT Loan Trust | ||||||||
2021-SP1, 1.67% due 08/25/612,4 | 8,376,461 | 7,559,672 | ||||||
2022-SP1, 5.25% due 07/25/622,4 | 1,959,300 | 1,877,000 | ||||||
Legacy Mortgage Asset Trust | ||||||||
2021-GS4, 1.65% due 11/25/602,4 | 3,518,135 | 3,215,686 | ||||||
2021-GS3, 1.75% due 07/25/612,4 | 3,406,808 | 3,102,745 | ||||||
2021-GS2, 1.75% due 04/25/612,4 | 1,601,233 | 1,485,582 | ||||||
2021-GS5, 2.25% due 07/25/672,4 | 1,072,680 | 982,692 | ||||||
Verus Securitization Trust | ||||||||
2021-5, 1.37% (WAC) due 09/25/66◊,2 | 2,334,158 | 1,887,189 | ||||||
2020-5, 1.22% due 05/25/652,4 | 2,027,165 | 1,872,261 | ||||||
2021-6, 1.89% (WAC) due 10/25/66◊,2 | 2,084,699 | 1,693,267 | ||||||
2021-4, 1.35% (WAC) due 07/25/66◊,2 | 1,117,927 | 891,958 | ||||||
2021-3, 1.44% (WAC) due 06/25/66◊,2 | 694,429 | 562,629 | ||||||
2019-4, 2.85% due 11/25/592,4 | 524,734 | 510,389 | ||||||
2020-1, 2.42% due 01/25/602,4 | 378,168 | 364,996 | ||||||
2019-4, 2.64% due 11/25/592,4 | 260,059 | 252,959 | ||||||
OSAT Trust | ||||||||
2021-RPL1, 2.12% due 05/25/652,4 | 7,233,892 | 6,710,237 | ||||||
New Residential Advance Receivables Trust Advance Receivables Backed Notes | ||||||||
2020-APT1, 1.04% due 12/16/522 | 4,000,000 | 3,957,293 | ||||||
2020-T1, 1.43% due 08/15/532 | 2,000,000 | 1,911,754 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
NRZ Advance Receivables Trust | ||||||||
2020-T2, 1.48% due 09/15/532 | $ | 4,150,000 | $ | 3,959,934 | ||||
2020-T3, 1.32% due 10/15/522 | 1,100,000 | 1,097,983 | ||||||
SPS Servicer Advance Receivables Trust II | ||||||||
2020-T1, 1.28% due 11/15/522 | 4,666,667 | 4,643,488 | ||||||
FKRT | ||||||||
2.21% due 11/30/58†††,5 | 4,550,000 | 4,327,633 | ||||||
CFMT LLC | ||||||||
2022-HB9, 3.25% (WAC) due 09/25/37◊,2 | 2,500,000 | 2,274,603 | ||||||
2021-HB5, 0.80% (WAC) due 02/25/31◊,2 | 1,892,011 | 1,819,484 | ||||||
Imperial Fund Mortgage Trust | ||||||||
2022-NQM2, 4.02% (WAC) due 03/25/67◊,2 | 4,496,611 | 4,038,913 | ||||||
Towd Point Revolving Trust | ||||||||
4.83% due 09/25/645 | 3,250,000 | 3,140,638 | ||||||
Structured Asset Securities Corporation Mortgage Loan Trust | ||||||||
2008-BC4, 3.71% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/37◊ | 2,327,610 | 2,260,151 | ||||||
LSTAR Securities Investment Ltd. | ||||||||
2021-1, 4.36% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,5 | 1,411,987 | 1,310,093 | ||||||
2021-2, 4.26% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,5 | 900,350 | 878,529 | ||||||
New Residential Mortgage Loan Trust | ||||||||
2019-1A, 3.50% (WAC) due 10/25/59◊,2 | 1,240,142 | 1,154,809 | ||||||
2018-2A, 3.50% (WAC) due 02/25/58◊,2 | 753,182 | 702,396 | ||||||
CSMC | ||||||||
2021-NQM8, 2.41% (WAC) due 10/25/66◊,2 | 1,745,892 | 1,460,482 | ||||||
Soundview Home Loan Trust | ||||||||
2006-OPT5, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 07/25/36◊ | 1,462,489 | 1,395,928 | ||||||
Angel Oak Mortgage Trust | ||||||||
2022-1, 3.29% (WAC) due 12/25/66◊,2 | 1,554,465 | 1,299,409 | ||||||
Towd Point Mortgage Trust | ||||||||
2018-2, 3.25% (WAC) due 03/25/58◊,2 | 532,451 | 516,407 | ||||||
2017-6, 2.75% (WAC) due 10/25/57◊,2 | 444,819 | 427,409 | ||||||
2017-5, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/57◊,2 | 178,373 | 176,406 | ||||||
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Morgan Stanley ABS Capital I Incorporated Trust | ||||||||
2006-NC1, 3.65% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/35◊ | $ | 890,800 | $ | 882,036 | ||||
Credit Suisse Mortgage Capital Certificates | ||||||||
2021-RPL9, 2.44% (WAC) due 02/25/61◊,2 | 905,605 | 827,983 | ||||||
CSMC Series | ||||||||
2014-2R, 2.46% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/46◊,2 | 803,164 | 792,362 | ||||||
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series | ||||||||
2005-W2, 3.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/35◊ | 733,658 | 718,399 | ||||||
Ellington Financial Mortgage Trust | ||||||||
2020-2, 1.49% (WAC) due 10/25/65◊,2 | 470,017 | 423,098 | ||||||
2020-2, 1.64% (WAC) due 10/25/65◊,2 | 270,747 | 248,454 | ||||||
Residential Mortgage Loan Trust | ||||||||
2020-1, 2.38% (WAC) due 01/26/60◊,2 | 618,314 | 581,922 | ||||||
Banc of America Funding Trust | ||||||||
2015-R2, 3.34% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/37◊,2 | 549,178 | 533,307 | ||||||
CIT Mortgage Loan Trust | ||||||||
2007-1, 4.43% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/37◊,2 | 529,231 | 525,309 | ||||||
SG Residential Mortgage Trust | ||||||||
2022-1, 3.68% (WAC) due 03/27/62◊,2 | 480,057 | 422,111 | ||||||
GS Mortgage-Backed Securities Trust | ||||||||
2020-NQM1, 1.38% (WAC) due 09/27/60◊,2 | 426,877 | 389,323 | ||||||
Cascade Funding Mortgage Trust | ||||||||
2019-RM3, 2.80% (WAC) due 06/25/69◊,5 | 183,811 | 178,496 | ||||||
Starwood Mortgage Residential Trust | ||||||||
2020-1, 2.28% (WAC) due 02/25/50◊,2 | 61,177 | 59,079 | ||||||
Total Residential Mortgage-Backed Securities | 116,728,010 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Commercial Mortgage-Backed Securities - 3.2% | ||||||||
BX Commercial Mortgage Trust | ||||||||
2021-VOLT, 4.47% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/36◊,2 | $ | 10,250,000 | $ | 9,515,185 | ||||
2022-LP2, 4.48% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,2 | 2,474,636 | 2,329,377 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
2021-NYAH, 4.36% (1 Month USD LIBOR + 1.54%, Rate Floor: 1.54%) due 06/15/38◊,2 | 2,700,000 | 2,557,880 | ||||||
Life Mortgage Trust | ||||||||
2021-BMR, 3.92% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 03/15/38◊,2 | 2,408,277 | 2,293,584 | ||||||
BXHPP Trust | ||||||||
2021-FILM, 3.92% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 08/15/36◊,2 | 1,500,000 | 1,385,578 | ||||||
Morgan Stanley Capital I Trust | ||||||||
2018-H3, 0.98% (WAC) due 07/15/51◊,6 | 43,415,870 | 1,383,599 | ||||||
MHP | ||||||||
2022-MHIL, 4.11% (1 Month Term SOFR + 1.26%, Rate Floor: 1.26%) due 01/15/27◊,2 | 1,457,488 | 1,373,571 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
2019-GC41, 1.17% (WAC) due 08/10/56◊,6 | 24,634,301 | 1,182,695 | ||||||
BENCHMARK Mortgage Trust | ||||||||
2019-B14, 0.91% (WAC) due 12/15/62◊,6 | 34,601,056 | 1,146,468 | ||||||
JPMDB Commercial Mortgage Securities Trust | ||||||||
2018-C8, 0.86% (WAC) due 06/15/51◊,6 | 25,707,183 | 522,218 | ||||||
KKR Industrial Portfolio Trust | ||||||||
2021-KDIP, 3.82% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/37◊,2 | 487,500 | 461,834 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2015-NXS1, 2.63% due 05/15/48 | 37,005 | 36,947 | ||||||
Total Commercial Mortgage-Backed Securities | 24,188,936 | |||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $151,921,085) | 140,916,946 | |||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 4.2% | ||||||||
Industrial - 1.5% | ||||||||
SkyMiles IP Ltd. | ||||||||
6.46% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 | 3,914,480 | 3,917,533 | ||||||
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
LTI Holdings, Inc. | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/08/25 | $ | 3,031,649 | $ | 2,798,212 | ||||
Mileage Plus Holdings LLC | ||||||||
8.78% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | 2,090,000 | 2,094,849 | ||||||
Hunter Douglas, Inc. | ||||||||
6.34% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/26/29 | 2,400,000 | 1,964,400 | ||||||
Filtration Group Corp. | ||||||||
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25 | 631,920 | 605,657 | ||||||
Total Industrial | 11,380,651 | |||||||
Technology - 1.1% | ||||||||
Emerald TopCo, Inc. (Press Ganey) | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 | 2,830,897 | 2,569,039 | ||||||
Dun & Bradstreet | ||||||||
6.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26 | 2,251,805 | 2,173,555 | ||||||
VT TopCo, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25 | 1,611,051 | 1,530,499 | ||||||
Boxer Parent Company, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25 | 1,226,242 | 1,159,387 | ||||||
Sabre GLBL, Inc. | ||||||||
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24 | 284,480 | 280,036 | ||||||
MACOM Technology Solutions Holdings, Inc. | ||||||||
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24 | 244,787 | 239,830 | ||||||
Total Technology | 7,952,346 | |||||||
Consumer, Cyclical - 0.5% | ||||||||
Power Solutions (Panther) | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26 | 2,882,944 | 2,720,779 | ||||||
IBC Capital Ltd. | ||||||||
6.69% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23 | 690,956 | 632,515 | ||||||
BCPE Empire Holdings, Inc. | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/11/26 | 98,729 | 93,627 | ||||||
Total Consumer, Cyclical | 3,446,921 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Communications - 0.3% | ||||||||
Internet Brands, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24 | $ | 2,266,047 | $ | 2,155,214 | ||||
Flight Bidco, Inc. | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25 | 197,429 | 184,350 | ||||||
Total Communications | 2,339,564 | |||||||
Consumer, Non-cyclical - 0.3% | ||||||||
Pearl Intermediate Parent LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25 | 1,382,188 | 1,273,341 | ||||||
KDC US Holdings, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/22/25 | 495,892 | 466,967 | ||||||
Outcomes Group Holdings, Inc. | ||||||||
7.17% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 10/24/25 | 296,661 | 283,807 | ||||||
Nomad Foods Lux SARL | ||||||||
5.16% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/15/24 | 293,780 | 278,112 | ||||||
Total Consumer, Non-cyclical | 2,302,227 | |||||||
Financial - 0.2% | ||||||||
USI, Inc. | ||||||||
6.42% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/16/24 | 1,024,622 | 995,594 | ||||||
HUB International Ltd. | ||||||||
5.77% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25 | 537,510 | 516,123 | ||||||
Alliant Holdings Intermediate LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 | 296,644 | 283,805 | ||||||
Total Financial | 1,795,522 | |||||||
Basic Materials - 0.2% | ||||||||
Illuminate Buyer LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27 | 1,706,226 | 1,542,002 | ||||||
Energy - 0.1% | ||||||||
ITT Holdings LLC | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28 | 487,080 | 463,944 | ||||||
Lotus Midstream, LLC | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/29/25 | 96,586 | 94,775 | ||||||
Total Energy | 558,719 | |||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $33,423,990) | 31,317,952 | |||||||
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
MUNICIPAL BONDS†† - 0.0% | ||||||||
Colorado - 0.0% | ||||||||
Dawson Ridge Metropolitan District No. 1 General Obligation Limited | ||||||||
due 10/01/227 | $ | 150,000 | $ | 150,000 | ||||
Florida - 0.0% | ||||||||
Capital Trust Agency, Inc. Revenue Bonds | ||||||||
4.38% due 12/01/22 | 10,000 | 10,416 | ||||||
Pennsylvania - 0.0% | ||||||||
City of Erie Pennsylvania General Obligation Unlimited | ||||||||
due 11/15/227 | 5,000 | 4,933 | ||||||
Total Municipal Bonds | ||||||||
(Cost $165,546) | 165,349 | |||||||
Total Investments - 99.2% | ||||||||
(Cost $786,243,703) | $ | 743,848,642 | ||||||
Other Assets & Liabilities, net - 0.8% | 6,270,696 | |||||||
Total Net Assets - 100.0% | $ | 750,119,338 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
Centrally Cleared Interest Rate Swap Agreements†† | |||||
Counterparty | Exchange | Floating | Floating | Fixed | Payment |
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 1.10% | Annually |
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.66% | Quarterly |
BofA Securities, Inc. | CME | Pay | U.S. Secured Overnight Financing Rate | 2.79% | Annually |
| Counterparty | Maturity Date | Notional Amount | Value | Upfront Premiums Paid | Unrealized Appreciation (Depreciation)** | |||||||||||||
| BofA Securities, Inc. | 01/10/25 | $ | 137,000,000 | $ | 9,013,239 | $ | 486 | $ | 9,012,753 | |||||||||
| BofA Securities, Inc. | 03/16/31 | 4,500,000 | 722,366 | 284 | 722,082 | |||||||||||||
| BofA Securities, Inc. | 07/18/27 | 12,000,000 | (541,536 | ) | 339 | (541,875 | ) | |||||||||||
| $ | 9,194,069 | $ | 1,109 | $ | 9,192,960 | |||||||||||||
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
Barclays Bank plc | ILS | Sell | 21,118,725 | 6,695,929 USD | 11/30/22 | $ | 733,982 | |||||||||||||||||
UBS AG | ILS | Sell | 11,365,313 | 3,599,039 USD | 11/30/22 | 390,540 | ||||||||||||||||||
Morgan Stanley Capital Services LLC | CZK | Sell | 30,060 | 1,167 USD | 12/02/22 | (25 | ) | |||||||||||||||||
JPMorgan Chase Bank, N.A. | ILS | Buy | 32,484,038 | 9,496,035 USD | 11/30/22 | (325,589 | ) | |||||||||||||||||
| $ | 798,908 | |||||||||||||||||||||||
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
** | 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 September 30, 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 September 30, 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 $472,369,539 (cost $502,424,401), or 63.0% 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 September 30, 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 $9,835,389 (cost $10,296,072), or 1.3% of total net assets — See Note 9. |
6 | Security is an interest-only strip. |
7 | Zero coupon rate security. |
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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
ULTRA SHORT DURATION FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Money Market Funds | $ | 18,589,182 | $ | — | $ | — | $ | 18,589,182 | ||||||||
Corporate Bonds | — | 314,902,754 | 4,448,673 | 319,351,427 | ||||||||||||
Asset-Backed Securities | — | 228,160,095 | 5,347,691 | 233,507,786 | ||||||||||||
Collateralized Mortgage Obligations | — | 136,589,313 | 4,327,633 | 140,916,946 | ||||||||||||
Senior Floating Rate Interests | — | 31,317,952 | — | 31,317,952 | ||||||||||||
Municipal Bonds | — | 165,349 | — | 165,349 | ||||||||||||
Interest Rate Swap Agreements** | — | 9,734,835 | — | 9,734,835 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 1,124,522 | — | 1,124,522 | ||||||||||||
Total Assets | $ | 18,589,182 | $ | 721,994,820 | $ | 14,123,997 | $ | 754,707,999 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Interest Rate Swap Agreements** | $ | — | $ | 541,875 | $ | — | $ | 541,875 | ||||||||
Forward Foreign Currency Exchange Contracts** | — | 325,614 | — | 325,614 | ||||||||||||
Unfunded Loan Commitments (Note 8) | — | — | 2,326 | 2,326 | ||||||||||||
Total Liabilities | $ | — | $ | 867,489 | $ | 2,326 | $ | 869,815 | ||||||||
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 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 | Valuation | Unobservable | Input | Weighted | |||||||||||||||
Assets: | ||||||||||||||||||||
Asset-Backed Securities | $ | 2,850,000 | Third Party Pricing | Broker Quote | — | — | ||||||||||||||
Asset-Backed Securities | 2,497,691 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||||||||||
Collateralized Mortgage Obligations | 4,327,633 | Model Price | Market Comparable Yield | 6.9% | — | |||||||||||||||
Corporate Bonds | 4,448,673 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||||||||||
Total Assets | $ | 14,123,997 |
|
|
|
| ||||||||||||||
Liabilities: | ||||||||||||||||||||
Unfunded Loan Commitments | $ | 2,326 | Model Price | Purchase Price | — | — | ||||||||||||||
Significant changes in a quote or market comparable 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 year ended September 30, 2022, the Fund had securities with a total value of $4,327,633 transfer into Level 3 from Level 2 due to a lack of observable inputs.
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 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 year ended September 30, 2022:
Assets | Liabilities | |||||||||||||||||||
Asset-Backed | Collateralized | Corporate Bonds | Total Assets | Unfunded Loan | ||||||||||||||||
Beginning Balance | $ | 23,200,000 | $ | 2,621,708 | $ | — | $ | 25,821,708 | $ | (689 | ) | |||||||||
Purchases/(Receipts) | 5,350,000 | — | 4,700,000 | 10,050,000 | — | |||||||||||||||
(Sales, maturities and paydowns)/Fundings | (23,200,000 | ) | (2,621,708 | ) | — | (25,821,708 | ) | 286 | ||||||||||||
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 | (2,309 | ) | 1,232 | (251,327 | ) | (252,404 | ) | (2,782 | ) | |||||||||||
Transfers into Level 3 | — | 4,327,633 | — | 4,327,633 | — | |||||||||||||||
Ending Balance | $ | 5,347,691 | $ | 4,327,633 | $ | 4,448,673 | $ | 14,123,997 | $ | (2,326 | ) | |||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022 | $ | (2,309 | ) | $ | — | $ | (251,327 | ) | $ | (253,636 | ) | $ | (2,782 | ) | ||||||
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 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 Rate | Future | Future | ||||||||||||
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 | ||||||||||
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62 | 8.25 | % | 07/01/25 | 9.25 | % | 07/01/26 | ||||||||||
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 | % | 02/25/25 | 7.72 | % | 02/25/26 | ||||||||||
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 | — | — | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
STATEMENT OF ASSETS AND LIABILITIES |
ULTRA SHORT DURATION FUND |
September 30, 2022
Assets: | ||||
Investments, at value (cost $786,243,703) | $ | 743,848,642 | ||
Segregated cash with broker | 2,283,743 | |||
Unamortized upfront premiums paid on interest rate swap agreements | 1,109 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 1,124,522 | |||
Prepaid expenses | 75,739 | |||
Receivables: | ||||
Interest | 3,151,678 | |||
Fund shares sold | 1,184,806 | |||
Securities sold | 838,198 | |||
Variation margin on interest rate swap agreements | 19,980 | |||
Foreign tax reclaims | 2,885 | |||
Total assets | 752,531,302 | |||
Liabilities: | ||||
Unfunded loan commitments, at value (Note 8) (commitment fees received $233) | 2,326 | |||
Overdraft due to custodian bank | 89,115 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 325,614 | |||
Payable for: | ||||
Fund shares redeemed | 1,459,235 | |||
Distributions to shareholders | 250,078 | |||
Management fees | 104,356 | |||
Transfer agent/maintenance fees | 34,332 | |||
Distribution and service fees | 28,029 | |||
Fund accounting/administration fees | 25,296 | |||
Trustees’ fees* | 2,022 | |||
Transfer agent and administrative fees | 986 | |||
Miscellaneous | 90,575 | |||
Total liabilities | 2,411,964 | |||
Net assets | $ | 750,119,338 | ||
Net assets consist of: | ||||
Paid in capital | $ | 784,197,456 | ||
Total distributable earnings (loss) | (34,078,118 | ) | ||
Net assets | $ | 750,119,338 | ||
A-Class: | ||||
Net assets | $ | 132,518,222 | ||
Capital shares outstanding | 13,811,063 | |||
Net asset value per share | $ | 9.60 | ||
Institutional Class: | ||||
Net assets | $ | 617,601,116 | ||
Capital shares outstanding | 64,378,917 | |||
Net asset value per share | $ | 9.59 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF OPERATIONS |
ULTRA SHORT DURATION FUND |
Year Ended September 30, 2022
Investment Income: | ||||
Dividends | $ | 173,937 | ||
Interest | 16,597,755 | |||
Total investment income | 16,771,692 | |||
Expenses: | ||||
Management fees | 2,364,218 | |||
Distribution and service fees: | ||||
A-Class | 435,172 | |||
Transfer agent and administrative fees | 12,001 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 100,939 | |||
Institutional Class | 161,901 | |||
Fund accounting/administration fees | 292,728 | |||
Professional fees | 107,873 | |||
Line of credit fees | 44,585 | |||
Custodian fees | 29,111 | |||
Trustees’ fees* | 24,621 | |||
Interest expense | 8,174 | |||
Miscellaneous | 214,955 | |||
Recoupment of previously waived fees: | ||||
A-Class | 19,117 | |||
Institutional Class | 81,840 | |||
Total expenses | 3,897,235 | |||
Less: Expenses reimbursed by Adviser: | ||||
A-Class | (94,509 | ) | ||
Institutional Class | (132,177 | ) | ||
Expenses waived by Adviser | (59,351 | ) | ||
Earnings credits applied | (1,724 | ) | ||
Total waived/reimbursed expenses | (287,761 | ) | ||
Net expenses | 3,609,474 | |||
Net investment income | 13,162,218 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (4,680,689 | ) | ||
Investments sold short | 31,733 | |||
Swap agreements | 2,383,211 | |||
Forward foreign currency exchange contracts | 397,533 | |||
Foreign currency transactions | 107,334 | |||
Net realized loss | (1,760,878 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (44,026,791 | ) | ||
Investments sold short | (33,836 | ) | ||
Swap agreements | 9,277,299 | |||
Forward foreign currency exchange contracts | 1,458,550 | |||
Foreign currency translations | (3,043 | ) | ||
Net change in unrealized appreciation (depreciation) | (33,327,821 | ) | ||
Net realized and unrealized loss | (35,088,699 | ) | ||
Net decrease in net assets resulting from operations | $ | (21,926,481 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
STATEMENTS OF CHANGES IN NET ASSETS |
ULTRA SHORT DURATION FUND |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 13,162,218 | $ | 7,157,344 | ||||
Net realized gain (loss) on investments | (1,760,878 | ) | 2,602,544 | |||||
Net change in unrealized appreciation (depreciation) on investments | (33,327,821 | ) | (3,059,827 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (21,926,481 | ) | 6,700,061 | |||||
Distributions to shareholders: | ||||||||
A-Class | (2,015,323 | ) | (731,059 | ) | ||||
Institutional Class | (10,986,326 | ) | (7,010,768 | ) | ||||
Total distributions to shareholders | (13,001,649 | ) | (7,741,827 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 104,918,065 | 214,903,865 | ||||||
Institutional Class | 393,611,176 | 1,202,493,738 | ||||||
Distributions reinvested | ||||||||
A-Class | 2,012,411 | 721,960 | ||||||
Institutional Class | 9,182,432 | 6,114,053 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (156,307,680 | ) | (90,021,904 | ) | ||||
Institutional Class | (638,832,395 | ) | (766,018,803 | ) | ||||
Net increase (decrease) from capital share transactions | (285,415,991 | ) | 568,192,909 | |||||
Net increase (decrease) in net assets | (320,344,121 | ) | 567,151,143 | |||||
Net assets: | ||||||||
Beginning of year | 1,070,463,459 | 503,312,316 | ||||||
End of year | $ | 750,119,338 | $ | 1,070,463,459 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 10,591,356 | 21,545,976 | ||||||
Institutional Class | 39,950,301 | 120,556,717 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 206,643 | 72,382 | ||||||
Institutional Class | 942,256 | 613,063 | ||||||
Shares redeemed | ||||||||
A-Class | (15,890,287 | ) | (9,023,382 | ) | ||||
Institutional Class | (65,020,480 | ) | (76,807,815 | ) | ||||
Net increase (decrease) in shares | (29,220,211 | ) | 56,956,941 | |||||
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS |
ULTRA SHORT DURATION FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year | Year | Year | Period | ||||||||||||
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)b | .12 | .06 | .12 | .17 | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.37 | ) | — | .03 | .02 | i | ||||||||||
Total from investment operations | (.25 | ) | .06 | .15 | .19 | |||||||||||
Less distributions from: | ||||||||||||||||
Net investment income | (.12 | ) | (.07 | ) | (.14 | ) | (.21 | ) | ||||||||
Net realized gains | — | — | — | (.01 | ) | |||||||||||
Total distributions | (.12 | ) | (.07 | ) | (.14 | ) | (.22 | ) | ||||||||
Net asset value, end of period | $ | 9.60 | $ | 9.97 | $ | 9.98 | $ | 9.97 | ||||||||
| ||||||||||||||||
Total Return | (2.49 | %) | 0.62 | % | 1.52 | % | 1.89 | % | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 132,518 | $ | 188,416 | $ | 62,956 | $ | 31,154 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | 1.18 | % | 0.63 | % | 1.20 | % | 2.05 | % | ||||||||
Total expensese | 0.65 | % | 0.63 | % | 0.65 | % | 0.61 | % | ||||||||
Net expensesf,g,h | 0.59 | % | 0.59 | % | 0.61 | % | 0.58 | % | ||||||||
Portfolio turnover rate | 24 | % | 122 | % | 129 | % | 55 | % | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
FINANCIAL HIGHLIGHTS (continued) |
ULTRA SHORT DURATION FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 9.97 | $ | 9.98 | $ | 9.96 | $ | 10.01 | $ | 10.04 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)b | .14 | .09 | .15 | .28 | .24 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.37 | ) | — | .04 | (.04 | ) | — | |||||||||||||
Total from investment operations | (.23 | ) | .09 | .19 | .24 | .24 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.15 | ) | (.10 | ) | (.17 | ) | (.28 | ) | (.27 | ) | ||||||||||
Net realized gains | — | — | — | (.01 | ) | — | c | |||||||||||||
Total distributions | (.15 | ) | (.10 | ) | (.17 | ) | (.29 | ) | (.27 | ) | ||||||||||
Net asset value, end of period | $ | 9.59 | $ | 9.97 | $ | 9.98 | $ | 9.96 | $ | 10.01 | ||||||||||
| ||||||||||||||||||||
Total Return | (2.34 | %) | 0.87 | % | 1.88 | % | 2.37 | % | 2.48 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 617,601 | $ | 882,047 | $ | 440,356 | $ | 423,414 | $ | 356,128 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.44 | % | 0.88 | % | 1.47 | % | 2.54 | % | 2.44 | % | ||||||||||
Total expensese | 0.36 | % | 0.34 | % | 0.38 | % | 0.30 | % | 0.07 | % | ||||||||||
Net expensesf,g,h | 0.34 | % | 0.34 | % | 0.36 | % | 0.29 | % | 0.07 | % | ||||||||||
Portfolio turnover rate | 24 | % | 122 | % | 129 | % | 55 | % | 74 | % | ||||||||||
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
ULTRA SHORT DURATION FUND |
a | Since commencement of operations: November 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Distributions from realized gains are less than $0.01 per share. |
d | The per share data for the years ended September 30, 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. |
e | Does not include expenses of the underlying funds in which the Fund invests. |
f | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
g | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | |
A-Class | 0.01% | 0.00%* | 0.00%* | — | |
Institutional Class | 0.01% | 0.01% | 0.00%* | 0.00%* |
* | Less than 0.01% |
h | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | |
A-Class | 0.58% | 0.58% | 0.58% | 0.58% | N/A | |
Institutional Class | 0.33% | 0.33% | 0.33% | 0.29% | 0.07% |
i | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss on investments for the period because of the sales and repurchases of Fund shares in relation to fluctuating market value of the investments of the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 8-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Ultra Short Duration Fund (the “Fund”), a diversified investment company. At September 30, 2022, A-Class and Institutional Class shares have been issued by the Fund.
Guggenheim Partners Investment Mangagement, LLC (“GPIM” or “the Adviser”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Partners Advisors, LLC (“GPA or the “Sub-Adviser”) assists GPIM in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies. 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.
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and/or other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and/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 Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly reviews 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 Adviser.
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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 Designee Procedures, the Adviser is 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 generally 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.
Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service.
Typically, loans are valued using information provided by an independent third party pricing service 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 Adviser.
The value of interest rate swap agreements entered into by the Fund is is valued on the basis of the last sale price on the primary exchange on which the swap is traded.
The values of other swap agreements entered into by the Fund are generally valued using an evaluated price provided by a third party pricing vendor.
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
(b) U.S. Government and Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedule of Investments reflect the effective rates paid at the time of purchase by the Fund. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
(c) Senior Floating Rate Interests and Loan Investments
Senior floating rate interests in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Fund’s Schedule of Investments.
The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or 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.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
NOTES TO FINANCIAL STATEMENTS (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 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.
48 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (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 September 30, 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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
NOTES TO FINANCIAL STATEMENTS (continued) |
the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received.
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 year ended September 30, 2022, are disclosed in the Statement of Operations.
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (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 3.08% at September 30, 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 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 GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
NOTES TO FINANCIAL STATEMENTS (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, 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 Fund’s use and volume of total return swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Long | Short | ||||||
Income | $ | — | $ | 8,543,578 | ||||
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Interest rate swaps involve the exchange by the Fund with another party for its respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.
The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Pay Floating Rate | Receive Floating Rate | ||||||
Duration, Hedge | $ | 3,000,000 | $ | 120,862,500 | ||||
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 | $ | 4,899,909 | $ | 33,923,267 | ||||
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 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 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2022:
Asset Derivative Investments Value | |||||||||||||
| Swaps | Forward | Total Value at |
| |||||||||
| $ | 9,734,835 | 1,124,522 | $ | 10,859,357 | |||||||||
Liability Derivative Investments Value | |||||||||||||
| Swaps | Forward | Total Value at |
| |||||||||
| $ | 541,875 | $ | 325,614 | $ | 867,489 | ||||||||
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statement of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 2022:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Interest rate swap contracts | Net realized gain (loss) on swap agreements |
Net change in unrealized appreciation (depreciation) on swap agreements | |
Currency forward contracts | Net realized gain (loss) on forward foreign currency exchange contracts |
| Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts |
The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the year ended September 30, 2022:
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations | |||||||||||||
| Swaps | Forward | Total | ||||||||||
| $ | 2,383,211 | $ | 397,533 | $ | 2,780,744 | ||||||||
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations | |||||||||||||
Swaps | Forward | Total | |||||||||||
| $ | 9,277,299 | $ | 1,458,550 | $ | 10,735,849 | ||||||||
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.
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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (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 | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 1,124,522 | $ | — | $ | 1,124,522 | $ | — | $ | — | $ | 1,124,522 | ||||||||||||
Gross Amounts Not Offset | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 325,614 | $ | — | $ | 325,614 | $ | — | $ | (325,589 | ) | $ | 25 | |||||||||||
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 57 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2022.
Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
BofA Securities, Inc. | Interest rate swap agreements | $ | 1,943,743 | $ | — | ||||
JPMorgan Chase Bank, N.A. | Forward foreign currency exchange contracts | 340,000 | — | ||||||
| $ | 2,283,743 | $ | — | ||||||
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 between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | unadjusted quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report. Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security. Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates. Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.
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.
Pursuant to an Investment Sub-Advisory Agreement between the Adviser and GPA, GPA, under the oversight supervision of the Board and the Adviser, assists the Adviser in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies. As compensation for its services, the Adviser pays GPA a fee, payable monthly, in an amount equal to 0.005% of the Fund’s average daily net assets.
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted a Distribution Plan related to the offering of A-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plan provides for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class shares.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 59 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
A-Class | 0.58 | % | 11/30/18 | 02/01/23 | ||||||||
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 September 30, 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:
2023 | 2024 | 2025 | Fund Total | |||||||||||||
A-Class | $ | — | $ | 38,223 | $ | 105,228 | $ | 143,451 | ||||||||
Institutional Class | — | 3,734 | 180,809 | 184,543 | ||||||||||||
For the year ended September 30, 2022, GI recouped $100,957 from the Fund.
For the year ended September 30, 2022, GFD retained sales charges of $144,088 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
At September 30, 2022, GI and its affiliates owned 30% of the outstanding shares of the Fund.
60 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 6 - Federal Income Tax Information
The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
The tax character of distributions paid during the year ended September 30, 2022 was as follows:
| Ordinary | Long-Term | Total | |||||||||
| $ | 13,001,649 | $ | — | $ | 13,001,649 | |||||||
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
| Ordinary | Long-Term | Total | |||||||||
| $ | 7,741,827 | $ | — | $ | 7,741,827 | |||||||
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:
| Undistributed | Undistributed | Net Unrealized | Accumulated | Other | Total | ||||||||||||||||||
| $ | 1,871,030 | $ | — | $ | (33,425,204 | ) | $ | (80,800 | ) | $ | (2,443,144 | ) | $ | (34,078,118 | ) | |||||||||
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NOTES TO FINANCIAL STATEMENTS (continued) |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, capital loss carryforwards for the Fund were as follows:
| Unlimited | |||||||||||
Short-Term | Long-Term | Total | ||||||||||
| $ | (80,800 | ) | $ | — | $ | (80,800 | ) | |||||
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements, foreign currency gains and losses, reclassification of distributions, and the “mark-to-market” of certain derivatives. Additional differences may result from the tax treatment of bond premium/discount amortization, dividends payable, and paydown reclasses. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences.
At September 30, 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 | Tax | Tax | Net Tax | ||||||||||||
| $ | 786,464,712 | $ | 10,204,809 | $ | (43,627,919 | ) | $ | (33,423,110 | ) | |||||||
Note 7 – Securities Transactions
For the year ended September 30, 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 | ||||||
| $ | 170,806,310 | $ | 277,065,268 | |||||
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NOTES TO FINANCIAL STATEMENTS (continued) |
The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| Purchases | Sales | Realized | |||||||||
| $ | 23,027,154 | $ | 20,059,782 | $ | (272,543 | ) | ||||||
Note 8 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of September 30, 2022, were as follows:
Borrower | Maturity Date | Face Amount | Value | |||||||||
VT TopCo, Inc. | 08/01/25 | $ | 46,518 | $ | 2,326 | |||||||
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NOTES TO FINANCIAL STATEMENTS (continued) |
Note 9 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Restricted | Acquisition | Cost | Value | ||||||
Cascade Funding Mortgage Trust | |||||||||
2019-RM3 2.80% (WAC) due 06/25/691 | 06/25/19 | $ | 183,790 | $ | 178,496 | ||||
FKRT | |||||||||
2.21% due 11/30/58 | 09/24/21 | 4,549,978 | 4,327,633 | ||||||
LSTAR Securities Investment Ltd. | |||||||||
2021-1 4.36% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261 | 02/04/21 | 1,411,987 | 1,310,093 | ||||||
LSTAR Securities Investment Ltd. | |||||||||
2021-2 4.26% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261 | 03/17/21 | 900,350 | 878,529 | ||||||
Towd Point Revolving Trust | |||||||||
4.83% due 09/25/64 | 03/17/22 | 3,249,967 | 3,140,638 | ||||||
| $ | 10,296,072 | $ | 9,835,389 | ||||||
1 | Variable rate security. Rate indicated is the rate effective at September 30, 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 September 30, 2022, at which time a new line of credit was entered into in the amount of $1,150,000,000. 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”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.
The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.
64 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
On September 30, 2022, the Trust along with other affiliated trusts, renewed the $1,150,000,000 line of credit with Citibank, N.A.
Note 11 – 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 effectiviely be restricted pending such decision.
For the year ended September 30, 2022, the Fund entered into reverse repurchase agreements as follows:
Fund | Number of | Balance at | Average | Average Interest Rate | ||||||||||||
Ultra Short Duration | 37 | $ | — | * | $ | 4,275,633 | 1.89 | % | ||||||||
* | As of September 30, 2022, there were no open reverse repurchase agreements. |
Note 12 – Market Risks
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.
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NOTES TO FINANCIAL STATEMENTS (concluded) |
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.
66 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of Guggenheim Ultra Short Duration Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Guggenheim Ultra Short Duration Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2022, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed other
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded) |
auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2022
68 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.
The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the Fund had the corresponding percentage qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003. See the qualified dividend income column in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the Fund had the corresponding percentage qualify as interest related dividends as permitted by IRC Section 871(k)(1). See the qualified interest income column in the table below.
| Qualified | Qualified | ||||||
| 1.33 | % | 93.17 | % | |||||
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
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OTHER INFORMATION (Unaudited)(continued) |
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
70 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)
● Guggenheim Core Bond Fund (“Core Bond Fund”)
● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)
● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)
● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)
● Guggenheim Municipal Income Fund (“Municipal Income Fund”)
● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)
● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)
● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)
● Guggenheim World Equity Income Fund (“World Equity Income Fund”) | ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)
● Guggenheim Diversified Income Fund (“Diversified Income Fund”)
● Guggenheim High Yield Fund (“High Yield Fund”)
● Guggenheim Limited Duration Fund (“Limited Duration Fund”)
● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)
● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)
● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)
● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)
● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”) |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners,
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OTHER INFORMATION (Unaudited)(continued) |
Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
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OTHER INFORMATION (Unaudited)(continued) |
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund,
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OTHER INFORMATION (Unaudited)(continued) |
Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).4 Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA. |
74 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.5 As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
5 | Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements. |
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OTHER INFORMATION (Unaudited)(continued) |
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s
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OTHER INFORMATION (Unaudited)(continued) |
relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.
Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.
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OTHER INFORMATION (Unaudited)(continued) |
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee6 (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(continued) |
In addition, the Committee made the following observations:
Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.
Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.
Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The
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OTHER INFORMATION (Unaudited)(continued) |
Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Total Return Bond Fund The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
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OTHER INFORMATION (Unaudited)(continued) |
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
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OTHER INFORMATION (Unaudited)(continued) |
Sub-Advisory Agreements
Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.
Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that the GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.
Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
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OTHER INFORMATION (Unaudited)(concluded) |
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 83 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014
Since 2020 | 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 Infra-structure 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); Member, Board of Directors, Mutual Fund Directors Forum (2022-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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
Thomas F. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019
Since 2020 | 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); Vice Chairman, VettaFi (2022-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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019
Since 2020 | 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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). | 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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE | |||||
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 Since 2014
Since 2007 | 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. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS |
| ||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and 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) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since August 2022 | Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present). |
Mark E. Mathiasen (1978) | Secretary | Since 2014 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2014 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2012-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - continued | |||
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present).
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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: 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 ANNUAL REPORT | 91 |
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 ANNUAL REPORT | 93 |
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.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 95 |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
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9.30.2022
Guggenheim Funds Annual Report
Guggenheim Limited Duration Fund | ||
GuggenheimInvestments.com | LD-ANN-0922x0923 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 4 |
LIMITED DURATION FUND | 6 |
NOTES TO FINANCIAL STATEMENTS | 40 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 58 |
OTHER INFORMATION | 59 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 68 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 74 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 77 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2022 |
Dear Shareholder:
Guggenheim Partners Investment Management, LLC (the “Investment Manager”) is pleased to present the shareholder report for Guggenheim Limited Duration Fund (the “Fund”) for the annual fiscal period ended September 30, 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, and then the Managers’ Commentary for the Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC,
Guggenheim Partners Investment Management, LLC,
October 31, 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.
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.
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2022 |
Equity and fixed income markets declined during the 12-month period ended September 30, 2022, amid continued market volatility, Federal Reserve policy, and global economic headwinds.
The Federal Reserve (the “Fed”) has abandoned talk of a soft or even “softish” landing, with the latest Summary of Economic Projections pointing to a 90-basis-point rise in the unemployment rate, an increase never before experienced without a recession. One basis point equals 0.01%. The seemingly endless string of upside inflation surprises has cemented the Fed’s view that the labor market needs to soften and economic activity needs to weaken further, which could require interest rates heading even higher.
Signs are indicating that the economy is heading in the direction the Fed wants. While gross domestic product (“GDP”) rebounded in the third quarter of 2022 to an inflation-adjusted 2.6%, private domestic demand (consumption and fixed investment) continued to slow, growing just 0.1%. The slowdown was led by a significant contraction in housing activity, historically the first sector to be hit by rising rates, cutting about 1.4 percentage points from GDP’s growth rate. The sharp tightening in financial conditions indicates a broader economic slowdown is ahead, which may help to loosen up the labor market. Signs of a labor market slowdown are already evident, with monthly job growth at less than half the pace of early 2022, wage growth cooling, and job openings falling sharply.
Inflation remains high, but a variety of factors point to a substantial moderation in 2023. Goods prices have stopped rising, and supply chain improvement and input and import costs suggest outright deflation could lie ahead. Services inflation is now the main price stability concern, but even the Bureau of Labor Statistics and several Fed speakers have acknowledged that the lagged data on home rental prices doesn’t reflect the sharp slowdown in market rents that has taken place (and that would start to show up in the data next year).
With the economy cooling and inflation likely to fall, it is fair to expect that rate hikes are nearly coming to an end, particularly with rising strains in financial markets and overseas. But having been repeatedly burned by expectations that inflation would cool and fearing a replay of the “stop-start” rate hike campaigns of the 1970s, the Fed will likely err on the side of overdoing it with rate hikes, viewing a recession as the “least bad” outcome for the economy.
For the 12-month period ended September 30, 2022, the S&P 500® Index* returned -15.47%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -25.13%. The return of the MSCI Emerging Markets Index* was -28.11%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -14.60% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -14.14%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.62% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
Bloomberg 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 ANNUAL REPORT | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
|
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2022 and ending September 30, 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.
4 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
Limited Duration Fund | |||||
A-Class | 0.74% | (3.75%) | $ 1,000.00 | $ 962.50 | $ 3.64 |
C-Class | 1.49% | (4.11%) | 1,000.00 | 958.90 | 7.32 |
P-Class | 0.74% | (3.74%) | 1,000.00 | 962.60 | 3.64 |
Institutional Class | 0.49% | (3.62%) | 1,000.00 | 963.80 | 2.41 |
R6-Class | 0.49% | (3.63%) | 1,000.00 | 963.70 | 2.41 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Limited Duration Fund | |||||
A-Class | 0.74% | 5.00% | $ 1,000.00 | $ 1,021.36 | $ 3.75 |
C-Class | 1.49% | 5.00% | 1,000.00 | 1,017.60 | 7.54 |
P-Class | 0.74% | 5.00% | 1,000.00 | 1,021.36 | 3.75 |
Institutional Class | 0.49% | 5.00% | 1,000.00 | 1,022.61 | 2.48 |
R6-Class | 0.49% | 5.00% | 1,000.00 | 1,022.61 | 2.48 |
1 | Annualized and excludes expenses of the underlying funds in which the Fund invests. This ratio represents net expenses, which may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratio for the Fund would be 0.73%, 1.48%, 0.73%, 0.48% and 0.48% for the A-Class, C-Class, P-Class, Institutional Class and R6-Class, respectively. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2022 to September 30, 2022. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 5 |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2022 |
To Our Shareholders
Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Limited Duration Fund (“Fund”). The Fund is managed by a team of seasoned professionals at GPIM, including Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).
For the Reporting Period, the Fund returned -6.42%1, underperforming the Fund’s benchmark, the Bloomberg U.S. Aggregate Bond 1-3 Year Index, which returned -5.11% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The Fund ended the Reporting Period down -6.42% while the benchmark finished down -5.11%. The dramatic rise in interest rates drove the majority of absolute performance, detracting roughly -5.8% from the Fund’s performance over the Reporting Period. The Fund’s performance from duration did however outperform the benchmark on a relative basis, largely as a result of the Fund’s underweight duration and curve positioning over the Reporting Period. On a relative basis, the performance from duration contributed approximately 1.6% to the Fund. The performance effect from the widening in credit spreads was negative on both an absolute and relative basis given the Fund’s overweight credit allocation versus the benchmark. Over the Reporting Period, we saw spreads in Investment Grade Corporates, High Yield Corporates, and AAA-rated Collateralized Loan Obligations (“CLOs”) widen by 75 basis points, 263 basis points, and 102 basis points, respectively. Carry positively contributed about 3.2% on an absolute basis and 0.6% on a relative basis to performance. Carry refers to the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant.
How did the Fund use derivatives during the Reporting Period?
During the Reporting Period, the Fund used interest rate futures, forwards, options, and swaps to help manage duration positioning, foreign exchange risk, credit exposure, and generate incremental income. Over the Reporting Period, interest rate curve caps detracted from performance while performance from interest rate swaps and swaptions was incrementally positive. Options on equities which functioned as hedges to the Fund’s credit positioning contributed to performance. Performance from credit default swaps and credit default swap index (CDX) positions were immaterial. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the Reporting Period.
How was the Fund positioned at the end of the Reporting Period?
At 49% of net asset value (“NAV”), securitized credit continues to be the largest and growing asset class allocation within the Fund. As tail risks have risen across the market, we have increased our allocation to high grade pockets of securitized credit, picking credit quality and structural protection at attractive spreads versus comparably rated corporate credit. We believe a unique opportunity has emerged in securitized credit in that investors are now able to source investments at steep dollar price discounts given both the rise in interest rates and widening in credit spreads that have occurred year-to-date. We believe this dynamic presents a compelling total return opportunity as investors are now able to capture not only the traditional yield advantage offered by the sector in the form of higher coupons relative to similarly rated corporates, but also an accretion to par should rates fall or spreads tighten. In more normal market environments, the value proposition of much of securitized credit is typically limited to a carry advantage (i.e., the offered coupon) given the room for price appreciation above par ($100) is limited due to call structures. To this end, our buying efforts have been concentrated in the secondary market in subsectors like AA-rated CLOs which as of the end of the Reporting Period traded around $94.98 // +273dm (using Palmer Square CLO Index as a proxy). In primary markets, we are finding opportunities in the Non-Agency Residential Mortgage-Backed Securities (“RMBS”) sector in senior tranches of Non-Qualified Mortgage deals which price at dollar price discounts and offer yields and spreads comparable to BB-rated corporate credit.
Corporate credit totaled approximately 43% of the Fund’s NAV with roughly 32% Investment Grade rated and 11% High Yield. While fundamental credit metrics, such as leverage and interest coverage, generally still show improving or healthy trends across sectors, we expect them to start gradually deteriorating over the next several quarters and for default rates to pick up. However, all spread asset classes have already materially re-priced lower this year due to tighter financial conditions. Credit spread valuations are broadly in their 70th – 80th widest percentiles versus long term historical ranges, and absolute yields are at the highest levels since 2009. At current valuations the long-term value across credit assets is compelling although we expect volatility to remain elevated in the near-term. The Fund has taken advantage of dislocations across corporate
6 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2022 |
credit by purchasing high credit quality investment grade corporates at attractive absolute yields, while simultaneously trimming lower grade categories, like leveraged loans, that have performed well on a relative basis this year and have greater risks going into a potential economic slowdown.
During the Reporting Period, the Fund increased its interest rate exposure amid the backup in rates, closing and underweight to the benchmark and moving to an overweight stance. As the Federal Reserve continues to reinforce its commitment to moderating and stabilizing inflationary pressures through decreasing the demand function, we expect long term growth and inflation expectations to fall. Consequently, this era of peak hawkishness in the market signals to us that rates are likely peaking, and that extending the Fund’s duration is prudent. The Fund initiated a position in Agency RMBS in part to add duration and also increase high grade spread exposure.
Though we expect to see continued volatility as markets grapple with the rapid tightening of financial conditions, at current valuations we see return distributions for fixed income skewed to the upside over the next year. With the Fund’s gross yield above 6.0%, we believe the carry profile alone for such Fixed Income opportunities provides a significantly higher buffer to performance volatility from rates and spreads.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration Fund, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by Guggenheim Investments. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the Reporting Period investment in the Short Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 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 |
Fixed Income Instruments | |
AAA | 15.5% |
AA | 7.1% |
A | 14.7% |
BBBB | 21.5% |
BB | 6.9% |
B | 3.2% |
CC | 0.2% |
CCC | 0.3% |
D | 0.3% |
NR2 | 16.5% |
Other Instruments | 13.8% |
Total Investments | 100.0% |
Inception Dates: | |
A-Class | December 16, 2013 |
C-Class | December 16, 2013 |
P-Class | May 1, 2015 |
Institutional Class | December 16, 2013 |
R6-Class | March 13, 2019 |
Ten Largest Holdings (% of Total Net Assets) | |
Uniform MBS 30 Year | 6.1% |
State of Israel, 1.25% | 1.4% |
Boeing Co., 4.88% | 1.1% |
THL Credit Lake Shore MM CLO I Ltd., 4.21% | 1.0% |
OSAT Trust, 2.12% | 0.9% |
F&G Global Funding, 0.90% | 0.8% |
Station Place Securitization Trust Series, 3.78% | 0.8% |
Golub Capital Partners CLO 49M Ltd., 4.24% | 0.8% |
Oak Street Investment Grade Net Lease Fund Series, 1.85% | 0.8% |
CHCP Ltd., 4.01% | 0.7% |
Top Ten Total | 14.4% |
“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. |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2022
| 1 Year | 5 Year | Since |
A-Class Shares | (6.42%) | 0.81% | 1.59% |
A-Class Shares with sales charge‡ | (8.55%) | 0.35% | 1.33% |
C-Class Shares | (7.13%) | 0.06% | 0.84% |
C-Class Shares with CDSC§ | (8.04%) | 0.06% | 0.84% |
Institutional Class Shares | (6.19%) | 1.07% | 1.86% |
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index | (5.11%) | 0.64% | 0.80% |
| 1 Year | 5 Year | Since |
P-Class Shares | (6.42%) | 0.81% | 1.40% |
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index | (5.11%) | 0.64% | 0.76% |
|
| 1 Year | Since |
R6-Class Shares |
| (6.19%) | 0.75% |
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index |
| (5.11%) | 0.29% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class shares and R6-Class shares will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 2.25%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS | September 30, 2022 |
LIMITED DURATION FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 0.4% | ||||||||
Financial - 0.4% | ||||||||
KKR Acquisition Holdings I Corp. — Class A*,1 | 820,948 | $ | 8,078,128 | |||||
RXR Acquisition Corp. — Class A*,1 | 182,429 | 1,795,101 | ||||||
TPG Pace Beneficial II Corp.*,1 | 148,829 | 1,455,533 | ||||||
MSD Acquisition Corp. — Class A*,1 | 136,871 | 1,355,023 | ||||||
AfterNext HealthTech Acquisition Corp. — Class A*,1 | 135,000 | 1,318,950 | ||||||
Conyers Park III Acquisition Corp. — Class A*,1 | 125,300 | 1,217,916 | ||||||
Waverley Capital Acquisition Corp. 1 — Class A*,††,1 | 99,000 | 967,230 | ||||||
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | 86,600 | 840,453 | ||||||
Blue Whale Acquisition Corp. I — Class A*,1 | 72,300 | 700,587 | ||||||
Colicity, Inc. — Class A*,1 | 46,809 | 460,601 | ||||||
Total Financial | 18,189,522 | |||||||
Communications - 0.0% | ||||||||
Figs, Inc. — Class A* | 43,750 | 360,938 | ||||||
Vacasa, Inc. — Class A* | 81,407 | 249,919 | ||||||
Total Communications | 610,857 | |||||||
Total Common Stocks | ||||||||
(Cost $19,829,329) | 18,800,379 | |||||||
PREFERRED STOCKS†† - 0.6% | ||||||||
Financial - 0.6% | ||||||||
Wells Fargo & Co. | ||||||||
3.90% | 12,100,000 | 10,232,062 | ||||||
Markel Corp. | ||||||||
6.00% | 7,210,000 | 6,997,899 | ||||||
MetLife, Inc. | ||||||||
3.85% | 4,620,000 | 4,133,029 | ||||||
Bank of New York Mellon Corp. | ||||||||
4.70% | 3,010,000 | 2,882,075 | ||||||
American Financial Group, Inc. | ||||||||
4.50% due 09/15/60 | 102,052 | 2,019,609 | ||||||
First Republic Bank | ||||||||
4.13% | 69,600 | 1,197,120 | ||||||
American Equity Investment Life Holding Co. | ||||||||
5.95% | 8,000 | 179,600 | ||||||
Total Financial | 27,641,394 | |||||||
Total Preferred Stocks | ||||||||
(Cost $31,414,621) | 27,641,394 | |||||||
WARRANTS† - 0.0% | ||||||||
KKR Acquisition Holdings I Corp. | ||||||||
Expiring 12/31/27*,1 | 205,236 | 24,628 | ||||||
Ginkgo Bioworks Holdings, Inc. | ||||||||
Expiring 08/01/26* | 19,663 | 14,157 | ||||||
AfterNext HealthTech Acquisition Corp. | ||||||||
Expiring 07/09/23*,1 | 45,000 | 7,200 | ||||||
Conyers Park III Acquisition Corp. | ||||||||
Expiring 08/12/28* | 41,766 | 5,964 | ||||||
Acropolis Infrastructure Acquisition Corp. | ||||||||
Expiring 03/31/26*,1 | 28,866 | 2,890 | ||||||
Blue Whale Acquisition Corp. | ||||||||
Expiring 07/09/23*,1 | 18,074 | 2,697 | ||||||
MSD Acquisition Corp. | ||||||||
Expiring 05/13/23*,1 | 27,374 | 2,338 | ||||||
Waverley Capital Acquisition Corp. | ||||||||
Expiring 04/30/27*,1 | 33,000 | 1,475 | ||||||
RXR Acquisition Corp. | ||||||||
Expiring 03/08/26*,1 | 36,482 | 916 | ||||||
Colicity, Inc. | ||||||||
Expiring 12/31/27*,1 | 9,360 | 449 | ||||||
Total Warrants | ||||||||
(Cost $521,210) | 62,714 | |||||||
MUTUAL FUNDS† - 1.9% | ||||||||
Guggenheim Strategy Fund III3 | 1,221,727 | 29,345,878 | ||||||
Guggenheim Strategy Fund II3 | 1,220,331 | 29,251,332 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class3 | 2,977,261 | 28,551,935 | ||||||
Total Mutual Funds | ||||||||
(Cost $89,293,673) | 87,149,145 | |||||||
MONEY MARKET FUND† - 1.9% | ||||||||
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 2.15%4 | 62,558,474 | 62,558,474 | ||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%4 | 23,311,421 | 23,311,421 | ||||||
Total Money Market Fund | ||||||||
(Cost $85,869,895) | 85,869,895 | |||||||
Face | ||||||||
CORPORATE BONDS†† - 35.9% | ||||||||
Financial - 15.3% | ||||||||
Athene Global Funding | ||||||||
2.81% (SOFR Compounded Index + 0.72%) due 01/07/25◊,5 | 30,000,000 | 29,044,430 | ||||||
1.99% due 08/19/285 | 15,850,000 | 12,502,478 | ||||||
1.73% due 10/02/265 | 14,700,000 | 12,470,925 | ||||||
F&G Global Funding | ||||||||
0.90% due 09/20/245 | 42,100,000 | 38,305,135 | ||||||
1.75% due 06/30/265 | 14,250,000 | 12,403,475 | ||||||
GA Global Funding Trust | ||||||||
1.95% due 09/15/285 | 16,600,000 | 13,453,411 | ||||||
2.25% due 01/06/275 | 15,000,000 | 12,990,883 | ||||||
1.63% due 01/15/265 | 7,300,000 | 6,398,724 | ||||||
Societe Generale S.A. | ||||||||
1.79% due 06/09/272,5 | 28,000,000 | 23,310,669 | ||||||
1.49% due 12/14/262,5 | 10,500,000 | 8,886,412 | ||||||
3.88% due 03/28/245 | 350,000 | 340,408 | ||||||
Macquarie Group Ltd. | ||||||||
1.63% due 09/23/272,5 | 16,750,000 | 14,018,941 | ||||||
1.20% due 10/14/252,5 | 13,550,000 | 12,334,735 | ||||||
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
American International Group, Inc. | ||||||||
2.50% due 06/30/25 | 26,630,000 | $ | 24,845,959 | |||||
Equitable Financial Life Global Funding | ||||||||
1.40% due 07/07/255 | 15,000,000 | 13,508,582 | ||||||
1.80% due 03/08/285 | 12,000,000 | 10,024,104 | ||||||
Cooperatieve Rabobank UA | ||||||||
1.34% due 06/24/262,5 | 15,000,000 | 13,293,492 | ||||||
1.98% due 12/15/272,5 | 10,000,000 | 8,518,075 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.75% due 05/07/255 | 20,850,000 | 19,454,640 | ||||||
Pershing Square Holdings Ltd. | ||||||||
3.25% due 10/01/31 | 25,600,000 | 19,164,928 | ||||||
Citizens Bank North America/Providence RI | ||||||||
2.25% due 04/28/25 | 20,000,000 | 18,559,081 | ||||||
BNP Paribas S.A. | ||||||||
1.32% due 01/13/272,5 | 21,350,000 | 18,196,044 | ||||||
2.22% due 06/09/262,5 | 400,000 | 359,657 | ||||||
Credit Agricole S.A. | ||||||||
1.25% due 01/26/272,5 | 17,950,000 | 15,281,703 | ||||||
1.91% due 06/16/262,5 | 400,000 | 357,626 | ||||||
First-Citizens Bank & Trust Co. | ||||||||
3.93% due 06/19/242 | 15,200,000 | 14,994,790 | ||||||
Bank of Nova Scotia | ||||||||
3.25% (SOFR Compounded Index + 0.96%) due 03/11/24◊ | 14,250,000 | 14,214,384 | ||||||
Ares Finance Company LLC | ||||||||
4.00% due 10/08/245 | 14,617,000 | 14,007,801 | ||||||
Jackson National Life Global Funding | ||||||||
1.75% due 01/12/255 | 15,000,000 | 13,784,357 | ||||||
FS KKR Capital Corp. | ||||||||
4.25% due 02/14/255 | 7,600,000 | 7,049,603 | ||||||
2.63% due 01/15/27 | 7,400,000 | 5,975,188 | ||||||
Regions Financial Corp. | ||||||||
2.25% due 05/18/25 | 14,000,000 | 12,966,298 | ||||||
JPMorgan Chase & Co. | ||||||||
1.47% due 09/22/272 | 15,000,000 | 12,684,083 | ||||||
CNO Global Funding | ||||||||
1.75% due 10/07/265 | 14,400,000 | 12,457,539 | ||||||
American Equity Investment Life Holding Co. | ||||||||
5.00% due 06/15/27 | 13,075,000 | 12,404,362 | ||||||
ABN AMRO Bank N.V. | ||||||||
1.54% due 06/16/272,5 | 14,000,000 | 11,831,760 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
2.88% due 10/15/265 | 10,800,000 | 8,856,000 | ||||||
3.88% due 03/01/315 | 4,100,000 | 2,971,901 | ||||||
Capital One Financial Corp. | ||||||||
4.99% due 07/24/262 | 11,700,000 | 11,438,499 | ||||||
Fidelity & Guaranty Life Holdings, Inc. | ||||||||
5.50% due 05/01/255 | 11,450,000 | 11,245,908 | ||||||
Deloitte LLP | ||||||||
4.35% due 11/17/23††† | 7,300,000 | 7,154,275 | ||||||
3.46% due 05/07/27††† | 4,500,000 | 4,018,058 | ||||||
American Tower Corp. | ||||||||
1.60% due 04/15/26 | 12,500,000 | 10,895,625 | ||||||
Standard Chartered plc | ||||||||
1.32% due 10/14/232,5 | 10,150,000 | 10,139,861 | ||||||
CBS Studio Center | ||||||||
5.29% (30 Day Average SOFR + 3.00%, Rate Floor: 3.00%) due 01/09/24◊,††† | 10,000,000 | 10,100,000 | ||||||
Iron Mountain, Inc. | ||||||||
4.88% due 09/15/275 | 7,360,000 | 6,591,874 | ||||||
5.00% due 07/15/285 | 3,085,000 | 2,653,100 | ||||||
Apollo Management Holdings, LP | ||||||||
4.40% due 05/27/265 | 7,115,000 | 6,748,426 | ||||||
4.00% due 05/30/245 | 1,846,000 | 1,794,325 | ||||||
Essex Portfolio, LP | ||||||||
1.70% due 03/01/28 | 10,450,000 | 8,472,610 | ||||||
ING Groep N.V. | ||||||||
1.73% due 04/01/272 | 9,800,000 | 8,401,572 | ||||||
BPCE S.A. | ||||||||
1.65% due 10/06/262,5 | 9,500,000 | 8,250,445 | ||||||
OneMain Finance Corp. | ||||||||
3.50% due 01/15/27 | 7,050,000 | 5,491,756 | ||||||
6.13% due 03/15/24 | 1,500,000 | 1,444,785 | ||||||
7.13% due 03/15/26 | 50,000 | 45,070 | ||||||
Morgan Stanley | ||||||||
2.19% due 04/28/262 | 7,000,000 | 6,420,937 | ||||||
3.77% due 01/24/292 | 361,000 | 324,662 | ||||||
Goldman Sachs Group, Inc. | ||||||||
3.50% due 04/01/25 | 6,900,000 | 6,590,900 | ||||||
First American Financial Corp. | ||||||||
4.00% due 05/15/30 | 7,860,000 | 6,553,485 | ||||||
KKR Group Finance Company VI LLC | ||||||||
3.75% due 07/01/295 | 7,040,000 | 6,265,593 | ||||||
SLM Corp. | ||||||||
3.13% due 11/02/26 | 7,500,000 | 6,208,275 | ||||||
SBA Communications Corp. | ||||||||
3.13% due 02/01/29 | 6,500,000 | 5,227,755 | ||||||
3.88% due 02/15/27 | 700,000 | 620,837 | ||||||
LPL Holdings, Inc. | ||||||||
4.00% due 03/15/295 | 4,450,000 | 3,816,676 | ||||||
4.63% due 11/15/275 | 2,000,000 | 1,813,295 | ||||||
Belrose Funding Trust | ||||||||
2.33% due 08/15/305 | 7,100,000 | 5,354,302 | ||||||
Brighthouse Financial Global Funding | ||||||||
2.88% (SOFR + 0.76%) due 04/12/24◊,5 | 5,050,000 | 5,001,861 | ||||||
Starwood Property Trust, Inc. | ||||||||
3.75% due 12/31/245 | 5,375,000 | 4,871,094 | ||||||
Horace Mann Educators Corp. | ||||||||
4.50% due 12/01/25 | 4,420,000 | 4,222,756 | ||||||
United Wholesale Mortgage LLC | ||||||||
5.50% due 11/15/255 | 3,880,000 | 3,384,446 | ||||||
5.50% due 04/15/295 | 275,000 | 209,000 | ||||||
Peachtree Corners Funding Trust | ||||||||
3.98% due 02/15/255 | 3,450,000 | 3,329,219 | ||||||
Jefferies Finance LLC / JFIN Company-Issuer Corp. | ||||||||
5.00% due 08/15/285 | 4,300,000 | 3,171,250 | ||||||
Fairfax Financial Holdings Ltd. | ||||||||
4.85% due 04/17/28 | 3,100,000 | 2,912,750 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Hunt Companies, Inc. | ||||||||
5.25% due 04/15/295 | 3,250,000 | $ | 2,488,622 | |||||
CNA Financial Corp. | ||||||||
4.50% due 03/01/26 | 2,298,000 | 2,245,678 | ||||||
Equitable Holdings, Inc. | ||||||||
4.35% due 04/20/28 | 1,700,000 | 1,592,482 | ||||||
Brookfield Finance, Inc. | ||||||||
3.90% due 01/25/28 | 1,400,000 | 1,260,541 | ||||||
CNO Financial Group, Inc. | ||||||||
5.25% due 05/30/25 | 1,200,000 | 1,184,469 | ||||||
Trinity Acquisition plc | ||||||||
4.40% due 03/15/26 | 881,000 | 845,708 | ||||||
Newmark Group, Inc. | ||||||||
6.13% due 11/15/23 | 775,000 | 763,466 | ||||||
Old Republic International Corp. | ||||||||
3.88% due 08/26/26 | 700,000 | 661,333 | ||||||
Equinix, Inc. | ||||||||
1.55% due 03/15/28 | 700,000 | 563,170 | ||||||
RenaissanceRe Finance, Inc. | ||||||||
3.70% due 04/01/25 | 400,000 | 384,817 | ||||||
Assurant, Inc. | ||||||||
4.90% due 03/27/28 | 350,000 | 331,985 | ||||||
Greystar Real Estate Partners LLC | ||||||||
5.75% due 12/01/255 | 350,000 | 328,510 | ||||||
PNC Bank North America | ||||||||
3.88% due 04/10/25 | 150,000 | 145,243 | ||||||
HUB International Ltd. | ||||||||
7.00% due 05/01/265 | 150,000 | 142,262 | ||||||
Total Financial | 706,346,151 | |||||||
Consumer, Non-cyclical - 4.6% | ||||||||
Triton Container International Ltd. | ||||||||
1.15% due 06/07/245 | 26,000,000 | 23,680,050 | ||||||
0.80% due 08/01/235 | 14,550,000 | 13,883,476 | ||||||
2.05% due 04/15/265 | 1,800,000 | 1,527,833 | ||||||
Global Payments, Inc. | ||||||||
2.90% due 05/15/30 | 31,000,000 | 24,710,874 | ||||||
Baxter International, Inc. | ||||||||
1.92% due 02/01/27 | 15,500,000 | 13,487,517 | ||||||
GXO Logistics, Inc. | ||||||||
1.65% due 07/15/26 | 15,000,000 | 12,256,359 | ||||||
CoStar Group, Inc. | ||||||||
2.80% due 07/15/305 | 15,280,000 | 12,061,145 | ||||||
Laboratory Corporation of America Holdings | ||||||||
1.55% due 06/01/26 | 13,700,000 | 12,002,964 | ||||||
BAT International Finance plc | ||||||||
1.67% due 03/25/26 | 13,000,000 | 11,237,390 | ||||||
Element Fleet Management Corp. | ||||||||
1.60% due 04/06/245 | 10,250,000 | 9,645,793 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||
3.38% due 08/31/275 | 11,200,000 | 9,409,904 | ||||||
PRA Health Sciences, Inc. | ||||||||
2.88% due 07/15/265 | 10,280,000 | 9,044,827 | ||||||
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc. | ||||||||
5.13% due 02/01/285 | 8,000,000 | 7,498,160 | ||||||
Altria Group, Inc. | ||||||||
2.35% due 05/06/25 | 8,000,000 | 7,409,500 | ||||||
Block, Inc. | ||||||||
2.75% due 06/01/26 | 7,600,000 | 6,531,908 | ||||||
Spectrum Brands, Inc. | ||||||||
5.75% due 07/15/25 | 6,780,000 | 6,407,293 | ||||||
BAT Capital Corp. | ||||||||
4.70% due 04/02/27 | 4,220,000 | 3,937,543 | ||||||
3.56% due 08/15/27 | 2,000,000 | 1,756,344 | ||||||
US Foods, Inc. | ||||||||
6.25% due 04/15/255 | 3,750,000 | 3,683,625 | ||||||
4.75% due 02/15/295 | 1,011,000 | 865,416 | ||||||
Royalty Pharma plc | ||||||||
1.75% due 09/02/27 | 5,150,000 | 4,255,864 | ||||||
Olympus Corp. | ||||||||
2.14% due 12/08/265 | 4,350,000 | 3,805,645 | ||||||
DaVita, Inc. | ||||||||
4.63% due 06/01/305 | 3,086,000 | 2,387,792 | ||||||
3.75% due 02/15/315 | 800,000 | 570,000 | ||||||
FAGE International S.A. / FAGE USA Dairy Industry, Inc. | ||||||||
5.63% due 08/15/265 | 2,828,000 | 2,510,925 | ||||||
Bunge Limited Finance Corp. | ||||||||
1.63% due 08/17/25 | 1,900,000 | 1,709,141 | ||||||
Hologic, Inc. | ||||||||
3.25% due 02/15/295 | 1,550,000 | 1,267,571 | ||||||
Molina Healthcare, Inc. | ||||||||
4.38% due 06/15/285 | 1,115,000 | 1,006,288 | ||||||
Avantor Funding, Inc. | ||||||||
4.63% due 07/15/285 | 1,050,000 | 934,442 | ||||||
IQVIA, Inc. | ||||||||
5.00% due 05/15/275 | 850,000 | 792,625 | ||||||
Service Corporation International | ||||||||
3.38% due 08/15/30 | 750,000 | 586,568 | ||||||
Sabre GLBL, Inc. | ||||||||
7.38% due 09/01/255 | 343,000 | 307,201 | ||||||
9.25% due 04/15/255 | 132,000 | 126,378 | ||||||
Edwards Lifesciences Corp. | ||||||||
4.30% due 06/15/28 | 420,000 | 392,632 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
3.05% due 01/15/26 | 400,000 | 373,559 | ||||||
Smithfield Foods, Inc. | ||||||||
4.25% due 02/01/275 | 350,000 | 324,181 | ||||||
Performance Food Group, Inc. | ||||||||
5.50% due 10/15/275 | 100,000 | 90,883 | ||||||
Total Consumer, Non-cyclical | 212,479,616 | |||||||
Industrial - 4.6% | ||||||||
Boeing Co. | ||||||||
4.88% due 05/01/25 | 50,500,000 | 49,273,297 | ||||||
2.20% due 02/04/26 | 10,450,000 | 9,273,722 | ||||||
CNH Industrial Capital LLC | ||||||||
1.45% due 07/15/26 | 12,500,000 | 10,807,625 | ||||||
1.88% due 01/15/26 | 4,960,000 | 4,416,479 | ||||||
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Berry Global, Inc. | ||||||||
1.57% due 01/15/26 | 11,750,000 | $ | 10,243,949 | |||||
4.88% due 07/15/265 | 5,165,000 | 4,855,100 | ||||||
Sealed Air Corp. | ||||||||
1.57% due 10/15/265 | 16,450,000 | 13,772,286 | ||||||
TD SYNNEX Corp. | ||||||||
1.25% due 08/09/24 | 14,400,000 | 13,240,626 | ||||||
Graphic Packaging International LLC | ||||||||
0.82% due 04/15/245 | 6,250,000 | 5,804,311 | ||||||
1.51% due 04/15/265 | 6,500,000 | 5,685,680 | ||||||
Silgan Holdings, Inc. | ||||||||
1.40% due 04/01/265 | 12,600,000 | 10,755,866 | ||||||
Ryder System, Inc. | ||||||||
3.35% due 09/01/25 | 10,600,000 | 10,027,197 | ||||||
Teledyne Technologies, Inc. | ||||||||
2.25% due 04/01/28 | 12,000,000 | 10,008,781 | ||||||
Vontier Corp. | ||||||||
1.80% due 04/01/26 | 7,050,000 | 5,992,993 | ||||||
2.40% due 04/01/28 | 3,900,000 | 3,045,393 | ||||||
Standard Industries, Inc. | ||||||||
5.00% due 02/15/275 | 6,000,000 | 5,309,460 | ||||||
4.75% due 01/15/285 | 2,671,000 | 2,256,675 | ||||||
Penske Truck Leasing Company LP / PTL Finance Corp. | ||||||||
4.45% due 01/29/265 | 5,475,000 | 5,230,656 | ||||||
4.20% due 04/01/275 | 500,000 | 465,069 | ||||||
Owens Corning | ||||||||
3.88% due 06/01/30 | 5,910,000 | 5,162,951 | ||||||
IP Lending V Ltd. 2022-5A, | ||||||||
5.13% due 04/02/26††† | 3,900,000 | 3,691,452 | ||||||
Jabil, Inc. | ||||||||
1.70% due 04/15/26 | 3,800,000 | 3,301,177 | ||||||
GATX Corp. | ||||||||
3.85% due 03/30/27 | 2,900,000 | 2,668,629 | ||||||
3.50% due 03/15/28 | 200,000 | 176,484 | ||||||
Hardwood Funding LLC | ||||||||
2.37% due 06/07/28††† | 3,000,000 | 2,563,168 | ||||||
Weir Group plc | ||||||||
2.20% due 05/13/265 | 2,610,000 | 2,192,811 | ||||||
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc | ||||||||
4.00% due 09/01/295 | 2,500,000 | 1,830,882 | ||||||
Huntington Ingalls Industries, Inc. | ||||||||
2.04% due 08/16/28 | 2,250,000 | 1,819,823 | ||||||
National Basketball Association | ||||||||
2.51% due 12/16/24††† | 1,900,000 | 1,785,148 | ||||||
Xylem, Inc. | ||||||||
1.95% due 01/30/28 | 2,050,000 | 1,730,165 | ||||||
Mueller Water Products, Inc. | ||||||||
4.00% due 06/15/295 | 1,300,000 | 1,106,313 | ||||||
Brundage-Bone Concrete Pumping Holdings, Inc. | ||||||||
6.00% due 02/01/265 | 800,000 | 722,000 | ||||||
JELD-WEN, Inc. | ||||||||
6.25% due 05/15/255 | 535,000 | 502,900 | ||||||
Amsted Industries, Inc. | ||||||||
4.63% due 05/15/305 | 350,000 | 289,695 | ||||||
5.63% due 07/01/275 | 100,000 | 92,000 | ||||||
Summit Materials LLC / Summit Materials Finance Corp. | ||||||||
5.25% due 01/15/295 | 275,000 | 242,000 | ||||||
6.50% due 03/15/275 | 75,000 | 71,830 | ||||||
Stericycle, Inc. | ||||||||
5.38% due 07/15/245 | 225,000 | 216,299 | ||||||
EnerSys | ||||||||
5.00% due 04/30/235 | 175,000 | 172,594 | ||||||
Harsco Corp. | ||||||||
5.75% due 07/31/275 | 125,000 | 78,099 | ||||||
Howmet Aerospace, Inc. | ||||||||
6.88% due 05/01/25 | 35,000 | 35,255 | ||||||
Total Industrial | 210,916,840 | |||||||
Technology - 3.0% | ||||||||
HCL America, Inc. | ||||||||
1.38% due 03/10/265 | 38,700,000 | 33,873,956 | ||||||
CDW LLC / CDW Finance Corp. | ||||||||
2.67% due 12/01/26 | 22,350,000 | 19,385,817 | ||||||
3.25% due 02/15/29 | 810,000 | 657,789 | ||||||
NetApp, Inc. | ||||||||
2.38% due 06/22/27 | 17,800,000 | 15,670,333 | ||||||
Fidelity National Information Services, Inc. | ||||||||
1.65% due 03/01/28 | 11,000,000 | 9,034,918 | ||||||
4.70% due 07/15/27 | 5,000,000 | 4,812,533 | ||||||
Infor, Inc. | ||||||||
1.75% due 07/15/255 | 13,800,000 | 12,414,114 | ||||||
1.45% due 07/15/235 | 1,100,000 | 1,061,324 | ||||||
Qorvo, Inc. | ||||||||
1.75% due 12/15/245 | 10,600,000 | 9,771,212 | ||||||
4.38% due 10/15/29 | 1,380,000 | 1,182,149 | ||||||
3.38% due 04/01/315 | 1,200,000 | 898,980 | ||||||
Oracle Corp. | ||||||||
2.30% due 03/25/28 | 12,400,000 | 10,356,049 | ||||||
Microchip Technology, Inc. | ||||||||
0.98% due 09/01/24 | 8,750,000 | 8,054,181 | ||||||
Broadcom, Inc. | ||||||||
4.93% due 05/15/375 | 3,157,000 | 2,603,172 | ||||||
4.15% due 11/15/30 | 2,329,000 | 2,015,854 | ||||||
NCR Corp. | ||||||||
5.13% due 04/15/295 | 2,850,000 | 2,137,557 | ||||||
Leidos, Inc. | ||||||||
3.63% due 05/15/25 | 1,950,000 | 1,868,800 | ||||||
Twilio, Inc. | ||||||||
3.63% due 03/15/29 | 994,000 | 802,655 | ||||||
MSCI, Inc. | ||||||||
3.88% due 02/15/315 | 379,000 | 319,104 | ||||||
Boxer Parent Company, Inc. | ||||||||
7.13% due 10/02/255 | 150,000 | 147,011 | ||||||
Total Technology | 137,067,508 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Communications - 2.7% | ||||||||
FactSet Research Systems, Inc. | ||||||||
2.90% due 03/01/27 | 22,750,000 | $ | 20,586,997 | |||||
Verizon Communications, Inc. | ||||||||
2.10% due 03/22/28 | 22,600,000 | 19,079,222 | ||||||
Paramount Global | ||||||||
4.95% due 01/15/31 | 13,560,000 | 11,961,727 | ||||||
4.75% due 05/15/25 | 3,590,000 | 3,529,465 | ||||||
T-Mobile USA, Inc. | ||||||||
2.25% due 02/15/26 | 8,150,000 | 7,292,457 | ||||||
3.50% due 04/15/25 | 5,000,000 | 4,778,825 | ||||||
2.63% due 04/15/26 | 3,200,000 | 2,899,904 | ||||||
Rogers Communications, Inc. | ||||||||
2.95% due 03/15/255 | 14,400,000 | 13,708,359 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
2.25% due 01/15/29 | 11,700,000 | 9,160,782 | ||||||
2.80% due 04/01/31 | 3,250,000 | 2,456,831 | ||||||
Cogent Communications Group, Inc. | ||||||||
3.50% due 05/01/265 | 12,350,000 | 10,869,827 | ||||||
Ziggo BV | ||||||||
4.88% due 01/15/305 | 10,800,000 | 8,532,000 | ||||||
Level 3 Financing, Inc. | ||||||||
3.63% due 01/15/295 | 5,070,000 | 3,753,777 | ||||||
4.25% due 07/01/285 | 2,277,000 | 1,776,083 | ||||||
3.75% due 07/15/295 | 2,150,000 | 1,574,875 | ||||||
Virgin Media Vendor Financing Notes IV DAC | ||||||||
5.00% due 07/15/285 | 1,850,000 | 1,496,187 | ||||||
Thomson Reuters Corp. | ||||||||
3.35% due 05/15/26 | 1,550,000 | 1,452,197 | ||||||
Fox Corp. | ||||||||
3.05% due 04/07/25 | 1,360,000 | 1,295,370 | ||||||
AMC Networks, Inc. | ||||||||
4.75% due 08/01/25 | 500,000 | 446,766 | ||||||
4.25% due 02/15/29 | 225,000 | 166,356 | ||||||
TripAdvisor, Inc. | ||||||||
7.00% due 07/15/255 | 400,000 | 388,884 | ||||||
CSC Holdings LLC | ||||||||
4.13% due 12/01/305 | 250,000 | 186,800 | ||||||
3.38% due 02/15/315 | 225,000 | 158,625 | ||||||
Sirius XM Radio, Inc. | ||||||||
5.50% due 07/01/295 | 75,000 | 67,461 | ||||||
Match Group Holdings II LLC | ||||||||
4.63% due 06/01/285 | 75,000 | 65,531 | ||||||
Total Communications | 127,685,308 | |||||||
Consumer, Cyclical - 2.5% | ||||||||
Warnermedia Holdings, Inc. | ||||||||
3.64% due 03/15/255 | 33,600,000 | 31,819,936 | ||||||
Hyatt Hotels Corp. | ||||||||
1.80% due 10/01/24 | 12,300,000 | 11,531,719 | ||||||
5.63% due 04/23/25 | 7,220,000 | 7,139,181 | ||||||
5.75% due 04/23/30 | 4,320,000 | 4,187,569 | ||||||
Marriott International, Inc. | ||||||||
5.75% due 05/01/25 | 6,610,000 | 6,675,219 | ||||||
4.63% due 06/15/30 | 7,320,000 | 6,614,939 | ||||||
Alt-2 Structured Trust | ||||||||
2.95% due 05/14/31††† | 11,130,895 | 9,868,469 | ||||||
Delta Air Lines Inc. / SkyMiles IP Ltd. | ||||||||
4.50% due 10/20/255 | 10,000,000 | 9,706,567 | ||||||
Choice Hotels International, Inc. | ||||||||
3.70% due 01/15/31 | 7,350,000 | 6,109,672 | ||||||
Hilton Domestic Operating Company, Inc. | ||||||||
3.63% due 02/15/325 | 5,400,000 | 4,135,853 | ||||||
4.00% due 05/01/315 | 300,000 | 242,499 | ||||||
Delta Air Lines, Inc. | ||||||||
7.00% due 05/01/255 | 4,300,000 | 4,327,744 | ||||||
American Airlines Class AA Pass Through Trust | ||||||||
3.35% due 10/15/29 | 2,742,289 | 2,391,547 | ||||||
3.00% due 10/15/28 | 1,680,272 | 1,450,560 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | ||||||||
6.50% due 06/20/275 | 3,182,500 | 3,114,967 | ||||||
Newell Brands, Inc. | ||||||||
6.38% due 09/15/27 | 3,100,000 | 3,069,713 | ||||||
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. | ||||||||
5.88% due 03/01/27 | 2,300,000 | 2,169,822 | ||||||
Air Canada | ||||||||
3.88% due 08/15/265 | 2,350,000 | 2,018,063 | ||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||
5.75% due 04/15/255 | 700,000 | 693,527 | ||||||
Tempur Sealy International, Inc. | ||||||||
4.00% due 04/15/295 | 375,000 | 295,509 | ||||||
Aramark Services, Inc. | ||||||||
5.00% due 02/01/285 | 275,000 | 244,945 | ||||||
Total Consumer, Cyclical | 117,808,020 | |||||||
Utilities - 1.3% | ||||||||
Alexander Funding Trust | ||||||||
1.84% due 11/15/235 | 19,050,000 | 17,825,598 | ||||||
CenterPoint Energy, Inc. | ||||||||
2.93% (SOFR Compounded Index + 0.65%) due 05/13/24◊ | 10,400,000 | 10,255,690 | ||||||
OGE Energy Corp. | ||||||||
0.70% due 05/26/23 | 10,200,000 | 9,929,802 | ||||||
Entergy Corp. | ||||||||
1.90% due 06/15/28 | 9,100,000 | 7,466,522 | ||||||
Terraform Global Operating LLC | ||||||||
6.13% due 03/01/265 | 6,170,000 | 5,784,375 | ||||||
Southern Co. | ||||||||
1.75% due 03/15/28 | 5,000,000 | 4,084,076 | ||||||
AES Corp. | ||||||||
3.30% due 07/15/255 | 4,250,000 | 3,919,052 | ||||||
Puget Energy, Inc. | ||||||||
2.38% due 06/15/28 | 3,600,000 | 2,995,296 | ||||||
Total Utilities | 62,260,411 | |||||||
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Basic Materials - 1.2% | ||||||||
Anglo American Capital plc | ||||||||
2.25% due 03/17/285 | 14,000,000 | $ | 11,498,697 | |||||
2.63% due 09/10/305 | 9,370,000 | 7,212,431 | ||||||
4.00% due 09/11/275 | 750,000 | 685,926 | ||||||
5.38% due 04/01/255 | 600,000 | 595,365 | ||||||
Valvoline, Inc. | ||||||||
3.63% due 06/15/315 | 11,161,000 | 8,219,956 | ||||||
4.25% due 02/15/305 | 125,000 | 118,125 | ||||||
Kaiser Aluminum Corp. | ||||||||
4.63% due 03/01/285 | 9,643,000 | 7,867,906 | ||||||
Arconic Corp. | ||||||||
6.00% due 05/15/255 | 7,811,000 | 7,518,601 | ||||||
Nucor Corp. | ||||||||
2.00% due 06/01/25 | 5,000,000 | 4,615,001 | ||||||
Alcoa Nederland Holding BV | ||||||||
5.50% due 12/15/275 | 3,675,000 | 3,427,489 | ||||||
Carpenter Technology Corp. | ||||||||
6.38% due 07/15/28 | 1,145,000 | 1,061,873 | ||||||
Steel Dynamics, Inc. | ||||||||
2.40% due 06/15/25 | 1,050,000 | 970,750 | ||||||
ArcelorMittal S.A. | ||||||||
4.55% due 03/11/26 | 400,000 | 382,854 | ||||||
Minerals Technologies, Inc. | ||||||||
5.00% due 07/01/285 | 140,000 | 121,846 | ||||||
Total Basic Materials | 54,296,820 | |||||||
Energy - 0.7% | ||||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||
2.16% due 03/31/345 | 19,217,200 | 15,186,486 | ||||||
BP Capital Markets plc | ||||||||
4.88% 2,6 | 7,500,000 | 6,450,000 | ||||||
Occidental Petroleum Corp. | ||||||||
5.50% due 12/01/25 | 5,000,000 | 5,025,000 | ||||||
Valero Energy Corp. | ||||||||
2.15% due 09/15/27 | 3,100,000 | 2,679,959 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
5.63% due 03/01/25 | 500,000 | 499,506 | ||||||
5.00% due 03/15/27 | 300,000 | 287,814 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
7.00% due 06/30/24 | 550,000 | 559,379 | ||||||
Gulfstream Natural Gas System LLC | ||||||||
4.60% due 09/15/255 | 400,000 | 386,013 | ||||||
Parkland Corp. | ||||||||
5.88% due 07/15/275 | 80,000 | 74,160 | ||||||
Total Energy | 31,148,317 | |||||||
Total Corporate Bonds | ||||||||
(Cost $1,879,932,217) | 1,660,008,991 | |||||||
ASSET-BACKED SECURITIES†† - 33.0% | ||||||||
Collateralized Loan Obligations - 21.4% | ||||||||
THL Credit Lake Shore MM CLO I Ltd. | ||||||||
2021-1A A1R, 4.21% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,5 | 48,500,000 | 47,098,282 | ||||||
2021-1A A2R, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 04/15/33◊,5 | 6,250,000 | 6,090,308 | ||||||
BXMT Ltd. | ||||||||
2020-FL2 A, 3.84% (1 Month Term SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,5 | 25,122,000 | 24,751,074 | ||||||
2020-FL2 AS, 4.09% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38◊ | 14,310,000 | 13,835,937 | ||||||
2020-FL3 AS, 4.15% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 11/15/37◊,5 | 4,500,000 | 4,405,455 | ||||||
2020-FL3 B, 4.55% (30 Day Average SOFR + 2.26%, Rate Floor: 2.15%) due 11/15/37◊ | 2,000,000 | 1,940,372 | ||||||
2020-FL2 B, 4.34% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 02/15/38◊,5 | 2,000,000 | 1,924,395 | ||||||
Golub Capital Partners CLO 49M Ltd. | ||||||||
2021-49A AR, 4.24% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/26/33◊,5 | 36,500,000 | 34,883,192 | ||||||
CHCP Ltd. | ||||||||
2021-FL1 A, 4.01% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,5 | 34,722,997 | 34,061,229 | ||||||
Shackleton CLO Ltd. | ||||||||
2017-8A A1R, 3.63% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/27◊,5 | 32,098,167 | 31,684,402 | ||||||
LCM XXIV Ltd. | ||||||||
2021-24A AR, 3.69% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.98%) due 03/20/30◊,5 | 31,250,000 | 30,707,100 | ||||||
ABPCI Direct Lending Fund IX LLC | ||||||||
2021-9A A1R, 4.17% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/18/31◊,5 | 30,750,000 | 29,726,314 | ||||||
Golub Capital Partners CLO 54M, LP | ||||||||
2021-54A A, 4.36% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/33◊,5 | 29,000,000 | 27,758,762 | ||||||
Golub Capital Partners CLO 36M Ltd. | ||||||||
2018-36A A, 4.13% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,5 | 27,500,000 | 27,095,365 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
LCCM Trust | ||||||||
2021-FL3 A, 4.27% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,5 | 22,250,000 | $ | 21,224,627 | |||||
2021-FL2 B, 4.72% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/13/38◊,5 | 6,000,000 | 5,721,277 | ||||||
Parliament CLO II Ltd. | ||||||||
2021-2A B, 3.18% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 08/20/32◊,5 | 22,250,000 | 21,221,999 | ||||||
2021-2A A, 2.83% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/20/32◊,5 | 5,250,000 | 5,144,189 | ||||||
2021-2A C, 4.03% (3 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 08/20/32◊,5 | 500,000 | 463,669 | ||||||
Owl Rock CLO IV Ltd. | ||||||||
2021-4A A1R, 4.58% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,5 | 24,250,000 | 23,120,782 | ||||||
2021-4A A2R, 4.88% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/20/33◊,5 | 3,650,000 | 3,388,903 | ||||||
Golub Capital Partners CLO 16 Ltd. | ||||||||
2021-16A A1R2, 4.39% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,5 | 27,650,000 | 26,407,439 | ||||||
ABPCI Direct Lending Fund CLO V Ltd. | ||||||||
2021-5A A2R, 4.61% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/31◊,5 | 15,500,000 | 14,763,161 | ||||||
2021-5A A1R, 4.21% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,5 | 11,500,000 | 11,247,115 | ||||||
Cerberus Loan Funding XXVI, LP | ||||||||
2021-1A AR, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,5 | 23,000,000 | 22,564,286 | ||||||
2021-1A BR, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/31◊,5 | 3,250,000 | 3,128,227 | ||||||
LoanCore Issuer Ltd. | ||||||||
2019-CRE2 AS, 4.32% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,5 | 7,547,336 | 7,482,476 | ||||||
2021-CRE5 B, 4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/36◊,5 | 7,900,000 | 7,395,312 | ||||||
2021-CRE4 B, 3.65% (30 Day Average SOFR + 1.36%, Rate Floor: 1.25%) due 07/15/35◊,5 | 7,500,000 | 7,148,961 | ||||||
2018-CRE1 AS, 4.32% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/28◊,5 | 3,500,000 | 3,485,955 | ||||||
2018-CRE1 A, 3.95% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/28◊,5 | 163,160 | 163,050 | ||||||
Palmer Square Loan Funding Ltd. | ||||||||
2021-1A A1, 3.61% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 04/20/29◊,5 | 12,806,652 | 12,604,992 | ||||||
2022-1A A2, 3.93% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,5 | 5,000,000 | 4,699,436 | ||||||
2021-3A B, 4.46% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/20/29◊,5 | 5,000,000 | 4,613,485 | ||||||
2021-2A B, 4.38% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/29◊,5 | 4,000,000 | 3,672,728 | ||||||
HERA Commercial Mortgage Ltd. | ||||||||
2021-FL1 A, 4.04% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/38◊ | 22,750,000 | 21,952,478 | ||||||
2021-FL1 B, 4.59% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/38◊,5 | 3,750,000 | 3,529,921 | ||||||
Cerberus Loan Funding XXXI, LP | ||||||||
2021-1A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,5 | 13,500,000 | 13,325,886 | ||||||
2021-1A B, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/32◊,5 | 9,600,000 | 9,317,111 | ||||||
Golub Capital Partners CLO 33M Ltd. | ||||||||
2021-33A AR2, 4.86% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,5 | 23,000,000 | 21,850,370 | ||||||
Madison Park Funding XLVIII Ltd. | ||||||||
2021-48A B, 4.19% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,5 | 22,000,000 | 20,736,679 | ||||||
Cerberus Loan Funding XXX, LP | ||||||||
2020-3A A, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,5 | 18,000,000 | 17,624,511 | ||||||
Cerberus Loan Funding XXXII, LP | ||||||||
2021-2A A, 4.13% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,5 | 14,250,000 | 13,691,059 | ||||||
2021-2A B, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/22/33◊,5 | 4,000,000 | 3,736,732 | ||||||
ABPCI Direct Lending Fund CLO II LLC | ||||||||
2021-1A A1R, 4.31% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,5 | 15,250,000 | 14,851,103 | ||||||
2021-1A BR, 4.86% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 04/20/32◊,5 | 2,250,000 | 2,130,955 | ||||||
2021-1A A2R, 4.61% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/32◊,5 | 300,000 | 292,972 | ||||||
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Woodmont Trust | ||||||||
2020-7A A1A, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,5 | 16,250,000 | $ | 15,890,326 | |||||
BRSP Ltd. | ||||||||
2021-FL1 C, 5.14% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 08/19/38◊,5 | 10,000,000 | 9,455,074 | ||||||
2021-FL1 B, 4.89% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/19/38◊,5 | 6,400,000 | 6,119,102 | ||||||
ACRES Commercial Realty Ltd. | ||||||||
2021-FL1 B, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 06/15/36◊,5 | 11,200,000 | 10,637,790 | ||||||
2021-FL1 C, 4.94% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/15/36◊ | 4,800,000 | 4,476,966 | ||||||
Fortress Credit Opportunities XI CLO Ltd. | ||||||||
2018-11A A1T, 3.81% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,5 | 13,450,000 | 13,188,758 | ||||||
Cerberus Loan Funding XXXIII, LP | ||||||||
2021-3A A, 4.07% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/33◊,5 | 11,500,000 | 11,057,570 | ||||||
2021-3A B, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,5 | 2,250,000 | 2,018,114 | ||||||
AMMC CLO XI Ltd. | ||||||||
2020-11A A2R3, 1.83% due 04/30/315 | 14,300,000 | 13,006,922 | ||||||
BDS Ltd. | ||||||||
2021-FL8 D, 4.89% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/18/36◊,5 | 7,000,000 | 6,552,169 | ||||||
2021-FL9 C, 4.89% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 11/16/38◊,5 | 5,000,000 | 4,675,511 | ||||||
2020-FL5 B, 4.84% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 02/16/37◊ | 1,400,000 | 1,372,895 | ||||||
ABPCI Direct Lending Fund CLO I LLC | ||||||||
2021-1A A1A2, 4.41% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,5 | 12,250,000 | 11,933,954 | ||||||
Fortress Credit Opportunities IX CLO Ltd. | ||||||||
2021-9A A2TR, 4.31% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/33◊,5 | 11,500,000 | 11,119,969 | ||||||
Lake Shore MM CLO III LLC | ||||||||
2021-2A A1R, 4.22% (3 Month USD LIBOR + 1.48%, Rate Floor: 1.48%) due 10/17/31◊,5 | 11,250,000 | 10,977,650 | ||||||
Madison Park Funding LIII Ltd. | ||||||||
2022-53A B, 4.22% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,5 | 10,750,000 | 10,189,849 | ||||||
FS Rialto | ||||||||
2021-FL3 B, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/36◊ | 7,500,000 | 7,037,392 | ||||||
2021-FL2 C, 4.99% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 05/16/38◊,5 | 3,250,000 | 3,051,520 | ||||||
Neuberger Berman CLO XVI-S Ltd. | ||||||||
2021-16SA BR, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/34◊,5 | 10,200,000 | 9,525,554 | ||||||
KREF | ||||||||
2021-FL2 B, 4.59% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 02/15/39◊,5 | 10,000,000 | 9,458,198 | ||||||
Recette CLO Ltd. | ||||||||
2021-1A BRR, 4.11% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 04/20/34◊,5 | 10,000,000 | 9,300,557 | ||||||
ABPCI Direct Lending Fund CLO VII, LP | ||||||||
2021-7A A1R, 4.20% (3 Month USD LIBOR + 1.43%, Rate Floor: 1.43%) due 10/20/31◊,5 | 9,250,000 | 8,834,490 | ||||||
PFP Ltd. | ||||||||
2021-7 B, 4.34% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/14/38◊,5 | 4,599,770 | 4,304,638 | ||||||
2021-7 D, 5.34% (1 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/14/38◊,5 | 4,104,795 | 3,841,402 | ||||||
Cerberus Loan Funding XXXV, LP | ||||||||
2021-5A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/33◊,5 | 8,000,000 | 7,658,162 | ||||||
GoldenTree Loan Management US CLO 1 Ltd. | ||||||||
2021-9A B, 4.21% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/20/33◊,5 | 7,000,000 | 6,509,180 | ||||||
2021-9A C, 4.51% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/33◊,5 | 1,000,000 | 902,409 | ||||||
BCC Middle Market CLO LLC | ||||||||
2021-1A A1R, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,5 | 6,750,000 | 6,483,871 | ||||||
NewStar Fairfield Fund CLO Ltd. | ||||||||
2018-2A A1N, 3.98% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/30◊,5 | 6,529,571 | 6,404,738 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Cerberus Loan Funding XXXVI, LP | ||||||||
2021-6A A, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,5 | 6,417,924 | $ | 6,370,461 | |||||
KREF Funding V LLC | ||||||||
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,††† | 5,908,502 | 5,881,903 | ||||||
0.15% due 06/25/26†††,7 | 27,272,727 | 1,091 | ||||||
Cerberus 2112 Levered LLC | ||||||||
4.83% (3 Month Term SOFR + 2.35%, Rate Floor: 2.35%) due 02/15/29◊,††† | 5,750,000 | 5,744,690 | ||||||
MF1 Multifamily Housing Mortgage Loan Trust | ||||||||
2021-FL6 B, 4.59% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/16/36◊,5 | 6,000,000 | 5,646,056 | ||||||
Neuberger Berman Loan Advisers CLO 40 Ltd. | ||||||||
2021-40A B, 4.14% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/16/33◊,5 | 6,000,000 | 5,634,286 | ||||||
STWD Ltd. | ||||||||
2019-FL1 C, 4.99% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 07/15/38◊ | 3,200,000 | 3,086,729 | ||||||
2021-FL2 B, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/18/38◊,5 | 2,187,000 | 2,093,515 | ||||||
Owl Rock CLO II Ltd. | ||||||||
2021-2A ALR, 4.26% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/33◊,5 | 5,000,000 | 4,807,200 | ||||||
CIFC Funding Ltd. | ||||||||
2021-4A A1B2, 3.96% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/34◊,5 | 5,000,000 | 4,765,094 | ||||||
BSPRT Issuer Ltd. | ||||||||
2021-FL6 C, 4.87% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/36◊ | 5,000,000 | 4,631,197 | ||||||
Cerberus Loan Funding XXXIV, LP | ||||||||
2021-4A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 08/13/33◊,5 | 4,583,339 | 4,571,735 | ||||||
Carlyle Global Market Strategies CLO Ltd. | ||||||||
2018-4A A1RR, 3.51% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 01/15/31◊,5 | 4,681,009 | 4,567,141 | ||||||
ACRE Commercial Mortgage Ltd. | ||||||||
2021-FL4 AS, 4.09% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/37◊,5 | 4,500,000 | 4,381,833 | ||||||
VOYA CLO | ||||||||
2021-2A BR, 4.66% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 06/07/30◊,5 | 4,500,000 | 4,199,465 | ||||||
Neuberger Berman Loan Advisers CLO 32 Ltd. | ||||||||
2021-32A BR, 4.14% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/20/32◊,5 | 4,000,000 | 3,776,228 | ||||||
Magnetite XXIX Ltd. | ||||||||
2021-29A B, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/15/34◊,5 | 4,000,000 | 3,770,640 | ||||||
Owl Rock CLO VI Ltd. | ||||||||
2021-6A B1, 5.28% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/21/32◊,5 | 3,500,000 | 3,288,016 | ||||||
AMMC CLO XIV Ltd. | ||||||||
2021-14A A2R2, 4.18% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/29◊,5 | 3,250,000 | 3,127,449 | ||||||
Boyce Park CLO Ltd. | ||||||||
2022-1A B1, 2.37% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,5 | 3,000,000 | 2,788,395 | ||||||
Golub Capital Partners CLO 17 Ltd. | ||||||||
2017-17A A1R, 4.43% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,5 | 2,500,000 | 2,462,942 | ||||||
Greystone Commercial Real Estate Notes | ||||||||
2021-FL3 B, 4.47% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/15/39◊,5 | 2,200,000 | 2,020,121 | ||||||
HGI CRE CLO Ltd. | ||||||||
2021-FL2 B, 4.44% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/17/36◊ | 2,000,000 | 1,912,774 | ||||||
Neuberger Berman Loan Advisers CLO 47 Ltd. | ||||||||
2022-47A B, 4.10% (3 Month Term SOFR + 1.80%, Rate Floor: 1.80%) due 04/14/35◊,5 | 2,000,000 | 1,889,908 | ||||||
Marathon CLO V Ltd. | ||||||||
2017-5A A1R, 3.85% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,5 | 1,511,988 | 1,507,528 | ||||||
Dryden 37 Senior Loan Fund | ||||||||
2015-37A Q, due 01/15/315,8 | 1,500,000 | 1,144,957 | ||||||
Newfleet CLO Ltd. | ||||||||
2018-1A A1R, 3.66% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,5 | 489,876 | 485,824 | ||||||
TRTX Issuer Ltd. | ||||||||
2019-FL3 A, 4.19% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 10/15/34◊ | 377,912 | 376,559 | ||||||
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Carlyle GMS Finance MM CLO LLC | ||||||||
2018-1A A12R, 4.29% (3 Month USD LIBOR + 1.78%, Rate Floor: 0.00%) due 10/15/31◊,5 | 250,000 | $ | 244,776 | |||||
Northwoods Capital XII-B Ltd. | ||||||||
2018-12BA X, 4.04% (3 Month USD LIBOR + 0.75%, Rate Floor: 0.75%) due 06/15/31◊,5 | 218,750 | 218,254 | ||||||
Treman Park CLO Ltd. | ||||||||
2015-1A COM, due 10/20/285,8 | 325,901 | 40,519 | ||||||
OHA Credit Partners IX Ltd. | ||||||||
2013-9A ACOM, due 10/20/255,8 | 301,370 | 332 | ||||||
Copper River CLO Ltd. | ||||||||
2007-1A INC, due 01/20/21†††,8,9 | 500,000 | 210 | ||||||
Total Collateralized Loan Obligations | 990,086,591 | |||||||
Financial - 3.5% | ||||||||
Station Place Securitization Trust Series | ||||||||
2021-14, 3.78% (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 | ||||||||
5.06% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,††† | 23,500,000 | 23,482,853 | ||||||
5.04% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,††† | 4,000,000 | 3,997,262 | ||||||
HV Eight LLC | ||||||||
3.36% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25◊,††† | EUR 21,000,000 | 20,571,109 | ||||||
Madison Avenue Secured Funding Trust Series | ||||||||
2022-1, 4.60% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,5 | 16,550,000 | 16,550,000 | ||||||
Station Place Securitization Trust | ||||||||
2022-SP1, 4.60% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,5 | 16,550,000 | 16,550,000 | ||||||
Madison Avenue Secured Funding Trust | ||||||||
2021-1, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,5 | 15,900,000 | 15,900,000 | ||||||
KKR Core Holding Company LLC | ||||||||
4.00% due 08/12/31††† | 14,283,093 | 12,222,576 | ||||||
Project Onyx | ||||||||
4.52% (3 Month Term SOFR + 2.40%, Rate Floor: 2.30%) due 01/26/27◊,††† | 7,000,000 | 6,997,468 | ||||||
Ceamer Finance LLC | ||||||||
3.69% due 03/22/31††† | 4,459,767 | 4,054,680 | ||||||
Thunderbird A | ||||||||
5.50% due 03/01/37††† | 2,106,980 | 2,106,980 | ||||||
Lightning A | ||||||||
5.50% due 03/01/37††† | 2,040,052 | 2,040,052 | ||||||
Aesf Vi Verdi, LP | ||||||||
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,††† | EUR 1,010,575 | 989,986 | ||||||
Total Financial | 160,462,966 | |||||||
Transport-Container - 1.9% | ||||||||
Triton Container Finance VIII LLC | ||||||||
2021-1A, 1.86% due 03/20/465 | 35,336,250 | 29,659,276 | ||||||
Textainer Marine Containers VII Ltd. | ||||||||
2021-1A, 1.68% due 02/20/465 | 9,868,667 | 8,346,421 | ||||||
2020-1A, 2.73% due 08/21/455 | 4,490,546 | 4,052,529 | ||||||
2020-2A, 2.10% due 09/20/455 | 4,042,177 | 3,475,770 | ||||||
CLI Funding VI LLC | ||||||||
2020-3A, 2.07% due 10/18/455 | 14,693,333 | 12,780,247 | ||||||
2020-1A, 2.08% due 09/18/455 | 1,582,000 | 1,373,747 | ||||||
CLI Funding VIII LLC | ||||||||
2021-1A, 1.64% due 02/18/465 | 15,742,411 | 13,477,015 | ||||||
TIF Funding II LLC | ||||||||
2021-1A, 1.65% due 02/20/465 | 15,936,250 | 13,185,358 | ||||||
CAL Funding IV Ltd. | ||||||||
2020-1A, 2.22% due 09/25/455 | 3,112,500 | 2,716,661 | ||||||
Total Transport-Container | 89,067,024 | |||||||
Whole Business - 1.8% | ||||||||
Applebee’s Funding LLC / IHOP Funding LLC | ||||||||
2019-1A, 4.19% due 06/05/495 | 31,042,440 | 29,412,340 | ||||||
Taco Bell Funding LLC | ||||||||
2021-1A, 1.95% due 08/25/515 | 18,609,375 | 15,545,211 | ||||||
SERVPRO Master Issuer LLC | ||||||||
2021-1A, 2.39% due 04/25/515 | 11,948,750 | 9,422,832 | ||||||
2019-1A, 3.88% due 10/25/495 | 6,078,125 | 5,371,604 | ||||||
ServiceMaster Funding LLC | ||||||||
2020-1, 2.84% due 01/30/515 | 9,111,250 | 7,423,409 | ||||||
Wingstop Funding LLC | ||||||||
2020-1A, 2.84% due 12/05/505 | 7,801,050 | 6,629,340 | ||||||
Arbys Funding LLC | ||||||||
2020-1A, 3.24% due 07/30/505 | 7,105,000 | 6,014,901 | ||||||
Domino’s Pizza Master Issuer LLC | ||||||||
2019-1A, 3.67% due 10/25/495 | 1,706,250 | 1,471,240 | ||||||
Total Whole Business | 81,290,877 | |||||||
Net Lease - 1.5% | ||||||||
Oak Street Investment Grade Net Lease Fund Series | ||||||||
2020-1A, 1.85% due 11/20/505 | 39,447,160 | 34,706,325 | ||||||
STORE Master Funding I LLC | ||||||||
2015-1A, 4.17% due 04/20/455 | 10,303,208 | 9,714,901 | ||||||
STORE Master Funding LLC | ||||||||
2021-1A, 2.86% due 06/20/515 | 6,906,563 | 5,807,540 | ||||||
CF Hippolyta Issuer LLC | ||||||||
2021-1A, 1.98% due 03/15/615 | 5,883,483 | 4,947,206 | ||||||
CMFT Net Lease Master Issuer LLC | ||||||||
2021-1, 2.91% due 07/20/515 | 3,000,000 | 2,465,029 | ||||||
2021-1, 2.51% due 07/20/515 | 2,500,000 | 2,053,433 | ||||||
CARS-DB4, LP | ||||||||
2020-1A, 3.19% due 02/15/505 | 3,974,167 | 3,702,069 | ||||||
2020-1A, 3.25% due 02/15/505 | 894,331 | 764,839 | ||||||
New Economy Assets Phase 1 Sponsor LLC | ||||||||
2021-1, 1.91% due 10/20/615 | 2,500,000 | 2,115,429 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Capital Automotive REIT | ||||||||
2020-1A, 3.48% due 02/15/505 | 1,987,083 | $ | 1,787,077 | |||||
Total Net Lease | 68,063,848 | |||||||
Transport-Aircraft - 1.3% | ||||||||
AASET Trust | ||||||||
2021-1A, 2.95% due 11/16/415 | 15,184,805 | 12,109,456 | ||||||
2017-1A, 3.97% due 05/16/425 | 2,929,170 | 2,322,832 | ||||||
AASET US Ltd. | ||||||||
2018-2A, 4.45% due 11/18/385 | 12,228,294 | 10,119,296 | ||||||
Sapphire Aviation Finance I Ltd. | ||||||||
2018-1A, 4.25% due 03/15/405 | 8,329,016 | 6,133,678 | ||||||
KDAC Aviation Finance Ltd. | ||||||||
2017-1A, 4.21% due 12/15/425 | 7,711,426 | 5,902,460 | ||||||
MAPS Ltd. | ||||||||
2018-1A, 4.21% due 05/15/435 | 6,558,267 | 5,842,066 | ||||||
Sapphire Aviation Finance II Ltd. | ||||||||
2020-1A, 3.23% due 03/15/405 | 6,294,010 | 5,210,743 | ||||||
Castlelake Aircraft Structured Trust | ||||||||
2021-1A, 3.47% due 01/15/465 | 5,136,829 | 4,500,561 | ||||||
Castlelake Aircraft Securitization Trust | ||||||||
2018-1, 4.13% due 06/15/435 | 4,598,252 | 4,023,290 | ||||||
Falcon Aerospace Ltd. | ||||||||
2019-1, 3.60% due 09/15/395 | 2,398,107 | 1,905,422 | ||||||
2017-1, 4.58% due 02/15/425 | 994,723 | 901,950 | ||||||
Raspro Trust | ||||||||
2005-1A, 3.64% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,5 | 1,969,886 | 1,826,613 | ||||||
Total Transport-Aircraft | 60,798,367 | |||||||
Collateralized Debt Obligations - 1.0% | ||||||||
Anchorage Credit Funding 4 Ltd. | ||||||||
2021-4A AR, 2.72% due 04/27/395 | 24,650,000 | 22,578,138 | ||||||
Anchorage Credit Funding Ltd. | ||||||||
2021-13A A1, 2.88% due 07/27/395 | 8,500,000 | 7,485,114 | ||||||
2021-13A B2, 3.15% due 07/27/395 | 8,050,000 | 6,808,857 | ||||||
Anchorage Credit Funding 3 Ltd. | ||||||||
2021-3A A1R, 2.87% due 01/28/395 | 9,750,000 | 8,696,490 | ||||||
Total Collateralized Debt Obligations | 45,568,599 | |||||||
Single Family Residence - 0.3% | ||||||||
FirstKey Homes Trust | ||||||||
2020-SFR2, 4.00% due 10/19/375 | 5,050,000 | 4,525,834 | ||||||
2020-SFR2, 4.50% due 10/19/375 | 4,900,000 | 4,445,555 | ||||||
2021-SFR1, 2.19% due 08/17/385 | 4,000,000 | 3,385,397 | ||||||
2020-SFR2, 3.37% due 10/19/375 | 3,200,000 | 2,824,981 | ||||||
Total Single Family Residence | 15,181,767 | |||||||
Infrastructure - 0.3% | ||||||||
VB-S1 Issuer LLC - VBTEL | ||||||||
2022-1A, 4.29% due 02/15/525 | 9,250,000 | 8,091,945 | ||||||
Secured Tenant Site Contract Revenue Notes Series | ||||||||
2018-1A, 3.97% due 06/15/485 | 6,882,560 | 6,798,042 | ||||||
Total Infrastructure | 14,889,987 | |||||||
Total Asset-Backed Securities | ||||||||
(Cost $1,627,895,557) | 1,525,410,026 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 24.2% | ||||||||
Residential Mortgage-Backed Securities - 14.0% | ||||||||
CSMC Trust | ||||||||
2021-RPL1, 1.67% (WAC) due 09/27/60◊,5 | 31,262,492 | 29,360,404 | ||||||
2021-RPL7, 1.93% (WAC) due 07/27/61◊,5 | 14,152,851 | 12,953,092 | ||||||
2020-RPL5, 3.02% (WAC) due 08/25/60◊,5 | 13,344,984 | 12,785,505 | ||||||
2021-RPL4, 1.80% (WAC) due 12/27/60◊,5 | 8,544,279 | 7,947,982 | ||||||
2018-RPL9, 3.85% (WAC) due 09/25/57◊,5 | 5,662,138 | 5,480,543 | ||||||
2020-NQM1, 1.41% due 05/25/655,10 | 2,501,794 | 2,283,099 | ||||||
PRPM LLC | ||||||||
2021-5, 1.79% due 06/25/265,10 | 23,597,297 | 21,223,064 | ||||||
2022-1, 3.72% due 02/25/275,10 | 21,444,377 | 19,960,628 | ||||||
2021-8, 1.74% (WAC) due 09/25/26◊,5 | 11,148,317 | 10,179,442 | ||||||
2021-RPL2, 2.49% (WAC) due 10/25/51◊,5 | 2,500,000 | 2,136,716 | ||||||
Legacy Mortgage Asset Trust | ||||||||
2021-GS3, 1.75% due 07/25/615,10 | 23,174,706 | 21,106,329 | ||||||
2021-GS4, 1.65% due 11/25/605,10 | 19,867,113 | 18,159,167 | ||||||
2021-GS2, 1.75% due 04/25/615,10 | 8,606,628 | 7,985,001 | ||||||
2021-GS5, 2.25% due 07/25/675,10 | 5,577,937 | 5,109,996 | ||||||
BRAVO Residential Funding Trust | ||||||||
2021-C, 1.62% due 03/01/615,10 | 23,529,179 | 21,452,903 | ||||||
2022-R1, 3.13% due 01/29/705,10 | 18,034,710 | 15,931,946 | ||||||
2021-HE2, 3.13% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 11/25/69◊,5 | 3,204,811 | 3,165,981 | ||||||
2021-HE2, 3.33% (30 Day Average SOFR + 1.05%, Rate Floor: 0.00%) due 11/25/69◊,5 | 2,942,893 | 2,907,125 | ||||||
2021-HE1, 3.23% (30 Day Average SOFR + 0.95%, Rate Floor: 0.00%) due 01/25/70◊,5 | 2,629,344 | 2,597,901 | ||||||
2021-HE1, 3.13% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 01/25/70◊,5 | 1,974,239 | 1,951,398 | ||||||
NYMT Loan Trust | ||||||||
2021-SP1, 1.67% due 08/25/615,10 | 36,544,443 | 35,152,474 | ||||||
2022-SP1, 5.25% due 07/25/625,10 | 10,384,290 | 9,948,098 | ||||||
OSAT Trust | ||||||||
2021-RPL1, 2.12% due 05/25/655,10 | 45,010,882 | 41,752,589 | ||||||
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
NRZ Advance Receivables Trust | ||||||||
2020-T2, 1.48% due 09/15/535 | 28,950,000 | $ | 27,624,119 | |||||
2020-T3, 1.32% due 10/15/525 | 8,300,000 | 8,284,779 | ||||||
New Residential Advance Receivables Trust Advance Receivables Backed Notes | ||||||||
2020-T1, 1.43% due 08/15/535 | 15,750,000 | 15,055,064 | ||||||
2020-APT1, 1.04% due 12/16/525 | 10,900,000 | 10,783,624 | ||||||
Verus Securitization Trust | ||||||||
2021-4, 1.35% (WAC) due 07/25/66◊,5 | 7,117,471 | 5,678,799 | ||||||
2020-5, 1.58% due 05/25/655,10 | 6,132,190 | 5,642,335 | ||||||
2021-5, 1.37% (WAC) due 09/25/66◊,5 | 6,769,060 | 5,472,848 | ||||||
2021-3, 1.44% (WAC) due 06/25/66◊,5 | 4,226,957 | 3,424,697 | ||||||
2021-6, 1.89% (WAC) due 10/25/66◊,5 | 3,278,382 | 2,662,819 | ||||||
2019-4, 2.64% due 11/25/595,10 | 1,794,409 | 1,745,417 | ||||||
2020-1, 2.42% due 01/25/605,10 | 918,409 | 886,419 | ||||||
FKRT | ||||||||
2.21% due 11/30/58†††,9 | 25,700,000 | 24,443,994 | ||||||
Towd Point Revolving Trust | ||||||||
4.83% due 09/25/649 | 18,500,000 | 17,877,475 | ||||||
Towd Point Mortgage Trust | ||||||||
2017-6, 2.75% (WAC) due 10/25/57◊,5 | 8,810,990 | 8,466,124 | ||||||
2018-2, 3.25% (WAC) due 03/25/58◊,5 | 4,738,813 | 4,596,023 | ||||||
2017-5, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/57◊,5 | 3,135,312 | 3,100,740 | ||||||
2018-1, 3.00% (WAC) due 01/25/58◊,5 | 621,027 | 595,770 | ||||||
Structured Asset Securities Corporation Mortgage Loan Trust | ||||||||
2008-BC4, 3.71% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/37◊ | 13,393,298 | 13,005,133 | ||||||
2006-BC4, 3.42% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/36◊ | 652,254 | 633,309 | ||||||
2007-BC1, 3.21% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 02/25/37◊ | 38,828 | 38,447 | ||||||
LSTAR Securities Investment Ltd. | ||||||||
2021-1, 4.36% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,9 | 7,295,265 | 6,768,816 | ||||||
2021-2, 4.26% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,9 | 5,277,913 | 5,149,997 | ||||||
Imperial Fund Mortgage Trust | ||||||||
2022-NQM2, 4.02% (WAC) due 03/25/67◊,5 | 12,779,843 | 11,479,016 | ||||||
Soundview Home Loan Trust | ||||||||
2006-OPT5, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 07/25/36◊ | 10,018,052 | 9,562,107 | ||||||
2005-OPT3, 3.79% (1 Month USD LIBOR + 0.71%, Rate Floor: 0.71%) due 11/25/35◊ | 1,927,821 | 1,896,600 | ||||||
Home Equity Loan Trust | ||||||||
2007-FRE1, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37◊ | 11,726,725 | 10,918,089 | ||||||
New Residential Mortgage Loan Trust | ||||||||
2018-2A, 3.50% (WAC) due 02/25/58◊,5 | 6,517,921 | 6,078,427 | ||||||
2018-1A, 4.00% (WAC) due 12/25/57◊,5 | 2,029,766 | 1,929,311 | ||||||
2019-6A, 3.50% (WAC) due 09/25/59◊,5 | 1,555,313 | 1,454,337 | ||||||
2017-5A, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 06/25/57◊,5 | 624,661 | 616,221 | ||||||
CFMT LLC | ||||||||
2021-HB5, 1.37% (WAC) due 02/25/31◊,5 | 6,950,000 | 6,462,118 | ||||||
2022-HB9, 3.25% (WAC) due 09/25/37◊,5 | 2,250,000 | 2,047,143 | ||||||
Cascade Funding Mortgage Trust | ||||||||
2018-RM2, 4.00% (WAC) due 10/25/68◊,9 | 6,143,383 | 5,925,628 | ||||||
2019-RM3, 2.80% (WAC) due 06/25/69◊,9 | 1,470,485 | 1,427,970 | ||||||
CSMC | ||||||||
2021-NQM8, 2.41% (WAC) due 10/25/66◊,5 | 8,731,202 | 7,303,866 | ||||||
NovaStar Mortgage Funding Trust Series | ||||||||
2007-2, 3.28% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37◊ | 7,100,683 | 6,808,115 | ||||||
Alternative Loan Trust | ||||||||
2007-OA7, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 05/25/47◊ | 4,750,762 | 4,030,808 | ||||||
2007-OH3, 3.66% (1 Month USD LIBOR + 0.58%, Rate Cap/Floor: 10.00%/0.58%) due 09/25/47◊ | 2,240,700 | 1,963,866 | ||||||
Morgan Stanley ABS Capital I Incorporated Trust | ||||||||
2007-HE3, 3.33% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 12/25/36◊ | 4,794,133 | 2,551,149 | ||||||
2007-HE3, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/36◊ | 3,434,517 | 1,827,588 | ||||||
2007-HE5, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 03/25/37◊ | 1,637,567 | 756,756 | ||||||
2006-NC1, 3.65% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/35◊ | 524,000 | 518,845 | ||||||
American Home Mortgage Investment Trust | ||||||||
2006-3, 3.44% (1 Month USD LIBOR + 0.36%, Rate Cap/Floor: 10.50%/0.36%) due 12/25/46◊ | 5,832,317 | 4,901,951 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Banc of America Funding Trust | ||||||||
2015-R2, 3.34% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/37◊,5 | 4,703,711 | $ | 4,567,773 | |||||
Credit Suisse Mortgage Capital Certificates | ||||||||
2021-RPL9, 2.44% (WAC) due 02/25/61◊,5 | 4,528,024 | 4,139,915 | ||||||
Citigroup Mortgage Loan Trust | ||||||||
2022-A, 6.17% due 09/25/625,10 | 3,739,506 | 3,663,341 | ||||||
Bear Stearns Asset-Backed Securities I Trust | ||||||||
2006-HE9, 3.22% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.28%) due 11/25/36◊ | 3,797,817 | 3,649,759 | ||||||
Securitized Asset Backed Receivables LLC Trust | ||||||||
2007-HE1, 3.30% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 12/25/36◊ | 13,271,502 | 3,495,931 | ||||||
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series | ||||||||
2005-W2, 3.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/35◊ | 3,431,627 | 3,360,253 | ||||||
HarborView Mortgage Loan Trust | ||||||||
2006-14, 3.29% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 01/25/47◊ | 2,089,202 | 1,814,380 | ||||||
2006-12, 3.18% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/19/38◊ | 1,747,626 | 1,543,253 | ||||||
SPS Servicer Advance Receivables Trust | ||||||||
2020-T2, 1.83% due 11/15/555 | 3,750,000 | 3,298,806 | ||||||
Ellington Financial Mortgage Trust | ||||||||
2021-2, 1.29% (WAC) due 06/25/66◊,5 | 2,316,855 | 1,920,780 | ||||||
2020-2, 1.64% (WAC) due 10/25/65◊,5 | 1,218,361 | 1,118,043 | ||||||
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG | ||||||||
2006-HE1, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 01/25/36◊ | 3,033,199 | 2,940,075 | ||||||
IXIS Real Estate Capital Trust | ||||||||
2006-HE1, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36◊ | 5,010,435 | 2,684,437 | ||||||
First NLC Trust | ||||||||
2005-4, 3.86% (1 Month USD LIBOR + 0.78%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/36◊ | 2,646,220 | 2,576,961 | ||||||
GS Mortgage-Backed Securities Trust | ||||||||
2020-NQM1, 1.38% (WAC) due 09/27/60◊,5 | 2,757,626 | 2,515,028 | ||||||
CIT Mortgage Loan Trust | ||||||||
2007-1, 4.43% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/37◊,5 | 2,492,147 | 2,473,675 | ||||||
Angel Oak Mortgage Trust | ||||||||
2021-6, 1.89% (WAC) due 09/25/66◊,5 | 2,892,993 | 2,265,370 | ||||||
Morgan Stanley Home Equity Loan Trust | ||||||||
2006-2, 3.64% (1 Month USD LIBOR + 0.56%, Rate Floor: 0.56%) due 02/25/36◊ | 2,076,753 | 2,054,373 | ||||||
Structured Asset Investment Loan Trust | ||||||||
2006-3, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 06/25/36◊ | 1,944,172 | 1,882,213 | ||||||
2005-2, 3.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 03/25/35◊ | 93,262 | 92,131 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
2006-WF1, 5.03% due 03/25/36 | 3,790,721 | 1,958,712 | ||||||
SG Residential Mortgage Trust | ||||||||
2022-1, 3.68% (WAC) due 03/27/62◊,5 | 1,968,236 | 1,730,657 | ||||||
Credit-Based Asset Servicing and Securitization LLC | ||||||||
2006-CB2, 3.46% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 12/25/36◊ | 1,694,880 | 1,586,706 | ||||||
Park Place Securities Incorporated Asset-Backed Pass-Through Certificates Series | ||||||||
2005-WHQ3, 4.03% (1 Month USD LIBOR + 0.95%, Rate Floor: 0.95%) due 06/25/35◊ | 1,547,718 | 1,540,451 | ||||||
Morgan Stanley IXIS Real Estate Capital Trust | ||||||||
2006-2, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/36◊ | 3,881,539 | 1,406,607 | ||||||
GSAA Home Equity Trust | ||||||||
2006-3, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36◊ | 2,397,528 | 1,357,401 | ||||||
Nationstar Home Equity Loan Trust | ||||||||
2007-B, 3.30% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 04/25/37◊ | 1,368,915 | 1,354,990 | ||||||
Residential Mortgage Loan Trust | ||||||||
2020-1, 2.38% (WAC) due 01/26/60◊,5 | 1,349,050 | 1,269,648 | ||||||
Lehman XS Trust Series | ||||||||
2006-16N, 3.46% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 11/25/46◊ | 1,347,643 | 1,164,479 | ||||||
ACE Securities Corporation Home Equity Loan Trust Series | ||||||||
2005-HE2, 4.10% (1 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 04/25/35◊ | 1,151,583 | 1,114,156 | ||||||
MFRA Trust | ||||||||
2021-INV1, 1.26% (WAC) due 01/25/56◊,5 | 1,167,947 | 1,075,523 | ||||||
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
COLT Mortgage Loan Trust | ||||||||
2021-2, 2.38% (WAC) due 08/25/66◊,5 | 1,500,000 | $ | 955,822 | |||||
Morgan Stanley Capital I Incorporated Trust | ||||||||
2006-HE1, 3.66% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 01/25/36◊ | 783,081 | 752,057 | ||||||
Long Beach Mortgage Loan Trust | ||||||||
2006-8, 3.40% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/36◊ | 2,397,811 | 737,603 | ||||||
FBR Securitization Trust | ||||||||
2005-2, 3.83% (1 Month USD LIBOR + 0.75%, Rate Cap/Floor: 14.00%/0.75%) due 09/25/35◊ | 733,469 | 730,642 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
2006-6, 3.42% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 09/25/36◊ | 481,530 | 480,837 | ||||||
2006-5, 3.66% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 08/25/36◊ | 110,468 | 109,990 | ||||||
First Franklin Mortgage Loan Trust | ||||||||
2004-FF10, 4.36% (1 Month USD LIBOR + 1.28%, Rate Floor: 1.28%) due 07/25/34◊ | 524,582 | 504,506 | ||||||
Nomura Resecuritization Trust | ||||||||
2015-4R, 2.20% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,5 | 502,648 | 446,880 | ||||||
Starwood Mortgage Residential Trust | ||||||||
2020-1, 2.28% (WAC) due 02/25/50◊,5 | 367,064 | 354,474 | ||||||
CSMC Series | ||||||||
2015-12R, 2.76% (WAC) due 11/30/37◊,5 | 262,266 | 261,242 | ||||||
2014-2R, 2.46% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/46◊,5 | 55,628 | 54,880 | ||||||
UCFC Manufactured Housing Contract | ||||||||
1997-2, 7.38% due 10/15/28 | 109,984 | 105,488 | ||||||
Morgan Stanley Re-REMIC Trust | ||||||||
2010-R5, 2.40% due 06/26/365 | 52,238 | 46,811 | ||||||
Total Residential Mortgage-Backed Securities | 647,085,101 | |||||||
Government Agency - 8.2% | ||||||||
Uniform MBS 30 Year | ||||||||
due 11/15/5212 | 305,613,000 | 282,978,996 | ||||||
Fannie Mae | ||||||||
4.00% due 07/01/52 | 53,402,255 | 49,927,728 | ||||||
Freddie Mac | ||||||||
4.00% due 06/01/52 | 43,458,139 | 40,519,069 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust | ||||||||
2.00% due 05/25/60 | 3,493,366 | 2,967,001 | ||||||
2.00% due 11/25/59 | 2,002,091 | 1,700,401 | ||||||
Fannie Mae-Aces | ||||||||
1.61% (WAC) due 03/25/35◊,7 | 6,881,801 | 771,364 | ||||||
Freddie Mac Multifamily Structured Pass-Through Certificates | ||||||||
0.45% (WAC) due 08/25/23◊,7 | 97,166,308 | 240,613 | ||||||
Total Government Agency | 379,105,172 | |||||||
Commercial Mortgage-Backed Securities - 2. 0% | ||||||||
BX Commercial Mortgage Trust | ||||||||
2021-VOLT, 4.47% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/36◊,5 | 25,000,000 | 23,207,768 | ||||||
2022-LP2, 4.48% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,5 | 15,221,348 | 14,327,867 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
2021-NYAH, 4.36% (1 Month USD LIBOR + 1.54%, Rate Floor: 1.54%) due 06/15/38◊,5 | 10,200,000 | 9,663,103 | ||||||
2016-JP2, 1.95% (WAC) due 08/15/49◊,7 | 33,866,256 | 1,735,185 | ||||||
BXHPP Trust | ||||||||
2021-FILM, 3.92% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 08/15/36◊,5 | 8,250,000 | 7,620,680 | ||||||
MHP | ||||||||
2022-MHIL, 4.11% (1 Month Term SOFR + 1.26%, Rate Floor: 1.26%) due 01/15/27◊,5 | 7,773,268 | 7,325,714 | ||||||
Life Mortgage Trust | ||||||||
2021-BMR, 4.22% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 03/15/38◊,5 | 6,880,791 | 6,518,610 | ||||||
Extended Stay America Trust | ||||||||
2021-ESH, 4.52% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/15/38◊,5 | 3,975,533 | 3,821,118 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2017-C38, 1.12% (WAC) due 07/15/50◊,7 | 22,897,828 | 807,508 | ||||||
2016-C37, 0.96% (WAC) due 12/15/49◊,7 | 27,093,245 | 654,790 | ||||||
2017-C42, 1.01% (WAC) due 12/15/50◊,7 | 14,474,113 | 516,543 | ||||||
2015-LC22, 0.92% (WAC) due 09/15/58◊,7 | 19,498,972 | 352,582 | ||||||
2017-RB1, 1.33% (WAC) due 03/15/50◊,7 | 8,497,271 | 340,453 | ||||||
2016-NXS5, 1.59% (WAC) due 01/15/59◊,7 | 5,059,958 | 176,174 | ||||||
KKR Industrial Portfolio Trust | ||||||||
2021-KDIP, 3.82% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/37◊,5 | 2,662,500 | 2,522,323 | ||||||
JPMDB Commercial Mortgage Securities Trust | ||||||||
2016-C4, 0.88% (WAC) due 12/15/49◊,7 | 37,250,305 | 921,152 | ||||||
2018-C8, 0.86% (WAC) due 06/15/51◊,7 | 36,915,515 | 749,905 | ||||||
2016-C2, 1.65% (WAC) due 06/15/49◊,7 | 6,451,413 | 256,062 | ||||||
2017-C5, 1.04% (WAC) due 03/15/50◊,7 | 3,123,607 | 89,446 | ||||||
BENCHMARK Mortgage Trust | ||||||||
2018-B2, 0.57% (WAC) due 02/15/51◊,7 | 112,113,283 | 1,637,527 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
DBJPM Mortgage Trust | ||||||||
2017-C6, 1.05% (WAC) due 06/10/50◊,7 | 51,520,962 | $ | 1,600,962 | |||||
COMM Mortgage Trust | ||||||||
2015-CR24, 0.84% (WAC) due 08/10/48◊,7 | 53,396,845 | 834,673 | ||||||
2018-COR3, 0.58% (WAC) due 05/10/51◊,7 | 35,251,513 | 709,958 | ||||||
Bank of America Merrill Lynch Commercial Mortgage Trust | ||||||||
2017-BNK3, 1.16% (WAC) due 02/15/50◊,7 | 29,406,648 | 1,026,566 | ||||||
2016-UB10, 1.91% (WAC) due 07/15/49◊,7 | 10,598,675 | 492,742 | ||||||
UBS Commercial Mortgage Trust | ||||||||
2017-C2, 1.24% (WAC) due 08/15/50◊,7 | 22,783,314 | 897,168 | ||||||
2017-C5, 1.19% (WAC) due 11/15/50◊,7 | 10,976,060 | 378,990 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
2017-C34, 0.91% (WAC) due 11/15/52◊,7 | 23,579,094 | 665,025 | ||||||
2015-C27, 1.02% (WAC) due 12/15/47◊,7 | 29,746,319 | 563,193 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
2019-C15, 1.20% (WAC) due 03/15/52◊,7 | 19,419,641 | 872,262 | ||||||
2016-C6, 2.03% (WAC) due 01/15/49◊,7 | 6,200,829 | 310,469 | ||||||
BBCMS Mortgage Trust | ||||||||
2018-C2, 0.93% (WAC) due 12/15/51◊,7 | 29,524,830 | 1,050,169 | ||||||
CD Mortgage Trust | ||||||||
2017-CD6, 1.02% (WAC) due 11/13/50◊,7 | 12,861,739 | 377,080 | ||||||
2016-CD1, 1.50% (WAC) due 08/10/49◊,7 | 5,813,955 | 222,139 | ||||||
CGMS Commercial Mortgage Trust | ||||||||
2017-B1, 0.88% (WAC) due 08/15/50◊,7 | 20,043,451 | 580,877 | ||||||
CD Commercial Mortgage Trust | ||||||||
2017-CD4, 1.38% (WAC) due 05/10/50◊,7 | 13,724,420 | 578,652 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
2016-C2, 1.88% (WAC) due 08/10/49◊,7 | 6,423,106 | 315,230 | ||||||
2016-GC37, 1.84% (WAC) due 04/10/49◊,7 | 2,873,680 | 126,334 | ||||||
GS Mortgage Securities Trust | ||||||||
2017-GS6, 1.16% (WAC) due 05/10/50◊,7 | 11,241,574 | 423,817 | ||||||
BANK | ||||||||
2017-BNK6, 0.91% (WAC) due 07/15/60◊,7 | 13,909,253 | 386,708 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
2013-C17, 0.88% (WAC) due 01/15/47◊,7 | 19,790,166 | 119,586 | ||||||
Total Commercial Mortgage-Backed Securities | 95,777,110 | |||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $1,187,765,668) | 1,121,967,383 | |||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 6.4% | ||||||||
Technology - 1.5% | ||||||||
Project Boost Purchaser LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26 | 13,084,375 | 12,364,734 | ||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26 | 2,463,991 | 2,334,632 | ||||||
Datix Bidco Ltd. | ||||||||
7.01% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/27/25††† | 13,798,857 | 13,452,506 | ||||||
Dun & Bradstreet | ||||||||
6.28% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 01/18/29 | 8,557,000 | 8,238,252 | ||||||
6.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26 | 701,526 | 677,148 | ||||||
Conair Holdings LLC | ||||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28 | 9,925,000 | 8,312,187 | ||||||
Boxer Parent Company, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25 | 7,188,283 | 6,796,378 | ||||||
Peraton Corp. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | 6,500,322 | 6,149,305 | ||||||
Wrench Group LLC | ||||||||
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/30/26 | 6,105,345 | 5,899,289 | ||||||
Polaris Newco LLC | ||||||||
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28 | 2,720,558 | 2,504,437 | ||||||
MACOM Technology Solutions Holdings, Inc. | ||||||||
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24 | 1,549,149 | 1,517,778 | ||||||
Sabre GLBL, Inc. | ||||||||
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24 | 1,446,106 | 1,423,518 | ||||||
Upland Software, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26 | 542,031 | 516,284 | ||||||
Emerald TopCo, Inc. (Press Ganey) | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 | 503,118 | 456,579 | ||||||
Total Technology | 70,643,027 | |||||||
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Consumer, Cyclical - 1.2% | ||||||||
BGIS (BIFM CA Buyer, Inc.) | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26 | 11,752,070 | $ | 11,370,128 | |||||
AlixPartners, LLP | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 02/04/28 | 8,767,747 | 8,404,499 | ||||||
Verisure Holding AB | ||||||||
3.47% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28 | EUR | 7,970,000 | 6,991,228 | |||||
3.75% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26 | EUR | 1,030,000 | 911,080 | |||||
Truck Hero, Inc. | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 01/31/28 | 4,925,000 | 4,280,662 | ||||||
Amaya Holdings BV | ||||||||
3.73% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 07/21/26 | EUR | 4,500,000 | 4,068,656 | |||||
Packers Holdings LLC | ||||||||
6.01% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28 | 4,186,723 | 3,833,489 | ||||||
Fertitta Entertainment LLC | ||||||||
7.03% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/27/29 | 3,930,250 | 3,639,569 | ||||||
Pacific Bells LLC | ||||||||
8.31% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28 | 2,580,701 | 2,400,052 | ||||||
New Trojan Parent, Inc. | ||||||||
6.04% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 01/06/28††† | 2,715,625 | 2,131,766 | ||||||
Rent-A-Center, Inc. | ||||||||
6.06% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28 | 2,240,875 | 2,027,992 | ||||||
Entain Holdings (Gibraltar) Ltd. | ||||||||
6.17% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.99%) due 03/29/27 | 1,481,250 | 1,438,664 | ||||||
Power Solutions (Panther) | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26 | 1,394,593 | 1,316,147 | ||||||
PAI Holdco, Inc. | ||||||||
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 10/28/27 | 1,086,250 | 1,027,408 | ||||||
Samsonite IP Holdings SARL | ||||||||
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/25/25 | 293,632 | 283,598 | ||||||
Cast & Crew Payroll LLC | ||||||||
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/26 | 33,112 | 32,202 | ||||||
Total Consumer, Cyclical | 54,157,140 | |||||||
Industrial - 1.1% | ||||||||
SkyMiles IP Ltd. | ||||||||
6.46% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 | 14,199,533 | 14,210,609 | ||||||
Mileage Plus Holdings LLC | ||||||||
8.78% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | 8,982,725 | 9,003,565 | ||||||
Filtration Group Corp. | ||||||||
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25 | 5,297,929 | 5,077,747 | ||||||
4.19% (1 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25 | EUR | 2,345,244 | 2,185,561 | |||||
TransDigm, Inc. | ||||||||
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/22/24 | 3,982,119 | 3,875,677 | ||||||
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25 | 1,816,371 | 1,737,432 | ||||||
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25 | 925,973 | 887,119 | ||||||
Harsco Corporation | ||||||||
5.38% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 03/10/28 | 3,950,000 | 3,606,034 | ||||||
Charter Next Generation, Inc. | ||||||||
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27 | 3,406,658 | 3,225,697 | ||||||
Ravago Holdings America, Inc. | ||||||||
6.18% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/06/28 | 1,970,000 | 1,886,275 | ||||||
TAMKO Building Products, Inc. | ||||||||
6.08% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/29/26 | 1,768,101 | 1,665,693 | ||||||
CPM Holdings, Inc. | ||||||||
6.06% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/17/25 | 1,502,310 | 1,445,973 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25 | 1,371,364 | 1,308,185 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
NA Rail Hold Co. LLC | ||||||||
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.25%) due 10/19/26 | 1,078,915 | $ | 1,039,804 | |||||
Park River Holdings, Inc. | ||||||||
5.53% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27 | 987,494 | 834,017 | ||||||
BWAY Holding Co. | ||||||||
5.81% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | 779,434 | 724,390 | ||||||
Total Industrial | 52,713,778 | |||||||
Communications - 1.0% | ||||||||
Internet Brands, Inc. | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24 | 13,994,453 | 13,309,984 | ||||||
Playtika Holding Corp. | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28 | 10,441,000 | 9,980,656 | ||||||
Recorded Books, Inc. | ||||||||
7.08% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 08/29/25 | 9,005,342 | 8,645,128 | ||||||
McGraw Hill LLC | ||||||||
8.32% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28 | 6,930,000 | 6,375,600 | ||||||
UPC Broadband Holding BV | ||||||||
5.74% (1 Month USD LIBOR + 2.93%, Rate Floor: 2.93%) due 01/31/29 | 5,850,000 | 5,572,125 | ||||||
Authentic Brands | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24 | 1,432,369 | 1,396,202 | ||||||
Zayo Group Holdings, Inc. | ||||||||
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27 | 1,500,000 | 1,248,945 | ||||||
Altice US Finance I Corp. | ||||||||
5.07% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/26 | 458,375 | 428,008 | ||||||
Ziggo Financing Partnership | ||||||||
5.32% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28 | 400,000 | 381,200 | ||||||
Virgin Media Bristol LLC | ||||||||
5.32% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28 | 200,000 | 190,556 | ||||||
Total Communications | 47,528,404 | |||||||
Consumer, Non-cyclical - 0.6% | ||||||||
Medline Borrower LP | ||||||||
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 10/23/28 | 10,024,875 | 9,200,931 | ||||||
Women’s Care Holdings, Inc. | ||||||||
7.87% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28 | 4,670,875 | 4,351,714 | ||||||
Bombardier Recreational Products, Inc. | ||||||||
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27 | 4,135,867 | 3,949,753 | ||||||
Spectrum Brands, Inc. | ||||||||
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 03/03/28 | 3,262,552 | 3,091,269 | ||||||
Sigma Holding BV (Flora Food) | ||||||||
3.74% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25 | EUR | 3,700,000 | 2,894,072 | |||||
Hearthside Group Holdings LLC | ||||||||
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25 | 2,067,857 | 1,631,891 | ||||||
Agiliti | ||||||||
5.38% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/04/26 | 742,308 | 716,327 | ||||||
Kronos Acquisition Holdings, Inc. | ||||||||
6.82% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | 491,250 | 453,861 | ||||||
EyeCare Partners LLC | ||||||||
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27 | 491,250 | 444,581 | ||||||
Froneri US, Inc. | ||||||||
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27 | 439,875 | 414,252 | ||||||
Outcomes Group Holdings, Inc. | ||||||||
7.17% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 10/24/25 | 384,718 | 368,048 | ||||||
Pearl Intermediate Parent LLC | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 02/14/25 | 392,803 | 360,397 | ||||||
Utz Quality Foods LLC | ||||||||
6.15% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 01/20/28 | 295,501 | 286,266 | ||||||
Total Consumer, Non-cyclical | 28,163,362 | |||||||
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Financial - 0.5% | ||||||||
USI, Inc. | ||||||||
6.42% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/16/24 | 5,911,475 | $ | 5,744,003 | |||||
HUB International Ltd. | ||||||||
5.77% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25 | 4,943,680 | 4,746,971 | ||||||
5.98% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 04/25/25 | 972,675 | 935,597 | ||||||
Nexus Buyer LLC | ||||||||
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 | 4,542,479 | 4,352,285 | ||||||
Jane Street Group LLC | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28 | 2,611,226 | 2,500,798 | ||||||
Trans Union LLC | ||||||||
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28 | 2,090,985 | 2,021,732 | ||||||
Citadel Securities, LP | ||||||||
5.65% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 02/02/28 | 808,321 | 783,869 | ||||||
Total Financial | 21,085,255 | |||||||
Basic Materials - 0.4% | ||||||||
Trinseo Materials Operating S.C.A. | ||||||||
5.62% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28 | 10,961,250 | 10,026,146 | ||||||
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/06/24 | 1,812,086 | 1,735,978 | ||||||
INEOS Ltd. | ||||||||
3.44% (1 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26 | EUR | 8,100,000 | 7,029,209 | |||||
GrafTech Finance, Inc. | ||||||||
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25 | 541,139 | 504,612 | ||||||
Total Basic Materials | 19,295,945 | |||||||
Energy - 0.1% | ||||||||
ITT Holdings LLC | ||||||||
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28 | 2,920,500 | 2,781,776 | ||||||
Venture Global Calcasieu Pass LLC | ||||||||
5.74% (1 Month USD LIBOR + 2.63%, Rate Floor: 2.63%) due 08/19/26††† | 841,798 | 839,693 | ||||||
Total Energy | 3,621,469 | |||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $321,875,407) | 297,208,380 | |||||||
FOREIGN GOVERNMENT DEBT†† - 1.4% | ||||||||
State of Israel | ||||||||
1.25% due 11/30/22 | ILS | 233,849,000 | 65,591,037 | |||||
Total Foreign Government Debt | ||||||||
(Cost $73,665,893) | 65,591,037 | |||||||
MUNICIPAL BONDS†† - 0.1% | ||||||||
California - 0.1% | ||||||||
California Public Finance Authority Revenue Bonds | ||||||||
1.55% due 10/15/26 | 3,145,000 | 2,681,913 | ||||||
Total Municipal Bonds | ||||||||
(Cost $3,145,000) | 2,681,913 | |||||||
Contracts | ||||||||
LISTED OPTIONS PURCHASED† - 0.5% | ||||||||
Put Options on: | ||||||||
Equity Options | ||||||||
S&P 500 Index Expiring April 2023 with strike price of $4,000.00 (Notional Value $79,242,202) | 221 | 10,210,200 | ||||||
S&P 500 Index Expiring November 2022 with strike price of $3,800.00 (Notional Value $100,038,798) | 279 | 7,062,885 | ||||||
S&P 500 Index Expiring December 2022 with strike price of $3,600.00 (Notional Value $110,437,096) | 308 | 5,354,580 | ||||||
Total Equity Options | 22,627,665 | |||||||
Total Listed Options Purchased | ||||||||
(Cost $13,977,501) | 22,627,665 | |||||||
Total Investments - 106.3% | ||||||||
(Cost $5,335,185,971) | $ | 4,915,018,922 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
|
| Value | ||||||
LISTED OPTIONS WRITTEN† - (0.1)% | ||||||||
Call Options on: | ||||||||
Equity Options | ||||||||
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $27,225) | 33 | $ | — | |||||
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $26,400) | 32 | — | ||||||
Total Equity Options | — | |||||||
Put Options on: | ||||||||
Equity Options | ||||||||
S&P 500 Index Expiring December 2022 with strike price of $3,200.00 (Notional Value $110,437,096) | 308 | (1,918,840 | ) | |||||
S&P 500 Index Expiring November 2022 with strike price of $3,400.00 (Notional Value $100,038,798) | 279 | (2,138,535 | ) | |||||
Total Equity Options | (4,057,375 | ) | ||||||
Total Listed Options Written | ||||||||
(Premiums received $2,944,002) | (4,057,375 | ) | ||||||
|
| |||||||
OTC INTEREST RATE SWAPTIONS WRITTEN††,11 - (0.1)% | ||||||||
Put Swaptions on: | ||||||||
Interest Rate Swaptions | ||||||||
Bank of America, N.A. 5-Year Interest Rate Swap Expiring November 2022 with exercise rate of 3.30% | $ | 82,650,000 | (2,351,047 | ) | ||||
Total OTC Interest Rate Swaptions Written | ||||||||
(Premiums received $681,863) | (2,351,047 | ) | ||||||
Other Assets & Liabilities, net - (6.1)% | (280,721,063 | ) | ||||||
Total Net Assets - 100.0% | $ | 4,627,889,437 | ||||||
Centrally Cleared Credit Default Swap Agreements Protection Sold†† | |||||||||||||||||||||||||||
Counterparty | Exchange | Index | Protection | Payment | Maturity | Notional | Value | Upfront | Unrealized | ||||||||||||||||||
BofA Securities, Inc. | ICE | CDX.NA.IG.33.V1 | 1.00% | Quarterly | 12/20/24 | $ | 30,000,000 | $ | 75,628 | $ | 471,876 | $ | (396,248 | ) | |||||||||||||
Centrally Cleared Interest Rate Swap Agreements†† | |||||||||||||||||||||||||||||||
Counterparty | Exchange | Floating | Floating | Fixed | Payment | Maturity | Notional | Value | Upfront | Unrealized | |||||||||||||||||||||
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 2.80% | Annually | 07/22/32 | $ | 115,000,000 | $ | 7,301,459 | $ | 1,196 | $ | 7,300,263 | |||||||||||||||||
BofA Securities, Inc. | CME | Receive | U.S. Secured Overnight Financing Rate | 2.68% | Annually | 04/22/37 | 3,157,000 | 255,416 | 321 | 255,095 | |||||||||||||||||||||
BofA Securities, Inc. | CME | Pay | U.S. Secured Overnight Financing Rate | 3.79% | Annually | 10/03/27 | 490,000,000 | (390,236 | ) | (191,493 | ) | (198,743 | ) | ||||||||||||||||||
| $ | 7,166,639 | $ | (189,976 | ) | $ | 7,356,615 | |||||||||||||||||||||||||
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
Barclays Bank plc | ILS | Sell | 153,948,600 | 48,811,136 USD | 11/30/22 | $ | 5,350,487 | |||||||||||||||||
UBS AG | ILS | Sell | 82,823,513 | 26,227,630 USD | 11/30/22 | 2,846,037 | ||||||||||||||||||
Bank of America, N.A. | EUR | Sell | 47,212,000 | 47,282,346 USD | 10/17/22 | 966,628 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Buy | 495,000 | 485,210 USD | 10/17/22 | 393 | ||||||||||||||||||
Morgan Stanley Capital Services LLC | CZK | Sell | 164,100 | 6,368 USD | 12/02/22 | (138 | ) | |||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Sell | 1,028,000 | 1,003,785 USD | 12/30/22 | (11,184 | ) | |||||||||||||||||
| $ | 9,152,223 | |||||||||||||||||||||||
OTC Interest Rate Swaptions Written11 | ||||||||||||||||||||||||||||||||
Counterparty/Description | Floating | Floating | Payment | Fixed | Expiration | Exercise | Swaption | Swaption | ||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||
Bank of America, N.A. 5-Year Interest Rate Swap | Pay | SOFR | Annual | 3.30% | 11/30/22 | 3.30% | $ | 82,650,000 | $ | (2,351,047 | ) | |||||||||||||||||||||
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
◊ | Variable rate security. Rate indicated is the rate effective at September 30, 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 September 30, 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 $2,812,834,370 (cost $3,078,611,954), or 60.8% 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 $61,594,090 (cost $64,964,899), or 1.3% 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 September 30, 2022. See table below for additional step information for each security. |
11 | Swaptions — See additional disclosure in the swaptions table above for more information on swaptions. |
12 | Security is unsettled at period end and does not have a stated effective rate |
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 | |
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 | |
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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 17,833,149 | $ | 967,230 | $ | — | $ | 18,800,379 | ||||||||
Preferred Stocks | — | 27,641,394 | — | 27,641,394 | ||||||||||||
Warrants | 62,714 | — | — | 62,714 | ||||||||||||
Mutual Funds | 87,149,145 | — | — | 87,149,145 | ||||||||||||
Money Market Fund | 85,869,895 | — | — | 85,869,895 | ||||||||||||
Corporate Bonds | — | 1,620,828,421 | 39,180,570 | 1,660,008,991 | ||||||||||||
Asset-Backed Securities | — | 1,386,419,166 | 138,990,860 | 1,525,410,026 | ||||||||||||
Collateralized Mortgage Obligations | — | 1,097,523,389 | 24,443,994 | 1,121,967,383 | ||||||||||||
Senior Floating Rate Interests | — | 280,784,415 | 16,423,965 | 297,208,380 | ||||||||||||
Foreign Government Debt | — | 65,591,037 | — | 65,591,037 | ||||||||||||
Municipal Bonds | — | 2,681,913 | — | 2,681,913 | ||||||||||||
Options Purchased | 22,627,665 | — | — | 22,627,665 | ||||||||||||
Interest Rate Swap Agreements** | — | 7,555,358 | — | 7,555,358 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 9,163,545 | — | 9,163,545 | ||||||||||||
Total Assets | $ | 213,542,568 | $ | 4,499,155,868 | $ | 219,039,389 | $ | 4,931,737,825 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Options Written | $ | 4,057,375 | $ | — | $ | — | $ | 4,057,375 | ||||||||
Interest Rate Swaptions Written | — | 2,351,047 | — | 2,351,047 | ||||||||||||
Credit Default Swap Agreements** | — | 396,248 | — | 396,248 | ||||||||||||
Interest Rate Swap Agreements** | — | 198,743 | — | 198,743 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 11,322 | — | 11,322 | ||||||||||||
Unfunded Loan Commitments (Note 8) | — | — | — | * | — | |||||||||||
Total Liabilities | $ | 4,057,375 | $ | 2,957,360 | $ | — | $ | 7,014,735 | ||||||||
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category | Ending Balance at | Valuation Technique | Unobservable | Input | Weighted | |||||||||||||||
Assets: | ||||||||||||||||||||
Asset-Backed Securities | $ | 71,719,951 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | ||||||||||||||
Asset-Backed Securities | 50,901,091 | Third Party Pricing | Broker Quote | — | — | |||||||||||||||
Asset-Backed Securities | 16,369,608 | Yield Analysis | Yield | 6.4%-6.9% | 6.8% | |||||||||||||||
Asset-Backed Securities | 210 | Model Price | Purchase Price | — | — | |||||||||||||||
Collateralized Mortgage Obligations | 24,443,994 | Model Price | Market Comparable Yields | 6.9% | — | |||||||||||||||
Corporate Bonds | 19,968,469 | Yield Analysis | Yield | 5.9%-6.4% | 6.1% | |||||||||||||||
Corporate Bonds | 19,212,101 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||||||||||
Senior Floating Rate Interests | 13,452,506 | Yield Analysis | Yield | 9.3% | — | |||||||||||||||
Senior Floating Rate Interests | 2,971,459 | Third Party Pricing | Broker Quote | — | — | |||||||||||||||
Total Assets | $ | 219,039,389 |
|
|
|
| ||||||||||||||
* | Inputs are weighted by the fair value of the instruments. |
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2022 |
LIMITED DURATION FUND |
Significant changes in a quote, yield or market comparable yields, liquidation value or valuation multiples would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.
The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $26,575,970 transfer into Level 3 from Level 2 due to a lack of observable inputs.
Summary of Fair Value Level 3 Activity
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2022:
Assets | Liabilities | |||||||||||||||||||||||
| Asset-Backed | Collateralized | Corporate | Senior Floating | Total Assets | Unfunded Loan | ||||||||||||||||||
Beginning Balance | $ | 154,979,007 | $ | 15,055,608 | $ | 29,476,831 | $ | 11,578,109 | $ | 211,089,555 | $ | (28,373 | ) | |||||||||||
Purchases/(Receipts) | 78,747,031 | — | 13,860,001 | 13,915,329 | 106,522,361 | — | ||||||||||||||||||
(Sales, maturities and paydowns)/Fundings | (88,458,123 | ) | (15,055,608 | ) | (1,099,294 | ) | (11,255,401 | ) | (115,868,426 | ) | 44,692 | |||||||||||||
Amortization of premiums/discounts | 95,064 | (34 | ) | (148,674 | ) | 123,140 | 69,496 | — | ||||||||||||||||
Total realized gains (losses) included in earnings | 60,967 | (7,042 | ) | — | 26,909 | 80,834 | — | |||||||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | (6,433,296 | ) | 7,076 | (2,908,294 | ) | (95,887 | ) | (9,430,401 | ) | (16,319 | ) | |||||||||||||
Transfers into Level 3 | 210 | 24,443,994 | — | 2,131,766 | 26,575,970 | — | ||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | — | ||||||||||||||||||
Ending Balance | $ | 138,990,860 | $ | 24,443,994 | $ | 39,180,570 | $ | 16,423,965 | $ | 219,039,389 | $ | — | ||||||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022 | $ | (6,433,296 | ) | $ | — | $ | (2,908,294 | ) | $ | (51,845 | ) | $ | (9,393,435 | ) | $ | — | ||||||||
Step Coupon Bonds
The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.
Name | Coupon Rate at | Next Rate Reset Date | Future Reset Rate(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 | ||||||||||
Citigroup Mortgage Loan Trust 2022-A, 6.17% due 09/25/62 | 9.17 | % | 09/25/25 | — | — | |||||||||||
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 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2022 |
LIMITED DURATION FUND |
Name | Coupon Rate at | Next Rate Reset Date | Future Reset Rate(s) | Future Reset Date(s) | ||||||||||||
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 | ||||||||||
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62 | 8.25 | % | 07/01/25 | — | — | |||||||||||
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 | % | 02/25/25 | 7.72 | % | 2/25/26 | ||||||||||
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 | — | — | |||||||||||
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 year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 29,873,632 | $ | 607,822 | $ | — | $ | — | $ | (1,230,122 | ) | $ | 29,251,332 | 1,220,331 | $ | 601,900 | ||||||||||||||||
Guggenheim Strategy Fund III | 30,067,520 | 630,431 | — | — | (1,352,073 | ) | 29,345,878 | 1,221,727 | 624,340 | |||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 29,235,779 | 436,766 | — | — | (1,120,610 | ) | 28,551,935 | 2,977,261 | 431,986 | |||||||||||||||||||||||
| $ | 89,176,931 | $ | 1,675,019 | $ | — | $ | — | $ | (3,702,805 | ) | $ | 87,149,145 | $ | 1,658,226 | ||||||||||||||||||
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LIMITED DURATION FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2022 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $5,245,892,298) | $ | 4,827,869,777 | ||
Investments in affiliated issuers, at value (cost $89,293,673) | 87,149,145 | |||
Foreign currency, at value (cost 230,865) | 230,865 | |||
Cash | 168,369 | |||
Segregated cash with broker | 255,000 | |||
Unamortized upfront premiums paid on credit default swap agreements | 471,876 | |||
Unamortized upfront premiums paid on interest rate swap agreements | 1,517 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 9,163,545 | |||
Prepaid expenses | 179,535 | |||
Receivables: | ||||
Securities sold | 286,918,626 | |||
Interest | 26,978,085 | |||
Variation margin on interest rate swap agreements | 22,147,198 | |||
Fund shares sold | 6,827,353 | |||
Dividends | 265,473 | |||
Protection fees on credit default swap agreements | 9,167 | |||
Variation margin on credit default swap agreements | 1,088 | |||
Total assets | 5,268,636,619 | |||
Liabilities: | ||||
Unfunded commitments, at value (Note 8) (commitment fees received $—) | — | |||
Options written, at value (premiums received $3,625,865) | 6,408,422 | |||
Segregated cash due to broker | 23,937,840 | |||
Unamortized upfront premiums received on interest rate swap agreements | 191,493 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 11,322 | |||
Payable for: | ||||
Securities purchased | 581,490,703 | |||
Fund shares redeemed | 23,647,333 | |||
Distributions to shareholders | 1,454,372 | |||
Management fees | 1,395,935 | |||
Transfer agent/maintenance fees | 491,693 | |||
Distribution and service fees | 186,556 | |||
Fund accounting/administration fees | 39,729 | |||
Trustees’ fees* | 5,228 | |||
Due to Investment Adviser | 387 | |||
Miscellaneous | 1,486,169 | |||
Total liabilities | 640,747,182 | |||
Net assets | $ | 4,627,889,437 | ||
Net assets consist of: | ||||
Paid in capital | $ | 5,037,473,279 | ||
Total distributable earnings (loss) | (409,583,842 | ) | ||
Net assets | $ | 4,627,889,437 | ||
A-Class: | ||||
Net assets | $ | 549,666,653 | ||
Capital shares outstanding | 23,609,755 | |||
Net asset value per share | $ | 23.28 | ||
Maximum offering price per share (Net asset value divided by 97.75%) | $ | 23.82 | ||
C-Class: | ||||
Net assets | $ | 62,863,998 | ||
Capital shares outstanding | 2,701,977 | |||
Net asset value per share | $ | 23.27 | ||
P-Class: | ||||
Net assets | $ | 80,734,771 | ||
Capital shares outstanding | 3,467,887 | |||
Net asset value per share | $ | 23.28 | ||
Institutional Class: | ||||
Net assets | $ | 3,907,124,716 | ||
Capital shares outstanding | 167,855,231 | |||
Net asset value per share | $ | 23.28 | ||
R6-Class: | ||||
Net assets | $ | 27,499,299 | ||
Capital shares outstanding | 1,182,045 | |||
Net asset value per share | $ | 23.26 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
LIMITED DURATION FUND |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2022 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 1,776,488 | ||
Dividends from securities of affiliated issuers | 1,658,226 | |||
Interest (net of foreign withholding tax of $18,269) | 132,067,785 | |||
Total investment income | 135,502,499 | |||
Expenses: | ||||
Management fees | 21,572,847 | |||
Distribution and service fees: | ||||
A-Class | 1,797,980 | |||
C-Class | 769,466 | |||
P-Class | 251,891 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 519,066 | |||
C-Class | 82,361 | |||
P-Class | 222,265 | |||
Institutional Class | 4,037,299 | |||
R6-Class | 685 | |||
Fund accounting/administration fees | 3,308,297 | |||
Professional fees | 364,208 | |||
Line of credit fees | 260,395 | |||
Custodian fees | 85,343 | |||
Trustees’ fees* | 74,774 | |||
Interest expense | 7,753 | |||
Miscellaneous | 596,971 | |||
Recoupment of previously waived fees: | ||||
A-Class | 14,211 | |||
R6-Class | 6,078 | |||
Total expenses | 33,971,890 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (426,910 | ) | ||
C-Class | (72,841 | ) | ||
P-Class | (208,756 | ) | ||
Institutional Class | (3,453,453 | ) | ||
R6-Class | (2,418 | ) | ||
Expenses waived by Adviser | (129,340 | ) | ||
Earnings credits applied | (10,367 | ) | ||
Total waived/reimbursed expenses | (4,304,085 | ) | ||
Net expenses | 29,667,805 | |||
Net investment income | 105,834,694 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (35,512,874 | ) | ||
Investments sold short | 187,008 | |||
Swap agreements | 16,910,365 | |||
Futures contracts | 145,825 | |||
Options purchased | 8,044,609 | |||
Options written | (2,516,416 | ) | ||
Forward foreign currency exchange contracts | 15,086,577 | |||
Foreign currency transactions | 597,745 | |||
Net realized gain | 2,942,839 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (466,624,463 | ) | ||
Investments in affiliated issuers | (3,702,805 | ) | ||
Investments sold short | (197,620 | ) | ||
Swap agreements | 4,954,282 | |||
Options purchased | 5,879,246 | |||
Options written | (3,292,000 | ) | ||
Forward foreign currency exchange contracts | 7,880,439 | |||
Foreign currency translations | (77,255 | ) | ||
Net change in unrealized appreciation (depreciation) | (455,180,176 | ) | ||
Net realized and unrealized loss | (452,237,337 | ) | ||
Net decrease in net assets resulting from operations | $ | (346,402,643 | ) | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LIMITED DURATION FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 105,834,694 | $ | 75,023,145 | ||||
Net realized gain on investments | 2,942,839 | 39,432,273 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (455,180,176 | ) | (41,106,516 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (346,402,643 | ) | 73,348,902 | |||||
Distributions to shareholders: | ||||||||
A-Class | (15,229,714 | ) | (15,056,137 | ) | ||||
C-Class | (1,053,900 | ) | (1,100,964 | ) | ||||
P-Class | (2,173,183 | ) | (3,167,298 | ) | ||||
Institutional Class | (109,271,775 | ) | (82,692,217 | ) | ||||
R6-Class | (826,365 | ) | (842,004 | ) | ||||
Total distributions to shareholders | (128,554,937 | ) | (102,858,620 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 160,235,607 | 537,507,580 | ||||||
C-Class | 11,936,961 | 27,038,454 | ||||||
P-Class | 53,405,339 | 68,322,487 | ||||||
Institutional Class | 2,719,216,190 | 3,456,236,145 | ||||||
R6-Class | 6,914,200 | 23,737,430 | ||||||
Distributions reinvested | ||||||||
A-Class | 12,605,568 | 12,214,080 | ||||||
C-Class | 856,214 | 884,729 | ||||||
P-Class | 2,173,183 | 3,160,020 | ||||||
Institutional Class | 90,897,272 | 65,470,318 | ||||||
R6-Class | 826,365 | 841,976 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (417,792,556 | ) | (314,667,489 | ) | ||||
C-Class | (33,537,200 | ) | (23,334,185 | ) | ||||
P-Class | (121,847,857 | ) | (65,716,372 | ) | ||||
Institutional Class | (3,467,436,046 | ) | (1,449,568,811 | ) | ||||
R6-Class | (21,559,738 | ) | (11,439,188 | ) | ||||
Net increase (decrease) from capital share transactions | (1,003,106,498 | ) | 2,330,687,174 | |||||
Net increase (decrease) in net assets | (1,478,064,078 | ) | 2,301,177,456 | |||||
Net assets: | ||||||||
Beginning of year | 6,105,953,515 | 3,804,776,059 | ||||||
End of year | $ | 4,627,889,437 | $ | 6,105,953,515 | ||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
LIMITED DURATION FUND |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
| Year Ended | Year Ended | ||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 6,516,599 | 21,056,345 | ||||||
C-Class | 487,090 | 1,059,662 | ||||||
P-Class | 2,172,486 | 2,677,514 | ||||||
Institutional Class | 111,021,579 | 135,555,309 | ||||||
R6-Class | 280,583 | 931,064 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 514,766 | 478,808 | ||||||
C-Class | 35,053 | 34,690 | ||||||
P-Class | 88,801 | 123,858 | ||||||
Institutional Class | 3,720,350 | 2,567,621 | ||||||
R6-Class | 33,955 | 33,034 | ||||||
Shares redeemed | ||||||||
A-Class | (17,070,775 | ) | (12,344,754 | ) | ||||
C-Class | (1,370,571 | ) | (915,145 | ) | ||||
P-Class | (4,908,204 | ) | (2,577,262 | ) | ||||
Institutional Class | (142,043,580 | ) | (56,850,821 | ) | ||||
R6-Class | (873,618 | ) | (448,608 | ) | ||||
Net increase (decrease) in shares | (41,395,486 | ) | 91,381,315 | |||||
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LIMITED DURATION FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.42 | $ | 25.57 | $ | 24.68 | $ | 24.70 | $ | 24.86 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .42 | .34 | .40 | .54 | .51 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.04 | ) | .01 | i | .94 | .01 | (.09 | ) | ||||||||||||
Total from investment operations | (1.62 | ) | .35 | 1.34 | .55 | .42 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.43 | ) | (.38 | ) | (.45 | ) | (.57 | ) | (.57 | ) | ||||||||||
Net realized gains | (.09 | ) | (.12 | ) | — | — | b | (.01 | ) | |||||||||||
Total distributions | (.52 | ) | (.50 | ) | (.45 | ) | (.57 | ) | (.58 | ) | ||||||||||
Net asset value, end of period | $ | 23.28 | $ | 25.42 | $ | 25.57 | $ | 24.68 | $ | 24.70 | ||||||||||
| ||||||||||||||||||||
Total Returnc | (6.42 | %) | 1.38 | % | 5.51 | % | 2.27 | % | 1.69 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 549,667 | $ | 855,473 | $ | 625,386 | $ | 570,353 | $ | 627,570 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.69 | % | 1.32 | % | 1.60 | % | 2.18 | % | 2.07 | % | ||||||||||
Total expensesd | 0.80 | % | 0.79 | % | 0.84 | % | 0.83 | % | 0.81 | % | ||||||||||
Net expensese,f,g | 0.74 | % | 0.74 | % | 0.77 | % | 0.75 | % | 0.75 | % | ||||||||||
Portfolio turnover rate | 23 | % | 80 | % | 123 | % | 72 | % | 45 | % | ||||||||||
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.41 | $ | 25.55 | $ | 24.66 | $ | 24.68 | $ | 24.84 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .24 | .15 | .21 | .35 | .33 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.04 | ) | .02 | i | .95 | .02 | (.10 | ) | ||||||||||||
Total from investment operations | (1.80 | ) | .17 | 1.16 | .37 | .23 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.25 | ) | (.19 | ) | (.27 | ) | (.39 | ) | (.38 | ) | ||||||||||
Net realized gains | (.09 | ) | (.12 | ) | — | — | b | (.01 | ) | |||||||||||
Total distributions | (.34 | ) | (.31 | ) | (.27 | ) | (.39 | ) | (.39 | ) | ||||||||||
Net asset value, end of period | $ | 23.27 | $ | 25.41 | $ | 25.55 | $ | 24.66 | $ | 24.68 | ||||||||||
| ||||||||||||||||||||
Total Returnc | (7.13 | %) | 0.67 | % | 4.72 | % | 1.51 | % | 0.94 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 62,864 | $ | 90,205 | $ | 86,143 | $ | 85,100 | $ | 70,981 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.96 | % | 0.58 | % | 0.85 | % | 1.42 | % | 1.34 | % | ||||||||||
Total expensesd | 1.58 | % | 1.58 | % | 1.61 | % | 1.60 | % | 1.59 | % | ||||||||||
Net expensese,f,g | 1.49 | % | 1.49 | % | 1.52 | % | 1.50 | % | 1.51 | % | ||||||||||
Portfolio turnover rate | 23 | % | 80 | % | 123 | % | 72 | % | 45 | % | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
LIMITED DURATION FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.42 | $ | 25.57 | $ | 24.68 | $ | 24.70 | $ | 24.86 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .42 | .34 | .40 | .54 | .52 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.04 | ) | .01 | i | .94 | .01 | (.10 | ) | ||||||||||||
Total from investment operations | (1.62 | ) | .35 | 1.34 | .55 | .42 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.43 | ) | (.38 | ) | (.45 | ) | (.57 | ) | (.57 | ) | ||||||||||
Net realized gains | (.09 | ) | (.12 | ) | — | — | b | (.01 | ) | |||||||||||
Total distributions | (.52 | ) | (.50 | ) | (.45 | ) | (.57 | ) | (.58 | ) | ||||||||||
Net asset value, end of period | $ | 23.28 | $ | 25.42 | $ | 25.57 | $ | 24.68 | $ | 24.70 | ||||||||||
| ||||||||||||||||||||
Total Return | (6.42 | %) | 1.38 | % | 5.50 | % | 2.27 | % | 1.69 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 80,735 | $ | 155,465 | $ | 150,623 | $ | 108,691 | $ | 189,965 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.67 | % | 1.33 | % | 1.60 | % | 2.18 | % | 2.12 | % | ||||||||||
Total expensesd | 0.95 | % | 0.83 | % | 0.90 | % | 0.88 | % | 0.87 | % | ||||||||||
Net expensese,f,g | 0.74 | % | 0.74 | % | 0.77 | % | 0.75 | % | 0.75 | % | ||||||||||
Portfolio turnover rate | 23 | % | 80 | % | 123 | % | 72 | % | 45 | % | ||||||||||
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.42 | $ | 25.56 | $ | 24.67 | $ | 24.69 | $ | 24.85 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .49 | .40 | .46 | .60 | .58 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.05 | ) | .03 | i | .95 | .01 | (.11 | ) | ||||||||||||
Total from investment operations | (1.56 | ) | .43 | 1.41 | .61 | .47 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.49 | ) | (.45 | ) | (.52 | ) | (.63 | ) | (.62 | ) | ||||||||||
Net realized gains | (.09 | ) | (.12 | ) | — | — | b | (.01 | ) | |||||||||||
Total distributions | (.58 | ) | (.57 | ) | (.52 | ) | (.63 | ) | (.63 | ) | ||||||||||
Net asset value, end of period | $ | 23.28 | $ | 25.42 | $ | 25.56 | $ | 24.67 | $ | 24.69 | ||||||||||
| ||||||||||||||||||||
Total Return | (6.19 | %) | 1.67 | % | 5.77 | % | 2.52 | % | 1.95 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,907,125 | $ | 4,960,578 | $ | 2,911,309 | $ | 2,421,315 | $ | 2,629,316 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.97 | % | 1.58 | % | 1.85 | % | 2.43 | % | 2.35 | % | ||||||||||
Total expensesd | 0.56 | % | 0.56 | % | 0.59 | % | 0.57 | % | 0.56 | % | ||||||||||
Net expensese,f,g | 0.49 | % | 0.49 | % | 0.52 | % | 0.50 | % | 0.50 | % | ||||||||||
Portfolio turnover rate | 23 | % | 80 | % | 123 | % | 72 | % | 45 | % | ||||||||||
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LIMITED DURATION FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
R6-Class | Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||
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)a | .48 | .40 | .48 | .31 | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.04 | ) | .02 | i | .93 | .14 | ||||||||||
Total from investment operations | (1.56 | ) | .42 | 1.41 | .45 | |||||||||||
Less distributions from: | ||||||||||||||||
Net investment income | (.49 | ) | (.45 | ) | (.52 | ) | (.37 | ) | ||||||||
Net realized gains | (.09 | ) | (.12 | ) | — | — | ||||||||||
Total distributions | (.58 | ) | (.57 | ) | (.52 | ) | (.37 | ) | ||||||||
Net asset value, end of period | $ | 23.26 | $ | 25.40 | $ | 25.55 | $ | 24.66 | ||||||||
| ||||||||||||||||
Total Return | (6.19 | %) | 1.64 | % | 5.78 | % | 1.83 | % | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 27,499 | $ | 44,232 | $ | 31,315 | $ | 314,764 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | 1.94 | % | 1.58 | % | 1.96 | % | 2.24 | % | ||||||||
Total expensesd | 0.49 | % | 0.49 | % | 0.53 | % | 0.51 | % | ||||||||
Net expensese,f,g | 0.49 | % | 0.49 | % | 0.52 | % | 0.50 | % | ||||||||
Portfolio turnover rate | 23 | % | 80 | % | 123 | % | 72 | % | ||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Less than $0.01 per share. |
c | Total return does not reflect the impact of any applicable sales charges. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 9/30/18 |
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%*h | — |
* | Less than 0.01%. |
g | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/22 | 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 |
A-Class | 0.73% | 0.73% | 0.75% | 0.75% | 0.75% |
C-Class | 1.48% | 1.48% | 1.50% | 1.50% | 1.50% |
P-Class | 0.73% | 0.73% | 0.75% | 0.75% | 0.75% |
Institutional Class | 0.48% | 0.48% | 0.50% | 0.50% | 0.50% |
R6-Class | 0.48% | 0.48% | 0.50% | 0.50%h | N/A |
h | Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
i | The amount shown for a share outstanding throughout the year does not agree with the aggregate net loss on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 8-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Limited Duration Fund (the “Fund”), a diversified investment company. At September 30, 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” or the “Adviser”), 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”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and/or other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and/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 Adviser, with the assistance of the Valuation Committee, convenes monthly, or
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly review the appropriateness of the inputs, methods, models and assumptions employed by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
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 generally 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.
Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service.
Repurchase agreements are valued at amortized cost, provided such amounts approximate 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 Adviser.
Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded.
The value of futures contracts are valued on the basis of the last sale price at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The value of interest rate swap agreements entered into by the Fund is valued on the basis of the last sale price on the primary exchange on which the swap is traded.
The value of other swap agreements entered into by the Fund are generally valued using an evaluated price provided by a third party pricing vendor.
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
NOTES TO FINANCIAL STATEMENTS (continued) |
(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.
(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 proceeds from the investments of collaterals pledged on 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).
The Fund may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the options. The swaptions are forward premium swaptions which have extended settlement dates.
(g) Futures Contracts
Upon entering into a futures contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(h) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
(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. 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.
(j) 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.
(k) Foreign Taxes
The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2022, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
(l) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized
THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
NOTES TO FINANCIAL STATEMENTS (continued) |
gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.
The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.
(m) Distributions
The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.
(n) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.
(o) Earnings Credits
Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2022, are disclosed in the Statement of Operations.
(p) Cash
The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 1.58% at September 30, 2022.
(q) Indemnifications
Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
(r) Special Purpose Acquisition Companies
The Fund may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities,
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
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.
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 GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
NOTES TO FINANCIAL STATEMENTS (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 | $ | 538,125,000 | $ | 95,040,810 | ||||
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 | ||||||
Duration, Hedge | $ | 118,565 | $ | 87,597,462 | ||||
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 andLiabilities; 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 | ||||||
Index exposure, income | $ | 10,283,988 | $ | 23,358,708 | ||||
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,
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 | $ | — | $ | 80,092,128 | ||||
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 | $ | 251,487,917 | $ | 257,126,417 | ||||
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 | ||||||
Index exposure, Income | $ | 27,500,000 | $ | 3,083,333 | ||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
NOTES TO FINANCIAL STATEMENTS (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 | $ | 4,794,946 | $ | 234,854,020 | ||||
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Interest rate swap contracts | Unamortized upfront premiums paid on interest rate swap agreements | Unamortized upfront premiums paid on interest rate swap agreements |
| Variation margin on interest rate swap agreements. | |
Credit default swap contracts | Variation margin on credit default swap agreements Unamortized upfront premiums paid 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 September 30, 2022:
Asset Derivative Investments Value | ||||||||||||||||||||||||
| Swaps | Swaps | Options | Options | Forward | Total Value at | ||||||||||||||||||
| $ | 7,555,358 | $ | — | $ | — | $ | 22,627,665 | 9,163,545 | $ | 39,346,568 | ||||||||||||||
Liability Derivative Investments Value | ||||||||||||||||||||||||||||
| Swaps | Swaps | Options | Options | Options | Forward | Total Value at | |||||||||||||||||||||
| $ | 198,743 | $ | 396,248 | $ | 4,057,375 | $ | 2,351,047 | $ | — | 11,322 | $ | 7,014,735 | ||||||||||||||||
* | 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. |
48 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 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 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 year ended September 30, 2022:
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations | ||||||||||||||||||||||||||||||||||||
| Futures | Swaps | Swaps | Options | Options | Forward | Options | Options | Total | |||||||||||||||||||||||||||
| $ | 145,825 | $ | 16,817,380 | $ | 92,985 | $ | (3,335,324 | ) | $ | 9,528,438 | $ | 15,086,577 | $ | (1,483,829 | ) | $ | 818,908 | $ | 37,670,960 | |||||||||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations | ||||||||||||||||||||||||||||||||||||
| Futures | Swaps | Swaps | Options | Options | Forward | Options | Options | Total | |||||||||||||||||||||||||||
| $ | — | $ | 5,319,489 | $ | (365,207 | ) | $ | (1,622,816 | ) | $ | 8,159,604 | $ | 7,880,439 | $ | (2,280,358 | ) | $ | (1,669,184 | ) | $ | 15,421,967 | |||||||||||||||
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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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.
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.
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
Gross Amounts Not Offset | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net Amount | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 9,163,545 | $ | — | $ | 9,163,545 | $ | (967,021 | ) | $ | (5,350,487 | ) | $ | 2,846,037 | ||||||||||
Gross Amounts Not | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net Amount | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 11,322 | $ | — | $ | 11,322 | $ | (393 | ) | $ | — | $ | 10,929 | |||||||||||
Options written | 2,351,047 | — | 2,351,047 | (966,628 | ) | (255,000 | ) | 1,129,419 | ||||||||||||||||
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2022.
Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
Barclays Bank plc | Forward foreign currency exchange contracts | $ | — | $ | 5,370,000 | ||||
BofA Securities, Inc. | Credit default swap agreements | — | 90,803 | ||||||
BofA Securities, Inc. | Interest rate swap agreements | — | 10,977,037 | ||||||
BofA Securities, Inc. | Options | 255,000 | — | ||||||
Goldman Sachs International | Options | — | 7,500,000 | ||||||
| 255,000 | 23,937,840 | ||||||||
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 between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | unadjusted quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.
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.
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
A-Class | 0.75 | % | 12/01/13 | 02/01/24 | ||||||||
C-Class | 1.50 | % | 12/01/13 | 02/01/24 | ||||||||
P-Class | 0.75 | % | 05/01/15 | 02/01/24 | ||||||||
Institutional Class | 0.50 | % | 12/01/13 | 02/01/24 | ||||||||
R6-Class | 0.50 | % | 03/13/19 | 02/01/24 | ||||||||
GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 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:
| 2023 | 2024 | 2025 | Fund | ||||||||||||
A-Class | $ | 360,600 | $ | 332,853 | $ | 400,848 | $ | 1,094,301 | ||||||||
C-Class | 70,291 | 80,424 | 68,209 | 218,924 | ||||||||||||
P-Class | 124,505 | 146,751 | 202,943 | 474,199 | ||||||||||||
Institutional Class | 1,680,554 | 2,560,156 | 3,164,191 | 7,404,901 | ||||||||||||
R6-Class | 21,499 | 493 | 410 | 22,402 | ||||||||||||
For the year ended September 30, 2022, GI recouped $20,289 from the Fund.
If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2022, the Fund waived $72,200 related to investments in affiliated funds.
For the year ended September 30, 2022, GFD retained sales charges of $144,088 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.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
The tax character of distributions paid during the year ended September 30, 2022 was as follows:
| Ordinary | Long-Term | Total | |||||||||
| $ | 112,022,155 | $ | 16,532,782 | $ | 128,554,937 | |||||||
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
| Ordinary | Long-Term | Total | |||||||||
| $ | 92,120,762 | $ | 10,737,858 | $ | 102,858,620 | |||||||
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:
| Undistributed | Undistributed | Net Unrealized | Accumulated | Other | Total | ||||||||||||||||||
| $ | 16,176,205 | $ | — | $ | (407,628,666 | ) | $ | (5,726,992 | ) | $ | (12,404,389 | ) | $ | (409,583,842 | ) | |||||||||
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, the Fund had no capital loss carryforwards.
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements, foreign currency gains and losses, the “mark-to-market” of certain derivatives, reclassification of distributions, losses deferred due to wash sales, paydown reclasses, dividends payable, and the “mark-to-market” of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of bond premium/discount amortization, the deferral of post-October losses, income accruals on certain investments, and the “mark-to-market” of certain investments denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences.
At September 30, 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 | Tax | Tax | Net Tax | ||||||||||||
| $ | 5,323,141,596 | $ | 579,277 | $ | (408,150,006 | ) | $ | (407,570,729 | ) | |||||||
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Fund has elected to treat net capital losses and certain ordinary losses realized between November 1 and September 30 of each year as occurring on the first day of the following tax year. The Fund has also elected to treat certain ordinary losses realized between January 1 and September 30 of each year as occurring on the first day of the following tax year. For the year ended September 30, 2022, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until October 1, 2022:
| Ordinary | Capital | ||||||
| $ | — | $ | (5,726,992 | ) | ||||
Note 7 – Securities Transactions
For the year ended September 30, 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 | ||||||
| $ | 968,285,113 | $ | 1,691,068,821 | |||||
For the year ended September 30, 2022, the cost of purchases and proceeds from sales of government securities were as follows:
| Purchases | Sales | ||||||
| $ | 120,769,379 | $ | 120,569,950 | |||||
The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| Purchases | Sales | Realized | |||||||||
| $ | 68,680,058 | $ | 11,748,482 | $ | (258,531 | ) | ||||||
Note 8 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
Borrower | Maturity Date | Face Amount | Value | |||||||||
Fontainbleau Vegas | 09/30/25 | $ | 6,000,000 | $ | — | |||||||
KKR Core Holding Company LLC | 07/15/31 | 3,650,000 | — | |||||||||
Lightning A | 03/01/37 | 4,359,948 | — | |||||||||
Thunderbird A | 03/01/37 | 4,293,020 | — | |||||||||
| $ | — | |||||||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
NOTES TO FINANCIAL STATEMENTS (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 | $ | 6,136,715 | $ | 5,925,628 | |||||||
Cascade Funding Mortgage Trust | ||||||||||||
2019-RM3 2.80% (WAC) due 06/25/691 | 06/25/19 | 1,470,318 | 1,427,970 | |||||||||
Copper River CLO Ltd. | ||||||||||||
2007-1A INC due 01/20/212 | 05/09/14 | 585,000 | 210 | |||||||||
FKRT | ||||||||||||
2.21% due 11/30/58 | 09/24/21 | 25,699,874 | 24,443,994 | |||||||||
LSTAR Securities Investment Ltd. | ||||||||||||
2021-1 4.36% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261 | 02/04/21 | 7,295,265 | 6,768,816 | |||||||||
LSTAR Securities Investment Ltd. | ||||||||||||
2021-2 4.26% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261 | 03/17/21 | 5,277,913 | 5,149,997 | |||||||||
Towd Point Revolving Trust | ||||||||||||
4.83% due 09/25/64 | 03/17/22 | 18,499,814 | 17,877,475 | |||||||||
| $ | 64,964,899 | $ | 61,594,090 | |||||||||
1 | Variable rate security. Rate indicated is the rate effective at September 30, 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 September 30, 2022, at which time a new line of credit was entered into in the amount of $1,150,000,000. 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”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.
The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.
Note 11 – Market Risks
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (concluded) |
foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.
Note 12 – Subsequent Events
The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 57 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of Guggenheim Limited Duration Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Guggenheim Limited Duration Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2022, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2022
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.
The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See the qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
| Qualified | Dividend | Qualified | Qualified |
1.37% | 1.37% | 92.00% | 100.00% |
With respect to the taxable year ended September 30, 2022, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:
| From long-term | From long-term capital | ||||||
| $ | 16,532,782 | $ | — | |||||
Delivery of Shareholder Reports
Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 59 |
OTHER INFORMATION (Unaudited)(continued) |
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● | Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”) | ● | Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”) |
● | Guggenheim Core Bond Fund (“Core Bond Fund”) | ● | Guggenheim Diversified Income Fund (“Diversified Income Fund”) |
● | Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”) | ● | Guggenheim High Yield Fund (“High Yield Fund”) |
● | Guggenheim Large Cap Value Fund (“Large Cap Value Fund”) | ● | Guggenheim Limited Duration Fund (“Limited Duration Fund”) |
● | Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”) | ● | Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”) |
● | Guggenheim Municipal Income Fund (“Municipal Income Fund”) | ● | Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”) |
● | Guggenheim Small Cap Value Fund (“Small Cap Value Fund”) | ● | Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”) |
● | Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”) | ● | Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”) |
● | Guggenheim Total Return Bond Fund (“Total Return Bond Fund”) | ● | Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”) |
● | Guggenheim World Equity Income Fund (“World Equity Income Fund”) |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
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GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
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At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund, Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).4 Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.5 As a result, in
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA Sub-Advisory Agreement at the Special Meeting. |
5 | Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements. |
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evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.
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Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.
Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee6 (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group.
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.
Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.
Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Total Return Bond Fund The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
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The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Sub-Advisory Agreements
Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.
Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.
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OTHER INFORMATION (Unaudited)(concluded) |
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.
Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 67 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee)
Since 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present).
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 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); Member, Board of Directors, Mutual Fund Directors Forum (2022-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). |
68 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
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); Vice Chairman, VettaFi (2022-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 ANNUAL REPORT | 69 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee)
Since 2020 (Chair of the Audit Committee) | Current: Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 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). |
70 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
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 ANNUAL REPORT | 71 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and 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) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since August 2022 | Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present).
Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-August 2022); 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). |
72 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present).
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
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 ANNUAL REPORT | 73 |
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. |
74 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other
THE GUGGENHEIM FUNDS ANNUAL REPORT | 75 |
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.
76 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 77 |
| Item 2. | Code of Ethics. |
The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the Code during the period covered by this report. The Code is filed as an exhibit to this Form N-CSR.
| Item 3. | Audit Committee Financial Expert. |
The registrant's Board of Trustees has determined that it has at least one audit committee financial expert serving on its audit committee (the “Audit Committee”), Sandra G. Sponem. Ms. Sponem is “independent,” meaning that she is not an “interested person” of the Registrant (as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended) and she does not accept any consulting, advisory, or other compensatory fee from the Registrant (except in her capacity as a Board or committee member).
(Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the Audit Committee and Board of Trustees in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the audit committee or Board of Trustees.)
| Item 4. | Principal Accountant Fees and Services. |
| (a) | Audit Fees: the aggregate Audit Fees billed by the registrant’s principal accountant for professional services rendered for the audit of the annual financial statements, or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $705,059 and $670,931for the fiscal years ended September 30, 2022 and September 30, 2021, respectively. |
| (b) | Audit-Related Fees: the aggregate Audit-Related Fees billed by the registrant’s principal accountant for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item 4 were $0 and $0 for fiscal years ended September 30, 2022 and September 30, 2021, respectively. |
| (c) | Tax Fees: the aggregate Tax Fees billed by the registrant’s principal accountant for professional services rendered for tax compliance, tax advice and tax planning including preparation of tax returns and distribution assistance were $252,455 and $230,260 for the fiscal years ended September 30, 2022 and September 30, 2021, respectively. These services consisted of (i) preparation of U.S. federal, state and excise tax returns; (ii) U.S. federal and state tax planning, advice and assistance regarding statutory, regulatory or administrative developments, (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired and (iv) review of U.S. federal excise distribution calculations. |
| (d) | All Other Fees: the aggregate All Other Fees billed by the registrant’s principal accountant for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item 4, were $0 and $0 for the fiscal years ended September 30, 2022 and September 30, 2021, respectively. |
| (e) | Audit Committee Pre-Approval Policies and Procedures. |
| (1) | Audit Committee pre-approval policies and procedures: |
To fulfill its responsibilities and duties the Audit Committee (the “Committee”) shall:
| 1. | Pre-Approval Policy (Trusts). Pre-approve any engagement of the independent auditors to provide any services, other than “prohibited non-audit services,” to the Trust, including the fees and other compensation to be paid to the independent auditors (unless an exception is available under Rule 2-01 of Regulation S-X). |
| (a) | The categories of services to be reviewed and considered for pre-approval include those services set forth under Section II.A.1. of the Background and Definitions for Audit Committee Charter (collectively, “Identified Services”). |
| (b) | The Committee has pre-approved Identified Services for which the estimated fees are less than $25,000. |
| (c) | For Identified Services with estimated fees of $25,000 or more, but less than $50,000, the Chair or any member of the Committee designated by the Chair is hereby authorized to pre-approve such Identified Services on behalf of the Committee. |
| (d) | For Identified Services with estimated fees of $50,000 or more, such Identified Services require pre-approval by the Committee. |
| (e) | All requests for Identified Services to be provided by the independent auditor that were pre-approved by the Committee shall be submitted to the Principal/Chief Accounting Officer (“CAO”) of the Trust by the independent auditor using the pre-approval request form. The Trust’s CAO will determine whether such services are included within the list of services that have received the general pre-approval of the Committee. |
| (f) | The independent auditors or the CAO of the Trust (or an officer of the Trust who reports to the CAO) shall report to the Committee at each of its regular scheduled meetings all audit, audit-related and permissible non-audit services initiated since the last such report (unless the services were contained in the initial audit plan, as previously presented to, and approved by, the Committee). The report shall include a general description of the services and projected fees, and the means by which such services were approved by the Committee (including the particular category of Identified Services under which pre-approval was obtained). |
| 2. | Pre-Approval Policy (Adviser or Any Control Affiliate). Pre-approve any engagement of the independent auditors, including the fees and other compensation to be paid to the independent auditors, to provide any non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust), if the engagement relates directly to the operations or financial reporting of the Trust (unless an exception is available under Rule 2-01 of Regulation S-X). |
| (a) | The Chair or any member of the Committee designated by the Chair may grant the pre-approval for non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are less than $25,000. All such delegated pre-approvals shall be presented to the Committee no later than the next Committee meeting. |
| (b) | For non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are $25,000 or more, such services require pre-approval by the Committee. |
| a. | Pre-Approval Requirements |
| i. | Categories of Services to be Reviewed and Considered for Pre-Approval |
| 1. | Audit Services |
| a. | Annual financial statement audits |
| b. | Seed audits (related to new product filings, as required) |
| c. | SEC and regulatory filings and consents |
| 2. | Audit-Related Services |
| a. | Accounting consultations |
| b. | Fund merger/reorganization support services |
| c. | Other accounting related matters |
| d. | Agreed upon procedures reports |
| e. | Attestation reports |
| f. | Other internal control reports |
| 3. | Tax Services |
| a. | Recurring tax services: |
| i. | Preparation of Federal and state income tax returns, including extensions |
| ii. | Preparation of calculations of taxable income, including fiscal year tax designations |
| iii. | Preparation of annual Federal excise tax returns (if applicable) |
| iv. | Preparation of calendar year excise distribution calculations |
| v. | Calculation of tax equalization on an as-needed basis |
| vi. | Preparation of monthly/quarterly estimates of tax undistributed position for closed-end funds |
| vii. | Preparation of the estimated excise distribution calculations on an as-needed basis |
| viii. | Preparation of calendar year shareholder reporting designations on Form 1099 |
| ix. | Preparation of quarterly Federal, state and local and franchise tax estimated tax payments on an as-needed basis |
| x. | Preparation of state apportionment calculations to properly allocate Fund taxable income among the states for state tax filing purposes |
| xi. | Assistance with management’s identification of passive foreign investment companies (PFICs) for tax purposes |
| b. | Permissible non-recurring tax services upon request: |
| i. | Assistance with determining ownership changes which impact a Fund’s utilization of loss carryforwards |
| ii. | Assistance with corporate actions and tax treatment of complex securities and structured products |
| iii. | Assistance with IRS ruling requests and calculation of deficiency dividends |
| iv. | Conduct training sessions for the Adviser’s internal tax resources |
| v. | Assistance with Federal, state, local and international tax planning and advice regarding the tax consequences of proposed or actual transactions |
| vi. | Tax services related to amendments to Federal, state and local returns and sales and use tax compliance |
| vii. | RIC qualification reviews |
| viii. | Tax distribution analysis and planning |
| ix. | Tax authority examination services |
| x. | Tax appeals support services |
| xi. | Tax accounting methods studies |
| xii. | Fund merger, reorganization and liquidation support services |
| xiii. | Tax compliance, planning and advice services and related projects |
| xiv. | Assistance with out of state residency status |
| xv. | Provision of tax compliance services in India for Funds with direct investments in India |
(2) None of the services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
| (f) | Not applicable. |
| (g) | Non-Audit Fees. The aggregate non-audit fees billed by the registrant's accountant for the most recent fiscal year and the preceding years for services rendered to the registrant, the investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant were $252,455 and $230,260, respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant. |
| (h) | Auditor Independence. The registrant’s Audit Committee was provided with information relating to the provision of non-audit services by Ernst & Young, LLP to the registrant’s investment adviser (not including any sub adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved by the Audit Committee so that a determination could be made whether the provision of such services is compatible with maintaining Ernst & Young, LLP’s independence. |
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
| Item 6. | Investments. |
The Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8. | Portfolio Mangers of Closed-end Management Investment Companies |
Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
The registrant does not currently have in place procedures by which shareholders may recommend nominees to the registrant’s board.
| Item 11. | Controls and Procedures. |
| (a) | The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded that based on such evaluation as required by Rule 30a-3(b) under the Investment Company Act, that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
| (b) | The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
| Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
| Item 13. | Exhibits. |
| (a)(1) | The registrant’s code of ethics pursuant to Item 2 of Form N-CSR attached. |
| (a)(3) | Not applicable. |
| (a)(4) | Not applicable. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | Guggenheim Funds Trust | |
| By (Signature and Title)* | /s/ Brian E. Binder | |
| Brian E. Binder, President and Chief Executive Officer | ||
| Date | December 8, 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 | December 8, 2022 | |
| By (Signature and Title)* | /s/ James M. Howley |
| James M. Howley, Chief Financial Officer, Chief Accounting Officer and Treasurer |
| Date | December 8, 2022 |
| * | Print the name and title of each signing officer under his or her signature. |