Chapman and Cutler LLP
111 West Monroe Street
Chicago, Illinois 60603
September 28, 2015
Mr. Edward Bartz
Division of Investment Management
Securities and Exchange Commission
100 F Street, N.E.
Washington, DC 20549
Re: Guggenheim Defined Portfolios, Series 1364
Sweet 16 Strategy Portfolio, Series 1
File Nos. 333-206558 and 811-03763
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Dear Mr. Bartz:
This letter is in response to your comment letter dated September 22,
2015 regarding the registration statement on Form S-6 for Guggenheim Defined
Portfolios, Series 1364, filed on August 26, 2015 with the Securities and
Exchange Commission (the "Commission"). The registration statement proposes to
offer the Sweet 16 Strategy Portfolio, Series 1 (the "Trust").
PROSPECTUS
Investment Summary -- Investment Objective
1. This section states that the Trust seeks "above-average total return."
Please define "above-average" and "total return" in this section.
Response: The disclosure has been revised in response to this comment.
Investment Summary -- Principal Investment Strategy
2. This section states that the Trust invests in 16 "U.S. larger
capitalization companies." Please define "larger capitalization companies" in
this section.
Response: The disclosure has been replaced with "U.S.-listed companies in
the Russell 1000 Index."
Investment Summary -- Security Selection
3. The first enumerated security selection rule states that the starting
universe is the Russell 1000 Index, "which may include U.S.-listed foreign
securities." Since the Principal Investment Strategy section states that the
Trust invests in 16 "U.S. larger capitalization companies," and the starting
universe includes the securities of foreign companies, please explain to us how
the Trust's security selection criteria ensure that only U.S. companies are
included in the final portfolio. Also, since the market capitalization of the
smallest company in the Russell 1000 Index as of May 29, 2015, was $2.4 billion,
please explain to us how the security selection criteria ensure that only
"larger capitalization companies" are included in the final portfolio.
Response: As noted in the response to comment 2, the "Principal Investment
Strategy" section has been revised to state that the Trust include U.S.-listed
companies. The references to U.S.-listed foreign securities and market
capitalization as they relate to the Russell 1000 Index have been moved to and
revised in the "Strategy Definitions" section.
4. In order to provide consistency with the first three bullet points in
part 2 of this section, please revise the fourth bullet point in part 2 of this
section as an exclusion, e.g., "[e]xclude the securities with a Piotroski
F-Score of less than 8." Also, this bullet point states that, if the screen does
not identify an adequate number of securities to complete the final portfolio,
"the screen will be relaxed to a Piotroski F-Score of greater than or equal to
7." Please provide a security selection criteria that will ensure a sufficient
number of securities are available for the final portfolio in the event that
relaxing the Piotroski F-Score to "greater than or equal to 7" still does not
identify an adequate number of securities to complete the final portfolio.
Response: The disclosure in the fourth bullet point under part 2 and the
disclosure in part 3 have been revised in response to this comment.
Investment Summary -- Strategy Definitions
5. The first sentence in this section states that the Russell 1000 Index
represents a universe of U.S. large capitalization stocks. Please revise this
sentence to state that the Russell 1000 Index includes the stocks of foreign
companies, and includes small- and mid-capitalization stocks.
Response: The disclosure has been revised in response to this comment.
6. The second definition in this section states that the book to market
ratio is "calculated as latest quarter end book value of a firm divided by its
market value." Please clarify whether the market value used in this calculation
is as of the latest quarter end, or as of the security selection date.
Response: The disclosure has been revised in response to this comment.
7. The fifth definition in this section states that the Piotroski F-Score
is calculated by assigning 1 point for each of nine accounting based criteria.
Please clarify how these points are assigned (e.g., each company is assigned
either 1 point for meeting the enumerated criterion, or zero points for failing
to meet the enumerated criterion) for the nine criteria. Also, parts 2 and 4 of
the Piotroski F-Score definition are confusing, and state "as calculated above."
Please clarify how these criteria are calculated without using the confusing
cross-reference.
Response: The disclosures have been revised in response to this comment.
Investment Summary -- Hypothetical Performance Information
8. The Hypothetical Comparison of Total Return table in this section
compares the hypothetical performance of the Trust's investment strategy with
the actual returns of the S&P 500 Index. Since the Trust's starting universe is
the Russell 1000 Index, please explain to us why it is appropriate to compare
the hypothetical performance of the Trust's investment strategy with the S&P 500
Index, rather than the Russell 1000 Index.
Response: The benchmark has been changed to the Russell 1000 Index.
We appreciate your prompt attention to this registration statement. If you
have any questions or comments or would like to discuss our responses to your
questions please feel free to contact the undersigned at (312) 845-3484.
Very truly yours,
CHAPMAN AND CUTLER LLP
By /s/ Morrison C. Warren
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Morrison C. Warren