|
Investment Company Act file number
|
811-21982
|
|
Guggenheim Strategic Opportunities Fund
|
|
|
(Exact name of registrant as specified in charter)
|
|
|
2455 Corporate West Drive Lisle, IL 60532
|
|
| (Address of principal executive offices) (Zip code) | |
|
Kevin M. Robinson
|
|
| 2455 Corporate West Drive Lisle, IL 60532 | |
|
(Name and address of agent for service)
|
|
|
GOF Guggenheim Strategic Opportunities Fund
|
||||||||
|
Portfolio of Investments
|
||||||||
|
February 29, 2012 (unaudited)
|
||||||||
|
Principal
|
Optional
|
|||||||
|
Amount
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Call Provisions**
|
Value
|
||
|
Total Long-Term Investments - 131.8%
|
||||||||
|
Corporate Bonds - 42.0%
|
||||||||
|
Advertising - 0.3%
|
||||||||
|
$100,000
|
inVentiv Health, Inc.(a)
|
CCC+
|
10.00%
|
08/15/2018
|
08/15/14 @ 105
|
$91,000
|
||
|
400,000
|
MDC Partners, Inc. (Canada)(b)
|
B+
|
11.00%
|
11/01/2016
|
11/01/13 @ 106
|
436,000
|
||
|
527,000
|
||||||||
|
Aerospace & Defense - 1.1%
|
||||||||
|
1,450,000
|
Kratos Defense & Security Solutions, Inc.
|
B+
|
10.00%
|
06/01/2017
|
06/01/14 @ 105
|
1,562,375
|
||
|
700,000
|
Sequa Corp.(a)
|
CCC
|
11.75%
|
12/01/2015
|
12/01/12 @ 103
|
743,750
|
||
|
2,306,125
|
||||||||
|
Airlines - 8.2%
|
||||||||
|
1,304,548
|
Aircraft Certificate Owner Trust, Series 2003-1A, Class D(a)
|
BB
|
6.46%
|
09/20/2022
|
N/A
|
1,284,979
|
||
|
2,000,000
|
Aircraft Certificate Owner Trust, Series 2003-1A, Class E(a)
|
BB
|
7.00%
|
09/20/2022
|
N/A
|
1,800,000
|
||
|
1,141,036
|
America West Airlines 2001-1 Pass-Through Trust, Series 011G(b)
|
BB+
|
7.10%
|
10/02/2022
|
N/A
|
1,099,639
|
||
|
2,000,000
|
American Airlines Pass-Through Trust, Series 2011-2, Class A(b)
|
BBB-
|
8.63%
|
10/15/2021
|
N/A
|
2,120,000
|
||
|
1,015,960
|
Atlas Air 1998-1 Pass-Through Trust, Series 1998-1, Class A
|
NR
|
7.38%
|
07/02/2019
|
N/A
|
1,015,960
|
||
|
761,665
|
Atlas Air 1999-1 Pass-Through Trust, Series 1991-1, Class A-1
|
NR
|
7.20%
|
07/02/2020
|
N/A
|
761,665
|
||
|
571,671
|
Atlas Air 1999-1 Pass-Through Trust, Series 1999-1, Class A-2
|
NR
|
6.88%
|
04/02/2014
|
N/A
|
571,671
|
||
|
465,793
|
Atlas Air 2000-1 Pass-Through Trust, Series 2000-1, Class A
|
NR
|
8.71%
|
07/02/2021
|
N/A
|
465,793
|
||
|
3,774,200
|
AWAS Aviation Capital Ltd. (Ireland)(a) (b)
|
BBB-
|
7.00%
|
10/15/2016
|
10/18/13 @ 104
|
3,944,039
|
||
|
273,520
|
Continental Airlines 2007-1 Pass-Through Trust, Series 071C
|
B
|
7.34%
|
04/19/2014
|
N/A
|
277,623
|
||
|
1,750,000
|
Delta Air Lines 2011-1 Pass-Through Trust, Class B(a)
|
BB
|
7.13%
|
10/15/2014
|
N/A
|
1,731,993
|
||
|
830,000
|
Global Aviation Holdings, Inc.(b) (c)
|
D
|
14.00%
|
08/15/2013
|
08/15/12 @ 111
|
232,400
|
||
|
1,669,771
|
United Airlines 2009-2A Pass-Through Trust, Series 2009-2(b)
|
BBB+
|
9.75%
|
01/15/2017
|
N/A
|
1,911,888
|
||
|
17,217,650
|
||||||||
|
Auto Parts & Equipment - 0.1%
|
||||||||
|
225,000
|
Exide Technologies
|
B
|
8.63%
|
02/01/2018
|
02/01/15 @ 104
|
174,938
|
||
|
Banks - 4.5%
|
||||||||
|
540,000
|
Agfirst Farm Credit Bank(a) (b) (d)
|
A
|
7.30%
|
-
|
04/02/12 @ 100
|
536,398
|
||
|
1,000,000
|
Bank of America NA, Series BKNT(b)
|
A-
|
5.30%
|
03/15/2017
|
N/A
|
1,016,506
|
||
|
1,200,000
|
Barclays Bank PLC (United Kingdom)(a) (b) (d) (e)
|
BBB
|
6.86%
|
-
|
06/15/32 @ 100
|
1,080,000
|
||
|
350,000
|
Comerica Bank
|
A-
|
7.88%
|
09/15/2026
|
N/A
|
419,601
|
||
|
1,000,000
|
Fifth Third Bancorp(b)
|
BBB-
|
8.25%
|
03/01/2038
|
N/A
|
1,282,897
|
||
|
1,000,000
|
KeyCorp Capital III(b)
|
BBB-
|
7.75%
|
07/15/2029
|
N/A
|
1,002,126
|
||
|
1,250,000
|
Northgroup Preferred Capital Corp.(a) (b) (d) (e)
|
A-
|
6.38%
|
-
|
10/15/17 @ 100
|
1,188,225
|
||
|
700,000
|
PNC Preferred Funding Trust III(a) (b) (d) (e)
|
BBB
|
8.70%
|
-
|
03/15/13 @ 100
|
722,568
|
||
|
500,000
|
Rabobank Nederland NV (Netherlands)(a) (b) (d) (e)
|
A
|
11.00%
|
-
|
06/30/19 @ 100
|
633,000
|
||
|
1,400,000
|
RBS Capital Trust II(d) (e)
|
C
|
6.43%
|
-
|
01/03/34 @ 100
|
938,000
|
||
|
650,000
|
Susquehanna Capital II(b)
|
BB
|
11.00%
|
03/23/2040
|
03/23/15 @ 100
|
705,250
|
||
|
9,524,571
|
||||||||
|
Building Materials - 0.8%
|
||||||||
|
1,750,000
|
Cemex SAB de CV (Mexico)(a)
|
B-
|
9.00%
|
01/11/2018
|
01/11/15 @ 105
|
1,618,750
|
||
|
Commercial Services - 2.0%
|
||||||||
|
334,000
|
Bankrate, Inc.(b)
|
BB-
|
11.75%
|
07/15/2015
|
07/15/13 @ 106
|
386,188
|
||
|
1,800,000
|
DynCorp International, Inc.
|
B-
|
10.38%
|
07/01/2017
|
07/01/14 @ 105
|
1,593,000
|
||
|
250,000
|
Jaguar Holding Co. II / Jaguar Merger Sub, Inc.(a)
|
B
|
9.50%
|
12/01/2019
|
12/01/14 @ 107
|
273,437
|
||
|
2,050,000
|
NCO Group, Inc.
|
CCC-
|
11.88%
|
11/15/2014
|
11/15/12 @ 100
|
2,039,750
|
||
|
4,292,375
|
||||||||
|
Computers - 1.0%
|
||||||||
|
705,000
|
Compucom Systems, Inc.(a)
|
B
|
12.50%
|
10/01/2015
|
10/01/12 @ 103
|
729,675
|
||
|
950,000
|
iGate Corp.
|
B+
|
9.00%
|
05/01/2016
|
05/01/14 @ 105
|
1,033,125
|
||
|
244,000
|
Stratus Technologies, Inc.(b)
|
B-
|
12.00%
|
03/29/2015
|
04/15/13 @ 112
|
214,720
|
||
|
150,000
|
Stream Global Services, Inc.
|
B+
|
11.25%
|
10/01/2014
|
10/01/12 @ 106
|
154,688
|
||
|
2,132,208
|
||||||||
|
Distribution & Wholesale - 0.6%
|
||||||||
|
370,000
|
Baker & Taylor, Inc.(a)
|
CCC+
|
11.50%
|
07/01/2013
|
07/01/12 @ 100
|
207,200
|
||
|
1,200,000
|
Intcomex, Inc.(b)
|
B-
|
13.25%
|
12/15/2014
|
12/15/12 @ 107
|
1,140,000
|
||
|
1,347,200
|
||||||||
|
Diversified Financial Services - 5.2%
|
||||||||
|
2,000,000
|
International Lease Finance Corp.(a) (b)
|
BBB-
|
7.13%
|
09/01/2018
|
N/A
|
2,240,000
|
||
|
3,963,877
|
Lancer Finance Co. SPV Ltd. (British Virgin Islands)(a) (b)
|
Baa3
|
5.85%
|
12/12/2016
|
N/A
|
3,867,242
|
||
|
200,000
|
LCP Dakota Fund, Series AI
|
NR
|
10.75%
|
01/16/2014
|
N/A
|
199,975
|
||
|
100,000
|
LCP Dakota Fund, Series AI
|
NR
|
12.66%
|
01/16/2014
|
N/A
|
99,995
|
||
|
200,000
|
Ohana Military Communities, LLC(a)
|
AA-
|
5.88%
|
10/01/2051
|
N/A
|
184,096
|
||
|
150,000
|
Ohana Military Communities, LLC(a)
|
AA-
|
6.15%
|
10/01/2051
|
N/A
|
139,311
|
||
|
1,950,000
|
QBE Capital Funding III Ltd. (Jersey)(a) (b) (e)
|
BBB+
|
7.25%
|
05/24/2041
|
05/24/21 @ 100
|
1,776,076
|
||
|
500,000
|
Scottrade Financial Services, Inc.(a)
|
Baa3
|
6.13%
|
07/11/2021
|
N/A
|
498,125
|
||
|
2,000,000
|
Svensk Exportkredit AB (Sweden)(a) (b) (d)
|
BBB-
|
6.38%
|
-
|
06/27/12 @ 100
|
1,902,022
|
||
|
10,906,842
|
||||||||
|
Electrical Components & Equipment - 0.7%
|
||||||||
|
1,400,000
|
Coleman Cable, Inc.
|
B
|
9.00%
|
02/15/2018
|
02/15/14 @ 105
|
1,449,000
|
||
|
Engineering & Construction - 1.1%
|
||||||||
|
1,363,503
|
Alion Science and Technology Corp.(f)
|
B-
|
12.00%
|
11/01/2014
|
04/01/13 @ 105
|
1,261,240
|
||
|
2,000,000
|
Alion Science and Technology Corp.
|
CCC-
|
10.25%
|
02/01/2015
|
02/01/13 @ 100
|
1,080,000
|
||
|
2,341,240
|
||||||||
|
Entertainment - 2.1%
|
||||||||
|
701,000
|
Agua Caliente Band of Cahuilla Indians(a)
|
BB
|
6.35%
|
10/01/2015
|
N/A
|
662,627
|
||
|
375,000
|
Diamond Resorts Corp.
|
B-
|
12.00%
|
08/15/2018
|
08/15/14 @ 106
|
395,625
|
||
|
1,955,000
|
Lions Gate Entertainment, Inc.(a) (b)
|
B
|
10.25%
|
11/01/2016
|
11/01/13 @ 105
|
2,096,738
|
||
|
300,000
|
WMG Acquisition Corp.
|
BB-
|
9.50%
|
06/15/2016
|
06/15/13 @ 105
|
331,500
|
||
|
850,000
|
WMG Acquisition Corp.(a)
|
B-
|
11.50%
|
10/01/2018
|
10/01/14 @ 109
|
903,125
|
||
|
4,389,615
|
||||||||
|
Food - 1.5%
|
||||||||
|
500,000
|
BI-LO, LLC / BI-LO Finance Corp.(a)
|
B
|
9.25%
|
02/15/2019
|
02/15/15 @ 105
|
525,000
|
||
|
2,447,000
|
Bumble Bee Acquisition Corp.(a) (b)
|
B
|
9.00%
|
12/15/2017
|
12/15/14 @ 105
|
2,569,350
|
||
|
3,094,350
|
||||||||
|
Forest Products & Paper - 0.1%
|
||||||||
|
250,000
|
Verso Paper Holdings, LLC / Verso Paper, Inc.
|
B
|
8.75%
|
02/01/2019
|
02/01/15 @ 104
|
123,750
|
||
|
Health Care Services - 0.8%
|
||||||||
|
1,050,000
|
Apria Healthcare Group, Inc.(b)
|
BB+
|
11.25%
|
11/01/2014
|
11/01/12 @ 103
|
1,107,750
|
||
|
100,000
|
Apria Healthcare Group, Inc.
|
BB-
|
12.38%
|
11/01/2014
|
11/01/12 @ 103
|
102,500
|
||
|
275,000
|
OnCure Holdings, Inc.
|
B
|
11.75%
|
05/15/2017
|
05/15/14 @ 106
|
214,500
|
||
|
312,333
|
Symbion, Inc.(g)
|
CCC+
|
11.00%
|
08/23/2015
|
08/23/12 @ 103
|
295,155
|
||
|
1,719,905
|
||||||||
|
Health Care Products - 0.1%
|
||||||||
|
100,000
|
Physio-Control International, Inc.(a)
|
B+
|
9.88%
|
01/15/2019
|
01/15/15 @ 107
|
105,000
|
||
|
Household Products & Housewares - 0.7%
|
||||||||
|
1,445,000
|
American Achievement Corp.(a)
|
B
|
10.88%
|
04/15/2016
|
10/15/13 @ 105
|
1,029,562
|
||
|
500,000
|
Armored Autogroup, Inc.(a)
|
CCC+
|
9.25%
|
11/01/2018
|
11/01/14 @ 105
|
420,000
|
||
|
1,449,562
|
||||||||
|
Housewares - 0.0%
|
||||||||
|
75,000
|
American Standards Americas(a)
|
B-
|
10.75%
|
01/15/2016
|
01/15/13 @ 105
|
52,500
|
||
|
Insurance - 4.0%
|
||||||||
|
1,000,000
|
Allstate Corp.(b) (e)
|
BBB
|
6.50%
|
05/15/2067
|
05/15/37 @ 100
|
980,000
|
||
|
1,000,000
|
American Financial Group, Inc.(b)
|
BBB+
|
9.88%
|
06/15/2019
|
N/A
|
1,212,016
|
||
|
1,000,000
|
AXA SA (France)(a) (b) (d) (e)
|
BBB
|
6.38%
|
-
|
12/14/36 @ 100
|
800,000
|
||
|
800,000
|
Ironshore Holdings US, Inc.(a) (b)
|
BBB-
|
8.50%
|
05/15/2020
|
N/A
|
866,648
|
||
|
1,000,000
|
MetLife Capital Trust IV(a) (b)
|
BBB
|
7.88%
|
12/15/2037
|
12/15/32 @ 100
|
1,100,000
|
||
|
700,000
|
National Life Insurance Co.(a) (b)
|
BBB+
|
10.50%
|
09/15/2039
|
N/A
|
904,784
|
||
|
250,000
|
Nationwide Mutual Insurance Co.(a)
|
A-
|
9.38%
|
08/15/2039
|
N/A
|
320,778
|
||
|
800,000
|
Penn Mutual Life Insurance Co.(a) (b)
|
A
|
7.63%
|
06/15/2040
|
N/A
|
959,365
|
||
|
1,250,000
|
Progressive Corp.(b) (e)
|
A-
|
6.70%
|
06/15/2067
|
06/15/17 @ 100
|
1,312,500
|
||
|
8,456,091
|
||||||||
|
Internet - 0.7%
|
||||||||
|
1,510,000
|
GXS Worldwide, Inc.
|
B
|
9.75%
|
06/15/2015
|
06/15/12 @ 105
|
1,506,225
|
||
|
Iron & Steel - 0.1%
|
||||||||
|
240,000
|
Standard Steel, LLC/Standard Steel Finance Corp.(a)
|
B+
|
12.00%
|
05/01/2015
|
05/01/13 @ 106
|
273,000
|
||
|
Lodging - 0.3%
|
||||||||
|
700,000
|
Caesars Operating Escrow, LLC / Caesars Escrow Corp.(a)
|
B
|
8.50%
|
02/15/2020
|
02/15/16 @ 104
|
714,000
|
||
|
Media - 0.2%
|
||||||||
|
500,000
|
DCP, LLC/DCP Corp.(a)
|
B+
|
10.75%
|
08/15/2015
|
08/15/13 @ 105
|
376,250
|
||
|
Mining - 0.3%
|
||||||||
|
1,025,000
|
Midwest Vanadium Pty Ltd. (Australia)(a)
|
B-
|
11.50%
|
02/15/2018
|
02/15/15 @ 106
|
702,125
|
||
|
Oil & Gas - 0.3%
|
||||||||
|
700,000
|
Dolphin Energy Ltd. (United Arab Emirates)(a)
|
A1
|
5.50%
|
12/15/2021
|
N/A
|
723,800
|
||
|
Packaging & Containers - 0.9%
|
||||||||
|
1,575,000
|
Pregis Corp.
|
CCC
|
12.38%
|
10/15/2013
|
10/15/11 @ 100
|
1,531,687
|
||
|
300,000
|
Pretium Packaging, LLC / Pretium Finance, Inc.
|
B3
|
11.50%
|
04/01/2016
|
04/01/14 @ 106
|
312,000
|
||
|
1,843,687
|
||||||||
|
Retail - 1.5%
|
||||||||
|
1,665,000
|
CKE Restaurants, Inc.(b)
|
B-
|
11.38%
|
07/15/2018
|
07/15/14 @ 106
|
1,898,100
|
||
|
850,000
|
Liz Claiborne, Inc.(a)
|
B-
|
10.50%
|
04/15/2019
|
04/15/14 @ 105
|
937,125
|
||
|
260,000
|
Logan's Roadhouse, Inc.
|
B-
|
10.75%
|
10/15/2017
|
10/15/13 @ 108
|
248,300
|
||
|
3,083,525
|
||||||||
|
Software - 0.3%
|
||||||||
|
300,000
|
Lawson Software, Inc.(a)
|
B-
|
11.50%
|
07/15/2018
|
07/15/15 @ 106
|
313,500
|
||
|
400,000
|
Open Solutions, Inc.(a)
|
CCC+
|
9.75%
|
02/01/2015
|
02/01/13 @ 100
|
326,000
|
||
|
639,500
|
||||||||
|
Telecommunications - 0.4%
|
||||||||
|
400,000
|
Avaya, Inc.(a)
|
B
|
7.00%
|
04/01/2019
|
04/01/15 @ 104
|
405,500
|
||
|
300,000
|
CommScope, Inc.(a)
|
B
|
8.25%
|
01/15/2019
|
01/15/15 @ 104
|
315,750
|
||
|
200,000
|
Sprint Nextel Corp.(a)
|
BB-
|
7.00%
|
03/01/2020
|
N/A
|
203,250
|
||
|
924,500
|
||||||||
|
Textiles - 0.0%
|
||||||||
|
100,000
|
Empire Today LLC(a)
|
B-
|
11.38%
|
02/01/2017
|
02/01/14 @ 106
|
96,500
|
||
|
Transportation - 2.1%
|
||||||||
|
200,000
|
CEVA Group PLC (United Kingdom)(a)
|
B+
|
8.38%
|
12/01/2017
|
12/01/13 @ 106
|
199,500
|
||
|
575,000
|
Commercial Barge Line Co.
|
B+
|
12.50%
|
07/15/2017
|
07/15/13 @ 106
|
640,406
|
||
|
1,050,000
|
Marquette Transportation Company/Marquette Transportation Finance Corp.
|
B-
|
10.88%
|
01/15/2017
|
01/15/13 @ 108
|
1,097,250
|
||
|
1,850,000
|
Quality Distribution, LLC/QD Capital Corp.
|
B-
|
9.88%
|
11/01/2018
|
11/01/14 @ 105
|
2,023,438
|
||
|
400,000
|
United Maritime Group, LLC/United Maritime Group Finance Corp.(b)
|
B
|
11.75%
|
06/15/2015
|
12/15/12 @ 106
|
408,500
|
||
|
4,369,094
|
||||||||
|
Total Corporate Bonds - 42.0%
|
||||||||
|
(Cost $86,964,525)
|
88,480,878
|
|||||||
|
Asset Backed Securities - 54.1%
|
||||||||
|
Automobile - 0.0%
|
||||||||
|
65,689
|
Bush Truck Leasing LLC, Series 2011-AA, Class C(a)
|
NR
|
5.00%
|
09/25/2018
|
N/A
|
65,526
|
||
|
Collateralized Debt Obligations - 7.2%
|
||||||||
|
964,460
|
Aspen Funding I Ltd., Series 2002-1A, Class A1L (Cayman Islands)(a) (h)
|
BBB-
|
1.18%
|
7/10/2037
|
N/A
|
886,483
|
||
|
131,221
|
Commodore CDO I Ltd., Series 1A, Class A (Cayman Islands)(a) (h)
|
BB+
|
1.02%
|
02/24/2034
|
N/A
|
123,671
|
||
|
741,909
|
Coronado CDO Ltd., Series 1A, Class A1 (Cayman Islands)(a) (h)
|
B
|
1.00%
|
09/04/2038
|
N/A
|
531,006
|
||
|
221,211
|
Diversified Asset Securitization Holdings II LP, Series 1X, Class A1L (Cayman Islands)(h)
|
A
|
1.04%
|
09/15/2035
|
N/A
|
197,156
|
||
|
778,031
|
Diversified Asset Securitization Holdings III, Series 1A, Class A2 (Cayman Islands)(a)
|
BB+
|
7.42%
|
07/05/2036
|
N/A
|
730,991
|
||
|
3,830,946
|
Duke Funding Ltd., Series 2003-5A, Class 1W (Cayman Islands)(a) (h) (m)
|
Ca
|
1.08%
|
8/7/2033
|
N/A
|
1,586,483
|
||
|
511,757
|
Independence I CDO Ltd., Series 1A, Class A (Cayman Islands)(a) (h)
|
BB+
|
0.74%
|
12/30/2030
|
N/A
|
459,231
|
||
|
303,171
|
MWAM CBO Ltd., Series 2001-1A, Class A (Cayman Islands)(a) (h)
|
AA
|
1.34%
|
01/30/2031
|
N/A
|
284,481
|
||
|
350,293
|
Putnam Structured Product CDO, Series 2001-1A, Class A1 (Cayman Islands)(a) (h)
|
AA
|
0.99%
|
02/25/2032
|
N/A
|
327,387
|
||
|
1,091,648
|
Putnam Structured Product CDO, Series 2002-1A, Class A2 (Cayman Islands)(a) (h)
|
B+
|
0.93%
|
01/10/2038
|
N/A
|
879,356
|
||
|
933,852
|
Putnam Structured Product CDO, Series 2003-A1LT, Class A1 (Cayman Islands)(a) (h)
|
B
|
0.70%
|
10/15/2038
|
N/A
|
782,269
|
||
|
8,521,798
|
Rockwall CDO Ltd., Series 2007-1A, Class A1LA (Cayman Islands)(a) (b) (h)
|
BBB+
|
0.80%
|
08/01/2024
|
N/A
|
7,014,036
|
||
|
162,978
|
Saturn Ventures Ltd., Series 2003-1A, Class A1 (Cayman Islands)(a) (h)
|
AA
|
1.04%
|
11/03/2038
|
N/A
|
149,294
|
||
|
349,446
|
Saybrook Point CBO Ltd., Series 2001-1A, Class A (Cayman Islands)(a) (h)
|
BB
|
0.97%
|
02/25/2031
|
N/A
|
295,097
|
||
|
1,000,000
|
Zais Investment Grade Ltd., Class A2A (Cayman Islands)(a) (h)
|
A+
|
1.79%
|
07/27/2018
|
N/A
|
902,090
|
||
|
15,149,031
|
||||||||
|
Collateralized Loan Obligations - 23.3%
|
||||||||
|
400,000
|
Airlie CLO, Series 2006-2A, Class B (Cayman Islands)(a) (h)
|
BBB+
|
1.31%
|
12/20/2020
|
N/A
|
292,940
|
||
|
500,000
|
Alm Loan Funding, Series 2010-3A, Class C (Cayman Islands)(a) (h)
|
BBB
|
4.49%
|
11/20/2020
|
N/A
|
449,090
|
||
|
300,000
|
ARCC Commercial Loan Trust, Series 2006-1A, Class C(a) (h)
|
BB+
|
1.26%
|
12/20/2019
|
N/A
|
254,967
|
||
|
2,000,000
|
Black Diamond CLO Ltd., Series 2006-1A, Class B (Cayman Islands)(a) (b) (h)
|
A+
|
0.94%
|
04/29/2019
|
N/A
|
1,691,980
|
||
|
2,000,000
|
Black Diamond CLO Ltd., Series 2006-1A, Class C (Cayman Islands)(a) (h)
|
BBB+
|
1.24%
|
04/29/2019
|
N/A
|
1,554,960
|
||
|
2,395,721
|
Business Loan Express, Series 2006-AA, Class A(a) (h)
|
CCC+
|
0.49%
|
10/20/2038
|
N/A
|
1,517,494
|
||
|
731,086
|
Business Loan Express, Series 2007-AA, Class A(a) (h)
|
CCC+
|
0.65%
|
10/20/2040
|
N/A
|
424,030
|
||
|
1,383,179
|
CapitalSource Commercial Loan Trust, Series 2006-2A, Class C(a) (b) (h)
|
A+
|
0.93%
|
09/20/2022
|
07/20/12 @ 100
|
1,324,647
|
||
|
750,000
|
CapitalSource Commercial Loan Trust, Series 2006-2A, Class D(a) (h)
|
B+
|
1.77%
|
09/20/2022
|
N/A
|
704,539
|
||
|
500,000
|
CapitalSource Commerical Loan Trust, Series 2006-2A, Class E(a) (h)
|
CCC-
|
2.75%
|
09/20/2022
|
N/A
|
456,204
|
||
|
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (h)
|
A+
|
1.83%
|
07/10/2019
|
N/A
|
783,240
|
||
|
3,500,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D1 (Cayman Islands)(a) (h)
|
BBB+
|
3.18%
|
07/10/2019
|
N/A
|
2,533,125
|
||
|
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D2 (Cayman Islands)(a)
|
BBB+
|
8.37%
|
07/10/2019
|
N/A
|
951,950
|
||
|
500,000
|
Colts Trust, Series 2005-2A, Class C (Cayman Islands)(a) (b) (h)
|
BB+
|
1.41%
|
12/20/2018
|
N/A
|
478,187
|
||
|
250,000
|
Colts Trust, Series 2007-1A, Class C (Cayman Islands)(a) (b) (h)
|
AA-
|
1.36%
|
03/20/2021
|
N/A
|
184,137
|
||
|
250,000
|
Cratos CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (h)
|
AA-
|
1.59%
|
05/19/2021
|
N/A
|
187,110
|
||
|
500,000
|
DFR Middle Market CLO Ltd., Series 2007-1A, Class C(a) (h)
|
A
|
2.86%
|
07/20/2019
|
N/A
|
457,720
|
||
|
5,050,000
|
Eastland CLO Ltd., Series 2007-1A, Class A2B(a) (b) (h)
|
A+
|
0.88%
|
05/01/2022
|
N/A
|
3,741,747
|
||
|
500,000
|
Emporia Preferred Funding, Series 2005-1A, Class B1 (Cayman Islands)(a) (h)
|
AA-
|
1.13%
|
10/12/2018
|
N/A
|
413,340
|
||
|
1,250,000
|
Emporia Preferred Funding, Series 2005-1A, Class C (Cayman Islands)(a) (h)
|
A-
|
1.53%
|
10/12/2018
|
N/A
|
963,038
|
||
|
250,000
|
Emporia Preferred Funding, Series 2006-2A, Class B (Cayman Islands)(a) (h)
|
A+
|
1.06%
|
10/18/2018
|
N/A
|
196,875
|
||
|
500,000
|
FM Leveraged Capital Fund, Series 2005-1A, Class B (Cayman Islands)(a) (h)
|
AA
|
1.10%
|
08/01/2017
|
N/A
|
456,350
|
||
|
250,000
|
FM Leveraged Capital Fund, Series 2005-1A, Class C (Cayman Islands)(a) (h)
|
A
|
1.50%
|
08/01/2017
|
N/A
|
221,247
|
||
|
7,700,000
|
Fortress Credit Opportunities I L.P., Series 2005-1A, Class A1(b)
|
NR
|
0.67%
|
07/15/2019
|
N/A
|
6,713,861
|
||
|
1,000,000
|
Friedbergmilstein Private Capital Fund, Series 2004-1A, Class B2 (Cayman Islands)(a) (b)
|
AA+
|
5.41%
|
01/15/2019
|
N/A
|
1,017,760
|
||
|
250,000
|
Gale Force CLO Ltd., Series 2007-3A, Class C (Cayman Islands)(a) (h)
|
BBB+
|
1.26%
|
04/19/2021
|
N/A
|
192,623
|
||
|
500,000
|
Genesis CLO Ltd., Series 2007-2A, Class D (Cayman Islands)(a) (b) (h)
|
BBB
|
4.58%
|
01/10/2016
|
N/A
|
453,260
|
||
|
650,000
|
Global Leveraged Capital Credit Opportunity Fund, Series 2006-1A, Class C (Cayman Islands)(a) (h)
|
BB+
|
1.56%
|
12/20/2018
|
N/A
|
490,061
|
||
|
1,000,000
|
GSC Partners CDO Fund Ltd., Series 2006-7A, Class C (Cayman Islands)(a) (h)
|
A-
|
1.49%
|
05/25/2020
|
N/A
|
794,810
|
||
|
250,000
|
Halcyon Structured Asset Management Long/Short CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (h)
|
A+
|
1.37%
|
08/07/2021
|
N/A
|
196,593
|
||
|
250,000
|
Hewett's Island CDO Ltd., Series 2006-5A, Class C (Cayman Islands)(a) (h)
|
BBB+
|
1.18%
|
12/05/2018
|
N/A
|
187,061
|
||
|
800,000
|
Katonah Ltd., Series 2006-9A, Class A3L (Cayman Islands)(a) (h)
|
BBB+
|
1.28%
|
01/25/2019
|
N/A
|
611,848
|
||
|
1,200,000
|
Kennecott Funding Ltd., Series 2005-1A, Class C (Cayman Islands)(a) (b) (h)
|
BBB+
|
1.38%
|
01/13/2018
|
N/A
|
993,612
|
||
|
500,000
|
Marathon CLO Ltd., Series 2005-2A, Class B (Cayman Islands)(a) (h)
|
BBB+
|
1.36%
|
12/20/2019
|
N/A
|
398,211
|
||
|
500,000
|
Marlborough Street CLO, Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (h)
|
A
|
1.31%
|
04/18/2019
|
N/A
|
358,225
|
||
|
1,500,000
|
MC Funding Ltd. / MC Funding 2006-1, LLC, Series 2006-1A, Class C (Cayman Islands)(a) (h)
|
BBB+
|
1.51%
|
12/20/2020
|
N/A
|
1,170,210
|
||
|
800,000
|
Mountain View Funding CLO, Series 2007-3A, Class A2 (Cayman Islands)(a) (h)
|
AA+
|
0.91%
|
4/16/2021
|
N/A
|
689,232
|
||
|
500,000
|
Navigator CDO Ltd., Series 2004-1A, Class B2 (Cayman Islands)(a)
|
A+
|
5.59%
|
01/14/2017
|
N/A
|
476,620
|
||
|
250,000
|
OFSI Fund Ltd., Series 2006-1X, Class C (Cayman Islands)(a) (h)
|
A
|
1.41%
|
09/20/2019
|
N/A
|
180,940
|
||
|
300,000
|
Pacifica CDO Ltd., Series 2005-5X, Class B2 (Cayman Islands)
|
BBB-
|
5.81%
|
01/26/2020
|
N/A
|
276,567
|
||
|
1,500,000
|
Rosedale CLO Ltd., Series I-A, Class AIJ (Cayman Islands)(a) (b) (h)
|
AA
|
0.97%
|
07/24/2021
|
N/A
|
1,324,485
|
||
|
514,262
|
Sargas CLO II Ltd., Series 2006-1A, Class E (Cayman Islands)(a) (h)
|
B+
|
4.56%
|
10/20/2018
|
N/A
|
456,294
|
||
|
2,000,000
|
Stanfield Modena CLO Ltd., Series 2004-1A, Class C (Cayman Islands)(a) (b) (h)
|
A+
|
1.82%
|
09/22/2016
|
N/A
|
1,823,260
|
||
|
2,000,000
|
TCW Global Project Fund, Series 2004-1A, Class A1 (Cayman Islands)(a) (h)
|
AAA
|
1.47%
|
06/15/2016
|
N/A
|
1,727,700
|
||
|
2,000,000
|
TCW Global Project Fund, Series 2004-1A, Class B1 (Cayman Islands)(a) (h)
|
BBB
|
2.52%
|
06/15/2016
|
N/A
|
1,270,700
|
||
|
1,000,000
|
TCW Global Project Fund, Series 2005-1A, Class B2 (Cayman Islands)(a)
|
BB+
|
5.79%
|
09/01/2017
|
N/A
|
896,480
|
||
|
4,000,000
|
Telos CLO Ltd., Series 2006-1A, Class A2 (Cayman Islands)(a) (h)
|
AA+
|
0.98%
|
10/11/2021
|
N/A
|
3,444,720
|
||
|
2,500,000
|
Telos CLO Ltd., Series 2006-1A, Class B (Cayman Islands)(a) (h)
|
A+
|
1.07%
|
10/11/2021
|
N/A
|
2,030,750
|
||
|
1,000,000
|
Zohar CDO, Series 2007-3A, Class A2 (Cayman Islands)(a) (h)
|
BB+
|
1.11%
|
04/15/2019
|
N/A
|
574,300
|
||
|
48,989,100
|
||||||||
|
Commercial Real Estate - 0.7%
|
||||||||
|
2,000,000
|
Wrightwood Capital Real Estate CDO Ltd., Series 2005-1A, Class A1 (Cayman Islands)(a) (h)
|
BB
|
0.81%
|
11/21/2040
|
N/A
|
1,540,000
|
||
|
Commercial Receivables - 0.4%
|
||||||||
|
500,000
|
FCC Financing Subsidiary, LLC, Series 2010-1A, Class B(a) (h)
|
NR
|
13.16%
|
03/31/2017
|
N/A
|
531,200
|
||
|
400,000
|
Leaf II Receivables Funding, LLC, Series 2010-4, Class D(a) (b)
|
NR
|
5.00%
|
01/20/2019
|
02/20/13 @ 100
|
364,360
|
||
|
895,560
|
||||||||
|
Credit Cards - 1.1%
|
||||||||
|
1,000,000
|
LCP Rights Trust, Series 2010-1, Class A
|
NR
|
14.55%
|
07/17/2017
|
N/A
|
998,489
|
||
|
290,323
|
LCP Rights Trust, Series 2010-1, Class C
|
NR
|
19.21%
|
07/17/2017
|
N/A
|
289,814
|
||
|
500,000
|
LCP Rights Trust, Series 2010-1, Class G
|
NR
|
11.71%
|
09/18/2018
|
N/A
|
497,707
|
||
|
200,000
|
LCP Rights Trust, Series 2010-1, Class H
|
NR
|
14.56%
|
09/18/2018
|
N/A
|
199,105
|
||
|
400,000
|
LCP Rights Trust, Series 2010-1, Class I
|
NR
|
18.29%
|
09/18/2018
|
N/A
|
398,260
|
||
|
2,383,375
|
||||||||
|
Financial - 0.0%
|
||||||||
|
32,577
|
Blue Falcon, Series A-2(a)
|
NR
|
3.28%
|
12/25/2016
|
N/A
|
32,235
|
||
|
Insurance - 3.6%
|
||||||||
|
1,505,423
|
321 Henderson Receivables I, LLC, Series 2007-3A, Class A(a) (b)
|
BBB+
|
6.15%
|
10/15/2048
|
08/15/35 @ 100
|
1,587,045
|
||
|
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class B(a) (b)
|
AA
|
8.37%
|
01/15/2046
|
02/15/28 @ 100
|
577,266
|
||
|
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class C(a)
|
A
|
9.36%
|
01/15/2048
|
07/15/29 @ 100
|
587,285
|
||
|
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class D(a)
|
BBB
|
10.81%
|
01/15/2050
|
05/15/31 @ 100
|
584,746
|
||
|
400,000
|
Insurance Note Capital Term, Series 1005-1R1A(a) (h)
|
A
|
0.58%
|
06/09/2033
|
N/A
|
341,792
|
||
|
1,225,000
|
Northwind Holdings, LLC, Series 2007-1A, Class A1(a) (h)
|
A
|
1.31%
|
12/01/2037
|
N/A
|
958,122
|
||
|
3,108,668
|
Structured Asset Receivables Trust, Series 2005-1A, Class CTFS(a) (b) (h)
|
CCC
|
1.06%
|
01/21/2015
|
N/A
|
2,898,367
|
||
|
7,534,623
|
||||||||
|
Other ABS - 0.7%
|
||||||||
|
1,424,143
|
Glenn Pool Oil & Gas Trust
|
NR
|
6.00%
|
08/02/2021
|
N/A
|
1,408,221
|
||
|
Student Loans - 0.2%
|
||||||||
|
202,567
|
MRU Student Loan Trust, Series 2008-1A, Class C(a) (h)
|
B-
|
8.06%
|
01/25/2041
|
N/A
|
29,372
|
||
|
313,896
|
MRU Student Loan Trust, Series 2008-A, Class A1A(a)
|
BBB
|
7.40%
|
01/25/2041
|
N/A
|
219,878
|
||
|
202,567
|
MRU Student Loan Trust, Series 2008-A, Class B(a) (h)
|
BB
|
6.06%
|
01/25/2041
|
N/A
|
36,968
|
||
|
286,218
|
||||||||
|
Timeshare - 1.0%
|
||||||||
|
1,376,978
|
Diamond Resorts Owner Trust, Series 2009-1, Class A(a) (b)
|
A
|
9.31%
|
03/20/2026
|
11/20/13 @ 100
|
1,453,960
|
||
|
317,700
|
Silverleaf Finance, LLC, Series 2010-A, Class B(a)
|
BBB
|
8.00%
|
07/15/2022
|
09/15/15 @ 100
|
309,390
|
||
|
362,474
|
Silverleaf Finance, LLC, Series 2011-A, Class A(a)
|
NR
|
9.00%
|
06/15/2023
|
N/A
|
354,181
|
||
|
2,117,531
|
||||||||
|
Transportation - 11.5%
|
||||||||
|
2,851,524
|
Aerco Ltd., Class A3 (Jersey)(a) (h)
|
BB-
|
0.71%
|
07/15/2025
|
N/A
|
2,129,917
|
||
|
1,486,698
|
Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1(a) (h)
|
A+
|
0.52%
|
06/14/2037
|
N/A
|
1,288,317
|
||
|
19,905,395
|
Airplanes Pass-Through Trust, Series 2001-1A, Class A9(b) (h)
|
CCC
|
0.80%
|
03/15/2019
|
N/A
|
11,988,500
|
||
|
893,850
|
Aviation Capital Group Trust, Series 2000-1A, Class A1(a) (h)
|
B-
|
0.73%
|
11/15/2025
|
N/A
|
464,802
|
||
|
3,980,663
|
Aviation Capital Group Trust, Series 2003-2A, Class B1(a) (b) (h)
|
BBB
|
3.25%
|
09/20/2033
|
N/A
|
2,925,787
|
||
|
1,877,763
|
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)(a) (h)
|
BBB+
|
0.55%
|
10/14/2033
|
N/A
|
1,596,098
|
||
|
1,460,482
|
Babcock & Brown Air Funding I Ltd., Series 2007-1X, Class G1 (Bermuda)(a) (b) (h)
|
BBB+
|
0.55%
|
11/14/2033
|
N/A
|
1,241,512
|
||
|
638,889
|
Blade Engine Securitization Ltd., Series 2006-1A, Class B (Cayman Islands)(a) (h)
|
BBB+
|
3.25%
|
09/15/2041
|
N/A
|
532,137
|
||
|
1,427,343
|
Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda)(a) (h)
|
A-
|
0.49%
|
12/19/2032
|
N/A
|
1,253,486
|
||
|
47,937
|
Helios Finance LP, Series 2007-S1, Class B1 (Cayman Islands)(a) (h)
|
A+
|
0.95%
|
10/20/2014
|
N/A
|
47,905
|
||
|
878,598
|
Vega Containervessel PLC, Series 2006-1A, Class A (Ireland)(a) (b)
|
Ba3
|
5.56%
|
02/10/2021
|
N/A
|
786,345
|
||
|
24,254,806
|
||||||||
|
Trust Preferred Stocks - 1.6%
|
||||||||
|
6,000,000
|
Attentus CDO Ltd., Series 2007-3A, Class A1B (Cayman Islands)(a) (h)
|
AA-
|
0.84%
|
10/11/2042
|
N/A
|
3,336,420
|
||
|
Whole Business - 2.8%
|
||||||||
|
500,000
|
Adams Outdoor Advertising LP, Series 2010-1, Class B(a) (b)
|
Ba2
|
8.84%
|
12/20/2040
|
N/A
|
526,516
|
||
|
1,100,000
|
Adams Outdoor Advertising LP, Series 2010-1, Class C(a) (b)
|
B3
|
10.76%
|
12/20/2040
|
N/A
|
1,167,154
|
||
|
1,452,273
|
Cajun Global LLC, Series 2011-1A, Class A2(a) (b)
|
BBB
|
5.96%
|
02/20/2041
|
N/A
|
1,512,411
|
||
|
600,000
|
NuCO2 Funding, LLC, Series 2008-1A, Class A1(a)
|
Baa2
|
7.25%
|
06/25/2038
|
N/A
|
613,992
|
||
|
1,955,000
|
Sonic Capital LLC, Series 2011-1A, Class A2(a) (b)
|
BBB
|
5.44%
|
05/20/2041
|
N/A
|
2,038,303
|
||
|
5,858,376
|
||||||||
|
Total Asset Backed Securities - 54.1%
|
||||||||
|
(Cost $111,886,037)
|
113,851,022
|
|||||||
|
Collateralized Mortgage Obligations - 8.7%
|
||||||||
|
Commercial Mortgage Backed Securities - Military Housing - 0.8%
|
||||||||
|
1,000,000
|
Hampton Roads PPV, LLC(a) (b)
|
Ba2
|
6.07%
|
12/15/2041
|
N/A
|
815,570
|
||
|
1,000,000
|
Hampton Roads PPV, LLC(a) (b)
|
Ba2
|
6.17%
|
06/15/2053
|
N/A
|
801,780
|
||
|
1,617,350
|
||||||||
|
Commercial Mortgage Backed Securities - Non-Traditional - 0.4%
|
||||||||
|
750,000
|
Timberstar Trust, Series 2006-1A, Class C(a) (b)
|
A
|
5.88%
|
10/15/2036
|
N/A
|
772,733
|
||
|
Commercial Mortgage Backed Securities - Traditional - 5.0%
|
||||||||
|
1,000,000
|
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2004-5, Class B(b) (h)
|
AA+
|
5.06%
|
11/10/2041
|
N/A
|
1,022,865
|
||
|
1,200,000
|
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class AM(b) (h)
|
BBB+
|
5.70%
|
12/10/2049
|
N/A
|
1,259,238
|
||
|
1,000,000
|
Commercial Mortgage Pass-Through Certificates, Series 2006-C7, Class AM(b) (h)
|
BBB+
|
5.77%
|
06/10/2046
|
N/A
|
1,035,862
|
||
|
1,000,000
|
Commercial Mortgage Pass-Through Certificates, Series 2006-CN2A, Class F(a) (b) (h)
|
CCC+
|
5.57%
|
02/05/2019
|
N/A
|
944,376
|
||
|
1,500,000
|
Credit Suisse Mortgage Capital Certificates, Series 2006-C3, Class AM(b) (h)
|
BBB-
|
5.81%
|
06/15/2038
|
N/A
|
1,584,009
|
||
|
2,600,000
|
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class AM(b) (h)
|
BB
|
5.82%
|
06/15/2049
|
N/A
|
2,386,332
|
||
|
1,000,000
|
Morgan Stanley Capital I, Series 2006-HQ10, Class AM(b)
|
Aa2
|
5.36%
|
11/12/2041
|
N/A
|
1,042,982
|
||
|
1,250,000
|
Morgan Stanley Capital I, Series 2006-IQ12, Class AM(b)
|
BBB
|
5.37%
|
12/15/2043
|
N/A
|
1,300,764
|
||
|
10,576,428
|
||||||||
|
Residential Mortgage Backed Securities - 2.5%
|
||||||||
|
741,011
|
Asset Backed Funding Certificates, Series 2005-AQ1, Class A6(b) (i)
|
AA-
|
4.78%
|
06/25/2035
|
05/25/21 @ 100
|
711,355
|
||
|
3,033,109
|
Countrywide Home Equity Loan Trust, Series 2004-S, Class 1A(b) (h)
|
CCC
|
0.49%
|
02/15/2030
|
N/A
|
1,877,170
|
||
|
89,492
|
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AB4, Class A1A(h)
|
D
|
6.01%
|
10/25/2036
|
12/25/20 @ 100
|
51,196
|
||
|
461,890
|
GSAA Trust, Series 2007-5, Class 1F2A(h)
|
CCC
|
5.79%
|
03/25/2047
|
01/25/23 @ 100
|
322,060
|
||
|
684,469
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR9, Class 3A1(h)
|
CCC
|
5.04%
|
06/25/2036
|
07/25/21 @ 100
|
583,510
|
||
|
285,668
|
New Century Home Equity Loan Trust, Series 2004-A, Class AII9(h)
|
B
|
5.20%
|
08/25/2034
|
07/25/20 @ 100
|
269,528
|
||
|
914,785
|
TBW Mortgage Backed Pass-Through Certificates, Series 2006-6, Class A3(i)
|
D
|
5.75%
|
1/25/2037
|
05/25/18 @ 100
|
449,085
|
||
|
2,122,465
|
TBW Mortgage Backed Pass-Through Certificates, Series 2006-6, Class A5B(i)
|
D
|
6.04%
|
1/25/2037
|
05/25/18 @ 100
|
977,675
|
||
|
5,241,579
|
||||||||
|
Total Collateralized Mortgage Obligations - 8.7%
|
||||||||
|
(Cost $17,935,028)
|
18,208,090
|
|||||||
|
Term Loans - 3.8%(j)
|
||||||||
|
Consumer Products - 0.1%
|
||||||||
|
149,250
|
Targus Group International, Inc.(h)
|
B
|
11.00%
|
5/25/2016
|
N/A
|
145,519
|
||
|
Entertainment - 0.1%
|
||||||||
|
218,750
|
CKX Entertainment(h)
|
B+
|
9.00%
|
06/21/2017
|
N/A
|
185,937
|
||
|
Gaming - 0.9%
|
||||||||
|
1,800,000
|
MGM Mirage, Inc(h)
|
Ba3
|
7.00%
|
02/21/2014
|
N/A
|
1,794,384
|
||
|
100,000
|
Rock Ohio Caesars LLC(h)
|
BB-
|
8.50%
|
08/11/2017
|
N/A
|
101,125
|
||
|
1,895,509
|
||||||||
|
Other - 1.3%
|
||||||||
|
1,338,969
|
Bushnell Performance Optics(h)
|
BB-
|
4.33%
|
08/24/2013
|
N/A
|
1,300,139
|
||
|
283,064
|
Clientlogic Corp.(h)
|
B+
|
6.08%
|
01/30/2014
|
N/A
|
275,280
|
||
|
955,025
|
Mattress Holding Corp.(h)
|
B
|
2.83%
|
01/18/2014
|
N/A
|
940,102
|
||
|
300,000
|
Sirva Worldwide, Inc.(h)
|
B
|
10.75%
|
03/17/2017
|
N/A
|
301,500
|
||
|
2,817,021
|
||||||||
|
Retail - 0.3%
|
||||||||
|
522,713
|
Deb Store Holdings(l) (m)
|
B-
|
12.50%
|
10/11/2016
|
N/A
|
522,713
|
||
|
100,000
|
Eastman Kodak Co.(h)
|
B-
|
8.50%
|
07/26/2013
|
N/A
|
101,625
|
||
|
624,338
|
||||||||
|
Technology - 1.1%
|
||||||||
|
99,206
|
API Technologies Corp.(h)
|
BB-
|
7.75%
|
06/27/2016
|
N/A
|
93,750
|
||
|
150,000
|
Asurion Corp.(h)
|
BB-
|
11.00%
|
08/16/2019
|
N/A
|
152,700
|
||
|
60,000
|
Infor Enterprise Solutions Holdings, Inc.(h)
|
Caa2
|
6.52%
|
3/2/2014
|
N/A
|
54,733
|
||
|
940,000
|
Infor Global Solutions(h)
|
Caa2
|
6.52%
|
3/2/2014
|
N/A
|
857,492
|
||
|
1,243,750
|
Lawson Software(h)
|
B+
|
6.75%
|
07/05/2017
|
N/A
|
1,254,502
|
||
|
2,413,177
|
||||||||
|
Transportation - 0.0%
|
||||||||
|
35,565
|
Carey International, Inc.(h) (m)
|
Caa3
|
9.00%
|
01/25/2014
|
N/A
|
14,226
|
||
|
Total Term Loans - 3.8%
|
||||||||
|
(Cost $8,001,985)
|
8,095,727
|
|||||||
|
Number
|
||||||||
|
of Shares
|
Description
|
Value
|
||||||
|
Common Stock - 0.1%
|
||||||||
|
9,389
|
Deb Store Holdings LLC(k) (m)
|
$125,069
|
||||||
|
(Cost $125,069)
|
||||||||
|
Preferred Stocks - 2.4%
|
||||||||
|
Banks - 0.9%
|
||||||||
|
40,000
|
BB&T Capital Trust VI(b)
|
BBB
|
9.60%
|
1,074,400
|
||||
|
1,250
|
CoBank ACB(a) (b)
|
NR
|
6.11%
|
800,078
|
||||
|
1,874,478
|
||||||||
|
Diversified Financial Services - 0.2%
|
||||||||
|
500
|
Falcons Funding Trust I(a) (h)
|
NR
|
8.88%
|
520,969
|
||||
|
Insurance - 0.3%
|
||||||||
|
20,000
|
Aegon NV (Netherlands)(b)
|
BBB
|
6.38%
|
451,600
|
||||
|
3,800
|
ING Groep NV (Netherlands)(b)
|
BBB
|
7.05%
|
88,008
|
||||
|
539,608
|
||||||||
|
Telecommunications - 0.5%
|
||||||||
|
1,000
|
Centaur Funding Corp. (Cayman Islands)(a)
|
BBB
|
9.08%
|
1,123,437
|
||||
|
Transportation - 0.5%
|
||||||||
|
40,000
|
Seaspan Corp., Series C (Marshall Islands)
|
NR
|
9.50%
|
1,090,000
|
||||
|
Total Preferred Stocks - 2.4%
|
||||||||
|
(Cost $5,328,274)
|
5,148,492
|
|||||||
|
Exchange Traded Funds - 20.7%
|
||||||||
|
53,300
|
Consumer Discretionary Select Sector SPDR Fund(b) (n)
|
$2,302,560
|
||||||
|
62,400
|
Health Care Select Sector SPDR Fund(b) (n)
|
2,257,632
|
||||||
|
142,900
|
PowerShares QQQ Trust, Series 1(b) (n)
|
9,204,189
|
||||||
|
41,900
|
ProShares Ultra S&P500(b) (n)
|
2,301,567
|
||||||
|
70,400
|
SPDR Dow Jones Industrial Average ETF Trust(b) (n)
|
9,102,016
|
||||||
|
108,600
|
SPDR S&P 500 ETF Trust(b) (n)
|
14,864,082
|
||||||
|
19,500
|
SPDR S&P Retail ETF(b) (n)
|
1,148,355
|
||||||
|
79,700
|
Technology Select Sector SPDR Fund(b) (n)
|
2,304,924
|
||||||
|
(Cost $40,912,691)
|
43,485,325
|
|||||||
|
Warrants - 0.0%
|
||||||||
|
1,050
|
Alion Science and Technology Corp.(k) (m)
|
03/15/2017
|
–
|
|||||
|
(Cost $11)
|
||||||||
|
Total Long-Term Investments - 131.8%
|
||||||||
|
(Cost $271,153,620)
|
277,394,603
|
|||||||
|
Contracts
|
Options
Purchased
|
Expiration
Date
|
Exercise
Price
|
Value
|
||||
|
Call Options Purchased - 0.3%
|
||||||||
|
3,600
|
ProShares UltraShort 20+
Year Treasury(n)
|
January
2013
|
$21.00
|
$597,600
|
||||
|
(Cost $547,288)
|
||||||||
|
Total Short-Term Investments - 5.8%
|
||||||||
|
Number
|
||||||||
|
of Shares
|
Description
|
Value
|
||||||
|
Money Market - 5.8%
|
||||||||
|
12,295,259
|
Dreyfus Treasury Prime Cash Management Institutional Shares
|
12,295,259
|
||||||
|
(Cost $12,295,259)
|
||||||||
|
Total Investments - 137.9%
|
||||||||
|
(Cost $283,996,167)
|
290,287,462
|
|||||||
|
Other Assets in excess of Liabilities - 2.4%
|
5,077,185
|
|||||||
|
Total Value of Options Written - (0.7%) (Premiums received - $1,530,761)
|
(1,506,076)
|
|||||||
|
Borrowings - (14.5% of Net Assets or 10.5% of Total Investments)
|
(30,598,955)
|
|||||||
|
Reverse Repurchase Agreements - (25.1%)
|
(52,739,047)
|
|||||||
|
Net Assets - 100.0%
|
$210,520,569
|
|||||||
|
AB - Stock Company
|
|||||
|
CBO - Collateralized Bond Obligation
|
|||||
|
CDO - Collateralized Debt Obligation
|
|||||
|
CLO - Collateralized Loan Obligation
|
|||||
|
LLC - Limited Liability Company
|
|||||
|
LP - Limited Partnership
|
|||||
|
N/A- Not Applicable
|
|||||
|
NV - Publicly Traded Company
|
|||||
|
PLC - Public Limited Company
|
|||||
|
Pty - Propriety
|
|||||
|
SA - Corporation
|
|||||
|
S&P - Standard & Poor's
|
|||||
|
SAB de CV - Publicly Traded Company
|
|||||
|
*
|
Ratings shown are per Standard & Poor's, Moody's or Fitch. Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided. Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.) All ratings are unaudited. The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
|
|||||||
|
**
|
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
|
|||||||
|
(a)
|
Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2012 these securities amounted to $142,755,948, which represents 67.8% of net assets.
|
|||||||
|
(b)
|
All or a portion of these securities have been physically segregated in connection with borrowings, reverse repurchase agreements, and unfunded commitments. As of February 29, 2012, the total amount segregated was $162,935,880.
|
|||||||
|
(c)
|
Non-income producing as security is in default.
|
|||||||
|
(d)
|
Perpetual maturity.
|
|||||||
|
(e)
|
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
|
|||||||
|
(f)
|
The issuer of this security will accrue interest on the secured note at a rate of 12% per annum and will make interest payments as follows: (1) 10% in cash and (2) 2% payment-in-kind shares of the secured note.
|
|||||||
|
(g)
|
The issuer of this security may elect to pay interest entirely in cash, entirely payment-in-kind by increasing the principal amount or issuing new notes equal to such payment in kind interest, or pay 50% of the interest in cash and 50% payment-in-kind.
|
|||||||
|
(h)
|
Floating or variable rate coupon. The rate shown is as of February 29, 2012.
|
|||||||
|
(i)
|
Security is a “Step-up” bond where the coupon increases or steps up at a predetermined date. The rate shown reflects the rate in effect at the end of the reporting period.
|
|||||||
|
(j)
|
Term loans held by the Fund have a variable interest rate feature which is periodically adjusted based on an underlying interest rate benchmark. In addition, term loans may include mandatory and/or optional prepayment terms. As a result, the actual maturity dates of the loan may be different than the amounts disclosed in the portfolios of investments. Term loans may be considered restricted in that the Fund may be contractually obligated to secure approval from the Agent Bank and/or Borrower prior to the sale or disposition of loan.
|
|||||||
|
(k)
|
Non-income producing security.
|
|||||||
|
(l)
|
The issuer of this security will accrue interest at a rate of 12.5% per annum and will make interest payments as follows: (1) 6.0% in payment-in-kind interest and (2) 6.5% in cash.
|
|||||||
|
(m)
|
Security is valued in accordance with Fair Valuation procedures established in good faith by management and approved by the Board of Trustees and is based, in part on significant unobservable inputs. The total market value of such securities is $2,248,491 which represents 1.1% of net assets.
|
|||||||
|
(n)
|
All or a portion of this security position is segregated as collateral for written options.
|
|||||||
|
See previously submitted notes to financial statements for the period ended November 30, 2011.
|
||||||||
|
Country Allocation***
|
||
|
United States
|
70.4%
|
|
|
Cayman Islands
|
19.9%
|
|
|
Ireland
|
1.7%
|
|
|
Bermuda
|
1.5%
|
|
|
Jersey
|
1.4%
|
|
|
British Virgin Islands
|
1.4%
|
|
|
Sweden
|
0.7%
|
|
|
Mexico
|
0.6%
|
|
|
United Kingdom
|
0.5%
|
|
|
Netherlands
|
0.4%
|
|
|
Marshall Islands
|
0.4%
|
|
|
France
|
0.3%
|
|
|
United Arab Emirates
|
0.3%
|
|
|
Australia
|
0.3%
|
|
|
Canada
|
0.2%
|
|
|
***Subject to change daily. Based on long-term investments.
|
|
GOF Guggenheim Strategic Opportunities Fund
|
|||||
|
Portfolio of Investments
|
|||||
|
February 29, 2012 (unaudited)
|
|||||
|
Contracts
|
|||||
|
(100 shares
|
Expiration
|
Exercise
|
|||
|
per contract)
|
Options Written - (0.7%) (k)
|
Month
|
Price
|
Value
|
|
|
Call Options Written - (0.4%)
|
|||||
|
533
|
Consumer Discretionary Select Sector SPDR Fund
|
March 2012
|
$ 43.00
|
$ (31,980)
|
|
|
624
|
Health Care Select Sector SPDR Fund
|
March 2012
|
36.00
|
(27,144)
|
|
|
1,429
|
PowerShares QQQ Trust Series 1
|
March 2012
|
63.00
|
(262,936)
|
|
|
419
|
Proshares Ultra S&P500
|
March 2012
|
55.00
|
(51,537)
|
|
|
704
|
SPDR Dow Jones Industrial Average ETF Trust
|
March 2012
|
129.00
|
(108,416)
|
|
|
1,086
|
SPDR S&P 500 ETF Trust
|
March 2012
|
136.00
|
(217,200)
|
|
|
195
|
SPDR S&P Retail ETF
|
March 2012
|
59.00
|
(16,575)
|
|
|
797
|
Technology Select Sector SPDR Fund
|
March 2012
|
28.00
|
(82,888)
|
|
|
Total Value of Call Options Written
|
$ (798,676)
|
||||
|
Premiums received ($807,174)
|
|||||
|
Put Options Written (0.3%)
|
|||||
|
3,600
|
ProShares UltraShort 20+ Year Treasury
|
January 2013
|
18.00
|
$(707,400)
|
|
|
Premiums Received ($723,587)
|
|||||
|
Total Value of Options Written - (0.7%)
|
$(1,506,076)
|
||||
|
Premiums Received ($1,530,761)
|
|||||
|
GOF Guggenheim Strategic Opportunities Fund
|
|||||||||
|
Portfolio of Investments
|
|||||||||
|
February 29, 2012 (unaudited)
|
|||||||||
|
The Fund entered into swap agreements during the period ended February 29, 2012 to potentially enhance return. Details of the swap agreements outstanding as of February 29, 2012 were as follows:
|
|||||||||
|
Credit Default Swap Agreements
|
|||||||||
|
Counterparty
|
Reference Entity
|
Buy/Sell
Protection
|
Termination
Date |
Implied
Credit Spread at February 29, 2012 (2) |
Notional
Amount (000) |
Receiving Fixed Rate
|
Upfront Premium Received (Paid)
|
Unrealized Appreciation (Depreciation) |
|
|
Goldman Sachs(1)
|
Basket of distinct
|
Sell
|
09/20/14
|
10.26%
|
$ 3,000
|
1.180%
|
$ -
|
$ (657,517)
|
|
| corporate entities | |||||||||
|
Interest Rate Swap Agreements
|
|||||||||
|
Counterparty
|
Floating
Rate
|
Termination
Date
|
Notional
Amount (000)
|
Receive
Fixed Rate
|
Unrealized Appreciation (Depreciation)
|
||||
|
Goldman Sachs (3)
|
3 Month LIBOR
|
01/04/38
|
$ 10,000
|
5.675%
|
$ 659,502
|
||||
|
Goldman Sachs (3)
|
3 Month LIBOR
|
07/07/38
|
5,000
|
5.753
|
372,419
|
||||
|
$ 1,031,921
|
|||||||||
|
Total Unrealized Appreciation for Swap Agreements
|
$ 374,404
|
||||||||
|
(1) The Fund receives a fixed rate based upon the notional amount of $3 million and if a defined credit event occurs,
|
||||||
|
pays cumulative losses in excess of a stated percentage on an underlying basket of distinct corporate entities with an
|
||||||
|
aggregate notional value of $3 billion. The maximum loss exposure is $3 million.
|
||||||
|
(2) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap
|
||||||
|
agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the
|
||||||
|
current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The
|
||||||
|
implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront
|
||||||
|
payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced
|
||||||
|
entity's credit soundless and a greater likelihood or risk of default or other credit event occurring as defined under the terms
|
||||||
|
of the agreement. A credit spread identified as "Defaulted" indicates a credit event has occurred for the referenced
|
||||||
|
entity or obligation.
|
||||||
|
(3) The Fund pays the floating rate and receives the fixed rate.
|
||||||
|
At February 29, 2012, the Fund had the following unfunded loan commitments which
|
||||||
|
could be extended at the option of the borrower:
|
||||||
|
Borrower
|
Principal Amount
|
Unrealized Depreciation
|
|
PTS Catalent
|
650,000
|
(6,890)
|
|
ServiceMaster Revolver
|
800,000
|
(32,000)
|
|
United Rentals
|
400,000
|
-
|
|
$ (38,890)
|
|
At February 29, 2012 (unaudited), the cost and related gross unrealized appreciation and depreciation on
|
||||||
|
investments for tax purposes are as follows:
|
||||||
|
Cost of
Investments for Tax Purposes |
Gross Tax
Unrealized Appreciation |
Gross Tax
Unrealized Depreciation |
Net Tax Unrealized
Appreciation on Investments |
| $284,552,074 |
$16,395,098
|
$ (10,659,710)
|
$ 5,735,388
|
|
Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability
|
||||||
|
in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal
|
||||||
|
market, the most advantageous market for the investment or liability. There are three different categories for
|
||||||
|
valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations
|
||||||
|
are those based upon quoted prices in inactive markets or based upon significant observable inputs
|
||||||
|
(e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable
|
||||||
|
inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
|
||||||
|
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund
|
||||||
|
values Level 2 fixed income securities using independent pricing providers who employ matrix pricing
|
||||||
|
models utilizing market prices, broker quotes and prices of securities with comparable maturities and
|
||||||
|
qualities. In addition, the Fund values certain Level 2 fixed income securities using broker quotes. The
|
||||||
|
Fund values Level 2 equity securities using various observable market inputs in accordance with procedures
|
||||||
|
established in good faith by management and approved by the Board of Trustees.
|
||||||
|
The following table represents the Fund's investments carried on the Statement of Assets and
|
||||||
|
Liabilities by caption and by level with the fair value hierarchy at February 29, 2012.
|
||||||
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
|
(value in $000s)
|
|||||
|
Assets:
|
|||||
|
Corporate Bonds
|
$ -
|
$ 88,481
|
$ -
|
$ 88,481
|
|
|
Asset Backed Securities:
|
|||||
|
Automobile
|
-
|
66
|
-
|
66
|
|
|
Collateralized Debt Obligations
|
-
|
13,563
|
1,587
|
15,150
|
|
|
Collateralized Loan Obligations
|
-
|
48,989
|
-
|
48,989
|
|
|
Commercial Real Estate
|
-
|
1,540
|
-
|
1,540
|
|
|
Commercial Receivables
|
-
|
896
|
-
|
896
|
|
|
Credit Cards
|
-
|
2,383
|
-
|
2,383
|
|
|
Financial
|
-
|
32
|
-
|
32
|
|
|
Insurance
|
-
|
7,535
|
-
|
7,535
|
|
|
Other ABS
|
-
|
1,408
|
-
|
1,408
|
|
|
Student Loans
|
-
|
286
|
-
|
286
|
|
|
Timeshare
|
-
|
2,118
|
-
|
2,118
|
|
|
Transportation
|
-
|
24,255
|
-
|
24,255
|
|
|
Trust Preferred Stocks
|
-
|
3,336
|
-
|
3,336
|
|
|
Whole Business
|
-
|
5,858
|
-
|
5,858
|
|
|
Collateralized Mortgage Obligations
|
-
|
18,208
|
-
|
18,208
|
|
|
Term Loans:
|
|||||
|
Consumer Products
|
-
|
146
|
-
|
146
|
|
|
Entertainment
|
-
|
186
|
-
|
186
|
|
|
Gaming
|
-
|
1,896
|
-
|
1,896
|
|
|
Other
|
-
|
2,817
|
-
|
2,817
|
|
|
Retail
|
-
|
101
|
523
|
624
|
|
|
Technology
|
-
|
2,413
|
-
|
2,413
|
|
|
Transportation
|
-
|
-
|
14
|
14
|
|
|
Common Stock
|
-
|
-
|
125
|
125
|
|
|
Preferred Stock:
|
|||||
|
Banks
|
1,074
|
800
|
-
|
1,874
|
|
|
Diversified Financial Services
|
-
|
521
|
-
|
521
|
|
|
Insurance
|
540
|
-
|
-
|
540
|
|
|
Telecommunications
|
-
|
1,123
|
-
|
1,123
|
|
|
Transportation
|
1,090
|
-
|
-
|
1,090
|
|
|
Exchange Traded Funds
|
43,485
|
-
|
-
|
43,485
|
|
|
Warrants
|
-
|
-
|
-*
|
-*
|
|
|
Call Options
|
598
|
-
|
-
|
598
|
|
|
Money Market Fund
|
12,295
|
-
|
-
|
12,295
|
|
|
Interest Rate Swaps
|
-
|
1,032
|
-
|
1,032
|
|
|
Total
|
$ 59,082
|
$ 229,989
|
$ 2,249
|
$ 291,320
|
|
|
Liabilities:
|
|||||
|
Credit Default Swaps
|
$ -
|
$ 658
|
$ -
|
$ 658
|
|
|
Options Written
|
1,506
|
-
|
-
|
1,506
|
|
|
Unfunded Commitments
|
-
|
39
|
-
|
39
|
|
|
Total
|
$ 1,506
|
$ 697
|
$ -
|
$ 2,203
|
|
|
* Market value is less than minimum amount disclosed.
|
|||||
|
There were no transfers between Level 1 and Level 2 during the period ended February 29, 2012. There was a transfer,
|
||||||
|
in the amount of $1,586,483, from Level 2 to Level 3 for the Asset Backed Securities during the period ended
|
||||||
|
February 29, 2012. The Asset Backed Security transfer from Level 2 to Level 3 occurred due to lack of an available
|
||||||
|
current market price.
|
||||||
|
There was a transfer, in the amount of $522,713, from Level 2 to Level 3 for the Term Loans during the period ended
|
||||||
|
February 29, 2012. The Term Loan transfer from Level 2 to Level 3 occurred due to the reorganization of the
|
||||||
|
Deb Store Holdings Term Loan. There was another transfer from Level 2 to Level 3 for the Term Loans, in the amount of $14,226
|
||||||
|
due to the lack of an available current market price for Carey International, Inc. Term Loan.
|
||||||
|
The fair value estimates for the Fund’s Level 3 securities were determined in accordance with procedures established in
good faith by management and approved by the Board of Trustees. For Duke Funding Ltd, there were various factors considered in reaching a fair value determination, including, but not limited to, the following: the type of security and a model price utilizing a broker quote. For Deb Store Holdings term loan and common stock, there were various factors considered in reaching a fair value determination, including, but not limited to, the following: the type of security and public information obtained from the issuer following its reorganization. For Carey International, Inc., there were various factors considered in reaching a fair value determination, including, but not limited to, the following: the type of security and available public information. The Fund values the warrants for Alion Science and Technology Corp. at $0 due to the security being an unlisted security. |
||||||
|
The following table presents the activity for the Fund's investments measured at fair value using significant unobservable
|
||||||
|
inputs (Level 3 valuations) for the period ended February 29, 2012.
|
||||||
|
Beginning Balance at 5/31/11
|
||||
|
Asset Backed Securities
|
$ -
|
|||
|
Term Loans
|
-
|
|||
|
Common Stock
|
-
|
|||
|
Warrant
|
-
|
|||
|
Total Realized Gain/Loss
|
-
|
|||
|
Change in Unrealized Gain/Loss
|
-
|
|||
|
Net Purchases:
|
||||
|
Asset Backed Securities
|
-
|
|||
|
Term Loans
|
-
|
|||
|
Common Stock
|
125
|
|||
|
Warrant
|
-*
|
|||
|
Sales
|
-
|
|||
|
Transfer In:
|
||||
|
Asset Backed Securities
|
1,587
|
|||
|
Term Loans
|
537
|
|||
|
Common Stock
|
-
|
|||
|
Warrant
|
-
|
|||
|
Transfer Out
|
-
|
|||
|
Ending Balance at 2/29/12
|
||||
|
Asset Backed Securities
|
1,587
|
|||
|
Term Loans
|
537
|
|||
|
Common Stock
|
125
|
|||
|
Warrant
|
-*
|
|||
|
Total Level 3 holdings
|
$ 2,249
|
|||
|
|
(a)
|
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) as of a date within 90 days of the filing date of this report and have concluded, based on such evaluation, 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-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
|
|
|
(b)
|
There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant’s last fiscal quarter that has materially affected or is reasonably likely to materially affect the registrant’s internal control over financial reporting.
|