|
Investment Company Act file number
|
811-21982
|
|
Guggenheim Strategic Opportunities Fund
|
|
|
(Exact name of registrant as specified in charter)
|
|
|
227 West Monroe Street, Chicago, IL 60606
|
|
| (Address of principal executive offices) (Zip code) | |
|
Amy J. Lee
227 West Monroe Street, Chicago, IL 60606
|
|
|
(Name and address of agent for service)
|
|
|
|
|
|
Guggenheim Strategic Opportunities Fund
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2014
|
|
Shares
|
Value
|
|
|
COMMON STOCKS† - 0.2%
|
||
|
Basic Materials - 0.1%
|
||
|
Mirabela Nickel Ltd.*,1
|
5,244,841
|
$ 440,846
|
|
Communications - 0.1%
|
||
|
Cengage Learning
|
||
|
Acquisitions, Inc.*,††,1
|
11,126
|
353,251
|
|
Consumer, Cyclical - 0.0%**
|
||
|
Global Aviation Holdings, Inc. —
|
||
|
Class A*,†††,1,2
|
32,331
|
3
|
|
Deb Store Holdings, LLC*,†††,2
|
9,389
|
-
|
|
Total Consumer, Cyclical
|
3
|
|
|
Total Common Stocks
|
||
|
(Cost $2,144,014)
|
794,100
|
|
|
PREFERRED STOCKS† - 6.4%
|
||
|
Goldman Sachs Group, Inc.
|
||
|
5.50%1,3
|
269,144
|
6,588,645
|
|
Seaspan Corp.
|
||
|
6.38%1
|
98,000
|
2,519,580
|
|
9.50%1
|
40,000
|
1,080,800
|
|
Aspen Insurance Holdings Ltd.
|
||
|
5.95%1,3
|
124,000
|
3,200,440
|
|
PNC Financial Services Group, Inc.
|
||
|
6.13%1,3
|
69,000
|
1,911,300
|
|
Wells Fargo & Co.
|
||
|
5.85%1,3
|
60,000
|
1,564,200
|
|
Centaur Funding Corp.
|
||
|
9.08%1,5
|
1,000
|
1,257,500
|
|
Morgan Stanley
|
||
|
7.13%1,3
|
28,000
|
778,400
|
|
Falcons Funding Trust I
|
||
|
8.88% 1,3,5
|
500
|
517,688
|
|
Aegon N.V.
|
||
|
6.38%1
|
20,000
|
514,400
|
|
AgriBank FCB
|
||
|
6.88%1,3
|
4,000
|
425,125
|
|
City National Corp.
|
||
|
6.75% 1,3
|
12,000
|
336,240
|
|
GSC Partners CDO Fund Limited / GSC Partners CDO Fund Corp.
|
||
|
0.00%*,††,1,3,5
|
5,200
|
22,412
|
|
Total Preferred Stocks
|
||
|
(Cost $19,979,624)
|
20,716,730
|
|
|
WARRANTS††† - 0.0%**
|
||
|
Alion Science & Technology
|
||
|
Corp.
|
||
|
03/15/17†††,1,2
|
1,050
|
-
|
|
Total Warrants
|
||
|
(Cost $11)
|
-
|
|
|
EXCHANGE-TRADED FUNDS† - 19.2%
|
||
|
SPDR S&P 500 ETF Trust6
|
156,200
|
31,350,902
|
|
iShares Russell 2000 ETF6
|
134,400
|
15,665,664
|
|
Powershares QQQ Trust Series
|
||
|
16
|
94,700
|
9,449,166
|
|
SPDR S&P MidCap 400 ETF
|
||
|
Trust6
|
12,000
|
3,140,880
|
|
Technology Select Sector
|
||
|
SPDR Fund6
|
77,900
|
3,137,812
|
|
Total Exchange-Traded Funds
|
||
|
(Cost $61,287,590)
|
62,744,424
|
|
|
Face
|
||
|
Amount
|
Value
|
|
|
ASSET BACKED SECURITIES†† - 43.4%
|
||
|
Rockwall CDO II Ltd.
|
||
|
2007-1A, 0.49% due
|
||
|
08/01/241,3,5
|
$8,521,798
|
$8,151,951
|
|
Fortress Credit Opportunities
|
||
|
2005-1A, 0.57% due
|
||
|
07/15/191
|
7,700,000
|
6,843,760
|
|
Airplanes Pass Through Trust
|
||
|
2001-1A, 0.71% due
|
||
|
03/15/191,3
|
12,703,315
|
5,478,304
|
|
Churchill Financial Cayman Ltd.
|
||
|
2007-1A, 2.83% due
|
||
|
07/10/191,3,5
|
3,500,000
|
3,279,500
|
|
2007-1A, 8.37% due
|
||
|
07/10/191,5
|
1,000,000
|
1,007,200
|
|
2007-1A, 1.48% due
|
||
|
07/10/191,3,5
|
1,000,000
|
946,900
|
|
Attentus CDO III Ltd.
|
||
|
2007-3A, 0.49% due
|
||
|
10/11/423,5
|
5,495,146
|
4,780,777
|
|
Citigroup Mortgage Loan Trust 2006-FX1
|
||
|
2006-FX1, 5.78% due
|
||
|
10/25/361,7
|
5,332,455
|
4,512,595
|
|
Gramercy Real Estate CDO 2007-1 Ltd.
|
||
|
2007-1A, 0.51% due
|
||
|
08/15/561,3,5
|
4,759,885
|
4,153,000
|
|
Cedar Woods CRE CDO Ltd.
|
||
|
2006-1A, 0.42% due
|
||
|
07/25/511
|
4,806,368
|
4,076,281
|
|
Castlelake Aircraft Securitization Trust
|
||
|
2014-1, 5.25% due
|
||
|
02/15/29
|
2,285,026
|
2,299,193
|
|
2014-1, 7.50% due
|
||
|
02/15/29
|
1,371,016
|
1,376,225
|
|
Aerco Ltd.
|
||
|
2000-2A, 0.61% due
|
||
|
07/15/251,3
|
6,532,343
|
3,527,465
|
|
N-Star Real Estate CDO VIII Ltd.
|
||
|
2006-8A, 0.52% due
|
||
|
02/01/411,3,5
|
1,750,000
|
1,594,775
|
|
2006-8A, 0.45% due
|
||
|
02/01/411,3,5
|
1,258,728
|
1,208,757
|
|
RAIT CRE CDO I Ltd.
|
||
|
2006-1X, 0.48% due
|
||
|
11/20/461
|
3,136,589
|
2,802,542
|
|
ARES XXVI CLO Ltd.
|
||
|
2013-1A, 0.00% due
|
||
|
04/15/251,5,8
|
3,700,000
|
2,779,810
|
|
N-Star Real Estate CDO IX Ltd.
|
||
|
0.51% due 02/01/411
|
2,685,287
|
2,579,218
|
|
Atlas Senior Loan Fund II Ltd.
|
||
|
2012-2A, 0.00% due
|
||
|
01/30/241,5,8
|
2,600,000
|
2,418,780
|
|
Carlyle Global Market Strategies CLO 2012-3 Ltd.
|
||
|
2012-3A, 0.00% due
|
||
|
10/04/241,5,8
|
2,600,000
|
2,412,020
|
|
Guggenheim Strategic Opportunities Fund
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2014
|
|
Face
|
||
|
Amount
|
Value
|
|
|
ASSET BACKED SECURITIES†† - 43.4% (continued)
|
||
|
SRERS Funding Ltd.
|
||
|
2011-RS, 0.41% due
|
||
|
05/09/461,3,5
|
$2,462,875
|
$2,323,723
|
|
GSAA Home Equity Trust
|
||
|
2006-18, 6.00% due
|
||
|
11/25/361,7
|
2,398,730
|
1,648,650
|
|
2007-7, 0.43% due
|
||
|
07/25/373
|
702,173
|
602,564
|
|
Babcock & Brown Air Funding I Ltd.
|
||
|
2007-1A, 0.46% due
|
||
|
11/14/331,3,5
|
1,480,771
|
1,258,655
|
|
2007-1X, 0.45% due
|
||
|
11/14/331
|
1,151,711
|
978,954
|
|
Highland Park CDO I Ltd.
|
||
|
2006-1A, 0.56% due
|
||
|
11/25/511,3,5
|
2,358,445
|
2,235,099
|
|
321 Henderson Receivables III LLC
|
||
|
2008-1A, 10.81% due
|
||
|
01/15/501,5
|
500,000
|
744,450
|
|
2008-1A, 9.36% due
|
||
|
01/15/481,5
|
500,000
|
734,500
|
|
2008-1A, 8.37% due
|
||
|
01/15/461,5
|
500,000
|
701,950
|
|
Finn Square CLO Ltd.
|
||
|
2012-1A, 0.00% due
|
||
|
12/24/231,5,8
|
2,500,000
|
2,169,250
|
|
Great Lakes CLO 2012-1 Ltd.
|
||
|
2012-1A, 0.00% due
|
||
|
01/15/231,5,8
|
2,500,000
|
2,134,500
|
|
Halcyon Structured Asset Management Long
|
||
|
Secured/Short Unsecured 2007-1 Ltd.
|
||
|
2007-1A, 2.54% due
|
||
|
08/07/213,5
|
2,100,000
|
2,071,020
|
|
TCW Global Project Fund II Ltd.
|
||
|
2004-1A, 2.18% due
|
||
|
06/15/16†††,1,3,5
|
2,000,000
|
1,634,200
|
|
2004-1A, 1.58% due
|
||
|
06/24/16†††,1,3,5
|
456,060
|
433,075
|
|
Structured Asset Securities Corporation Mortgage Loan
|
||
|
Trust 2006-BC6
|
||
|
2006-BC6, 0.33% due
|
||
|
01/25/371,3
|
2,500,000
|
2,064,848
|
|
Aircraft Certificate Owner Trust
|
||
|
2003-1A, 7.00% due
|
||
|
09/20/22†††,1,5
|
1,833,837
|
1,951,569
|
|
Dryden Senior Loan Fund
|
||
|
3.73% due 10/20/201
|
2,000,000
|
1,921,200
|
|
Structured Asset Securities Corporation Mortgage Loan
|
||
|
Trust
|
||
|
2006-OPT1, 0.42% due
|
||
|
04/25/361,3
|
2,000,000
|
1,798,240
|
|
Adams Outdoor Advertising, LP
|
||
|
2010-1, 10.76% due
|
||
|
12/20/401,5
|
1,100,000
|
1,203,660
|
|
2010-1, 8.84% due
|
||
|
12/20/401,5
|
500,000
|
536,752
|
|
Monroe Capital CLO 2014-1 Ltd.
|
||
|
2014-1A, 4.96% due
|
||
|
10/22/261,3,5
|
1,750,000
|
1,682,450
|
|
Emerald Aviation Finance Ltd.
|
||
|
2013-1, 6.35% due
|
||
|
10/15/381,5,7
|
1,611,458
|
1,636,436
|
|
Business Loan Express SBA Loan Trust 2006-1
|
||
|
2006-AA, 0.40% due
|
||
|
10/20/381,3,5
|
1,526,101
|
1,303,561
|
|
2007-AA, 0.56% due
|
||
|
10/20/401,3,5
|
414,223
|
296,377
|
|
BBAM Acquisition Finance
|
||
|
5.38% due 09/17/161
|
1,289,082
|
1,295,528
|
|
6.25% due 09/17/161
|
250,000
|
241,250
|
|
Rosedale CLO Ltd.
|
||
|
2006-A, 0.64% due
|
||
|
07/24/211,3,5
|
1,500,000
|
1,479,450
|
|
MC Funding Limited / MC Funding 2006-1 LLC
|
||
|
2006-1A, 1.18% due
|
||
|
12/20/201,3,5
|
1,500,000
|
1,442,250
|
|
Marathon CLO II Ltd.
|
||
|
2005-2A, 0.00% due
|
||
|
12/20/191,5,8
|
3,000,000
|
1,427,400
|
|
TCW Global Project Fund III Ltd.
|
||
|
2005-1A, 5.79% due
|
||
|
09/01/17†††,1,5
|
1,000,000
|
946,000
|
|
2005-1A, 0.88% due
|
||
|
09/01/17†††,1,3,5
|
500,000
|
480,150
|
|
GoldenTree Loan Opportunities III Ltd.
|
||
|
2007-3A, 3.44% due
|
||
|
05/01/221,3,5
|
1,500,000
|
1,424,700
|
|
Cerberus Onshore II CLO LLC
|
||
|
2014-1A, 4.23% due
|
||
|
10/15/231,3,5
|
1,250,000
|
1,179,375
|
|
2014-1A, 3.73% due
|
||
|
10/15/231,3,5
|
250,000
|
243,050
|
|
ALM XIV Ltd.
|
||
|
2014-14A, 3.68% due
|
||
|
07/28/261,3,5
|
1,500,000
|
1,416,150
|
|
Ares XXV CLO Ltd.
|
||
|
2013-3A, 0.00% due
|
||
|
01/17/241,5,8
|
1,750,000
|
1,353,450
|
|
Madison Park Funding VIII Ltd.
|
||
|
2014-8AR, 4.08% due
|
||
|
04/22/221,3,5
|
1,300,000
|
1,287,780
|
|
Glenn Pool Oil & Gas Trust
|
||
|
6.00% due 08/02/21†††,1
|
1,239,095
|
1,283,950
|
|
NewStar Arlington Senior Loan Program LLC
|
||
|
2014-1A, 4.48% due
|
||
|
07/25/251,3,5
|
750,000
|
717,825
|
|
2014-1A, 5.97% due
|
||
|
07/25/251,5
|
500,000
|
505,300
|
|
MCF CLO I LLC
|
||
|
2013-1A, 5.98% due
|
||
|
04/20/231,3,5
|
1,250,000
|
1,168,375
|
|
Guggenheim Strategic Opportunities Fund
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2014
|
|
Face
|
||
|
Amount
|
Value
|
|
|
ASSET BACKED SECURITIES†† - 43.4% (continued)
|
||
|
DIVCORE CLO Ltd.
|
||
|
2013-1A B, 4.05% due
|
||
|
11/15/321,3
|
$1,000,000
|
$1,000,600
|
|
KKR Financial CLO Ltd.
|
||
|
2007-1X, 5.23% due
|
||
|
05/15/21
|
1,000,000
|
998,200
|
|
Fortress Credit Opportunities III CLO, LP
|
||
|
2014-3A, 3.48% due
|
||
|
04/28/261,3,5
|
1,000,000
|
995,400
|
|
NewStar Commercial Loan Trust
|
||
|
2007-1A, 1.53% due
|
||
|
09/30/221,3,5
|
500,000
|
469,300
|
|
2007-1A, 2.53% due
|
||
|
09/30/221,3,5
|
500,000
|
466,100
|
|
Turbine Engines Securitization Ltd.
|
||
|
2013-1A, 6.38% due
|
||
|
12/13/481,5
|
846,655
|
859,355
|
|
Global Leveraged Capital Credit Opportunity Fund
|
||
|
2006-1A, 1.23% due
|
||
|
12/20/181,3,5
|
900,000
|
859,230
|
|
Putnam Structured Product CDO 2002-1 Ltd.
|
||
|
2002-1A, 0.83% due
|
||
|
01/10/381,3,5
|
894,247
|
818,236
|
|
Northwind Holdings LLC
|
||
|
2007-1A, 1.01% due
|
||
|
12/01/371,3,5
|
896,875
|
816,156
|
|
Atlas Senior Loan Fund IV Ltd.
|
||
|
2014-2A, 2.93% due
|
||
|
02/17/261,3,5
|
850,000
|
814,300
|
|
Mountain View CLO III Ltd.
|
||
|
2007-3A, 0.57% due
|
||
|
04/16/211,3,5
|
800,000
|
775,440
|
|
Katonah IX CLO Ltd.
|
||
|
2006-9A, 0.95% due
|
||
|
01/25/193,5
|
800,000
|
763,600
|
|
CHLPA Credit Card Pass-Through Trust
|
||
|
2012-BIZ, 0.00%†††,1,4,5,8
|
871,104
|
752,286
|
|
Ivy Hill Middle Market Credit Fund Ltd.
|
||
|
2011-3A, 6.73% due
|
||
|
01/15/221,3,5
|
750,000
|
749,925
|
|
Carlyle Global Market Strategies CLO 2012-2 Ltd.
|
||
|
2014-2AR, 4.13% due
|
||
|
07/20/231,3,5
|
750,000
|
744,000
|
|
Diversified Asset Securitization Holdings II, LP
|
||
|
2000-1A, 0.72% due
|
||
|
09/15/351,3,5
|
670,950
|
656,994
|
|
2000-1X, 0.72% due
|
||
|
09/15/353
|
39,838
|
39,009
|
|
T2 Income Fund CLO Ltd.
|
||
|
2007-1A, 2.98% due
|
||
|
07/15/191,3,5
|
700,000
|
689,780
|
|
Wachovia Asset Securitization Issuance II LLC 2007-HE1
|
||
|
Trust
|
||
|
2007-HE1, 0.30% due
|
||
|
07/25/371,3,5
|
786,152
|
689,542
|
|
New Century Home Equity Loan Trust
|
||
|
2005-1, 0.88% due
|
||
|
03/25/351,3
|
609,574
|
543,755
|
|
2004-A, 5.47% due
|
||
|
08/25/341,3
|
59,820
|
61,730
|
|
Northwoods Capital VII Ltd.
|
||
|
2006-7A, 3.73% due
|
||
|
10/22/211,3,5
|
600,000
|
584,040
|
|
Structured Asset Receivables Trust Series
|
||
|
2005-1A, 0.73% due
|
||
|
01/21/151,3,5
|
598,635
|
579,180
|
|
Vega Containervessel plc
|
||
|
2006-1A, 5.56% due
|
||
|
02/10/211,5
|
512,515
|
504,828
|
|
Newstar Commercial Loan Funding 2014-1 LLC
|
||
|
2014-1A, 5.07% due
|
||
|
04/20/251,3,5
|
500,000
|
492,900
|
|
COA Summit CLO Ltd.
|
||
|
2014-1A, 4.09% due
|
||
|
04/20/231,3,5
|
500,000
|
492,300
|
|
Liberty CLO Ltd.
|
||
|
2005-1A, 0.74% due
|
||
|
11/01/171,3,5
|
500,000
|
489,100
|
|
NXT Capital CLO 2013-1 LLC
|
||
|
2013-1A, 4.38% due
|
||
|
04/25/241,3,5
|
500,000
|
481,600
|
|
Great Lakes CLO 2014-1 Ltd.
|
||
|
2014-1A, 4.43% due
|
||
|
04/15/251,3,5
|
500,000
|
477,500
|
|
Marlborough Street CLO Ltd.
|
||
|
2007-1A, 0.98% due
|
||
|
04/18/191,3,5
|
500,000
|
475,150
|
|
Connecticut Valley Structured Credit CDO III Ltd.
|
||
|
2006-3A, 6.68% due
|
||
|
03/23/231,5
|
441,767
|
428,514
|
|
Gramercy Park CLO Ltd.
|
||
|
2014-1AR, 4.28% due
|
||
|
07/17/231,3,5
|
400,000
|
397,280
|
|
Salus CLO 2012-1 Ltd.
|
||
|
2013-1AN, 6.98% due
|
||
|
03/05/211,3,5
|
400,000
|
395,520
|
|
Airlie CLO
|
||
|
2006-2A, 0.98% due
|
||
|
12/20/201,3,5
|
400,000
|
370,440
|
|
Putnam Structured Product CDO
|
||
|
2008-1A, 0.61% due
|
||
|
10/15/381,3,5
|
340,410
|
324,819
|
|
Golub Capital Partners CLO 18 Ltd.
|
||
|
2014-18A, 4.23% due
|
||
|
04/25/261,3,5
|
300,000
|
288,900
|
|
Insurance Note Capital VII
|
||
|
2005-1R1A, 0.48% due
|
||
|
06/09/333,5
|
282,400
|
266,868
|
|
Raspro Trust
|
||
|
2005-1A, 0.63% due
|
||
|
03/23/241,3,5
|
267,481
|
262,800
|
|
Guggenheim Strategic Opportunities Fund
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2014
|
|
Face
|
||
|
Amount
|
Value
|
|
|
ASSET BACKED SECURITIES†† - 43.4% (continued)
|
||
|
Newstar Commercial Loan Funding 2013-1 LLC
|
||
|
2013-1A, 5.53% due
|
||
|
09/20/231,3,5
|
$250,000
|
$249,375
|
|
Hewett's Island CDO Ltd.
|
||
|
2006-5A, 0.93% due
|
||
|
12/05/183,5
|
250,000
|
244,100
|
|
OFSI Fund Ltd.
|
||
|
2006-1A, 1.08% due
|
||
|
09/20/191,3,5
|
250,000
|
240,550
|
|
Halcyon Structured Asset Management Long/Short CLO
|
||
|
Ltd.
|
||
|
2007-1A, 1.08% due
|
||
|
08/07/213,5
|
250,000
|
236,700
|
|
Gale Force CLO Ltd.
|
||
|
2007-3A, 0.93% due
|
||
|
04/19/211,3,5
|
250,000
|
232,875
|
|
Blade Engine Securitization Ltd.
|
||
|
2006-1A, 3.16% due
|
||
|
09/15/411,3,5
|
460,369
|
184,147
|
|
Silverleaf Finance Vii LLC
|
||
|
2010-A, 8.00% due
|
||
|
07/15/221,5
|
89,248
|
90,611
|
|
Bush Truck Leasing LLC
|
||
|
2011-AA, 5.00% due
|
||
|
09/25/181,5
|
21,607
|
18,460
|
|
Blue Falcon
|
||
|
A-2, 3.16% due 12/25/161
|
10,297
|
10,257
|
|
Total Asset Backed Securities
|
||
|
(Cost $138,706,670)
|
141,568,471
|
|
|
CORPORATE BONDS†† - 40.8%
|
||
|
Financial - 19.5%
|
||
|
Citigroup, Inc.
|
||
|
5.35%1,4,9
|
6,575,000
|
6,278,263
|
|
JPMorgan Chase & Co.
|
||
|
5.00%1,4,9
|
3,100,000
|
3,074,134
|
|
6.13%1,4,9
|
1,000,000
|
1,022,500
|
|
Fifth Third Bancorp
|
||
|
4.90%1,4,9
|
3,000,000
|
3,011,400
|
|
5.10%4,9
|
1,000,000
|
952,500
|
|
Prudential Financial, Inc.
|
||
|
5.63% due 06/15/431,9
|
3,500,000
|
3,753,750
|
|
Bank of America Corp.
|
||
|
5.20%4,9
|
2,000,000
|
1,927,500
|
|
5.13%1,4,9
|
1,000,000
|
989,680
|
|
QBE Capital Funding III Ltd.
|
||
|
7.25% due 05/24/411,5,9
|
2,650,000
|
2,881,875
|
|
Wilton Re Finance LLC
|
||
|
5.88% due 03/30/331,3,5
|
2,750,000
|
2,866,875
|
|
Customers Bank
|
||
|
6.13% due 06/26/291,3,5
|
2,500,000
|
2,521,875
|
|
Barclays plc
|
||
|
6.63%1,4,9
|
1,362,000
|
1,338,165
|
|
8.25%1,4,9
|
950,000
|
1,006,220
|
|
Icahn Enterprises, LP / Icahn
|
||
|
Enterprises Finance Corp.
|
||
|
6.00% due 08/01/201
|
2,000,000
|
2,135,000
|
|
AmTrust Financial Services,
|
||
|
Inc.
|
||
|
6.13% due 08/15/231
|
2,000,000
|
2,105,140
|
|
EPR Properties
|
||
|
5.75% due 08/15/221
|
1,500,000
|
1,653,180
|
|
Cadence Bank North America
|
||
|
6.25% due 06/28/291,3,5
|
1,600,000
|
1,628,000
|
|
Fidelity & Guaranty Life
|
||
|
Holdings, Inc.
|
||
|
6.38% due 04/01/211,5
|
1,450,000
|
1,551,500
|
|
Credit Acceptance Corp.
|
||
|
6.13% due 02/15/211,5
|
1,500,000
|
1,545,000
|
|
Pacific Premier Bancorp, Inc.
|
||
|
5.75% due 09/03/241,5
|
1,500,000
|
1,500,000
|
|
RBS Capital Trust II
|
||
|
6.43%1,4,9
|
1,400,000
|
1,491,000
|
|
Credit Suisse Group AG
|
||
|
6.25%1,4,5,9
|
1,450,000
|
1,442,750
|
|
Cadence Financial Corp.
|
||
|
4.88% due 06/28/191,5
|
1,350,000
|
1,356,750
|
|
MetLife Capital Trust IV
|
||
|
7.88% due 12/15/371,5
|
1,000,000
|
1,277,500
|
|
Schahin II Finance Company
|
||
|
SPV Ltd.
|
||
|
5.88% due 09/25/221,5
|
1,300,133
|
1,267,629
|
|
Lock AS
|
||
|
7.00% due 08/15/21
|
900,000 EUR
|
1,238,749
|
|
KeyCorp Capital III
|
||
|
7.75% due 07/15/291
|
1,000,000
|
1,238,596
|
|
AXA S.A.
|
||
|
6.38%1,4,5,9
|
1,000,000
|
1,085,000
|
|
National Life Insurance Co.
|
||
|
10.50% due 09/15/391,5
|
700,000
|
1,079,651
|
|
Wells Fargo & Co.
|
||
|
5.90%1,4,9
|
1,000,000
|
1,047,500
|
|
Corporation Financiera de
|
||
|
Desarrollo S.A.
|
||
|
5.25% due 07/15/291,3,5
|
1,000,000
|
1,021,500
|
|
Voya Financial, Inc.
|
||
|
5.65%1,4,9
|
1,000,000
|
1,017,500
|
|
Ironshore Holdings US, Inc.
|
||
|
8.50% due 05/15/201,5
|
800,000
|
946,870
|
|
Pacific Beacon LLC
|
||
|
5.63% due 07/15/511,5
|
730,653
|
667,072
|
|
Cabot Financial Luxembourg
|
||
|
S.A.
|
||
|
6.50% due 04/01/215
|
350,000 GBP
|
566,531
|
|
M&T Bank Corp.
|
||
|
6.45%1,4,9
|
500,000
|
537,500
|
|
Scottrade Financial Services,
|
||
|
Inc.
|
||
|
6.13% due 07/11/211,5
|
500,000
|
523,344
|
|
Tri-Command Military Housing
|
||
|
LLC
|
||
|
5.38% due 02/15/481,5
|
565,714
|
518,941
|
|
Guggenheim Strategic Opportunities Fund
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2014
|
|
Face
|
||
|
Amount
|
Value
|
|
|
CORPORATE BONDS†† - 40.8% (continued)
|
||
|
Financial - 19.5%
|
||
|
(continued)
|
||
|
Nationstar Mortgage LLC /
|
||
|
Nationstar Capital Corp.
|
||
|
7.88% due 10/01/201
|
$ 405,000
|
$ 417,150
|
|
6.50% due 07/01/211
|
55,000
|
53,900
|
|
Jefferies LoanCore LLC / JLC
|
||
|
Finance Corp.
|
||
|
6.88% due 06/01/201,5
|
400,000
|
398,000
|
|
Nationwide Mutual Insurance
|
||
|
Co.
|
||
|
9.38% due 08/15/391,5
|
250,000
|
395,032
|
|
Jefferies Finance LLC / JFIN
|
||
|
Company-Issuer Corp.
|
||
|
7.38% due 04/01/201,5
|
350,000
|
365,750
|
|
Prosight Global Inc.
|
||
|
7.50% due 11/26/20†††,1
|
250,000
|
256,950
|
|
LCP Dakota Fund
|
||
|
10.00% due 08/17/151
|
46,200
|
46,200
|
|
12.50% due 08/17/151
|
33,000
|
32,997
|
|
Total Financial
|
64,032,919
|
|
|
Energy - 6.0%
|
||
|
ContourGlobal Power Holdings
|
||
|
S.A.
|
||
|
7.13% due 06/01/191,5
|
2,200,000
|
2,216,500
|
|
Gibson Energy, Inc.
|
||
|
6.75% due 07/15/211,5
|
2,000,000
|
2,159,999
|
|
Atlas Energy Holdings
|
||
|
Operating Company LLC /
|
||
|
Atlas Resource Finance Corp.
|
||
|
7.75% due 01/15/211
|
1,425,000
|
1,453,500
|
|
9.25% due 08/15/211
|
600,000
|
631,500
|
|
Penn Virginia Resource
|
||
|
Partners, LP / Penn Virginia
|
||
|
Resource Finance Corp.
|
||
|
8.38% due 06/01/201
|
1,849,000
|
2,057,013
|
|
Summit Midstream Holdings
|
||
|
LLC / Summit Midstream
|
||
|
Finance Corp.
|
||
|
7.50% due 07/01/211
|
1,800,000
|
1,980,000
|
|
Keane Group Holdings LLC
|
||
|
7.73% due 08/30/19†††,1,2
|
1,500,000
|
1,470,000
|
|
1.99% due 08/30/19†††,2
|
500,000
|
500,000
|
|
BreitBurn Energy Partners LP /
|
||
|
BreitBurn Finance Corp.
|
||
|
7.88% due 04/15/221
|
1,800,000
|
1,908,000
|
|
Regency Energy Partners, LP /
|
||
|
Regency Energy Finance Corp.
|
||
|
8.38% due 06/01/191,5
|
1,600,000
|
1,720,000
|
|
Jones Energy Holdings LLC /
|
||
|
Jones Energy Finance Corp.
|
||
|
6.75% due 04/01/221,5
|
1,100,000
|
1,160,500
|
|
IronGate Energy Services LLC
|
||
|
11.00% due 07/01/185
|
500,000
|
507,500
|
|
Pacific Drilling S.A.
|
||
|
5.38% due 06/01/201,5
|
500,000
|
487,500
|
|
Ultra Resources, Inc.
|
||
|
4.51% due 10/12/20†††,1
|
500,000
|
479,000
|
|
Crestwood Midstream
|
||
|
Partners, LP / Crestwood
|
||
|
Midstream Finance Corp.
|
||
|
7.75% due 04/01/191
|
$330,000
|
$350,625
|
|
Endeavor Energy Resources.
|
||
|
LP / EER Finance, Inc.
|
||
|
7.00% due 08/15/211,5
|
300,000
|
318,750
|
|
Midstates Petroleum Co., Inc. /
|
||
|
Midstates Petroleum Co., LLC
|
||
|
10.75% due 10/01/201
|
150,000
|
165,938
|
|
Total Energy
|
19,566,325
|
|
|
Industrial - 4.8%
|
||
|
Princess Juliana International
|
||
|
Airport Operating Company
|
||
|
N.V.
|
||
|
5.50% due 12/20/271,5
|
2,098,613
|
2,083,293
|
|
Marquette Transportation
|
||
|
Company LLC / Marquette
|
||
|
Transportation Finance Corp.
|
||
|
10.88% due 01/15/171
|
1,530,000
|
1,610,325
|
|
BMBG Bond Finance SCA
|
||
|
1,200,000
|
||
|
5.20% due 10/15/203,5
|
EUR
|
1,598,213
|
|
Xefin Lux SCA
|
||
|
1,200,000
|
||
|
3.91% due 06/01/193,5
|
EUR
|
1,582,682
|
|
Quality Distribution LLC / QD
|
||
|
Capital Corp.
|
||
|
9.88% due 11/01/181
|
1,460,000
|
1,547,600
|
|
Odebrecht Offshore Drilling
|
||
|
Finance Ltd.
|
||
|
6.63% due 10/01/221,5
|
1,433,905
|
1,536,071
|
|
Cemex SAB de CV
|
||
|
9.00% due 01/11/181,5
|
1,210,000
|
1,288,650
|
|
America West Airlines 2001-1
|
||
|
Pass Through Trust
|
||
|
7.10% due 04/02/211
|
948,389
|
1,045,599
|
|
Alion Science & Technology
|
||
|
Corp.
|
||
|
12.00% due 11/01/141,10
|
562,400
|
568,418
|
|
Unifrax I LLC / Unifrax Holding
|
||
|
Co.
|
||
|
7.50% due 02/15/191,5
|
500,000
|
515,000
|
|
LMI Aerospace, Inc.
|
||
|
7.38% due 07/15/191,5
|
500,000
|
506,250
|
|
Atlas Air 1999-1 Class A-1
|
||
|
Pass Through Trust
|
||
|
7.20% due 01/02/19
|
465,332
|
489,180
|
|
British Airways 2013-1 Class B
|
||
|
Pass Through Trust
|
||
|
5.63% due 06/20/201,5
|
398,250
|
425,880
|
|
Atlas Air 1998-1 Class A Pass
|
||
|
Through Trust
|
||
|
7.38% due 07/02/19
|
371,248
|
382,849
|
|
Agua Caliente Band of Cahuilla
|
||
|
Indians
|
||
|
6.35% due 10/01/151,5
|
360,000
|
355,514
|
|
Guggenheim Strategic Opportunities Fund
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2014
|
|
Face
|
||
|
Amount
|
Value
|
|
|
CORPORATE BONDS†† - 40.8% (continued)
|
||
|
Industrial - 4.8% (continued)
|
||
|
Atlas Air 2000-1 Class A Pass
|
||
|
Through Trust
|
||
|
8.71% due 07/02/211
|
$266,843
|
$282,853
|
|
Total Industrial
|
15,818,377
|
|
|
Consumer, Non-cyclical -
|
||
|
2.9%
|
||
|
Bumble Bee Holdings, Inc.
|
||
|
9.00% due 12/15/171,5
|
2,278,000
|
2,414,680
|
|
Vector Group Ltd.
|
||
|
7.75% due 02/15/211
|
2,190,000
|
2,332,350
|
|
Valeant Pharmaceuticals
|
||
|
International, Inc.
|
||
|
6.75% due 08/15/181,5
|
1,500,000
|
1,605,000
|
|
Central Garden and Pet Co.
|
||
|
8.25% due 03/01/18
|
1,538,000
|
1,586,063
|
|
American Seafoods Group
|
||
|
LLC/ American Seafoods
|
||
|
Finance, Inc.
|
||
|
10.75% due 05/15/161,5
|
700,000
|
700,000
|
|
R&R Ice Cream plc
|
||
|
8.25% due 05/15/205
|
500,000 AUD
|
464,808
|
|
KeHE Distributors LLC / KeHE
|
||
|
Finance Corp.
|
||
|
7.63% due 08/15/215
|
250,000
|
268,750
|
|
Physio-Control International,
|
||
|
Inc.
|
||
|
9.88% due 01/15/191,5
|
92,000
|
99,705
|
|
Total Consumer, Non-cyclical
|
9,471,356
|
|
|
Consumer, Cyclical - 2.5%
|
||
|
GRD Holdings III Corp.
|
||
|
10.75% due 06/01/191,5
|
2,445,000
|
2,695,613
|
|
PF Chang's China Bistro, Inc.
|
||
|
10.25% due 06/30/201,5
|
1,255,000
|
1,286,375
|
|
Sabre GLBL, Inc.
|
||
|
8.50% due 05/15/191,5
|
1,111,000
|
1,215,156
|
|
HP Communities LLC
|
||
|
6.82% due 09/15/531,5
|
992,754
|
1,037,120
|
|
Guitar Center, Inc.
|
||
|
6.50% due 04/15/191,5
|
1,065,000
|
1,011,750
|
|
Checkers Drive-In Restaurants,
|
||
|
Inc.
|
||
|
11.00% due 12/01/171,5
|
600,000
|
666,000
|
|
Seminole Hard Rock
|
||
|
Entertainment Incorporated /
|
||
|
Seminole Hard Rock
|
||
|
International LLC
|
||
|
5.88% due 05/15/211,5
|
150,000
|
147,750
|
|
Total Consumer, Cyclical
|
8,059,764
|
|
|
Communications - 2.0%
|
||
|
SITEL LLC / Sitel Finance Corp.
|
||
|
11.00% due 08/01/171,5
|
2,575,000
|
2,690,875
|
|
MDC Partners, Inc.
|
||
|
6.75% due 04/01/201,5
|
2,350,000
|
2,455,750
|
|
Expo Event Transco, Inc.
|
||
|
9.00% due 06/15/211,5
|
560,000
|
583,100
|
|
DCP LLC / DCP Corp.
|
||
|
10.75% due 08/15/151,5
|
$500,000
|
$497,500
|
|
Avaya, Inc.
|
||
|
7.00% due 04/01/191,5
|
380,000
|
378,100
|
|
Total Communications
|
6,605,325
|
|
|
Diversified - 0.9%
|
||
|
Opal Acquisition, Inc.
|
||
|
8.88% due 12/15/211,5
|
2,325,000
|
2,452,875
|
|
Harbinger Group, Inc.
|
||
|
7.88% due 07/15/191
|
300,000
|
325,500
|
|
Total Diversified
|
2,778,375
|
|
|
Technology - 0.8%
|
||
|
Aspect Software, Inc.
|
||
|
10.63% due 05/15/171
|
1,660,000
|
1,693,200
|
|
Eagle Midco, Inc.
|
||
|
9.00% due 06/15/181,5
|
950,000
|
976,125
|
|
Total Technology
|
2,669,325
|
|
|
Basic Materials - 0.8%
|
||
|
Mirabela Nickel Ltd.
|
||
|
9.50% due 05/20/19†††,2
|
1,153,000
|
1,153,000
|
|
TPC Group, Inc.
|
||
|
8.75% due 12/15/201,5
|
1,010,000
|
1,113,525
|
|
KGHM International Ltd.
|
||
|
7.75% due 06/15/191,5
|
300,000
|
322,125
|
|
Total Basic Materials
|
2,588,650
|
|
|
Utilities - 0.6%
|
||
|
LBC Tank Terminals Holding
|
||
|
Netherlands BV
|
||
|
6.88% due 05/15/231,5
|
900,000
|
963,000
|
|
NGL Energy Partners, LP / NGL
|
||
|
Energy Finance Corp.
|
||
|
6.88% due 10/15/211,5
|
842,000
|
903,045
|
|
Total Utilities
|
1,866,045
|
|
|
Total Corporate Bonds
|
||
|
(Cost $126,495,424)
|
133,456,461
|
|
|
SENIOR FLOATING RATE INTERESTS††,3 - 24.6%
|
||
|
Industrial - 6.7%
|
||
|
Travelport Holdings Ltd.
|
||
|
6.25% due 06/26/19
|
2,079,720
|
2,110,915
|
|
9.50% due 01/31/16
|
1,000,000
|
1,018,460
|
|
Rise Ltd.
|
||
|
4.75% due 02/12/39
|
1,947,917
|
1,974,797
|
|
6.50% due 02/12/39
|
486,979
|
492,433
|
|
SIRVA Worldwide, Inc.
|
||
|
7.50% due 03/27/19
|
1,777,500
|
1,813,050
|
|
CPM Acquisition Corp.
|
||
|
6.25% due 08/29/17
|
983,298
|
984,114
|
|
10.25% due 03/01/18
|
530,000
|
536,302
|
|
Knowledge Learning Corp.
|
||
|
5.25% due 03/18/21
|
1,496,250
|
1,507,472
|
|
CareCore National LLC
|
||
|
5.50% due 03/05/21
|
1,496,250
|
1,499,063
|
|
Sabre, Inc.
|
||
|
4.00% due 02/19/19
|
1,237,286
|
1,231,100
|
|
AABS
|
||
|
4.88% due 01/01/20
|
991,146
|
1,007,202
|
|
Guggenheim Strategic Opportunities Fund
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2014
|
|
Face
|
||
|
Amount
|
Value
|
|
|
SENIOR FLOATING RATE INTERESTS††,3 - 24.6% (continued)
|
||
|
Industrial - 6.7% (continued)
|
||
|
NaNa Development Corp.
|
||
|
8.00% due 03/15/18
|
$840,441
|
$827,835
|
|
Flakt Woods
|
||
|
4.82% due 04/01/17
|
650,000 EUR
|
819,920
|
|
Hunter Defense Technologies
|
||
|
6.50% due 08/04/19
|
800,000
|
792,000
|
|
VAT Holding AG
|
||
|
4.75% due 02/11/21
|
748,125
|
747,190
|
|
AlliedBarton Security Services
|
||
|
LLC
|
||
|
8.00% due 08/12/21
|
726,027
|
719,675
|
|
Mitchell International, Inc.
|
||
|
8.50% due 10/11/21
|
700,000
|
704,816
|
|
Sutherland Global Services,
|
||
|
Inc.
|
||
|
7.25% due 03/06/19
|
703,125
|
703,125
|
|
Ceva Group Plc (United
|
||
|
Kingdom)
|
||
|
6.50% due 03/19/21
|
589,655
|
569,017
|
|
Mast Global
|
||
|
8.75% due 09/12/19†††,2
|
481,250
|
477,150
|
|
Panolam Industries
|
||
|
International, Inc.
|
||
|
7.75% due 08/23/17
|
415,938
|
413,859
|
|
SI Organization
|
||
|
5.75% due 11/23/19
|
309,112
|
310,271
|
|
Ceva Logistics US Holdings
|
||
|
6.50% due 03/19/21
|
275,172
|
268,695
|
|
Ceva Logistics Holdings BV
|
||
|
(Dutch)
|
||
|
6.50% due 03/19/21
|
199,500
|
194,804
|
|
Brickman Group Holdings, Inc.
|
||
|
7.50% due 12/17/21
|
170,000
|
170,141
|
|
Doncasters Group Ltd.
|
||
|
9.50% due 10/09/20
|
165,517
|
166,345
|
|
Ceva Logistics Canada, ULC
|
||
|
6.50% due 03/19/21
|
34,397
|
33,587
|
|
Carey International, Inc.
|
||
|
9.00% due 07/31/15†††,2
|
39,872
|
15,949
|
|
Global Aviation Holdings, Inc.
|
||
|
10.00% due
|
||
|
07/13/17†††,2,11
|
618,730
|
–
|
|
3.00% due 02/13/1811
|
202,291
|
–
|
|
Total Industrial
|
22,109,287
|
|
|
Consumer, Cyclical - 3.4%
|
||
|
Lions Gate Entertainment
|
||
|
Corp.
|
||
|
5.00% due 07/19/20
|
2,250,000
|
2,259,382
|
|
STG-Fairway Acquisitions, Inc.
|
||
|
6.25% due 02/28/19
|
1,283,757
|
1,274,129
|
|
10.50% due 08/28/19†††,2
|
450,000
|
446,521
|
|
Fitness International LLC
|
||
|
5.50% due 07/01/20
|
1,325,000
|
1,319,474
|
|
National Vision, Inc.
|
||
|
6.75% due 03/11/22
|
1,200,000
|
1,179,996
|
|
Jacobs Entertainment, Inc.
|
||
|
5.25% due 10/29/18
|
1,129,875
|
1,062,083
|
|
American Tire Distributors, Inc.
|
||
|
5.75% due 06/01/18
|
947,696
|
947,696
|
|
Ollies Bargain Outlet
|
||
|
4.75% due 09/28/19
|
727,372
|
725,554
|
|
Alexander Mann Solutions Ltd.
|
||
|
5.75% due 12/20/19
|
398,000
|
397,005
|
|
Navistar, Inc.
|
||
|
5.75% due 08/17/17
|
361,111
|
364,119
|
|
GCA Services Group, Inc.
|
||
|
9.25% due 11/01/20
|
320,000
|
320,534
|
|
Deb Store Holdings, LLC
|
||
|
1.50% due 10/11/16†††,2
|
622,972
|
249,189
|
|
Fleetpride Corp.
|
||
|
9.25% due 05/15/20
|
120,000
|
117,376
|
|
5.25% due 11/19/19
|
98,747
|
97,667
|
|
Capital Automotive LP
|
||
|
6.00% due 04/30/20
|
150,000
|
151,500
|
|
Armored AutoGroup, Inc.
|
||
|
6.00% due 11/05/16
|
123,933
|
124,026
|
|
CKX Entertainment, Inc.
|
||
|
9.00% due 06/21/17
|
96,850
|
85,712
|
|
Total Consumer, Cyclical
|
11,121,963
|
|
|
Technology - 3.4%
|
||
|
Blue Coat Systems, Inc.
|
||
|
4.00% due 05/31/19
|
2,210,797
|
2,190,082
|
|
Deltek, Inc.
|
||
|
4.50% due 10/10/18
|
1,410,171
|
1,404,530
|
|
Greenway Medical
|
||
|
Technologies
|
||
|
6.00% due 11/04/20
|
1,094,500
|
1,091,764
|
|
Sparta Systems
|
||
|
6.25% due 07/28/20†††,2
|
1,000,000
|
990,110
|
|
MRI Software LLC
|
||
|
5.25% due 02/04/21
|
947,625
|
947,625
|
|
EIG Investors Corp.
|
||
|
5.00% due 11/09/19
|
936,298
|
936,298
|
|
Peak 10, Inc.
|
||
|
5.00% due 06/17/21
|
900,000
|
902,250
|
|
Data Device Corp.
|
||
|
5.75% due 07/15/20
|
900,000
|
898,875
|
|
Active Network, Inc., The
|
||
|
5.50% due 11/13/20
|
598,497
|
597,749
|
|
Aspect Software, Inc.
|
||
|
7.25% due 05/07/16
|
484,227
|
483,622
|
|
GlobalLogic Holdings, Inc.
|
||
|
6.25% due 05/31/19
|
348,250
|
334,320
|
|
P2 Energy Solutions
|
||
|
9.00% due 04/30/21
|
200,000
|
200,000
|
|
Guggenheim Strategic Opportunities Fund
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2014
|
|
Face
|
||
|
Amount
|
Value
|
|
|
SENIOR FLOATING RATE INTERESTS††,3 - 24.6% (continued)
|
||
|
Technology - 3.4% (continued)
|
||
|
Openlink Financial, Inc.
|
||
|
6.25% due 10/30/17
|
$99,490
|
$99,428
|
|
Total Technology
|
11,076,653
|
|
|
Consumer, Non-cyclical - 3.0%
|
||
|
AdvancePierre Foods, Inc.
|
||
|
9.50% due 10/10/17
|
1,341,000
|
1,304,122
|
|
Harvard Drug
|
||
|
5.00% due 08/16/20
|
1,153,458
|
1,153,458
|
|
Nextech Systems LLC
|
||
|
6.00% due 10/28/18†††,2
|
1,072,500
|
1,054,380
|
|
Performance Food Group
|
||
|
6.25% due 11/14/19
|
990,000
|
992,475
|
|
Arctic Glacier Holdings, Inc.
|
||
|
5.00% due 05/10/19
|
1,001,297
|
988,781
|
|
Alberton's Safeway
|
||
|
5.50% due 08/11/21
|
900,000
|
901,872
|
|
Mitel Networks Corp.
|
||
|
5.25% due 01/31/20
|
642,491
|
643,095
|
|
ABG Intermediate Holdings 2
|
||
|
LLC
|
||
|
5.50% due 05/27/21
|
498,750
|
497,503
|
|
CTI Foods Holding Co. LLC
|
||
|
8.25% due 06/28/21
|
450,000
|
452,250
|
|
Pelican Products, Inc.
|
||
|
5.25% due 04/10/20
|
399,000
|
398,753
|
|
NES Global Talent
|
||
|
6.50% due 10/03/19
|
392,500
|
390,538
|
|
Hostess Brands
|
||
|
6.75% due 04/09/20
|
299,250
|
306,731
|
|
Grocery Outlet, Inc.
|
||
|
5.50% due 12/17/18
|
247,105
|
246,796
|
|
Targus Group International,
|
||
|
Inc.
|
||
|
12.00% due 05/24/16
|
232,551
|
192,436
|
|
Rite Aid Corp.
|
||
|
5.75% due 08/21/20
|
100,000
|
101,083
|
|
Catalent Pharma Solutions,
|
||
|
Inc.
|
||
|
6.50% due 12/31/17
|
58,364
|
58,655
|
|
Total Consumer, Non-cyclical
|
||
|
Financial - 2.6%
|
||
|
Expert Global Solutions
|
||
|
8.50% due 04/03/18
|
1,809,227
|
1,806,205
|
|
National Financial Partners
|
||
|
4.50% due 07/01/20
|
1,591,965
|
1,582,016
|
|
TradeMonster
|
||
|
7.25% due 08/29/19
|
1,500,000
|
1,492,500
|
|
Safe-Guard
|
||
|
6.25% due 08/19/21
|
1,400,000
|
1,393,000
|
|
Magic Newco, LLC
|
||
|
12.00% due 06/12/19
|
750,000
|
848,438
|
|
American Stock Transfer &
|
||
|
Trust
|
||
|
5.75% due 06/26/20
|
484,490
|
481,462
|
|
RCS Capital
|
||
|
6.50% due 04/29/19
|
400,000
|
403,832
|
|
Ranpak
|
||
|
8.50% due 04/23/20
|
$200,000
|
$203,500
|
|
HDV Holdings
|
||
|
5.75% due 12/18/18
|
127,035
|
126,082
|
|
Cunningham Lindsey U.S., Inc.
|
||
|
9.25% due 06/10/20
|
116,932
|
116,676
|
|
Total Financial
|
8,453,711
|
|
|
Communications - 2.4%
|
||
|
Avaya, Inc.
|
||
|
6.50% due 03/31/18
|
2,309,331
|
2,315,103
|
|
4.66% due 10/26/17
|
1,413,033
|
1,368,876
|
|
Anaren, Inc.
|
||
|
9.25% due 01/22/21
|
1,000,000
|
1,000,000
|
|
5.50% due 01/22/21
|
995,000
|
990,025
|
|
Cengage Learning
|
||
|
Acquisitions, Inc.
|
||
|
7.00% due 03/31/20
|
1,148,875
|
1,155,814
|
|
Asurion Corp.
|
||
|
5.00% due 05/24/19
|
795,891
|
797,881
|
|
Gogo LLC
|
||
|
11.25% due 03/21/18
|
98,081
|
102,986
|
|
7.50% due 03/21/18
|
81,354
|
82,167
|
|
Total Communications
|
7,812,852
|
|
|
Energy - 1.5%
|
||
|
Floatel International Ltd.
|
||
|
6.00% due 06/27/20
|
1,496,250
|
1,499,990
|
|
PSS Companies
|
||
|
5.50% due 01/28/20
|
1,476,558
|
1,469,175
|
|
Cactus Wellhead
|
||
|
7.00% due 07/31/20
|
1,000,000
|
985,000
|
|
FTS International
|
||
|
5.75% due 04/16/21
|
872,727
|
876,655
|
|
Total Energy
|
4,830,820
|
|
|
Utilities - 1.0%
|
||
|
Expro Holdings UK 3 Ltd.
|
||
|
5.75% due 08/12/21
|
1,400,000
|
1,402,339
|
|
Astoria Generating Company
|
||
|
Acquisitions LLC
|
||
|
8.50% due 10/26/17
|
947,864
|
971,560
|
|
ExGen Renewables I LLC
|
||
|
5.25% due 02/06/21
|
743,745
|
751,182
|
|
Total Utilities
|
3,125,081
|
|
|
Basic Materials - 0.6%
|
||
|
Noranda Aluminum Acquisition
|
||
|
Corp.
|
||
|
5.75% due 02/28/19
|
1,090,000
|
1,061,388
|
|
Hoffmaster Group, Inc.
|
||
|
5.25% due 05/09/20
|
750,000
|
748,125
|
|
Ennis-Flint
|
||
|
7.75% due 09/30/21
|
300,000
|
296,250
|
|
Total Basic Materials
|
2,105,763
|
|
|
Total Senior Floating Rate Interests
|
||
|
(Cost $80,757,522)
|
80,319,058
|
|
|
Guggenheim Strategic Opportunities Fund
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2014
|
|
Face
|
||
|
Amount
|
Value
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 3.6%
|
||
|
Nomura Resecuritization Trust
|
||
|
2012-1R,0.60% due
|
||
|
08/27/471,3,5
|
$4,379,999
|
$4,051,500
|
|
GMAC Commercial Mortgage Asset Corp.
|
||
|
2003-PRES,6.24% due
|
||
|
10/10/41†††,1,5
|
1,451,671
|
1,395,056
|
|
2003-STEW,6.40% due
|
||
|
11/10/43†††,1,5
|
1,000,000
|
954,900
|
|
TBW Mortgage Backed Pass-Through Certificates
|
||
|
2006-6,6.04% due
|
||
|
01/25/371,7
|
1,728,976
|
1,013,738
|
|
2006-6,5.75% due
|
||
|
01/25/371,7
|
734,250
|
455,829
|
|
GreenPoint Mortgage Funding Trust
|
||
|
2006-AR1,0.45% due
|
||
|
02/25/361,3
|
1,727,030
|
1,433,202
|
|
BBCMS Trust
|
||
|
2013-TYSN,3.71% due
|
||
|
09/05/321,5
|
1,500,000
|
1,428,310
|
|
Wachovia Bank Commercial Mortgage Trust Series
|
||
|
2007-WHL8,0.86% due
|
||
|
06/15/201,3,5
|
730,305
|
715,506
|
|
BAMLL-DB Trust
|
||
|
2012-OSI,6.79% due
|
||
|
04/13/291,5
|
400,000
|
423,746
|
|
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
|
||
|
2006-AB4,6.01% due
|
||
|
10/25/363
|
816
|
658
|
|
Total Collateralized Mortgage Obligations
|
||
|
(Cost $11,204,645)
|
11,872,445
|
|
|
MUNICIPAL BONDS†† - 1.4%
|
||
|
Puerto Rico - 1.0%
|
||
|
Commonwealth of Puerto Rico
|
||
|
General Obligation Unlimited
|
||
|
5.00% due 07/01/351
|
1,600,000
|
1,539,792
|
|
Puerto Rico Highways &
|
||
|
Transportation Authority
|
||
|
Revenue Bonds
|
||
|
5.50% due 07/01/281
|
750,000
|
745,635
|
|
4.95% due 07/01/261
|
380,000
|
380,547
|
|
Puerto Rico Municipal Finance
|
||
|
Agency General Obligation
|
||
|
Unlimited
|
||
|
5.00% due 08/01/271
|
500,000
|
478,865
|
|
Total Puerto Rico
|
3,144,839
|
|
|
Illinois - 0.4%
|
||
|
State of Illinois General
|
||
|
Obligation Unlimited
|
||
|
5.65% due 12/01/381
|
1,250,000
|
1,323,825
|
|
Total Municipal Bonds
|
||
|
(Cost $4,394,050)
|
4,468,664
|
|
|
FOREIGN GOVERNMENT BONDS†† - 0.4%
|
||
|
Kenya Government International Bond
|
||
|
6.88% due 06/24/241,5
|
1,350,000
|
1,458,000
|
|
Total Foreign Government Bonds
|
||
|
(Cost $1,362,307)
|
1,458,000
|
|
|
MONEY MARKET FUND† - 2.0%
|
||
|
Dreyfus Treasury Prime Cash Management
|
||
|
Institutional Shares
|
||
|
Total Money Market Fund
|
6,466,517
|
6,466,517
|
|
(Cost $6,466,517)
|
6,466,517
|
|
|
Total Investments - 142.0%
|
||
|
(Cost $452,798,374)
|
$ 463,864,870
|
|
|
Contracts
|
Value
|
|
|
CALL OPTIONS WRITTEN† - (0.4)%
|
||
|
Call options on:
|
||
|
SPDR S&P MidCap 400 ETF
|
||
|
Trust Expiring September
|
||
|
2014 with strike price of
|
||
|
$255.00*
|
120
|
$ (83,400)
|
|
Technology Select Sector
|
||
|
SPDR Fund Expiring
|
||
|
September 2014 with
|
||
|
strike price of $39.00*
|
779
|
(102,439)
|
|
Powershares QQQ Trust
|
||
|
Series 1 Expiring
|
||
|
September 2014 with
|
||
|
strike price of $97.63*
|
947
|
(235,329)
|
|
iShares Russell 2000 ETF
|
||
|
Expiring September 2014
|
||
|
with strike price of
|
||
|
$115.00*
|
1,344
|
(356,160)
|
|
SPDR S&P 500 ETF Trust
|
||
|
Expiring September 2014
|
||
|
with strike price of
|
||
|
$199.00*
|
1,562
|
(417,054)
|
|
Total Call Options Written
|
||
|
(Premiums received
|
||
|
$567,151)
|
(1,194,382)
|
|
|
Other Assets & Liabilities, net - (41.6)%
|
(135,960,671)
|
|
|
Total Net Assets - 100.0%
|
$ 326,709,817
|
|
|
*
|
Non-income producing security.
|
|
**
|
Less than 0.1%
|
|
†
|
Value determined based on Level 1 inputs — See Note 2.
|
|
††
|
Value determined based on Level 2 inputs — See Note 2.
|
|
†††
|
Value determined based on Level 3 inputs — See Note 2.
|
|
1
|
All or a portion of these securities have been physically segregated in connection with borrowings, unfunded commitments and reverse repurchase agreements. As of August 31, 2014, the total amount segregated was $372,761,816.
|
|
2
|
Security was fair valued by the Valuation Committee at August 31, 2014. The total market value of fair valued securities amounts to $6,356,302, (cost $7,319,948) or 1.9% of net assets.
|
|
3
|
Variable rate security. Rate indicated is rate effective at August 31, 2014.
|
|
4
|
Perpetual maturity.
|
|
5
|
Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $178,627,246 (cost $170,949,299), or 54.7% of total net assets.
|
|
6
|
Security represents cover for outstanding written options.
|
|
7
|
Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.
|
|
8
|
Security has no stated coupon. However, it is expected to receive residual cashflow payments on deal defined payment dates.
|
|
9
|
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
|
|
10
|
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.
|
|
11
|
Company has filed for protection in federal bankruptcy court.
|
| At August 31, 2014, the Fund had the following unfunded loan commitments which could be extended at the option of the borrower: | |||
|
Borrower††
|
Expiration Date
|
Principal Amount
|
Unrealized Appreciation
|
|
AlliedBartion Security
|
08/12/2021
|
$ 273,973
|
$ 148
|
|
IntraWest Holdings
|
12/10/2018
|
200,000
|
426
|
|
SI Organization
|
11/23/2019
|
40,889
|
10
|
|
$ 584
|
|||
|
At August 31, 2014, the following forward exchange currency contracts were outstanding:
|
||||||||||||
|
Contracts to Sell
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 8/31/14
|
Net Unrealized Appreciation/(Depreciation)
|
|||||||
|
AUD
|
1,200,000
|
|||||||||||
|
for USD
|
1,116,266
|
The Bank of New York Mellon
|
09/04/2014
|
$ 1,116,266
|
$ 1,120,424
|
$ (4,158)
|
||||||
|
EUR
|
2,500,000
|
|||||||||||
|
for USD
|
3,344,250
|
The Bank of New York Mellon
|
09/04/2014
|
3,344,250
|
3,285,137
|
59,113
|
||||||
|
EUR
|
900,000
|
|||||||||||
|
for USD
|
1,202,081
|
The Bank of New York Mellon
|
09/04/2014
|
1,202,081
|
1,182,649
|
19,432
|
||||||
|
EUR
|
600,000
|
|||||||||||
|
for USD
|
797,388
|
The Bank of New York Mellon
|
09/04/2014
|
797,388
|
788,433
|
8,955
|
||||||
|
GBP
|
350,000
|
|||||||||||
|
for USD
|
591,728
|
The Bank of New York Mellon
|
09/04/2014
|
591,728
|
581,077
|
10,651
|
||||||
| Total unrealized appreciation for forward exchange currency contracts |
$ 93,993
|
|||||||||||
|
The Fund entered into swap agreements during the period ended August 31, 2014 to potentially enhance return. Details of the swap agreements outstanding as of August 31, 2014 were as follows:
|
|
Credit Default Swap Agreement
|
||||||||
|
Counterparty
|
Reference Entity
|
Buy/Sell Protection
|
Termination
Date
|
Implied
Credit
Spread at
August 31,
2014 (2)
|
Notional
Amount
(000)
|
Receiving
Fixed
Rate
|
Upfront
Premium Received
(Paid)
|
Unrealized Appreciation
|
|
Goldman Sachs(1)
|
Basket of distinct corporate entities
|
Sell
|
09/21/14
|
0.16%
|
$ 3,000
|
1.180%
|
$ -
|
$ 1,989
|
|
1.
|
Significant Accounting Policies
|
|
2.
|
Fair Value Measurement
|
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Assets:
|
||||||||||||||||
|
Corporate Bonds
|
$ | - | $ | 129,597,511 | $ | 3,858,950 | $ | 133,456,461 | ||||||||
|
Asset Backed Securities
|
- | 134,087,241 | 7,481,230 | 141,568,471 | ||||||||||||
|
Collateralized Mortgage Obligations
|
- | 9,522,489 | 2,349,956 | 11,872,445 | ||||||||||||
|
Senior Floating Rate Interests
|
- | 77,085,759 | 3,233,299 | 80,319,058 | ||||||||||||
|
Municipal Bonds
|
- | 4,468,664 | - | 4,468,664 | ||||||||||||
|
Foreign Government Bonds
|
- | 1,458,000 | - | 1,458,000 | ||||||||||||
|
Common Stocks
|
440,846 | 353,251 | 3 | 794,100 | ||||||||||||
|
Preferred Stocks
|
20,694,318 | 22,412 | - | 20,716,730 | ||||||||||||
|
Exchange Traded Funds
|
62,744,424 | - | - | 62,744,424 | ||||||||||||
|
Warrant
|
- | - | - | * | - | * | ||||||||||
|
Money Market Fund
|
6,466,517 | - | - | 6,466,517 | ||||||||||||
|
Foreign Currency
|
806 | - | - | 806 | ||||||||||||
|
Forward Exchange Currency Contracts
|
- | 98,151 | - | 98,151 | ||||||||||||
| Credit Default Swaps | - | 1,989 | - | 1,989 | ||||||||||||
|
Unfunded Commitments
|
- | 584 | - | 584 | ||||||||||||
|
Total Assets
|
$ | 90,346,911 | $ | 356,696,051 | $ | 16,923,438 | $ | 463,966,400 | ||||||||
|
Liabilities:
|
||||||||||||||||
|
Options Written
|
$ | 1,194,382 | $ | - | $ | - | $ | 1,194,382 | ||||||||
|
Forward Exchange Currency Contracts
|
- | 4,158 | 4,158 | |||||||||||||
|
Total Liabilities
|
$ | 1,194,382 | $ | 4,158 | $ | - | $ | 1,198,540 | ||||||||
|
Ending Balance
|
Valuation
|
Unobservable
|
||
|
Category
|
at 8/31/14
|
Technique
|
Inputs
|
|
|
Corporate Bonds
|
$ 2,705,950
|
Monthly Broker Quote
|
Indicative Quote
|
|
| Corporate Bonds | $ 1,153,000 | Montly Model Price | Trade Price | |
|
Asset Backed Securities
|
$ 7,481,230
|
Monthly Broker Quote
|
Indicative Quote
|
|
|
Collateralized Mortgage Obligations
|
$ 2,349,956
|
Monthly Broker Quote
|
Indicative Quote
|
|
|
Senior Floating Rate Interests
|
$ 3,233,299
|
Enterprise Value
|
Valuation Multiple*
|
|
|
Level 3 – Fair value measurement using significant unobservable inputs
|
|
Assets
|
Total
|
|
Beginning Balance at 5/31/14
|
$ 34,120,469
|
|
Paydowns Received
|
(4,625,253)
|
|
Payment in kind Distributions Received
|
17,203
|
|
Realized Gain/Loss
|
105,116
|
|
Change in Unrealized Gain/Loss
|
700,019
|
|
Purchases
|
3,968,934
|
|
Transfers into Level 3
|
2,232,913
|
|
Transfers out of Level 3
|
(19,595,963)
|
|
Ending Balance at 8/31/14
|
$ 16,923,438
|
|
3.
|
Federal Income Taxes
|
|
Cost of
Investments for Tax Purposes |
Gross Tax Unrealized
Appreciation
|
Gross Tax
Unrealized Depreciation |
Net Tax
Unrealized Appreciation |
|
$453,678,319
|
$20,991,044
|
$(10,804,493)
|
$10,186,551
|
|
(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.
|