•
|
Daily, weekly and monthly data on share prices, net asset values, distributions and more
|
•
|
Portfolio overviews and performance analyses
|
•
|
Announcements, press releases and special notices
|
•
|
Fund and adviser contact information
|
November 30, 2013
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 3
|
QUESTIONS & ANSWERS
|
November 30, 2013
|
•
|
The Fund may invest up to 60% of its total assets in fixed income securities rated below investment grade (commonly referred to as “junk bonds”);
|
•
|
The Fund may invest up to 20% of its total assets in non-U.S. dollar denominated fixed income securities of corporate and governmental issuers located outside the U.S., including up to 10% of total assets in fixed income securities of issuers located in emerging markets;
|
•
|
The Fund may invest up to 50% of its total assets in common equity securities; and
|
•
|
The Fund may invest up to 30% of its total assets in investment funds that primarily hold (directly or indirectly) investments in which the Fund may invest directly, of which amount up to 30% of the Fund’s total assets may be invested in investment funds that are registered as investment companies under the Investment Company Act of 1940 (the “1940 Act”) to the extent permitted by applicable law and related interpretations of the staff of the U.S. Securities and Exchange Commission.
|
4 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
QUESTIONS & ANSWERS continued
|
November 30, 2013
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 5
|
QUESTIONS & ANSWERS continued
|
November 30, 2013
|
6 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
FUND SUMMARY (Unaudited)
|
November 30, 2013
|
Fund Statistics
|
|||
Share Price
|
$
|
21.44
|
|
Common Share Net Asset Value
|
$
|
20.33
|
|
Premium/Discount to NAV
|
5.46%
|
||
Net Assets Applicable to Common Shares ($000)
|
$
|
292,898
|
Total Returns
|
||
(Inception 7/27/07)
|
Market
|
NAV
|
Six Month
|
2.93%
|
2.39%
|
One Year
|
14.58%
|
12.33%
|
Three Year - average annual1
|
12.53%
|
12.49%
|
Five Year - average annual1
|
29.41%
|
23.52%
|
Since Inception - average annual1
|
12.68%
|
12.32%
|
% of Long-Term
|
|
Top Ten Holdings
|
Investments
|
SPDR S&P 500 ETF Trust
|
7.5%
|
SPDR Dow Jones Industrial Average ETF Trust
|
3.6%
|
iShares Russell 2000 Index Fund
|
2.2%
|
Rockwall CDO Ltd., Series 2007-1A, Class A1LA
|
|
(Cayman Islands)
|
2.0%
|
Fortress Credit Opportunities I LP, Series 2005-1A, Class A1
|
1.8%
|
Aerco Ltd., Series 2A, Class A3 (Jersey)
|
1.4%
|
Airplanes Pass-Through Trust, Series 2001-1A, Class A9
|
1.4%
|
Attentus CDO Ltd., Series 2007-3A, Class A1B
|
|
(Cayman Islands)
|
1.3%
|
Nomura Resecuritization Trust, Series 2012-1R, Class A
|
1.2%
|
Cedarwoods, Series 2006-1A, Class A1
|
1.1%
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 7
|
PORTFOLIO OF INVESTMENTS (Unaudited) | November 30, 2013 |
Principal
|
Optional Call
|
|||||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||||||||
Total Investments – 132.5%
|
||||||||||||||
Corporate Bonds – 41.4%
|
||||||||||||||
Advertising – 1.6%
|
||||||||||||||
$
|
2,350,000
|
MDC Partners, Inc. (Canada)(a) (b)
|
B–
|
6.750%
|
04/01/2020
|
04/01/16 @ 103
|
$
|
2,444,000
|
||||||
2,175,000
|
Sitel, LLC / Sitel Finance Corp.(a) (b)
|
B
|
11.000%
|
08/01/2017
|
08/01/14 @ 106
|
2,343,563
|
||||||||
4,787,563
|
||||||||||||||
Agriculture – 0.4%
|
||||||||||||||
1,200,000
|
Vector Group Ltd.(b)
|
B+
|
7.750%
|
02/15/2021
|
02/15/16 @ 106
|
1,263,000
|
||||||||
Airlines – 2.3%
|
||||||||||||||
2,000,000
|
Aircraft Certificate Owner Trust, Series 2003-1A, Class E(a) (c)
|
BBB–
|
7.001%
|
09/20/2022
|
N/A
|
2,021,604
|
||||||||
977,269
|
America West Airlines 2001-1 Pass-Through Trust, Series 011G(b)
|
BBB–
|
7.100%
|
10/02/2022
|
N/A
|
1,038,348
|
||||||||
623,643
|
Atlas Air 1998-1 Pass-Through Trust, Series 1998-1, Class A(c)
|
NR
|
7.380%
|
07/02/2019
|
N/A
|
636,116
|
||||||||
564,693
|
Atlas Air 1999-1 Pass-Through Trust, Series 1999-1, Class A-1(c)
|
NR
|
7.200%
|
07/02/2020
|
N/A
|
601,398
|
||||||||
333,711
|
Atlas Air 2000-1 Pass-Through Trust, Series 2000-1, Class A(c)
|
NR
|
8.707%
|
07/02/2021
|
N/A
|
355,402
|
||||||||
400,000
|
British Airways PLC (United Kingdom)(a)
|
BBB
|
5.625%
|
06/20/2020
|
N/A
|
414,000
|
||||||||
1,750,000
|
Delta Air Lines Pass-Through Trust, Series 2011-1, Class B(b)
|
BB
|
7.125%
|
04/15/2016
|
N/A
|
1,785,000
|
||||||||
6,851,868
|
||||||||||||||
Auto Parts & Equipment – 0.2%
|
||||||||||||||
720,000
|
Stanadyne Corp., Series 1
|
CCC–
|
10.000%
|
08/15/2014
|
N/A
|
700,200
|
||||||||
Banks – 3.5%
|
||||||||||||||
950,000
|
Barclays Bank PLC (United Kingdom)(b)
|
B+
|
8.250%
|
12/15/2018
|
12/15/18 @ 100
|
980,400
|
||||||||
1,200,000
|
Barclays Bank PLC (United Kingdom)(a) (b) (d) (e)
|
BBB–
|
6.860%
|
–
|
06/15/32 @ 100
|
1,236,000
|
||||||||
875,000
|
Citigroup, Inc., Series D(b) (d) (e)
|
BB
|
5.350%
|
–
|
05/15/23 @ 100
|
772,187
|
||||||||
500,000
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands)(a) (b) (d) (e)
|
A–
|
11.000%
|
–
|
06/30/19 @ 100
|
661,250
|
||||||||
750,000
|
Itau Unibanco Holding SA (Brazil)(a) (b)
|
Baa3
|
5.125%
|
05/13/2023
|
N/A
|
694,875
|
||||||||
3,750,000
|
JPMorgan Chase & Co., Series Q(b) (d) (e)
|
BBB
|
5.150%
|
–
|
05/01/23 @ 100
|
3,375,000
|
||||||||
1,000,000
|
KeyCorp Capital III(b)
|
BBB–
|
7.750%
|
07/15/2029
|
N/A
|
1,150,039
|
||||||||
1,400,000
|
RBS Capital Trust II(b) (d) (e)
|
BB
|
6.425%
|
–
|
01/03/34 @ 100
|
1,305,500
|
||||||||
10,175,251
|
||||||||||||||
Building Materials – 0.6%
|
||||||||||||||
1,210,000
|
Cemex SAB de CV (Mexico)(a) (b)
|
B+
|
9.000%
|
01/11/2018
|
01/11/15 @ 105
|
1,324,950
|
||||||||
350,000
|
CPG Merger Sub, LLC(a)
|
CCC+
|
8.000%
|
10/01/2021
|
10/01/16 @ 106
|
364,875
|
||||||||
1,689,825
|
||||||||||||||
Chemicals – 0.5%
|
||||||||||||||
1,300,000
|
TPC Group, Inc.(a) (b)
|
B
|
8.750%
|
12/15/2020
|
12/15/16 @ 104
|
1,373,125
|
||||||||
Coal – 1.1%
|
||||||||||||||
2,825,000
|
Penn Virginia Resource Partners, LP / Penn Virginia Resource Finance Corp. II(b)
|
B–
|
8.375%
|
06/01/2020
|
06/01/16 @ 104
|
3,121,625
|
||||||||
Commercial Services – 1.1%
|
||||||||||||||
2,650,000
|
Laureate Education, Inc.(a) (b)
|
CCC+
|
9.250%
|
09/01/2019
|
09/01/15 @ 107
|
2,901,750
|
||||||||
10,000
|
RR Donnelley & Sons Co.
|
BB–
|
6.500%
|
11/15/2023
|
N/A
|
9,975
|
||||||||
240,000
|
ServiceMaster Co.
|
CCC+
|
7.000%
|
08/15/2020
|
08/15/15 @ 105
|
229,500
|
||||||||
3,141,225
|
||||||||||||||
Computers – 0.8%
|
||||||||||||||
281,000
|
Stratus Technologies, Inc. (Bermuda)
|
B–
|
12.000%
|
03/29/2015
|
01/15/15 @ 100
|
283,108
|
||||||||
2,040,000
|
Stream Global Services, Inc.(b)
|
B+
|
11.250%
|
10/01/2014
|
N/A
|
2,050,200
|
||||||||
2,333,308
|
8 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2013
|
Principal
|
Optional Call
|
|||||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||||||||
Distribution & Wholesale – 0.5%
|
||||||||||||||
$
|
326,000
|
Baker & Taylor Acquisitions Corp.(a)
|
CCC
|
15.000%
|
04/01/2017
|
10/01/14 @ 108
|
$
|
277,915
|
||||||
1,285,000
|
INTCOMEX, Inc.(b)
|
CCC
|
13.250%
|
12/15/2014
|
N/A
|
1,246,450
|
||||||||
1,524,365
|
||||||||||||||
Diversified Financial Services – 4.3%
|
||||||||||||||
1,000,000
|
General Electric Capital Corp., Series A, Class A(b) (d) (e)
|
AA–
|
7.125%
|
–
|
06/15/22 @ 100
|
1,112,500
|
||||||||
2,000,000
|
General Electric Capital Corp., Series C(b) (d) (f) (e)
|
AA–
|
5.250%
|
–
|
06/15/23 @ 100
|
1,890,000
|
||||||||
300,000
|
Harbinger Group, Inc.(a)
|
B
|
7.875%
|
07/15/2019
|
01/15/16 @ 106
|
321,750
|
||||||||
350,000
|
Jefferies Finance, LLC / JFIN Co-Issuer Corp.(a)
|
B+
|
7.375%
|
04/01/2020
|
04/01/16 @ 106
|
362,687
|
||||||||
400,000
|
Jefferies LoanCore, LLC / JLC Finance Corp.(a)
|
B
|
6.875%
|
06/01/2020
|
06/01/16 @ 105
|
395,000
|
||||||||
235,000
|
KCG Holdings, Inc.(a)
|
B
|
8.250%
|
06/15/2018
|
06/15/15 @ 104
|
241,756
|
||||||||
215,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.
|
B+
|
9.625%
|
05/01/2019
|
05/01/15 @ 107
|
241,875
|
||||||||
1,100,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.(b)
|
B+
|
7.875%
|
10/01/2020
|
10/01/16 @ 104
|
1,141,250
|
||||||||
450,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.
|
B+
|
6.500%
|
07/01/2021
|
01/01/17 @ 103
|
427,500
|
||||||||
1,250,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.(b)
|
B+
|
6.500%
|
06/01/2022
|
12/01/17 @ 103
|
1,178,125
|
||||||||
1,875,000
|
Nuveen Investments, Inc.(a) (b)
|
CCC
|
9.125%
|
10/15/2017
|
10/15/14 @ 107
|
1,860,938
|
||||||||
2,650,000
|
QBE Capital Funding III Ltd. (Jersey)(a) (b) (d)
|
BBB
|
7.250%
|
05/24/2041
|
05/24/21 @ 100
|
2,809,000
|
||||||||
500,000
|
Scottrade Financial Services, Inc.(a) (b)
|
Baa3
|
6.125%
|
07/11/2021
|
N/A
|
501,582
|
||||||||
12,483,963
|
||||||||||||||
Engineering & Construction – 1.1%
|
||||||||||||||
1,378,466
|
Alion Science and Technology Corp.(b) (g)
|
B–
|
12.000%
|
11/01/2014
|
N/A
|
1,409,482
|
||||||||
1,934,095
|
Princess Juliana International Airport Operating Co. NV (Saint Maarten)(a) (b)
|
Baa2
|
5.500%
|
12/20/2027
|
N/A
|
1,894,446
|
||||||||
3,303,928
|
||||||||||||||
Entertainment – 1.0%
|
||||||||||||||
360,000
|
Agua Caliente Band of Cahuilla Indians(a) (c)
|
BB+
|
6.350%
|
10/01/2015
|
N/A
|
356,465
|
||||||||
375,000
|
Diamond Resorts Corp.
|
B–
|
12.000%
|
08/15/2018
|
08/15/14 @ 106
|
416,250
|
||||||||
100,000
|
DreamWorks Animation SKG, Inc.(a)
|
B
|
6.875%
|
08/15/2020
|
08/15/16 @ 105
|
106,250
|
||||||||
100,000
|
Gibson Brands, Inc.(a)
|
B
|
8.875%
|
08/01/2018
|
02/01/16 @ 107
|
102,250
|
||||||||
330,000
|
Live Nation Entertainment, Inc.(a)
|
B+
|
7.000%
|
09/01/2020
|
09/01/16 @ 104
|
356,400
|
||||||||
1,455,000
|
WMG Acquisition Corp.(b)
|
B
|
11.500%
|
10/01/2018
|
10/01/14 @ 109
|
1,684,162
|
||||||||
3,021,777
|
||||||||||||||
Food – 1.0%
|
||||||||||||||
2,382,000
|
Bumble Bee Holdings, Inc.(a) (b)
|
B
|
9.000%
|
12/15/2017
|
12/15/14 @ 105
|
2,602,335
|
||||||||
250,000
|
KeHE Distributors, LLC / KeHE Finance Corp.(a)
|
B
|
7.625%
|
08/15/2021
|
08/15/17 @ 104
|
261,250
|
||||||||
2,863,585
|
||||||||||||||
Forest Products & Paper – 0.2%
|
||||||||||||||
500,000
|
Unifrax I, LLC / Unifrax Holding Co.(a)
|
B–
|
7.500%
|
02/15/2019
|
02/15/15 @ 104
|
513,750
|
||||||||
Gas – 0.3%
|
||||||||||||||
900,000
|
LBC Tank Terminals Holding Netherlands BV (Netherlands)(a) (b)
|
B
|
6.875%
|
05/15/2023
|
05/15/18 @ 103
|
942,750
|
||||||||
Hand & Machine Tools – 0.1%
|
||||||||||||||
150,000
|
Victor Technologies Group, Inc.
|
B–
|
9.000%
|
12/15/2017
|
12/15/14 @ 105
|
160,500
|
||||||||
Health Care Products – 0.0%***
|
||||||||||||||
92,000
|
Physio-Control International, Inc.(a)
|
B+
|
9.875%
|
01/15/2019
|
01/15/15 @ 107
|
103,040
|
||||||||
Household Products & Housewares – 0.2%
|
||||||||||||||
588,000
|
Central Garden and Pet Co.
|
CCC+
|
8.250%
|
03/01/2018
|
03/01/14 @ 104
|
593,880
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 9
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2013
|
Principal
|
Optional Call
|
|||||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||||||||
Insurance – 5.1%
|
||||||||||||||
$
|
2,000,000
|
Amtrust Financial Services, Inc.(a) (b)
|
NR
|
6.125%
|
08/15/2023
|
N/A
|
$
|
2,010,000
|
||||||
1,000,000
|
AXA SA (France)(a) (b) (d) (e)
|
BBB–
|
6.379%
|
–
|
12/14/36 @ 100
|
975,000
|
||||||||
1,450,000
|
Fidelity & Guaranty Life Holdings, Inc.(a) (b)
|
BB–
|
6.375%
|
04/01/2021
|
04/01/16 @ 105
|
1,508,000
|
||||||||
1,000,000
|
ING US, Inc.(b) (d)
|
BB
|
5.650%
|
05/15/2053
|
05/15/23 @ 100
|
974,700
|
||||||||
800,000
|
Ironshore Holdings US, Inc.(a) (b)
|
BBB–
|
8.500%
|
05/15/2020
|
N/A
|
919,582
|
||||||||
1,000,000
|
MetLife Capital Trust IV(a) (b)
|
BBB
|
7.875%
|
12/15/2037
|
12/15/32 @ 100
|
1,142,500
|
||||||||
700,000
|
National Life Insurance Co.(a) (b)
|
BBB+
|
10.500%
|
09/15/2039
|
N/A
|
936,666
|
||||||||
250,000
|
Nationwide Mutual Insurance Co.(a) (b)
|
A–
|
9.375%
|
08/15/2039
|
N/A
|
351,653
|
||||||||
3,500,000
|
Prudential Financial, Inc.(b) (d)
|
BBB+
|
5.625%
|
06/15/2043
|
06/15/23 @ 100
|
3,434,375
|
||||||||
2,750,000
|
Wilton RE Finance, LLC(a) (b) (d)
|
BBB
|
5.875%
|
03/30/2033
|
03/30/23 @ 100
|
2,736,250
|
||||||||
14,988,726
|
||||||||||||||
Internet – 1.3%
|
||||||||||||||
1,000,000
|
First Data Corp.(a) (h)
|
B–
|
8.750%
|
01/15/2022
|
01/15/16 @ 104
|
1,072,500
|
||||||||
2,450,000
|
Zayo Group LLC / Zayo Capital, Inc.(b)
|
CCC+
|
10.125%
|
07/01/2020
|
07/01/16 @ 105
|
2,829,750
|
||||||||
3,902,250
|
||||||||||||||
Leisure Time – 0.7%
|
||||||||||||||
1,875,000
|
Sabre, Inc.(a) (b)
|
B
|
8.500%
|
05/15/2019
|
05/15/15 @ 106
|
2,074,219
|
||||||||
Lodging – 0.0%***
|
||||||||||||||
150,000
|
Seminole Hard Rock Entertainment, Inc. / Seminole Hard Rock International, LLC(a)
|
BB–
|
5.875%
|
05/15/2021
|
05/15/16 @ 104
|
147,000
|
||||||||
Media – 0.7%
|
||||||||||||||
500,000
|
DCP, LLC / DCP Corp.(a) (b)
|
B+
|
10.750%
|
08/15/2015
|
08/15/14 @ 100
|
517,500
|
||||||||
1,500,000
|
Expo Event Transco, Inc.(a)
|
B–
|
9.000%
|
06/15/2021
|
06/15/16 @ 105
|
1,518,750
|
||||||||
2,036,250
|
||||||||||||||
Mining – 0.6%
|
||||||||||||||
300,000
|
KGHM International Ltd. (Canada)(a)
|
BB–
|
7.750%
|
06/15/2019
|
06/15/15 @ 104
|
314,250
|
||||||||
1,025,000
|
Midwest Vanadium Pty Ltd. (Australia)(a)
|
CCC
|
11.500%
|
02/15/2018
|
02/15/15 @ 106
|
850,750
|
||||||||
2,170,000
|
Mirabela Nickel Ltd. (Australia)(a) (b) (c)
|
D
|
8.750%
|
04/15/2018
|
04/15/15 @ 104
|
520,800
|
||||||||
1,685,800
|
||||||||||||||
Oil & Gas – 3.6%
|
||||||||||||||
700,000
|
Atlas Energy Holdings Operating Co., LLC / Atlas Resource Finance Corp.(a)
|
B–
|
7.750%
|
01/15/2021
|
01/15/17 @ 104
|
661,500
|
||||||||
200,000
|
Atlas Resource Escrow Corp.(a)
|
B–
|
9.250%
|
08/15/2021
|
08/15/17 @ 105
|
203,500
|
||||||||
1,800,000
|
BreitBurn Energy Partners, LP / BreitBurn Finance Corp.(b)
|
B–
|
7.875%
|
04/15/2022
|
01/15/17 @ 104
|
1,840,500
|
||||||||
300,000
|
Endeavor Energy Resources, LP / EER Finance, Inc.(a)
|
B+
|
7.000%
|
08/15/2021
|
08/15/16 @ 105
|
300,000
|
||||||||
500,000
|
IronGate Energy Services, LLC(a)
|
NR
|
11.000%
|
07/01/2018
|
07/01/16 @ 105
|
490,000
|
||||||||
2,055,000
|
Legacy Reserves LP / Legacy Reserves Finance Corp.(a) (b)
|
B–
|
8.000%
|
12/01/2020
|
12/01/16 @ 104
|
2,121,787
|
||||||||
300,000
|
Legacy Reserves, LP / Legacy Reserves Finance Corp.(a)
|
B–
|
6.625%
|
12/01/2021
|
06/01/17 @ 103
|
289,500
|
||||||||
525,000
|
Memorial Production Partners, LP / Memorial Production Finance Corp.(a)
|
B–
|
7.625%
|
05/01/2021
|
05/01/17 @ 104
|
539,438
|
||||||||
195,000
|
Memorial Production Partners, LP / Memorial Production Finance Corp.
|
B–
|
7.625%
|
05/01/2021
|
05/01/17 @ 104
|
200,362
|
||||||||
1,100,000
|
Midstates Petroleum Co., Inc. / Midstates Petroleum Co., LLC
|
B–
|
10.750%
|
10/01/2020
|
10/01/16 @ 105
|
1,199,000
|
||||||||
100,000
|
Midstates Petroleum Co., Inc. / Midstates Petroleum Co., LLC
|
B–
|
9.250%
|
06/01/2021
|
06/01/16 @ 107
|
104,375
|
||||||||
500,000
|
Pacific Drilling SA (Luxembourg)(a) (b)
|
B+
|
5.375%
|
06/01/2020
|
06/01/16 @ 104
|
505,000
|
||||||||
1,800,000
|
Summit Midstream Holdings, LLC / Summit Midstream Finance Corp.(a) (b)
|
B
|
7.500%
|
07/01/2021
|
07/01/16 @ 106
|
1,881,000
|
||||||||
10,335,962
|
||||||||||||||
Oil & Gas Services – 0.3%
|
||||||||||||||
850,000
|
Exterran Partners, LP / EXLP Finance Corp.(a) (b)
|
B–
|
6.000%
|
04/01/2021
|
04/01/17 @ 103
|
845,750
|
10 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2013
|
Principal
|
Optional Call
|
|||||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||||||||
Packaging & Containers – 0.2%
|
||||||||||||||
$
|
300,000
|
Pretium Packaging, LLC / Pretium Finance, Inc.
|
B–
|
11.500%
|
04/01/2016
|
04/01/14 @ 106
|
$
|
320,250
|
||||||
250,000
|
Prosight Global, Inc.(c)
|
NR
|
7.500%
|
11/20/2020
|
N/A
|
249,737
|
||||||||
569,987
|
||||||||||||||
Pharmaceuticals – 0.6%
|
||||||||||||||
1,500,000
|
Valeant Pharmaceuticals International, Inc.. (Canada)(a) (b)
|
B
|
6.750%
|
08/15/2018
|
08/15/15 @ 105
|
1,651,875
|
||||||||
Pipelines – 1.8%
|
||||||||||||||
330,000
|
Crestwood Midstream Partners, LP / Crestwood Midstream Finance Corp.
|
BB
|
7.750%
|
04/01/2019
|
04/01/15 @ 104
|
358,050
|
||||||||
850,000
|
Crestwood Midstream Partners, LP / Crestwood Midstream Finance Corp.(a) (b)
|
BB
|
6.125%
|
03/01/2022
|
11/01/16 @ 105
|
869,125
|
||||||||
1,750,000
|
Eagle Rock Energy Partners, LP
|
B
|
8.375%
|
06/01/2019
|
06/01/15 @ 104
|
1,802,500
|
||||||||
2,000,000
|
Gibson Energy, Inc. (Canada)(a) (b)
|
BB
|
6.750%
|
07/15/2021
|
07/15/16 @ 105
|
2,120,000
|
||||||||
5,149,675
|
||||||||||||||
Real Estate Investment Trust – 1.0%
|
||||||||||||||
1,500,000
|
Entertainment Properties Trust(b)
|
BB+
|
5.750%
|
08/15/2022
|
05/15/22 @ 100
|
1,546,383
|
||||||||
1,500,000
|
Entertainment Properties Trust(b)
|
BB+
|
5.250%
|
07/15/2023
|
04/15/23 @ 100
|
1,487,101
|
||||||||
3,033,484
|
||||||||||||||
Retail – 1.6%
|
||||||||||||||
150,000
|
Checkers & Rally’s Restaurants, Inc.(a) (c)
|
NR
|
11.625%
|
11/01/2016
|
05/01/15 @ 103
|
154,125
|
||||||||
600,000
|
Checkers Drive-In Restaurants, Inc.(a) (b)
|
B–
|
11.000%
|
12/01/2017
|
06/01/15 @ 108
|
667,500
|
||||||||
2,245,000
|
GRD Holdings III Corp.(a) (b)
|
B
|
10.750%
|
06/01/2019
|
06/01/15 @ 108
|
2,447,050
|
||||||||
1,255,000
|
Wok Acquisition Corp.(a)
|
CCC
|
10.250%
|
06/30/2020
|
06/30/16 @ 105
|
1,355,400
|
||||||||
4,624,075
|
||||||||||||||
Software – 0.7%
|
||||||||||||||
1,360,000
|
Aspect Software, Inc.(b)
|
CCC+
|
10.625%
|
05/15/2017
|
05/15/14 @ 105
|
1,390,600
|
||||||||
750,000
|
Eagle Midco, Inc.(a)
|
CCC+
|
9.000%
|
06/15/2018
|
12/15/14 @ 102
|
768,750
|
||||||||
2,159,350
|
||||||||||||||
Telecommunications – 0.2%
|
||||||||||||||
100,000
|
Alcatel-Lucent USA, Inc.(a)
|
CCC+
|
8.875%
|
01/01/2020
|
07/01/16 @ 104
|
109,375
|
||||||||
600,000
|
Alcatel-Lucent USA, Inc.(a)
|
CCC+
|
6.750%
|
11/15/2020
|
11/15/16 @ 103
|
605,250
|
||||||||
714,625
|
||||||||||||||
Textiles – 0.0%***
|
||||||||||||||
95,000
|
Empire Today, LLC / Empire Today Finance Corp.(a)
|
B–
|
11.375%
|
02/01/2017
|
02/01/15 @ 103
|
94,288
|
||||||||
Transportation – 2.2%
|
||||||||||||||
2,830,000
|
CEVA Group PLC (United Kingdom)(a) (b)
|
CCC+
|
8.375%
|
12/01/2017
|
12/01/14 @ 104
|
2,971,500
|
||||||||
1,530,000
|
Marquette Transportation Co., LLC / Marquette Transportation Finance Corp.(b)
|
B–
|
10.875%
|
01/15/2017
|
01/15/14 @ 105
|
1,621,800
|
||||||||
1,630,000
|
Quality Distribution, LLC / QD Capital Corp.(b)
|
B–
|
9.875%
|
11/01/2018
|
11/01/14 @ 105
|
1,805,225
|
||||||||
6,398,525
|
||||||||||||||
Total Corporate Bonds – 41.4%
|
||||||||||||||
(Cost $117,075,094)
|
121,360,369
|
|||||||||||||
Asset Backed Securities – 37.0%
|
||||||||||||||
Automobile – 0.0%***
|
||||||||||||||
23,331
|
Bush Truck Leasing, LLC, Series 2011-AA, Class C(a)
|
NR
|
5.000%
|
09/25/2018
|
N/A
|
23,219
|
||||||||
Collateralized Debt Obligations – 9.2%
|
||||||||||||||
5,215,121
|
Cedarwoods, Series 2006-1A, Class A1(a) (f) (j)
|
AAA
|
0.435%
|
07/25/2051
|
N/A
|
4,216,777
|
||||||||
1,230,160
|
Diversified Asset Securitization Holdings II LP, Series 1A, Class A1L
|
|||||||||||||
(Cayman Islands)(a) (f)
|
BBB+
|
0.744%
|
09/15/2035
|
N/A
|
1,172,287
|
|||||||||
73,041
|
Diversified Asset Securitization Holdings II LP, Series 1X, Class A1L
|
|||||||||||||
(Cayman Islands)(f)
|
BBB+
|
0.744%
|
09/15/2035
|
N/A
|
69,753
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 11
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2013
|
Principal
|
Optional Call
|
|||||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||||||||
Collateralized Debt Obligations continued
|
||||||||||||||
$
|
3,273,427
|
Highland Park CDO I Ltd., Series 2006-1A, Class A1 (Cayman Islands)(a) (f)
|
B+
|
0.568%
|
11/25/2051
|
N/A
|
$
|
2,830,393
|
||||||
71,929
|
Independence I CDO Ltd., Series 1A, Class A (Cayman Islands)(a) (f)
|
BB+
|
0.669%
|
12/30/2030
|
N/A
|
71,274
|
||||||||
33,421
|
Legg Mason Real Estate CDO I Ltd. (Cayman Islands)(a) (f)
|
BBB+
|
0.446%
|
03/25/2038
|
N/A
|
32,856
|
||||||||
572,693
|
Newcastle 2007 CDO Ltd., Series 2007-9A, Class A1(b)
|
NR
|
0.425%
|
05/25/2052
|
N/A
|
552,652
|
||||||||
2,888,156
|
N-Star Real Estate CDO Ltd.(c)
|
NR
|
0.489%
|
02/01/2041
|
N/A
|
2,623,124
|
||||||||
1,353,823
|
N-Star Real Estate CDO VIII Ltd. (Cayman Islands)(a) (f)
|
A3
|
0.459%
|
02/01/2041
|
N/A
|
1,291,704
|
||||||||
1,250,000
|
N-Star Real Estate CDO VIII Ltd. (Cayman Islands)(a) (f)
|
B1
|
0.529%
|
02/01/2041
|
N/A
|
968,454
|
||||||||
6,969
|
Putnam Structured Product CDO, Series 2001-1A, Class A1SS (Cayman
|
|||||||||||||
Islands)(a) (f)
|
AA
|
0.738%
|
02/25/2032
|
N/A
|
6,833
|
|||||||||
1,146,615
|
Putnam Structured Product CDO, Series 2002-1A, Class A2 (Cayman
|
|||||||||||||
Islands)(a) (f)
|
CCC+
|
0.849%
|
01/10/2038
|
N/A
|
1,009,084
|
|||||||||
448,433
|
Putnam Structured Product CDO, Series 2003-1A, Class A1LT (Cayman
|
|||||||||||||
Islands)(a) (f)
|
CCC
|
0.618%
|
10/15/2038
|
N/A
|
416,613
|
|||||||||
3,529,313
|
RAIT CRE CDO Ltd. (Cayman Islands)(f)
|
BB–
|
0.498%
|
11/20/2046
|
N/A
|
2,924,934
|
||||||||
8,521,798
|
Rockwall CDO Ltd., Series 2007-1A, Class A1LA (Cayman Islands)(a) (b) (f)
|
A+
|
0.492%
|
08/01/2024
|
N/A
|
7,895,078
|
||||||||
65,623
|
Saybrook Point CBO Ltd., Series 2001-1A, Class A (Cayman Islands)(a) (f)
|
BB
|
0.718%
|
02/25/2031
|
N/A
|
63,758
|
||||||||
754,647
|
SRERS Funding Ltd., Series 2011-RS, Class A1B1 (Cayman Islands)(a) (f)
|
Baa3
|
0.419%
|
05/09/2046
|
N/A
|
678,982
|
||||||||
26,824,556
|
||||||||||||||
Collateralized Loan Obligations – 16.4%
|
||||||||||||||
400,000
|
Airlie CLO, Series 2006-2A, Class B (Cayman Islands)(a) (f)
|
A
|
0.992%
|
12/20/2020
|
N/A
|
362,375
|
||||||||
1,750,000
|
Ares CLO Ltd., Series 2012-3A (Cayman Islands)(a) (i)
|
NR
|
0.000%
|
01/17/2024
|
N/A
|
1,414,351
|
||||||||
3,700,000
|
Ares CLO Ltd., Series XXVI (Cayman Islands)(a) (i) (j)
|
NR
|
0.000%
|
04/15/2025
|
N/A
|
2,886,000
|
||||||||
2,600,000
|
Atlas Senior Loan Fund II Ltd., Series 2012-2A (Cayman Islands)(a) (i) (j)
|
NR
|
0.000%
|
01/30/2024
|
N/A
|
2,327,979
|
||||||||
2,800,000
|
Blackrock Senior Income Series Corp., Series 2004-1X (Cayman Islands)(i)
|
NR
|
0.000%
|
09/15/2016
|
N/A
|
273,000
|
||||||||
2,600,000
|
Carlyle Global Market Strategies CLO 2012-3 Ltd., Series 2012-3A
|
|||||||||||||
(Cayman Islands)(a) (i)
|
NR
|
0.000%
|
10/14/2024
|
N/A
|
2,504,838
|
|||||||||
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (f)
|
A+
|
1.494%
|
07/10/2019
|
N/A
|
921,471
|
||||||||
3,500,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D1 (Cayman Islands)(a) (f)
|
BBB+
|
2.844%
|
07/10/2019
|
N/A
|
3,165,859
|
||||||||
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D2 (Cayman Islands)(a)
|
BBB+
|
8.370%
|
07/10/2019
|
N/A
|
1,008,329
|
||||||||
1,000,000
|
Divcore CLO Ltd.
|
Baa3
|
4.100%
|
11/15/2032
|
N/A
|
996,325
|
||||||||
2,500,000
|
Finn Square CLO Ltd., Series 2012-1A (Cayman Islands)(a) (i)
|
NR
|
0.000%
|
12/24/2023
|
N/A
|
2,328,500
|
||||||||
7,700,000
|
Fortress Credit Opportunities I LP, Series 2005-1A, Class A1(b)
|
AAA
|
0.587%
|
07/15/2019
|
N/A
|
6,920,236
|
||||||||
250,000
|
Gale Force CLO Ltd., Series 2007-3A, Class C (Cayman Islands)(a) (f)
|
A
|
0.942%
|
04/19/2021
|
N/A
|
233,558
|
||||||||
900,000
|
Global Leveraged Capital Credit Opportunity Fund, Series 2006-1A,
|
|||||||||||||
Class C (Cayman Islands)(a) (f)
|
A+
|
1.242%
|
12/20/2018
|
N/A
|
849,988
|
|||||||||
2,500,000
|
Great Lakes CLO 2012-1 Ltd., Series 2012-1A (Cayman Islands)(a) (i)
|
NR
|
0.000%
|
01/15/2023
|
N/A
|
2,316,933
|
||||||||
2,100,000
|
Halcyon Structured Asset Management Long/Short CLO Ltd., Series
|
|||||||||||||
2007-1A (Cayman Islands)(a) (f)
|
BBB–
|
2.538%
|
08/07/2021
|
N/A
|
2,062,141
|
|||||||||
250,000
|
Halcyon Structured Asset Management Long/Short CLO Ltd., Series
|
|||||||||||||
2007-1A, Class C (Cayman Islands)(a) (f)
|
A+
|
1.078%
|
08/07/2021
|
N/A
|
237,863
|
|||||||||
250,000
|
Hewett’s Island CDO Ltd., Series 2006-5A, Class C (Cayman Islands)(a) (f)
|
AA+
|
0.960%
|
12/05/2018
|
N/A
|
242,185
|
||||||||
500,000
|
Ivy Hill Middle Market Credit Fund Ltd. (Cayman Islands)(a) (f)
|
BB
|
6.744%
|
01/15/2022
|
N/A
|
504,537
|
||||||||
800,000
|
Katonah IX CLO Ltd., Series 2006-9A, Class A3L (Cayman Islands)(a) (f)
|
A–
|
0.958%
|
01/25/2019
|
N/A
|
745,054
|
||||||||
1,000,000
|
KKR Financial CLO Ltd., Series 2007-1X, Class A(f)
|
BBB+
|
5.241%
|
05/15/2021
|
N/A
|
992,315
|
||||||||
500,000
|
Liberty CLO II Ltd., Series 2005-1A, Class A3 (Cayman Islands)(a) (b) (f)
|
A+
|
0.742%
|
11/01/2017
|
N/A
|
479,165
|
||||||||
3,000,000
|
Marathon CLO II Ltd., Series 2005-2A, Class A (Cayman Islands)(a) (i)
|
NR
|
0.000%
|
12/20/2019
|
N/A
|
1,824,978
|
||||||||
500,000
|
Marlborough Street CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (f)
|
A+
|
0.996%
|
04/18/2019
|
N/A
|
463,859
|
12 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2013
|
Principal
|
Optional Call
|
|||||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||||||||
Collateralized Loan Obligations continued
|
||||||||||||||
$
|
1,500,000
|
MC Funding Ltd. / MC Funding 2006-1, LLC, Series 2006-1A, Class C
|
||||||||||||
(Cayman Islands)(a) (f)
|
A–
|
1.203%
|
12/20/2020
|
N/A
|
$
|
1,402,544
|
||||||||
800,000
|
Mountain View Funding CLO, Series 2007-3A, Class A2 (Cayman Islands)(a) (f)
|
AA+
|
0.586%
|
04/16/2021
|
N/A
|
761,673
|
||||||||
250,000
|
NewStar Commercial Loan Funding 2013-1 LLC, Series 2013-1A, Class E(a) (f)
|
BBB–
|
5.701%
|
09/20/2023
|
N/A
|
250,020
|
||||||||
500,000
|
NewStar Commercial Loan Trust 2007-1(a) (f)
|
BBB+
|
1.539%
|
09/30/2022
|
N/A
|
468,612
|
||||||||
500,000
|
NewStar Commercial Loan Trust 2007-1(a) (f)
|
BB–
|
2.539%
|
09/30/2022
|
N/A
|
475,273
|
||||||||
600,000
|
Northwoods Capital VII Ltd. (Cayman Islands)(a) (f)
|
BB+
|
3.741%
|
10/22/2021
|
N/A
|
573,968
|
||||||||
250,000
|
OFSI Fund Ltd., Series 2006-1A, Class C (Cayman Islands)(a) (f)
|
A
|
1.103%
|
09/20/2019
|
N/A
|
231,942
|
||||||||
300,000
|
Pacifica CDO Ltd., Series 2005-5X, Class B2 (Cayman Islands)
|
AA–
|
5.811%
|
01/26/2020
|
N/A
|
304,939
|
||||||||
1,500,000
|
Rosedale CLO Ltd., Series I-A, Class AIJ (Cayman Islands)(a) (f)
|
AAA
|
0.648%
|
07/24/2021
|
N/A
|
1,450,327
|
||||||||
400,000
|
Salus CLO Ltd. (Cayman Islands)(a) (f)
|
NR
|
7.002%
|
03/05/2021
|
N/A
|
399,984
|
||||||||
1,200,000
|
Summit Lake CLO Ltd., Series 2005-1A, Class C1A(a) (i)
|
NR
|
0.000%
|
02/24/2018
|
N/A
|
418,790
|
||||||||
700,000
|
T2 Income Fund CLO Ltd., Series 2007-1A, Class D (Cayman Islands)(a) (f)
|
A+
|
2.994%
|
07/15/2019
|
N/A
|
672,759
|
||||||||
650,000
|
TCW Global Project Fund, Series 2004-1A, Class A2A (Cayman Islands)(a) (f)
|
A
|
1.594%
|
06/15/2016
|
N/A
|
612,227
|
||||||||
2,000,000
|
TCW Global Project Fund, Series 2004-1A, Class B1 (Cayman Islands)(a) (f)
|
BB–
|
2.194%
|
06/15/2016
|
N/A
|
1,717,018
|
||||||||
500,000
|
TCW Global Project Fund, Series 2005-1A, Class A1 (Cayman Islands)(a) (f)
|
AAA
|
0.889%
|
09/01/2017
|
N/A
|
468,624
|
||||||||
1,000,000
|
TCW Global Project Fund, Series 2005-1A, Class B2 (Cayman Islands)(a)
|
BB+
|
5.793%
|
09/01/2017
|
N/A
|
908,513
|
||||||||
900,000
|
Turbine Engine Securitization Ltd.
|
BBB
|
6.375%
|
12/15/2048
|
N/A
|
883,305
|
||||||||
48,062,357
|
||||||||||||||
Commercial Receivables – 0.0%***
|
||||||||||||||
3,905
|
Leaf II Receivables Funding, LLC, Series 2010-4, Class D(a)
|
NR
|
5.000%
|
01/20/2019
|
N/A
|
3,864
|
||||||||
Credit Cards – 0.4%
|
||||||||||||||
1,323,832
|
CHLPA Credit Card Pass-Through Trust, Series 2012-BIZ, Class A(a) (i) (j)
|
CCC
|
0.000%
|
12/15/2049
|
N/A
|
1,081,690
|
||||||||
61,600
|
LCP Dakota Fund, Series 2012-6, Class P(c)
|
NR
|
10.000%
|
08/17/2015
|
N/A
|
61,600
|
||||||||
44,000
|
LCP Dakota Fund, Series 2012-6, Class Q(c)
|
NR
|
12.500%
|
08/17/2015
|
N/A
|
43,994
|
||||||||
1,187,284
|
||||||||||||||
Financial – 0.0%***
|
||||||||||||||
17,055
|
Blue Falcon, Series A-2(a) (c)
|
NR
|
3.165%
|
12/25/2016
|
N/A
|
16,957
|
||||||||
Insurance – 1.6%
|
||||||||||||||
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class B(a)
|
AA+
|
8.370%
|
01/15/2046
|
02/15/28 @ 100
|
665,362
|
||||||||
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class C(a)
|
A+
|
9.360%
|
01/15/2048
|
07/15/29 @ 100
|
690,776
|
||||||||
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class D(a)
|
A–
|
10.810%
|
01/15/2050
|
05/15/31 @ 100
|
699,932
|
||||||||
322,600
|
Insurance Note Capital Term, Series 2005-1R1A(a) (f)
|
A–
|
0.489%
|
06/09/2033
|
N/A
|
300,018
|
||||||||
995,313
|
Northwind Holdings, LLC, Series 2007-1A, Class A1(a) (f)
|
A
|
1.057%
|
12/01/2037
|
N/A
|
921,932
|
||||||||
1,464,024
|
Structured Asset Receivables Trust, Series 2005-1A, Class CTFS(a) (b) (f)
|
CCC
|
0.742%
|
01/21/2015
|
N/A
|
1,382,332
|
||||||||
4,660,352
|
||||||||||||||
Media – 0.6%
|
||||||||||||||
500,000
|
Adams Outdoor Advertising LP, Series 2010-1, Class B(a) (b)
|
Ba2
|
8.836%
|
12/20/2040
|
N/A
|
544,382
|
||||||||
1,100,000
|
Adams Outdoor Advertising LP, Series 2010-1, Class C(a) (b)
|
B3
|
10.756%
|
12/20/2040
|
N/A
|
1,224,484
|
||||||||
1,768,866
|
||||||||||||||
Other – 2.0%
|
||||||||||||||
1,282,474
|
Glenn Pool Oil & Gas Trust(c)
|
NR
|
6.000%
|
08/02/2021
|
N/A
|
1,317,102
|
||||||||
1,691,146
|
Emerald Aviation Finance Ltd. (Cayman Islands)(a) (b)
|
BBB
|
6.350%
|
10/15/2038
|
10/15/18 @ 100
|
1,704,092
|
||||||||
3,772,273
|
Gramercy Real Estate CDO 2007-1 Ltd. (Cayman Islands)(a) (f)
|
B
|
0.521%
|
08/15/2056
|
N/A
|
2,979,003
|
||||||||
6,000,197
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 13
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2013
|
Principal
|
Optional Call
|
|||||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||||||||
Timeshare – 0.1%
|
||||||||||||||
$
|
136,529
|
Silverleaf Finance, LLC, Series 2010-A, Class B(a)
|
BBB
|
8.000%
|
07/15/2022
|
09/15/15 @ 100
|
$
|
145,569
|
||||||
Transportation – 5.0%
|
||||||||||||||
8,406,003
|
Aerco Ltd., Series 2A, Class A3 (Jersey)(b) (f)
|
B–
|
0.634%
|
07/15/2025
|
N/A
|
5,547,962
|
||||||||
12,703,315
|
Airplanes Pass-Through Trust, Series 2001-1A, Class A9(b) (f)
|
CCC
|
0.718%
|
03/15/2019
|
N/A
|
5,367,151
|
||||||||
1,582,821
|
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)(a) (f)
|
BBB–
|
0.619%
|
11/14/2033
|
N/A
|
1,329,570
|
||||||||
1,231,083
|
Babcock & Brown Air Funding I Ltd., Series 2007-1X, Class G1 (Bermuda)(a) (f)
|
BBB+
|
0.619%
|
11/14/2033
|
N/A
|
1,034,110
|
||||||||
593,170
|
Blade Engine Securitization Ltd., Series 2006-1A, Class B (Cayman Islands)(a) (f) (j)
|
BBB+
|
3.168%
|
09/15/2041
|
N/A
|
392,441
|
||||||||
13,073
|
Castle Trust, Series 2003-1AW, Class A1(a) (f)
|
AA
|
0.917%
|
05/15/2027
|
N/A
|
11,897
|
||||||||
413,667
|
Raspro Trust, Series 2005-1A, Class G(a) (f)
|
A
|
0.645%
|
03/23/2024
|
N/A
|
384,710
|
||||||||
622,340
|
Vega Containervessel PLC, Series 2006-1A, Class A (Ireland)(a) (b)
|
Ba3
|
5.562%
|
02/10/2021
|
N/A
|
604,270
|
||||||||
14,672,111
|
||||||||||||||
Trust Preferred Stocks – 1.7%
|
||||||||||||||
5,550,106
|
Attentus CDO Ltd., Series 2007-3A, Class A1B (Cayman Islands)(a) (f)
|
AA–
|
0.506%
|
10/11/2042
|
N/A
|
4,942,766
|
||||||||
Total Asset Backed Securities – 37.0%
|
||||||||||||||
(Cost $107,235,113)
|
108,308,098
|
|||||||||||||
Collateralized Mortgage Obligations – 5.4%
|
||||||||||||||
Commercial Mortgage Backed Securities - Non-Traditional – 0.6%
|
||||||||||||||
1,774,064
|
Business Loan Express SBA Loan Trust 2006-1, Series 2006-AA, Class A(a) (f)
|
CCC+
|
0.407%
|
10/20/2038
|
N/A
|
1,429,236
|
||||||||
473,456
|
Ciena Capital, LLC, Series 2007-AA, Class A(a) (f)
|
CCC+
|
0.567%
|
10/20/2040
|
N/A
|
322,479
|
||||||||
1,751,715
|
||||||||||||||
Commercial Mortgage Backed Securities - Traditional – 0.8%
|
||||||||||||||
400,000
|
Bank of America Merrill Lynch-DB Trust, Series 2012-OSI, Class D(a)
|
Baa3
|
6.786%
|
04/13/2029
|
N/A
|
412,736
|
||||||||
1,500,000
|
Barclays Commercial Mortgage Securities, Series 2013-TYSN, Class E(a)
|
Ba2
|
3.708%
|
09/05/2032
|
N/A
|
1,375,313
|
||||||||
730,305
|
Wachovia Bank Commercial Mortgage Trust(a) (f)
|
Caa1
|
0.867%
|
06/15/2020
|
N/A
|
690,138
|
||||||||
2,478,187
|
||||||||||||||
Residential Mortgage Backed Securities – 4.0%
|
||||||||||||||
69,499
|
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AB4, Class A1A(f)
|
D
|
6.005%
|
10/25/2036
|
12/25/20 @ 100
|
51,666
|
||||||||
1,847,570
|
GreenPoint Mortgage Funding Trust, Series 2006-AR1, Class A1A(f)
|
CCC
|
0.455%
|
02/25/2036
|
N/A
|
1,473,568
|
||||||||
769,739
|
GSAA Home Equity Trust 2007-7(f)
|
B–
|
0.440%
|
07/25/2037
|
04/25/20 @ 100
|
650,697
|
||||||||
97,073
|
New Century Home Equity Loan Trust, Series 2004-A, Class AII9(f)
|
B
|
5.470%
|
08/25/2034
|
07/25/17 @ 100
|
99,158
|
||||||||
745,206
|
New Century Home Equity Loan Trust, Series 2005-1(f)
|
B3
|
0.885%
|
03/25/2035
|
N/A
|
646,774
|
||||||||
5,160,573
|
Nomura Resecuritization Trust, Series 2012-1R, Class A(a) (f)
|
NR
|
0.604%
|
08/27/2047
|
N/A
|
4,747,727
|
||||||||
2,000,000
|
Structured Asset Securities Corp. Mortgage Loan Trust 2006-OPT1(f)
|
B–
|
0.426%
|
04/25/2036
|
N/A
|
1,705,246
|
||||||||
777,706
|
TBW Mortgage Backed Pass-Through Certificates, Series 2006-6, Class A3(k)
|
D
|
5.750%
|
01/25/2037
|
11/25/17 @ 100
|
480,917
|
||||||||
1,823,691
|
TBW Mortgage Backed Pass-Through Certificates, Series 2006-6, Class A5B(k)
|
D
|
6.040%
|
01/25/2037
|
11/25/17 @ 100
|
1,040,313
|
||||||||
872,215
|
Wachovia Asset Securitization Issuance II, LLC 2007-He1 Trust(a) (f)
|
CCC
|
0.305%
|
07/25/2037
|
N/A
|
756,781
|
||||||||
11,652,847
|
||||||||||||||
Total Collateralized Mortgage Obligations – 5.4%
|
||||||||||||||
(Cost $15,351,764)
|
15,882,749
|
|||||||||||||
Term Loans – 23.3%(l)
|
||||||||||||||
Aerospace & Defense – 0.3%
|
||||||||||||||
300,000
|
Doncasters Group Limited, 2nd Lien
|
CCC+
|
9.500%
|
10/09/2020
|
N/A
|
301,500
|
||||||||
585,000
|
Nana Development, 1st Lien
|
B+
|
8.000%
|
03/15/2018
|
N/A
|
593,775
|
||||||||
895,275
|
14 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2013
|
Principal
|
Optional Call
|
|||||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||||||||
Automotive – 0.3%
|
||||||||||||||
$
|
128,903
|
Armored Autogroup, Inc.
|
B–
|
6.000%
|
11/05/2016
|
N/A
|
$
|
129,266
|
||||||
99,499
|
Fleetpride
|
B
|
5.250%
|
11/19/2019
|
N/A
|
98,006
|
||||||||
250,000
|
Fleetpride
|
CCC+
|
9.250%
|
05/15/2020
|
N/A
|
238,750
|
||||||||
100,000
|
Keystone Automotive, 1st Lien
|
B
|
7.000%
|
08/15/2019
|
N/A
|
101,563
|
||||||||
361,111
|
Navistar, Inc.
|
B
|
5.750%
|
08/17/2017
|
N/A
|
367,656
|
||||||||
935,241
|
||||||||||||||
Banking – 0.1%
|
||||||||||||||
200,000
|
Ranpak, 2nd Lien
|
B–
|
8.500%
|
04/23/2020
|
N/A
|
206,000
|
||||||||
Chemicals – 0.1%
|
||||||||||||||
400,000
|
Ennis-Flint
|
B+
|
6.250%
|
03/30/2018
|
N/A
|
402,876
|
||||||||
Consumer Products – 0.5%
|
||||||||||||||
400,000
|
Nes Global Talent
|
B
|
6.500%
|
10/02/2019
|
N/A
|
398,500
|
||||||||
240,018
|
Targus Group International, Inc.
|
B
|
12.000%
|
05/24/2016
|
N/A
|
207,616
|
||||||||
85,583
|
Totes Isotoner Corp.
|
B
|
7.252%
|
07/07/2017
|
N/A
|
86,118
|
||||||||
855,000
|
Transtar Industries, Inc.
|
CCC+
|
9.750%
|
10/09/2019
|
N/A
|
850,725
|
||||||||
1,542,959
|
||||||||||||||
Consumer Services – 2.1%
|
||||||||||||||
375,000
|
Applied Systems, Inc.
|
CCC+
|
8.250%
|
06/08/2017
|
N/A
|
379,337
|
||||||||
1,000,000
|
Digital Insight
|
B+
|
8.750%
|
10/16/2019
|
N/A
|
1,010,000
|
||||||||
334,469
|
Edmentum, Inc.
|
BB–
|
6.000%
|
05/17/2018
|
N/A
|
336,748
|
||||||||
400,000
|
GCA Services Group, Inc.
|
CCC+
|
9.250%
|
11/01/2020
|
N/A
|
405,750
|
||||||||
93,750
|
Nab Holdings, LLC
|
BB+
|
7.000%
|
04/24/2018
|
N/A
|
94,395
|
||||||||
227,500
|
Sutherland Global Cayman Tranche
|
BB–
|
7.250%
|
03/06/2019
|
N/A
|
228,069
|
||||||||
503,750
|
Sutherland Global U.S. Tranche
|
B
|
7.250%
|
03/06/2019
|
N/A
|
505,009
|
||||||||
3,062,325
|
Travelport Holdings Ltd.
|
B
|
6.250%
|
06/26/2019
|
N/A
|
3,135,331
|
||||||||
99,750
|
Valleycrest Companies LLC
|
B
|
5.500%
|
06/13/2019
|
N/A
|
100,498
|
||||||||
6,195,137
|
||||||||||||||
Diversified Manufacturing – 0.7%
|
||||||||||||||
1,029,600
|
CPM Acquisition Corp.
|
B+
|
6.250%
|
08/29/2017
|
N/A
|
1,034,748
|
||||||||
530,000
|
CPM Acquisition Corp.
|
B
|
10.250%
|
03/01/2018
|
N/A
|
535,962
|
||||||||
445,058
|
Panolam Industries(c)
|
BB–
|
7.250%
|
08/23/2017
|
N/A
|
430,594
|
||||||||
2,001,304
|
||||||||||||||
Electric – 0.4%
|
||||||||||||||
1,036,875
|
Astoria Generating Co. Acquisitions
|
B
|
8.500%
|
10/26/2017
|
N/A
|
1,067,986
|
||||||||
Entertainment – 1.1%
|
||||||||||||||
96,850
|
CKX Entertainment, Inc.(c)
|
B+
|
9.000%
|
06/21/2017
|
N/A
|
88,134
|
||||||||
2,250,000
|
Lions Gate Entertainment
|
B+
|
5.0000%
|
07/18/2020
|
N/A
|
2,257,706
|
||||||||
750,000
|
Steinway Musical Instruments, 2nd Lien
|
B–
|
9.250%
|
09/18/2020
|
N/A
|
770,625
|
||||||||
3,116,465
|
||||||||||||||
Food & Beverage – 1.8%
|
||||||||||||||
2,430,000
|
Advance Pierre Foods, Inc., Lien 2
|
CCC+
|
9.500%
|
10/10/2017
|
N/A
|
2,413,792
|
||||||||
1,241,888
|
Arctic Glacier Holdings, 1st Lien
|
B–
|
6.000%
|
05/10/2019
|
N/A
|
1,243,440
|
||||||||
450,000
|
CTI Foods Holding Co. LLC, 2nd Lien
|
CCC+
|
8.250%
|
06/28/2021
|
N/A
|
454,500
|
||||||||
300,000
|
Hostess Brands, Inc.
|
B–
|
6.750%
|
04/09/2020
|
N/A
|
309,564
|
||||||||
997,500
|
Performance Food Group
|
CCC+
|
6.250%
|
11/14/2019
|
N/A
|
996,876
|
||||||||
5,418,172
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 15
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2013
|
Principal
|
Optional Call
|
|||||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||||||||
Gaming – 0.6%
|
||||||||||||||
$
|
447,750
|
Centaur Acquisition, LLC
|
B+
|
5.250%
|
02/20/2019
|
N/A
|
$
|
454,092
|
||||||
125,000
|
Horseshoe Baltimore
|
B–
|
8.250%
|
07/02/2020
|
N/A
|
129,375
|
||||||||
1,138,500
|
Jacobs Entertainment, Inc.
|
B+
|
6.250%
|
10/29/2018
|
N/A
|
1,142,058
|
||||||||
1,725,525
|
||||||||||||||
Health Care – 1.7%
|
||||||||||||||
100,000
|
Catalent
|
B
|
6.500%
|
12/31/2017
|
N/A
|
101,562
|
||||||||
822,938
|
Learning Care Group
|
B
|
6.000%
|
05/08/2019
|
N/A
|
827,052
|
||||||||
633,081
|
Merge Healthcare Inc.(c)
|
CCC
|
6.000%
|
04/23/2019
|
N/A
|
607,758
|
||||||||
1,100,000
|
Nextech(c)
|
B
|
6.000%
|
10/28/2018
|
N/A
|
1,078,000
|
||||||||
2,475,012
|
One Call Medical, Inc.
|
B+
|
5.500%
|
08/19/2019
|
N/A
|
2,492,028
|
||||||||
5,106,400
|
||||||||||||||
Home Builders – 0.1%
|
||||||||||||||
150,000
|
Capital Automotive LP
|
B–
|
6.000%
|
04/30/2020
|
N/A
|
155,250
|
||||||||
Insurance – 0.3%
|
||||||||||||||
200,000
|
Cetera Financial Group, 1st Lien
|
B+
|
6.500%
|
08/07/2019
|
N/A
|
202,000
|
||||||||
392,853
|
Confie Seguros
|
B–
|
6.500%
|
11/09/2018
|
N/A
|
394,326
|
||||||||
100,000
|
Cooper Gay Swett and Crawford
|
CCC+
|
8.250%
|
10/16/2020
|
N/A
|
98,583
|
||||||||
116,932
|
Cunningham
|
B–
|
9.250%
|
06/10/2020
|
N/A
|
116,786
|
||||||||
811,695
|
||||||||||||||
Iron & Steel – 0.1%
|
||||||||||||||
150,000
|
Oxbow Carbon, 2nd Lien
|
BB–
|
8.000%
|
01/18/2020
|
N/A
|
152,812
|
||||||||
Media – 0.7%
|
||||||||||||||
547,120
|
Cengage Learning Acquisitions, Inc. (Thomson Learning)
|
D
|
7.500%
|
07/03/2014
|
N/A
|
413,990
|
||||||||
188,840
|
Cengage Learning Acquisitions, Inc. (Thomson Learning)
|
D
|
9.750%
|
07/31/2017
|
N/A
|
143,203
|
||||||||
943,374
|
Endurance International Group, Lien 1
|
B
|
6.250%
|
11/09/2019
|
N/A
|
949,859
|
||||||||
199,500
|
Hemisphere Media Group Inc., 1st Lien
|
B
|
6.250%
|
07/30/2020
|
N/A
|
200,872
|
||||||||
357,895
|
Mitel Networks Corp.
|
B+
|
7.000%
|
02/27/2019
|
N/A
|
357,895
|
||||||||
2,065,819
|
||||||||||||||
Oil Field Services – 0.8%
|
||||||||||||||
598,500
|
Ocean RIG ASA
|
B+
|
5.500%
|
07/15/2016
|
N/A
|
606,981
|
||||||||
273,874
|
Rice Energy, 2nd Lien
|
CCC+
|
8.500%
|
10/25/2018
|
N/A
|
280,037
|
||||||||
496,250
|
Shelf Drilling Holdings Ltd.
|
B+
|
6.250%
|
05/31/2018
|
N/A
|
498,731
|
||||||||
900,000
|
State Class Tankers
|
B2
|
6.750%
|
06/19/2020
|
N/A
|
910,125
|
||||||||
2,295,874
|
||||||||||||||
Other Finance – 0.3%
|
||||||||||||||
1,000,000
|
Digital Insight, 2nd Lien
|
CCC+
|
8.750%
|
08/01/2020
|
N/A
|
1,008,330
|
||||||||
Other Financial Institution – 2.4%
|
||||||||||||||
500,000
|
American Stock Transfer
|
B
|
5.750%
|
06/26/2020
|
N/A
|
505,625
|
||||||||
3,500,000
|
AP Alternative Assets LP(c)
|
BB
|
6.677%
|
12/21/2015
|
N/A
|
3,508,750
|
||||||||
149,063
|
HDV Holdings
|
B
|
5.750%
|
12/18/2018
|
N/A
|
148,317
|
||||||||
281,776
|
Knight/Getco
|
BB–
|
5.750%
|
11/30/2017
|
N/A
|
283,537
|
||||||||
1,293,500
|
STG-Fairway Acquisitions, Inc.
|
B
|
6.250%
|
02/28/2019
|
N/A
|
1,295,926
|
||||||||
450,000
|
STG-Fairway Acquisitions, Inc.(c)
|
CCC+
|
10.500%
|
08/28/2019
|
N/A
|
445,500
|
||||||||
992,500
|
Topaz Power Holdings, LLC
|
BB–
|
5.250%
|
02/26/2020
|
N/A
|
981,746
|
||||||||
7,169,401
|
16 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2013
|
Principal
|
Optional Call
|
|||||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||||||||
Other Industrials – 1.0%
|
||||||||||||||
$
|
498,750
|
Emerald Expositions(b)
|
BB–
|
5.500%
|
06/12/2020
|
N/A
|
$
|
504,361
|
||||||
500,000
|
Mast Global
|
CCC+
|
8.250%
|
09/12/2019
|
N/A
|
495,000
|
||||||||
150,000
|
Mitchell International, Inc., 2nd Lien
|
CCC
|
8.500%
|
10/11/2021
|
N/A
|
152,485
|
||||||||
1,791,000
|
Sirva Worldwide, Inc.
|
B
|
7.500%
|
03/27/2019
|
N/A
|
1,831,297
|
||||||||
2,983,143
|
||||||||||||||
Pharmaceuticals – 0.4%
|
||||||||||||||
1,162,196
|
Generic Drug Holdings
|
B+
|
5.000%
|
08/16/2020
|
N/A
|
1,168,373
|
||||||||
Railroads – 0.1%
|
||||||||||||||
196,970
|
Helm Financial Corp.
|
B
|
6.250%
|
06/01/2017
|
N/A
|
197,216
|
||||||||
Retail – 1.4%
|
||||||||||||||
78,000
|
Asurion Corp.
|
B–
|
11.000%
|
09/02/2019
|
N/A
|
81,250
|
||||||||
2,227,542
|
Blue Coat Systems
|
B+
|
4.500%
|
05/31/2019
|
N/A
|
2,241,464
|
||||||||
580,988
|
Deb Store Holdings, LLC(c) (j)
|
CCC+
|
6.500%
|
10/11/2016
|
N/A
|
435,741
|
||||||||
248,842
|
Grocery Outlet, Inc.
|
B
|
5.500%
|
12/17/2018
|
N/A
|
249,776
|
||||||||
248,286
|
Guitar Center, Inc.
|
CCC+
|
6.250%
|
04/09/2017
|
N/A
|
240,761
|
||||||||
742,503
|
Ollies Holdings, Inc.
|
B
|
5.255%
|
09/28/2019
|
N/A
|
748,072
|
||||||||
100,000
|
Rite Aid Corp.
|
B
|
5.750%
|
08/21/2020
|
N/A
|
102,822
|
||||||||
4,099,886
|
||||||||||||||
Technology – 2.7%
|
||||||||||||||
399,394
|
Aspect Software, Inc.
|
B
|
7.000%
|
05/07/2016
|
N/A
|
401,089
|
||||||||
550,000
|
Deltek Systems, Inc.
|
CCC+
|
10.000%
|
10/10/2019
|
N/A
|
558,250
|
||||||||
1,290,250
|
Deltek, Inc.
|
B1
|
5.000%
|
10/10/2018
|
N/A
|
1,297,185
|
||||||||
270,188
|
Entrust Ltd.(c)
|
B
|
6.250%
|
10/31/2018
|
N/A
|
268,836
|
||||||||
596,063
|
Entrust, Inc.(c)
|
B
|
6.250%
|
10/31/2018
|
N/A
|
593,082
|
||||||||
150,000
|
EZE Castle Software, Inc.
|
CCC+
|
8.500%
|
03/14/2021
|
N/A
|
152,875
|
||||||||
1,100,000
|
Greenway Medical Technology, 1st Lien
|
B+
|
6.000%
|
11/04/2020
|
N/A
|
1,100,000
|
||||||||
125,000
|
Ion Trading Technology
|
CCC+
|
8.250%
|
05/21/2021
|
N/A
|
126,589
|
||||||||
495,000
|
IPC Information Systems, Inc.
|
B–
|
7.750%
|
07/31/2017
|
N/A
|
492,216
|
||||||||
750,000
|
Misys PLC
|
CCC+
|
12.000%
|
06/12/2019
|
N/A
|
865,312
|
||||||||
200,000
|
P2 Energy Solutions
|
CCC+
|
9.000%
|
04/30/2021
|
N/A
|
203,000
|
||||||||
1,339,875
|
Wall Street Systems Delaware, Inc.
|
B
|
5.750%
|
10/25/2019
|
N/A
|
1,347,834
|
||||||||
450,000
|
Wall Street Systems Delaware, Inc.
|
B–
|
9.250%
|
10/25/2020
|
N/A
|
454,354
|
||||||||
7,860,622
|
||||||||||||||
Transportation – 1.5%
|
||||||||||||||
1,042,708
|
AABS, Series 2013-1A
|
A+
|
4.875%
|
01/01/2020
|
N/A
|
1,045,315
|
||||||||
38,832
|
Carey International, Inc.(c) (j)
|
CCC+
|
9.000%
|
07/31/2015
|
N/A
|
15,533
|
||||||||
577,500
|
Evergreen Tank Solutions, Inc.
|
B–
|
9.500%
|
09/28/2018
|
N/A
|
576,056
|
||||||||
98,750
|
Evergreen Tank Solutions, Inc.
|
B–
|
9.500%
|
09/28/2018
|
N/A
|
98,503
|
||||||||
618,730
|
Global Aviation Holdings, Inc.(c) (j)
|
NR
|
10.000%
|
07/13/2017
|
N/A
|
0
|
||||||||
200,247
|
Global Aviation Holdings, Inc.(c) (j)
|
NR
|
3.000%
|
02/13/2018
|
N/A
|
0
|
||||||||
1,246,707
|
Sabre, Inc.
|
B
|
5.250%
|
02/19/2019
|
N/A
|
1,256,743
|
||||||||
1,256,850
|
US Shipping Corp., Lien 1
|
B
|
9.000%
|
04/30/2018
|
N/A
|
1,294,556
|
||||||||
4,286,706
|
||||||||||||||
Wireless – 0.4%
|
||||||||||||||
992,500
|
Alcatel Lucent, Lien 1
|
B+
|
5.750%
|
01/30/2019
|
N/A
|
1,003,005
|
||||||||
248,381
|
Expert Global Solutions, Lien 1
|
B–
|
8.500%
|
04/03/2018
|
N/A
|
253,038
|
||||||||
1,256,043
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 17
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2013
|
Principal
|
Optional Call
|
|||||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||||||||
Wirelines – 1.4%
|
||||||||||||||
$
|
1,806,586
|
Avaya, Inc.
|
B
|
4.762%
|
10/26/2017
|
N/A
|
$
|
1,734,576
|
||||||
2,329,665
|
Avaya, Inc.
|
B
|
8.000%
|
03/31/2018
|
N/A
|
2,325,600
|
||||||||
4,060,176
|
||||||||||||||
Total Term Loans – 23.3%
|
||||||||||||||
(Cost $67,692,973)
|
68,184,686
|
|||||||||||||
Number
|
||||||||||||||
of Shares
|
Description
|
Value
|
||||||||||||
Common Stocks – 0.0%***
|
||||||||||||||
Airlines – 0.0%***
|
||||||||||||||
32,331
|
Global Aviation Holdings, Inc.(c) (j) (m)
|
3
|
||||||||||||
Retail – 0.0%***
|
||||||||||||||
9,389
|
Deb Store Holdings, LLC(c) (j) (m)
|
1
|
||||||||||||
Total Common Stocks – 0.0%***
|
||||||||||||||
(Cost $125,069)
|
4
|
|||||||||||||
Preferred Stocks – 6.1%
|
||||||||||||||
Banks – 3.0%
|
||||||||||||||
4,000
|
AgriBank FCB, 6.875%(f)
|
398,375
|
||||||||||||
3,450,000
|
Bank of America Corp., Series U, 5.200%(b)(f)
|
3,105,000
|
||||||||||||
12,000
|
City National Corp., Series D, 6.750%(f)
|
303,600
|
||||||||||||
2,623,000
|
Fifth Third Bancorp, 5.100%(b) (f)
|
2,321,355
|
||||||||||||
28,000
|
Morgan Stanley, Series E, 7.125%(f)
|
741,720
|
||||||||||||
655,000
|
PNC Financial Services Group, Inc., Series R, 4.850%(b) (f)
|
586,225
|
||||||||||||
60,000
|
Wells Fargo & Co., 5.850%(f)
|
1,453,200
|
||||||||||||
8,909,475
|
||||||||||||||
Diversified Financial Services – 1.3%
|
||||||||||||||
500
|
Falcons Funding Trust I, 8.875%(a) (f)
|
514,719
|
||||||||||||
5,200
|
GSC Partners CDO Fund Ltd. V / GSC Partners CDO Fund Corp. (Cayman Islands)(a) (f)
|
2,168,900
|
||||||||||||
2,100,000
|
Whitehorse II Ltd., Series 2005-2A (Cayman Islands)(a) (f) (i)
|
1,176,000
|
||||||||||||
3,859,619
|
||||||||||||||
Insurance – 1.0%
|
||||||||||||||
20,000
|
Aegon NV, 6.380% (Netherlands)(b)
|
488,200
|
||||||||||||
96,000
|
Aspen Insurance Holdings Ltd., 5.950% (Bermuda)(f) (m)
|
2,286,720
|
||||||||||||
3,800
|
ING Groep NV, 7.050% (Netherlands)(b)
|
95,760
|
||||||||||||
2,870,680
|
||||||||||||||
Telecommunications – 0.4%
|
||||||||||||||
1,000
|
Centaur Funding Corp., 9.080% (Cayman Islands)(a)
|
1,219,375
|
||||||||||||
Transportation – 0.4%
|
||||||||||||||
40,000
|
Seaspan Corp., Series C, 9.500% (Marshall Islands)
|
1,065,600
|
||||||||||||
Total Preferred Stocks – 6.1%
|
||||||||||||||
(Cost $18,621,287)
|
17,924,749
|
|||||||||||||
Exchange Traded Funds – 19.3%
|
||||||||||||||
27,700
|
Industrial Select Sector SPDR Fund(b) (n)
|
1,396,080
|
||||||||||||
10,060
|
iShares MSCI Spain Capped Index Fund
|
378,759
|
||||||||||||
75,000
|
iShares Russell 2000 Index Fund(b) (n)
|
8,513,250
|
||||||||||||
87,000
|
SPDR Dow Jones Industrial Average ETF Trust(b) (n)
|
13,982,640
|
18 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2013
|
Number
|
||||||
of Shares
|
Description
|
Value
|
||||
Exchange Traded Funds continued
|
||||||
161,800
|
SPDR S&P 500 ETF Trust(b) (n)
|
$
|
29,285,800
|
|||
80,700
|
Technology Select Sector SPDR Fund(b) (n)
|
2,799,483
|
||||
(Cost $54,231,176)
|
56,356,012
|
|||||
Warrants – 0.0%***
|
||||||
Engineering & Construction – 0.0%***
|
||||||
1,050
|
Alion Science and Technology Corp., expiring 03/15/2017(c) (j) (m)
|
|||||
(Cost $10)
|
0
|
|||||
Total Investments – 132.5%
|
||||||
(Cost $380,332,486)
|
388,016,667
|
|||||
Other Assets in excess of Liabilities – 10.1%
|
29,608,534
|
|||||
Total Value of Options Written – (0.3%) (Premiums received $653,343)
|
(916,338
|
) | ||||
Borrowings – (22.1% of Net Assets or 16.6% of Total Investments)
|
(64,598,955
|
) | ||||
Reverse Repurchase Agreements – (20.2%)
|
(59,211,835
|
) | ||||
Net Assets – 100.0%
|
$
|
292,898,073
|
*
|
Ratings shown are per Standard & Poor’s Rating Group, Moody’s Investor Services, Inc. or Fitch Ratings. 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. All optional call provisions are unaudited.
|
***
|
Less than 0.1%
|
(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 November 30, 2013, these securities amounted to $163,279,799, which represents 55.7% of net assets.
|
(b)
|
All or a portion of these securities have been physically segregated in connection with borrowings, unfunded commitments and reverse repurchase agreements. As of November 30, 2013, the total amount segregated was $228,586,347.
|
(c)
|
Illiquid security.
|
(d)
|
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
|
(e)
|
Security is perpetual and, thus does not have a predetermined maturity date.
|
(f)
|
Floating or variable rate coupon. The rate shown is as of November 30, 2013.
|
(g)
|
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.
|
(h)
|
Paid-in-kind toggle note. The issuer in each interest period has the option to pay interest in cash or to issue payment-in-kind shares of the note.
|
(i)
|
Security has no stated coupon. However, it is expected to receive residual cashflow payments on deal defined payment dates.
|
(j)
|
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 $11,356,165 which represents 3.9% of net assets.
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 19
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2013
|
(k)
|
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 as of November 30, 2013.
|
(l)
|
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.
|
(m)
|
Non-income producing security.
|
(n)
|
Security represents cover for outstanding written options.
|
Contracts
|
|||||||||||
(100 shares
|
Expiration
|
Exercise
|
|||||||||
per contract)
|
Options Written – (0.3%) (a)
|
Month
|
Price
|
Value
|
|||||||
Call Options Written – (0.3%)
|
|||||||||||
277
|
Industrial Select Sector SPDR Fund
|
December 2013
|
$
|
50.00
|
$
|
(22,853
|
) | ||||
750
|
iShares Russell 2000 Index Fund
|
December 2013
|
110.00
|
(304,500
|
) | ||||||
870
|
SPDR Dow Jones Industrial Average ETF Trust
|
December 2013
|
159.00
|
(233,595
|
) | ||||||
1,618
|
SPDR S&P 500 ETF Trust
|
December 2013
|
181.00
|
(288,813
|
) | ||||||
807
|
Technology Select Sector SPDR Fund
|
December 2013
|
34.00
|
(66,577
|
) | ||||||
Total Value of Call Options Written
|
|||||||||||
Premiums received $653,343
|
$
|
(916,338
|
) |
% of Total
|
|
Country Breakdown
|
Investments
|
United States
|
72.5%
|
Cayman Islands
|
18.2%
|
Jersey
|
2.1%
|
Canada
|
1.7%
|
United Kingdom
|
1.4%
|
Bermuda
|
1.3%
|
Netherlands
|
0.6%
|
Saint Maarten
|
0.5%
|
Australia
|
0.4%
|
Mexico
|
0.3%
|
Marshall Islands
|
0.3%
|
France
|
0.2%
|
Brazil
|
0.2%
|
Ireland
|
0.2%
|
Luxembourg
|
0.1%
|
20 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
|
November 30, 2013
|
Assets
|
||||
Investments in securities, at value (cost $380,332,486)
|
$
|
388,016,667
|
||
Cash
|
26,187,889
|
|||
Interest receivable
|
3,671,954
|
|||
Receivable for securities sold
|
1,824,874
|
|||
Restricted cash
|
906,000
|
|||
Receivable for fund shares sold through at-the-market offering
|
402,085
|
|||
Dividends receivable
|
31,580
|
|||
Unrealized appreciation on swaps
|
12,190
|
|||
Unrealized appreciation on foreign currency
|
18,894
|
|||
Other assets
|
19,042
|
|||
Total assets
|
421,091,175
|
|||
Liabilities
|
||||
Borrowings
|
64,598,955
|
|||
Reverse repurchase agreements
|
59,211,835
|
|||
Payable for securities purchased
|
1,594,724
|
|||
Options written, at value (premiums received of $653,343)
|
916,338
|
|||
Excise tax payable
|
500,000
|
|||
Unrealized depreciation on swaps
|
489,670
|
|||
Advisory fee payable
|
343,029
|
|||
Interest due on borrowings
|
161,113
|
|||
Offering costs payable
|
134,510
|
|||
Unrealized depreciation on unfunded commitments
|
12,556
|
|||
Administration fee payable
|
7,811
|
|||
Accrued expenses and other liabilities
|
222,561
|
|||
Total liabilities
|
128,193,102
|
|||
Net Assets
|
$
|
292,898,073
|
||
Composition of Net Assets
|
||||
Common stock, $.01 par value per share; unlimited number of shares authorized, 14,407,017 shares issued and outstanding
|
$
|
144,070
|
||
Additional paid-in capital
|
275,407,234
|
|||
Accumulated net realized gain on investments, options and swaps
|
11,135,452
|
|||
Accumulated net unrealized appreciation on investments, options, swaps and unfunded commitments
|
6,950,044
|
|||
Distributions in excess of net investment income
|
(738,727
|
)
|
||
Net Assets
|
$
|
292,898,073
|
||
Net Asset Value (based on 14,407,017 common shares outstanding)
|
$
|
20.33
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 21
|
STATEMENT OF OPERATIONS For the six months ended November 30, 2013 (Unaudited)
|
November 30, 2013
|
Investment Income
|
|||||||
Interest
|
$
|
11,078,822
|
|||||
Dividends
|
329,304
|
||||||
Total income
|
$
|
11,408,126
|
|||||
Expenses
|
|||||||
Investment advisory fee
|
2,058,820
|
||||||
Interest expense
|
775,581
|
||||||
Excise tax expense
|
500,000
|
||||||
Professional fees
|
78,122
|
||||||
Fund accounting fee
|
62,484
|
||||||
Administration fee
|
48,697
|
||||||
Printing expense
|
38,482
|
||||||
Trustees’ fees and expenses
|
37,640
|
||||||
Custodian fee
|
22,785
|
||||||
NYSE listing fee
|
16,040
|
||||||
Insurance
|
11,820
|
||||||
Transfer agent fee
|
11,106
|
||||||
Miscellaneous
|
547
|
||||||
Total expenses
|
3,662,124
|
||||||
Net investment income
|
7,746,002
|
||||||
Realized and unrealized gain (loss) on investments, options, foreign currency translations, swaps and unfunded commitments
|
|||||||
Net realized gain (loss) on:
|
|||||||
Investments
|
9,102,871
|
||||||
Foreign currency transactions
|
364,474
|
||||||
Options
|
(836,400
|
)
|
|||||
Swaps
|
(163,510
|
)
|
|||||
Net change in unrealized appreciation (depreciation) on:
|
|||||||
Investments
|
(8,134,393
|
)
|
|||||
Options
|
(842,566
|
)
|
|||||
Foreign currency translations
|
12,132
|
||||||
Swaps
|
(1,018,932
|
)
|
|||||
Unfunded commitments
|
3,507
|
||||||
Net realized and unrealized loss on investments, options, foreign currency translations, swaps and unfunded commitments
|
(1,512,817
|
)
|
|||||
Net Increase in Net Assets Resulting from Operations
|
$
|
6,233,185
|
22 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
STATEMENTS OF CHANGES IN NET ASSETS
|
November 30, 2013
|
For the
|
||||||
Six Months Ended
|
For the
|
|||||
November 30, 2013
|
Year Ended
|
|||||
(Unaudited)
|
May 31, 2013
|
|||||
Increase in Net Assets Resulting from Operations
|
||||||
Net investment income
|
$
|
7,746,002
|
$
|
20,400,139
|
||
Net realized gain on investments, options and swaps
|
8,467,435
|
7,911,700
|
||||
Net change in unrealized appreciation (depreciation) on investments, options, foreign currency translations, swaps and unfunded commitments
|
(9,980,252
|
)
|
14,945,104
|
|||
Net increase in net assets resulting from operations
|
6,233,185
|
43,256,943
|
||||
Distributions to Common Shareholders
|
||||||
From and in excess of net investment income
|
(12,895,106
|
)
|
(21,756,314
|
)
|
||
Capital gains
|
(2,612,105
|
)
|
(2,072,578
|
)
|
||
Total distributions
|
(15,507,211
|
)
|
(23,828,892
|
)
|
||
Capital Share Transactions
|
||||||
Net proceeds from common shares issued through at-the-market offering
|
15,100,591
|
59,126,204
|
||||
Reinvestment of dividends
|
693,491
|
930,367
|
||||
Common share offering costs charged to paid-in capital
|
(92,724
|
)
|
(360,152
|
)
|
||
Net increase from capital share transactions
|
15,701,358
|
59,696,419
|
||||
Total increase in net assets
|
6,427,332
|
79,124,470
|
||||
Net Assets
|
||||||
Beginning of period
|
286,470,741
|
207,346,271
|
||||
End of period (including distributions in excess of net investment income of $(738,727) and $4,410,377, respectively)
|
$
|
292,898,073
|
$
|
286,470,741
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 23
|
STATEMENT OF CASH FLOWS For the six months ended November 30, 2013 (Unaudited)
|
November 30, 2013
|
Cash Flows from Operating Activities:
|
||||
Net increase in net assets resulting from operations
|
$
|
6,233,185
|
||
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to Net Cash Provided by Operating and Investing Activities:
|
||||
Net unrealized depreciation on investments
|
8,134,393
|
|||
Net unrealized depreciation on options
|
842,566
|
|||
Net unrealized depreciation on swaps
|
1,018,932
|
|||
Net unrealized appreciation on unfunded commitments
|
(3,507
|
)
|
||
Net unrealized appreciation on foreign currency translations
|
(12,132
|
)
|
||
Net realized gain on investments
|
(9,102,871
|
)
|
||
Net realized loss on options
|
836,400
|
|||
Net accretion of bond discount and amortization of bond premium
|
(1,753,126
|
)
|
||
Paydowns received
|
(1,981,852
|
)
|
||
Purchase of long-term investments
|
(205,734,474
|
)
|
||
Proceeds from sale of long-term investments
|
225,520,813
|
|||
Net decrease in premiums received on written options
|
(1,818,903
|
)
|
||
Net sales of short-term investments
|
(2,724,940
|
)
|
||
Increase in dividends receivable
|
(18,802
|
)
|
||
Increase in interest receivable
|
(373,514
|
)
|
||
Increase in securities sold receivable
|
(251,135
|
)
|
||
Decrease in receivable for fund shares sold through at-the-market offering
|
1,085,625
|
|||
Increase in other assets
|
(19,042
|
)
|
||
Decrease in payable for securities purchased
|
(9,640,851
|
)
|
||
Increase in interest due on borrowings
|
4,468
|
|||
Increase in advisory fee payable
|
8,985
|
|||
Decrease in administration fee payable
|
(129
|
)
|
||
Increase in excise tax payable
|
500,000
|
|||
Decrease in accrued expenses and other liabilities
|
(53,456
|
)
|
||
Net Cash Provided by Operating and Investing Activities
|
10,696,633
|
|||
Cash Flows From Financing Activities:
|
||||
Net proceeds from the issuance of common shares
|
15,100,591
|
|||
Distributions to common shareholders
|
(14,813,720
|
)
|
||
Decrease in reverse repurchase agreements
|
(261,907
|
)
|
||
Proceeds from borrowings
|
8,500,000
|
|||
Offering costs in connection with issuance of common shares
|
(92,724
|
)
|
||
Net Cash Provided by Financing Activities
|
8,432,240
|
|||
Net increase in cash
|
19,128,873
|
|||
Cash at Beginning of Period (including restricted cash)
|
7,965,016
|
|||
Cash at End of Period (including restricted cash)
|
$
|
27,093,889
|
||
Supplemental Disclosure of Cash Flow Information: Cash paid during the period for interest
|
$
|
614,468
|
||
Supplemental Disclosure of Non Cash Financing Activity: Dividend reinvestment
|
$
|
571,814
|
||
Supplemental Disclosure of Non Cash Operating Activity: Options assigned during the period
|
$
|
684,492
|
||
Supplemental Disclosure of Non Cash Operating Activity: Additional principal received on payment-in-kind bonds
|
$
|
18,499
|
24 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
FINANCIAL HIGHLIGHTS
|
November 30, 2013
|
For the
|
||||||||||||||||||
Six Months
|
||||||||||||||||||
Per share operating performance
|
Ended |
For the
|
For the
|
For the
|
For the
|
For the
|
||||||||||||
for a common share outstanding |
November 30, 2013
|
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
||||||||||||
throughout the period
|
(Unaudited)
|
May 31, 2013
|
May 31, 2012
|
May 31, 2011
|
May 31, 2010
|
May 31, 2009
|
||||||||||||
Net asset value, beginning of period
|
$
|
20.95
|
$
|
19.00
|
$
|
20.11
|
$
|
17.56
|
$
|
12.42
|
$
|
17.52
|
||||||
Income from investment operations
|
||||||||||||||||||
Net investment income(a)
|
0.55
|
1.68
|
1.80
|
1.94
|
1.76
|
1.06
|
||||||||||||
Net realized and unrealized gain (loss) on investments, options, foreign currency translations, swaps and unfunded commitments
|
(0.08
|
)
|
2.22
|
(1.06
|
)
|
2.49
|
5.23
|
(4.31
|
)
|
|||||||||
Total from investment operations
|
0.47
|
3.90
|
0.74
|
4.43
|
6.99
|
(3.25
|
)
|
|||||||||||
Distributions to Common Shareholders
|
||||||||||||||||||
From and in excess of net investment income
|
(0.91
|
)
|
(1.78
|
)
|
(1.85
|
)
|
(1.88
|
)
|
(1.85
|
)
|
(1.36
|
)
|
||||||
Return of capital
|
—
|
—
|
—
|
—
|
—
|
(0.49
|
)
|
|||||||||||
Capital gains
|
(0.18
|
)
|
(0.17
|
)
|
—
|
—
|
—
|
—
|
||||||||||
Total distributions
|
(1.09
|
)
|
(1.95
|
)
|
(1.85
|
)
|
(1.88
|
)
|
(1.85
|
)
|
(1.85
|
)
|
||||||
Net asset value, end of period
|
$
|
20.33
|
$
|
20.95
|
$
|
19.00
|
$
|
20.11
|
$
|
17.56
|
$
|
12.42
|
||||||
Market value, end of period
|
$
|
21.44
|
$
|
21.91
|
$
|
21.08
|
$
|
22.32
|
$
|
17.46
|
$
|
11.53
|
||||||
Total investment return(b)
|
||||||||||||||||||
Net asset value
|
2.39
|
%
|
21.37
|
%
|
4.09
|
%
|
26.14
|
%
|
59.06
|
%
|
-18.37
|
%
|
||||||
Market value
|
2.93
|
%
|
14.10
|
%
|
3.81
|
%
|
40.85
|
%
|
70.37
|
%
|
-19.51
|
%
|
||||||
Ratios and supplemental data
|
||||||||||||||||||
Net assets, applicable to common shareholders, end of period (in thousands)
|
$
|
292,898
|
$
|
286,471
|
$
|
207,346
|
$
|
187,333
|
$
|
161,783
|
$
|
113,076
|
||||||
Ratios to Average Net Assets applicable to Common Shares:
|
||||||||||||||||||
Total expenses, excluding interest expense(c)
|
1.99
|
%(f)
|
1.81
|
%
|
1.78
|
%
|
1.85
|
%
|
1.98
|
%
|
2.06
|
%
|
||||||
Total expenses, including interest expense(c)
|
2.53
|
%(f)
|
2.47
|
%
|
2.55
|
%
|
2.69
|
%
|
2.97
|
%
|
3.25
|
%
|
||||||
Net investment income, including interest expense
|
5.35
|
%(f)
|
8.30
|
%
|
9.45
|
%
|
10.20
|
%
|
11.30
|
%
|
7.84
|
%
|
||||||
Portfolio turnover(d)
|
52
|
%
|
165
|
%
|
112
|
%
|
64
|
%
|
67
|
%
|
58
|
%
|
||||||
Senior Indebtedness
|
||||||||||||||||||
Total borrowings outstanding (in thousands)
|
$
|
123,811
|
$
|
115,573
|
$
|
83,842
|
$
|
80,670
|
$
|
69,117
|
$
|
31,085
|
||||||
Asset coverage per $1,000 of indebtedness(e)
|
$
|
3,366
|
$
|
3,479
|
$
|
3,473
|
$
|
3,322
|
$
|
3,341
|
$
|
4,638
|
(a)
|
Based on average shares outstanding during the period.
|
(b)
|
Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported either at net asset value (“NAV”) or market price per share. Dividends and distributions are assumed to be reinvested at NAV for NAV returns or the prices obtained under the Fund’s Dividend Reinvestment Plan for market value returns. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized.
|
(c)
|
The ratios of total expenses to average net assets applicable to common shares do not reflect fees and expenses incurred indirectly by the Fund as a result of its investment in shares of other investment companies. If these fees were included in the expense ratios, the expense ratios would increase by 0.03% for the six months ended November 30, 2013, 0.05% for the year ended May 31, 2013, 0.04% for the year ended May 31, 2012, 0.03% for the year ended May 31, 2011, 0.05% for the year ended May 31, 2010, and 0.08% for the year ended May 31, 2009.
|
(d)
|
Portfolio turnover is not annualized for periods of less than one year.
|
(e)
|
Calculated by subtracting the Fund’s total liabilities (not including the borrowings) from the Fund’s total assets and dividing by the total borrowings.
|
(f)
|
Annualized.
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 25
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)
|
November 30, 2013
|
26 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2013
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||
(value in $000’s)
|
|||||||||||||
Assets:
|
|||||||||||||
Corporate Bonds
|
$
|
—
|
$
|
121,360
|
$
|
—
|
$
|
121,360
|
|||||
Asset Backed Securities:
|
|||||||||||||
Automobile
|
—
|
23
|
—
|
23
|
|||||||||
Collateralized Debt Obligations
|
—
|
22,608
|
4,217
|
26,825
|
|||||||||
Collateralized Loan Obligations
|
—
|
42,848
|
5,214
|
48,062
|
|||||||||
Commercial Receivables
|
—
|
4
|
—
|
4
|
|||||||||
Credit Cards
|
—
|
105
|
1,082
|
1,187
|
|||||||||
Financial
|
—
|
17
|
—
|
17
|
|||||||||
Insurance
|
—
|
4,660
|
—
|
4,660
|
|||||||||
Media
|
—
|
1,769
|
—
|
1,769
|
|||||||||
Other
|
—
|
6,000
|
—
|
6,000
|
|||||||||
Timeshare
|
—
|
146
|
—
|
146
|
|||||||||
Transportation
|
—
|
14,280
|
392
|
14,672
|
|||||||||
Trust Preferred Stocks
|
—
|
4,943
|
—
|
4,943
|
|||||||||
Collateralized Mortgage Obligations
|
—
|
15,883
|
—
|
15,883
|
|||||||||
Term Loans:
|
|||||||||||||
Aerospace & Defense
|
—
|
895
|
—
|
895
|
|||||||||
Automotive
|
—
|
935
|
—
|
935
|
|||||||||
Banking
|
—
|
206
|
—
|
206
|
|||||||||
Chemicals
|
—
|
403
|
—
|
403
|
|||||||||
Consumer Products
|
—
|
1,543
|
—
|
1,543
|
|||||||||
Consumer Services
|
—
|
6,195
|
—
|
6,195
|
|||||||||
Diversified Manufacturing
|
—
|
2,002
|
—
|
2,002
|
|||||||||
Electric
|
—
|
1,068
|
—
|
1,068
|
|||||||||
Entertainment
|
—
|
3,117
|
—
|
3,117
|
|||||||||
Food & Beverages
|
—
|
5,418
|
—
|
5,418
|
|||||||||
Gaming
|
—
|
1,726
|
—
|
1,726
|
|||||||||
Health Care
|
—
|
5,106
|
—
|
5,106
|
|||||||||
Home Builders
|
—
|
155
|
—
|
155
|
|||||||||
Insurance
|
—
|
812
|
—
|
812
|
|||||||||
Iron & Steel
|
—
|
153
|
—
|
153
|
|||||||||
Media
|
—
|
2,066
|
—
|
2,066
|
|||||||||
Oil Field Services
|
—
|
2,296
|
—
|
2,296
|
|||||||||
Other
|
—
|
1,008
|
—
|
1,008
|
|||||||||
Other Financials
|
—
|
7,170
|
—
|
7,170
|
|||||||||
Other Industrials
|
—
|
2,983
|
—
|
2,983
|
|||||||||
Pharmaceuticals
|
—
|
1,168
|
—
|
1,168
|
|||||||||
Railroad
|
—
|
197
|
—
|
197
|
|||||||||
Retail
|
—
|
3,664
|
436
|
4,100
|
|||||||||
Technology
|
—
|
7,861
|
—
|
7,861
|
|||||||||
Transportation
|
—
|
4,271
|
15
|
4,286
|
|||||||||
Wireless
|
—
|
1,256
|
—
|
1,256
|
|||||||||
Wire Lines
|
—
|
4,060
|
—
|
4,060
|
|||||||||
Common Stock
|
—
|
—
|
—
|
*
|
—
|
*
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||
(value in $000’s)
|
|||||||||||||
Preferred Stock:
|
|||||||||||||
Banks
|
$
|
8,909
|
$
|
—
|
$
|
—
|
$
|
8,909
|
|||||
Diversified Financial Services
|
3,860
|
—
|
—
|
3,860
|
|||||||||
Insurance
|
2,871
|
—
|
—
|
2,871
|
|||||||||
Telecommunications
|
1,219
|
—
|
—
|
1,219
|
|||||||||
Transportation
|
1,066
|
—
|
—
|
1,066
|
|||||||||
Exchange Traded Funds
|
56,356
|
—
|
—
|
56,356
|
|||||||||
Warrants
|
—
|
—
|
—
|
*
|
—
|
*
|
|||||||
Credit Default Swap
|
—
|
20
|
—
|
20
|
|||||||||
Foreign Currency
|
19
|
—
|
—
|
19
|
|||||||||
Total
|
$
|
74,300
|
$
|
302,400
|
$
|
11,356
|
$
|
388,056
|
|||||
Liabilities:
|
|||||||||||||
Index Swaps
|
$
|
—
|
$
|
490
|
$
|
—
|
$
|
490
|
|||||
Options Written
|
916
|
—
|
—
|
916
|
|||||||||
Unfunded Commitments
|
—
|
13
|
—
|
13
|
|||||||||
Total
|
$
|
916
|
$
|
503
|
$
|
—
|
$
|
1,419
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 27
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2013
|
Level 3 Holdings (Values in $000’s)
|
||||
Beginning Balance at 5/31/13
|
||||
Asset Backed Securities
|
$
|
4,645
|
||
Term Loans
|
6,705
|
|||
Common Stock
|
—
|
*
|
||
Warrant
|
—
|
*
|
||
Paydowns Received
|
||||
Asset Backed Securities
|
(877
|
)
|
||
Term Loans
|
(3,034
|
)
|
||
Common Stock
|
—
|
|||
Warrant
|
—
|
|||
Payment-in-kind Distributions Received
|
||||
Asset Backed Securities
|
—
|
|||
Term Loans
|
17
|
|||
Common Stock
|
—
|
|||
Warrant
|
—
|
|||
Realized Gain/Loss Related to Paydowns
|
||||
Asset Backed Securities
|
184
|
|||
Term Loans
|
28
|
|||
Common Stock
|
—
|
|||
Warrant
|
—
|
|||
Realized Gain/Loss Related to Sale
|
||||
Asset Backed Securities
|
(28
|
)
|
||
Term Loans
|
—
|
|||
Common Stock
|
—
|
|||
Warrant
|
—
|
Level 3 Holdings (Values in $000’s)
|
||||
Change in Unrealized Gain/Loss
|
||||
Asset Backed Securities
|
25
|
|||
Term Loans
|
(15
|
)
|
||
Common Stock
|
—
|
|||
Warrant
|
—
|
|||
Purchases
|
||||
Asset Backed Securities
|
4,482
|
|||
Term Loans
|
1,750
|
|||
Common Stock
|
—
|
|||
Warrant
|
—
|
|||
Sales
|
||||
Asset Backed Securities
|
(246
|
)
|
||
Term Loans
|
—
|
|||
Common Stock
|
—
|
|||
Warrant
|
—
|
|||
Transfer In
|
||||
Asset Backed Securities
|
2,720
|
|||
Term Loans
|
—
|
|||
Common Stock
|
—
|
|||
Warrant
|
—
|
|||
Transfer Out
|
||||
Asset Backed Securities
|
—
|
|||
Term Loans
|
(5,000
|
)
|
||
Common Stock
|
—
|
|||
Warrant
|
—
|
|||
Ending Balance at 11/30/13
|
||||
Asset Backed Securities
|
10,905
|
|||
Term Loans
|
451
|
|||
Common Stock
|
—
|
*
|
||
Warrant
|
—
|
*
|
||
Total Level 3 holdings
|
$
|
11,356
|
Investments, at Value
|
Value as of November 30, 2013
|
Valuation Technique
|
Unobservable Inputs
|
|||
Asset Backed Securities:
|
||||||
Collateralized Debt Obligations
|
$ 4,216,777
|
Third-Party Pricing Vendor
|
$80.8567 Single Broker Quote
|
|||
Collateralized Loan Obligations
|
2,886,000
|
Third-Party Pricing Vendor
|
$78.0000 Single Broker Quote
|
|||
Collateralized Loan Obligations
|
2,327,979
|
Third-Party Pricing Vendor
|
$89.5377 Single Broker Quote
|
|||
Credit Cards
|
1,081,690
|
Third-Party Pricing Vendor
|
$81.7090 Single Broker Quote
|
|||
Transportation
|
392,441
|
Third-Party Pricing Vendor
|
$66.1600 Single Broker Quote
|
|||
Term Loans:
|
||||||
Retail
|
435,741
|
Model Price
|
$75.0000 Single Broker Quote
|
|||
Transportation
|
15,533
|
Model Price
|
$40.0000 Single Broker Quote
|
|||
Transportation
|
0
|
Model Price
|
$0.0000 Unlisted Security
|
|||
Common Stocks:
|
||||||
Airlines
|
3
|
Model Price
|
$0.0001 Unlisted Security
|
|||
Retail
|
1
|
Model Price
|
$0.0001 Single Broker Quote
|
|||
Warrants:
|
||||||
Engineering & Construction
|
0
|
Model Price
|
$0.0000 Unlisted Security
|
Unobservable Input
|
Impact to Value if Input Increases
|
Impact to Value if Input Decreases
|
||
Unlisted Security
|
Increases
|
Decreases
|
||
Single Broker Quote
|
Increases
|
Decreases
|
28 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2013
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 29
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2013
|
Managed Assets
|
Rate
|
First $200,000,000
|
0.0275%
|
Next $300,000,000
|
0.0200%
|
Next $500,000,000
|
0.0150%
|
Over $1,000,000,000
|
0.0100%
|
Managed Assets
|
Rate
|
First $200,000,000
|
0.0300%
|
Next $300,000,000
|
0.0150%
|
Next $500,000,000
|
0.0100%
|
Over $1,000,000,000
|
0.0075%
|
Net Tax
|
||||||||||||||
Unrealized
|
||||||||||||||
Cost of
|
Net Tax
|
Depreciation
|
||||||||||||
Investments
|
Gross Tax
|
Gross Tax
|
Unrealized
|
on Derivatives
|
||||||||||
for Tax
|
Unrealized
|
Unrealized
|
Appreciation
|
and Foreign
|
||||||||||
Purposes
|
Appreciation
|
Depreciation
|
on Investments
|
Currency
|
||||||||||
$
|
382,033,665
|
$
|
18,585,343
|
$
|
(12,602,341
|
)
|
$
|
5,983,002
|
$
|
(721,581
|
)
|
30 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2013
|
Undistributed
|
Undistributed
|
||||||
Ordinary
|
Long-Term
|
||||||
Income
|
Capital Gains
|
||||||
$
|
7,472,824
|
$
|
1,713,077
|
Distributions paid from
|
2013
|
|||
Ordinary income
|
$
|
21,756,314
|
||
Long-term capital gain
|
2,072,578
|
|||
$
|
23,828,892
|
Number of
|
Premiums
|
||||||
Contracts
|
Received
|
||||||
Options outstanding, beginning of the period
|
6,979
|
$
|
2,472,246
|
||||
Options written during the period
|
26,849
|
4,516,662
|
|||||
Options expired during the period
|
(557
|
)
|
(50,621
|
)
|
|||
Options closed during the period
|
(25,286
|
)
|
(5,600,452
|
)
|
|||
Options assigned during the period
|
(3,663
|
)
|
(684,492
|
)
|
|||
Options outstanding, end of period
|
4,322
|
$
|
653,343
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 31
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2013
|
Upfront
|
||||||||||||||||||
Implied Credit
|
Notional
|
Premium
|
||||||||||||||||
Reference
|
Buy/Sell
|
Termination
|
Spread at
|
Amount |
Receiving
|
Received
|
Unrealized
|
|||||||||||
Counterparty
|
Entity
|
Protection
|
Date
|
November 30, 2013 (2)
|
(000s)
|
Fixed Rate
|
(Paid)
|
Appreciation
|
||||||||||
Basket of distinct
|
||||||||||||||||||
Goldman Sachs(1)
|
corporate entities
|
Sell
|
09/21/14
|
0.59%
|
$ |
3,000
|
1.180%
|
$
|
–
|
$
|
12,190
|
Unrealized
|
||||||||||||
Termination
|
Number
|
Notional
|
Appreciation/
|
|||||||||
Counterparty
|
Index
|
Date
|
of Contracts
|
Amount (000s)
|
(Depreciation)
|
|||||||
Bank of America
|
Japanese Government 10-Year Bond Future
|
12/31/13
|
19
|
$
|
(26,942)
|
$
|
(489,670)
|
|||||
Total Unrealized Depreciation for Swap Agreements
|
$
|
(477,480)
|
(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. 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 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 soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
32 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2013
|
Statement of Asset and Liabilities Presentation of
Fair Values of Derivative Instruments (value in $000s):
|
|||||||
Asset Derivatives
|
Liability Derivatives
|
||||||
Primary Risk Exposure
|
Statement
|
Statement
|
|||||
of Assets
|
of Assets
|
||||||
and Liabilities
|
and Liabilities
|
||||||
Location
|
Fair Value |
Location
|
Fair Value | ||||
Equity risk
|
Investments
|
$
|
–
|
Options
|
$
|
916
|
|
in securities
|
Written
|
||||||
Interest rate risk
|
Unrealized
|
–
|
Unrealized
|
490
|
|||
appreciation on
|
depreciation
|
||||||
swaps
|
on swaps
|
||||||
Credit risk
|
Unrealized
|
12
|
Unrealized
|
–
|
|||
appreciation on
|
depreciation
|
||||||
swaps
|
on swaps
|
||||||
Total
|
$
|
12
|
$
|
1,406
|
Effect of Derivative Instruments on the Statement of Operations:
|
||||||||||
Amount of Realized Gain (Loss) on Derivatives (value in $000s)
|
||||||||||
Primary Risk Exposure
|
Options
|
Swaps
|
Total
|
|||||||
Equity risk
|
$
|
(836
|
)
|
$
|
—
|
$
|
(836
|
)
|
||
Interest rate risk
|
—
|
(176
|
)
|
(176
|
)
|
|||||
Credit risk
|
—
|
12
|
12
|
|||||||
Total
|
$
|
(836
|
)
|
$
|
(164
|
)
|
$
|
(1,000
|
)
|
|
Change in Unrealized Appreciation (Depreciation) on Derivatives (value in $000s)
|
||||||||||
Primary Risk Exposure
|
Options
|
Swaps
|
Total
|
|||||||
Equity risk
|
$
|
(843
|
)
|
$
|
—
|
$
|
(843
|
)
|
||
Interest rate risk
|
—
|
(911
|
)
|
(911
|
)
|
|||||
Credit risk
|
—
|
(108
|
)
|
(108
|
)
|
|||||
Total
|
$
|
(843
|
)
|
$
|
(1,019
|
)
|
$
|
(1,862
|
)
|
Counterparty
|
Range of Interest Rates
|
Range of Maturity Dates
|
Face Value
|
|||
Barclays Capital, Inc.
|
0.75% - 1.92%
|
12/05/13 – 02/27/14
|
$
|
19,874,029
|
||
Citigroup, Inc.
|
1.82%
|
12/05/13
|
979,000
|
|||
Credit Suisse Securities LLC
|
0.80%-0.99%
|
01/15/14 – 02/06/14
|
12,279,340
|
|||
Greenwich Capital
|
1.84%
|
01/07/14
|
5,803,000
|
|||
Merrill Lynch
|
0.88%-2.25%
|
01/03/14 – 02/12/14
|
16,539,966
|
|||
Nomura
|
2.10% - 2.40%
|
12/11/13 – 01/10/14
|
2,706,500
|
|||
Wells Fargo Bank, Ltd.
|
1.52%
|
12/18/13
|
1,030,000
|
|||
$
|
59,211,835
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 33
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2013
|
Unrealized
|
|||||||
Principal
|
Appreciation/
|
||||||
Borrower
|
Amount
|
(Depreciation
|
)
|
||||
Darling International
|
$
|
1,400,000
|
$
|
—
|
|||
ServiceMaster Revolver
|
800,000
|
(12,556
|
)
|
||||
$
|
2,200,00
|
$
|
(12,556
|
)
|
Six months ended
|
Year ended
|
||||||
November 30, 2013
|
May 31, 2013
|
||||||
Beginning Shares
|
13,672,683
|
10,913,698
|
|||||
Common shares issued through at-the-market offering
|
33,353
|
2,714,415
|
|||||
Shares issued through dividend reinvestment
|
700,981
|
44,570
|
|||||
Ending Shares
|
14,407,017
|
13,672,683
|
34 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
SUPPLEMENTAL INFORMATION (Unaudited)
|
November 30, 2013
|
Name, Address*, Year
|
Number of
|
||||||
of Birth and
|
Term of Office**
|
Portfolios in the
|
|||||
Position(s) Held
|
and Length
|
Principal Occupations during the Past
|
Fund Complex***
|
Other Directorships
|
|||
with Registrant
|
of Time Served
|
Five Years and Other Affiliations
|
Overseen by Trustee
|
Held by Trustee
|
|||
Independent Trustees:
|
|||||||
Randall C. Barnes
Year of Birth: 1951
Trustee
|
Since 2007
|
Private Investor (2001-present). Formerly, Senior Vice President & Treasurer, PepsiCo., Inc. (1993-1997), President, Pizza Hut International (1991-1993) and Senior Vice President, Strategic Planning and New Business Development of PepsiCo, Inc. (1987-1990).
|
52
|
None.
|
|||
Roman Friedrich III
Year of birth: 1946
Trustee
|
Since 2010
|
Founder and President of Roman Friedrich & Company, Ltd. a U.S. and Canadian-based business, which provides investment banking to the mining industry (1998-present). Formerly, Senior Managing Director of MLV & Co., LLC, an investment bank and institutional broker-dealer specializing in capital intensive industries such as energy, metals and mining (2010-2011).
|
48
|
Director of Mercator Minerals Ltd. (September 2013-present), First Americas Gold Corp. (2012-present) and Zincore Metals, Inc. (2009-present). Previously, Director of Blue Sky Uranium Corp. (formerly, Windstorm Resources Inc.) (2011-2012); Axiom Gold and Silver Corp. (2011-2012), Stratagold Corp. (2003-2009); Gate- way Gold Corp. (2004-2008) and GFM Resources Ltd. (2005-2010).
|
|||
Robert B. Karn III
Year of birth: 1942
Trustee
|
Since 2010
|
Consultant (1998-present). Formerly, Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997).
|
48
|
Director of Peabody Energy Company (2003 – present) and GP Natural Resource Partners LLC (2002 – present).
|
|||
Ronald A. Nyberg
Year of birth: 1953
Trustee
|
Since 2007
|
Partner of Nyberg & Cassioppi, LLC, a law firm specializing in corporate law, estate planning and business transactions (2000-present). Formerly, Executive Vice President, General Counsel and Corporate Secretary of Van Kampen Investments (1982-1999).
|
54
|
None.
|
|||
Ronald E. Toupin, Jr.
Year of birth: 1958
Trustee
|
Since 2007
|
Portfolio Consultant (2010-present). Formerly, Vice President, Manager and Portfolio Manager of Nuveen Asset Management (1998-1999), Vice President of Nuveen Investment Advisory Corp. (1992-1999), Vice President and Manager of Nuveen Unit Investment Trusts (1991-1999), and Assistant Vice President and Portfolio Manager of Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).
|
51
|
Previously, Trustee, Bennett Group of Funds (2011-September 2013).
|
|||
Interested Trustee:
|
|||||||
Donald C. Cacciapaglia†
Year of Birth: 1951
Trustee, Chief Executive Officer
|
Since 2012
|
Senior Managing Director of Guggenheim Investments (2010-present); Chief Executive Officer of Guggenheim Funds Services, LLC (2012-present); Chief Executive Officer (2012-present) and President (2010- present), Guggenheim Funds Distributors, LLC and Guggenheim Funds Investment Advisors, LLC; Chief Executive Officer of certain funds in the Fund Complex (2012-present); President and Director of SBL Fund, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, and Security Mid Cap Growth Fund (2012-present); President, CEO and Trustee of Rydex Dynamic Funds, Rydex ETF Trust, Rydex Series Funds and Rydex Variable Trust (2012-present); Formerly Chairman and CEO of Channel Capital Group Inc. and Channel Capital Group LLC (2002-2010).
|
212
|
Trustee, Rydex Dynamic Funds, Rydex ETF Trust, Rydex Series Funds and Rydex Variable Trust (2012- present); Independent Board Member, Equitrust Life Insurance Company, Guggenheim Life and Annuity Company, and Paragon Life Insurance Company of Indiana (2011-present).
|
*
|
Address for all Trustees: 2455 Corporate West Drive, Lisle, IL 60532
|
**
|
After a Trustee’s initial term, each Trustee is expected to serve a two-year term concurrent with the class of Trustees for which he serves:
|
-
|
Messrs. Barnes, Cacciapaglia and Friedrich are Class I Trustees. The Class I Trustees are expected to stand for re-election at the Fund’s annual meeting of shareholders for fiscal year ending May 31, 2014.
|
|
-
|
Messrs. Karn, Nyberg and Toupin are Class II Trustees. The Class II Trustees, are expected to stand for re-election at the Fund’s annual meeting of shareholders for fiscal year ending May 31, 2015.
|
***
|
As of period end. The Guggenheim Investments Fund Complex consists of U.S. registered investment companies advised or serviced by Guggenheim Funds Investment Advisors, LLC or Guggenheim Funds Distributors, LLC and/or its affiliates. The Guggenheim Investments Fund Complex is overseen by multiple Boards of Trustees.
|
†
|
Mr. Donald C. Cacciapaglia is an “interested person” (as defined in section 2(a)(19) of the 1940 Act) (“Interested Trustee”) of the Trust because of his position as the President and CEO of the Adviser.
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 35
|
SUPPLEMENTAL INFORMATION (Unaudited) continued
|
November 30, 2013
|
Name, Address*, Year of Birth and
|
Term of Office** and
|
Principal Occupations During the Past
|
||
Position(s) Held with Registrant
|
Length of Time Served
|
Five Years and Other Affiliations
|
||
Amy J. Lee
Year of Birth: 1961
Chief Legal Officer
|
Since 2013
|
Managing Director, Guggenheim Investments (2012-present); Senior Vice President & Secretary, Security Investors, LLC (2010-present); Secretary & Chief Compliance Officer, Security Distributors, Inc. (1987-2012); Vice President, Associate General Counsel & Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (1987- 2012); Vice President & Secretary, Rydex Series Funds, Rydex ETF Trust, Rydex Dynamic Funds, and Rydex Variable Trust (2008-present). Officer of certain funds in the Fund Complex (2012-present).
|
||
John L. Sullivan
Year of Birth: 1955
Chief Accounting Officer,
Chief Financial Officer
and Treasurer
|
Since 2011
|
Senior Managing Director-Fund Administration, Guggenheim Investments (2010-present). Chief Financial Officer, Chief Accounting Officer and Treasurer of certain funds in the Fund Complex. Formerly, Chief Compliance Officer, Van Kampen Funds (2004–2010). Head of Fund Accounting, Morgan Stanley Investment Management (2002–2004). Chief Financial Officer, Treasurer, Van Kampen Funds (1996-2004).
|
||
Joanna M. Catalucci
Year of Birth: 1966
Chief Compliance Officer
|
Since 2012
|
Managing Director of Compliance and Fund Board Relations, Guggenheim Investments (2012-present). Formerly, Chief Compliance Officer & Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; Vice President, Rydex Holdings, LLC; Vice President, Security Benefit Asset Management Holdings, LLC; and Senior Vice President & Chief Compliance Officer, Security Investors, LLC (2010-2012); Security Global Investors, LLC, Senior Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Chief Compliance Officer and Senior Vice President (2010- 2011); Rydex Capital Partners I, LLC, Rydex Capital Partners II, LLC, Chief Compliance Officer (2006-2007); and Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Vice President (2001-2006). Chief Compliance Officer of certain funds in the Fund Complex.
|
||
Mark E. Mathiasen
Year of birth: 1978
Secretary
|
Since 2008
|
Director; Associate General Counsel of Guggenheim Funds Services, LLC (2007-present). Secretary of certain funds in the Fund Complex.
|
*
|
Address for all Officers: 2455 Corporate West Drive, Lisle, IL 60532
|
**
|
Officers serve at the pleasure of the Board of Trustees and until his or her successor is appointed and qualified or until his or her earlier resignation or removal.
|
36 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
DIVIDEND REINVESTMENT PLAN (Unaudited)
|
November 30, 2013
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 37
|
November 30, 2013
|
38 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
FUND INFORMATION
|
November 30, 2013
|
Board of Trustees
|
Executive Officers
|
Investment Adviser
|
Custodian
|
Randall C. Barnes
|
Donald C. Cacciapaglia
|
Guggenheim Funds
|
The Bank of New York Mellon
|
Chief Executive Officer
|
Investment Advisors, LLC
|
New York, New York
|
|
Donald C. Cacciapaglia*
|
Lisle, Illinois
|
||
Amy J. Lee
|
Legal Counsel
|
||
Roman Friedrich III
|
Chief Legal Officer
|
Investment Sub-Adviser
|
Skadden, Arps, Slate,
|
|
Guggenheim Partners
|
Meagher & Flom LLP
|
|
Robert B. Karn III
|
John L. Sullivan
|
Investment Management, LLC
|
New York, New York
|
|
Chief Financial Officer,
|
Santa Monica, California
|
|
Ronald A. Nyberg
|
Chief Accounting Officer,
|
Independent Registered
|
|
|
and Treasurer
|
Administrator and
|
Public Accounting Firm
|
Ronald E. Toupin, Jr.,
|
Accounting Agent
|
Ernst & Young LLP
|
|
Chairperson
|
Joanna M. Catalucci
|
Rydex Fund Services, LLC
|
Chicago, Illinois
|
|
Chief Compliance Officer
|
Rockville, Maryland
|
|
* Trustee is an “interested
|
|||
person” (as defined in
|
Mark E. Mathiasen
|
||
section 2(a)(19) of the
|
Secretary
|
||
1940 Act) (“Interested Trustee”)
|
|||
of the Trust because of his
|
|||
position as the President and
|
|||
CEO of the Adviser.
|
•
|
If your shares are held in a Brokerage Account, contact your Broker.
|
•
|
If you have physical possession of your shares in certificate form, contact the Fund’s Transfer Agent:
|
Computershare Shareowner Services LLC, P.O. Box 30170, College Station, TX 77842-3170; (866) 488-3559.
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 39
|
ABOUT THE FUND MANAGERS |