NPORT-EX 2 gug84630gofnq.htm GUGGENHEIM STRATEGIC OPPORTUNITIES FUND NQ

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Shares   Value
COMMON STOCKS† - 13.8%
Financial - 3.5%
KKR Acquisition Holdings I Corp. — Class A*,1 783,534   $   7,694,303  
RXR Acquisition Corp. — Class A*,1 160,538   1,578,089  
TPG Pace Beneficial II Corp.*,1 160,210   1,558,844  
Colicity, Inc. — Class A*,1 120,524   1,184,751  
MSD Acquisition Corp. — Class A*,1 116,869   1,153,497  
AfterNext HealthTech Acquisition Corp. — Class A*,1 107,300   1,047,248  
Conyers Park III Acquisition Corp. — Class A*,1 99,600   965,124  
Acropolis Infrastructure Acquisition Corp. — Class A*,1 98,300   956,459  
Waverley Capital Acquisition Corp. 1 — Class A*,1 93,900   920,220  
Blue Whale Acquisition Corp. I — Class A*,1 57,300   553,518  
Arthur J Gallagher & Co.2 2,315   420,335  
Nasdaq, Inc.2 7,032   418,615  
Duke Realty Corp. REIT2 7,089   417,188  
Extra Space Storage, Inc. REIT2 2,090   415,346  
Raymond James Financial, Inc.2 3,950   412,261  
Goldman Sachs Group, Inc.2 1,220   405,857  
Principal Financial Group, Inc.2 5,340   399,218  
Brown & Brown, Inc.2 6,294   396,774  
Charles Schwab Corp.2 5,545   393,418  
VICI Properties, Inc. REIT 11,821   389,975  
M&T Bank Corp.2 2,136   388,282  
Morgan Stanley2 4,546   387,410  
Aon plc — Class A2 1,377   384,541  
Progressive Corp.2 3,119   382,545  
Marsh & McLennan Companies, Inc.2 2,360   380,833  
Cboe Global Markets, Inc.2 3,226   380,571  
Regions Financial Corp.2 17,499   379,203  
BlackRock, Inc. — Class A2 569   379,176  
Wells Fargo & Co.2 8,674   379,141  
Aflac, Inc.2 6,343   376,901  
First Republic Bank2 2,478   376,235  
Ameriprise Financial, Inc.2 1,402   375,750  
Huntington Bancshares, Inc.2 28,003   375,240  
CBRE Group, Inc. — Class A*,2 4,748   374,902  
Public Storage REIT2 1,133   374,830  
Globe Life, Inc.2 3,854   374,570  
Franklin Resources, Inc.2 14,311   373,088  
Comerica, Inc.2 4,639   372,512  
Prologis, Inc. REIT2 2,950   367,304  
Realty Income Corp. REIT2 5,370   366,664  
Synchrony Financial2 11,152   365,228  
Iron Mountain, Inc. REIT2 6,939   365,061  
Willis Towers Watson plc2 1,762   364,434  
T. Rowe Price Group, Inc.2 3,034   364,080  
State Street Corp.2 5,304   362,528  
Zions Bancorp North America2 6,581   362,153  
Discover Financial Services2 3,602   361,965  
Alexandria Real Estate Equities, Inc. REIT2 2,358   361,717  
MetLife, Inc.2 5,580   358,961  
Citigroup, Inc.2 7,346     358,558  
American Tower Corp. — Class A REIT2 1,411   358,465  
AvalonBay Communities, Inc. REIT2 1,782   358,022  
Equinix, Inc. REIT2 544   357,609  
Kimco Realty Corp. REIT2 16,946   357,222  
Intercontinental Exchange, Inc.2 3,527   355,698  
Healthpeak Properties, Inc. REIT2 13,491   354,139  
SBA Communications Corp. REIT2 1,088   353,872  
Truist Financial Corp.2 7,540   353,174  
Visa, Inc. — Class A2 1,775   352,710  
Equity Residential REIT2 4,816   352,435  
Bank of America Corp.2 10,474   352,031  
Regency Centers Corp. REIT2 5,773   351,229  
Crown Castle, Inc. REIT2 2,051   350,372  
PNC Financial Services Group, Inc.2 2,210   349,180  
Simon Property Group, Inc. REIT2 3,409   347,650  
Federal Realty Investment Trust REIT2 3,427   347,052  
American Express Co.2 2,283   347,016  
UDR, Inc. REIT2 7,725   346,621  
Citizens Financial Group, Inc.2 9,436   346,113  
Prudential Financial, Inc.2 3,587   343,455  
KeyCorp2 19,414   343,434  
Mastercard, Inc. — Class A2 1,058   343,183  
CME Group, Inc. — Class A2 1,754   343,100  
Allstate Corp.2 2,843   342,582  
Everest Re Group Ltd. 1,273   342,501  
American International Group, Inc.2 6,614   342,275  
Mid-America Apartment Communities, Inc. REIT2 2,061   341,446  
Essex Property Trust, Inc. REIT2 1,279   339,012  
Bank of New York Mellon Corp.2 8,159   338,843  
Travelers Companies, Inc.2 2,092   338,151  
Berkshire Hathaway, Inc. — Class B*,2 1,203   337,802  
Host Hotels & Resorts, Inc. REIT2 19,001   337,648  
W R Berkley Corp.2 5,189   336,247  
JPMorgan Chase & Co.2 2,952   335,731  
Weyerhaeuser Co. REIT2 9,815   335,280  
Hartford Financial Services Group, Inc.2 5,187   333,576  
Digital Realty Trust, Inc. REIT2 2,696   333,306  
Invesco Ltd.2 20,225   333,106  
Northern Trust Corp.2 3,492   332,054  
Fifth Third Bancorp2 9,721   331,972  
Chubb Ltd. 1,756   331,972  
Camden Property Trust REIT2 2,577   331,170  
U.S. Bancorp2 7,240   330,216  
Capital One Financial Corp.2 3,106   328,677  
Welltower, Inc. REIT2 4,282   328,215  
Loews Corp.2 5,870   324,670  
Assurant, Inc.2 2,037   322,844  

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Shares   Value
       
COMMON STOCKS† - 13.8% (continued)
Financial - 3.5% (continued)
Ventas, Inc. REIT2 6,678   $   319,609  
SVB Financial Group*,2 786   319,525  
Lincoln National Corp.2 6,818   314,037  
Signature Bank2 1,691   294,843  
Cincinnati Financial Corp.2 2,954   286,420  
Vornado Realty Trust REIT2 10,866   284,907  
Boston Properties, Inc. REIT2 3,564   283,088  
Pershing Square Tontine Holdings Ltd. — Class A Escrow*,†††,1 1,042,740   104  
Sparta Systems*,††† 1,922       –  
Total Financial     51,051,034  
Consumer, Non-cyclical - 2.7%
Cardinal Health, Inc.2 6,625   468,520  
Molina Healthcare, Inc.*,2 1,268   427,785  
Lamb Weston Holdings, Inc.2 5,320   423,100  
McKesson Corp.2 1,130   414,710  
PayPal Holdings, Inc.*,2 4,380   409,267  
Automatic Data Processing, Inc.2 1,674   409,142  
Nielsen Holdings plc2 14,516   404,125  
Gartner, Inc.*,2 1,416   404,013  
Verisk Analytics, Inc. — Class A2 2,142   400,897  
Centene Corp.*,2 4,455   399,792  
General Mills, Inc.2 5,180   397,824  
Cigna Corp.2 1,398   396,263  
Quanta Services, Inc.2 2,798   395,357  
Vertex Pharmaceuticals, Inc.*,2 1,389   391,365  
Clorox Co.2 2,702   390,007  
J M Smucker Co.2 2,758   386,092  
Hormel Foods Corp.2 7,676   385,949  
Avery Dennison Corp.2 2,097   385,051  
Dexcom, Inc.*,2 4,680   384,743  
Cintas Corp.2 945   384,464  
Humana, Inc.2 797   383,979  
Campbell Soup Co.2 7,547   380,218  
Boston Scientific Corp.*,2 9,429   380,083  
Danaher Corp.2 1,408   380,033  
UnitedHealth Group, Inc.2 731   379,630  
Brown-Forman Corp. — Class B2 5,174   376,150  
PepsiCo, Inc.2 2,179   375,376  
Corteva, Inc.2 6,109   375,276  
Conagra Brands, Inc.2 10,875   373,883  
Global Payments, Inc.2 3,003   373,063  
Hershey Co.2 1,660   372,952  
S&P Global, Inc.2 1,053   370,725  
CVS Health Corp.2 3,773   370,320  
Kellogg Co.2 5,090   370,247  
Gilead Sciences, Inc.2 5,831   370,094  
ResMed, Inc.2 1,680   369,466  
Archer-Daniels-Midland Co.2 4,183   367,644  
Moderna, Inc.*,2 2,772   366,652  
Thermo Fisher Scientific, Inc.2 672   366,455  
Moody's Corp.2 1,285   365,608  
United Rentals, Inc.*,2 1,248   364,466  
Constellation Brands, Inc. — Class A2 1,481   364,400  
IQVIA Holdings, Inc.*,2 1,708   363,223  
ABIOMED, Inc.*,2 1,398   362,473  
Colgate-Palmolive Co.2 4,622   361,487  
Monster Beverage Corp.*,2 4,069     361,449  
Estee Lauder Companies, Inc. — Class A2 1,418   360,711  
Mondelez International, Inc. — Class A2 5,825   360,335  
AmerisourceBergen Corp. — Class A2 2,452   359,365  
Eli Lilly & Co.2 1,192   359,066  
Becton Dickinson and Co.2 1,420   358,436  
Equifax, Inc.2 1,894   357,493  
Regeneron Pharmaceuticals, Inc.*,2 613   356,190  
Elevance Health, Inc.2 734   356,071  
Coca-Cola Co.2 5,767   355,882  
Sysco Corp.2 4,324   355,519  
Amgen, Inc.2 1,476   354,683  
Incyte Corp.*,2 5,030   354,263  
Kraft Heinz Co.2 9,458   353,729  
Kimberly-Clark Corp.2 2,772   353,485  
Rollins, Inc.2 10,436   352,319  
West Pharmaceutical Services, Inc.2 1,181   350,391  
Biogen, Inc.*,2 1,793   350,316  
Molson Coors Beverage Co. — Class B2 6,767   349,651  
Laboratory Corporation of America Holdings2 1,552   349,619  
Merck & Company, Inc.2 4,063   346,818  
Bio-Techne Corp.2 1,041   345,414  
HCA Healthcare, Inc.2 1,743   344,887  
Intuitive Surgical, Inc.*,2 1,674   344,409  
Procter & Gamble Co.2 2,495   344,160  
Church & Dwight Company, Inc.2 4,093   342,625  
IDEXX Laboratories, Inc.*,2 985   342,406  
Edwards Lifesciences Corp.*,2 3,778   340,398  
Bio-Rad Laboratories, Inc. — Class A*,2 700   339,528  
Zoetis, Inc.2 2,167   339,200  
Quest Diagnostics, Inc.2 2,699   338,212  
McCormick & Company, Inc.2 4,001   336,364  
Illumina, Inc.*,2 1,663   335,327  
Hologic, Inc.*,2 4,938   333,611  
Medtronic plc2 3,786   332,865  
AbbVie, Inc.2 2,473   332,520  
PerkinElmer, Inc.2 2,460   332,248  
Zimmer Biomet Holdings, Inc.2 3,124   332,144  
Stryker Corp.2 1,618   332,014  
Abbott Laboratories2 3,231   331,662  
Johnson & Johnson2 2,053   331,231  
Philip Morris International, Inc.2 3,461   330,491  
Kroger Co.2 6,893   330,450  
Keurig Dr Pepper, Inc. 8,590   327,451  
Altria Group, Inc.2 7,237   326,533  
Charles River Laboratories International, Inc.*,2 1,589   326,142  
STERIS plc 1,603   322,812  
Waters Corp.*,2 1,074   320,696  
Pfizer, Inc.2 7,088   320,590  
Align Technology, Inc.*,2 1,315   320,465  
Henry Schein, Inc.*,2 4,349   319,260  

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Shares   Value
COMMON STOCKS† - 13.8% (continued)
Consumer, Non-cyclical - 2.7% (continued)
DaVita, Inc.*,2 3,743   $   319,241  
Bristol-Myers Squibb Co.2 4,717   317,973  
FleetCor Technologies, Inc.*,2 1,493   317,307  
Tyson Foods, Inc. — Class A2 4,209   317,274  
MarketAxess Holdings, Inc.2 1,264   314,218  
Robert Half International, Inc.2 4,080   314,038  
Cooper Companies, Inc.2 1,054   302,962  
Viatris, Inc.2 31,624   302,009  
Dentsply Sirona, Inc.2 9,038   296,175  
Universal Health Services, Inc. — Class B2 3,001   293,618  
Teleflex, Inc.2 1,293   292,554  
Catalent, Inc.*,2 3,320   292,160  
Organon & Co.2 9,988   284,958  
Baxter International, Inc.2 4,843   278,279  
Cengage Learning Holdings II, Inc.*,†† 11,126   152,983  
Targus Group International Equity, Inc.*,†††,3 45,049   112,911  
Save-A-Lot*,†† 40,316   16,812  
Total Consumer, Non-cyclical     39,319,747  
Consumer, Cyclical - 1.7%
ATD New Holdings, Inc.*,†† 23,593   1,651,510  
Chipotle Mexican Grill, Inc. — Class A*,2 267   426,346  
Tesla, Inc.*,2 1,506   415,069  
Ford Motor Co.2 27,137   413,568  
Genuine Parts Co.2 2,606   406,562  
O'Reilly Automotive, Inc.*,2 578   402,935  
WW Grainger, Inc.2 725   402,331  
Las Vegas Sands Corp.*,2 10,522   395,943  
Costco Wholesale Corp.2 756   394,708  
Ross Stores, Inc.2 4,539   391,579  
Starbucks Corp.2 4,655   391,346  
Copart, Inc.*,2 3,263   390,418  
LKQ Corp.2 7,148   380,416  
General Motors Co.2 9,955   380,380  
Walmart, Inc.2 2,869   380,286  
Bath & Body Works, Inc.2 10,104   377,182  
McDonald's Corp.2 1,492   376,402  
Tapestry, Inc.2 10,829   376,091  
TJX Companies, Inc.2 6,006   374,474  
Cummins, Inc.2 1,723   371,082  
Target Corp.2 2,287   366,698  
Ulta Beauty, Inc.*,2 869   364,867  
PACCAR, Inc.2 4,162   364,217  
Darden Restaurants, Inc.2 2,943   364,078  
Lennar Corp. — Class A2 4,692   363,395  
Lowe's Companies, Inc.2 1,869   362,848  
AutoZone, Inc.*,2 171   362,385  
Dollar General Corp.2 1,518   360,403  
BorgWarner, Inc.2 9,445   356,077  
MGM Resorts International2 10,883   355,221  
DR Horton, Inc.2 4,970   353,616  
Home Depot, Inc.2 1,217   351,007  
Hilton Worldwide Holdings, Inc.2 2,756   351,004  
Alaska Air Group, Inc.*,2 7,989   348,001  
NVR, Inc.*,2 84   347,765  
Domino's Pizza, Inc.2 931   346,202  
Yum! Brands, Inc.2 3,096     344,399  
Fastenal Co.2 6,814   342,949  
Exide Technologies*,††† 342   341,710  
Live Nation Entertainment, Inc.*,2 3,779   341,470  
Marriott International, Inc. — Class A2 2,215   340,534  
PulteGroup, Inc.2 8,374   340,487  
Wynn Resorts Ltd.*,2 5,610   339,910  
Best Buy Company, Inc.2 4,747   335,565  
Whirlpool Corp.2 2,134   334,185  
Penn Entertainment, Inc.*,2 10,686   333,724  
Norwegian Cruise Line Holdings Ltd.* 25,392   332,127  
Tractor Supply Co.2 1,789   331,233  
Advance Auto Parts, Inc.2 1,953   329,354  
Hasbro, Inc.2 4,171   328,758  
NIKE, Inc. — Class B2 3,079   327,759  
Newell Brands, Inc.2 18,326   327,119  
Aptiv plc*,2 3,496   326,631  
CarMax, Inc.*,2 3,688   326,167  
Southwest Airlines Co.*,2 8,824   323,841  
Ralph Lauren Corp. — Class A2 3,536   322,943  
Caesars Entertainment, Inc.*,2 7,392   318,743  
Delta Air Lines, Inc.*,2 10,085   313,341  
American Airlines Group, Inc.*,2 24,078   312,773  
Pool Corp.2 909   308,324  
Dollar Tree, Inc.*,2 2,270   307,994  
VF Corp.2 7,413   307,269  
Royal Caribbean Cruises Ltd.* 7,420   303,107  
PVH Corp.2 5,359   301,444  
United Airlines Holdings, Inc.*,2 8,605   301,261  
Walgreens Boots Alliance, Inc.2 8,430   295,556  
Carnival Corp.*,2 30,597   289,448  
Total Consumer, Cyclical     24,846,537  
Industrial - 1.7%
Boeing Co.*,2 2,694   431,713  
Trane Technologies plc2 2,689   414,294  
Keysight Technologies, Inc.*,2 2,520   413,003  
Xylem, Inc.2 4,420   402,662  
Republic Services, Inc. — Class A2 2,799   399,473  
CH Robinson Worldwide, Inc.2 3,481   397,356  
Waste Management, Inc.2 2,339   395,361  
Rockwell Automation, Inc.2 1,662   393,794  
United Parcel Service, Inc. — Class B2 2,016   392,132  
Nordson Corp.2 1,706   387,552  
Huntington Ingalls Industries, Inc.2 1,671   384,764  
IDEX Corp.2 1,912   384,714  
Amphenol Corp. — Class A2 5,216   383,532  
Deere & Co.2 1,043   380,956  
Old Dominion Freight Line, Inc.2 1,402   380,517  
Fortive Corp.2 5,987   379,157  
Martin Marietta Materials, Inc.2 1,087   377,961  
Agilent Technologies, Inc.2 2,925   375,131  
Vulcan Materials Co.2 2,245   373,770  
Norfolk Southern Corp.2 1,523   370,287  
Expeditors International of Washington, Inc.2 3,597   370,095  

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Shares   Value
COMMON STOCKS† - 13.8% (continued)
Industrial - 1.7% (continued)
J.B. Hunt Transport Services, Inc.2 2,123   $   369,445  
Howmet Aerospace, Inc.2 10,423   369,287  
Union Pacific Corp.2 1,642   368,645  
Snap-on, Inc.2 1,692   368,619  
AMETEK, Inc.2 3,050   366,488  
Carrier Global Corp.2 9,361   366,202  
CSX Corp.2 11,553   365,652  
Northrop Grumman Corp.2 764   365,184  
TransDigm Group, Inc.2 607   364,437  
Johnson Controls International plc2 6,728   364,254  
TE Connectivity Ltd.2 2,871   362,349  
Ingersoll Rand, Inc.2 7,627   361,291  
FedEx Corp.2 1,713   361,118  
General Dynamics Corp.2 1,577   361,023  
Honeywell International, Inc.2 1,901   359,954  
Trimble, Inc.*,2 5,665   358,311  
Parker-Hannifin Corp.2 1,343   355,895  
General Electric Co.2 4,840   355,450  
Mettler-Toledo International, Inc.*,2 293   355,251  
Eaton Corporation plc2 2,577   352,121  
Illinois Tool Works, Inc.2 1,800   350,694  
Otis Worldwide Corp.2 4,833   349,039  
Textron, Inc.2 5,591   348,767  
Lockheed Martin Corp.2 823   345,750  
Westinghouse Air Brake Technologies Corp.2 3,924   343,939  
Jacobs Solutions, Inc.2 2,745   341,972  
A O Smith Corp.2 6,038   340,845  
Teledyne Technologies, Inc.*,2 924   340,365  
Dover Corp.2 2,717   339,516  
L3Harris Technologies, Inc.2 1,473   336,124  
Amcor plc 27,758   333,374  
Raytheon Technologies Corp.2 3,709   332,883  
Emerson Electric Co.2 4,058   331,701  
Masco Corp.2 6,473   329,281  
Pentair plc2 7,331   326,230  
Fortune Brands Home & Security, Inc.2 5,293   325,149  
Packaging Corporation of America2 2,338   320,119  
3M Co.2 2,573   319,952  
Westrock Co.2 7,850   318,632  
Sealed Air Corp.2 5,887   316,779  
Allegion plc2 3,306   314,401  
Garmin Ltd.2 3,522   311,662  
Caterpillar, Inc.2 1,646   304,033  
Generac Holdings, Inc.*,2 1,349   297,333  
Mohawk Industries, Inc.*,2 2,685   296,317  
Ball Corp.2 5,057   282,231  
Stanley Black & Decker, Inc.2 3,126   275,401  
BP Holdco LLC*,†††,3 121,041   73,398  
Vector Phoenix Holdings, LP*,††† 121,040   28,923  
Total Industrial     24,314,010  
Technology - 1.5%
Citrix Systems, Inc.2 10,484   1,077,441  
EPAM Systems, Inc.* 1,167     497,725  
Broadridge Financial Solutions, Inc.2 2,528   432,718  
Paycom Software, Inc.*,2 1,203   422,494  
Cadence Design Systems, Inc.*,2 2,375   412,704  
Apple, Inc.2 2,558   402,169  
Synopsys, Inc.*,2 1,160   401,383  
Ceridian HCM Holding, Inc.*,2 6,665   397,500  
Intuit, Inc.2 917   395,942  
Oracle Corp.2 5,205   385,951  
MSCI, Inc. — Class A2 857   384,999  
Tyler Technologies, Inc.*,2 1,033   383,770  
Autodesk, Inc.*,2 1,893   381,894  
Fiserv, Inc.*,2 3,754   379,867  
Monolithic Power Systems, Inc.2 836   378,858  
Jack Henry & Associates, Inc.2 1,963   377,288  
NetApp, Inc.2 5,178   373,489  
PTC, Inc.*,2 3,247   373,048  
Texas Instruments, Inc.2 2,236   369,410  
KLA Corp.2 1,062   365,466  
Microsoft Corp.2 1,390   363,443  
Activision Blizzard, Inc.2 4,630   363,409  
Roper Technologies, Inc.2 900   362,322  
Paychex, Inc.2 2,936   362,126  
Microchip Technology, Inc.2 5,502   359,005  
ANSYS, Inc.*,2 1,436   356,559  
Accenture plc — Class A2 1,232   355,383  
ON Semiconductor Corp.* 5,069   348,595  
QUALCOMM, Inc.2 2,628   347,605  
Analog Devices, Inc.2 2,257   342,003  
Zebra Technologies Corp. — Class A*,2 1,133   341,758  
Skyworks Solutions, Inc.2 3,447   339,702  
Electronic Arts, Inc.2 2,654   336,713  
Adobe, Inc.*,2 898   335,349  
Leidos Holdings, Inc.2 3,517   334,291  
International Business Machines Corp.2 2,601   334,098  
Hewlett Packard Enterprise Co.2 24,551   333,894  
Take-Two Interactive Software, Inc.*,2 2,720   333,363  
Fidelity National Information Services, Inc.2 3,621   330,851  
Lam Research Corp.2 746   326,681  
NXP Semiconductor N.V.2 1,983   326,362  
Akamai Technologies, Inc.*,2 3,606   325,550  
Broadcom, Inc.2 652   325,420  
ServiceNow, Inc.*,2 745   323,792  
Applied Materials, Inc.2 3,411   320,873  
Micron Technology, Inc.2 5,579   315,381  
Advanced Micro Devices, Inc.*,2 3,710   314,868  
Cognizant Technology Solutions Corp. — Class A2 4,948   312,565  
Qorvo, Inc.*,2 3,429   307,856  
Salesforce, Inc.*,2 1,970   307,556  
Teradyne, Inc.2 3,628   307,074  
NVIDIA Corp.2 2,030   306,408  
Fortinet, Inc.*,2 6,140   298,957  

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

 

  Shares   Value
COMMON STOCKS† - 13.8% (continued)
Technology - 1.5% (continued)
Seagate Technology Holdings plc2 4,375   $   292,950  
HP, Inc.2 10,039   288,220  
Intel Corp.2 8,910   284,407  
Western Digital Corp.*,2 6,555   277,014  
DXC Technology Co.*,2 10,818   268,070  
Qlik Technologies, Inc. - Class A*,††† 112   168,441  
Qlik Technologies, Inc. - Class B*,††† 27,624   3  
Total Technology     21,173,033  
Communications - 0.9%
Vacasa, Inc. — Class A* 196,839   787,356  
Twitter, Inc.*,2 17,407   674,521  
Etsy, Inc.*,2 4,447   469,648  
Arista Networks, Inc.*,2 3,642   436,603  
FactSet Research Systems, Inc.2 967   419,040  
Motorola Solutions, Inc.2 1,690   411,363  
Netflix, Inc.*,2 1,818   406,432  
Amazon.com, Inc.*,2 3,136   397,551  
T-Mobile US, Inc.*,2 2,714   390,707  
Walt Disney Co.*,2 3,460   387,797  
VeriSign, Inc.*,2 2,056   374,644  
Corning, Inc.2 10,581   363,140  
CDW Corp.2 2,116   361,201  
Cisco Systems, Inc.2 7,956   355,792  
eBay, Inc.2 7,919   349,466  
F5, Inc.*,2 2,212   347,417  
Omnicom Group, Inc.2 5,162   345,338  
Juniper Networks, Inc.2 12,144   345,133  
NortonLifeLock, Inc.2 15,158   342,419  
Interpublic Group of Companies, Inc.2 12,099   334,416  
Meta Platforms, Inc. — Class A*,2 2,012   327,815  
Booking Holdings, Inc.*,2 168   315,136  
Lumen Technologies, Inc.2 31,427   313,013  
Comcast Corp. — Class A2 8,473   306,638  
Charter Communications, Inc. — Class A*,2 735   303,283  
Expedia Group, Inc.*,2 2,936   301,380  
AT&T, Inc.2 17,119   300,267  
Warner Bros Discovery, Inc.*,2 22,675   300,217  
DISH Network Corp. — Class A*,2 16,905   293,302  
Verizon Communications, Inc.2 6,969   291,374  
Paramount Global — Class B2 12,440   290,972  
News Corp. — Class A2 15,875   268,605  
Match Group, Inc.*,2 4,561   257,833  
Fox Corp. — Class A2 7,517   256,931  
Alphabet, Inc. — Class A*,2 1,640   177,481  
Alphabet, Inc. — Class C*,2 1,500   163,725  
Figs, Inc. — Class A*,2 10,450   120,802  
Fox Corp. — Class B 3,467   109,626  
News Corp. — Class B 4,918   84,786  
Total Communications     13,083,170  
Utilities - 0.9%
TexGen Power LLC*,†† 68,676   1,785,576  
Dominion Energy, Inc.2 9,667   790,761  
Constellation Energy Corp.2 5,924     483,339  
AES Corp.2 17,066   434,330  
NextEra Energy, Inc.2 4,666   396,890  
Southern Co.2 4,910   378,414  
Sempra Energy2 2,290   377,781  
CenterPoint Energy, Inc.2 11,759   370,761  
Xcel Energy, Inc.2 4,988   370,359  
WEC Energy Group, Inc.2 3,566   367,797  
Ameren Corp.2 3,969   367,609  
Alliant Energy Corp.2 5,971   364,470  
Consolidated Edison, Inc.2 3,722   363,788  
Evergy, Inc.2 5,306   363,620  
PPL Corp.2 12,502   363,558  
DTE Energy Co.2 2,778   362,085  
Pinnacle West Capital Corp.2 4,804   361,981  
American Electric Power Company, Inc.2 3,605   361,221  
Eversource Energy2 4,023   360,823  
Atmos Energy Corp.2 3,163   358,621  
Edison International2 5,288   358,368  
American Water Works Company, Inc.2 2,389   354,647  
CMS Energy Corp.2 5,231   353,302  
Entergy Corp.2 3,055   352,242  
Duke Energy Corp.2 3,287   351,413  
Public Service Enterprise Group, Inc.2 5,410   348,188  
NiSource, Inc.2 11,787   347,834  
FirstEnergy Corp.2 8,686   343,531  
Exelon Corp.2 7,698   338,019  
NRG Energy, Inc.2 8,048   332,221  
Total Utilities     12,863,549  
Energy - 0.5%
Enphase Energy, Inc.*,2 1,805   517,024  
Occidental Petroleum Corp.2 5,545   393,695  
Williams Companies, Inc.2 10,152   345,473  
Kinder Morgan, Inc.2 18,612   340,972  
SolarEdge Technologies, Inc.*,2 1,235   340,823  
Devon Energy Corp.2 4,782   337,705  
Exxon Mobil Corp.2 3,526   337,050  
ONEOK, Inc.2 5,471   334,989  
Hess Corp.2 2,773   334,923  
ConocoPhillips2 3,031   331,743  
Pioneer Natural Resources Co.2 1,307   330,959  
Marathon Petroleum Corp.2 3,269   329,352  
Chevron Corp.2 2,019   319,123  
Coterra Energy, Inc. — Class A2 10,323   319,084  
Diamondback Energy, Inc.2 2,278   303,612  
Marathon Oil Corp.2 11,693   299,224  
EOG Resources, Inc.2 2,459   298,277  
Phillips 662 3,331   297,991  
Valero Energy Corp.2 2,521   295,259  
Schlumberger N.V.2 7,502   286,202  
APA Corp.2 7,256   283,782  
Halliburton Co.2 8,747   263,547  
Baker Hughes Co.2 10,028   253,307  
Permian Production Partners LLC*,††† 184,043   150,915  
Legacy Reserves, Inc.*,††† 2,359   20,641  

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Shares   Value
COMMON STOCKS† - 13.8% (continued)
Energy - 0.5% (continued)
Bruin E&P Partnership Units*,††† 40,617   $   910  
Total Energy     7,666,582  
Basic Materials - 0.4%
CF Industries Holdings, Inc.2 4,014   415,288  
Albemarle Corp.2 1,495   400,600  
Nucor Corp.2 2,919   388,052  
PPG Industries, Inc.2 3,056   388,051  
Ecolab, Inc.2 2,231   365,505  
Air Products and Chemicals, Inc.2 1,427   360,246  
Mosaic Co.2 6,549   352,795  
FMC Corp.2 3,125   337,750  
Sherwin-Williams Co.2 1,431   332,135  
International Paper Co.2 7,871   327,591  
Linde plc 1,139   322,178  
Eastman Chemical Co.2 3,466   315,406  
International Flavors & Fragrances, Inc.2 2,836   313,321  
DuPont de Nemours, Inc.2 5,513   306,743  
Dow, Inc.2 5,725   291,975  
LyondellBasell Industries N.V. — Class A2 3,453   286,599  
Celanese Corp. — Class A2 2,430   269,390  
Freeport-McMoRan, Inc.2 8,684   257,046  
Newmont Corp.2 5,233   216,437  
Total Basic Materials     6,247,108  
Total Common Stocks    
(Cost $171,106,621)     200,564,770  
PREFERRED STOCKS†† - 5.9%
Financial - 5.6%
Bank of America Corp.
4.38% 275,000   5,362,500  
4.38% due 12/31/70 2,650,000   2,271,235  
6.50% due 12/31/702 2,000,000   2,012,500  
6.30% due 12/31/70 1,000,000   1,018,750  
4.13% 26,000   476,580  
Wells Fargo & Co.
4.75% 183,750   3,629,063  
3.90% due 12/31/70 3,300,000   2,908,125  
4.70% 148,000   2,893,400  
4.38% 50,000   919,000  
First Republic Bank
4.50% 200,000   3,804,000  
4.25% 158,000   2,870,860  
4.13% 84,800   1,500,112  
Citigroup, Inc.
3.88% due 12/31/702 4,000,000   3,460,000  
4.15% due 12/31/70 2,000,000   1,694,600  
4.00% due 12/31/702 1,750,000   1,535,625  
Kuvare US Holdings, Inc.
7.00% due 02/17/515 6,400,000   6,448,000  
Charles Schwab Corp.
5.38% due 12/31/702 3,000,000   2,981,250  
4.00% due 12/31/70 3,150,000   2,563,312  
Equitable Holdings, Inc.
4.95% due 12/31/702 3,650,000   3,550,732  
4.30% 82,000   1,525,200  
Markel Corp.
6.00% due 12/31/70 4,770,000   4,747,470  
Public Storage
4.63% 144,400     3,188,352  
4.13% 16,400   320,948  
W R Berkley Corp.
4.13% due 03/30/61 126,000   2,307,060  
4.25% due 09/30/60 36,800   685,952  
Prudential Financial, Inc.
4.13% due 09/01/60 132,350   2,717,145  
PartnerRe Ltd.
4.88% 128,000   2,598,400  
JPMorgan Chase & Co.
4.55% 49,000   973,140  
4.20% 40,000   737,600  
4.63% 24,000   479,040  
American Financial Group, Inc.
4.50% due 09/15/60 100,000   2,015,000  
MetLife, Inc.
3.85% due 12/31/702 1,820,000   1,690,602  
CNO Financial Group, Inc.
5.13% due 11/25/60 80,000   1,516,000  
Assurant, Inc.
5.25% due 01/15/61 58,000   1,239,460  
American Equity Investment Life Holding Co.
5.95% 46,000   1,072,720  
Arch Capital Group Ltd.
4.55% 38,000   712,880  
Selective Insurance Group, Inc.
4.60% 36,000   673,200  
RenaissanceRe Holdings Ltd.
4.20% 13,000   226,850  
Globe Life, Inc.
4.25% due 06/15/61 11,000   211,420  
Total Financial     81,538,083  
Government - 0.2%
Farmer Mac
5.75% 112,000   2,731,680  
AgriBank FCB
6.88%4 4,000   406,000  
Total Government     3,137,680  
Consumer, Cyclical - 0.1%
Exide Technologies *,††† 761   871,771  
          –  
Total Preferred Stocks    
(Cost $100,264,817)     85,547,534  
WARRANTS† - 0.0%
KKR Acquisition Holdings I Corp. — Class A      
Expiring 12/31/27*,1 195,882   39,176  
Ginkgo Bioworks Holdings, Inc.      
Expiring 08/01/26* 26,852   17,454  
Aequi Acquisition Corp.      
Expiring 11/30/27*,1 246,299   16,724  
Conyers Park III Acquisition Corp. — Class A      
Expiring 08/12/28* 33,200   7,636  
Waverley Capital Acquisition Corp. 1 — Class A      
Expiring 04/30/27*,1 31,300   7,512  

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Shares   Value
WARRANTS† - 0.0% (continued)
AfterNext HealthTech Acquisition Corp. — Class A      
Expiring 07/09/23*,1 35,766   $   7,157  
MSD Acquisition Corp. — Class A      
Expiring 05/13/23*,1 23,373   5,144  
Acropolis Infrastructure Acquisition Corp. — Class A      
Expiring 03/31/26*,1 32,766   4,948  
Colicity, Inc. — Class A      
Expiring 12/31/27*,1 24,102   4,700  
RXR Acquisition Corp. — Class A      
Expiring 03/08/26*,1 32,105   3,531  
Blue Whale Acquisition Corp. I — Class A      
Expiring 07/09/23*,1 14,324   3,437  
Pershing Square Tontine Holdings, Ltd. — Class A      
Expiring 07/24/25*,†††,1 115,860   12  
Total Warrants    
(Cost $1,643,400)     117,431  
EXCHANGE-TRADED FUNDS† - 5.7%
SPDR S&P 500 ETF Trust2 70,987   28,052,643  
iShares Russell 2000 Index ETF2 148,289   27,211,031  
Invesco QQQ Trust Series2 90,711   27,147,081  
Total Exchange-Traded Funds    
(Cost $60,206,971)     82,410,755  
CLOSED-END FUNDS† - 2.4%
BlackRock Taxable Municipal Bond Trust2 292,122   5,594,137  
Nuveen Taxable Municipal Income Fund 289,790   5,288,667  
Nuveen AMT-Free Municipal Credit Income Fund 291,710   4,037,266  
BlackRock Corporate High Yield Fund, Inc.2 247,428   2,370,360  
Invesco Municipal Opportunity Trust 229,099   2,350,556  
Blackstone Strategic Credit Fund2 186,741   2,216,616  
Invesco Trust for Investment Grade Municipals 212,335   2,201,914  
BlackRock Credit Allocation Income Trust2 184,289   2,017,965  
Invesco Municipal Trust 188,704   1,904,023  
Eaton Vance Limited Duration Income Fund 141,764   1,502,698  
Invesco Advantage Municipal Income Trust II 163,240   1,496,911  
BlackRock Municipal Income Trust 108,502   1,162,057  
Ares Dynamic Credit Allocation Fund, Inc. 68,740   897,745  
BlackRock Debt Strategies Fund, Inc.2 83,425   804,217  
Western Asset High Income Opportunity Fund, Inc.2 160,170   639,078  
Nuveen AMT-Free Quality Municipal Income Fund 31,856   381,635  
Nuveen Quality Municipal Income Fund 26,331   323,871  
BlackRock MuniVest Fund, Inc. 24,898     182,253  
Total Closed-End Funds    
(Cost $40,969,664)     35,371,969  
MONEY MARKET FUNDS† - 1.2%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.00%6 13,185,532     13,185,532  
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 2.18%6 4,457,653     4,457,653  
Total Money Market Funds    
(Cost $17,643,185)     17,643,185  
  Face
Amount~		    
CORPORATE BONDS†† - 47.3%
Financial -  12.0%      
Morgan Stanley Finance LLC      
1.50% due 10/23/297   13,500,000    10,960,650
NFP Corp.      
6.88% due 08/15/285   6,925,000    5,690,411
7.50% due 10/01/305   3,700,000    3,644,685
Dyal Capital Partners III      
4.40% due 06/15/40†††   10,000,000    8,343,819
Wilton RE Ltd.      
6.00%4,5,8   7,800,000    6,831,552
Jefferies Finance LLC / JFIN Company-Issuer Corp.      
5.00% due 08/15/282,5   7,500,000    6,409,425
Hunt Companies, Inc.      
5.25% due 04/15/292,5   7,325,000    6,189,625
United Wholesale Mortgage LLC      
5.50% due 11/15/252,5   4,060,000    3,582,950
5.50% due 04/15/292,5   1,925,000    1,497,496
5.75% due 06/15/272,5   1,250,000    1,029,556
Maple Grove Funding Trust I      
4.16% due 08/15/512,5   8,000,000    6,084,405
Iron Mountain, Inc.      
5.63% due 07/15/322,5   6,500,000    5,713,337
OneMain Finance Corp.      
4.00% due 09/15/302   2,200,000    1,639,215
6.13% due 03/15/242   1,500,000    1,464,593
7.13% due 03/15/26   1,100,000    1,024,639
3.88% due 09/15/282   800,000    624,000
6.63% due 01/15/28   450,000    411,419
Liberty Mutual Group, Inc.      
4.30% due 02/01/615   7,300,000    5,037,000
Cushman & Wakefield US Borrower LLC      
6.75% due 05/15/282,5   4,800,000    4,758,000
Home Point Capital, Inc.      
5.00% due 02/01/262,5   6,650,000    4,721,500
National Life Insurance Co.      
10.50% due 09/15/395   3,400,000    4,684,868
Kennedy-Wilson, Inc.      
5.00% due 03/01/312   3,750,000    3,083,813
4.75% due 02/01/302   1,450,000    1,169,142
4.75% due 03/01/292   425,000    354,612

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Face
Amount~		   Value
CORPORATE BONDS†† - 47.3% (continued)
Financial -  12.0% (continued)      
LPL Holdings, Inc.      
4.00% due 03/15/292,5  4,172,000   $3,693,972
4.38% due 05/15/315   550,000    484,028
Hampton Roads PPV LLC      
6.62% due 06/15/535   4,680,000    4,140,023
RXR Realty LLC      
5.25% due 07/17/25†††   4,200,000    4,106,603
Ceamer Finance LLC      
6.92% due 05/15/38   4,000,000    3,990,207
QBE Insurance Group Ltd.      
7.50% due 11/24/434,5   3,000,000    3,056,250
5.88%4,5,8   950,000    922,598
GLP Capital Limited Partnership / GLP Financing II, Inc.      
3.25% due 01/15/32   3,250,000    2,631,087
5.30% due 01/15/29   1,050,000    1,013,682
Global Atlantic Finance Co.      
4.70% due 10/15/514,5   2,700,000    2,228,392
3.13% due 06/15/315   1,750,000    1,368,164
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.      
4.00% due 10/15/335   4,031,000    3,003,528
3.88% due 03/01/315   700,000    546,170
Jane Street Group / JSG Finance, Inc.      
4.50% due 11/15/292,5   3,500,000    3,171,315
Host Hotels & Resorts, LP      
3.50% due 09/15/302   3,610,000    3,059,204
Barclays plc      
7.75%2,4,8   3,000,000    2,932,020
Ares Finance Company IV LLC      
3.65% due 02/01/522,5   4,100,000    2,845,585
Americo Life, Inc.      
3.45% due 04/15/312,5   3,511,000    2,834,193
HUB International Ltd.      
5.63% due 12/01/295   2,500,000    2,186,629
7.00% due 05/01/265   550,000    538,865
Sherwood Financing plc      
6.00% due 11/15/265 GBP  2,000,000    1,870,005
4.50% due 11/15/265 EUR  1,000,000    842,124
BBC Military Housing-Navy Northeast LLC      
6.30% due 10/15/49†††   2,800,000    2,501,782
Corebridge Financial, Inc.      
6.88% due 12/15/524,5   2,400,000    2,317,853
Lincoln National Corp.      
4.38% due 06/15/502   2,560,000    2,167,591
Kane Bidco Ltd.      
5.00% due 02/15/27 EUR  2,050,000    1,852,328
Fort Knox Military Housing Privatization Project      
5.82% due 02/15/525   1,859,491    1,827,757
First American Financial Corp.      
4.00% due 05/15/302   1,740,000    1,557,851
AmWINS Group, Inc.      
4.88% due 06/30/295  1,725,000   1,500,796
Newmark Group, Inc.      
6.13% due 11/15/232   1,450,000    1,450,058
OneAmerica Financial Partners, Inc.      
4.25% due 10/15/505   1,730,000    1,381,557
PHM Group Holding Oy      
4.75% due 06/18/265 EUR  1,400,000    1,252,264
Weyerhaeuser Co.      
6.88% due 12/15/332   1,100,000    1,236,247
Allianz SE      
3.50%2,4,5,8   1,400,000    1,214,804
Ryan Specialty Group LLC      
4.38% due 02/01/305   1,100,000    991,375
Reinsurance Group of America, Inc.      
3.15% due 06/15/30   1,000,000    877,251
Pershing Square Holdings Ltd.      
3.25% due 10/01/31   1,100,000    868,681
PartnerRe Finance B LLC      
4.50% due 10/01/504   950,000    854,167
Fort Benning Family Communities LLC      
6.09% due 01/15/515   700,068    680,443
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer      
4.25% due 10/15/272,5   725,000    653,058
Pacific Beacon LLC      
5.63% due 07/15/515   673,346    650,544
Prudential Financial, Inc.      
5.13% due 03/01/524   700,000    650,174
Greystar Real Estate Partners LLC      
5.75% due 12/01/252,5   600,000    591,498
Macquarie Bank Ltd.      
3.62% due 06/03/305   640,000    552,068
Assurant, Inc.      
7.00% due 03/27/484   400,000    402,297
Atlas Mara Ltd.      
 due 12/31/21†††,9,10   709,271    248,245
Fort Gordon Housing LLC      
6.32% due 05/15/515   200,000    209,380
USI, Inc.      
6.88% due 05/01/255   150,000    146,907
Total Financial      175,052,332
Consumer, Non-cyclical -  8.6%      
US Foods, Inc.      
6.25% due 04/15/255   3,000,000    3,014,610
4.63% due 06/01/302,5   2,500,000    2,156,250
4.75% due 02/15/292,5   2,250,000    2,005,234
CPI CG, Inc.      
8.63% due 03/15/262,5   6,348,000    6,100,221
Medline Borrower, LP      
5.25% due 10/01/292,5   5,200,000    4,370,184
3.88% due 04/01/295   2,000,000    1,695,000

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Face
Amount~		   Value
CORPORATE BONDS†† - 47.3% (continued)
Consumer, Non-cyclical -  8.6% (continued)      
Cheplapharm Arzneimittel GmbH      
5.50% due 01/15/282,5  6,945,000   $5,952,617
Sabre GLBL, Inc.      
7.38% due 09/01/252,5   3,725,000    3,529,065
9.25% due 04/15/252,5   2,050,000    2,019,845
Bausch Health Companies, Inc.      
4.88% due 06/01/282,5   8,025,000    5,547,362
BCP V Modular Services Finance II plc      
6.13% due 10/30/285 GBP  4,250,000    3,985,313
4.75% due 10/30/285 EUR  1,550,000    1,296,170
Sotheby's      
7.38% due 10/15/272,5   4,899,000    4,618,385
Nielsen Finance LLC / Nielsen Finance Co.      
5.63% due 10/01/282,5   1,900,000    1,904,332
4.75% due 07/15/312,5   1,300,000    1,291,810
5.88% due 10/01/305   975,000    975,738
Kraft Heinz Foods Co.      
5.20% due 07/15/452   1,400,000    1,314,864
5.00% due 06/04/42   1,225,000    1,141,476
4.38% due 06/01/462   1,300,000    1,104,323
4.88% due 10/01/49   600,000    544,339
Altria Group, Inc.      
3.70% due 02/04/512   6,000,000    3,907,894
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.      
4.38% due 02/02/525   4,800,000    3,793,338
KeHE Distributors LLC / KeHE Finance Corp.      
8.63% due 10/15/265   3,632,000    3,677,400
Post Holdings, Inc.      
4.50% due 09/15/312,5   3,925,000    3,337,310
Williams Scotsman International, Inc.      
4.63% due 08/15/282,5   3,675,000    3,303,090
HCA, Inc.      
3.50% due 07/15/512   4,800,000    3,294,912
Rent-A-Center, Inc.      
6.38% due 02/15/292,5   3,625,000    3,061,965
FAGE International S.A. / FAGE USA Dairy Industry, Inc.      
5.63% due 08/15/265   3,301,000    3,012,199
Par Pharmaceutical, Inc.      
 due 04/01/275,9   3,345,000    2,843,116
Acadia Healthcare Company, Inc.      
5.00% due 04/15/292,5   2,400,000    2,222,060
5.50% due 07/01/285   550,000    521,031
Nathan's Famous, Inc.      
6.63% due 11/01/255   2,676,000    2,574,463
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.      
5.00% due 02/01/262,5   2,775,000    2,532,187
Garden Spinco Corp.      
8.63% due 07/20/305   2,300,000    2,449,500
DaVita, Inc.      
4.63% due 06/01/302,5  1,900,000   1,529,576
3.75% due 02/15/315   1,200,000    882,930
Sotheby's/Bidfair Holdings, Inc.      
5.88% due 06/01/295   2,700,000    2,374,217
Avantor Funding, Inc.      
4.63% due 07/15/282,5   1,700,000    1,546,796
3.88% due 11/01/295   925,000    800,292
Castor S.p.A.      
5.25% (3 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 02/15/29◊,5 EUR  2,300,000    2,149,024
Option Care Health, Inc.      
4.38% due 10/31/292,5   2,275,000    2,000,794
ADT Security Corp.      
4.13% due 08/01/292,5   1,050,000    901,666
4.88% due 07/15/322,5   1,000,000    836,547
Endo Luxembourg Finance Company I SARL / Endo US, Inc.      
 due 04/01/295,9   1,900,000    1,629,250
Gartner, Inc.      
4.50% due 07/01/285   1,700,000    1,569,015
Spectrum Brands, Inc.      
5.50% due 07/15/302,5   1,700,000    1,464,490
Royalty Pharma plc      
3.55% due 09/02/502   2,100,000    1,448,366
HealthEquity, Inc.      
4.50% due 10/01/292,5   1,550,000    1,363,287
APi Group DE, Inc.      
4.75% due 10/15/295   1,225,000    1,013,461
4.13% due 07/15/295   400,000    325,000
Grifols Escrow Issuer S.A.      
4.75% due 10/15/282,5   1,350,000    1,125,296
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.      
7.00% due 12/31/275   1,038,000    856,350
5.00% due 12/31/265   250,000    226,462
TreeHouse Foods, Inc.      
4.00% due 09/01/28   1,150,000    964,160
Central Garden & Pet Co.      
4.13% due 10/15/30   625,000    520,253
4.13% due 04/30/315   400,000    327,459
AMN Healthcare, Inc.      
4.63% due 10/01/275   725,000    667,768
WW International, Inc.      
4.50% due 04/15/295   950,000    593,289
Carriage Services, Inc.      
4.25% due 05/15/295   675,000    573,743
Catalent Pharma Solutions, Inc.      
3.50% due 04/01/305   625,000    514,753
Performance Food Group, Inc.      
6.88% due 05/01/255   450,000    449,438
Charles River Laboratories International, Inc.      
4.00% due 03/15/315   300,000    254,630

 

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Face
Amount~		   Value
CORPORATE BONDS†† - 47.3% (continued)
Consumer, Non-cyclical -  8.6% (continued)      
Prestige Brands, Inc.      
3.75% due 04/01/315  300,000   $240,021
Nidda Healthcare Holding GmbH      
3.50% due 09/30/24 EUR  175,000    161,758
Endo Dac / Endo Finance LLC / Endo Finco, Inc.      
 due 07/31/275,9   181,000    47,279
Total Consumer, Non-cyclical      124,454,973
Consumer, Cyclical -  7.0%      
Delta Air Lines, Inc.      
7.00% due 05/01/252,5   10,535,000    10,906,515
JB Poindexter & Company, Inc.      
7.13% due 04/15/262,5   5,275,000    5,110,156
Marriott International, Inc.      
4.63% due 06/15/302   2,320,000    2,215,766
3.50% due 10/15/32   1,400,000    1,197,744
2.85% due 04/15/31   1,280,000    1,065,678
5.75% due 05/01/25   490,000    503,865
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.      
5.88% due 03/01/272   3,210,000    3,121,873
5.00% due 06/01/312,5   1,800,000    1,589,518
Air Canada Class A Pass Through Trust      
5.25% due 04/01/292,5   4,381,804    4,206,535
Delta Air Lines, Inc. / SkyMiles IP Ltd.      
4.75% due 10/20/282,5   3,950,000    3,773,576
Crocs, Inc.      
4.25% due 03/15/295   3,188,000    2,602,695
4.13% due 08/15/315   1,400,000    1,101,875
Penn Entertainment, Inc.      
4.13% due 07/01/295   4,425,000    3,574,250
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.      
4.63% due 01/15/292,5   4,100,000    3,572,863
Station Casinos LLC      
4.63% due 12/01/312,5   4,200,000    3,509,142
Wabash National Corp.      
4.50% due 10/15/282,5   4,100,000    3,483,678
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.      
5.75% due 01/20/262,5   3,725,000    3,400,124
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.      
6.50% due 06/20/272,5   3,350,000    3,358,375
Live Nation Entertainment, Inc.      
6.50% due 05/15/272,5   3,350,000    3,344,556
Walgreens Boots Alliance, Inc.      
4.10% due 04/15/502   3,800,000    3,010,254
Air Canada      
4.63% due 08/15/295 CAD  2,900,000    1,904,945
3.88% due 08/15/262,5   825,000    736,168
PetSmart, Inc. / PetSmart Finance Corp.      
4.75% due 02/15/282,5  2,725,000   2,428,206
Aramark Services, Inc.      
6.38% due 05/01/255   2,300,000    2,279,875
5.00% due 02/01/285   110,000    101,235
United Airlines, Inc.      
4.63% due 04/15/292,5   2,575,000    2,259,562
Scotts Miracle-Gro Co.      
4.00% due 04/01/312   2,150,000    1,614,908
4.38% due 02/01/32   700,000    528,500
HP Communities LLC      
6.82% due 09/15/535   934,783    1,027,241
6.16% due 09/15/535   1,000,000    994,681
Superior Plus Limited Partnership / Superior General Partner, Inc.      
4.50% due 03/15/292,5   2,000,000    1,763,620
Yum! Brands, Inc.      
4.63% due 01/31/322   1,987,000    1,755,455
Hyatt Hotels Corp.      
5.75% due 04/23/302   1,690,000    1,726,179
Michaels Companies, Inc.      
5.25% due 05/01/285   2,200,000    1,686,740
Picasso Finance Sub, Inc.      
6.13% due 06/15/252,5   1,683,000    1,686,391
CD&R Smokey Buyer, Inc.      
6.75% due 07/15/252,5   1,650,000    1,534,500
Wyndham Hotels & Resorts, Inc.      
4.38% due 08/15/282,5   1,625,000    1,453,341
1011778 BC ULC / New Red Finance, Inc.      
3.88% due 01/15/285   850,000    755,574
4.00% due 10/15/305   725,000    588,385
Boyne USA, Inc.      
4.75% due 05/15/295   1,250,000    1,111,772
Hilton Domestic Operating Company, Inc.      
3.63% due 02/15/325   1,350,000    1,089,875
Clarios Global, LP / Clarios US Finance Co.      
8.50% due 05/15/275   1,050,000    1,031,730
Vail Resorts, Inc.      
6.25% due 05/15/255   1,000,000    1,000,950
Clarios Global, LP      
6.75% due 05/15/255   990,000    984,887
Six Flags Theme Parks, Inc.      
7.00% due 07/01/255   969,000    979,334
Tempur Sealy International, Inc.      
3.88% due 10/15/315   700,000    538,634
4.00% due 04/15/295   500,000    410,806
Wolverine World Wide, Inc.      
4.00% due 08/15/295   1,150,000    936,099
Allison Transmission, Inc.      
3.75% due 01/30/312,5   1,100,000    891,363

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

 

  Face
Amount~		   Value
CORPORATE BONDS†† - 47.3% (continued)
Consumer, Cyclical -  7.0% (continued)      
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc.      
6.63% due 03/01/305  850,000   $755,910
United Airlines Class AA Pass Through Trust      
3.45% due 12/01/27   452,195    409,877
Rite Aid Corp.      
7.50% due 07/01/255   469,000    399,278
Superior Plus, LP      
4.25% due 05/18/285 CAD  350,000    235,238
Exide Technologies      
 due 10/31/24†††,9   2,353,687    2
Total Consumer, Cyclical      102,250,299
Communications -  5.7%      
Altice France S.A.      
5.50% due 10/15/292,5   8,175,000    6,455,797
5.13% due 07/15/292,5   3,025,000    2,297,971
8.13% due 02/01/275   1,300,000    1,237,171
McGraw-Hill Education, Inc.      
8.00% due 08/01/292,5   6,300,000    5,465,565
5.75% due 08/01/285   3,525,000    3,095,195
Cogent Communications Group, Inc.      
7.00% due 06/15/272,5   7,500,000    7,167,682
VZ Secured Financing BV      
5.00% due 01/15/322,5   6,850,000    5,634,331
British Telecommunications plc      
4.88% due 11/23/812,4,5   5,550,000    4,713,028
4.25% due 11/23/814,5   950,000    829,016
Paramount Global      
4.95% due 05/19/502   6,390,000    5,216,676
Cengage Learning, Inc.      
9.50% due 06/15/242,5   4,976,000    4,744,068
UPC Broadband Finco BV      
4.88% due 07/15/312,5   4,550,000    3,935,613
LCPR Senior Secured Financing DAC      
6.75% due 10/15/275   2,114,000    1,995,278
5.13% due 07/15/292,5   1,900,000    1,634,000
Corning, Inc.      
4.38% due 11/15/572   4,100,000    3,420,312
Vodafone Group plc      
5.13% due 06/04/812,4   4,100,000    2,985,707
AMC Networks, Inc.      
4.25% due 02/15/29   3,450,000    2,814,441
Rogers Communications, Inc.      
4.55% due 03/15/525   2,200,000    1,931,115
Ciena Corp.      
4.00% due 01/31/305   2,150,000    1,857,063
CCO Holdings LLC / CCO Holdings Capital Corp.      
4.50% due 06/01/332,5   1,225,000    961,625
4.25% due 01/15/345   750,000    571,020
4.50% due 05/01/32   325,000    263,731
Level 3 Financing, Inc.      
3.63% due 01/15/292,5   1,500,000    1,203,915
3.75% due 07/15/295   600,000    481,728
Radiate Holdco LLC / Radiate Finance, Inc.      
4.50% due 09/15/262,5  1,800,000   1,551,600
TripAdvisor, Inc.      
7.00% due 07/15/255   1,575,000    1,546,792
Vmed O2 UK Financing I plc      
4.25% due 01/31/315   1,225,000    990,070
4.75% due 07/15/315   650,000    535,031
CSC Holdings LLC      
4.63% due 12/01/302,5   1,913,000    1,367,795
Charter Communications Operating LLC / Charter Communications Operating Capital      
3.90% due 06/01/52   2,000,000    1,355,104
Virgin Media Secured Finance plc      
4.50% due 08/15/305   1,200,000    999,240
Zayo Group Holdings, Inc.      
4.00% due 03/01/275   1,050,000    895,125
Sirius XM Radio, Inc.      
3.88% due 09/01/312,5   900,000    726,750
Match Group Holdings II LLC      
3.63% due 10/01/315   875,000    684,458
Ziggo BV      
4.88% due 01/15/305   725,000    612,044
Outfront Media Capital LLC / Outfront Media Capital Corp.      
4.25% due 01/15/295   650,000    542,613
Ziggo Bond Company BV      
5.13% due 02/28/305   500,000    400,250
Total Communications      83,118,920
Industrial -  4.2%      
Boeing Co.      
5.81% due 05/01/502   9,400,000    9,015,808
New Enterprise Stone & Lime Company, Inc.      
9.75% due 07/15/282,5   7,717,000    6,673,390
5.25% due 07/15/282,5   2,025,000    1,799,585
Standard Industries, Inc.      
4.38% due 07/15/302,5   7,050,000    5,597,876
3.38% due 01/15/315   1,100,000    806,553
Artera Services LLC      
9.03% due 12/04/255   6,290,000    5,168,619
Builders FirstSource, Inc.      
6.38% due 06/15/325   2,500,000    2,318,750
4.25% due 02/01/325   1,675,000    1,337,044
Great Lakes Dredge & Dock Corp.      
5.25% due 06/01/292,5   3,450,000    2,942,609
Howmet Aerospace, Inc.      
3.00% due 01/15/29   1,175,000    991,706
5.95% due 02/01/37   875,000    848,487
6.88% due 05/01/25   800,000    821,536
Harsco Corp.      
5.75% due 07/31/272,5   3,624,000    2,570,032

  

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Face
Amount~		   Value
CORPORATE BONDS†† - 47.3% (continued)
Industrial -  4.2% (continued)      
Mauser Packaging Solutions Holding Co.      
8.50% due 04/15/245  1,700,000   $1,658,105
5.50% due 04/15/245   925,000    895,472
GrafTech Finance, Inc.      
4.63% due 12/15/285   2,785,000    2,376,228
TransDigm, Inc.      
8.00% due 12/15/252,5   2,050,000    2,099,610
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc      
4.00% due 09/01/292,5   2,300,000    1,863,000
Summit Materials LLC / Summit Materials Finance Corp.      
5.25% due 01/15/295   1,775,000    1,596,585
TK Elevator US Newco, Inc.      
5.25% due 07/15/275   1,550,000    1,410,500
Brundage-Bone Concrete Pumping Holdings, Inc.      
6.00% due 02/01/265   1,525,000    1,381,025
JELD-WEN, Inc.      
6.25% due 05/15/252,5   1,350,000    1,316,250
Deuce FinCo plc      
5.50% due 06/15/275 GBP  1,200,000    1,145,929
4.75% (3 Month EURIBOR + 4.75%, Rate Floor: 4.75%) due 06/15/27◊ EUR  100,000    89,447
Cellnex Finance Company S.A.      
3.88% due 07/07/415   1,750,000    1,213,730
Amsted Industries, Inc.      
4.63% due 05/15/305   950,000    843,125
Ball Corp.      
3.13% due 09/15/31   875,000    708,686
GATX Corp.      
4.00% due 06/30/302   560,000    511,952
PGT Innovations, Inc.      
4.38% due 10/01/295   400,000    338,334
TopBuild Corp.      
4.13% due 02/15/325   400,000    329,439
Arcosa, Inc.      
4.38% due 04/15/295   350,000    317,047
EnerSys      
4.38% due 12/15/272,5   325,000    295,750
Hillenbrand, Inc.      
3.75% due 03/01/31   250,000    211,258
EnPro Industries, Inc.      
5.75% due 10/15/26   115,000    112,700
MIWD Holdco II LLC / MIWD Finance Corp.      
5.50% due 02/01/305   125,000    102,660
Vertical Midco GmbH      
4.38% due 07/15/27 EUR 100,000   88,212
Total Industrial      61,797,039
Energy -  3.8%      
Global Partners Limited Partnership / GLP Finance Corp.      
7.00% due 08/01/272   4,800,000    4,535,052
6.88% due 01/15/292   2,980,000    2,727,356
ITT Holdings LLC      
6.50% due 08/01/292,5   8,050,000    6,798,950
Occidental Petroleum Corp.      
6.20% due 03/15/402   2,100,000    2,131,500
7.00% due 11/15/27   2,000,000    2,052,046
4.30% due 08/15/392   2,100,000    1,811,861
4.63% due 06/15/45   750,000    663,750
BP Capital Markets plc      
4.88% 2,4,8   6,750,000    6,174,563
NuStar Logistics, LP      
6.38% due 10/01/302   5,625,000    5,118,750
5.63% due 04/28/27   200,000    182,086
6.00% due 06/01/26   125,000    117,992
CVR Energy, Inc.      
5.25% due 02/15/252,5   2,275,000    2,146,147
5.75% due 02/15/285   2,100,000    1,911,000
TransMontaigne Partners Limited Partnership / TLP Finance Corp.      
6.13% due 02/15/26   4,025,000    3,461,500
Parkland Corp.      
4.63% due 05/01/302,5   2,700,000    2,317,660
4.50% due 10/01/295   1,300,000    1,099,969
Hess Corp.      
5.60% due 02/15/412   1,550,000    1,495,437
6.00% due 01/15/402   1,000,000    1,018,270
7.13% due 03/15/33   500,000    554,031
EnLink Midstream LLC      
6.50% due 09/01/305   2,450,000    2,437,750
Southwestern Energy Co.      
5.38% due 02/01/29   1,400,000    1,323,364
Exterran Energy Solutions Limited Partnership / EES Finance Corp.      
8.13% due 05/01/25   1,201,000    1,168,821
Energy Transfer, LP      
4.25% due 04/01/242   1,000,000    997,957
Buckeye Partners, LP      
4.35% due 10/15/24   750,000    720,525
Venture Global Calcasieu Pass LLC      
4.13% due 08/15/315   775,000    672,647
DT Midstream, Inc.      
4.13% due 06/15/292,5   425,000    373,141
FLNG Liquefaction 2 LLC      
4.13% due 03/31/385   248,353    229,353
Viper Energy Partners, LP      
5.38% due 11/01/272,5   200,000    191,500
Basic Energy Services, Inc.      
 due 10/15/23†††,9,10   1,050,000    78,750

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

 

  Face
Amount~		   Value
CORPORATE BONDS†† - 47.3% (continued)
Energy -  3.8% (continued)      
Schahin II Finance Co. SPV Ltd.      
 due 09/25/229,10  1,216,133   $30,403
Total Energy      54,542,131
Basic Materials -  2.5%      
Carpenter Technology Corp.      
6.38% due 07/15/282   5,225,000    4,995,779
7.63% due 03/15/30   2,500,000    2,463,783
SCIL IV LLC / SCIL USA Holdings LLC      
5.38% due 11/01/262,5   6,075,000    5,042,250
Alcoa Nederland Holding BV      
5.50% due 12/15/272,5   3,625,000    3,474,635
6.13% due 05/15/282,5   1,475,000    1,433,523
EverArc Escrow SARL      
5.00% due 10/30/292,5   5,250,000    4,497,307
Clearwater Paper Corp.      
4.75% due 08/15/282,5   2,547,000    2,277,222
Compass Minerals International, Inc.      
6.75% due 12/01/272,5   2,350,000    2,237,741
WR Grace Holdings LLC      
4.88% due 06/15/272,5   2,050,000    1,896,004
Illuminate Buyer LLC / Illuminate Holdings IV, Inc.      
9.00% due 07/01/285   1,625,000    1,397,500
Kaiser Aluminum Corp.      
4.63% due 03/01/285   1,000,000    861,335
4.50% due 06/01/315   500,000    393,665
Minerals Technologies, Inc.      
5.00% due 07/01/282,5   1,350,000    1,217,430
Arconic Corp.      
6.00% due 05/15/255   1,200,000    1,177,500
HB Fuller Co.      
4.25% due 10/15/28   1,150,000    1,016,071
Diamond BC BV      
4.63% due 10/01/295   825,000    703,362
Valvoline, Inc.      
3.63% due 06/15/312,5   760,000    612,195
Mirabela Nickel Ltd.      
 due 06/24/199,10   2,667,995    133,400
Total Basic Materials      35,830,702
Technology -  2.0%      
Minerva Merger Sub, Inc.      
6.50% due 02/15/305   7,900,000    6,707,376
NCR Corp.      
5.25% due 10/01/302,5   3,150,000    2,908,936
6.13% due 09/01/295   1,550,000    1,477,984
5.13% due 04/15/295   900,000    840,393
Broadcom, Inc.      
3.19% due 11/15/362,5   4,400,000    3,270,019
Central Parent Incorporated / CDK Global Inc      
7.25% due 06/15/295   3,400,000    3,255,874
Boxer Parent Company, Inc.      
7.13% due 10/02/252,5   2,550,000    2,519,084
Playtika Holding Corp.      
4.25% due 03/15/292,5   2,025,000    1,727,123
Twilio, Inc.      
3.88% due 03/15/312   2,000,000    1,613,860
Dun & Bradstreet Corp.      
5.00% due 12/15/295  1,800,000   1,597,500
Oracle Corp.      
3.95% due 03/25/512   2,100,000    1,508,337
TeamSystem S.p.A.      
3.50% due 02/15/28 EUR  1,700,000    1,482,153
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc.      
5.75% due 03/01/255   354,000    349,798
Booz Allen Hamilton, Inc.      
4.00% due 07/01/295   325,000    286,544
Total Technology      29,544,981
Utilities -  1.5%      
Midcap Funding XLVI Trust      
5.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/22/23◊,†††   9,250,000    9,267,864
Cheniere Corpus Christi Holdings LLC      
3.52% due 12/31/39†††   6,200,000    5,096,749
Terraform Global Operating LLC      
6.13% due 03/01/262,5   5,255,000    4,950,210
Clearway Energy Operating LLC      
3.75% due 02/15/312,5   2,100,000    1,753,548
3.75% due 01/15/325   525,000    436,561
Petershill II Senior Secured Notes      
5.00% due 12/02/39†††   839,000    735,708
5.00% due 07/15/39†††   161,000    141,179
Total Utilities      22,381,819
Total Corporate Bonds    
(Cost $789,083,067)   688,973,196
SENIOR FLOATING RATE INTERESTS††,◊ - 33.5%
Consumer, Cyclical -  9.0%      
Pacific Bells LLC      
6.82% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28   8,010,165    7,649,708
FR Refuel LLC      
7.25% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 11/08/28†††   7,964,667    7,606,257
First Brands Group LLC      
7.94% (6 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 03/30/27   6,983,819    6,750,281
CD&R Firefly Bidco Ltd.      
5.55% (1 Month GBP SONIA + 4.25%, Rate Floor: 4.25%) due 06/23/25 GBP  5,340,000    5,742,348
Accuride Corp.      
7.50% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23   6,356,048    5,482,091

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Face
Amount~		   Value
SENIOR FLOATING RATE INTERESTS††,◊ - 33.5% (continued)
Consumer, Cyclical -  9.0% (continued)      
MB2 Dental Solutions LLC      
8.39% (3 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††  4,002,231   $3,922,986
8.45% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 01/29/27†††   1,099,986    1,078,206
Alexander Mann      
7.25% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 06/16/25 2,600,000   2,474,342
4.47% (1 Month GBP SONIA + 3.25%, Rate Floor: 3.25%) due 12/16/24††† GBP 1,151,316   1,277,715
6.31% (1 Month GBP SONIA + 5.00%, Rate Floor: 5.00%) due 06/16/25 GBP 1,150,000   1,202,146
SP PF Buyer LLC      
7.02% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25   5,857,377    4,911,235
NES Global Talent      
8.31% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 05/11/23   5,124,235    4,838,149
Piolin BidCo S.A.U.      
7.73% (6 Month EURIBOR + 7.50%, Rate Floor: 7.50%) due 09/16/26 EUR  4,500,000    4,511,754
Secretariat Advisors LLC      
7.00% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 12/29/28†††   3,781,000    3,610,855
Truck Hero, Inc.      
6.02% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 01/31/28   3,950,000    3,585,968
GVC Holdings plc      
2.25% (6 Month EURIBOR + 2.25%, Rate Floor: 2.25%) due 03/29/24 EUR  3,500,000    3,431,575
Zephyr Bidco Ltd.      
6.47% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 07/23/25 GBP 3,000,000   3,047,668
9.22% (1 Month GBP SONIA + 7.50%, Rate Floor: 7.50%) due 07/23/26††† GBP 360,000   357,508
BRE/Everbright M6 Borrower LLC      
7.44% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 09/09/26   3,473,750    3,386,906
NFM & J LLC      
8.27% (1 Month USD LIBOR + 5.75%, Rate Floor: 6.75%) due 11/30/27†††   3,289,361    3,203,936
WIRB - Copernicus Group, Inc.      
6.35% ((1 Month USD LIBOR + 4.00%) and (3 Month USD LIBOR + 4.00%), Rate Floor: 5.00%) due 01/08/27   3,092,422    3,015,112
PetSmart LLC      
6.27% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28  2,821,500   2,750,962
PAI Holdco, Inc.      
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 10/28/27   2,819,337    2,734,757
Breitling Financing SARL      
4.00% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 10/25/28 EUR  2,800,000    2,710,689
Arcis Golf LLC      
6.77% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 11/24/28†††   2,718,188    2,677,415
BGIS (BIFM CA Buyer, Inc.)      
6.02% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26   2,677,298    2,593,632
Packers Holdings LLC      
5.63% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28   2,742,116    2,593,356
TTF Holdings Intermediate LLC      
6.56% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 03/31/28†††   2,262,299    2,211,397
ScribeAmerica Intermediate Holdco LLC (Healthchannels)      
7.02% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25   2,482,080    2,118,034
The Facilities Group      
8.32% ((1 Month USD LIBOR + 5.75%) and (3 Month USD LIBOR + 5.75%), Rate Floor: 6.75%) due 11/30/27†††   2,127,475    2,072,224
SHO Holding I Corp.      
8.06% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/26/24 1,941,138   1,637,020
7.39% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 04/27/24††† 334,000   293,920
8.04% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24 32,514   27,420
7.91% (3 Month USD LIBOR + 2.23%, Rate Floor: 3.23%) due 04/29/24††† 323   284
OEConnection LLC      
6.47% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 09/25/26   2,013,060    1,923,338
BCP V Modular Services Holdings IV Ltd.      
4.50% (3 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 12/15/28 EUR  2,000,000    1,866,647
Michaels Stores, Inc.      
6.50% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 04/14/28   2,219,647    1,833,296
CNT Holdings I Corp.      
5.81% (1 Month Term SOFR + 3.50%, Rate Floor: 4.25%) due 11/08/27   1,826,875    1,782,829

  

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Face
Amount~		   Value
SENIOR FLOATING RATE INTERESTS††,◊ - 33.5% (continued)
Consumer, Cyclical -  9.0% (continued)      
BCPE Empire Holdings, Inc.      
6.52% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/11/26  1,848,916   $1,778,435
Camin Cargo Control, Inc.      
9.02% (1 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 06/04/26†††   1,625,373    1,591,023
Checkers Drive-In Restaurants, Inc.      
7.32% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 04/25/24   1,743,462    1,475,405
Holding SOCOTEC      
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 06/30/28†††   1,336,500    1,242,945
Congruex Group LLC      
8.48% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 05/03/29   1,200,000    1,143,000
Galls LLC      
9.58% (3 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 01/31/25†††   933,912    901,225
9.56% (3 Month USD LIBOR + 6.75%, Rate Floor: 8.25%) due 01/31/25†††   125,442    121,052
9.30% ((1 Month USD LIBOR + 6.75%) and (3 Month USD LIBOR + 6.75%), Rate Floor: 7.75%) due 01/31/24†††   121,566    117,311
Sweetwater Sound      
6.81% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 08/07/28†††   1,200,000    1,122,000
WESCO      
6.51% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/14/24†††   1,127,688    1,109,380
IBC Capital Ltd.      
5.78% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23   1,192,738    1,080,418
ImageFIRST Holdings LLC      
6.75% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 04/27/28  1,089,611   1,037,855
Fertitta Entertainment LLC      
6.46% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/27/29   1,047,375    1,004,956
Drive Chassis (DCLI)      
9.18% (3 Month USD LIBOR + 6.75%, Rate Floor: 6.75%) due 04/10/26†††   1,000,000    996,250
Cast & Crew Payroll LLC      
6.02% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/26   1,003,195    982,038
PT Intermediate Holdings III LLC      
7.75% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.25%) due 11/01/28†††   994,210    964,383
Alterra Mountain Co.      
6.02% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/17/28   588,698    571,773
Outcomes Group Holdings, Inc.      
10.66% (6 Month Term SOFR + 7.50%, Rate Floor: 7.50%) due 10/26/26†††   450,000    438,750
Mavis Tire Express Services TopCo Corp.      
6.38% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 05/04/28   321,750    313,153
EG Finco Ltd.      
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25   286,556    279,392

 

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Face
Amount~		   Value
SENIOR FLOATING RATE INTERESTS††,◊ - 33.5% (continued)
Consumer, Cyclical -  9.0% (continued)      
Sotheby's      
7.01% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 01/15/27  236,238   $233,876
Total Consumer, Cyclical      131,418,586
Consumer, Non-cyclical -  7.0%      
Quirch Foods Holdings LLC      
7.07% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 10/27/27†††   8,847,384    8,482,430
LaserAway Intermediate Holdings II LLC      
8.23% (3 Month USD LIBOR + 5.75%, Rate Floor: 6.50%) due 10/14/27   7,673,000    7,481,175
HAH Group Holding Co. LLC      
7.21% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27   7,783,700    7,370,808
Southern Veterinary Partners LLC      
6.52% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27   6,662,152    6,412,321
Women's Care Holdings, Inc.      
7.87% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28   6,756,750    6,331,075
Blue Ribbon LLC      
8.37% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28   6,565,719    5,907,111
Florida Food Products LLC      
7.52% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 10/18/28†††   5,586,000    5,222,910
Kronos Acquisition Holdings, Inc.      
6.82% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26   2,833,887    2,726,907
8.48% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 12/22/26   1,791,000    1,725,324
Gibson Brands, Inc.      
7.39% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 08/11/28†††   4,900,375    4,214,323
National Mentor Holdings, Inc.      
6.13% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28   4,345,825    3,672,222
6.01% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28   150,000    126,750
Mission Veterinary Partners      
6.95% ((1 Month USD LIBOR + 4.00%) and (2 Month USD LIBOR + 4.00%), Rate Floor: 4.75%) due 04/27/28  3,970,000   3,741,725
Cambrex Corp.      
6.06% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/04/26   3,253,246    3,154,640
Dhanani Group, Inc.      
8.41% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 04/30/27†††   3,000,000    2,970,000
Chefs' Warehouse, Inc.      
7.16% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 08/23/29   2,750,000    2,695,000
SCP Eye Care Services LLC      
6.00% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28   2,287,855    2,184,901
6.89% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28   191,040    182,443
Sierra Acquisition, Inc.      
6.52% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/11/24   2,381,017    2,205,417
PetIQ LLC      
6.64% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 04/13/28†††   2,277,000    2,049,300
Arctic Glacier Group Holdings, Inc.      
5.75% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/20/24   2,290,740    2,040,202
PlayPower, Inc.      
7.75% (3 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 05/08/26   2,163,163    1,930,623
Confluent Health LLC      
6.52% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/30/28   1,891,757    1,816,086
Packaging Coordinators Midco, Inc.      
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/30/27   1,777,500    1,728,068
EyeCare Partners LLC      
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27   1,713,268    1,590,272
Resonetics LLC      
6.37% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/28/28   1,488,750    1,431,061

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

  Face
Amount~		   Value
SENIOR FLOATING RATE INTERESTS††,◊ - 33.5% (continued)
Consumer, Non-cyclical -  7.0% (continued)      
Fender Musical Instruments Corp.      
6.39% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/01/28  1,390,156   $1,322,386
Hearthside Group Holdings LLC      
6.52% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25   1,399,250    1,303,639
Moran Foods LLC      
9.25% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 04/01/24   735,527    625,198
13.00% (3 Month USD LIBOR + 10.75%, Rate Floor: 11.75%) due 10/01/24   956,785    586,825
due 04/01/24   95,752    81,389
Weber-Stephen Products LLC      
5.77% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 10/29/27   1,450,000    1,227,846
Endo Luxembourg Finance Company I SARL      
11.50% (Commercial Prime Lending Rate + 6.00%, Rate Floor: 6.75%) due 03/27/28   1,283,750    1,118,467
Stars UK Bidco Ltd.      
5.75% (3 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 08/09/29 EUR  1,000,000    970,926
IVC Acquisition Ltd.      
4.39% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/13/26 EUR  1,000,000    965,401
Tecbid US, Inc.      
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 07/25/24   988,890    919,668
Zep, Inc.      
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/12/24   923,618    803,548
Pearl Intermediate Parent LLC      
6.02% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25   787,848    761,589
Balrog Acquisition, Inc.      
7.07% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 09/05/28   621,875    591,559
Snacking Investments US LLC (Arnott's)      
6.46% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 12/18/26  465,960   447,322
Recess Holdings, Inc.      
6.55% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24   290,840    283,083
Care BidCo      
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 05/04/28††† EUR  205,696    189,972
TGP Holdings LLC      
5.77% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/29/28   177,490    141,206
Total Consumer, Non-cyclical      101,733,118
Industrial -  6.1%      
Arcline FM Holdings LLC      
7.00% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28†††   7,245,250    6,955,440
CapStone Acquisition Holdings, Inc.      
7.27% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27†††   4,867,303    4,721,285
DXP Enterprises, Inc.      
7.27% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27   4,480,018    4,287,378
NA Rail Hold Co. LLC      
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.25%) due 10/19/26   4,294,356    4,229,941
Integrated Power Services Holdings, Inc.      
7.02% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 11/22/28†††   3,983,427    3,903,758
Merlin Buyer, Inc.      
6.46% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/14/28   3,990,000    3,843,687
Mileage Plus Holdings LLC      
7.31% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27   3,750,000    3,803,325
PECF USS Intermediate Holding III Corp.      
6.77% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28   3,980,000    3,698,415
Charter Next Generation, Inc.      
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27   3,743,000    3,629,363

 

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

  Face
Amount~		   Value
SENIOR FLOATING RATE INTERESTS††,◊ - 33.5% (continued)
Industrial -  6.1% (continued)      
American Bath Group LLC      
6.27% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27  3,703,861   $3,422,590
US Farathane LLC      
6.50% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/23/24†††   3,616,118    3,127,942
LTI Holdings, Inc.      
7.02% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 07/24/26   2,992,500    2,839,134
StandardAero      
6.02% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 04/06/26   2,918,722    2,808,540
YAK MAT (YAK ACCESS LLC)      
12.18% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26   5,605,000    2,421,808
ASP Dream Acquisiton Co. LLC      
6.81% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/15/28   2,493,750    2,369,062
Aegion Corp.      
7.13% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 05/17/28†††   2,530,874    2,353,713
STS Operating, Inc. (SunSource)      
6.77% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24   2,393,933    2,303,155
ILPEA Parent, Inc.      
7.03% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 06/22/28†††   2,291,635    2,211,428
Waterlogic USA Holdings, Inc.      
7.27% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 08/17/28   2,227,500    2,194,087
Atlantic Aviation      
6.38% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 09/22/28   2,200,000    2,164,250
Minerva Bidco Ltd.      
5.69% (3 Month GBP SONIA + 4.50%, Rate Floor: 4.50%) due 07/30/25 GBP  2,000,000    2,108,112
WP CPP Holdings LLC      
6.56% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.75%) due 04/30/25   2,293,607    2,016,471
Dispatch Terra Acquisition LLC      
6.50% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28   2,079,000    1,912,680
Armor Holdco, Inc.      
6.75% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 12/11/28  1,890,500   1,852,690
Pelican Products, Inc.      
6.50% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/29/28   1,940,250    1,739,764
Service Logic Acquisition, Inc.      
6.81% ((2 Month USD LIBOR + 4.00%) and (3 Month USD LIBOR + 4.00%), Rate Floor: 4.75%) due 10/29/27   1,787,268    1,724,713
Anchor Packaging LLC      
6.52% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/18/26   1,606,861    1,568,698
Transcendia Holdings, Inc.      
6.02% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/30/24   1,721,606    1,476,277
API Holdings III Corp.      
6.77% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 05/09/26†††   1,552,000    1,358,000
Protective Industrial Products, Inc.      
6.52% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/29/27   1,357,811    1,278,039
TransDigm, Inc.      
4.77% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25   1,075,188    1,048,416
TK Elevator Midco GmbH      
6.87% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27 635,473   616,015
3.00% (1 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 01/29/27††† EUR 395,884   367,782
BWAY Holding Co.      
5.62% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24   854,704    835,320
MI Windows And Doors LLC      
6.06% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/18/27   614,910    603,227
Duran, Inc.      
6.18% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/29/24†††   475,023    458,397
CPM Holdings, Inc.      
5.87% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/17/25   411,638    404,048

 

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Face
Amount~		   Value
SENIOR FLOATING RATE INTERESTS††,◊ - 33.5% (continued)
Industrial -  6.1% (continued)      
Titan Acquisition Ltd. (Husky)      
5.88% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25  290,396   $275,553
Air Canada      
6.42% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28   158,257    152,746
Park River Holdings, Inc.      
5.53% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27   138,877    125,858
Sundyne (Star US Bidco)      
6.77% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/17/27   122,146    116,344
Total Industrial      89,327,451
Technology -  4.5%      
Project Ruby Ultimate Parent Corp.      
8.05% (1 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 03/10/28   5,000,000    4,850,000
5.77% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28   2,271,250    2,199,910
Avalara, Inc.      
due 08/12/28   7,000,000    6,912,500
Datix Bidco Ltd.      
8.44% (6 Month GBP SONIA + 7.75%, Rate Floor: 7.75%) due 04/27/26††† GBP  1,775,000    2,019,388
6.01% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/28/25†††   2,001,644    1,968,416
7.01% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/27/25†††   652,084    641,260
9.26% (6 Month Term SOFR + 7.75%, Rate Floor: 7.75%) due 04/27/26†††   300,111    293,959
Peraton Corp.      
6.27% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28   4,804,596    4,660,458
Polaris Newco LLC      
5.86% ((1 Month USD LIBOR + 3.50%) and (3 Month USD LIBOR + 3.50%), Rate Floor: 3.50%) due 06/04/26†††   4,480,000    4,058,927
6.52% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28 340,929   326,740
24-7 Intouch, Inc.      
7.27% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 08/25/25   4,150,329    4,025,819
Planview Parent, Inc.      
6.52% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27   3,299,750    3,197,326
CDK Global, Inc.      
6.61% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 07/06/29  2,500,000   2,433,675
Apttus Corp.      
7.12% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28   2,450,250    2,395,119
Sitecore Holding III A/S      
7.00% (3 Month EURIBOR + 7.00%, Rate Floor: 7.00%) due 03/12/26††† EUR  1,310,376    1,302,522
8.74% (3 Month USD LIBOR + 7.00%, Rate Floor: 7.50%) due 03/12/26†††   1,061,941    1,050,721
Atlas CC Acquisition Corp.      
7.32% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28   2,327,500    2,194,646
Concorde Lux      
4.00% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/01/28 EUR  2,100,000    2,000,696
Misys Ltd.      
6.87% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24   2,136,009    1,994,242
Aston FinCo SARL      
6.77% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/09/26 1,657,500   1,559,608
6.46% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 10/09/26††† GBP 395,015   432,426
Upland Software, Inc.      
6.27% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26   1,945,000    1,870,040
Brave Parent Holdings, Inc.      
6.52% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25   1,757,987    1,721,368
Wrench Group LLC      
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/30/26   1,772,793    1,713,706
Team.Blue Finco SARL      
3.75% (3 Month EURIBOR + 3.70%, Rate Floor: 3.70%) due 03/30/28 EUR  1,750,000    1,669,444
Sportradar Capital SARL      
3.53% (1 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 11/22/27 EUR  1,623,810    1,541,591
Navicure, Inc.      
6.52% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/22/26   1,506,979    1,472,440
Precise Midco BV      
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 05/13/26 EUR  1,400,000    1,366,287

  

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

 

  Face
Amount~		   Value
SENIOR FLOATING RATE INTERESTS††,◊ - 33.5% (continued)
Technology -  4.5% (continued)      
CoreLogic, Inc.      
6.06% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 06/02/28  1,274,121   $1,090,966
Ping Identity Corp.      
6.31% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 11/22/28   997,500    995,006
Greenway Health LLC      
5.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 5.25%) due 02/16/24   957,179    853,938
Sitecore USA, Inc.      
8.74% (3 Month USD LIBOR + 7.00%, Rate Floor: 7.50%) due 03/12/26†††   519,938    514,445
Epicor Software      
5.77% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 07/30/27   491,250    476,002
Park Place Technologies, LLC      
due 11/10/27   225,000    216,000
Total Technology      66,019,591
Financial -  3.2%      
Jones Deslauriers Insurance Management, Inc.      
7.75% (3 Month Canada Banker Acceptance + 4.25%, Rate Floor: 5.00%) due 03/27/28††† CAD  5,559,491    4,022,388
11.00% (3 Month Canada Banker Acceptance + 7.50%, Rate Floor: 8.00%) due 03/26/29††† CAD  3,887,000    2,827,114
Eisner Advisory Group      
7.32% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/28/28†††   5,391,287    5,175,636
Franchise Group, Inc.      
6.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26   3,995,519    3,872,337
Higginbotham Insurance Agency, Inc.      
8.02% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.25%) due 11/25/26†††   3,960,451    3,862,232
Claros Mortgage Trust, Inc.      
6.89% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 08/10/26†††  3,502,400   3,406,084
HighTower Holding LLC      
6.73% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28   3,491,881    3,382,760
AmeriLife Holdings LLC      
6.37% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 03/18/27   2,924,108    2,909,487
Alter Domus      
4.94% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/17/28†††   2,765,000    2,675,137
Orion Advisor Solutions, Inc.      
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/24/27   2,711,305    2,609,631
Avison Young (Canada), Inc.      
8.27% ((1 Month Term SOFR + 5.75%) and (3 Month USD LIBOR + 5.75%), Rate Floor: 5.75%) due 01/31/26   2,329,766    2,213,278
Duff & Phelps      
6.21% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/09/27   1,960,000    1,907,335
Cobham Ultra SeniorCo SARL      
7.06% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/15/28   1,750,000    1,687,665
Nexus Buyer LLC      
6.27% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26   1,657,500    1,607,079
Aretec Group, Inc.      
6.81% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 10/01/25   1,640,500    1,601,538
Apex Group Treasury LLC      
due 07/27/28   1,450,000    1,415,562
Sandy Bidco BV      
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 06/12/28 EUR  1,100,000    1,070,373
Total Financial      46,245,636
Communications -  1.8%      
FirstDigital Communications LLC      
6.63% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 12/17/26†††   8,000,000    7,832,084
Syndigo LLC      
6.89% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27†††   4,542,500    4,338,088

 

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Face
Amount~		   Value
SENIOR FLOATING RATE INTERESTS††,◊ - 33.5% (continued)
Communications -  1.8% (continued)      
Xplornet Communications, Inc.      
6.52% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28  4,615,125   $4,254,591
Flight Bidco, Inc.      
10.02% (1 Month USD LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26   3,715,000    3,352,787
6.02% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25   435,302    405,240
Conterra Ultra Broadband Holdings, Inc.      
7.31% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 04/30/26   2,436,392    2,350,095
Authentic Brands      
5.77% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24   1,189,703    1,173,940
McGraw Hill LLC      
8.31% ((1 Month USD LIBOR + 4.75%) and (3 Month USD LIBOR + 4.75%), Rate Floor: 5.25%) due 07/28/28   992,500    957,763
Recorded Books, Inc.      
6.31% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/29/25   846,831    832,714
Titan AcquisitionCo New Zealand Ltd. (Trade Me)      
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/18/28   448,875    424,187
Cengage Learning Acquisitions, Inc.      
7.81% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26   446,625    421,261
Total Communications      26,342,750
Basic Materials -  1.1%      
Barentz Midco BV      
6.50% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 11/30/27   3,250,808    3,137,030
Vector WP Holdco, Inc.      
7.44% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 10/12/28†††   3,099,425    3,006,442
DCG Acquisition Corp.      
7.02% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26   1,948,432    1,885,108
Ascend Performance Materials Operations LLC      
7.00% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 08/27/26   1,851,285    1,842,492
Meridian Adhesives Group, Inc.      
6.37% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 07/24/28  1,790,948   1,773,039
LSF11 Skyscraper HoldCo SARL      
5.75% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 09/29/27   1,530,722    1,489,591
NIC Acquisition Corp.      
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27   1,185,000    1,013,175
Pregis TopCo LLC      
6.81% ((1 Month USD LIBOR + 4.00%) and (3 Month USD LIBOR + 4.00%), Rate Floor: 4.50%) due 07/31/26   664,975    643,363
Schur Flexibles GmbH      
4.25% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 09/29/28 EUR  1,250,000    479,292
Vectra Co.      
5.77% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/08/25   532,602    426,082
Noranda Aluminum Acquisition Corp.      
due 02/28/19†††,9   463,989    47
Total Basic Materials      15,695,661
Utilities -  0.6%      
Hamilton Projects Acquiror LLC      
6.75% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27   3,286,980    3,223,969
Oregon Clean Energy LLC      
6.27% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/01/26   2,091,270    2,033,007
UGI Energy Services, Inc.      
6.02% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/13/26   1,600,500    1,590,097
Franklin Energy (KAMC Holdings, Inc.)      
7.07% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/14/26   1,604,625    1,306,437

 

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

  Face
Amount~		   Value
SENIOR FLOATING RATE INTERESTS††,◊ - 33.5% (continued)
Utilities -  0.6% (continued)      
EIF Channelview Cogeneration LLC      
6.95% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 05/03/25  320,314   $317,351
Total Utilities      8,470,861
Energy -  0.2%      
Venture Global Calcasieu Pass LLC      
5.12% (1 Month USD LIBOR + 2.63%, Rate Floor: 2.63%) due 08/19/26†††   1,683,595    1,679,386
Permian Production Partners LLC      
10.53% (1 Month USD LIBOR + 6.00%, Rate Floor: 8.53%) (in-kind rate was 2.00%) due 11/24/25†††,11   366,071    365,156
Centurion Pipe      
6.52% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 09/29/25   192,236    189,592
Total Energy      2,234,134
Total Senior Floating Rate Interests    
(Cost $517,234,943)   487,487,788
ASSET-BACKED SECURITIES†† - 13.4%
Collateralized Loan Obligations -  7.1%      
Madison Park Funding LIII Ltd.      
2022-53A E, 8.47% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 04/21/35◊,5   18,500,000    16,900,588
Palmer Square Loan Funding Ltd.      
2022-1A D, 7.33% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 04/15/30◊,5   8,750,000    7,763,920
2021-3A D, 7.71% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 07/20/29◊,5   7,000,000    6,267,939
2021-2A D, 7.98% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 05/20/29◊,5   2,000,000    1,752,652
CIFC Funding Ltd.      
2021-4RA DR, 9.74% (3 Month USD LIBOR + 7.00%, Rate Floor: 7.00%) due 01/17/35◊,5   11,000,000    9,836,076
Boyce Park CLO Ltd.      
2022-1A E, 6.80% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 04/21/35◊,5   10,000,000    9,147,922
Fortress Credit Opportunities IX CLO Ltd.      
2021-9A DR, 6.46% (3 Month USD LIBOR + 3.95%, Rate Floor: 3.95%) due 10/15/33◊,5  8,000,000   7,049,699
Carlyle Global Market Strategies      
2022-1A E, 8.27% (3 Month Term SOFR + 7.35%, Rate Floor: 7.35%) due 04/15/35◊,5   5,500,000    4,955,765
LoanCore Issuer Ltd.      
2019-CRE2 AS, 3.89% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,5   4,222,731    4,180,137
Neuberger Berman Loan Advisers CLO 47 Ltd.      
2022-47A E, 8.55% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 04/14/35◊,5   4,250,000    3,950,037
Voya CLO Ltd.      
2022-1A SUB, due 04/20/355,12   3,650,000    3,066,718
2013-1A INC, due 10/15/305,12   3,000,000    635,790
Diamond CLO Ltd.      
2018-1A D, 6.46% (3 Month USD LIBOR + 3.70%, Rate Floor: 3.70%) due 07/22/30◊,5   3,000,000    2,937,487
ABPCI Direct Lending Fund CLO II LLC      
2021-1A DR, 7.21% (3 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/20/32◊,5   3,000,000    2,809,890
LCCM Trust      
2021-FL2 C, 4.54% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 12/13/38◊,5   2,600,000    2,436,027
FS Rialto Issuer LLC      
2022-FL6 C, 6.23% (1 Month Term SOFR + 4.23%, Rate Floor: 4.23%) due 08/19/37◊,5   2,250,000    2,236,063
Golub Capital Partners CLO 49M Ltd.      
2021-49A D, 6.56% (3 Month USD LIBOR + 3.85%, Rate Floor: 3.85%) due 08/26/33◊,5   2,250,000    2,009,514

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

  

 

  Face
Amount~		   Value
ASSET-BACKED SECURITIES†† - 13.4% (continued)
Collateralized Loan Obligations -  7.1% (continued)      
Monroe Capital CLO Ltd.      
2017-1A DR, 6.36% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/22/26◊,5  2,011,091   $1,993,554
CIFC Funding 2022-III Ltd.      
2022-3A E, 8.51% (3 Month Term SOFR + 7.27%, Rate Floor: 7.27%) due 04/21/35◊,5   2,000,000    1,898,539
Carlyle US CLO Ltd.      
2022-4A DR, 8.93% (3 Month Term SOFR + 6.60%, Rate Floor: 6.60%) due 04/15/35◊,5   2,000,000    1,756,073
Cerberus Loan Funding XXVI, LP      
2021-1A DR, 6.61% (3 Month USD LIBOR + 4.10%, Rate Floor: 4.10%) due 04/15/31◊,5   1,750,000    1,638,915
ACRES Commercial Realty Ltd.      
2021-FL2 D, 5.48% (1 Month USD LIBOR + 3.10%, Rate Floor: 3.10%) due 01/15/37◊,5   1,750,000    1,626,046
Dryden 50 Senior Loan Fund      
2017-50A SUB, due 07/15/305,12   3,555,000    1,587,805
Dryden Senior Loan Fund      
 due 01/15/3112   2,998,799    951,519
Carlyle Global Market Strategies CLO Ltd.      
2012-3A SUB, due 01/14/325,12   2,600,000    881,400
Dryden 41 Senior Loan Fund      
2015-41A SUB,due 04/15/315,12   1,850,000    556,480
Great Lakes CLO Ltd.      
2014-1A SUB, due 10/15/295,12   1,153,846    471,454
KVK CLO Ltd.      
2013-1A SUB, due 01/14/282,5,12   2,300,000    434,102
Dryden 37 Senior Loan Fund      
2015-37A SUB, due 01/15/315,12   1,050,000    333,165
Venture XIII CLO Ltd.      
2013-13A SUB, due 09/10/295,12   1,500,000    216,111
A10 Permanent Asset Financing LLC      
2017-II C1, 6.24% (WAC) due 06/15/51◊,†††,5   250,000    214,090
Babson CLO Ltd.      
2014-IA SUB, due 07/20/255,12   3,000,000    194,400
Marathon CLO V Ltd.      
2013-5A SUB, due 11/21/275,12  3,566,667   190,817
Atlas Senior Loan Fund IX Ltd.      
2018-9A SUB, due 04/20/282,5,12   2,600,000    165,490
Treman Park CLO Ltd.      
2015-1A COM, due 10/20/285,12   814,751    125,692
Avery Point II CLO Ltd.      
2013-3X COM, due 01/18/2512   759,981    11,772
West CLO Ltd.      
2013-1A SUB, due 11/07/255,12   1,350,000    1,771
OHA Credit Partners IX Ltd.      
2013-9A ACOM, due 10/20/255,12   602,740    664
Total Collateralized Loan Obligations      103,186,083
Transport-Aircraft -  2.7%      
Sprite Ltd.      
2021-1, 3.75% due 11/15/465   14,909,120    13,147,342
Castlelake Aircraft Securitization Trust      
2018-1, 4.13% due 06/15/435 1,963,921   1,765,287
2019-1A, 3.97% due 04/15/395 1,229,423   1,097,592
2016-1, 4.45% due 08/15/41 870,061   799,718
2014-1, due 12/31/30††† 3,054,105   445,941
AASET Trust      
2019-2, 4.46% due 10/16/395   3,524,131    1,856,984
2019-1, 3.84% due 05/15/395   1,491,279    1,032,711
2020-1A, 4.34% due 01/16/405   1,280,883    513,625
2020-1A, 3.35% due 01/16/405   507,208    418,984
Start Ltd.      
2018-1, 4.09% due 05/15/435   2,407,906    2,144,385
2018-1, 5.32% due 05/15/435   1,976,829    1,453,128
GAIA Aviation Ltd.      
2019-1, 3.97% due 12/15/445,13   4,227,115    3,508,916
JOL Air Ltd.      
2019-1, 3.97% due 04/15/445   3,217,805    2,767,344
WAVE LLC      
2019-1, 3.60% due 09/15/445   2,304,694    1,867,657
Falcon Aerospace Ltd.      
2019-1, 3.60% due 09/15/395   1,093,262    898,696

  

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

 

  Face
Amount~		   Value
ASSET-BACKED SECURITIES†† - 13.4% (continued)
Transport-Aircraft -  2.7% (continued)      
2017-1, 6.30% due 02/15/425  800,405   $711,929
Castlelake Aircraft Structured Trust      
2021-1A, 6.66% due 01/15/465   1,813,226    1,489,112
Sapphire Aviation Finance II Ltd.      
2020-1A, 4.34% due 03/15/405   1,870,268    1,213,583
KDAC Aviation Finance Ltd.      
2017-1A, 4.21% due 12/15/425   1,287,022    1,023,273
MAPS Ltd.      
2019-1A, 4.46% due 03/15/445   849,759    769,903
Sapphire Aviation Finance I Ltd.      
2018-1A, 4.25% due 03/15/405   651,476    543,394
Stripes Aircraft Ltd.      
2013-1 A1, 5.87% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/20/23◊,†††   210,990    201,907
Total Transport-Aircraft      39,671,411
Financial -  1.6%      
Thunderbird A      
5.50% due 03/01/37†††   6,148,000    6,148,000
Lightning A      
5.50% due 03/01/37†††   6,148,000    6,148,000
Ceamer Finance LLC      
due 03/22/31†††,18   3,964,238    3,634,181
KKR Core Holding Company LLC      
4.00% due 08/12/31†††   2,269,642    1,994,074
Aesf Vi Verdi, LP      
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,††† EUR  1,819,035    1,819,675
Nassau LLC      
2019-1, 3.98% due 08/15/345   1,396,754    1,342,227
Bib Merchant Voucher Receivables Ltd.      
4.18% due 04/07/28†††   987,716    951,686
Thunderbird B      
7.50% due 03/01/37†††   783,000    783,000
Lightning B      
7.50% due 03/01/37†††  783,000   783,000
Total Financial      23,603,843
Infrastructure -  0.9%      
VB-S1 Issuer LLC - VBTEL      
2022-1A, 5.27% due 02/15/525   8,000,000    7,199,069
Hotwire Funding LLC      
2021-1, 4.46% due 11/20/515   5,250,000    4,405,976
Secured Tenant Site Contract Revenue Notes Series      
2018-1A, 5.92% due 06/15/485   1,840,351    1,777,295
Total Infrastructure      13,382,340
Whole Business -  0.8%      
Applebee's Funding LLC / IHOP Funding LLC      
2019-1A, 4.19% due 06/05/495   7,375,500    7,082,818
TSGE      
2017-1, 6.25% due 09/25/31†††   4,978,502    4,783,514
Wingstop Funding LLC      
2020-1A, 2.84% due 12/05/505   99,500    84,863
Total Whole Business      11,951,195
Net Lease -  0.2%      
CARS-DB4, LP      
2020-1A, 4.95% due 02/15/505   2,750,000    2,262,275
Collateralized Debt Obligations -  0.1%      
Anchorage Credit Funding 4 Ltd.      
2021-4A CR, 3.52% due 04/27/395   1,000,000    822,227
Insurance -  0.0%      
CBC Insurance Revenue Securitization LLC      
2016-1, 5.25% due 07/15/4610   304,577    282,114
Transport-Rail -  0.0%      
Trinity Rail Leasing, LP      
2009-1A, 6.66% due 11/16/395   123,994    122,909
Total Asset-Backed Securities    
(Cost $216,481,483)   195,284,397
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 10.5%
Government Agency -  8.2%      
Uniform MBS 30 Year      
 due 11/01/2218   91,622,000    89,290,312
Fannie Mae      
4.00% due 07/01/522   16,671,516    16,521,145

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

 

  Face
Amount~		   Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 10.5% (continued)
Government Agency -  8.2% (continued)      
Freddie Mac      
4.00% due 06/01/522  12,934,045   $12,744,614
Total Government Agency      118,556,071
Residential Mortgage-Backed Securities -  1.3%      
Carrington Mortgage Loan Trust Series      
2006-NC5, 2.59% (1 Month USD LIBOR + 0.15%, Rate Cap/Floor: 14.50%/0.15%) due 01/25/37◊   4,470,483    3,767,956
Finance of America HECM Buyout      
2022-HB2, 6.00% (WAC) due 04/25/26◊,5   3,800,000    3,686,270
NYMT Loan Trust      
2022-SP1, 5.25% due 07/25/625,13   3,700,000    3,584,641
WaMu Asset-Backed Certificates WaMu Series      
2007-HE4, 2.61% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/47◊   1,727,372    1,308,390
2007-HE4, 2.69% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/47◊   968,016    631,893
2007-HE2, 2.63% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37◊   1,402,559    566,490
Lehman XS Trust Series      
2006-18N, 2.80% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 12/25/36◊   2,197,974    2,129,604
BRAVO Residential Funding Trust      
2022-NQM3, due 07/25/625,18   1,900,000    1,873,982
Citigroup Mortgage Loan Trust      
2022-A, 6.17% due 09/25/625,13   1,150,000    1,147,965
Total Residential Mortgage-Backed Securities      18,697,191
Military Housing -  0.9%      
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates      
2015-R1, 0.70% (WAC) due 11/25/55◊,5,14   73,372,825    4,878,886
2015-R1, 5.94% (WAC) due 11/25/52◊,10   3,497,600    3,085,174
GMAC Commercial Mortgage Asset Corp.      
2004-POKA, 6.36% due 09/10/44†††,5  3,500,000   3,612,135
Capmark Military Housing Trust      
2007-AETC, 5.75% due 02/10/52†††,5   1,538,566    1,473,793
2007-AET2, 6.06% due 10/10/52†††,5   461,849    453,430
Total Military Housing      13,503,418
Commercial Mortgage-Backed Securities -  0.1%      
GS Mortgage Securities Corporation Trust      
2020-DUNE, 4.89% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 12/15/36◊,5   2,000,000    1,915,088
Total Collateralized Mortgage Obligations    
(Cost $155,269,006)   152,671,768
U.S. GOVERNMENT SECURITIES†† - 1.3%
U.S. Treasury Bonds
 due 08/15/512,15,16 32,650,000     12,695,884  
 due 05/15/442,15,16 5,030,000     2,281,922  
 due 11/15/442,15,16 5,030,000     2,233,526  
 due 02/15/4615,16,17 5,060,000     2,161,991  
Total U.S. Government Securities    
(Cost $19,993,744)     19,373,323  
FOREIGN GOVERNMENT DEBT†† - 0.2%
Panama Government International Bond
4.50% due 01/19/63   4,150,000   3,134,100  
Total Foreign Government Debt    
(Cost $4,124,201)     3,134,100  
CONVERTIBLE BONDS†† - 0.1%
Consumer, Non-cyclical -  0.1%      
Block, Inc.      
 due 05/01/2615   1,650,000    1,362,900
Communications -  0.0%      
Cable One, Inc.      
 due 03/15/2615   400,000    327,200
Total Convertible Bonds    
(Cost $1,735,065)   1,690,100
MUNICIPAL BONDS†† - 0.0%
Oklahoma -  0.0%      
Oklahoma Development Finance Authority Revenue Bonds      
5.45% due 08/15/28   400,000    355,851
Total Municipal Bonds    
(Cost $400,000)   355,851

 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

 

  Face
Amount~		   Value
SENIOR FIXED RATE INTERESTS†† - 0.0%
Industrial -  0.0%      
Schur Flexibles GmbH      
15.00% due 09/30/26 EUR 159,093   $159,229
Total Senior Fixed Rate Interests    
(Cost $164,564)   159,229
  Contracts    
LISTED OPTIONS PURCHASED† - 0.8%
Put Options on:      
 S&P 500 Index Expiring October 2022 with strike price of $4,200.00 (Notional Value $68,026,000) 172   4,638,840  
 S&P 500 Index Expiring December 2022 with strike price of $4,200.00 (Notional Value $57,743,000) 146   4,568,340  
 S&P 500 Index Expiring April 2023 with strike price of $4,000.00 (Notional Value $24,916,500) 63   1,820,385  
Total Listed Options Purchased    
(Cost $6,396,975)     11,027,565  
Total Investments - 136.1%    
(Cost $2,102,717,706)   $   1,981,812,961  
       

  

  Contracts  
LISTED OPTIONS WRITTEN† - (0.4)%
Call Options on:      
 Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $9,248) 8     –  
 Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $9,248) 8       –  
 SPDR S&P 500 ETF Trust Expiring September 2022 with strike price of $424.00 (Notional Value $908,914) 23       (702 )
 S&P 500 Index Expiring September 2022 with strike price of $3,970.00 (Notional Value $54,183,500) 137       (989,003 )
 Russell 2000 Index Expiring September 2022 with strike price of $1,850.00 (Notional Value $54,401,393) 295       (1,144,895 )
 NASDAQ-100 Index Expiring September 2022 with strike price of $12,325.00 (Notional Value $53,996,932) 44       (1,252,680 )
Put Options on:      
 S&P 500 Index Expiring October 2022 with strike price of $3,800.00 (Notional Value $68,026,000) 172       (1,364,820 )
 S&P 500 Index Expiring December 2022 with strike price of $3,800.00 (Notional Value $57,743,000) 146       (2,000,930 )
Total Listed Options Written    
(Premiums received $5,225,412)         (6,753,030 )
OTC OPTIONS WRITTEN†† - (0.2)%
Call Options on:      
J.P. Morgan Securities plc S&P 500 Equal Weight Index
Expiring October 2022 with strike price of $5,729.00 (Notional Value $88,589,332)		 15,530       (2,807,513 )
Total OTC Options Written    
(Premiums received $2,807,513)         (2,807,513 )
Other Assets & Liabilities, net - (35.5)%     (516,306,975 )
Total Net Assets - 100.0%   $   1,455,945,443  

 

 

 

 

 

 
 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

  

 

 

Centrally Cleared Interest Rate Swap Agreements††    
Counterparty Exchange Floating Rate Type Floating Rate Index Fixed Rate Payment Frequency Maturity Date   Notional Amount Value Upfront Premiums Paid Unrealized Depreciation**
BofA Securities, Inc. CME Pay U.S. Secured Overnight Financing Rate 2.78% Annually 07/18/27   $143,900,000 $(2,019,276) $923 $(2,020,199)

  

 

Forward Foreign Currency Exchange Contracts††    
Counterparty Currency Type Quantity Contract Amount Settlement Date Unrealized Appreciation (Depreciation)
Barclays Bank plc GBP Sell 20,499,000 25,042,460 USD 09/16/22 $1,226,419
JPMorgan Chase Bank, N.A. EUR Sell 27,018,000 27,956,420 USD 09/16/22  787,665
Goldman Sachs International CAD Sell 11,797,000 9,250,300 USD 09/16/22  266,721
UBS AG EUR Sell 1,853,000 1,964,028 USD 09/30/22  98,912
Morgan Stanley Capital Services LLC CAD Buy 161,000 122,991 USD 09/16/22  (387)
Citibank, N.A. CAD Buy 60,000 46,474 USD 09/16/22  (784)
UBS AG EUR Sell 135,000 134,320 USD 09/16/22  (1,433)
Barclays Bank plc EUR Sell 1,105,000 1,102,836 USD 09/16/22  (8,330)
Barclays Bank plc EUR Buy 500,000 513,813 USD 09/16/22  (11,023)
            $2,357,760

   

 

~ The face amount is denominated in U.S. dollars unless otherwise indicated.
* Non-income producing security.
** Includes cumulative appreciation (depreciation).
† Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
†† Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
††† Value determined based on Level 3 inputs — See Note 4.
◊ Variable rate security. Rate indicated is the rate effective at August 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1 Special Purpose Acquisition Company (SPAC).
2 All or a portion of these securities have been physically segregated in connection with borrowings, options, reverse repurchase agreements and unfunded loan commitments. As of August 31, 2022, the total value of segregated securities was $571,682,038.
3 Affiliated issuer.
4 Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
5 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $696,291,199 (cost $784,530,011), or 47.8% of total net assets.
6 Rate indicated is the 7-day yield as of August 31, 2022.
7 Variable rate security. Rate indicated is the rate effective at August 31, 2022. The rate is linked to the volatility-adjusted performance of the series 1 securities due 2069 of the underlying company, Alphas Managed Accounts Platform LXXIX Limited.
8 Perpetual maturity.
9 Security is in default of interest and/or principal obligations.
10 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $3,858,086 (cost $9,302,672), or 0.3% of total net assets — See Note 7.
11 Payment-in-kind security.
12 Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
13 Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at August 31, 2022. See table below for additional step information for each security.
14 Security is an interest-only strip.
15 Zero coupon rate security.
16 Security is a principal-only strip.
17 All or a portion of this security is pledged as interest rate swap collateral at August 31, 2022.
18 Security is unsettled at period end and does not have a stated effective rate.

 

 

 

 

   
  BofA — Bank of America
  CAD — Canadian Dollar
  CME — Chicago Mercantile Exchange
  EUR — Euro
 
 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

 

  EURIBOR — European Interbank Offered Rate
  GBP — British Pound
  LIBOR — London Interbank Offered Rate
  plc — Public Limited Company
  PPV — Public-Private Venture
  REIT — Real Estate Investment Trust
  SARL — Société à Responsabilité Limitée
  SOFR — Secured Overnight Financing Rate
  SONIA — Sterling Overnight Index Average
  WAC — Weighted Average Coupon
 
        See Sector Classification in Other Information section.
 

 

 

 

 

The following table summarizes the inputs used to value the Fund's investments at August 31, 2022 (See Note 4 in the Notes to Schedule of Investments):
 
Investments in Securities (Assets) Level 1 Quoted Prices Level 2 Significant Observable Inputs Level 3 Significant Unobservable Inputs   Total
Common Stocks $ 196,059,933   $ 3,606,881   $ 897,956     $ 200,564,770  
Preferred Stocks     —   84,675,763   871,771     85,547,534  
Warrants 117,419       —   12     117,431  
Exchange-Traded Funds 82,410,755       —       —     82,410,755  
Closed-End Funds 35,371,969       —       —     35,371,969  
Money Market Funds 17,643,185       —       —     17,643,185  
Corporate Bonds     —   658,452,495   30,520,701     688,973,196  
Senior Floating Rate Interests     —   350,512,228   136,975,560     487,487,788  
Asset-Backed Securities     —   167,377,329   27,907,068     195,284,397  
Collateralized Mortgage Obligations     —   147,132,410   5,539,358     152,671,768  
U.S. Government Securities     —   19,373,323       —     19,373,323  
Foreign Government Debt     —   3,134,100       —     3,134,100  
Convertible Bonds     —   1,690,100       —     1,690,100  
Municipal Bonds     —   355,851       —     355,851  
Senior Fixed Rate Interests     —   159,229       —     159,229  
Options Purchased 11,027,565       —       —     11,027,565  
Forward Foreign Currency Exchange Contracts**     —   2,379,717       —     2,379,717  
Total Assets $ 342,630,826   $ 1,438,849,426   $ 202,712,426     $ 1,984,192,678  

 

 

 

 

Investments in Securities (Liabilities)

Level 1 Quoted Prices Level 2 Significant Observable Inputs Level 3 Significant Unobservable Inputs   Total
Options Written $ 6,753,030     $ 2,807,513     $ —     $ 9,560,543  
Interest Rate Swap Agreements**     —   2,020,199       —     2,020,199  
Forward Foreign Currency Exchange Contracts**     —   21,957       —     21,957  
Unfunded Loan Commitments (Note 6)     —       —   598,348     598,348  
Total Liabilities $ 6,753,030   $ 4,849,669   $ 598,348     $ 12,201,047  
           
** This derivative is reported as unrealized appreciation/depreciation at period end.
 
Please refer to the detailed Schedule of Investments for a breakdown of investment type by industry category.
 
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $335,789,044 are categorized as Level 2 within the disclosure hierarchy — See Note 3.
 

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

 

Category Ending Balance at August 31, 2022 Valuation Technique Unobservable Inputs Input Range Weighted Average*
Assets:
Asset-Backed Securities $13,862,000 Third Party Pricing Trade Price — —
Asset-Backed Securities 8,389,305 Yield Analysis Yield 4.5%-13.0% 6.9%
Asset-Backed Securities 5,655,763 Option adjusted spread off prior month end broker quote Broker Quote — —
Collateralized Mortgage Obligations 5,539,358 Option adjusted spread off prior month end broker quote Broker Quote — —
Common Stocks 555,229 Enterprise Value Valuation Multiple 1.5x-17.8x 8.5x
Common Stocks 341,710 Model Price Purchase Price — —
Common Stocks 1,017 Model Price Liquidation Value — —
Corporate Bonds 29,316,817 Option adjusted spread off prior month end broker quote Broker Quote — —
Corporate Bonds 876,887 Yield Analysis Yield 5.0% —
Corporate Bonds 248,247 Model Price Purchase Price — —
Corporate Bonds 78,750 Third Party Pricing Vendor Price — —
Preferred Stocks 871,771 Model Price Purchase Price — —
Senior Floating Rate Interests 93,756,193 Third Party Pricing Broker Quote — —
Senior Floating Rate Interests 32,462,782 Yield Analysis Yield 7.1%-11.5% 8.9%
Senior Floating Rate Interests 6,305,911 Model Price Purchase Price — —
Senior Floating Rate Interests 2,970,000 Third Party Pricing Trade Price — —
Senior Floating Rate Interests 1,022,277 Model Price Market Comparable Yields 11.5% —
Senior Floating Rate Interests 458,397 Third Party Pricing Vendor Price — —
Warrants 12 Model Price Liquidation Value — —
Total Assets $202,712,426
Liabilities:
Unfunded Loan Commitments $598,348 Model Price Purchase Price — —

 

* Inputs are weighted by the fair value of the instruments.        

 

Significant changes in a quote, yield, market comparable yields, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security.

 

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

 

 
 

Guggenheim Strategic Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

 

Transfer between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended August 31, 2022, the Fund had securities with a total value of $43,921,008 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $12,379,659 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

 

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended August 31, 2022:

        

Assets Liabilities
Asset-Backed Securities Collateralized Mortgage Obligations Corporate Bonds Senior Floating Rate Interests Common Stocks Preferred Stocks Warrants Total Assets Unfunded Loan Commitments
Beginning Balance $23,840,586 $5,761,054 $32,918,506 $102,508,562 $2,567,512 $855,025 $- $168,451,245 $(655,716)
Purchases/(Receipts) 4,984,000 - - 10,195,295 - - - 15,179,295 (185,964)
(Sales, maturities and paydowns)/Fundings (337,925) (6,088) (1,490,729) (6,836,767) - - - (8,671,509) 214,635
Amortization of premiums/discounts 168,622 (2,101) 257,907 167,525 - - - 591,953 (5)
Total realized gains (losses) included in earnings (1,092) - - (7,815) - - - (8,907) 5,339
Total change in unrealized appreciation (depreciation) included in earnings (747,123) (213,507) (1,243,733) (2,299,415) 116,020 16,746 12 (4,371,000) 23,363
Transfers into Level 3 - - 78,750 43,842,258 - - - 43,921,008 -
Transfers out of Level 3 - - - (10,594,083) (1,785,576) - - (12,379,659) -
Ending Balance $27,907,068 $5,539,358 $30,520,701 $136,975,560 $897,956 $871,771 $12 $202,712,426 $(598,348)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at August 31, 2022 $(746,874) $(213,507) $(1,243,733) $(1,740,713) $(21,332) $16,746 $12 $(3,949,401) $(35,248)

 

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided.

 

Name Coupon Rate at Next Reset Date Next Rate Reset Date Future Reset Rate Future Reset Date
Citigroup Mortgage Loan Trust 2022-A, 6.17% due 09/25/62 9.17% 09/25/25 10.17% 09/25/26
GAIA Aviation Ltd. 2019-1, 3.97% due 12/15/44 2.00% 11/15/26 — —
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62 8.25% 07/01/25 9.25% 07/01/26

 

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of acompany, or control of or by, or common control under Guggenheim Investments,result in that company being considered an affiliated issuer, as defined in the 1940 Act.

 

Transactions during the period ended August 31, 2022, in which the company is an affiliated issuer, were as follows:

Security Name Value 05/31/22 Additions Reductions Realized Gain (Loss) Change in Unrealized Appreciation (Depreciation) Value 08/31/22 Shares 08/31/22
Common Stocks              
  BP Holdco LLC* $85,334 $– $– $– $(11,936) $73,398 121,041
  Targus Group International Equity, Inc.*  113,897  –  –  –  (986)  112,911 45,049
  $199,231 $– $– $– $(12,922) $186,309  

   

* Non-income producing security.

  

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

 

Note 1 – Organization

Guggenheim Strategic Opportunities Fund (the “Fund”) was organized as a Delaware statutory trust on November 13, 2006. The Fund is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).

 

The Fund’s investment objective is to maximize total return through a combination of current income and capital appreciation.

 

For information on the Fund’s other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual shareholder report.

 

Note 2 – Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. 

 

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Fund. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

 

(a) Valuation of Investments 

The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund's investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund's securities and/or other assets.

 

Valuations of the Fund's securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund's officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.

 

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

 

Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.

 

Open-end investment companies are valued at their net asset value as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.

 

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange ("NYSE"). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and Guggenheim

 
 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

 

Funds Investment Advisors, LLC (“GFIA” or the “Adviser”) are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities. 

 

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Valuation Committee concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using a third party pricing vendor.

 

Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.

 

Typically, loans are valued using information provided by an independent third party pricing service which uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.

 

Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. Over-the-counter (“OTC”) options are valued using a price provided by a pricing service. 

 

The value of futures contracts is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

 

The value of interest rate swap agreements entered into by the Fund is valued on the basis of the last sale price on the primary exchange on which the swap is traded. The values of other swap agreements entered into by the Fund generally be valued using an evaluated price provided by a third party pricing vendor. 

 

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

 

Investments for which market quotations are not readily available are fair-valued as determined in good faith by GFIA, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value". Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.

 

The Fund may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of

 
 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

 

public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be profitable.

 

Note 3 – Financial Instruments and Derivatives

As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 2 of these Notes to Schedule of Investments.

 

Short Sales

A short sale is a transaction in which the Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

 

Derivatives 

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

 

The Fund utilized derivatives for the following purposes:

 

Duration: the use of an instrument to manage the interest rate risk of a portfolio.

 

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

 

Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.

 

Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.

 

Options Purchased and Written 

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.

 

The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.

 

Futures Contracts

A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Securities held as collateral are noted on the Schedule of Investments.

 
 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

 

Swap Agreements

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing OTC swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

 

Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

 

Interest rate swaps involve the exchange by the Fund with another party for its respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.

 

Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. The Fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

 

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

Forward Foreign Currency Exchange Contracts

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.

 
 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.

 

In conjunction with short sales and the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

 

The Fund has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Fund monitors the counterparty credit risk.

 

Foreign Investments 

There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. The Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.

 

The Fund may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund. 

 

Reverse Repurchase Agreements

The Fund may enter into reverse repurchase agreements as part of its financial leverage strategy. Under a reverse repurchase agreement, the Fund temporarily transfers possession of a portfolio instrument to another party, such as a bank or broker-dealer, in return for cash. At the same time, the Fund agrees to repurchase the instrument at an agreed upon time and price, which reflects an interest payment. Such agreements have the economic effect of borrowings. The Fund may enter into such agreements when it is able to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. When the Fund enters into a reverse repurchase agreement, any fluctuations in the market value of either the instruments transferred to another party or the instruments in which the proceeds may be invested would affect the market value of the Fund's assets. As a result, such transactions may increase fluctuations in the market value of the Fund's assets.

 

Note 4 – Fair Value Measurement  

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

 
 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

 

Level 1 — quoted prices in active markets for identical assets or liabilities.

 

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

 

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

 

The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

 

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change. 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

Note 5 – Federal Income Tax Information

The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.

 

Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

 

At August 31, 2022, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

 

Tax Cost

Tax Unrealized

Appreciation

Tax Unrealized

Depreciation

 Net Tax Unrealized Appreciation (Depreciation)
 $          2,100,798,685  $                66,851,471  $           (195,060,177)  $           (128,208,706)

 

 

Note 6 – Unfunded Loan Commitments

 

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of August 31, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

 

 

The unfunded loan commitments as of August 31, 2022, were as follows:
 
Borrower Maturity Date   Face Amount* Value
Alexander Mann 12/16/24 GBP 1,348,684 $69,736
Avalara, Inc. 08/12/28    700,000  8,750
Care BidCo 05/04/28 EUR  794,304  64,391
Confluent Health LLC 11/30/28    303,717  12,149
Galls LLC 01/31/24    19,217  672
Higginbotham Insurance Agency, Inc. 11/25/26    1,514,739  37,565
Inception Holdco SARL 11/15/22 EUR  3,600,000  –
KKR Core Holding Company LLC 07/15/31    580,000  –
Lightning A 03/01/37    15,052,000  –
Lightning B 03/01/37    1,917,000  –
Polaris Newco LLC 06/04/26    1,920,000  180,460
RLDatix 04/27/26    1,387,999  28,454
Schur Flexibles GmbH 09/01/26 EUR  204,529  –
SCP Eye Care Services LLC 03/16/28    209,527  9,429
Secretariat Advisors LLC 12/29/28    600,000  27,000
Service Logic Acquisition, Inc. 10/29/27    42,246  1,479
SHO Holding I Corp. 04/27/24    166,000  19,920
TGP Holdings LLC 06/29/28    22,510  4,602
The Facilities Group 11/30/27    1,207,701  31,364
Thunderbird A 03/01/37    15,052,000  –
Thunderbird B 03/01/37    1,917,000  –
Vertical (TK Elevator) 01/29/27 EUR  1,354,116  102,377
        $598,348
 

* The face amount is denominated in U.S. dollars unless otherwise indicated

EUR – Euro

GBP – British Pound

                   

          

Note 7– Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

 

 

Restricted Securities Acquisition Date Cost Value
Atlas Mara Ltd.      
  due 12/31/211 10/01/15 $945,015 $248,245
Basic Energy Services, Inc.      
  due 10/15/231 09/25/18  1,042,429  78,750
CBC Insurance Revenue Securitization LLC      
2016-1 5.25% due 07/15/46 08/09/19  297,323  282,114
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates      
2015-R1 5.94% (WAC) due 11/25/522 09/10/19  3,497,600  3,085,174
Mirabela Nickel Ltd.      
  due 06/24/191 12/31/13  2,341,590  133,400
Schahin II Finance Co. SPV Ltd.      
  due 09/25/221 01/08/14  1,178,715  30,403
    $9,302,672 $3,858,086
         

  

1 Security is in default of interest and/or principal obligations.
2 Variable rate security. Rate indicated is the rate effective at August 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
 
 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2022

 

Note 8 – COVID-19 and Other Market Risks

The COVID-19 pandemic and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates (which have since risen). Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict.

 

The value of, or income generated by, the investments held by the Fund is subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets. 

  

 
 

OTHER INFORMATION (Unaudited) August 31, 2022

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level classifications used by Bloomberg Industry Classification System, a widely recognized industry classification system provider. In the Fund’s registration statement, the Fund has investment policies relating to concentration in specific industries. For purposes of these investment policies, the Fund usually classifies industries based on industry-level classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.