UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED
SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company
Act file number 811-21982
Guggenheim
Strategic Opportunities Fund
(Exact name of registrant as specified in charter)
227 West
Monroe Street, Chicago, 60606
(Address of principal executive offices) (Zip code)
Amy J. Lee
227 West
Monroe Street, Chicago, 60606
(Name and address of agent for service)
Registrant's
telephone number, including area code: (312) 827-0100
Date of fiscal
year end: May 31
Date of reporting
period: June 1, 2023 - May 31, 2024
Item 1. Reports to Stockholders.
The registrant's annual report transmitted
to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”),
is as follows:
![](https://www.sec.gov/Archives/edgar/data/1380936/000182126824000177/gof-10inddx1x1.gif)
Guggenheim Funds Annual Report
Guggenheim Strategic Opportunities Fund
|
|
GuggenheimInvestments.com |
CEF-GOF-AR-0524 |
GUGGENHEIMINVESTMENTS.COM/GOF
... YOUR WINDOW TO THE LATEST, MOST UP-TO-DATE
INFORMATION ABOUT GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND
The shareholder report you are reading right now is just the beginning
of the story.
Online at guggenheiminvestments.com/gof, you will find:
• Daily, weekly and monthly data on share prices, net asset
values, distributions and more
• Portfolio overviews and performance analyses
• Announcements, press releases and special notices
• Fund and adviser contact information
Guggenheim Partners Investment Management, LLC and Guggenheim Funds
Investment Advisors, LLC are continually updating and expanding shareholder information services on the Fund’s website in an ongoing
effort to provide you with the most current information about how your Fund’s assets are managed and the results of our efforts. It
is just one more small way we are working to keep you better informed about your investment in the Fund.
|
|
DEAR SHAREHOLDER (Unaudited) |
May 31, 2024 |
We thank you for your investment in the Guggenheim Strategic Opportunities
Fund (the “Fund”). This report covers the Fund’s performance for the 12-month period ended May 31, 2024 (the “Reporting
Period”).
To learn more about the Fund’s performance and investment
strategy, we encourage you to read the Economic and Market Overview and the Management’s Discussion of Fund Performance, which begin
on page 5. There you will find information on Guggenheim’s investment philosophy, views on the economy and market environment, and
information about the factors that impacted the Fund’s performance during the Reporting Period.
The Fund’s investment objective is to maximize total return
through a combination of current income and capital appreciation. The Fund pursues a relative value-based investment philosophy. The Fund’s
sub-adviser seeks to combine a credit-managed fixed-income portfolio with access to a diversified pool of alternative investments and
equity strategies.
All Fund returns cited—whether based on net asset value (“NAV”)
or market price—assume the reinvestment of all distributions. For the Reporting Period, the Fund provided a total return based on
market price of 9.77% and a total return based on NAV of 15.72%. At the end of the Reporting Period, the Fund’s market price of
$14.68 per share represented a premium of 22.85% to its NAV of $11.95 per share.
Past performance is not a guarantee of future results. All NAV
returns include the deduction of management fees, operating expenses, and all other Fund expenses. The market price of the Fund’s
shares fluctuates from time to time, and it may be higher or lower than the Fund’s NAV.
During the Reporting Period, the Fund paid a monthly distribution
of $0.1821 per share. The most recent distribution represents an annualized distribution rate of 14.89% based on the Fund’s closing
market price of $14.68 per share at the end of the Reporting Period.
The Fund’s distribution rate is not constant and the amount
of distributions, when declared by the Fund’s Board of Trustees, is subject to change. There is no guarantee of any future distribution
or that the current returns and distribution rate will be maintained. Please see the Distributions to Shareholders & Annualized Distribution
Rate table on page 15, and Note 2(f) on page 87 for more information on distributions for the period.
We encourage shareholders to consider the opportunity to reinvest
their distributions from the Fund through the Dividend Reinvestment Plan (“DRIP”), which is described on page 130 of this
report. When shares trade at a discount to NAV, the DRIP takes advantage of the discount by reinvesting the monthly dividend distribution
in common shares of the Fund purchased in the market at a price less than NAV.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 3
|
|
DEAR SHAREHOLDER (Unaudited) continued |
May 31, 2024 |
Conversely, when the market price of the Fund’s common shares
is at a premium above NAV, the DRIP reinvests participants’ dividends in newly issued common shares at the greater of NAV per share
or 95% of the market price per share. The DRIP provides a cost-effective means to accumulate additional shares and enjoy the benefits of
compounding returns over time. The DRIP effectively provides an income averaging technique for shareholders to accumulate a larger number
of Fund shares when the market price is depressed than when the price is higher.
We appreciate your investment and look forward to serving your
investment needs in the future. For the most up-to-date information on your investment, please visit the Fund’s website at guggenheiminvestments.com/gof.
Sincerely,
Guggenheim
Funds Investment Advisors, LLC
Guggenheim Strategic Opportunities Fund
June 30, 2024
4 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ECONOMIC AND MARKET OVERVIEW |
May 31, 2024 |
In recent quarters, the U.S. economy has demonstrated continued
strength as fiscal spending helped defy predictions of a U.S. Federal Reserve (the “Fed”) induced recession. Inflation continues
to gradually recede, albeit in fits and starts, leaving the Fed on hold to preserve its monetary policy optionality for now. Our economic
outlook has continued to improve as the aggregate economy has not responded to rate hikes in the usual ways, even as higher rates weighed
on some sectors and reinforced our outlook for increasing bifurcation across the economy and markets. While factors like fiscal stimulus
and immigration have helped prop up the economy, we do not believe they will support the economic cycle indefinitely. Our base case is
for a benign slowdown in real gross domestic product (“GDP”) growth although we view risks to this forecast as tilted to the
downside, particularly relative to the improved expectations of the market.
Optimistic expectations built into market pricing are the driving
force behind the recent easing in financial conditions. The Fed’s own financial conditions gauge suggests little headwind to growth
from broad financial conditions. But most of the easing has been driven by narrow gains in equity valuations, leaving the economy vulnerable
to a pullback in risk sentiment.
Optimism can also be seen in forecasts of accelerating corporate
earnings growth, with the S&P 500 earnings per share expected to grow 12% this year after just 2% growth in 2023. While our baseline
view is also relatively constructive on the economy, and anticipated Fed easing later this year is expected to help support the growth
outlook, we still view risks as skewed to the downside. Signs of economic bifurcation and more cautious consumers may weigh on growth
more than currently anticipated, particularly if softening in labor market indicators continues.
However, even as slower growth or shifts in sentiment create some
potential for spread widening, all-in yields remain attractive on a historical basis and are still near decade plus highs. In addition,
the Fed’s attention to downside risks suggests to us that any substantial shift in conditions could be met with expectations of
greater monetary policy easing and could create a favorable environment for active fixed-income investors.
The opinions and forecasts expressed may not actually come to
pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation
of any specific security or strategy.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 5
MANAGEMENT’S DISCUSSION OF |
|
FUND PERFORMANCE (Unaudited) |
May 31, 2024 |
MANAGEMENT TEAM
Guggenheim Funds Investment Advisors, LLC serves as the investment
adviser to Guggenheim Strategic Opportunities Fund (the “Fund”). The Fund is managed by a team of seasoned professionals at
Guggenheim Partners Investment Management, LLC (“GPIM”).
This team includes Anne B. Walsh, CFA, JD, Managing Partner, Chief
Investment Officer of GPIM and Portfolio Manager; Steven H. Brown, CFA, Chief Investment Officer - Fixed Income, Senior Managing Director,
and Portfolio Manager; Adam J. Bloch, Managing Director and Portfolio Manager; and Evan L. Serdensky, Managing Director and Portfolio
Manager.
Discuss the Fund’s return and return of comparative indices
All Fund returns cited—whether based on net asset value (“NAV”)
or market price—assume the reinvestment of all distributions. For the Reporting Period, the Fund provided a total return based on
market price of 9.77% and a total return based on NAV of 15.72%. At the end of the Reporting Period, the Fund’s market price of
$14.68 per share represented a premium of 22.85% to its NAV of $11.95 per share. At the beginning of the Reporting Period, the Fund’s
market price of $15.69 per share represented a premium of 27.15% to its NAV of $12.34 per share.
Past performance is not a guarantee of future results. All NAV
returns include the deduction of management fees, operating expenses, and all other Fund expenses. The market price of the Fund’s
shares fluctuates from time to time and may be higher or lower than the Fund’s NAV.
Please refer to the graphs and tables included within the Fund
Summary beginning on page 12 for additional information about the Fund’s performance.
The returns for the Reporting Period of indices tracking performance
of the asset classes to which the Fund allocates the largest of its investments were:
Index* |
Total Return |
Bloomberg U.S. Aggregate Bond Index |
1.31% |
Bloomberg U.S. Corporate Bond Index |
4.40% |
Bloomberg U.S. Corporate High Yield Index |
11.24% |
Credit Suisse Leveraged Loan Index |
13.22% |
ICE Bank of America (“BofA”) Asset Backed Security Master BBB-AA Index |
7.07% |
NASDAQ - 100 Index |
31.12% |
Russell 2000 Index |
20.12% |
Standard & Poor’s 500 (“S&P 500”) Index |
28.19% |
* See page 10 for Index definitions
6 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
MANAGEMENT’S DISCUSSION OF |
|
FUND PERFORMANCE (Unaudited) continued |
May 31, 2024 |
Discuss the Fund’s distributions
During the Reporting Period, the Fund paid a monthly distribution
of $0.1821 per share. The most recent distribution represents an annualized distribution rate of 14.89% based on the Fund’s closing
market price of $14.68 per share at the end of the Reporting Period.
The distributions paid consisted of (i) investment company taxable
income taxed as ordinary income, which includes, among other things, short-term capital gain and income from certain hedging and interest
rate transactions, (ii) long-term capital gain and (iii) return of capital.
There is no guarantee of any future distribution or that the current
returns and distribution rate will be maintained. The Fund’s distribution rate is not constant and the amount of distributions,
when declared by the Fund’s Board of Trustees, is subject to change.
Please see the Distributions to Shareholders & Annualized Distribution
Rate table on page 15, and Note 2(f) on page 87 for more information on distributions for the period.
Payable Date |
Amount |
June 30, 2023 |
$0.1821 |
July 31, 2023 |
$0.1821 |
August 31, 2023 |
$0.1821 |
September 29, 2023 |
$0.1821 |
October 31, 2023 |
$0.1821 |
November 30, 2023 |
$0.1821 |
December 29, 2023 |
$0.1821 |
January 31, 2024 |
$0.1821 |
February 29, 2024 |
$0.1821 |
March 29, 2024 |
$0.1821 |
April 30, 2024 |
$0.1821 |
May 31, 2024 |
$0.1821 |
Total |
$2.1852 |
What factors contributed or detracted from the Fund’s
Performance during the Reporting Period?
During the Reporting Period, the Fund saw positive performance
from income, credit spread tightening, and equities. Earned income contributed the most to performance as the Fund continued to prioritize
higher-quality credits with attractive income/yield profiles. Credit spreads also added to overall performance, particularly below-investment-grade
corporate credit, as bank loans and high yield corporates saw spreads tighten. Additionally, the Fund’s equity exposure contributed
to overall performance given the strong performance of the equity market over the Reporting Period. Duration was the sole thematic detractor
to the Fund. Duration detracted from performance as the yield
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 7
MANAGEMENT’S DISCUSSION OF |
|
FUND PERFORMANCE (Unaudited) continued |
May 31, 2024 |
curve bear steepened, meaning yields at the long end of the curve
rose more than those at the front end, with yields on 2-year and 10-year Treasurys finishing 47 basis points and 86 basis points higher,
respectively, at the end of the Reporting Period.
During the period, the Fund’s market price experienced elevated
volatility and trading volume, along with a decline in the Fund’s market price premium to NAV, particularly during the first half
of the period. The market price volatility was not related to any news or fundamental changes to the Fund’s investment objectives
or strategies, which remained consistent. As of the end of the period, the Fund’s market price premium to NAV returned to a level
more in line with its longer-term average.
The market price of a closed-end fund may trade at a premium or
discount to NAV. Whereas the NAV performance is indicative of investment performance, the market price performance may be influenced by
non-fundamental factors, such as seasonality, investor sentiment and overall supply and demand in the closed-end fund market, among other
factors. Whether investors will realize gains or losses upon the sale of Fund shares will depend upon whether the market price of Fund
shares at the time of sale is above or below the investor’s purchase price. The Fund’s investment performance during the period,
as indicated by NAV total return, outperformed its market price along with several fixed-income indices.
Discuss the Fund’s Use of Leverage
At the end of the Reporting Period, the Fund’s leverage was
approximately 18% of Managed Assets, compared with approximately 19% at the beginning of the Reporting Period.
The Fund currently employs financial leverage through reverse repurchase
agreements and a credit facility with a major bank.
One purpose of leverage is to fund the purchase of additional securities
that may provide increased income and potentially greater appreciation to common shareholders than could be achieved from an unlevered
portfolio. Leverage may result in greater NAV volatility and entails more downside risk than an unleveraged portfolio.
The Fund’s use of leverage during the Reporting Period benefited
performance.
Investments in Investment Funds (as defined in the Additional Information
Regarding the Fund section which begins on Page 132) frequently expose the Fund to an additional layer of financial leverage and the associated
risks, such as the magnified effect of any losses.
8 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
MANAGEMENT’S DISCUSSION OF |
|
FUND PERFORMANCE (Unaudited) continued |
May 31, 2024 |
How did the Fund use derivatives during the Reporting Period?
The Fund used a variety of derivatives during the Reporting Period,
both to gain market exposure, as well as to hedge certain exposures. Derivatives used for hedging mostly detracted from performance. Derivatives
used for hedging include call writing, which detracted from performance as equities rose over the period. Foreign currency forwards, used
to hedge non-USD exposures, detracted from overall performance. The Fund continued to utilize credit default swaps to hedge broader credit
markets, which also detracted from performance given the strong credit market performance during the Reporting Period. On the rates front,
the Fund continued to hold curve caps and interest rate swaps to hedge against moves lower in the yield curve; those positions were slight
detractors during the Reporting Period. During the Reporting Period, the Fund increased its utilization of S&P 500 Index Mini futures
to gain long U.S. equity exposure. Derivatives used to obtain general index exposure, such as futures and total return swaps to gain long
equity exposure, exhibited positive performance.
How was the Fund positioned at the end of the Reporting Period?
The Reporting Period exhibited a period of unprecedented volatility
that has left a wide range of possible outcomes going forward. We believe the next major policy moves are likely to provide strong tailwinds
for fixed income. We continue to expect elevated volatility in the economy and markets, as well as a policy response to these conditions.
This argues for the importance of diversification in asset allocation and within portfolios. The heightened probability of an economic
slowdown over the next 6-12 months, as indicated by our models, continues to guide our more defensive and conservative positioning within
the Fund, prioritizing quality (which takes multiple forms, including focusing on industry market leaders, more conservatively positioned
balance sheets, stronger credit stipulations, and more creditor-friendly structures) and industries that may be more resilient to economic
downturns.
Though the recent tightening of credit spreads has likely pulled
forward some of the expected future total return potential of parts of fixed income, we still view the go-forward valuation proposition
of fixed income as attractive at current levels and sourceable income levels in high-quality credit as historically high relative to recent
history. High-quality issuers in both the high yield and bank loan markets remain areas of focus within the Fund as well as certain subsectors
of structured credit like commercial asset-backed securities that continue to present opportunities to source loss-remote assets at attractive
valuations.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 9
MANAGEMENT’S DISCUSSION OF |
|
FUND PERFORMANCE (Unaudited) continued |
May 31, 2024 |
Index Definitions
Indices are unmanaged and reflect no expenses. It is not possible
to invest directly in an index.
The Bloomberg U.S. Aggregate Bond Index is a broad-based
flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries,
government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate
mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities
(“CMBS”) (agency and non-agency).
The Bloomberg U.S. Corporate Bond Index is a broad-based
benchmark that measures the investment grade, fixed-rate, taxable corporate bond market. It includes U.S. dollar-denominated securities
publicly issued by U.S. and non-U.S. industrial, utility and financial issuers that meet specified maturity, liquidity, and quality requirements.
The Bloomberg U.S. Corporate High Yield Index measures the
U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of
Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
The Credit Suisse Leveraged Loan Index is an index designed
to mirror the investable universe of the U.S.-dollar-denominated leveraged loan market.
The ICE Bank of America Asset Backed Security Master BBB-AA
Index is a subset of the ICE Bank of America U.S. Fixed Rate Asset Backed Securities Index including all securities rated AA1 through
BBB3, inclusive.
The NASDAQ-100 Index includes 100 of the largest domestic
and international non-financial securities listed on The Nasdaq Stock Market based on market capitalization. The Index reflects companies
across major industry groups including computer hardware and software, telecommunications, retail/ wholesale trade and biotechnology.
It does not contain securities of financial companies including investment companies.
The Russell 2000 Index measures the performance of the small-cap
segment of the U.S. equity universe.
The Standard & Poor’s 500 (“S&P 500”)
Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all
major industries and is considered a representation of the U.S. stock market.
10 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
MANAGEMENT’S DISCUSSION OF |
|
FUND PERFORMANCE (Unaudited) continued |
May 31, 2024 |
The views expressed in this report reflect those of the portfolio
managers only through the report period as stated on the cover. These views are subject to change at any time, based on market and other
conditions and should not be construed as a recommendation of any kind. The material may also include forward looking statements that
involve risk and uncertainty, and there is no guarantee that any predictions will come to pass.
There can be no assurance that the Fund will achieve its investment
objectives. The value of the Fund will fluctuate with the value of the underlying securities. Risk is inherent in all investing, including
the loss of your entire principal. Therefore, before investing you should consider the risks carefully. The Fund is subject to various
risk factors. Certain of these risk factors are described in the Additional Information Regarding the Fund section, which begins on page
132. Please see the Fund’s Prospectus and Statement of Additional Information (SAI) and guggenheiminvestments.com/gof for a more
detailed description of the risks of investing in the Fund. Shareholders may access the Fund’s Prospectus and SAI on the EDGAR Database
on the Securities and Exchange Commission’s website at www.sec.gov.
This material is not intended as a recommendation or as investment
advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary
capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation
of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended
to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional
regarding your specific situation.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 11
FUND SUMMARY (Unaudited) |
May 31, 2024 |
Fund Statistics |
|
Market Price |
$14.68 |
Net Asset Value |
$11.95 |
Premium to NAV |
22.85% |
Net Assets ($000) |
$1,703,619 |
CUMULATIVE FUND PERFORMANCE*
![](https://www.sec.gov/Archives/edgar/data/1380936/000182126824000177/gof-10inddx12x1.gif)
*The performance data above represents past performance that is
not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s
shares, when sold, may be worth more of less than their original cost. Returns are historical and include changes in principal and reinvested
dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Aggregate Bond Index is an unmanaged index and,
unlike the Fund, has no management fees or operating expenses to reduce its reported return. The Fund does not seek to achieve performance
that is comparative to an index.
AVERAGE ANNUAL TOTAL RETURNS FOR |
|
|
|
THE PERIOD ENDED MAY 31, 2024 |
|
|
|
|
One |
Three |
Five |
Ten |
|
Year |
Year |
Year |
Year |
Guggenheim Strategic Opportunities Fund |
|
|
|
|
NAV |
15.72% |
4.29% |
7.00% |
8.06% |
Market |
9.77% |
2.22% |
7.43% |
8.70% |
Bloomberg U.S. Aggregate |
|
|
|
|
Bond Index |
1.31% |
(3.10%) |
(0.17%) |
1.26% |
Performance data quoted represents past performance, which is
no guarantee of future results and current performance may be lower or higher than the figures shown. All NAV returns include the deduction
of management fees, operating expenses and all other Fund expenses. The deduction of taxes that a shareholder would pay on Fund distributions
or the sale of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit guggenheiminvestments.com/gof.
The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that
an investor’s shares, when sold, may be worth more or less than their original cost.
The referenced index is an unmanaged and not available for direct
investment. Index performance does not reflect transaction costs, fees or expenses.
12 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
FUND SUMMARY (Unaudited) continued |
May 31, 2024 |
|
Portfolio Breakdown |
% of Net Assets |
Investments |
|
Corporate Bonds |
44.2% |
Senior Floating Rate Interests |
37.9% |
Asset-Backed Securities |
19.2% |
Preferred Stocks |
6.0% |
Collateralized Mortgage Obligations |
5.8% |
U.S. Government Securities |
3.3% |
Money Market Funds |
2.3% |
Closed-End Mutual Funds |
1.3% |
Other |
1.5% |
Total Investments |
121.5% |
Other Assets & Liabilities, net |
(21.5%) |
Net Assets |
100.0% |
Ten Largest Holdings1 |
% of Net Assets |
Madison Park Funding LIII Ltd., 11.33% |
1.1% |
Guggenheim Active Allocation Fund |
0.9% |
Lightning A, 5.50% |
0.7% |
Thunderbird A, 5.50% |
0.7% |
CIFC Funding Ltd., 12.58% |
0.7% |
Morgan Stanley Finance LLC, 0.50% |
0.6% |
Hotwire Funding LLC, 8.84% |
0.6% |
Delta Air Lines, Inc., 7.00% |
0.6% |
Boyce Park CLO Ltd., 11.58% |
0.6% |
AT&T Mobility II LLC, 6.80% |
0.6% |
Top Ten Total |
7.1% |
1 “Ten Largest Holdings” excludes any temporary
cash or derivative investments.
Portfolio breakdown and holdings are subject to change daily. For
more information, please visit guggenheiminvestments.com/gof. The above summaries are provided for informational purposes only and should
not be viewed as recommendations. Past performance does not guarantee future results.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 13
|
|
FUND SUMMARY (Unaudited) continued |
May 31, 2024 |
|
Portfolio Composition by Quality Rating1 |
|
|
% of Total |
Rating |
Investments |
Fixed Income Investments |
|
AAA |
1.0% |
AA |
2.5% |
A |
5.6% |
BBB |
11.0% |
BB |
22.8% |
B |
32.1% |
CCC |
3.8% |
CC |
0.1% |
C |
0.1% |
D |
0.1% |
NR2 |
10.2% |
Other Investments |
10.7% |
Total Investments |
100.0% |
1 | | Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally
ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard
& Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”).
For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments
has converted Moody’s and Fitch ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase
and may change thereafter. |
2 | | NR (not rated) securities do not necessarily indicate low credit quality. |
14 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
FUND SUMMARY (Unaudited) continued |
May 31, 2024 |
![](https://www.sec.gov/Archives/edgar/data/1380936/000182126824000177/gof-10inddx15x1.gif)
During the period, the Fund’s market price experienced elevated
volatility and trading volume, along with a decline in the Fund’s market price premium to NAV, particularly during the first half
of the period. The market price volatility was not related to any news or fundamental changes to the Fund’s investment objectives
or strategies, which remained consistent.
![](https://www.sec.gov/Archives/edgar/data/1380936/000182126824000177/gof-10inddx15x2.gif)
All or a portion of the above distributions is characterized
as a return of capital. For the year ended May 31, 2024, 36.9% of the distributions were characterized as ordinary income, 7.0% of the
distributions were characterized as long-term capital gains and 56.1% of the distributions were characterized as return of capital. The
final determination of the tax character of the distributions paid by the Fund in 2024 will be reported to shareholders in January 2025.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 15
SCHEDULE OF INVESTMENTS |
|
May 31, 2024 |
|
|
Shares |
Value |
COMMON STOCKS† – 0.7% |
|
|
Consumer, Non-cyclical – 0.2% |
|
|
Endo, Inc.*,†† |
67,403 |
$ 1,881,690 |
Cengage Learning Holdings II, Inc.*,†† |
11,126 |
185,437 |
Endo, Inc.*,††,1 |
1,167 |
32,579 |
Moderna, Inc.*,2 |
146 |
20,812 |
Keurig Dr Pepper, Inc.2 |
515 |
17,639 |
Bunge Global S.A.2 |
163 |
17,537 |
Archer-Daniels-Midland Co.2 |
274 |
17,109 |
Quanta Services, Inc.2 |
62 |
17,108 |
Amgen, Inc.2 |
55 |
16,822 |
Boston Scientific Corp.*,2 |
222 |
16,776 |
Quest Diagnostics, Inc.2 |
118 |
16,753 |
Kellanova2 |
277 |
16,714 |
Altria Group, Inc.2 |
358 |
16,557 |
ResMed, Inc.2 |
80 |
16,506 |
Philip Morris International, Inc.2 |
162 |
16,424 |
Eli Lilly & Co.2 |
20 |
16,407 |
Vertex Pharmaceuticals, Inc.*,2 |
36 |
16,392 |
DaVita, Inc.*,2 |
111 |
16,330 |
Cintas Corp.2 |
24 |
16,271 |
Elevance Health, Inc.2 |
30 |
16,154 |
Universal Health Services, Inc. — Class B2 |
85 |
16,133 |
PayPal Holdings, Inc.*,2 |
254 |
16,000 |
McKesson Corp.2 |
28 |
15,949 |
Avery Dennison Corp.2 |
70 |
15,931 |
Conagra Brands, Inc.2 |
533 |
15,926 |
Verisk Analytics, Inc. — Class A2 |
63 |
15,925 |
PepsiCo, Inc.2 |
92 |
15,907 |
Kimberly-Clark Corp.2 |
119 |
15,863 |
Coca-Cola Co.2 |
252 |
15,858 |
Tyson Foods, Inc. — Class A2 |
277 |
15,858 |
McCormick & Company, Inc.2 |
219 |
15,816 |
General Mills, Inc.2 |
230 |
15,813 |
Colgate-Palmolive Co.2 |
170 |
15,803 |
Pfizer, Inc.2 |
551 |
15,792 |
Humana, Inc.2 |
44 |
15,757 |
Campbell Soup Co.2 |
355 |
15,755 |
HCA Healthcare, Inc.2 |
46 |
15,629 |
Moody’s Corp.2 |
39 |
15,483 |
Procter & Gamble Co.2 |
94 |
15,467 |
Church & Dwight Company, Inc.2 |
144 |
15,409 |
See notes to financial statements.
16 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
COMMON STOCKS† – 0.7% (continued) |
|
|
Consumer, Non-cyclical – 0.2% (continued) |
|
|
UnitedHealth Group, Inc.2 |
31 |
$ 15,357 |
Corteva, Inc.2 |
274 |
15,328 |
Intuitive Surgical, Inc.*,2 |
38 |
15,281 |
Kraft Heinz Co.2 |
431 |
15,244 |
S&P Global, Inc.2 |
36 |
15,244 |
Hershey Co.2 |
77 |
15,233 |
Merck & Company, Inc.2 |
121 |
15,190 |
Automatic Data Processing, Inc.2 |
62 |
15,185 |
Cigna Group2 |
44 |
15,163 |
Danaher Corp.2 |
59 |
15,151 |
Rollins, Inc.2 |
330 |
15,078 |
Biogen, Inc.*,2 |
67 |
15,071 |
Bio-Techne Corp.2 |
195 |
15,052 |
Revvity, Inc.2 |
137 |
14,969 |
Insulet Corp.*,2 |
84 |
14,884 |
United Rentals, Inc.2 |
22 |
14,727 |
Regeneron Pharmaceuticals, Inc.*,2 |
15 |
14,702 |
Becton Dickinson & Co.2 |
63 |
14,614 |
Constellation Brands, Inc. — Class A2 |
58 |
14,513 |
Kenvue, Inc.2 |
749 |
14,456 |
Incyte Corp.*,2 |
250 |
14,448 |
Hologic, Inc.*,2 |
195 |
14,387 |
Stryker Corp.2 |
42 |
14,326 |
Mondelez International, Inc. — Class A2 |
209 |
14,323 |
Medtronic plc2 |
176 |
14,321 |
Cencora, Inc. — Class A2 |
63 |
14,274 |
STERIS plc2 |
64 |
14,264 |
Catalent, Inc.*,2 |
265 |
14,254 |
Thermo Fisher Scientific, Inc.2 |
25 |
14,199 |
Edwards Lifesciences Corp.*,2 |
163 |
14,163 |
Kroger Co.2 |
268 |
14,035 |
Teleflex, Inc.2 |
67 |
14,008 |
Cooper Companies, Inc.*,2 |
148 |
13,958 |
J M Smucker Co.2 |
125 |
13,955 |
Henry Schein, Inc.*,2 |
201 |
13,937 |
MarketAxess Holdings, Inc.2 |
70 |
13,925 |
West Pharmaceutical Services, Inc.2 |
42 |
13,919 |
Zoetis, Inc.2 |
82 |
13,904 |
Johnson & Johnson2 |
94 |
13,787 |
Save-A-Lot*,††† |
1,871,199 |
13,753 |
Centene Corp.*,2 |
192 |
13,745 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 17
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
COMMON STOCKS† – 0.7% (continued) |
|
|
Consumer, Non-cyclical – 0.2% (continued) |
|
|
Corpay, Inc.*,2 |
51 |
$ 13,651 |
Hormel Foods Corp.2 |
440 |
13,631 |
CoStar Group, Inc.*,2 |
174 |
13,602 |
Zimmer Biomet Holdings, Inc.2 |
118 |
13,588 |
Sysco Corp.2 |
186 |
13,545 |
AbbVie, Inc.2 |
84 |
13,544 |
Labcorp Holdings, Inc.2 |
69 |
13,449 |
Gartner, Inc.*,2 |
32 |
13,429 |
IDEXX Laboratories, Inc.*,2 |
27 |
13,418 |
Dexcom, Inc.*,2 |
111 |
13,184 |
Agilent Technologies, Inc.2 |
101 |
13,171 |
Monster Beverage Corp.*,2 |
253 |
13,136 |
Lamb Weston Holdings, Inc.2 |
148 |
13,067 |
Viatris, Inc.2 |
1,224 |
12,974 |
Waters Corp.*,2 |
42 |
12,974 |
Equifax, Inc.2 |
56 |
12,958 |
Cardinal Health, Inc.2 |
130 |
12,905 |
Gilead Sciences, Inc.2 |
200 |
12,854 |
Molson Coors Beverage Co. — Class B2 |
232 |
12,716 |
IQVIA Holdings, Inc.*,2 |
58 |
12,707 |
Abbott Laboratories2 |
124 |
12,672 |
Brown-Forman Corp. — Class B2 |
276 |
12,657 |
Clorox Co.2 |
96 |
12,630 |
Bio-Rad Laboratories, Inc. — Class A*,2 |
44 |
12,622 |
GE HealthCare Technologies, Inc.2 |
160 |
12,480 |
Align Technology, Inc.*,2 |
48 |
12,346 |
Estee Lauder Companies, Inc. — Class A2 |
100 |
12,336 |
Molina Healthcare, Inc.*,2 |
38 |
11,954 |
CVS Health Corp.2 |
200 |
11,920 |
Solventum Corp.*,2 |
199 |
11,823 |
Robert Half, Inc.2 |
184 |
11,818 |
Global Payments, Inc.2 |
116 |
11,815 |
Baxter International, Inc.2 |
343 |
11,693 |
Charles River Laboratories International, Inc.*,2 |
56 |
11,673 |
Illumina, Inc.*,2 |
111 |
11,575 |
Bristol-Myers Squibb Co.2 |
279 |
11,464 |
Total Consumer, Non-cyclical |
|
3,758,399 |
Industrial – 0.1% |
|
|
Carrier Global Corp.2 |
4,174 |
263,755 |
BP Holdco LLC*,†††,3 |
121,041 |
146,719 |
Schur Flexibles GesmbH*,†† |
660 |
136,855 |
See notes to financial statements.
18 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
COMMON STOCKS† – 0.7% (continued) |
|
|
Industrial – 0.1% (continued) |
|
|
YAK BLOCKER 2 LLC SRS C-1*,††† |
34,136 |
$ 64,277 |
YAK BLOCKER 2 LLC SRS C-2*,††† |
31,551 |
59,410 |
3M Co.2 |
189 |
18,926 |
Generac Holdings, Inc.*,2 |
128 |
18,843 |
Howmet Aerospace, Inc.2 |
221 |
18,708 |
General Electric Co.2 |
112 |
18,496 |
Amphenol Corp. — Class A2 |
136 |
18,002 |
GE Vernova, Inc.*,2 |
102 |
17,898 |
CH Robinson Worldwide, Inc.2 |
207 |
17,879 |
RTX Corp.2 |
165 |
17,789 |
Westinghouse Air Brake Technologies Corp.2 |
105 |
17,769 |
Westrock Co.2 |
329 |
17,648 |
Johnson Controls International plc2 |
243 |
17,474 |
TransDigm Group, Inc.2 |
13 |
17,462 |
Garmin Ltd.2 |
106 |
17,368 |
Trane Technologies plc2 |
53 |
17,355 |
Eaton Corporation plc2 |
50 |
16,642 |
Xylem, Inc.2 |
118 |
16,640 |
Veralto Corp.2 |
169 |
16,624 |
General Dynamics Corp.2 |
55 |
16,487 |
Lockheed Martin Corp.2 |
35 |
16,462 |
Amcor plc2 |
1,603 |
16,302 |
Dover Corp.2 |
88 |
16,176 |
TE Connectivity Ltd.2 |
107 |
16,018 |
Ball Corp.2 |
230 |
15,969 |
L3Harris Technologies, Inc.2 |
70 |
15,738 |
FedEx Corp.2 |
61 |
15,492 |
Ingersoll Rand, Inc.2 |
166 |
15,446 |
Mettler-Toledo International, Inc.*,2 |
11 |
15,445 |
Otis Worldwide Corp.2 |
154 |
15,277 |
Emerson Electric Co.2 |
136 |
15,254 |
Waste Management, Inc.2 |
72 |
15,173 |
Honeywell International, Inc.2 |
75 |
15,164 |
Pentair plc2 |
185 |
15,055 |
Republic Services, Inc. — Class A2 |
81 |
15,000 |
Mohawk Industries, Inc.*,2 |
123 |
14,998 |
Expeditors International of Washington, Inc.2 |
124 |
14,992 |
Deere & Co.2 |
40 |
14,991 |
Caterpillar, Inc.2 |
44 |
14,895 |
Parker-Hannifin Corp.2 |
28 |
14,883 |
Northrop Grumman Corp.2 |
33 |
14,875 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 19
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
COMMON STOCKS† – 0.7% (continued) |
|
|
Industrial – 0.1% (continued) |
|
|
Packaging Corporation of America2 |
81 |
$ 14,863 |
Hubbell, Inc.2 |
38 |
14,778 |
A O Smith Corp.2 |
175 |
14,637 |
Vulcan Materials Co.2 |
56 |
14,323 |
Martin Marietta Materials, Inc.2 |
25 |
14,302 |
Stanley Black & Decker, Inc.2 |
164 |
14,296 |
Textron, Inc.2 |
163 |
14,280 |
Jacobs Solutions, Inc.2 |
102 |
14,213 |
AMETEK, Inc.2 |
83 |
14,075 |
Allegion plc2 |
115 |
14,009 |
Union Pacific Corp.2 |
60 |
13,969 |
Snap-on, Inc.2 |
51 |
13,916 |
Teledyne Technologies, Inc.*,2 |
35 |
13,893 |
Illinois Tool Works, Inc.2 |
57 |
13,837 |
Masco Corp.2 |
195 |
13,635 |
Axon Enterprise, Inc.*,2 |
48 |
13,520 |
Boeing Co.*,2 |
76 |
13,498 |
United Parcel Service, Inc. — Class B2 |
97 |
13,476 |
Keysight Technologies, Inc.*,2 |
97 |
13,433 |
Nordson Corp.2 |
57 |
13,379 |
CSX Corp.2 |
393 |
13,264 |
Trimble, Inc.*,2 |
238 |
13,252 |
IDEX Corp.2 |
63 |
13,144 |
Rockwell Automation, Inc.2 |
51 |
13,134 |
Fortive Corp.2 |
176 |
13,102 |
Norfolk Southern Corp.2 |
58 |
13,038 |
Huntington Ingalls Industries, Inc.2 |
51 |
12,908 |
Old Dominion Freight Line, Inc.2 |
70 |
12,267 |
Builders FirstSource, Inc.*,2 |
75 |
12,059 |
J.B. Hunt Transport Services, Inc.2 |
75 |
12,056 |
Jabil, Inc.2 |
99 |
11,771 |
Vector Phoenix Holdings Cayman, LP*,††† |
121,040 |
2,561 |
Targus, Inc.*,††† |
45,049 |
1,903 |
Targus, Inc.*,††† |
45,049 |
1,594 |
Targus, Inc.*,††† |
45,049 |
512 |
Targus, Inc.*,††† |
45,049 |
5 |
Total Industrial |
|
1,739,533 |
Financial – 0.1% |
|
|
Checkers Holdings, Inc.*,††† |
84,343 |
335,685 |
Endo Luxembourg Finance Co I SARL / Endo US, Inc.*,†††,1 |
3,345,000 |
25,656 |
Endo Luxembourg Finance Co I SARL / Endo US, Inc.*,†††,1 |
1,900,000 |
14,573 |
See notes to financial statements.
20 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
COMMON STOCKS† – 0.7% (continued) |
|
|
Financial – 0.1% (continued) |
|
|
Endo Luxembourg Finance Co I SARL / Endo US, Inc.*,††† |
181,000 |
$ 18 |
Goldman Sachs Group, Inc.2 |
39 |
17,804 |
Arch Capital Group Ltd.*,2 |
171 |
17,550 |
Ventas, Inc. REIT2 |
338 |
16,988 |
Welltower, Inc. REIT2 |
163 |
16,898 |
Bank of America Corp.2 |
421 |
16,836 |
Healthpeak Properties, Inc. REIT2 |
846 |
16,835 |
Morgan Stanley2 |
172 |
16,828 |
Aflac, Inc.2 |
183 |
16,446 |
Charles Schwab Corp.2 |
223 |
16,341 |
Citigroup, Inc.2 |
261 |
16,263 |
Chubb Ltd.2 |
60 |
16,249 |
Prudential Financial, Inc.2 |
135 |
16,247 |
JPMorgan Chase & Co.2 |
80 |
16,210 |
Bank of New York Mellon Corp.2 |
270 |
16,095 |
Allstate Corp.2 |
96 |
16,082 |
American Express Co.2 |
67 |
16,080 |
Progressive Corp.2 |
76 |
16,050 |
Hartford Financial Services Group, Inc.2 |
155 |
16,035 |
Everest Group Ltd.2 |
41 |
16,028 |
American International Group, Inc.2 |
202 |
15,922 |
M&T Bank Corp.2 |
105 |
15,918 |
Essex Property Trust, Inc. REIT2 |
61 |
15,847 |
Wells Fargo & Co.2 |
263 |
15,759 |
Brown & Brown, Inc.2 |
176 |
15,754 |
PNC Financial Services Group, Inc.2 |
100 |
15,739 |
Ameriprise Financial, Inc.2 |
36 |
15,718 |
State Street Corp.2 |
207 |
15,647 |
Synchrony Financial2 |
356 |
15,593 |
Huntington Bancshares, Inc.2 |
1,111 |
15,465 |
Principal Financial Group, Inc.2 |
188 |
15,424 |
Citizens Financial Group, Inc.2 |
437 |
15,422 |
Fifth Third Bancorp2 |
412 |
15,417 |
Northern Trust Corp.2 |
183 |
15,416 |
AvalonBay Communities, Inc. REIT2 |
80 |
15,414 |
Equity Residential REIT2 |
237 |
15,412 |
Loews Corp.2 |
200 |
15,360 |
Raymond James Financial, Inc.2 |
125 |
15,344 |
MetLife, Inc.2 |
212 |
15,342 |
Berkshire Hathaway, Inc. — Class B*,2 |
37 |
15,333 |
UDR, Inc. REIT2 |
394 |
15,216 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 21
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
COMMON STOCKS† – 0.7% (continued) |
|
|
Financial – 0.1% (continued) |
|
|
Discover Financial Services2 |
124 |
$ 15,210 |
Arthur J Gallagher & Co.2 |
60 |
15,200 |
Camden Property Trust REIT2 |
148 |
15,192 |
Marsh & McLennan Companies, Inc.2 |
73 |
15,153 |
Truist Financial Corp.2 |
401 |
15,138 |
Realty Income Corp. REIT2 |
284 |
15,069 |
Cincinnati Financial Corp.2 |
128 |
15,050 |
Capital One Financial Corp.2 |
109 |
15,002 |
Simon Property Group, Inc. REIT2 |
99 |
14,980 |
T. Rowe Price Group, Inc.2 |
127 |
14,964 |
Kimco Realty Corp. REIT2 |
770 |
14,907 |
Travelers Companies, Inc.2 |
69 |
14,883 |
Regency Centers Corp. REIT2 |
242 |
14,859 |
Invitation Homes, Inc. REIT2 |
427 |
14,855 |
Iron Mountain, Inc. REIT2 |
184 |
14,847 |
Invesco Ltd.2 |
945 |
14,846 |
Mid-America Apartment Communities, Inc. REIT2 |
111 |
14,842 |
Federal Realty Investment Trust REIT2 |
147 |
14,840 |
VICI Properties, Inc. REIT2 |
515 |
14,786 |
Nasdaq, Inc.2 |
250 |
14,757 |
Regions Financial Corp.2 |
762 |
14,745 |
Visa, Inc. — Class A2 |
54 |
14,713 |
Comerica, Inc.2 |
285 |
14,603 |
Assurant, Inc.2 |
84 |
14,572 |
Digital Realty Trust, Inc. REIT2 |
100 |
14,534 |
Extra Space Storage, Inc. REIT2 |
100 |
14,477 |
Intercontinental Exchange, Inc.2 |
108 |
14,461 |
KeyCorp2 |
1,005 |
14,442 |
W R Berkley Corp.2 |
178 |
14,423 |
Blackstone, Inc. — Class A2 |
119 |
14,339 |
Mastercard, Inc. — Class A2 |
32 |
14,306 |
Boston Properties, Inc. REIT2 |
235 |
14,258 |
CME Group, Inc. — Class A2 |
70 |
14,209 |
American Tower Corp. — Class A REIT2 |
72 |
14,093 |
U.S. Bancorp2 |
347 |
14,071 |
Alexandria Real Estate Equities, Inc. REIT2 |
118 |
14,042 |
Willis Towers Watson plc2 |
55 |
14,041 |
CBRE Group, Inc. — Class A*,2 |
159 |
14,003 |
Public Storage REIT2 |
51 |
13,965 |
BlackRock, Inc. — Class A2 |
18 |
13,897 |
Cboe Global Markets, Inc.2 |
80 |
13,839 |
See notes to financial statements.
22 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
COMMON STOCKS† – 0.7% (continued) |
|
|
Financial – 0.1% (continued) |
|
|
Crown Castle, Inc. REIT2 |
133 |
$ 13,633 |
Aon plc — Class A2 |
47 |
13,237 |
SBA Communications Corp. REIT2 |
67 |
13,178 |
Weyerhaeuser Co. REIT2 |
431 |
12,943 |
Host Hotels & Resorts, Inc. REIT2 |
718 |
12,881 |
Franklin Resources, Inc.2 |
535 |
12,626 |
Prologis, Inc. REIT2 |
111 |
12,264 |
Equinix, Inc. REIT2 |
16 |
12,208 |
Globe Life, Inc.2 |
121 |
10,014 |
Avison Young (Canada), Inc.*,†† |
579 |
579 |
Pershing Square Tontine Holdings, Ltd. — Class A*,†††,4 |
1,042,740 |
105 |
Sparta Systems*,††† |
1,922 |
– |
Total Financial |
|
1,729,340 |
Consumer, Cyclical – 0.1% |
|
|
ATD New Holdings, Inc.*,†† |
23,593 |
412,877 |
Exide Technologies*,††† |
343 |
341,743 |
Chipotle Mexican Grill, Inc. — Class A*,2 |
6 |
18,777 |
United Airlines Holdings, Inc.*,2 |
346 |
18,335 |
Delta Air Lines, Inc.2 |
355 |
18,112 |
Deckers Outdoor Corp.*,2 |
16 |
17,503 |
Royal Caribbean Cruises Ltd.*,2 |
118 |
17,426 |
Bath & Body Works, Inc.2 |
335 |
17,400 |
Hasbro, Inc.2 |
290 |
17,336 |
Domino’s Pizza, Inc.2 |
34 |
17,292 |
Tractor Supply Co.2 |
60 |
17,117 |
General Motors Co.2 |
380 |
17,096 |
Costco Wholesale Corp.2 |
21 |
17,008 |
BorgWarner, Inc.2 |
468 |
16,689 |
Walmart, Inc.2 |
250 |
16,440 |
Best Buy Company, Inc.2 |
191 |
16,201 |
TJX Companies, Inc.2 |
156 |
16,084 |
Aptiv plc*,2 |
192 |
15,986 |
Ralph Lauren Corp. — Class A2 |
85 |
15,885 |
Cummins, Inc.2 |
56 |
15,777 |
PulteGroup, Inc.2 |
133 |
15,604 |
NVR, Inc.*,2 |
2 |
15,361 |
Tesla, Inc.*,2 |
86 |
15,315 |
Ford Motor Co.2 |
1,232 |
14,944 |
Yum! Brands, Inc.2 |
107 |
14,705 |
Hilton Worldwide Holdings, Inc.2 |
73 |
14,644 |
Lennar Corp. — Class A2 |
91 |
14,592 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 23
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
COMMON STOCKS† – 0.7% (continued) |
|
|
Consumer, Cyclical – 0.1% (continued) |
|
|
Copart, Inc.*,2 |
273 |
$ 14,485 |
DR Horton, Inc.2 |
98 |
14,484 |
Ross Stores, Inc.2 |
103 |
14,395 |
NIKE, Inc. — Class B2 |
151 |
14,352 |
Genuine Parts Co.2 |
99 |
14,270 |
MGM Resorts International*,2 |
353 |
14,180 |
Wynn Resorts Ltd.2 |
149 |
14,137 |
PACCAR, Inc.2 |
131 |
14,083 |
Live Nation Entertainment, Inc.*,2 |
150 |
14,061 |
Tapestry, Inc.2 |
319 |
13,873 |
Marriott International, Inc. — Class A2 |
60 |
13,870 |
AutoZone, Inc.*,2 |
5 |
13,850 |
WW Grainger, Inc.2 |
15 |
13,822 |
Carnival Corp.*,2 |
916 |
13,814 |
Target Corp.2 |
88 |
13,742 |
Lowe’s Companies, Inc.2 |
62 |
13,720 |
O’Reilly Automotive, Inc.*,2 |
14 |
13,486 |
Home Depot, Inc.2 |
40 |
13,395 |
Starbucks Corp.2 |
165 |
13,236 |
McDonald’s Corp.2 |
51 |
13,203 |
Las Vegas Sands Corp.2 |
291 |
13,104 |
Pool Corp.2 |
36 |
13,088 |
Darden Restaurants, Inc.2 |
87 |
13,084 |
Fastenal Co.2 |
198 |
13,064 |
Dollar General Corp.2 |
95 |
13,006 |
CarMax, Inc.*,2 |
183 |
12,857 |
Caesars Entertainment, Inc.*,2 |
356 |
12,659 |
LKQ Corp.2 |
292 |
12,565 |
Norwegian Cruise Line Holdings Ltd.*,2 |
750 |
12,450 |
Dollar Tree, Inc.*,2 |
101 |
11,913 |
Southwest Airlines Co.2 |
438 |
11,756 |
American Airlines Group, Inc.*,2 |
1,022 |
11,753 |
Walgreens Boots Alliance, Inc.2 |
709 |
11,500 |
Ulta Beauty, Inc.*,2 |
28 |
11,062 |
Lululemon Athletica, Inc.*,2 |
33 |
10,296 |
Total Consumer, Cyclical |
|
1,628,864 |
Technology – 0.1% |
|
|
Qlik Technologies, Inc. – Class A*,††† |
112 |
182,647 |
Teradyne, Inc.2 |
141 |
19,872 |
Micron Technology, Inc.2 |
154 |
19,250 |
NVIDIA Corp.2 |
17 |
18,638 |
See notes to financial statements.
24 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
COMMON STOCKS† – 0.7% (continued) |
|
|
Technology – 0.1% (continued) |
|
|
Analog Devices, Inc.2 |
77 |
$ 18,056 |
QUALCOMM, Inc.2 |
88 |
17,956 |
Western Digital Corp.*,2 |
238 |
17,919 |
HP, Inc.2 |
488 |
17,812 |
NetApp, Inc.2 |
145 |
17,462 |
Tyler Technologies, Inc.*,2 |
36 |
17,293 |
Leidos Holdings, Inc.2 |
117 |
17,205 |
Texas Instruments, Inc.2 |
87 |
16,966 |
Apple, Inc.2 |
88 |
16,918 |
Take-Two Interactive Software, Inc.*,2 |
104 |
16,677 |
Zebra Technologies Corp. — Class A*,2 |
53 |
16,554 |
Microchip Technology, Inc.2 |
169 |
16,432 |
NXP Semiconductor N.V.2 |
60 |
16,326 |
Fidelity National Information Services, Inc.2 |
215 |
16,314 |
KLA Corp.2 |
21 |
15,950 |
Applied Materials, Inc.2 |
73 |
15,701 |
Oracle Corp.2 |
133 |
15,586 |
Fair Isaac Corp.*,2 |
12 |
15,479 |
Microsoft Corp.2 |
37 |
15,360 |
Seagate Technology Holdings plc2 |
162 |
15,105 |
Lam Research Corp.2 |
16 |
14,919 |
Paychex, Inc.2 |
124 |
14,900 |
Broadridge Financial Solutions, Inc.2 |
74 |
14,857 |
Fiserv, Inc.*,2 |
99 |
14,826 |
Electronic Arts, Inc.2 |
111 |
14,750 |
Hewlett Packard Enterprise Co.2 |
834 |
14,720 |
Monolithic Power Systems, Inc.2 |
20 |
14,713 |
Broadcom, Inc.2 |
11 |
14,614 |
Synopsys, Inc.*,2 |
26 |
14,581 |
Roper Technologies, Inc.2 |
27 |
14,385 |
ANSYS, Inc.*,2 |
45 |
14,285 |
PTC, Inc.*,2 |
81 |
14,275 |
Jack Henry & Associates, Inc.2 |
86 |
14,162 |
Cadence Design Systems, Inc.*,2 |
49 |
14,029 |
ON Semiconductor Corp.*,2 |
190 |
13,878 |
MSCI, Inc. — Class A2 |
27 |
13,370 |
Intuit, Inc.2 |
23 |
13,258 |
ServiceNow, Inc.*,2 |
20 |
13,139 |
Skyworks Solutions, Inc.2 |
141 |
13,065 |
Cognizant Technology Solutions Corp. — Class A2 |
195 |
12,899 |
International Business Machines Corp.2 |
77 |
12,847 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 25
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
COMMON STOCKS† – 0.7% (continued) |
|
|
Technology – 0.1% (continued) |
|
|
Qorvo, Inc.*,2 |
129 |
$ 12,692 |
Fortinet, Inc.*,2 |
210 |
12,457 |
Akamai Technologies, Inc.*,2 |
135 |
12,452 |
Advanced Micro Devices, Inc.*,2 |
73 |
12,183 |
Autodesk, Inc.*,2 |
60 |
12,096 |
Paycom Software, Inc.2 |
83 |
12,062 |
Adobe, Inc.*,2 |
27 |
12,009 |
Salesforce, Inc.2 |
49 |
11,488 |
Accenture plc — Class A2 |
40 |
11,292 |
Dayforce, Inc.*,2 |
224 |
11,079 |
Intel Corp.2 |
341 |
10,520 |
Super Micro Computer, Inc.*,2 |
13 |
10,199 |
EPAM Systems, Inc.*,2 |
48 |
8,541 |
Qlik Technologies, Inc. – Class B*,††† |
27,624 |
3 |
Total Technology |
|
1,019,023 |
Communications – 0.1% |
|
|
Figs, Inc. — Class A*,2 |
10,450 |
55,385 |
Vacasa, Inc. — Class A* |
9,841 |
45,269 |
Corning, Inc.2 |
459 |
17,102 |
Gen Digital, Inc.2 |
680 |
16,884 |
Motorola Solutions, Inc.2 |
45 |
16,421 |
Arista Networks, Inc.*,2 |
55 |
16,371 |
Paramount Global — Class B2 |
1,372 |
16,341 |
eBay, Inc.2 |
298 |
16,158 |
Netflix, Inc.*,2 |
25 |
16,040 |
Palo Alto Networks, Inc.*,2 |
54 |
15,925 |
T-Mobile US, Inc.2 |
91 |
15,921 |
AT&T, Inc.2 |
872 |
15,888 |
Verizon Communications, Inc.2 |
380 |
15,637 |
Omnicom Group, Inc.2 |
164 |
15,245 |
Charter Communications, Inc. — Class A*,2 |
53 |
15,217 |
Amazon.com, Inc.*,2 |
86 |
15,174 |
Booking Holdings, Inc.2 |
4 |
15,105 |
Interpublic Group of Companies, Inc.2 |
465 |
14,587 |
Juniper Networks, Inc.2 |
402 |
14,339 |
Warner Bros Discovery, Inc.*,2 |
1,718 |
14,156 |
Walt Disney Co.2 |
136 |
14,132 |
Comcast Corp. — Class A2 |
352 |
14,091 |
Cisco Systems, Inc.2 |
303 |
14,090 |
Meta Platforms, Inc. — Class A2 |
30 |
14,005 |
VeriSign, Inc.*,2 |
79 |
13,771 |
See notes to financial statements.
26 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
COMMON STOCKS† – 0.7% (continued) |
|
|
Communications – 0.1% (continued) |
|
|
CDW Corp.2 |
61 |
$ 13,641 |
Match Group, Inc.*,2 |
443 |
13,569 |
Airbnb, Inc. — Class A*,2 |
91 |
13,189 |
F5, Inc.*,2 |
78 |
13,180 |
Etsy, Inc.*,2 |
207 |
13,138 |
FactSet Research Systems, Inc.2 |
32 |
12,936 |
Expedia Group, Inc.*,2 |
110 |
12,415 |
Uber Technologies, Inc.*,2 |
191 |
12,331 |
Fox Corp. — Class A2 |
346 |
11,913 |
News Corp. — Class A2 |
434 |
11,800 |
Alphabet, Inc. — Class A2 |
60 |
10,350 |
Alphabet, Inc. — Class C2 |
50 |
8,698 |
Fox Corp. — Class B2 |
191 |
6,101 |
News Corp. — Class B2 |
131 |
3,652 |
Total Communications |
|
610,167 |
Utilities – 0.0% |
|
|
Mountain Creek Power LLC*,†† |
68,676 |
68,676 |
NextEra Energy, Inc.2 |
259 |
20,725 |
Vistra Corp.2 |
203 |
20,113 |
NRG Energy, Inc.2 |
247 |
20,007 |
AES Corp.2 |
923 |
19,928 |
Constellation Energy Corp.2 |
88 |
19,118 |
Public Service Enterprise Group, Inc.2 |
233 |
17,652 |
Southern Co.2 |
217 |
17,390 |
Dominion Energy, Inc.2 |
313 |
16,877 |
PG&E Corp.2 |
906 |
16,797 |
Edison International2 |
217 |
16,676 |
American Water Works Company, Inc.2 |
127 |
16,608 |
Pinnacle West Capital Corp.2 |
209 |
16,482 |
Duke Energy Corp.2 |
158 |
16,364 |
Entergy Corp.2 |
145 |
16,311 |
Xcel Energy, Inc.2 |
294 |
16,302 |
Sempra2 |
211 |
16,253 |
PPL Corp.2 |
552 |
16,190 |
CenterPoint Energy, Inc.2 |
530 |
16,170 |
American Electric Power Company, Inc.2 |
179 |
16,155 |
NiSource, Inc.2 |
555 |
16,128 |
Evergy, Inc.2 |
291 |
15,906 |
FirstEnergy Corp.2 |
394 |
15,862 |
Consolidated Edison, Inc.2 |
166 |
15,695 |
CMS Energy Corp.2 |
249 |
15,670 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 27
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
COMMON STOCKS† – 0.7% (continued) |
|
|
Utilities – 0.0% (continued) |
|
|
Alliant Energy Corp.2 |
304 |
$ 15,653 |
DTE Energy Co.2 |
133 |
15,499 |
Exelon Corp.2 |
406 |
15,245 |
Atmos Energy Corp.2 |
130 |
15,070 |
Ameren Corp.2 |
205 |
15,041 |
WEC Energy Group, Inc.2 |
184 |
14,910 |
Eversource Energy2 |
250 |
14,808 |
Total Utilities |
|
586,281 |
Energy – 0.0% |
|
|
First Solar, Inc.*,2 |
93 |
25,274 |
Marathon Oil Corp.2 |
606 |
17,550 |
Williams Companies, Inc.2 |
416 |
17,269 |
Targa Resources Corp.2 |
144 |
17,025 |
Equities Corp.2 |
400 |
16,436 |
Baker Hughes Co.2 |
490 |
16,405 |
Kinder Morgan, Inc.2 |
841 |
16,391 |
Diamondback Energy, Inc.2 |
82 |
16,339 |
Chevron Corp.2 |
100 |
16,230 |
Coterra Energy, Inc. — Class A2 |
569 |
16,228 |
Exxon Mobil Corp.2 |
138 |
16,182 |
Hess Corp.2 |
104 |
16,026 |
Devon Energy Corp.2 |
325 |
15,951 |
ONEOK, Inc.2 |
194 |
15,714 |
Valero Energy Corp.2 |
100 |
15,714 |
EOG Resources, Inc.2 |
126 |
15,693 |
ConocoPhillips2 |
133 |
15,492 |
Occidental Petroleum Corp.2 |
247 |
15,438 |
Halliburton Co.2 |
414 |
15,194 |
APA Corp.2 |
487 |
14,868 |
Marathon Petroleum Corp.2 |
84 |
14,835 |
Enphase Energy, Inc.*,2 |
115 |
14,708 |
Phillips 662 |
100 |
14,211 |
Schlumberger N.V.2 |
298 |
13,675 |
Revenir Energy, Inc.††† |
2,359 |
11,205 |
Permian Production Partners LLC*,††† |
184,043 |
8,797 |
Total Energy |
|
408,850 |
Basic Materials – 0.0% |
|
|
Freeport-McMoRan, Inc.2 |
376 |
19,827 |
International Paper Co.2 |
414 |
18,667 |
Newmont Corp.2 |
442 |
18,537 |
See notes to financial statements.
28 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
COMMON STOCKS† – 0.7% (continued) |
|
|
Basic Materials – 0.0% (continued) |
|
|
International Flavors & Fragrances, Inc.2 |
190 |
$ 18,274 |
DuPont de Nemours, Inc.2 |
210 |
17,254 |
Eastman Chemical Co.2 |
167 |
16,922 |
Air Products and Chemicals, Inc.2 |
62 |
16,535 |
Albemarle Corp.2 |
127 |
15,569 |
Ecolab, Inc.2 |
67 |
15,557 |
Dow, Inc.2 |
265 |
15,272 |
Steel Dynamics, Inc.2 |
114 |
15,261 |
LyondellBasell Industries N.V. — Class A2 |
152 |
15,112 |
Mosaic Co.2 |
475 |
14,692 |
Celanese Corp. — Class A2 |
96 |
14,596 |
FMC Corp.2 |
239 |
14,567 |
CF Industries Holdings, Inc.2 |
178 |
14,192 |
PPG Industries, Inc.2 |
107 |
14,061 |
Linde plc2 |
32 |
13,937 |
Nucor Corp.2 |
81 |
13,677 |
Sherwin-Williams Co.2 |
44 |
13,367 |
Total Basic Materials |
|
315,876 |
Total Common Stocks |
|
|
(Cost $14,636,294) |
|
11,796,333 |
PREFERRED STOCKS†† – 6.0% |
|
|
Financial – 5.2% |
|
|
Citigroup, Inc. |
|
|
7.38%5 |
4,300,000 |
4,401,226 |
3.88%5 |
4,000,000 |
3,763,191 |
4.15%2,5 |
2,000,000 |
1,851,555 |
4.00%5 |
1,750,000 |
1,672,352 |
Bank of America Corp. |
|
|
4.38%2,5 |
2,925,000 |
7,799,248 |
6.50%5 |
2,000,000 |
1,998,277 |
6.30%5 |
1,000,000 |
1,004,373 |
4.13%2 |
26,000 |
475,540 |
Wells Fargo & Co. |
|
|
4.75%2 |
183,750 |
3,752,175 |
3.90%5 |
3,300,000 |
3,118,840 |
4.70%2 |
148,000 |
3,010,320 |
4.38%2 |
50,000 |
961,000 |
Goldman Sachs Group, Inc. |
|
|
7.50%5 |
7,700,000 |
7,911,096 |
Kuvare US Holdings, Inc. |
|
|
7.00% due 02/17/515,6 |
6,400,000 |
6,384,000 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 29
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
PREFERRED STOCKS†† – 6.0% (continued) |
|
|
Financial – 5.2% (continued) |
|
|
Equitable Holdings, Inc. |
|
|
4.95%5 |
3,650,000 |
$ 3,582,468 |
4.30%2 |
82,000 |
1,530,940 |
Markel Group, Inc. |
|
|
6.00%2,5 |
4,770,000 |
4,733,104 |
Jackson Financial, Inc. |
|
|
8.00%2 |
152,000 |
4,058,400 |
Lincoln National Corp. |
|
|
9.25%5 |
3,600,000 |
3,878,323 |
Public Storage |
|
|
4.63%2 |
144,400 |
2,991,968 |
4.13%2 |
16,400 |
307,336 |
W R Berkley Corp. |
|
|
4.13% due 03/30/61 |
126,000 |
2,305,800 |
4.25% due 09/30/60 |
36,800 |
684,848 |
Charles Schwab Corp. |
|
|
4.00%5 |
3,150,000 |
2,623,503 |
PartnerRe Ltd. |
|
|
4.88% |
128,000 |
2,497,280 |
JPMorgan Chase & Co. |
|
|
4.55%2 |
49,000 |
1,001,560 |
4.20%2 |
40,000 |
762,000 |
4.63%2 |
24,000 |
496,560 |
American Financial Group, Inc. |
|
|
4.50% due 09/15/60 |
100,000 |
1,849,000 |
MetLife, Inc. |
|
|
3.85%5 |
1,820,000 |
1,749,936 |
CNO Financial Group, Inc. |
|
|
5.13% due 11/25/60 |
80,000 |
1,572,000 |
Assurant, Inc. |
|
|
5.25% due 01/15/61 |
58,000 |
1,219,740 |
American National Group, Inc. |
|
|
5.95% |
46,000 |
1,119,180 |
Arch Capital Group Ltd. |
|
|
4.55%2 |
38,000 |
742,520 |
Selective Insurance Group, Inc. |
|
|
4.60%2 |
36,000 |
658,080 |
Avison Young (Canada), Inc. |
|
|
12.50%* |
815,493 |
326,197 |
RenaissanceRe Holdings Ltd. |
|
|
4.20% |
13,000 |
228,410 |
Globe Life, Inc. |
|
|
4.25% due 06/15/61 |
11,000 |
159,720 |
Reinsurance Group of America, Inc. |
|
|
7.13% due 10/15/52 |
2,900 |
75,719 |
See notes to financial statements.
30 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
PREFERRED STOCKS†† – 6.0% (continued) |
|
|
Financial – 5.2% (continued) |
|
|
First Republic Bank |
|
|
4.50%*††† |
200,000 |
$ 6,000 |
4.25%*††† |
158,000 |
4,740 |
4.13%*††† |
84,800 |
2,544 |
Total Financial |
|
89,271,069 |
Communications – 0.6% |
|
|
AT&T Mobility II LLC |
|
|
6.80%*,††† |
10,000 |
9,897,700 |
Government – 0.1% |
|
|
Farmer Mac |
|
|
5.75%2 |
105,224 |
2,402,264 |
Consumer, Cyclical – 0.1% |
|
|
Exide Technologies*,††† |
761 |
997,509 |
Total Preferred Stocks |
|
|
(Cost $123,470,837) |
|
102,568,542 |
WARRANTS† – 0.0% |
|
|
Ginkgo Bioworks Holdings, Inc. |
|
|
Expiring 09/16/26* |
26,852 |
1,074 |
Pershing Square Holdings, Ltd. |
|
|
Expiring 12/31/49*,†††,4 |
318,615 |
32 |
Pershing Square Tontine Holdings, Ltd. |
|
|
Expiring 07/24/25*,†††,4 |
115,860 |
12 |
Total Warrants |
|
|
(Cost $62,178) |
|
1,118 |
EXCHANGE-TRADED FUNDS† – 0.3% |
|
|
SPDR S&P 500 ETF Trust2 |
4,334 |
2,285,622 |
iShares Russell 2000 Index ETF2 |
5,815 |
1,196,552 |
Invesco QQQ Trust Series2 |
2,572 |
1,159,226 |
Total Exchange-Traded Funds |
|
|
(Cost $3,328,876) |
|
4,641,400 |
CLOSED-END MUTUAL FUNDS† – 1.3% |
|
|
Guggenheim Active Allocation Fund3 |
950,000 |
14,269,000 |
Blackstone Strategic Credit Fund |
186,741 |
2,214,748 |
BlackRock Credit Allocation Income Trust |
184,289 |
1,951,621 |
Nuveen Taxable Municipal Income Fund |
110,767 |
1,660,397 |
Eaton Vance Limited Duration Income Fund |
141,764 |
1,390,705 |
Western Asset High Income Opportunity Fund, Inc. |
160,170 |
602,239 |
Nuveen AMT-Free Municipal Credit Income Fund |
234 |
2,756 |
Nuveen AMT-Free Quality Municipal Income Fund |
156 |
1,696 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 31
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
|
Shares |
Value |
CLOSED-END MUTUAL FUNDS† – 1.3% (continued) |
|
|
Nuveen Quality Municipal Income Fund |
128 |
$ 1,439 |
Total Closed-End Mutual Funds |
|
|
(Cost $22,390,697) |
|
22,094,601 |
MONEY MARKET FUNDS† – 2.3% |
|
|
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.19%7 |
39,428,315 |
39,428,315 |
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 5.19%7 |
492,159 |
492,159 |
Total Money Market Funds |
|
|
(Cost $39,920,474) |
|
39,920,474 |
|
Face |
|
|
Amount~ |
|
CORPORATE BONDS†† – 44.2% |
|
|
Financial – 12.4% |
|
|
Morgan Stanley Finance LLC |
|
|
0.50% due 10/23/29à,†††,8 |
13,500,000 |
10,897,200 |
Dyal Capital Partners III |
|
|
4.40% due 06/15/40††† |
10,000,000 |
8,851,424 |
Jane Street Group / JSG Finance, Inc. |
|
|
7.13% due 04/30/312,6 |
5,200,000 |
5,294,037 |
4.50% due 11/15/292,6 |
3,500,000 |
3,240,569 |
Encore Capital Group, Inc. |
|
|
8.50% due 05/15/306 |
6,100,000 |
6,106,427 |
9.25% due 04/01/296 |
2,300,000 |
2,393,597 |
United Wholesale Mortgage LLC |
|
|
5.50% due 11/15/252,6 |
4,060,000 |
4,023,311 |
5.50% due 04/15/292,6 |
1,925,000 |
1,807,575 |
5.75% due 06/15/272,6 |
1,400,000 |
1,354,281 |
Wilton RE Ltd. |
|
|
6.00% 5,6,9 |
7,800,000 |
7,020,236 |
Jefferies Finance LLC / JFIN Company-Issuer Corp. |
|
|
5.00% due 08/15/282,6 |
7,500,000 |
6,894,894 |
Accident Fund Insurance Company of America |
|
|
8.50% due 08/01/322,6 |
7,000,000 |
6,824,746 |
Hunt Companies, Inc. |
|
|
5.25% due 04/15/296 |
7,325,000 |
6,507,950 |
Jones Deslauriers Insurance Management, Inc. |
|
|
10.50% due 12/15/306 |
3,650,000 |
3,928,163 |
8.50% due 03/15/306 |
2,050,000 |
2,157,577 |
Iron Mountain, Inc. |
|
|
5.63% due 07/15/322,6 |
6,500,000 |
6,065,694 |
Corebridge Financial, Inc. |
|
|
6.88% due 12/15/525 |
5,840,000 |
5,876,608 |
Maple Grove Funding Trust I |
|
|
4.16% due 08/15/512,6 |
8,000,000 |
5,358,911 |
See notes to financial statements.
32 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
CORPORATE BONDS†† – 44.2% (continued) |
|
|
Financial – 12.4% (continued) |
|
|
OneMain Finance Corp. |
|
|
4.00% due 09/15/302 |
2,200,000 |
$ 1,869,683 |
7.13% due 03/15/26 |
1,100,000 |
1,116,147 |
7.88% due 03/15/302 |
750,000 |
764,078 |
3.88% due 09/15/28 |
800,000 |
711,618 |
6.63% due 01/15/28 |
450,000 |
447,052 |
9.00% due 01/15/292 |
400,000 |
419,883 |
Cushman & Wakefield US Borrower LLC |
|
|
6.75% due 05/15/282,6 |
4,800,000 |
4,773,036 |
Kennedy-Wilson, Inc. |
|
|
5.00% due 03/01/312 |
3,750,000 |
2,983,321 |
4.75% due 02/01/30 |
1,450,000 |
1,188,617 |
4.75% due 03/01/292 |
425,000 |
361,411 |
Liberty Mutual Group, Inc. |
|
|
4.30% due 02/01/616 |
7,300,000 |
4,387,066 |
LPL Holdings, Inc. |
|
|
4.00% due 03/15/292,6 |
4,172,000 |
3,867,573 |
4.38% due 05/15/312,6 |
476,000 |
433,654 |
National Life Insurance Co. |
|
|
10.50% due 09/15/396 |
3,400,000 |
4,260,478 |
AmFam Holdings, Inc. |
|
|
3.83% due 03/11/512,6 |
7,200,000 |
4,242,179 |
RXR Realty LLC |
|
|
6.75% due 07/17/25††† |
4,200,000 |
4,116,954 |
PHM Group Holding Oy |
|
|
4.75% due 06/18/266 |
EUR 3,900,000 |
4,073,291 |
Global Atlantic Finance Co. |
|
|
4.70% due 10/15/515,6 |
2,900,000 |
2,623,400 |
3.13% due 06/15/312,6 |
1,750,000 |
1,447,802 |
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. |
|
|
4.00% due 10/15/332,6 |
4,031,000 |
3,346,746 |
3.88% due 03/01/312,6 |
825,000 |
713,103 |
Hampton Roads PPV LLC |
|
|
6.62% due 06/15/53†††,6 |
4,590,000 |
3,728,149 |
GLP Capital Limited Partnership / GLP Financing II, Inc. |
|
|
3.25% due 01/15/322 |
3,250,000 |
2,697,027 |
5.30% due 01/15/292 |
1,050,000 |
1,027,702 |
MidCap Funding XLVI Trust |
|
|
8.82% (1 Month Term SOFR + 3.50%, Rate Floor: 0.00%) due 04/15/27à,††† |
3,700,000 |
3,700,000 |
UBS AG NY |
|
|
7.95% due 01/09/252 |
3,600,000 |
3,645,501 |
NatWest Group plc |
|
|
7.47% due 11/10/262,5 |
3,500,000 |
3,584,511 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 33
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
CORPORATE BONDS†† – 44.2% (continued) |
|
|
Financial – 12.4% (continued) |
|
|
PennyMac Financial Services, Inc. |
|
|
7.13% due 11/15/306 |
2,650,000 |
$ 2,615,770 |
7.88% due 12/15/296 |
850,000 |
870,270 |
Host Hotels & Resorts, LP |
|
|
3.50% due 09/15/302 |
3,610,000 |
3,184,752 |
Standard Chartered plc |
|
|
7.78% due 11/16/252,5,6 |
3,100,000 |
3,126,575 |
Sherwood Financing plc |
|
|
6.00% due 11/15/266 |
GBP 2,000,000 |
2,152,010 |
4.50% due 11/15/266 |
EUR 1,000,000 |
938,802 |
Toronto-Dominion Bank |
|
|
8.13% due 10/31/822,5 |
2,850,000 |
2,953,848 |
Ares Finance Company IV LLC |
|
|
3.65% due 02/01/522,6 |
4,100,000 |
2,820,328 |
Americo Life, Inc. |
|
|
3.45% due 04/15/312,6 |
3,511,000 |
2,793,541 |
BBC Military Housing-Navy Northeast LLC |
|
|
6.30% due 10/15/491 |
2,700,000 |
2,466,721 |
HUB International Ltd. |
|
|
5.63% due 12/01/296 |
2,500,000 |
2,319,484 |
Bank of Nova Scotia |
|
|
8.63% due 10/27/825 |
2,150,000 |
2,244,574 |
Kane Bidco Ltd. |
|
|
5.00% due 02/15/27 |
EUR 2,050,000 |
2,173,036 |
Nationstar Mortgage Holdings, Inc. |
|
|
5.00% due 02/01/266 |
2,180,000 |
2,138,914 |
Lincoln National Corp. |
|
|
4.38% due 06/15/502 |
2,560,000 |
1,925,014 |
First American Financial Corp. |
|
|
4.00% due 05/15/302 |
1,740,000 |
1,554,940 |
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer |
|
|
4.25% due 10/15/272,6 |
725,000 |
677,973 |
7.00% due 01/15/316 |
425,000 |
426,111 |
6.75% due 04/15/286 |
350,000 |
350,650 |
Allianz SE |
|
|
3.50% 5,6,9 |
1,400,000 |
1,309,361 |
Weyerhaeuser Co. |
|
|
6.88% due 12/15/332 |
1,100,000 |
1,196,676 |
OneAmerica Financial Partners, Inc. |
|
|
4.25% due 10/15/502,6 |
1,730,000 |
1,163,908 |
Ryan Specialty LLC |
|
|
4.38% due 02/01/306 |
1,100,000 |
1,014,849 |
USI, Inc. |
|
|
7.50% due 01/15/326 |
970,000 |
973,624 |
See notes to financial statements.
34 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
CORPORATE BONDS†† – 44.2% (continued) |
|
|
Financial – 12.4% (continued) |
|
|
QBE Insurance Group Ltd. |
|
|
5.88% 2,5,6,9 |
950,000 |
$ 937,227 |
Reinsurance Group of America, Inc. |
|
|
3.15% due 06/15/302 |
1,000,000 |
882,692 |
Pershing Square Holdings Ltd. |
|
|
3.25% due 10/01/316 |
1,100,000 |
879,162 |
PartnerRe Finance B LLC |
|
|
4.50% due 10/01/505 |
950,000 |
862,164 |
Galaxy Bidco Ltd. |
|
|
8.87% (3 Month EURIBOR + 5.00%, Rate Floor: 5.00%) due 07/31/26à |
EUR 750,000 |
817,383 |
Prudential Financial, Inc. |
|
|
5.13% due 03/01/525 |
700,000 |
650,126 |
Fort Moore Family Communities LLC |
|
|
6.09% due 01/15/516 |
685,505 |
599,092 |
Pacific Beacon LLC |
|
|
5.63% due 07/15/516 |
659,758 |
582,832 |
Macquarie Bank Ltd. |
|
|
3.62% due 06/03/302,6 |
640,000 |
568,418 |
Assurant, Inc. |
|
|
7.00% due 03/27/485 |
400,000 |
404,541 |
Fort Gordon Housing LLC |
|
|
6.32% due 05/15/516 |
200,000 |
185,293 |
Atlas Mara Ltd. |
|
|
due 12/31/21†††,10 |
180,783 |
– |
Total Financial |
|
211,893,843 |
Consumer, Non-cyclical – 6.4% |
|
|
Medline Borrower, LP |
|
|
5.25% due 10/01/292,6 |
5,200,000 |
4,901,917 |
3.88% due 04/01/296 |
2,000,000 |
1,820,353 |
Cheplapharm Arzneimittel GmbH |
|
|
5.50% due 01/15/282,6 |
6,945,000 |
6,476,213 |
BCP V Modular Services Finance II plc |
|
|
6.13% due 10/30/286 |
GBP 4,250,000 |
4,915,533 |
4.75% due 10/30/286 |
EUR 1,550,000 |
1,556,559 |
Bausch Health Companies, Inc. |
|
|
4.88% due 06/01/286 |
8,025,000 |
5,878,313 |
Williams Scotsman, Inc. |
|
|
4.63% due 08/15/286 |
3,675,000 |
3,431,422 |
6.13% due 06/15/256 |
1,683,000 |
1,678,006 |
US Foods, Inc. |
|
|
4.63% due 06/01/302,6 |
2,500,000 |
2,295,700 |
4.75% due 02/15/296 |
2,250,000 |
2,111,943 |
Champions Financing, Inc. |
|
|
8.75% due 02/15/292,6 |
4,020,000 |
4,132,815 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 35
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
CORPORATE BONDS†† – 44.2% (continued) |
|
|
Consumer, Non-cyclical – 6.4% (continued) |
|
|
Reynolds American, Inc. |
|
|
5.70% due 08/15/352 |
4,150,000 |
$ 4,069,903 |
Altria Group, Inc. |
|
|
3.70% due 02/04/512 |
6,000,000 |
4,045,052 |
CPI CG, Inc. |
|
|
8.63% due 03/15/266 |
3,758,000 |
3,775,492 |
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc. |
|
|
4.38% due 02/02/522 |
4,800,000 |
3,555,199 |
Upbound Group, Inc. |
|
|
6.38% due 02/15/292,6 |
3,625,000 |
3,495,487 |
Post Holdings, Inc. |
|
|
4.50% due 09/15/312,6 |
3,925,000 |
3,474,158 |
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc. |
|
|
5.00% due 02/01/262,6 |
3,000,000 |
2,970,129 |
Sotheby’s |
|
|
7.38% due 10/15/272,6 |
3,399,000 |
2,958,650 |
AZ Battery Property LLC |
|
|
6.73% due 02/20/46††† |
3,000,000 |
2,950,601 |
Acadia Healthcare Company, Inc. |
|
|
5.00% due 04/15/292,6 |
2,400,000 |
2,262,454 |
5.50% due 07/01/286 |
550,000 |
534,809 |
DaVita, Inc. |
|
|
4.63% due 06/01/306 |
1,900,000 |
1,702,177 |
3.75% due 02/15/316 |
1,200,000 |
1,007,043 |
Neogen Food Safety Corp. |
|
|
8.63% due 07/20/306 |
2,450,000 |
2,617,607 |
Castor S.p.A. |
|
|
9.19% (3 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 02/15/29à,6 |
EUR 2,300,000 |
2,446,994 |
Avantor Funding, Inc. |
|
|
4.63% due 07/15/282,6 |
1,700,000 |
1,599,726 |
3.88% due 11/01/296 |
925,000 |
829,027 |
Verisure Holding AB |
|
|
5.50% due 05/15/306 |
EUR 1,950,000 |
2,142,715 |
Sotheby’s/Bidfair Holdings, Inc. |
|
|
5.88% due 06/01/296 |
2,700,000 |
2,112,273 |
Option Care Health, Inc. |
|
|
4.38% due 10/31/296 |
2,275,000 |
2,071,221 |
ADT Security Corp. |
|
|
4.13% due 08/01/292,6 |
1,050,000 |
953,687 |
4.88% due 07/15/326 |
1,000,000 |
902,448 |
Spectrum Brands, Inc. |
|
|
5.50% due 07/15/306 |
1,700,000 |
1,698,829 |
Gartner, Inc. |
|
|
4.50% due 07/01/282,6 |
1,700,000 |
1,618,811 |
See notes to financial statements.
36 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
CORPORATE BONDS†† – 44.2% (continued) |
|
|
Consumer, Non-cyclical – 6.4% (continued) |
|
|
APi Group DE, Inc. |
|
|
4.75% due 10/15/296 |
1,225,000 |
$ 1,123,488 |
4.13% due 07/15/296 |
400,000 |
358,304 |
Nathan’s Famous, Inc. |
|
|
6.63% due 11/01/256 |
1,462,000 |
1,458,345 |
HealthEquity, Inc. |
|
|
4.50% due 10/01/292,6 |
1,550,000 |
1,419,866 |
Royalty Pharma plc |
|
|
3.55% due 09/02/50 |
2,100,000 |
1,407,733 |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. |
|
|
7.00% due 12/31/272,6 |
1,038,000 |
1,019,839 |
5.00% due 12/31/266 |
250,000 |
242,194 |
Grifols S.A. |
|
|
4.75% due 10/15/286 |
1,350,000 |
1,174,538 |
TreeHouse Foods, Inc. |
|
|
4.00% due 09/01/28 |
1,150,000 |
1,024,075 |
Central Garden & Pet Co. |
|
|
4.13% due 10/15/302 |
625,000 |
553,467 |
4.13% due 04/30/316 |
400,000 |
349,841 |
Carriage Services, Inc. |
|
|
4.25% due 05/15/296 |
775,000 |
687,261 |
AMN Healthcare, Inc. |
|
|
4.63% due 10/01/272,6 |
725,000 |
685,996 |
Valvoline, Inc. |
|
|
3.63% due 06/15/316 |
760,000 |
641,166 |
Catalent Pharma Solutions, Inc. |
|
|
3.50% due 04/01/302,6 |
625,000 |
594,094 |
WW International, Inc. |
|
|
4.50% due 04/15/292,6 |
950,000 |
399,000 |
Prestige Brands, Inc. |
|
|
3.75% due 04/01/316 |
300,000 |
257,235 |
Darling Ingredients, Inc. |
|
|
6.00% due 06/15/306 |
250,000 |
244,375 |
Nidda Healthcare Holding |
|
|
7.50% due 08/21/26 |
EUR 175,000 |
196,147 |
Albertsons Companies Incorporated / Safeway Inc / New Albertsons |
|
|
Limited Partnership / Albertsons LLC |
|
|
5.88% due 02/15/286 |
100,000 |
98,269 |
Total Consumer, Non-cyclical |
|
108,928,499 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 37
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
CORPORATE BONDS†† – 44.2% (continued) |
|
|
Consumer, Cyclical – 6.3% |
|
|
Delta Air Lines, Inc. |
|
|
7.00% due 05/01/252,6 |
10,535,000 |
$ 10,633,129 |
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. |
|
|
5.88% due 03/01/272 |
3,210,000 |
3,160,880 |
5.00% due 06/01/316 |
1,800,000 |
1,615,360 |
CD&R Smokey Buyer, Inc. |
|
|
6.75% due 07/15/252,6 |
4,445,000 |
4,409,722 |
Crocs, Inc. |
|
|
4.25% due 03/15/292,6 |
3,188,000 |
2,909,971 |
4.13% due 08/15/316 |
1,400,000 |
1,217,563 |
Penn Entertainment, Inc. |
|
|
4.13% due 07/01/296 |
4,925,000 |
4,110,159 |
Wabash National Corp. |
|
|
4.50% due 10/15/286 |
4,350,000 |
3,925,856 |
Delta Air Lines, Inc. / SkyMiles IP Ltd. |
|
|
4.75% due 10/20/286 |
3,950,000 |
3,846,753 |
Allwyn Entertainment Financing UK plc |
|
|
7.88% due 04/30/296 |
3,750,000 |
3,824,392 |
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. |
|
|
5.75% due 01/20/262,6 |
4,075,000 |
3,757,576 |
Wolverine World Wide, Inc. |
|
|
4.00% due 08/15/296 |
4,450,000 |
3,706,051 |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc. |
|
|
4.63% due 01/15/292,6 |
4,100,000 |
3,688,167 |
Station Casinos LLC |
|
|
4.63% due 12/01/312,6 |
4,200,000 |
3,678,098 |
Live Nation Entertainment, Inc. |
|
|
6.50% due 05/15/272,6 |
3,350,000 |
3,367,464 |
Evergreen Acqco 1 Limited Partnership / TVI, Inc. |
|
|
9.75% due 04/26/282,6 |
2,916,000 |
3,092,119 |
Air Canada Class A Pass Through Trust |
|
|
5.25% due 04/01/292,6 |
3,092,063 |
3,016,971 |
Air Canada |
|
|
4.63% due 08/15/296 |
CAD 2,900,000 |
2,037,140 |
3.88% due 08/15/262,6 |
825,000 |
783,175 |
Walgreens Boots Alliance, Inc. |
|
|
4.10% due 04/15/502 |
3,800,000 |
2,764,373 |
Clarios Global Limited Partnership / Clarios US Finance Co. |
|
|
8.50% due 05/15/272,6 |
2,650,000 |
2,666,982 |
PetSmart, Inc. / PetSmart Finance Corp. |
|
|
4.75% due 02/15/286 |
2,725,000 |
2,530,719 |
Scotts Miracle-Gro Co. |
|
|
4.00% due 04/01/31 |
2,150,000 |
1,837,644 |
4.38% due 02/01/32 |
700,000 |
596,825 |
See notes to financial statements.
38 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
CORPORATE BONDS†† – 44.2% (continued) |
|
|
Consumer, Cyclical – 6.3% (continued) |
|
|
United Airlines, Inc. |
|
|
4.63% due 04/15/292,6 |
2,575,000 |
$ 2,380,076 |
JB Poindexter & Company, Inc. |
|
|
8.75% due 12/15/316 |
2,270,000 |
2,325,022 |
Ontario Gaming GTA, LP |
|
|
8.00% due 08/01/306 |
2,150,000 |
2,204,127 |
Ritchie Bros Holdings, Inc. |
|
|
7.75% due 03/15/316 |
1,750,000 |
1,826,646 |
Superior Plus Limited Partnership / Superior General Partner, Inc. |
|
|
4.50% due 03/15/296 |
2,000,000 |
1,819,491 |
Yum! Brands, Inc. |
|
|
4.63% due 01/31/322 |
1,987,000 |
1,809,906 |
Hanesbrands, Inc. |
|
|
9.00% due 02/15/312,6 |
1,500,000 |
1,531,305 |
4.88% due 05/15/266 |
225,000 |
218,271 |
HP Communities LLC |
|
|
6.82% due 09/15/536 |
913,043 |
883,369 |
6.16% due 09/15/536 |
1,000,000 |
786,275 |
Wyndham Hotels & Resorts, Inc. |
|
|
4.38% due 08/15/282,6 |
1,625,000 |
1,507,455 |
ONE Hotels GmbH |
|
|
7.75% due 04/02/316 |
EUR 1,300,000 |
1,443,937 |
1011778 BC ULC / New Red Finance, Inc. |
|
|
3.88% due 01/15/286 |
850,000 |
789,647 |
4.00% due 10/15/306 |
725,000 |
630,854 |
Boyne USA, Inc. |
|
|
4.75% due 05/15/296 |
1,250,000 |
1,154,436 |
Hilton Domestic Operating Company, Inc. |
|
|
3.63% due 02/15/326 |
1,350,000 |
1,144,928 |
Deuce FinCo plc |
|
|
5.50% due 06/15/27 |
GBP 900,000 |
1,085,705 |
Tempur Sealy International, Inc. |
|
|
3.88% due 10/15/316 |
700,000 |
588,051 |
4.00% due 04/15/296 |
500,000 |
448,363 |
Clarios Global, LP |
|
|
6.75% due 05/15/256 |
990,000 |
989,932 |
Six Flags Theme Parks, Inc. |
|
|
7.00% due 07/01/256 |
969,000 |
970,285 |
Allison Transmission, Inc. |
|
|
3.75% due 01/30/312,6 |
1,100,000 |
953,187 |
Ferrellgas Limited Partnership / Ferrellgas Finance Corp. |
|
|
5.38% due 04/01/266 |
975,000 |
952,079 |
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc. |
|
|
6.63% due 03/01/306 |
850,000 |
805,167 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 39
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
CORPORATE BONDS†† – 44.2% (continued) |
|
|
Consumer, Cyclical – 6.3% (continued) |
|
|
United Airlines Class AA Pass Through Trust |
|
|
3.45% due 12/01/27 |
405,994 |
$ 380,380 |
Velocity Vehicle Group LLC |
|
|
8.00% due 06/01/296 |
370,000 |
376,013 |
Superior Plus, LP |
|
|
4.25% due 05/18/286 |
CAD 350,000 |
240,882 |
Aramark Services, Inc. |
|
|
5.00% due 02/01/286 |
110,000 |
105,171 |
Exide Technologies |
|
|
due 10/31/24†††,10 |
2,353,687 |
2 |
Total Consumer, Cyclical |
|
107,528,051 |
Communications – 4.9% |
|
|
McGraw-Hill Education, Inc. |
|
|
8.00% due 08/01/292,6 |
6,300,000 |
5,873,361 |
5.75% due 08/01/286 |
3,525,000 |
3,288,939 |
Altice France S.A. |
|
|
5.50% due 10/15/292,6 |
8,175,000 |
5,484,402 |
5.13% due 07/15/292,6 |
3,025,000 |
2,028,737 |
8.13% due 02/01/276 |
1,300,000 |
1,002,063 |
Cogent Communications Group, Inc. |
|
|
7.00% due 06/15/272,6 |
7,500,000 |
7,464,857 |
British Telecommunications plc |
|
|
4.88% due 11/23/812,5,6 |
5,550,000 |
4,978,212 |
4.25% due 11/23/812,5,6 |
950,000 |
892,519 |
VZ Secured Financing BV |
|
|
5.00% due 01/15/322,6 |
6,850,000 |
5,813,448 |
Outfront Media Capital LLC / Outfront Media Capital Corp. |
|
|
4.25% due 01/15/292,6 |
5,725,000 |
5,168,787 |
Paramount Global |
|
|
4.95% due 05/19/502 |
6,390,000 |
4,612,451 |
Sunrise FinCo I BV |
|
|
4.88% due 07/15/312,6 |
4,550,000 |
4,061,330 |
LCPR Senior Secured Financing DAC |
|
|
6.75% due 10/15/276 |
2,114,000 |
2,002,392 |
5.13% due 07/15/292,6 |
1,900,000 |
1,594,982 |
AMC Networks, Inc. |
|
|
4.25% due 02/15/292 |
3,450,000 |
2,433,865 |
10.25% due 01/15/296 |
1,100,000 |
1,097,525 |
Corning, Inc. |
|
|
4.38% due 11/15/572 |
4,100,000 |
3,195,177 |
CSC Holdings LLC |
|
|
11.25% due 05/15/282,6 |
2,750,000 |
2,218,920 |
4.63% due 12/01/302,6 |
1,913,000 |
804,328 |
See notes to financial statements.
40 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
CORPORATE BONDS†† – 44.2% (continued) |
|
|
Communications – 4.9% (continued) |
|
|
Vodafone Group plc |
|
|
5.13% due 06/04/812,5 |
4,100,000 |
$ 3,015,119 |
Ciena Corp. |
|
|
4.00% due 01/31/302,6 |
2,150,000 |
1,925,666 |
Sirius XM Radio, Inc. |
|
|
3.88% due 09/01/316 |
2,300,000 |
1,836,639 |
Rogers Communications, Inc. |
|
|
4.55% due 03/15/52 |
2,200,000 |
1,791,899 |
CCO Holdings LLC / CCO Holdings Capital Corp. |
|
|
4.50% due 06/01/332,6 |
1,225,000 |
945,314 |
4.25% due 01/15/346 |
750,000 |
558,817 |
4.50% due 05/01/32 |
325,000 |
257,819 |
TripAdvisor, Inc. |
|
|
7.00% due 07/15/252,6 |
1,575,000 |
1,577,725 |
Vmed O2 UK Financing I plc |
|
|
4.25% due 01/31/316 |
1,225,000 |
1,008,404 |
4.75% due 07/15/316 |
650,000 |
539,551 |
Level 3 Financing, Inc. |
|
|
3.88% due 10/15/306 |
1,500,000 |
824,135 |
11.00% due 11/15/296 |
347,164 |
355,904 |
4.00% due 04/15/316 |
600,000 |
327,720 |
Charter Communications Operating LLC / Charter Communications Operating Capital |
|
|
3.90% due 06/01/52 |
2,000,000 |
1,255,178 |
Virgin Media Secured Finance plc |
|
|
4.50% due 08/15/306 |
1,200,000 |
1,005,948 |
Zayo Group Holdings, Inc. |
|
|
4.00% due 03/01/276 |
1,050,000 |
818,778 |
Match Group Holdings II LLC |
|
|
3.63% due 10/01/312,6 |
875,000 |
728,786 |
Ziggo BV |
|
|
4.88% due 01/15/306 |
725,000 |
646,182 |
Ziggo Bond Company BV |
|
|
5.13% due 02/28/306 |
500,000 |
427,049 |
Total Communications |
|
83,862,928 |
Industrial – 4.6% |
|
|
New Enterprise Stone & Lime Company, Inc. |
|
|
9.75% due 07/15/286 |
7,717,000 |
7,900,446 |
5.25% due 07/15/282,6 |
2,025,000 |
1,903,463 |
Standard Industries, Inc. |
|
|
4.38% due 07/15/302,6 |
7,050,000 |
6,291,288 |
3.38% due 01/15/316 |
1,100,000 |
917,773 |
IP Lending X Ltd. |
|
|
7.75% due 07/02/29†††,6 |
4,765,000 |
4,822,180 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 41
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
CORPORATE BONDS†† – 44.2% (continued) |
|
|
Industrial – 4.6% (continued) |
|
|
Calderys Financing LLC |
|
|
11.25% due 06/01/282,6 |
3,737,000 |
$ 3,984,644 |
Great Lakes Dredge & Dock Corp. |
|
|
5.25% due 06/01/292,6 |
4,500,000 |
3,984,629 |
Builders FirstSource, Inc. |
|
|
6.38% due 06/15/322,6 |
2,500,000 |
2,490,721 |
4.25% due 02/01/326 |
1,675,000 |
1,462,782 |
Victoria plc |
|
|
3.63% due 08/05/26 |
EUR 4,004,000 |
3,595,258 |
Enviri Corp. |
|
|
5.75% due 07/31/272,6 |
3,624,000 |
3,435,988 |
Waste Pro USA, Inc. |
|
|
5.50% due 02/15/266 |
3,370,000 |
3,318,394 |
Mauser Packaging Solutions Holding Co. |
|
|
7.88% due 04/15/276 |
1,875,000 |
1,910,363 |
9.25% due 04/15/276 |
1,000,000 |
995,881 |
Howmet Aerospace, Inc. |
|
|
3.00% due 01/15/292 |
1,175,000 |
1,059,371 |
5.95% due 02/01/37 |
875,000 |
895,044 |
6.88% due 05/01/252 |
800,000 |
807,557 |
Artera Services LLC |
|
|
8.50% due 02/15/316 |
2,400,000 |
2,452,272 |
Clearwater Paper Corp. |
|
|
4.75% due 08/15/286 |
2,547,000 |
2,375,559 |
SCIL IV LLC / SCIL USA Holdings LLC |
|
|
9.50% due 07/15/28 |
EUR 1,800,000 |
2,116,699 |
AmeriTex HoldCo Intermediate LLC |
|
|
10.25% due 10/15/282,6 |
1,900,000 |
1,991,339 |
GrafTech Global Enterprises, Inc. |
|
|
9.88% due 12/15/282,6 |
2,600,000 |
1,962,496 |
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc |
|
|
4.00% due 09/01/292,6 |
2,300,000 |
1,898,829 |
GrafTech Finance, Inc. |
|
|
4.63% due 12/15/282,6 |
2,860,000 |
1,852,060 |
Summit Materials LLC / Summit Materials Finance Corp. |
|
|
5.25% due 01/15/292,6 |
1,775,000 |
1,709,490 |
Brundage-Bone Concrete Pumping Holdings, Inc. |
|
|
6.00% due 02/01/266 |
1,625,000 |
1,604,856 |
Deuce FinCo plc |
|
|
5.50% due 06/15/276 |
GBP 1,200,000 |
1,447,607 |
8.69% (3 Month EURIBOR + 4.75%, Rate Floor: 4.75%) due 06/15/27à |
EUR 100,000 |
108,902 |
TK Elevator US Newco, Inc. |
|
|
5.25% due 07/15/276 |
1,550,000 |
1,495,339 |
Cellnex Finance Company S.A. |
|
|
3.88% due 07/07/416 |
1,750,000 |
1,358,222 |
See notes to financial statements.
42 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
CORPORATE BONDS†† – 44.2% (continued) |
|
|
Industrial – 4.6% (continued) |
|
|
Worldpay US, Inc. |
|
|
8.50% due 01/15/31 |
GBP 750,000 |
$ 1,025,127 |
Amsted Industries, Inc. |
|
|
4.63% due 05/15/306 |
950,000 |
862,954 |
TVL Finance plc |
|
|
9.36% (3 Month EURIBOR + 5.50%, Rate Floor: 5.50%) due 04/28/28à |
EUR 780,000 |
850,586 |
Ball Corp. |
|
|
3.13% due 09/15/312 |
875,000 |
734,500 |
GATX Corp. |
|
|
4.00% due 06/30/30 |
560,000 |
516,906 |
TopBuild Corp. |
|
|
4.13% due 02/15/326 |
400,000 |
348,995 |
Arcosa, Inc. |
|
|
4.38% due 04/15/296 |
350,000 |
324,189 |
EnerSys |
|
|
4.38% due 12/15/276 |
325,000 |
306,429 |
Hillenbrand, Inc. |
|
|
3.75% due 03/01/312 |
250,000 |
215,389 |
MIWD Holdco II LLC / MIWD Finance Corp. |
|
|
5.50% due 02/01/306 |
125,000 |
113,932 |
Enpro, Inc. |
|
|
5.75% due 10/15/26 |
115,000 |
113,337 |
Vertical Midco GmbH |
|
|
4.38% due 07/15/27 |
EUR 100,000 |
104,978 |
Total Industrial |
|
72,844,594 |
Energy – 4.1% |
|
|
Global Partners Limited Partnership / GLP Finance Corp. |
|
|
7.00% due 08/01/272 |
4,800,000 |
4,816,747 |
6.88% due 01/15/292 |
2,980,000 |
2,934,110 |
ITT Holdings LLC |
|
|
6.50% due 08/01/292,6 |
8,050,000 |
7,368,217 |
Venture Global LNG, Inc. |
|
|
9.88% due 02/01/326 |
6,000,000 |
6,433,771 |
Occidental Petroleum Corp. |
|
|
6.20% due 03/15/402 |
2,100,000 |
2,113,018 |
7.00% due 11/15/27 |
2,000,000 |
2,024,828 |
4.30% due 08/15/39 |
2,100,000 |
1,683,844 |
4.63% due 06/15/45 |
750,000 |
591,552 |
BP Capital Markets plc |
|
|
4.88% 2,5,9 |
6,750,000 |
6,368,680 |
NuStar Logistics, LP |
|
|
6.38% due 10/01/302 |
5,625,000 |
5,607,947 |
5.63% due 04/28/27 |
200,000 |
196,989 |
6.00% due 06/01/26 |
125,000 |
123,805 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 43
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
CORPORATE BONDS†† – 44.2% (continued) |
|
|
Energy – 4.1% (continued) |
|
|
CVR Energy, Inc. |
|
|
8.50% due 01/15/296 |
3,500,000 |
$ 3,514,965 |
5.75% due 02/15/286 |
2,100,000 |
1,938,152 |
Buckeye Partners, LP |
|
|
5.85% due 11/15/43 |
3,750,000 |
3,200,590 |
4.35% due 10/15/24 |
750,000 |
744,856 |
Energy Transfer, LP |
|
|
7.38% due 02/01/312,6 |
3,800,000 |
3,945,031 |
TransMontaigne Partners Limited Partnership / TLP Finance Corp. |
|
|
6.13% due 02/15/26 |
4,025,000 |
3,835,744 |
Parkland Corp. |
|
|
4.63% due 05/01/306 |
2,700,000 |
2,454,073 |
4.50% due 10/01/292,6 |
1,300,000 |
1,182,510 |
EnLink Midstream LLC |
|
|
6.50% due 09/01/302,6 |
2,600,000 |
2,655,934 |
Hess Corp. |
|
|
5.60% due 02/15/412 |
1,550,000 |
1,546,290 |
6.00% due 01/15/402 |
1,000,000 |
1,032,229 |
Southwestern Energy Co. |
|
|
5.38% due 02/01/292 |
1,400,000 |
1,346,405 |
Venture Global Calcasieu Pass LLC |
|
|
4.13% due 08/15/316 |
775,000 |
684,456 |
Viper Energy, Inc. |
|
|
7.38% due 11/01/316 |
300,000 |
309,871 |
5.38% due 11/01/276 |
200,000 |
195,058 |
DT Midstream, Inc. |
|
|
4.13% due 06/15/292,6 |
425,000 |
388,642 |
FLNG Liquefaction 2 LLC |
|
|
4.13% due 03/31/386 |
226,408 |
194,789 |
Basic Energy Services, Inc. |
|
|
due 10/15/2310,††† |
1,030,000 |
5,150 |
Total Energy |
|
69,438,253 |
Basic Materials – 2.5% |
|
|
Carpenter Technology Corp. |
|
|
6.38% due 07/15/282 |
5,225,000 |
5,216,626 |
7.63% due 03/15/30 |
2,500,000 |
2,564,047 |
SCIL IV LLC / SCIL USA Holdings LLC |
|
|
5.38% due 11/01/262,6 |
6,075,000 |
5,840,655 |
Kaiser Aluminum Corp. |
|
|
4.50% due 06/01/312,6 |
4,860,000 |
4,300,031 |
4.63% due 03/01/286 |
1,000,000 |
930,302 |
Alcoa Nederland Holding BV |
|
|
5.50% due 12/15/272,6 |
3,625,000 |
3,582,834 |
6.13% due 05/15/286 |
1,475,000 |
1,472,005 |
See notes to financial statements.
44 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
CORPORATE BONDS†† – 44.2% (continued) |
|
|
Basic Materials – 2.5% (continued) |
|
|
SK Invictus Intermediate II SARL |
|
|
5.00% due 10/30/292,6 |
5,250,000 |
$ 4,659,047 |
International Flavors & Fragrances, Inc. |
|
|
1.23% due 10/01/252,6 |
3,060,000 |
2,882,039 |
WR Grace Holdings LLC |
|
|
4.88% due 06/15/276 |
2,325,000 |
2,232,735 |
7.38% due 03/01/316 |
500,000 |
507,511 |
Compass Minerals International, Inc. |
|
|
6.75% due 12/01/272,6 |
2,550,000 |
2,437,049 |
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. |
|
|
9.00% due 07/01/286 |
1,625,000 |
1,626,167 |
Arsenal AIC Parent LLC |
|
|
8.00% due 10/01/306 |
1,550,000 |
1,612,214 |
Minerals Technologies, Inc. |
|
|
5.00% due 07/01/286 |
1,350,000 |
1,275,858 |
HB Fuller Co. |
|
|
4.25% due 10/15/28 |
1,150,000 |
1,075,487 |
Mirabela Nickel Ltd. |
|
|
due 06/24/19†††,1,10 |
2,667,995 |
13,340 |
Total Basic Materials |
|
42,227,947 |
Technology – 2.2% |
|
|
AthenaHealth Group, Inc. |
|
|
6.50% due 02/15/306 |
7,900,000 |
7,167,970 |
Cloud Software Group, Inc. |
|
|
6.50% due 03/31/292,6 |
5,630,000 |
5,339,541 |
Capstone Borrower, Inc. |
|
|
8.00% due 06/15/302,6 |
3,800,000 |
3,860,045 |
NCR Voyix Corp. |
|
|
5.25% due 10/01/302,6 |
3,150,000 |
2,857,513 |
5.13% due 04/15/296 |
900,000 |
835,667 |
Broadcom, Inc. |
|
|
3.19% due 11/15/362,6 |
4,400,000 |
3,453,503 |
Central Parent Incorporated / CDK Global, Inc. |
|
|
7.25% due 06/15/292,6 |
3,400,000 |
3,418,316 |
Playtika Holding Corp. |
|
|
4.25% due 03/15/292,6 |
2,025,000 |
1,767,886 |
TeamSystem S.p.A. |
|
|
3.50% due 02/15/28 |
EUR 1,700,000 |
1,749,620 |
Twilio, Inc. |
|
|
3.88% due 03/15/312 |
2,000,000 |
1,745,131 |
Dun & Bradstreet Corp. |
|
|
5.00% due 12/15/296 |
1,800,000 |
1,673,938 |
Oracle Corp. |
|
|
3.95% due 03/25/512 |
2,100,000 |
1,547,044 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 45
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
CORPORATE BONDS†† – 44.2% (continued) |
|
|
Technology – 2.2% (continued) |
|
|
Dye & Durham Ltd. |
|
|
8.63% due 04/15/296 |
1,200,000 |
$ 1,214,985 |
Central Parent LLC / CDK Global II LLC / CDK Financing Company, Inc. |
|
|
8.00% due 06/15/296 |
350,000 |
359,327 |
Booz Allen Hamilton, Inc. |
|
|
4.00% due 07/01/296 |
325,000 |
302,705 |
Total Technology |
|
37,293,191 |
Utilities – 0.5% |
|
|
Terraform Global Operating, LP |
|
|
6.13% due 03/01/262,6 |
5,255,000 |
5,179,772 |
Alexander Funding Trust II |
|
|
7.47% due 07/31/282,6 |
1,950,000 |
2,048,635 |
Clearway Energy Operating LLC |
|
|
3.75% due 02/15/312,6 |
1,663,000 |
1,451,165 |
3.75% due 01/15/326 |
525,000 |
446,800 |
Total Utilities |
|
9,126,372 |
Government – 0.3% |
|
|
CoBank ACB |
|
|
7.25% due 12/31/705,9 |
4,300,000 |
4,360,467 |
Total Corporate Bonds |
|
|
(Cost $819,564,082) |
|
752,326,325 |
SENIOR FLOATING RATE INTERESTS††,à – 37.9% |
|
|
Consumer, Cyclical – 8.6% |
|
|
First Brands Group LLC |
|
|
10.59% (3 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27 |
8,346,571 |
8,253,294 |
Pacific Bells LLC |
|
|
10.06% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28 |
7,869,082 |
7,866,643 |
FR Refuel LLC |
|
|
10.19% (1 Month Term SOFR + 4.75%, Rate Floor: 5.50%) due 11/08/28 |
7,808,333 |
7,696,128 |
MB2 Dental Solutions, LLC |
|
|
11.32% (1 Month Term SOFR + 6.00%, Rate Floor: 6.75%) due 01/29/31††† |
5,739,964 |
5,728,278 |
Alexander Mann |
|
|
11.41% (1 Month SOFR + 6.00%, Rate Floor: 6.00%) due 06/29/27 |
5,345,140 |
5,191,467 |
BRE/Everbright M6 Borrower LLC |
|
|
10.43% (1 Month Term SOFR + 5.00%, Rate Floor: 5.75%) due 09/09/26 |
5,181,821 |
5,190,890 |
QSRP Finco B.V. |
|
|
due 05/29/31 |
EUR 4,100,000 |
4,404,297 |
Shaw Development LLC |
|
|
11.33% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 10/30/29††† |
4,468,085 |
4,387,448 |
See notes to financial statements.
46 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
SENIOR FLOATING RATE INTERESTS††,à – 37.9% (continued) |
|
|
Consumer, Cyclical – 8.6% (continued) |
|
|
Secretariat Advisors LLC |
|
|
10.32% (3 Month Term SOFR + 5.01%, Rate Floor: 5.76%) due 12/29/28††† |
4,307,000 |
$ 4,285,464 |
Accuride Corp. |
|
|
12.20% (1 Month Term SOFR + 1.00%, Rate Floor: 2.00%) |
|
|
(in-kind rate was 5.87%) due 05/18/2611 |
5,429,534 |
4,189,809 |
ImageFIRST Holdings LLC |
|
|
9.58% (3 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 04/27/28††† |
4,132,107 |
4,132,107 |
BIFM CA Buyer, Inc. |
|
|
9.58% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 05/31/28 |
4,110,896 |
4,131,451 |
Albion Financing 3 SARL |
|
|
9.15% (3 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 08/17/26 |
EUR 3,700,000 |
4,042,068 |
Truck Hero, Inc. |
|
|
8.94% (1 Month Term SOFR + 3.50%, Rate Floor: 4.25%) due 01/31/28 |
3,880,000 |
3,872,744 |
Zephyr Bidco Ltd. |
|
|
10.70% (1 Month GBP SONIA + 5.50%, Rate Floor: 5.50%) due 07/31/28 |
GBP 3,000,000 |
3,839,708 |
Casper Bidco SAS (B&B Hotels) |
|
|
8.06% (1 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 02/21/31 |
EUR 3,500,000 |
3,814,111 |
Normec 1 B.V. |
|
|
7.92% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/27/31 |
EUR 3,122,368 |
3,395,609 |
Alterra Mountain Co. |
|
|
due 05/31/30 |
2,650,000 |
2,668,232 |
8.58% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 08/17/28 |
578,318 |
581,574 |
NFM & J LLC |
|
|
11.18% (3 Month Term SOFR + 5.75%, Rate Floor: 6.75%) due 11/30/27††† |
3,231,508 |
3,173,215 |
11.19% (3 Month Term SOFR + 5.75%, Rate Floor: 6.75%) due 11/30/27††† |
3,284,723 |
3,225,470 |
WIRB – Copernicus Group, Inc. |
|
|
9.44% (1 Month Term SOFR + 4.00%, Rate Floor: 5.00%) due 01/08/27 |
3,136,683 |
3,150,704 |
Breitling Financing SARL |
|
|
7.79% (6 Month EURIBOR + 3.90%, Rate Floor: 3.90%) due 10/25/28 |
EUR 2,800,000 |
3,029,080 |
Entain Holdings (Gibraltar) Ltd. |
|
|
due 06/30/28 |
EUR 2,750,000 |
2,994,653 |
Thevelia US LLC |
|
|
7.65% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 06/01/29 |
EUR 2,100,000 |
2,276,162 |
9.06% (3 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 06/01/29 |
648,375 |
651,960 |
One Hotels GmbH |
|
|
8.41% (3 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 04/30/31 |
EUR 2,600,000 |
2,835,992 |
Seren BidCo AB |
|
|
due 11/16/28 |
2,800,000 |
2,821,000 |
PetSmart LLC |
|
|
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 4.50%) due 02/11/28 |
2,771,625 |
2,759,264 |
Arcis Golf LLC |
|
|
9.19% (1 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 11/24/28 |
2,677,415 |
2,690,802 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 47
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
SENIOR FLOATING RATE INTERESTS††,à – 37.9% (continued) |
|
|
Consumer, Cyclical – 8.6% (continued) |
|
|
Caesars Entertainment, Inc. |
|
|
8.10% (3 Month Term SOFR + 2.75%, Rate Floor: 3.25%) due 01/24/31 |
2,000,000 |
$ 2,003,120 |
8.10% (3 Month Term SOFR + 2.75%, Rate Floor: 3.25%) due 02/06/30 |
544,500 |
545,633 |
BCP V Modular Services Holdings IV Ltd. |
|
|
8.33% (3 Month EURIBOR + 4.43%, Rate Floor: 4.43%) due 12/15/28 |
EUR 2,000,000 |
2,170,768 |
BCPE Empire Holdings, Inc. |
|
|
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 12/11/28 |
2,075,000 |
2,077,345 |
Orion Group |
|
|
11.82% (3 Month Term SOFR + 6.25%, Rate Floor: 7.25%) due 03/19/27††† |
1,140,435 |
1,114,417 |
11.81% (3 Month Term SOFR + 6.36%, Rate Floor: 7.36%) due 03/19/27††† |
743,713 |
726,746 |
TTF Holdings Intermediate LLC |
|
|
9.44% (1 Month Term SOFR + 4.00%, Rate Floor: 4.75%) due 03/31/28 |
1,816,797 |
1,825,881 |
CNT Holdings I Corp. |
|
|
8.83% (3 Month Term SOFR + 3.50%, Rate Floor: 4.25%) due 11/08/27 |
1,794,627 |
1,802,111 |
Sweetwater Sound |
|
|
9.69% (1 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 08/07/28 |
1,794,817 |
1,798,551 |
ScribeAmerica Intermediate Holdco LLC (Healthchannels) |
|
|
9.94% (1 Month Term SOFR + 4.50%, Rate Floor: 5.50%) due 04/03/25 |
2,432,488 |
1,685,520 |
Packers Holdings LLC |
|
|
8.67% (1 Month Term SOFR + 3.25%, Rate Floor: 4.00%) due 03/09/28 |
2,694,315 |
1,558,203 |
Ontario Gaming GTA, LP |
|
|
9.56% (3 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 08/01/30 |
1,496,250 |
1,504,569 |
Holding SOCOTEC |
|
|
9.31% (3 Month SOFR + 4.00%, Rate Floor: 4.75%) due 06/30/28 |
1,323,000 |
1,321,902 |
Fertitta Entertainment LLC |
|
|
9.07% (1 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 01/29/29 |
1,176,739 |
1,179,728 |
SHO Holding I Corp. |
|
|
10.82% (3 Month Term SOFR + 5.51%, Rate Floor: 6.51%) due 04/29/24 |
1,934,502 |
1,092,993 |
10.81% (3 Month Term SOFR + 5.49%, Rate Floor: 6.49%) due 04/29/24 |
32,927 |
18,604 |
Congruex Group LLC |
|
|
11.23% (3 Month Term SOFR + 5.75%, Rate Floor: 6.50%) due 05/03/29 |
1,179,000 |
1,108,260 |
Parts Holding Europe |
|
|
7.65% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 01/22/31 |
EUR 1,000,000 |
1,090,506 |
PT Intermediate Holdings III LLC |
|
|
10.29% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) |
|
|
(in-kind rate was 1.75%) due 04/03/30†††,11 |
894,062 |
889,591 |
Elvis UK HoldCo Ltd. |
|
|
8.07% (3 Month EURIBOR + 4.18%, Rate Floor: 4.18%) due 10/19/28 |
EUR 800,000 |
870,226 |
Checkers Holdings, Inc. |
|
|
14.72% (6 Month Term SOFR + 3.00%, Rate Floor: 3.00%) |
|
|
(in-kind rate was 6.00%) due 06/16/28†††,11 |
668,579 |
668,579 |
11.72% (6 Month Term SOFR + 3.00%, Rate Floor: 3.00%) |
|
|
(in-kind rate was 4.00%) due 06/16/27†††,11 |
94,018 |
94,018 |
CCRR Parent, Inc. |
|
|
9.69% (3 Month Term SOFR + 3.86%, Rate Floor: 4.61%) due 03/06/28 |
743,616 |
656,241 |
See notes to financial statements.
48 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
SENIOR FLOATING RATE INTERESTS††,à – 37.9% (continued) |
|
|
Consumer, Cyclical – 8.6% (continued) |
|
|
SHO Holding I Corp. |
|
|
5.00% (3 Month Term SOFR + 5.26%, Rate Floor: 6.26%) due 04/27/24††† |
484,000 |
$ 295,240 |
13.44% (1 Month Term SOFR + 8.00%, Rate Floor: 9.00%) due 09/03/24††† |
282,561 |
268,433 |
10.83% (3 Month Term SOFR + 5.23%, Rate Floor: 6.23%) due 04/29/24††† |
6,608 |
4,031 |
Mavis Tire Express Services TopCo Corp. |
|
|
9.08% (1 Month Term SOFR + 3.75%, Rate Floor: 4.50%) due 05/04/28 |
316,083 |
317,881 |
EG Finco Ltd. |
|
|
11.24% (1 Month SOFR + 5.50%, Rate Floor: 5.50%) due 02/07/28 |
168,865 |
165,066 |
Scientific Games Holdings, LP |
|
|
8.56% (3 Month Term SOFR + 3.25%, Rate Floor: 3.75%) due 04/04/29 |
123,125 |
123,404 |
MB2 Dental Solutions, LLC |
|
|
13.50% (Commercial Prime Lending Rate + 5.00%, Rate Floor: 5.75%) due 01/29/31††† |
56,000 |
49,308 |
Total Consumer, Cyclical |
|
146,306,499 |
Consumer, Non-cyclical – 8.0% |
|
|
HAH Group Holding Co. LLC |
|
|
10.43% (1 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 10/29/27 |
7,649,303 |
7,668,426 |
Southern Veterinary Partners LLC |
|
|
9.08% (1 Month Term SOFR + 3.75%, Rate Floor: 4.75%) due 10/05/27 |
7,591,083 |
7,595,865 |
LaserAway Intermediate Holdings II LLC |
|
|
11.33% (3 Month Term SOFR + 5.75%, Rate Floor: 6.50%) due 10/14/27 |
7,538,048 |
7,494,101 |
Quirch Foods Holdings LLC |
|
|
10.32% (3 Month Term SOFR + 4.75%, Rate Floor: 5.75%) due 10/27/27 |
6,812,886 |
6,812,886 |
Women’s Care Holdings, Inc. |
|
|
9.93% (3 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 01/17/28 |
6,637,313 |
6,109,115 |
PlayCore |
|
|
9.83% (1 Month Term SOFR + 4.50%, Rate Floor: 5.50%) due 02/14/30 |
4,900,000 |
4,924,500 |
Florida Food Products LLC |
|
|
10.44% (1 Month Term SOFR + 5.00%, Rate Floor: 5.75%) due 10/18/28 |
5,586,741 |
4,839,514 |
Blue Ribbon LLC |
|
|
11.57% (3 Month Term SOFR + 6.00%, Rate Floor: 6.75%) due 05/08/28††† |
5,968,835 |
4,715,380 |
Kronos Acquisition Holdings, Inc. |
|
|
9.31% (3 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 12/22/26 |
2,881,762 |
2,884,154 |
11.49% (3 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 12/22/26 |
1,759,500 |
1,763,899 |
Gibson Brands, Inc. |
|
|
10.58% (3 Month Term SOFR + 5.00%, Rate Floor: 5.75%) due 08/11/28 |
4,814,188 |
4,611,992 |
Rainbow UK Holdco Limited |
|
|
9.70% (1 Month GBP SONIA + 4.50%, Rate Floor: 4.50%) due 02/01/29 |
GBP 3,000,000 |
3,780,444 |
9.55% (6 Month SOFR + 4.25%, Rate Floor: 5.00%) due 02/26/29 |
700,000 |
680,750 |
VC GB Holdings I Corp. |
|
|
8.57% (3 Month Term SOFR + 3.00%, Rate Floor: 3.50%) due 07/21/28 |
4,250,000 |
4,250,000 |
National Mentor Holdings, Inc. |
|
|
9.18% (3 Month Term SOFR + 3.75%, Rate Floor: 4.50%) due 03/02/28 |
4,268,811 |
4,095,924 |
9.16% (3 Month Term SOFR + 3.75%, Rate Floor: 4.50%) due 03/02/28 |
150,000 |
143,925 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 49
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
SENIOR FLOATING RATE INTERESTS††,à – 37.9% (continued) |
|
|
Consumer, Non-cyclical – 8.0% (continued) |
|
|
Curriculum Associates LLC |
|
|
10.17% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 01/27/27††† |
4,200,000 |
$ 4,183,386 |
Celeste Bidco B.V. |
|
|
8.39% (3 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 07/02/29 |
EUR 3,750,000 |
4,084,839 |
Midwest Veterinary Partners, LLC |
|
|
9.44% (1 Month Term SOFR + 4.00%, Rate Floor: 4.75%) due 04/27/28 |
3,900,000 |
3,897,075 |
Heritage Grocers Group LLC |
|
|
12.16% (3 Month Term SOFR + 6.75%, Rate Floor: 7.50%) due 08/01/29 |
3,811,307 |
3,830,363 |
AI Aqua Merger Sub, Inc. |
|
|
9.58% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 07/30/28 |
3,750,000 |
3,769,687 |
Cambrex Corp. |
|
|
8.93% (1 Month Term SOFR + 3.50%, Rate Floor: 4.25%) due 12/04/26 |
3,400,081 |
3,354,758 |
Balrog Acquisition, Inc. |
|
|
9.94% (1 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 09/05/28††† |
3,027,125 |
3,027,125 |
Dhanani Group, Inc. |
|
|
11.42% (1 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 06/10/27††† |
2,904,545 |
2,875,500 |
Weber-Stephen Products LLC |
|
|
8.69% (1 Month Term SOFR + 3.25%, Rate Floor: 4.00%) due 10/29/27 |
3,009,693 |
2,800,911 |
Chefs’ Warehouse, Inc. |
|
|
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 08/23/29 |
2,452,083 |
2,458,214 |
PetIQ LLC |
|
|
9.69% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 04/13/28 |
2,436,750 |
2,421,520 |
Lyons Magnus |
|
|
12.08% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) |
|
|
(in-kind rate was 4.25%) due 05/10/2711 |
2,517,907 |
2,381,512 |
Outcomes Group Holdings, Inc. |
|
|
9.59% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/01/31 |
2,150,000 |
2,161,653 |
Confluent Health LLC |
|
|
9.44% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 11/30/28††† |
2,157,922 |
2,125,553 |
Nidda Healthcare Holding GmbH |
|
|
7.32% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26 |
EUR 1,900,000 |
2,059,323 |
IVI America LLC |
|
|
due 03/15/31 |
2,050,000 |
2,056,417 |
PlayPower, Inc. |
|
|
10.96% (3 Month Term SOFR + 5.50%, Rate Floor: 6.50%) due 05/08/26 |
2,121,034 |
2,047,243 |
Domidep |
|
|
due 10/31/29 |
EUR 1,800,000 |
1,936,035 |
Summit Behavioral Healthcare LLC |
|
|
9.60% (1 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 11/24/28 |
1,794,924 |
1,802,786 |
Resonetics LLC |
|
|
9.44% (1 Month Term SOFR + 4.00%, Rate Floor: 4.75%) due 04/28/28 |
1,462,500 |
1,463,421 |
Eyecare Partners LLC |
|
|
10.04% (3 Month Term SOFR + 4.61%, Rate Floor: 4.61%) due 11/30/28 |
1,455,647 |
886,125 |
11.08% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 11/30/28 |
350,691 |
352,093 |
See notes to financial statements.
50 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
SENIOR FLOATING RATE INTERESTS††,à – 37.9% (continued) |
|
|
Consumer, Non-cyclical – 8.0% (continued) |
|
|
Artisan Newco B.V. |
|
|
8.12% (1 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 02/12/29 |
EUR 1,100,000 |
$ 1,196,190 |
Stars UK Bidco Ltd. |
|
|
8.04% (6 Month EURIBOR + 4.15%, Rate Floor: 4.15%) due 08/09/29 |
EUR 1,000,000 |
1,091,656 |
Financiere N |
|
|
8.90% (3 Month EURIBOR + 5.00%, Rate Floor: 5.00%) due 01/22/29 |
EUR 1,000,000 |
1,088,867 |
AI Monet (Luxembourg) Parentco SARL |
|
|
8.43% (3 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 02/07/31 |
EUR 1,000,000 |
1,088,238 |
Moran Foods LLC |
|
|
12.66% (3 Month Term SOFR + 7.25%, Rate Floor: 8.25%) due 06/30/26††† |
1,109,051 |
751,617 |
17.96% (3 Month Term SOFR + 2.00%, Rate Floor: 2.00%) |
|
|
(in-kind rate was 10.66%) due 06/30/26†††,11 |
684,529 |
232,006 |
Financiere Mendel |
|
|
9.57% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 11/08/30 |
925,000 |
928,700 |
Balrog Acquisition, Inc. |
|
|
9.44% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 09/05/28 |
709,675 |
709,171 |
Snacking Investments US LLC (Arnott’s) |
|
|
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 5.00%) due 12/18/26 |
457,597 |
458,741 |
TGP Holdings LLC |
|
|
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 4.00%) due 06/29/28 |
376,689 |
359,267 |
Triton Water Holdings, Inc. |
|
|
8.81% (3 Month Term SOFR + 3.25%, Rate Floor: 3.75%) due 03/31/28 |
222,145 |
221,716 |
Surgery Center Holdings, Inc. |
|
|
8.82% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/04/30 |
125,000 |
125,525 |
Total Consumer, Non-cyclical |
|
136,598,108 |
Industrial – 7.0% |
|
|
Arcline FM Holdings LLC |
|
|
10.32% (3 Month Term SOFR + 4.75%, Rate Floor: 5.50%) due 06/23/28 |
7,117,500 |
7,156,931 |
Geo Parent Corp. |
|
|
10.50% (6 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 12/19/28 |
4,850,000 |
4,850,000 |
Charter Next Generation Inc. |
|
|
8.83% (1 Month Term SOFR + 3.50%, Rate Floor: 4.25%) due 12/01/27 |
4,668,808 |
4,688,417 |
Fugue Finance LLC |
|
|
9.10% (3 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 02/13/31 |
2,200,000 |
2,218,568 |
8.20% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 01/31/28 |
EUR 2,000,000 |
2,191,840 |
Boluda Towage S.L. |
|
|
7.51% (1 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 01/22/30 |
EUR 3,950,000 |
4,293,182 |
NA Rail Hold Co. LLC |
|
|
9.57% (3 Month Term SOFR + 4.00%, Rate Floor: 5.25%) due 10/19/26 |
4,217,466 |
4,233,281 |
Foundation Building Materials Holding Company LLC |
|
|
9.33% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/29/31 |
4,150,000 |
4,167,928 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 51
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
SENIOR FLOATING RATE INTERESTS††,à – 37.9% (continued) |
|
|
Industrial – 7.0% (continued) |
|
|
Inspired Finco Holdings Ltd. |
|
|
7.77% (1 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/17/31 |
EUR 1,818,703 |
$ 1,981,569 |
8.02% (1 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 12/31/28 |
EUR 1,250,000 |
1,361,084 |
due 02/20/31 |
EUR 731,297 |
796,786 |
Pelican Products, Inc. |
|
|
9.81% (3 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 12/29/28 |
4,486,328 |
4,124,237 |
STS Operating, Inc. |
|
|
9.42% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 03/15/31 |
4,000,000 |
4,023,320 |
American Bath Group LLC |
|
|
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 11/23/27 |
4,035,982 |
4,001,514 |
Merlin Buyer, Inc. |
|
|
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 12/14/28 |
3,920,000 |
3,895,500 |
Integrated Power Services Holdings, Inc. |
|
|
9.94% (1 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 11/22/28††† |
3,913,367 |
3,888,328 |
CPM Holdings, Inc. |
|
|
9.81% (1 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 09/22/28 |
3,852,372 |
3,850,754 |
Michael Baker International LLC |
|
|
10.08% (1 Month Term SOFR + 4.75%, Rate Floor: 5.50%) due 12/01/28††† |
3,820,685 |
3,830,237 |
Dispatch Terra Acquisition LLC |
|
|
9.70% (3 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 03/27/28 |
4,120,876 |
3,627,854 |
StandardAero |
|
|
8.83% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 08/24/28 |
3,460,801 |
3,488,729 |
ASP Dream Acquisiton Co. LLC |
|
|
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.75%) due 12/15/28 |
3,247,964 |
3,247,964 |
Aegion Corp. |
|
|
9.58% (1 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 05/17/28 |
3,006,566 |
3,025,358 |
Anchor Packaging LLC |
|
|
9.08% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 07/30/29 |
2,577,871 |
2,587,074 |
Mileage Plus Holdings LLC |
|
|
10.73% (3 Month Term SOFR + 5.25%, Rate Floor: 6.25%) due 06/21/27 |
2,437,500 |
2,491,783 |
Savage Enterprises LLC |
|
|
8.33% (1 Month Term SOFR + 3.25%, Rate Floor: 3.75%) due 09/15/28 |
2,400,000 |
2,404,656 |
AI Convoy Luxembourg SARL |
|
|
8.12% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 01/18/27 |
EUR 2,200,000 |
2,387,153 |
Bleriot US Bidco LLC |
|
|
8.57% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 10/31/28 |
2,323,319 |
2,340,744 |
Mauser Packaging Solutions Holding Co. |
|
|
8.81% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 04/15/27 |
2,292,135 |
2,298,187 |
CapStone Acquisition Holdings, Inc. |
|
|
10.18% (1 Month Term SOFR + 4.75%, Rate Floor: 5.75%) due 11/12/27††† |
2,293,777 |
2,282,513 |
Atlantic Aviation |
|
|
8.83% (1 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 09/22/28 |
2,172,583 |
2,179,643 |
Weener Plastics Group BV |
|
|
8.42% (3 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 11/30/28 |
EUR 1,900,000 |
2,071,507 |
See notes to financial statements.
52 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
SENIOR FLOATING RATE INTERESTS††,à – 37.9% (continued) |
|
|
Industrial – 7.0% (continued) |
|
|
Artera Services LLC |
|
|
9.81% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 02/06/31 |
1,750,000 |
$ 1,762,758 |
OptiGroup |
|
|
9.05% (1 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 03/11/29 |
EUR 1,600,000 |
1,682,951 |
Service Logic Acquisition, Inc. |
|
|
9.59% (3 Month Term SOFR + 4.00%, Rate Floor: 4.75%) due 10/29/27 |
1,645,758 |
1,658,102 |
DXP Enterprises, Inc. |
|
|
10.16% (6 Month Term SOFR + 4.75%, Rate Floor: 5.75%) due 10/05/30 |
1,542,250 |
1,549,961 |
ILPEA Parent, Inc. |
|
|
9.94% (1 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 06/22/28††† |
1,503,464 |
1,495,946 |
ProAmpac PG Borrower LLC |
|
|
9.33% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 09/15/28 |
1,323,750 |
1,331,362 |
LBM Acquisition LLC |
|
|
due 05/29/31 |
1,220,000 |
1,209,325 |
Spring Education Group, Inc. |
|
|
9.31% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/04/30 |
1,197,000 |
1,206,576 |
API Holdings III Corp. |
|
|
12.31% (3 Month Term SOFR + 1.00%, Rate Floor: 2.00%) |
|
|
(in-kind rate was 6.00%) due 05/07/27†††,11 |
1,607,439 |
1,044,835 |
12.31% (3 Month Term SOFR + 1.00%, Rate Floor: 1.00%) |
|
|
(in-kind rate was 6.00%) due 03/25/27†††,11 |
121,053 |
118,038 |
Merlin Buyer, Inc. |
|
|
10.08% (1 Month Term SOFR + 4.75%, Rate Floor: 5.25%) due 12/14/28††† |
1,094,472 |
1,094,472 |
Solis IV B.V. |
|
|
7.80% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/26/29 |
EUR 1,000,000 |
1,084,527 |
Michael Baker International LLC |
|
|
due 12/01/28 |
500,000 |
501,250 |
Berlin Packaging LLC |
|
|
due 05/09/31 |
470,000 |
470,686 |
Valcour Packaging LLC |
|
|
9.19% (1 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 10/04/28 |
643,434 |
388,203 |
TK Elevator Midco GmbH |
|
|
6.73% (1 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 01/29/27††† |
EUR 330,832 |
342,670 |
Patriot Container Corp. (Wastequip) |
|
|
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 4.75%) due 03/20/25 |
348,148 |
334,783 |
Integrated Power Services Holdings, Inc. |
|
|
9.92% (1 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 11/22/28††† |
171,925 |
171,495 |
9.94% (1 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 11/22/28††† |
160,377 |
159,575 |
Sundyne (Star US Bidco) |
|
|
9.68% (1 Month Term SOFR + 4.25%, Rate Floor: 5.25%) due 03/17/27 |
318,922 |
321,180 |
Osmose Utility Services, Inc. |
|
|
8.69% (1 Month Term SOFR + 3.25%, Rate Floor: 3.75%) due 06/23/28 |
295,455 |
293,977 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 53
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
SENIOR FLOATING RATE INTERESTS††,à – 37.9% (continued) |
|
|
Industrial – 7.0% (continued) |
|
|
Park River Holdings, Inc. |
|
|
8.81% (3 Month Term SOFR + 3.25%, Rate Floor: 4.00%) due 12/28/27 |
235,142 |
$ 232,473 |
White Cap Supply Holdings LLC |
|
|
9.08% (1 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 10/19/27 |
98,241 |
98,631 |
Total Industrial |
|
118,540,417 |
Technology – 6.5% |
|
|
Visma AS |
|
|
7.19% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 12/03/28††† |
EUR 7,250,000 |
7,866,753 |
Avalara, Inc. |
|
|
12.56% (3 Month Term SOFR + 7.25%, Rate Floor: 8.00%) due 10/19/28††† |
7,000,000 |
6,926,519 |
Datix Bidco Ltd. |
|
|
10.70% (1 Month GBP SONIA + 5.50%, Rate Floor: 5.50%) due 10/30/30††† |
GBP 3,920,000 |
4,956,009 |
10.82% (1 Month Term SOFR + 5.50%, Rate Floor: 6.00%) due 10/30/30††† |
1,110,000 |
1,101,118 |
Polaris Newco LLC |
|
|
9.01% ((1 Month Term SOFR + 3.50%) and (3 Month Term SOFR + 3.50%), |
|
|
Rate Floor: 3.50%) due 06/04/26††† |
5,772,800 |
5,482,737 |
Finastra |
|
|
12.46% (6 Month Term SOFR + 7.25%, Rate Floor: 8.25%) due 09/13/29††† |
4,900,000 |
4,861,164 |
Concorde Lux |
|
|
7.85% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/01/28 |
EUR 4,252,725 |
4,616,809 |
Team.Blue Finco SARL |
|
|
6.99% (1 Month EURIBOR + 3.20%, Rate Floor: 3.20%) due 03/30/28 |
EUR 4,150,000 |
4,458,728 |
Modena Buyer LLC |
|
|
due 04/17/31 |
4,350,000 |
4,255,736 |
Blackhawk Network Holdings, Inc. |
|
|
10.33% (1 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 02/23/29 |
4,190,000 |
4,204,665 |
Wrench Group LLC |
|
|
9.57% (3 Month Term SOFR + 4.00%, Rate Floor: 5.00%) due 10/30/28 |
4,145,379 |
4,152,302 |
Bock Capital B.V. |
|
|
7.40% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 06/29/28 |
EUR 3,800,000 |
4,074,939 |
24-7 Intouch, Inc. |
|
|
10.18% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 08/25/25 |
4,074,868 |
3,952,622 |
Apttus Corp. |
|
|
9.44% (1 Month Term SOFR + 4.00%, Rate Floor: 4.75%) due 05/08/28 |
3,792,688 |
3,799,022 |
Precise Midco BV |
|
|
7.94% (3 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 10/16/30 |
EUR 2,624,615 |
2,866,130 |
7.44% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 05/13/30 |
EUR 775,385 |
844,052 |
Sitecore Holding III A/S |
|
|
13.30% (6 Month Term SOFR + 7.00%, Rate Floor: 7.50%) |
|
|
(in-kind rate was 0.75%) due 03/12/29†††,11 |
2,036,181 |
2,017,956 |
11.55% (6 Month EURIBOR + 7.00%, Rate Floor: 7.00%) |
|
|
(in-kind rate was 0.75%) due 03/12/29†††,11 |
EUR 1,502,274 |
1,615,481 |
Xerox Corp. |
|
|
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 11/19/29 |
3,505,625 |
3,504,749 |
See notes to financial statements.
54 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
SENIOR FLOATING RATE INTERESTS††,à – 37.9% (continued) |
|
|
Technology – 6.5% (continued) |
|
|
Central Parent Inc. |
|
|
8.58% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 07/06/29 |
3,206,250 |
$ 3,230,842 |
Alteryx, Inc. |
|
|
7.75% (1 Month Term SOFR + 6.50%, Rate Floor: 7.25%) due 03/19/31 |
1,844,444 |
1,830,611 |
7.75% (1 Month Term SOFR + 6.50%, Rate Floor: 7.25%) due 03/19/31††† |
1,268,056 |
1,268,056 |
isolved, Inc. |
|
|
8.83% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 10/15/30 |
2,694,000 |
2,702,432 |
Project Ruby Ultimate Parent Corp. |
|
|
8.69% (1 Month Term SOFR + 3.25%, Rate Floor: 4.00%) due 03/10/28 |
2,231,000 |
2,236,577 |
8.94% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 03/10/28 |
450,000 |
452,061 |
Indicor, LLC |
|
|
9.30% (3 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 11/22/29 |
2,574,065 |
2,592,289 |
Epicor Software |
|
|
due 05/22/31 |
1,673,635 |
1,680,748 |
8.68% (3 Month Term SOFR + 3.36%, Rate Floor: 4.11%) due 07/30/31 |
482,500 |
484,039 |
Atlas CC Acquisition Corp. |
|
|
9.86% (3 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 05/25/28 |
2,482,822 |
2,120,951 |
Waystar Technologies Inc. |
|
|
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/31/29 |
1,983,854 |
1,986,949 |
Aston FinCo SARL |
|
|
9.69% (1 Month Term SOFR + 4.25%, Rate Floor: 5.25%) due 10/09/26 |
1,627,750 |
1,452,083 |
9.97% (1 Month GBP SONIA + 4.77%, Rate Floor: 4.77%) due 10/09/26 |
GBP 389,045 |
451,208 |
Azalea TopCo |
|
|
8.83% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 04/23/31 |
1,750,000 |
1,755,478 |
Upland Software, Inc. |
|
|
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 4.75%) due 08/06/26 |
1,780,370 |
1,695,162 |
Dye & Durham Corp. |
|
|
9.66% (3 Month Term SOFR + 4.25%, Rate Floor: 5.25%) due 04/04/31 |
1,500,000 |
1,503,750 |
Conair Holdings LLC |
|
|
9.19% (1 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 05/17/28 |
1,418,721 |
1,408,308 |
CoreLogic, Inc. |
|
|
8.94% (1 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 06/02/28 |
1,251,655 |
1,232,880 |
VS Buyer LLC |
|
|
8.57% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 04/04/31 |
1,125,000 |
1,132,031 |
BEP Intermediate Holdco LLC |
|
|
9.07% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/15/31††† |
900,000 |
905,625 |
Precise Midco B.V. |
|
|
due 10/16/30 |
EUR 717,500 |
780,375 |
Visma AS |
|
|
due 12/05/28 |
EUR 500,000 |
534,397 |
Boxer Parent Co., Inc. |
|
|
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/06/28 |
498,750 |
502,181 |
SUSE |
|
|
9.31% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 10/07/30 |
498,750 |
501,713 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 55
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
SENIOR FLOATING RATE INTERESTS††,à – 37.9% (continued) |
|
|
Technology – 6.5% (continued) |
|
|
Polaris Newco LLC |
|
|
9.59% (3 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 06/02/28 |
334,918 |
$ 334,981 |
Total Technology |
|
110,333,218 |
Financial – 4.6% |
|
|
Eisner Advisory Group |
|
|
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 02/22/31 |
8,450,000 |
8,527,486 |
HighTower Holding LLC |
|
|
9.59% (3 Month Term SOFR + 4.00%, Rate Floor: 4.75%) due 04/21/28 |
7,997,199 |
8,037,185 |
Higginbotham Insurance Agency, Inc. |
|
|
10.93% (1 Month Term SOFR + 5.50%, Rate Floor: 6.50%) due 11/24/28††† |
7,781,169 |
7,714,952 |
10.08% (1 Month Term SOFR + 4.75%, Rate Floor: 5.75%) due 11/25/28††† |
50,526 |
50,096 |
Kestra Advisor Services Holdings A, Inc. |
|
|
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 03/18/31 |
4,550,000 |
4,573,888 |
AqGen Island Holdings, Inc. |
|
|
8.94% (1 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 08/02/28 |
4,189,010 |
4,189,010 |
Howden Group Holdings Ltd. |
|
|
7.81% (1 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/03/31 |
EUR 3,750,000 |
4,085,734 |
Asurion LLC |
|
|
9.68% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 08/20/28 |
3,916,827 |
3,884,200 |
Duff & Phelps |
|
|
9.06% (3 Month Term SOFR + 3.75%, Rate Floor: 4.75%) due 04/09/27 |
1,999,806 |
1,998,686 |
7.90% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 04/09/27 |
EUR 1,736,469 |
1,877,369 |
Tegra118 Wealth Solutions, Inc. |
|
|
9.33% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 02/18/27 |
3,740,285 |
3,567,297 |
Aretec Group, Inc. |
|
|
9.92% (3 Month Term SOFR + 4.60%, Rate Floor: 4.60%) due 08/09/30 |
3,183,960 |
3,198,383 |
Claros Mortgage Trust, Inc. |
|
|
9.92% (1 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 08/10/26 |
3,439,740 |
3,177,460 |
Franchise Group, Inc. |
|
|
10.36% (6 Month Term SOFR + 4.75%, Rate Floor: 5.50%) due 03/10/26 |
3,995,519 |
3,116,505 |
Osaic Holdings, Inc. |
|
|
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 08/17/28 |
2,949,500 |
2,971,946 |
Alter Domus |
|
|
8.82% (3 Month SOFR + 3.25%, Rate Floor: 4.00%) due 02/17/28 |
2,716,000 |
2,720,237 |
Ardonagh Midco 3 plc |
|
|
10.04% (6 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 02/16/31††† |
2,518,072 |
2,481,653 |
Apex Group Treasury LLC |
|
|
10.32% (3 Month Term SOFR + 5.00%, Rate Floor: 5.50%) due 07/27/28††† |
2,024,375 |
2,029,436 |
Cobham Ultra SeniorCo SARL |
|
|
9.01% (6 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 08/06/29 |
2,023,664 |
1,996,708 |
Navacord Inc. |
|
|
8.83% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 03/15/30 |
1,845,375 |
1,845,763 |
Nexus Buyer LLC |
|
|
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 11/09/26 |
1,727,231 |
1,728,526 |
See notes to financial statements.
56 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
SENIOR FLOATING RATE INTERESTS††,à – 37.9% (continued) |
|
|
Financial – 4.6% (continued) |
|
|
Sandy Midco BV |
|
|
7.41% (6 Month EURIBOR + 3.60%, Rate Floor: 3.60%) due 08/17/29 |
EUR 1,100,000 |
$ 1,193,254 |
Saphilux SARL |
|
|
9.33% ((1 Month Term SOFR + 4.00%) and (6 Month |
|
|
Term SOFR + 4.00%), Rate Floor: 4.50%) due 07/27/28 |
1,147,125 |
1,158,596 |
Avison Young (Canada), Inc. |
|
|
13.58% (1 Month Term SOFR + 8.26%, Rate Floor: 10.26%) due 03/12/29 |
1,068,871 |
788,811 |
13.08% (3 Month Term SOFR + 7.50%, Rate Floor: 8.50%) due 03/12/28 |
368,547 |
360,870 |
Global Blue Acquisition B.V. |
|
|
8.87% (1 Month EURIBOR + 5.00%, Rate Floor: 5.00%) due 11/13/30 |
EUR 1,000,000 |
1,092,079 |
Total Financial |
|
78,366,130 |
Basic Materials – 1.2% |
|
|
Illuminate Buyer LLC |
|
|
8.94% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/31/29 |
3,300,000 |
3,318,282 |
Pregis TopCo Corp. |
|
|
9.08% (1 Month Term SOFR + 3.75%, Rate Floor: 4.75%) due 07/31/26 |
3,141,797 |
3,150,217 |
Vector WP Holdco, Inc. |
|
|
10.44% (1 Month Term SOFR + 5.00%, Rate Floor: 5.75%) due 10/12/28 |
3,044,913 |
3,041,106 |
LTI Holdings, Inc. |
|
|
10.19% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/24/26 |
2,942,532 |
2,896,570 |
Eden S.A.S. |
|
|
7.90% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 06/22/29 |
EUR 2,100,000 |
2,285,778 |
Barentz Midco B.V. |
|
|
9.57% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 03/29/31 |
2,000,000 |
2,015,000 |
DCG Acquisition Corp. |
|
|
9.93% (1 Month Term SOFR + 4.50%, Rate Floor: 5.50%) due 09/30/26 |
1,913,903 |
1,923,473 |
Arsenal AIC Parent LLC |
|
|
9.08% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 08/19/30 |
895,506 |
902,410 |
NIC Acquisition Corp. |
|
|
9.32% (3 Month Term SOFR + 3.75%, Rate Floor: 4.50%) due 12/29/27 |
1,043,229 |
875,791 |
Pregis TopCo LLC |
|
|
9.19% (1 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 07/31/26 |
653,250 |
655,699 |
Schur Flexibles GmbH |
|
|
9.36% (6 Month EURIBOR + 5.50%, Rate Floor: 5.50%) due 09/28/27 |
EUR 312,500 |
229,448 |
Vantage Specialty Chemicals, Inc. |
|
|
10.08% (3 Month Term SOFR + 4.75%, Rate Floor: 5.25%) due 10/26/26 |
124,370 |
124,215 |
Total Basic Materials |
|
21,417,989 |
Communications – 1.1% |
|
|
FirstDigital Communications LLC |
|
|
9.69% (1 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 12/17/26††† |
7,960,000 |
7,764,727 |
Syndigo LLC |
|
|
9.94% (1 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 12/15/27 |
4,462,000 |
4,417,380 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 57
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
SENIOR FLOATING RATE INTERESTS††,à – 37.9% (continued) |
|
|
Communications – 1.1% (continued) |
|
|
Simon & Schuster |
|
|
9.33% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/30/30 |
2,500,000 |
$ 2,483,600 |
Cengage Learning, Inc. |
|
|
9.54% (6 Month Term SOFR + 4.25%, Rate Floor: 5.25%) due 03/24/31 |
1,700,000 |
1,707,293 |
McGraw Hill LLC |
|
|
10.19% (1 Month Term SOFR + 4.75%, Rate Floor: 5.25%) due 07/28/28 |
975,000 |
976,911 |
Xplornet Communications, Inc. |
|
|
9.57% (3 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 10/02/28 |
4,533,750 |
748,069 |
Titan AcquisitionCo New Zealand Ltd. (Trade Me) |
|
|
9.57% (3 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 10/18/28 |
441,000 |
441,278 |
Total Communications |
|
18,539,258 |
Energy – 0.8% |
|
|
BANGL LLC |
|
|
9.80% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 02/01/29 |
7,562,000 |
7,611,607 |
Par Petroleum LLC |
|
|
9.05% (3 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 02/28/30 |
3,861,000 |
3,882,236 |
Venture Global Calcasieu Pass LLC |
|
|
8.05% (1 Month Term SOFR + 2.63%, Rate Floor: 3.63%) due 08/19/26 |
825,750 |
826,270 |
AL GCX Holdings LLC |
|
|
due 05/17/29 |
670,000 |
672,010 |
Permian Production Partners LLC |
|
|
13.44% (1 Month Term SOFR + 6.00%, Rate Floor: 7.00%) |
|
|
(in-kind rate was 2.00%) due 11/24/25†††,11 |
314,997 |
311,847 |
Total Energy |
|
13,303,970 |
Utilities – 0.1% |
|
|
Franklin Energy (KAMC Holdings, Inc.) |
|
|
9.60% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 08/14/26 |
1,575,750 |
1,561,962 |
Total Senior Floating Rate Interests |
|
|
(Cost $654,994,586) |
|
644,967,551 |
ASSET-BACKED SECURITIES†† – 19.2% |
|
|
Collateralized Loan Obligations – 9.0% |
|
|
Palmer Square Loan Funding Ltd. |
|
|
2022-1A D, 10.33% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 04/15/30à,6 |
8,750,000 |
8,633,196 |
2021-3A D, 10.59% (3 Month Term SOFR + 5.26%, Rate Floor: 5.26%) due 07/20/29à,6 |
7,000,000 |
6,976,682 |
2024-3A CR, 8.33% (3 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 04/15/31à,6 |
3,500,000 |
3,514,779 |
2021-2A D, 10.59% (3 Month Term SOFR + 5.26%, Rate Floor: 5.26%) due 05/20/29à,6 |
2,000,000 |
1,993,129 |
Madison Park Funding LIII Ltd. |
|
|
2022-53A E, 11.33% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) |
|
|
due 04/21/35à,6 |
18,500,000 |
18,491,129 |
CIFC Funding Ltd. |
|
|
2021-4RA DR, 12.58% (3 Month Term SOFR + 7.26%, Rate Floor: 7.00%) |
|
|
due 01/17/35à,6 |
11,000,000 |
10,900,591 |
2022-3A E, 12.60% (3 Month Term SOFR + 7.27%, Rate Floor: 7.27%) due 04/21/35à,6 |
2,000,000 |
2,009,856 |
See notes to financial statements.
58 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
ASSET-BACKED SECURITIES†† – 19.2% (continued) |
|
|
Collateralized Loan Obligations – 9.0% (continued) |
|
|
Boyce Park CLO Ltd. |
|
|
2022-1A E, 11.58% (3 Month Term SOFR + 6.25%, |
|
|
Rate Floor: 6.25%) due 04/21/35à,6 |
10,000,000 |
$ 10,018,107 |
Fortress Credit Opportunities IX CLO Ltd. |
|
|
2021-9A DR, 9.54% (3 Month Term SOFR + 4.21%, Rate Floor: 3.95%) |
|
|
due 10/15/33à,6 |
8,000,000 |
7,958,546 |
Fontainbleau Vegas |
|
|
10.97% (1 Month Term SOFR + 5.65%, Rate Floor: 1.00%) due 01/31/26à,††† |
6,500,000 |
6,500,000 |
Cerberus Loan Funding XLIV LLC |
|
|
2024-5A C, 9.30% (3 Month Term SOFR + 4.20%, Rate Floor: 4.20%) |
|
|
due 01/15/36à,6 |
6,100,000 |
6,133,411 |
Cerberus Loan Funding XLII LLC |
|
|
2023-3A C, 9.48% (3 Month Term SOFR + 4.15%, Rate Floor: 4.15%) |
|
|
due 09/13/35à,6 |
5,750,000 |
5,756,561 |
Carlyle Global Market Strategies |
|
|
2022-1A E, 12.68% (3 Month Term SOFR + 7.35%, Rate Floor: 7.35%) |
|
|
due 04/15/35à,6 |
5,500,000 |
5,507,715 |
Cerberus Loan Funding XLV LLC |
|
|
2024-1A D, 10.32% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) |
|
|
due 04/15/36à,6 |
5,000,000 |
4,999,373 |
Owl Rock CLO I LLC |
|
|
2024-1A C, 9.58% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) |
|
|
due 02/20/36à,6 |
4,600,000 |
4,616,781 |
Neuberger Berman Loan Advisers CLO 47 Ltd. |
|
|
2022-47A E, 11.58% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) |
|
|
due 04/14/35à,6 |
4,250,000 |
4,261,575 |
GoldentTree Loan Management US CLO 1 Ltd. |
|
|
2024-9A DR, 8.68% (3 Month Term SOFR + 3.35%, Rate Floor: 3.35%) |
|
|
due 04/20/37à,6 |
3,450,000 |
3,485,295 |
ACRES Commercial Realty Ltd. |
|
|
2021-FL2 C, 8.09% (1 Month Term SOFR + 2.76%, Rate Floor: 2.76%) |
|
|
due 01/15/37à,6 |
1,750,000 |
1,650,372 |
2021-FL2 D, 8.54% (1 Month Term SOFR + 3.21%, Rate Floor: 3.21%) |
|
|
due 01/15/37à,6 |
1,750,000 |
1,629,603 |
Cerberus Loan Funding XLVI, LP |
|
|
2024-2A D, 10.26% (3 Month Term SOFR + 4.95%, Rate Floor: 4.95%) |
|
|
due 07/15/36à,6 |
3,200,000 |
3,199,486 |
ABPCI Direct Lending Fund CLO II LLC |
|
|
2021-1A DR, 10.09% (3 Month Term SOFR + 4.76%, Rate Floor: 4.50%) |
|
|
due 04/20/32à,6 |
3,000,000 |
3,006,772 |
Voya CLO Ltd. |
|
|
2022-1A SUB, due 04/20/356,12 |
3,650,000 |
2,729,105 |
2013-1A INC, due 10/15/306,12 |
3,000,000 |
98,400 |
KREF Ltd. |
|
|
2021-FL2 AS, 6.74% (1 Month Term SOFR + 1.41%, Rate Floor: 1.30%) |
|
|
due 02/15/39à,6 |
2,850,000 |
2,746,504 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 59
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
ASSET-BACKED SECURITIES†† – 19.2% (continued) |
|
|
Collateralized Loan Obligations – 9.0% (continued) |
|
|
Owl Rock CLO XVI |
|
|
2024-16A C, 8.62% (3 Month Term SOFR + 3.30%, Rate Floor: 3.30%) |
|
|
due 04/20/36à,6 |
2,650,000 |
$ 2,670,781 |
Golub Capital Partners CLO 46M Ltd. |
|
|
2024-46A CR, 8.37% (3 Month Term SOFR + 3.05%, Rate Floor: 3.05%) |
|
|
due 04/20/37à,6 |
2,600,000 |
2,599,789 |
Cerberus Loan Funding XL LLC |
|
|
2023-1A D, 11.73% (3 Month Term SOFR + 6.40%, Rate Floor: 6.40%) |
|
|
due 03/22/35à,6 |
2,500,000 |
2,523,627 |
Cerberus Loan Funding XLVII LLC |
|
|
2024-3A D, due 07/15/36à,6 |
2,450,000 |
2,453,215 |
LCCM Trust |
|
|
2021-FL2 C, 7.58% (1 Month Term SOFR + 2.26%, Rate Floor: 2.26%) |
|
|
due 12/13/38à,6 |
2,600,000 |
2,423,757 |
FS Rialto Issuer LLC |
|
|
2022-FL6 C, 9.55% (1 Month Term SOFR + 4.23%, Rate Floor: 4.23%) |
|
|
due 08/17/37à,6 |
2,250,000 |
2,242,754 |
Golub Capital Partners CLO 49M Ltd. |
|
|
2021-49A D, 9.44% (3 Month Term SOFR + 4.11%, Rate Floor: 4.11%) |
|
|
due 08/26/33à,6 |
2,250,000 |
2,237,795 |
Carlyle US CLO Ltd. |
|
|
2022-4A DR, 11.93% (3 Month Term SOFR + 6.60%, Rate Floor: 6.60%) |
|
|
due 04/15/35à,6 |
2,000,000 |
2,008,674 |
Madison Park Funding LVIII Ltd. |
|
|
2024-58A D, 8.97% (3 Month Term SOFR + 3.65%, Rate Floor: 3.65%) |
|
|
due 04/25/37à,6 |
1,700,000 |
1,760,713 |
FS Rialto |
|
|
2021-FL2 C, 7.48% (1 Month Term SOFR + 2.16%, Rate Floor: 2.16%) |
|
|
due 05/16/38à,6 |
1,400,000 |
1,334,724 |
Cerberus Loan Funding XXXIII, LP |
|
|
2021-3A D, 9.59% (3 Month Term SOFR + 4.26%, Rate Floor: 4.00%) |
|
|
due 07/23/33à,6 |
1,200,000 |
1,197,988 |
Dryden 50 Senior Loan Fund |
|
|
2017-50A SUB, due 07/15/306,12 |
3,555,000 |
804,888 |
Carlyle Global Market Strategies CLO Ltd. |
|
|
2012-3A SUB, due 01/14/326,12 |
2,600,000 |
710,060 |
Great Lakes CLO Ltd. |
|
|
2014-1A SUB, due 10/15/296,12 |
1,153,846 |
433,292 |
A10 Permanent Asset Financing LLC |
|
|
2017-II C1, 6.24% (WAC) due 06/15/51à,6 |
250,000 |
171,447 |
Atlas Senior Loan Fund IX Ltd. |
|
|
2018-9A SUB, due 04/20/282,6,12 |
2,600,000 |
95,160 |
Dryden Senior Loan Fund |
|
|
2015-37X , due 01/15/3112 |
2,998,799 |
94,066 |
See notes to financial statements.
60 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
ASSET-BACKED SECURITIES†† – 19.2% (continued) |
|
|
Collateralized Loan Obligations – 9.0% (continued) |
|
|
Dryden 41 Senior Loan Fund |
|
|
2015-41A SUB, due 04/15/316,12 |
1,850,000 |
$ 90,851 |
Babson CLO Ltd. |
|
|
2014-IA SUB, due 07/20/256,12 |
3,000,000 |
90,450 |
KVK CLO Ltd. |
|
|
2013-1A SUB, due 01/14/282,6,12 |
2,300,000 |
79,396 |
Marathon CLO V Ltd. |
|
|
2013-5A SUB, due 11/21/276,12 |
3,566,667 |
73,124 |
Dryden 37 Senior Loan Fund |
|
|
2015-37A SUB, due 01/15/316,12 |
1,050,000 |
32,936 |
Treman Park CLO Ltd. |
|
|
2015-1A COM, due 10/20/286,12 |
814,751 |
2,697 |
Venture XIII CLO Ltd. |
|
|
2013-13A SUB, due 09/10/296,12 |
1,500,000 |
150 |
West CLO Ltd. |
|
|
2013-1A SUB, due 11/07/256,12 |
1,350,000 |
135 |
Total Collateralized Loan Obligations |
|
152,949,437 |
Transport-Aircraft – 3.8% |
|
|
GAIA Aviation Ltd. |
|
|
2019-1, 3.97% due 12/15/446,13 |
9,439,437 |
8,590,312 |
2019-1, 5.19% due 12/15/446,13 |
2,050,214 |
1,814,716 |
Sprite Ltd. |
|
|
2021-1, 3.75% due 11/15/466 |
10,186,962 |
9,517,357 |
AASET Trust |
|
|
2021-2A, 2.80% due 01/15/476 |
3,716,666 |
3,279,435 |
2020-1A, 3.35% due 01/16/406 |
1,974,043 |
1,816,047 |
2019-2, 4.46% due 10/16/396 |
3,524,131 |
1,735,732 |
2020-1A, 4.34% due 01/16/406 |
1,111,510 |
666,906 |
2019-1, 3.84% due 05/15/396 |
326,046 |
286,923 |
Project Silver |
|
|
2019-1, 3.97% due 07/15/446 |
7,561,019 |
6,654,528 |
KDAC Aviation Finance Ltd. |
|
|
2017-1A, 4.21% due 12/15/426 |
6,780,400 |
6,094,895 |
Labrador Aviation Finance Ltd. |
|
|
2016-1A, 4.30% due 01/15/426 |
4,037,727 |
3,695,732 |
MACH 1 Cayman Ltd. |
|
|
2019-1, 3.47% due 10/15/396 |
3,660,474 |
3,309,251 |
Start Ltd. |
|
|
2018-1, 4.09% due 05/15/436 |
1,701,185 |
1,600,227 |
2018-1, 5.32% due 05/15/436 |
1,239,188 |
1,103,013 |
Sapphire Aviation Finance I Ltd. |
|
|
2018-1A, 4.25% due 03/15/406 |
2,729,157 |
2,589,861 |
JOL Air Ltd. |
|
|
2019-1, 3.97% due 04/15/446 |
2,604,838 |
2,422,577 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 61
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
ASSET-BACKED SECURITIES†† – 19.2% (continued) |
|
|
Transport-Aircraft – 3.8% (continued) |
|
|
Castlelake Aircraft Securitization Trust |
|
|
2019-1A, 3.97% due 04/15/396 |
1,246,629 |
$ 1,122,258 |
2018-1, 4.13% due 06/15/436 |
765,544 |
710,814 |
Start II Ltd. |
|
|
2019-1, 4.09% due 03/15/446 |
1,886,725 |
1,792,464 |
WAVE LLC |
|
|
2019-1, 3.60% due 09/15/446 |
1,879,071 |
1,672,618 |
Castlelake Aircraft Structured Trust |
|
|
2021-1A, 6.66% due 01/15/466 |
1,302,233 |
1,212,379 |
Sapphire Aviation Finance II Ltd. |
|
|
2020-1A, 4.34% due 03/15/406 |
1,526,812 |
1,167,950 |
Falcon Aerospace Ltd. |
|
|
2019-1, 3.60% due 09/15/396 |
681,762 |
620,408 |
2017-1, 6.30% due 02/15/426 |
318,954 |
286,103 |
MAPS Ltd. |
|
|
2019-1A, 4.46% due 03/15/446 |
403,609 |
366,356 |
Castlelake Aircraft Securitization Trust |
|
|
2014-1, due 12/31/30††† |
3,054,105 |
252 |
Total Transport-Aircraft |
|
64,129,114 |
Financial – 2.3% |
|
|
Thunderbird A |
|
|
5.50% due 03/01/37††† |
13,780,000 |
12,532,349 |
Lightning A |
|
|
5.50% due 03/01/37††† |
13,780,000 |
12,532,349 |
Ceamer Finance LLC |
|
|
6.92% due 11/15/37††† |
3,574,016 |
3,441,314 |
3.69% due 03/24/31††† |
2,923,300 |
2,732,932 |
KKR Core Holding Company LLC, |
|
|
4.00% due 08/12/31††† |
2,743,460 |
2,429,154 |
Lightning B |
|
|
7.50% due 03/01/37††† |
1,755,000 |
1,615,103 |
Thunderbird B |
|
|
7.50% due 03/01/37††† |
1,755,000 |
1,615,103 |
Nassau LLC |
|
|
2019-1, 3.98% due 08/15/346 |
993,196 |
946,189 |
Bib Merchant Voucher Receivables Ltd. |
|
|
4.18% due 04/07/28††† |
711,693 |
682,732 |
Total Financial |
|
38,527,225 |
Infrastructure – 2.0% |
|
|
Hotwire Funding LLC |
|
|
2023-1A, 8.84% due 05/20/536 |
11,000,000 |
10,862,340 |
2021-1, 4.46% due 11/20/516 |
5,250,000 |
4,725,598 |
2024-1A, 9.19% due 06/20/546 |
2,000,000 |
2,001,045 |
62 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
ASSET-BACKED SECURITIES†† – 19.2% (continued) |
|
|
Infrastructure – 2.0% (continued) |
|
|
VB-S1 Issuer LLC – VBTEL |
|
|
2022-1A, 5.27% due 02/15/526 |
8,000,000 |
$ 7,235,495 |
2024-1A, 8.87% due 05/15/546 |
5,600,000 |
5,615,531 |
Vault DI Issuer LLC |
|
|
2021-1A, 2.80% due 07/15/466 |
1,850,000 |
1,630,672 |
Aligned Data Centers Issuer LLC |
|
|
2021-1A, 2.48% due 08/15/466 |
1,500,000 |
1,353,096 |
Blue Stream Issuer LLC |
|
|
2023-1A, 6.90% due 05/20/536 |
1,000,000 |
977,018 |
Total Infrastructure |
|
34,400,795 |
Net Lease – 0.7% |
|
|
CARS-DB4, LP |
|
|
2020-1A, 4.95% due 02/15/506 |
7,110,000 |
6,056,203 |
SVC ABS LLC |
|
|
2023-1A, 5.55% due 02/20/536 |
3,688,438 |
3,446,382 |
CARS-DB7, LP |
|
|
2023-1A, 6.50% due 09/15/536 |
3,322,083 |
3,288,874 |
Total Net Lease |
|
12,791,459 |
Whole Business – 0.7% |
|
|
Applebee’s Funding LLC / IHOP Funding LLC |
|
|
2019-1A, 4.72% due 06/05/496 |
8,217,000 |
7,889,448 |
SERVPRO Master Issuer LLC |
|
|
2019-1A, 3.88% due 10/25/496 |
1,957,750 |
1,850,281 |
Sonic Capital LLC |
|
|
2020-1A, 3.85% due 01/20/506 |
1,203,125 |
1,135,495 |
2020-1A, 4.34% due 01/20/506 |
770,000 |
707,042 |
Wingstop Funding LLC |
|
|
2020-1A, 2.84% due 12/05/506 |
98,500 |
89,167 |
Total Whole Business |
|
11,671,433 |
Single Family Residence – 0.6% |
|
|
FirstKey Homes Trust |
|
|
2022-SFR3, 4.50% due 07/17/386 |
3,200,000 |
3,086,082 |
2020-SFR2, 4.00% due 10/19/376 |
3,050,000 |
2,900,161 |
2020-SFR2, 4.50% due 10/19/376 |
3,000,000 |
2,858,928 |
2020-SFR2, 3.37% due 10/19/376 |
1,900,000 |
1,796,756 |
Total Single Family Residence |
|
10,641,927 |
Insurance – 0.1% |
|
|
CHEST |
|
|
7.13% due 03/15/43††† |
1,425,000 |
1,435,881 |
CBC Insurance Revenue Securitization LLC |
|
|
2016-1, 5.25% due 07/15/461 |
278,063 |
240,939 |
Total Insurance |
|
1,676,820 |
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 63
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
ASSET-BACKED SECURITIES†† – 19.2% (continued) |
|
|
Collateralized Debt Obligations – 0.0% |
|
|
Anchorage Credit Funding 4 Ltd. |
|
|
2021-4A CR, 3.52% due 04/27/396 |
1,000,000 |
$ 822,404 |
Transport-Rail – 0.0% |
|
|
Trinity Rail Leasing, LP |
|
|
2009-1A, 6.66% due 11/16/396 |
96,384 |
96,715 |
Total Asset-Backed Securities |
|
|
(Cost $336,801,632) |
|
327,707,329 |
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 5.8% |
|
|
Government Agency – 2.3% |
|
|
Fannie Mae |
|
|
4.00% due 06/01/522 |
6,715,819 |
6,165,563 |
4.00% due 07/01/522 |
6,277,121 |
5,796,475 |
5.00% due 08/01/532 |
5,723,773 |
5,515,438 |
5.00% due 09/01/522 |
2,099,175 |
2,024,523 |
5.00% due 06/01/532 |
1,937,742 |
1,866,290 |
4.00% due 05/01/522 |
1,630,059 |
1,489,525 |
Freddie Mac |
|
|
5.00% due 09/01/522 |
5,552,148 |
5,354,489 |
4.00% due 05/01/522 |
5,244,390 |
4,794,911 |
4.00% due 06/01/522 |
4,536,369 |
4,162,064 |
4.00% due 08/01/522 |
1,663,356 |
1,546,602 |
Total Government Agency |
|
38,715,880 |
Residential Mortgage-Backed Securities – 2.2% |
|
|
Top Pressure Recovery Turbines |
|
|
7.51% due 11/01/69 |
6,300,000 |
6,296,850 |
Finance of America HECM Buyout |
|
|
2022-HB2, 6.00% (WAC) due 08/01/32à,6 |
3,800,000 |
3,717,437 |
LSTAR Securities Investment Ltd. |
|
|
2024-1, 8.43% (30 Day Average SOFR + 3.10%, Rate Floor: 3.10%) due 01/01/29à,6 |
3,497,576 |
3,469,439 |
Carrington Mortgage Loan Trust Series |
|
|
2006-NC5, 5.59% (1 Month Term SOFR + 0.26%, Rate Cap/Floor: 14.50%/0.15%) |
|
|
due 01/25/37à |
3,754,714 |
3,214,390 |
CFMT LLC |
|
|
2022-HB9, 3.25% (WAC) due 09/25/37à,1 |
3,400,000 |
2,974,323 |
OBX Trust |
|
|
2024-NQM6, 6.92% (WAC) due 02/25/64à,6 |
1,750,000 |
1,769,935 |
2022-NQM8, 6.10% due 09/25/626,13 |
1,034,300 |
1,022,175 |
WaMu Asset-Backed Certificates WaMu Series |
|
|
2007-HE4, 5.61% (1 Month Term SOFR + 0.28%, Rate Floor: 0.28%) due 07/25/47à |
1,554,262 |
1,093,207 |
2007-HE4, 5.69% (1 Month Term SOFR + 0.36%, Rate Floor: 0.36%) due 07/25/47à |
897,190 |
518,722 |
2007-HE2, 5.63% (1 Month Term SOFR + 0.30%, Rate Floor: 0.30%) due 04/25/37à |
1,330,071 |
488,181 |
New Residential Mortgage Loan Trust |
|
|
2022-NQM5, 6.50% due 11/25/526,13 |
2,029,859 |
2,005,607 |
64 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 5.8% (continued) |
|
|
Residential Mortgage-Backed Securities – 2.2% (continued) |
|
|
GCAT Trust |
|
|
2022-NQM5, 5.71% due 08/25/676,13 |
1,933,303 |
$ 1,901,446 |
Lehman XS Trust Series |
|
|
2006-18N, 5.80% (1 Month Term SOFR + 0.47%, Rate Floor: 0.36%) due 12/25/36à |
1,841,437 |
1,725,579 |
BRAVO Residential Funding Trust |
|
|
2022-NQM3, 5.50% (WAC) due 07/25/62à,6 |
1,533,383 |
1,508,237 |
PRPM LLC |
|
|
2023-1, 6.88% (WAC) due 02/25/28à,6 |
1,445,454 |
1,447,436 |
Saluda Grade Alternative Mortgage Trust |
|
|
2023-FIG4, 7.12% (WAC) due 11/25/53à,6 |
1,250,503 |
1,260,650 |
PRKCM Trust |
|
|
2022-AFC2, 6.14% (WAC) due 08/25/57à,6 |
1,164,579 |
1,149,985 |
Citigroup Mortgage Loan Trust |
|
|
2022-A, 6.17% due 09/25/626,13 |
991,593 |
989,589 |
JP Morgan Mortgage Acquisition Trust |
|
|
2006-WMC4, 5.57% (1 Month Term SOFR + 0.24%, Rate Floor: 0.13%) due 12/25/36à |
1,377,989 |
829,262 |
CSMC Trust |
|
|
2020-RPL5, 4.68% (WAC) due 08/25/60à,6 |
716,575 |
713,147 |
Total Residential Mortgage-Backed Securities |
|
38,095,597 |
Commercial Mortgage-Backed Securities – 0.8% |
|
|
BX Trust |
|
|
2024-VLT4, due 07/15/29à,6 |
5,200,000 |
5,187,000 |
2023-DELC, 8.66% (1 Month Term SOFR + 3.34%, Rate Floor: 3.34%) |
|
|
due 05/15/38à,6 |
2,750,000 |
2,767,187 |
BX Commercial Mortgage Trust |
|
|
2021-VOLT, 7.43% (1 Month Term SOFR + 2.11%, Rate Floor: 2.00%) |
|
|
due 09/15/36à,6 |
3,743,000 |
3,710,249 |
GS Mortgage Securities Corporation Trust |
|
|
2020-DUNE, 8.09% (1 Month Term SOFR + 2.76%, Rate Floor: 2.65%) |
|
|
due 12/15/36à,6 |
2,000,000 |
1,929,203 |
Total Commercial Mortgage-Backed Securities |
|
13,593,639 |
Military Housing – 0.5% |
|
|
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates |
|
|
2015-R1, 5.94% (WAC) due 11/25/52à,1 |
3,344,890 |
2,932,544 |
2015-R1, 0.70% (WAC) due 11/25/55à,6,14 |
39,433,395 |
2,454,733 |
2015-R1, 0.70% (WAC) due 11/25/52à,6,14 |
31,356,351 |
1,761,057 |
Capmark Military Housing Trust |
|
|
2007-AETC, 5.75% due 02/10/52†††,6 |
1,502,908 |
1,289,598 |
2007-AET2, 6.06% due 10/10/52†††,6 |
452,256 |
426,840 |
Total Military Housing |
|
8,864,772 |
Total Collateralized Mortgage Obligations |
|
|
(Cost $103,453,229) |
|
99,269,888 |
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 65
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
U.S. GOVERNMENT SECURITIES†† – 3.3% |
|
|
U.S. Treasury Bills |
|
|
5.19% due 08/22/242,15 |
38,000,000 |
$ 37,557,933 |
5.16% due 06/27/2415 |
3,620,000 |
3,607,307 |
5.20% due 08/01/2415 |
230,000 |
228,019 |
5.19% due 06/13/2415 |
150,000 |
149,781 |
U.S. Treasury Bonds |
|
|
due 08/15/512,16,17 |
32,650,000 |
9,399,477 |
due 05/15/442,16,17 |
5,030,000 |
1,969,962 |
due 11/15/442,16,17 |
5,030,000 |
1,921,720 |
due 02/15/462,16,17 |
5,060,000 |
1,824,201 |
Total U.S. Government Securities |
|
|
(Cost $62,704,537) |
|
56,658,400 |
CONVERTIBLE BONDS†† – 0.2% |
|
|
Consumer, Non-cyclical – 0.1% |
|
|
Block, Inc. |
|
|
due 05/01/2616 |
2,840,000 |
2,523,856 |
Communications – 0.1% |
|
|
Cable One, Inc. |
|
|
due 03/15/2616 |
1,250,000 |
1,080,000 |
Total Convertible Bonds |
|
|
(Cost $3,720,993) |
|
3,603,856 |
FOREIGN GOVERNMENT DEBT†† – 0.2% |
|
|
Panama Government International Bond |
|
|
4.50% due 01/19/63 |
4,150,000 |
2,600,250 |
Total Foreign Government Debt |
|
|
(Cost $4,124,612) |
|
2,600,250 |
FEDERAL AGENCY DISCOUNT NOTES†† – 0.0% |
|
|
Federal Home Loan Bank |
|
|
5.27% due 06/24/2415 |
745,000 |
742,492 |
Total Federal Agency Discount Notes |
|
|
(Cost $742,492) |
|
742,492 |
MUNICIPAL BONDS†† – 0.0% |
|
|
Oklahoma – 0.0% |
|
|
Oklahoma Development Finance Authority Revenue Bonds |
|
|
5.45% due 08/15/28 |
400,000 |
376,112 |
Total Municipal Bonds |
|
|
(Cost $400,000) |
|
376,112 |
66 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
|
Face |
|
|
Amount~ |
Value |
SENIOR FIXED RATE INTERESTS††† – 0.0% |
|
|
Industrial – 0.0% |
|
|
Schur Flexibles GmbH |
|
|
13.40% due 09/30/26 |
EUR 167,285 |
$ 165,179 |
9.36% due 09/30/26 |
EUR 113,552 |
112,122 |
13.48% due 09/30/26 |
EUR 57,977 |
57,248 |
Total Industrial |
|
334,549 |
Total Senior Fixed Rate Interests |
|
|
(Cost $347,094) |
|
334,549 |
|
Contracts |
|
LISTED OPTIONS PURCHASED† – 0.1% |
|
|
Put Options on: |
|
|
Equity Options |
|
|
SPDR S&P Regional Banking ETF Expiring December 2024 with strike price of $42.00 |
|
|
(Notional Value $13,321,395) |
2,727 |
449,955 |
SPDR S&P Regional Banking ETF Expiring January 2025 with strike price of $43.00 |
|
|
(Notional Value $11,035,215) |
2,259 |
396,455 |
Total Listed Options Purchased |
|
|
(Cost $1,527,700) |
|
846,410 |
|
Notional |
|
|
Value |
|
OTC OPTIONS PURCHASED†† – 0.0% |
|
|
Call Options on: |
|
|
Interest Rate Options |
|
|
Goldman Sachs International 10Y-2Y SOFR CMS CAP |
|
|
Expiring June 2024 with strike price of $0.10 |
USD 44,500,000 |
44 |
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP |
|
|
Expiring June 2024 with strike price of $0.10 |
USD 41,200,000 |
41 |
Barclays Bank plc |
|
|
10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 |
USD 40,800,000 |
41 |
Bank of America, N.A. 10Y-2Y SOFR CMS CAP |
|
|
Expiring June 2024 with strike price of $0.10 |
USD 20,600,000 |
21 |
Total Interest Rate Options |
|
147 |
|
Contracts |
|
Put Options on: |
|
|
Equity Options |
|
|
Goldman Sachs International SPDR S&P Regional Banking ETF |
|
|
Expiring December 2024 with strike price of $42.00 (Notional Value $4,416,040) |
904 |
149,160 |
Total OTC Options Purchased |
|
|
(Cost $936,678) |
|
149,307 |
Total Investments – 121.5% |
|
|
(Cost $2,193,126,991) |
|
$ 2,070,604,937 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 67
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
May 31, 2024 |
Contracts |
Value |
LISTED OPTIONS WRITTEN† – 0.0% (continued) |
|
|
Call Options on: |
|
|
Equity Options |
|
|
SPDR S&P 500 ETF Trust Expiring June 2024 with strike price of $531.00 (Notional Value $1,107,477) |
21 |
$ (8,935) |
S&P 500 Index Expiring June 2024 with strike price of $5,300.00 (Notional Value $11,610,522) |
22 |
(10,010) |
S&P 500 Index Expiring June 2024 with strike price of $5,310.00 (Notional Value $11,610,522) |
22 |
(11,880) |
S&P 500 Index Expiring June 2024 with strike price of $5,315.00 (Notional Value $11,610,522) |
22 |
(15,510) |
NASDAQ-100 Index Expiring June 2024 with strike price of $18,775.00 (Notional Value $1,853,665) |
1 |
(16,300) |
S&P 500 Index Expiring June 2024 with strike price of $5,280.00 (Notional Value $2,111,004) |
4 |
(25,360) |
S&P 500 Index Expiring June 2024 with strike price of $5,295.00 (Notional Value $11,610,522) |
22 |
(39,930) |
S&P 500 Index Expiring June 2024 with strike price of $5,300.00 (Notional Value $11,610,522) |
22 |
(56,100) |
Russell 2000 Index Expiring June 2024 with strike price of $2,040.00 (Notional Value $2,484,151) |
12 |
(69,540) |
S&P 500 Index Expiring June 2024 with strike price of $5,290.00 (Notional Value $11,610,522) |
22 |
(73,370) |
S&P 500 Index Expiring June 2024 with strike price of $5,260.00 (Notional Value $11,610,522) |
22 |
(101,200) |
S&P 500 Index Expiring June 2024 with strike price of $5,270.00 (Notional Value $11,610,522) |
22 |
(119,790) |
S&P 500 Index Expiring June 2024 with strike price of $5,220.00 (Notional Value $11,610,522) |
22 |
(133,760) |
S&P 500 Index Expiring June 2024 with strike price of $5,250.00 (Notional Value $11,610,522) |
22 |
(154,550) |
Total Listed Options Written |
|
|
(Premiums received $1,365,422) |
|
(836,235) |
Other Assets & Liabilities, net – (21.5)% |
|
(366,149,682) |
Total Net Assets – 100.0% |
|
$ 1,703,619,020 |
FUTURES CONTRACTS |
|
|
|
|
|
|
|
|
Value and |
|
Number of |
Expiration |
Notional |
Unrealized |
Description |
Contracts |
Date |
Amount |
Depreciation** |
Commodity Futures Contracts Purchased† |
|
|
|
|
Gold 100 oz. Futures Contracts |
73 |
Aug 2024 |
$17,142,590 |
$(185,925) |
Equity Futures Contracts Purchased† |
|
|
|
|
S&P 500 Index Mini Futures Contracts |
660 |
Jun 2024 |
174,792,750 |
(1,139,819) |
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS PROTECTION PURCHASED†† |
|
|
|
|
|
Protection |
|
|
|
|
Upfront |
|
|
|
|
Premium |
Payment |
Maturity |
Notional |
|
Premiums |
Unrealized |
Counterparty |
Exchange |
Index |
Rate |
Frequency |
Date |
Amount |
Value |
(Received) |
Depreciation** |
BofA Securities, |
ICE |
ITRAXX.EUR.41.V1 |
1.00% |
Quarterly |
06/20/29 EUR $16,150,000 |
$(385,594) |
$(377,773) |
$(7,821) |
Inc. |
|
|
|
|
|
|
|
|
|
See notes to financial statements.
68 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
CENTRALLY
CLEARED INTEREST RATE SWAP AGREEMENTS††
|
|
Floating |
Floating |
|
|
|
|
|
Upfront |
|
|
|
Rate |
Rate |
Fixed |
Payment |
Maturity |
Notional |
|
Premiums |
Unrealized |
Counterparty |
Exchange |
Type |
Index |
Rate |
Frequency |
Date |
Amount |
Value |
Paid |
Depreciation** |
BofA Securities, |
CME |
Pay |
U.S. |
2.78% |
Annually |
07/18/27 |
$143,900,000 |
$(7,232,402) |
$592 |
$(7,232,994) |
Inc. |
|
|
Secured |
|
|
|
|
|
|
|
|
|
Overnight |
|
|
|
|
|
|
|
|
|
Financing |
|
|
|
|
|
|
|
|
|
Rate |
|
|
|
|
|
|
TOTAL RETURN SWAP AGREEMENTS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value and |
|
|
|
Financing |
Payment |
Maturity |
|
Notional |
Unrealized |
Counterparty |
Index |
Type |
Rate |
Frequency |
Date |
Units |
Amount |
Appreciation |
OTC Equity Index Swap Agreements†† |
|
|
|
|
|
|
Bank of America, N.A. |
SPDR S&P |
Pay |
5.97% (Federal Funds |
At Maturity |
06/02/25 |
66,900 |
$35,281,053 |
$1,782,965 |
|
500 ETF Trust |
|
Rate + 0.64%) |
|
|
|
|
|
OTC Interest Rate Swap Agreements†† |
|
|
|
|
|
|
Goldman Sachs |
Goldman Sachs |
Pay |
6.33% (Federal Funds |
At Maturity |
04/11/25 |
10,000,000 |
14,863,000 |
206,270 |
International |
Swaption Forward |
|
Rate + 1.00%) |
|
|
|
|
|
|
Volatility Index |
|
|
|
|
|
|
|
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS†† |
|
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
|
|
Contract |
Settlement |
Appreciation |
Counterparty |
Currency |
Type |
Quantity |
Amount |
Date |
(Depreciation) |
Morgan Stanley Capital Services LLC |
CAD |
Sell |
3,151,000 |
2,309,747 USD |
06/17/24 |
$ (4,064) |
JPMorgan Chase Bank, N.A. |
EUR |
Sell |
6,275,000 |
6,806,485 USD |
06/17/24 |
(6,381) |
Barclays Bank plc |
EUR |
Sell |
95,588,000 |
103,561,177 USD |
06/17/24 |
(220,218) |
Bank of America, N.A. |
GBP |
Sell |
19,636,000 |
24,725,573 USD |
06/17/24 |
(301,964) |
|
|
|
|
|
|
$(532,627) |
~ | | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | | Non-income producing security. |
** | | Includes cumulative appreciation (depreciation). Variation margin is reported within the
Statement of Assets and Liabilities. |
† | | Value determined based on Level 1 inputs, unless otherwise noted — See Note 6. |
†† | | Value determined based on Level 2 inputs, unless otherwise noted — See
Note 6. |
††† | | Value determined based on Level 3 inputs — See Note 6. |
à | | Variable rate security. Rate indicated is the rate effective at May 31, 2024. 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 | | 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 $8,700,675 (cost $11,579,633), or 0.5% of total net assets —See Note 12. |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 69
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
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 May 31, 2024, the total value of segregated securities
was $497,473,202. |
4 | | Special Purpose Acquisition Company (SPAC). |
5 | | Security has a fixed rate coupon which will convert to a floating or variable rate coupon
on a future date. |
6 | | 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 $890,883,626
(cost $939,187,210), or 52.3% of total net assets. |
7 | | Rate indicated is the 7-day yield as of May 31, 2024. |
8 | | Variable rate security. Rate indicated is the rate effective at May 31, 2024. 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. |
10 | | Security is in default of interest and/or principal obligations. |
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 May 31, 2024. See table below for additional step information for
each security. |
14 | | Security is an interest-only strip. |
15 | | Rate indicated is the effective yield at the time of purchase. |
16 | | Zero coupon rate security. |
17 | | Security is a principal-only strip. |
BofA
— Bank of America
CAD — Canadian Dollar
CME — Chicago Mercantile Exchange
CMS — Constant Maturity Swap
EUR — Euro
EURIBOR — European Interbank Offered Rate
GBP — British Pound
ICE — Intercontinental Exchange
ITRAXX.EUR.41.V1 — iTraxx Europe Series 41 Index
Version 1
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.
See notes to financial statements.
70 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
Country Diversification |
|
% of Long-Term |
Country |
Investments |
United States |
81.6% |
Cayman Islands |
6.8% |
United Kingdom |
2.4% |
Canada |
2.3% |
Luxembourg |
1.0% |
Netherlands |
1.0% |
Other |
4.9% |
Total Long-Term Investments |
100.0% |
The following table summarizes the inputs used to value the Fund’s
investments at May 31, 2024 (See Note 6 in the Notes to Financial Statements):
|
|
Level 2 |
Level 3 |
|
|
|
Significant |
Significant |
|
Investments in |
Level 1 |
Observable |
Unobservable |
|
Securities (Assets) |
Quoted Prices |
Inputs |
Inputs |
Total |
Common Stocks |
$ 7,866,474 |
$ 2,718,693 |
$ 1,211,166 |
$ 11,796,333 |
Preferred Stocks |
— |
91,660,049 |
10,908,493 |
102,568,542 |
Warrants |
1,074 |
— |
44 |
1,118 |
Exchange-Traded Funds |
4,641,400 |
— |
— |
4,641,400 |
Closed-End Mutual Funds |
22,094,601 |
— |
— |
22,094,601 |
Money Market Funds |
39,920,474 |
— |
— |
39,920,474 |
Corporate Bonds |
— |
713,241,325 |
39,085,000 |
752,326,325 |
Senior Floating Rate Interests |
— |
526,232,401 |
118,735,150 |
644,967,551 |
Asset-Backed Securities |
— |
282,190,160 |
45,517,169 |
327,707,329 |
Collateralized Mortgage Obligations |
— |
97,553,450 |
1,716,438 |
99,269,888 |
U.S. Government Securities |
— |
56,658,400 |
— |
56,658,400 |
Convertible Bonds |
— |
3,603,856 |
— |
3,603,856 |
Foreign Government Debt |
— |
2,600,250 |
— |
2,600,250 |
Federal Agency Discount Notes |
— |
742,492 |
— |
742,492 |
Municipal Bonds |
— |
376,112 |
— |
376,112 |
Senior Fixed Rate Interests |
— |
— |
334,549 |
334,549 |
Options Purchased |
846,410 |
149,307 |
— |
995,717 |
Equity Index Swap Agreements** |
— |
1,782,965 |
— |
1,782,965 |
Interest Rate Swap Agreements** |
— |
206,270 |
— |
206,270 |
Total Assets |
$ 75,370,433 |
$1,779,715,730 |
$217,508,009 |
$2,072,594,172 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 71
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS continued |
|
|
|
|
May 31, 2024 |
|
|
Level 2 |
Level 3 |
|
|
|
Significant |
Significant |
|
Investments in |
Level 1 |
Observable |
Unobservable |
|
Securities (Liabilities) |
Quoted Prices |
Inputs |
Inputs |
Total |
Options Written |
$ 836,235 |
$ — |
$ — |
$ 836,235 |
Equity Futures Contracts** |
1,139,819 |
— |
— |
1,139,819 |
Commodity Futures Contracts** |
185,925 |
— |
— |
185,925 |
Credit Default Swap Agreements** |
— |
7,821 |
— |
7,821 |
Interest Rate Swap Agreements** |
— |
7,232,994 |
— |
7,232,994 |
Forward Foreign Currency Exchange Contracts** |
— |
532,627 |
— |
532,627 |
Unfunded Loan Commitments (Note 11) |
— |
— |
300,392 |
300,392 |
Total Liabilities |
$ 2,161,979 |
$ 7,773,442 |
$ 300,392 |
$ 10,235,813 |
** This derivative is reported as unrealized appreciation/depreciation at period end.
Please refer to the detailed Schedule of Investments for a breakdown
of investments 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 $359,155,862
are categorized as Level 2 within the disclosure hierarchy — See Note 7.
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:
|
Ending Balance at |
|
Valuation |
Unobservable |
Input |
Weighted |
Category |
May 31, 2024 |
|
Technique |
Inputs |
Range |
Average* |
Assets: |
|
|
|
|
|
|
Asset-Backed Securities |
$ 39,342,923 |
|
Yield Analysis |
Yield |
2.0%-13.0% |
6.8% |
Asset-Backed Securities |
6,174,246 |
|
Option adjusted spread off |
Broker Quote |
— |
— |
|
|
|
prior month end broker quote |
|
|
|
Collateralized Mortgage |
1,716,438 |
|
Option adjusted spread off |
Broker Quote |
— |
— |
Obligations |
|
|
prior month end broker quote |
|
|
|
Common Stocks |
811,301 |
|
Enterprise Value |
Valuation Multiple |
2.3x-15.4x |
5.8x |
Common Stocks |
341,743 |
|
Model Price |
Purchase Price |
— |
— |
Common Stocks |
58,122 |
|
Model Price |
Liquidation Value |
— |
— |
Corporate Bonds |
19,647,128 |
|
Option adjusted spread off prior |
Broker Quote |
— |
— |
|
|
|
month end broker quote |
|
|
|
Corporate Bonds |
19,432,720 |
|
Third Party Pricing |
Broker Quote |
— |
— |
Corporate Bonds |
5,150 |
|
Third Party Pricing |
Vendor Price |
— |
— |
Corporate Bonds |
2 |
|
Model Price |
Purchase Price |
— |
— |
Preferred Stocks |
9,897,700 |
|
Yield Analysis |
Yield |
6.8% |
— |
Preferred Stocks |
997,509 |
|
Model Price |
Purchase Price |
— |
— |
Preferred Stocks |
13,284 |
|
Third Party Pricing |
Vendor Price |
— |
— |
Senior Fixed Rate Interests |
334,549 |
|
Third Party Pricing |
Broker Quote |
— |
— |
Senior Floating Rate Interests |
52,848,807 |
|
Yield Analysis |
Yield |
10.2%-14.2% |
11.6% |
Senior Floating Rate Interests |
38,022,804 |
|
Third Party Pricing |
Broker Quote |
— |
— |
Senior Floating Rate Interests |
26,879,916 |
|
Model Price |
Purchase Price |
— |
— |
Senior Floating Rate Interests |
983,623 |
|
Model Price |
Liquidation Value |
— |
— |
Warrants |
44 |
|
Model Price |
Liquidation Value |
— |
— |
Total Assets |
$217,508,009 |
|
|
|
|
|
Liabilities: |
|
|
|
|
|
|
Unfunded Loan Commitments |
$ 300,392 |
|
Model Price |
Purchase Price |
— |
— |
* Inputs are weighted by the fair value of the instruments. |
|
|
|
72 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
Significant changes in a quote, yield, 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.
Transfers 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 year ended May 31, 2024, the Fund had securities
with a total value of $23,328,964 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total
value of $24,172,599 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 year ended May 31, 2024:
|
|
|
|
Assets |
|
|
|
|
|
Liabilities |
|
|
|
|
Senior |
|
|
|
Senior |
|
Unfunded |
|
|
Collateralized |
|
Floating |
|
|
|
Fixed |
|
Loan |
|
Asset-Backed |
Mortgage |
Corporate |
Rate |
|
Common |
Preferred |
Rate |
Total |
Commit- |
|
Securities |
Obligations |
Bonds |
Interests |
Warrants |
Stocks |
Stocks |
Interests |
Assets |
ments |
Beginning |
|
|
|
|
|
|
|
|
|
|
Balance |
$41,462,306 |
$1,885,323 $12,658,388 |
$105,421,682 |
$12 |
$ 763,367 |
$ 1,385,670 $ |
— $163,576,748 |
$(345,330) |
Purchases/ |
|
|
|
|
|
|
|
|
|
|
(Receipts) |
12,650,188 |
— |
11,459,450 |
54,428,482 |
— |
368,809 |
10,000,000 |
— |
88,906,929 |
(723,035) |
(Sales, maturities |
|
|
|
|
|
|
|
|
|
|
and paydowns)/ |
|
|
|
|
|
|
|
|
|
Fundings |
(6,360,797) |
(26,434) |
(547,310) |
(30,964,530) |
— |
(6,240) |
(1,193,672) |
— |
(39,098,983) |
554,897 |
Amortization of |
|
|
|
|
|
|
|
|
|
|
premiums/ |
|
|
|
|
|
|
|
|
|
|
discounts |
25,294 |
375 |
135,310 |
840,953 |
— |
— |
— |
— |
1,001,932 |
51,313 |
Corporate actions |
— |
— |
— |
3,810,291 |
— |
— |
— |
— |
3,810,291 |
— |
Total realized gains |
|
|
|
|
|
|
|
|
|
(losses) included |
|
|
|
|
|
|
|
|
|
in earnings |
(2,222) |
— |
(1,381,179) |
(101,271) |
— |
(23,294) |
(3,602,710) |
— |
(5,110,676) |
112,773 |
Total change in |
|
|
|
|
|
|
|
|
|
|
unrealized |
|
|
|
|
|
|
|
|
|
|
appreciation |
|
|
|
|
|
|
|
|
|
|
(depreciation) |
|
|
|
|
|
|
|
|
|
|
included in |
|
|
|
|
|
|
|
|
|
|
earnings |
(1,280,582) |
(142,826) |
2,129,842 |
158,245 |
32 |
94,771 |
4,305,921 |
— |
5,265,403 |
48,990 |
Transfers into |
|
|
|
|
|
|
|
|
|
|
Level 3 |
— |
— |
14,630,499 |
8,336,879 |
— |
13,753 |
13,284 334,549 |
23,328,964 |
— |
Transfers out |
|
|
|
|
|
|
|
|
|
|
of Level 3 |
(977,018) |
— |
— |
(23,195,581) |
— |
— |
— |
— |
(24,172,599) |
— |
Ending Balance |
$45,517,169 |
$1,716,438 $39,085,000 |
$118,735,150 |
$44 |
$1,211,166 |
$10,908,493 $334,549 $217,508,009 |
$(300,392) |
Net change in |
|
|
|
|
|
|
|
|
|
|
unrealized |
|
|
|
|
|
|
|
|
|
|
appreciation |
|
|
|
|
|
|
|
|
|
|
(depreciation) |
|
|
|
|
|
|
|
|
|
|
for investments |
|
|
|
|
|
|
|
|
|
|
in Level 3 |
|
|
|
|
|
|
|
|
|
|
securities still |
|
|
|
|
|
|
|
|
|
|
held at |
|
|
|
|
|
|
|
|
|
|
May 31, 2024 |
$ (1,585,875) |
$ (142,826) |
$ 740,602 |
$ (638,061) |
$32 |
$ 72,326 |
$ (28,216) |
$ — |
$(1,582,018) |
$ 6,409 |
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 73
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
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. Rates for all step coupon bonds held by the Fund are scheduled to increase,
except GAIA Aviation Ltd, which are scheduled to decrease.
|
Coupon Rate at Next |
Next Rate |
Future |
Future |
Name |
Reset Date |
Reset Date |
Reset Rate |
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% |
10/15/26 |
— |
— |
GAIA Aviation Ltd. 2019-1, 5.19% due 12/15/44 |
2.00% |
10/15/26 |
— |
— |
GCAT Trust 2022-NQM5, 5.71% due 08/25/67 |
6.71% |
10/01/26 |
— |
— |
New Residential Mortgage Loan Trust 2022-NQM5, |
|
|
|
|
6.50% due 11/25/52 |
7.50% |
09/01/26 |
— |
— |
OBX Trust 2022-NQM8, 6.10% due 09/25/62 |
7.10% |
10/01/26 |
— |
— |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares
of a company, 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 year ended May 31, 2024, in which the company
is an affiliated issuer, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in |
|
|
|
|
|
|
|
|
Unrealized |
|
|
|
|
Value |
|
|
Realized |
Appreciation |
Value |
Shares |
Investment |
Security Name |
05/31/23 |
Additions |
Reductions |
Gain (Loss) |
(Depreciation) |
05/31/24 |
05/31/24 |
Income |
Common Stocks |
|
|
|
|
|
|
|
|
BP Holdco LLC * |
$155,475 |
$ — |
$— |
$— |
$ (8,756) |
$ 146,719 |
121,041 |
$ — |
Closed-End Mutual Funds |
|
|
|
|
|
|
|
|
Guggenheim Active |
|
|
|
|
|
|
|
|
Allocation Fund |
4,643,255 |
8,596,852 |
— |
— |
1,028,893 |
14,269,000 |
950,000 |
1,267,157 |
|
$4,798,730 |
$8,596,852 |
$— |
$— |
$1,020,137 |
$14,415,719 |
|
$1,267,157 |
* Non-income producing security. |
|
|
|
|
|
|
|
74 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
STATEMENT OF ASSETS AND LIABILITIES |
May 31, 2024 |
|
|
ASSETS: |
|
Investments in unaffiliated issuers, at value (cost $2,179,708,305) |
$ 2,056,189,218 |
Investments in affiliated issuers, at value (cost $13,418,686) |
14,415,719 |
Foreign currency, at value |
458,539 |
Cash |
5,082,295 |
Segregated cash from broker |
34,792,184 |
Unrealized appreciation on OTC swap agreements |
1,989,235 |
Due from adviser |
17,509 |
Unamortized upfront premiums paid on credit default swap agreements |
592 |
Prepaid expenses |
70,656 |
Receivables: |
|
Interest |
21,292,752 |
Investments sold |
3,906,789 |
Fund shares sold |
1,792,942 |
Variation margin on futures contracts |
1,310,890 |
Dividends |
368,279 |
Tax reclaims |
12,506 |
Variation margin on credit default swap agreements |
2,619 |
Total assets |
2,141,702,724 |
LIABILITIES: |
|
Reverse repurchase agreements (Note 7) |
359,155,862 |
Borrowings (Note 8) |
2,300,000 |
Unfunded loan commitments, at value (Note 11) (commitment fees received $476,222) |
300,392 |
Options written, at value (premiums received $1,365,422) |
836,235 |
Unamortized upfront premiums received on credit default swap agreements |
377,773 |
Unrealized depreciation on forward foreign currency exchange contracts |
532,627 |
Interest due on borrowings |
288,220 |
Segregated cash due to broker |
25,299,219 |
Payable for: |
|
Investments purchased |
42,687,892 |
Variation margin on interest rate swap agreements |
3,112,056 |
Investment advisory fees |
1,792,611 |
Offering costs |
784,457 |
Professional fees |
217,640 |
Swap settlement |
208,748 |
Protection fees on credit default swap agreements |
35,535 |
Other liabilities |
154,437 |
Total liabilities |
438,083,704 |
NET ASSETS |
$ 1,703,619,020 |
NET ASSETS CONSIST OF: |
|
Common stock, $0.01 par value per share; unlimited number of shares |
|
authorized, 142,615,463 shares issued and outstanding |
$ 1,426,155 |
Additional paid-in capital |
1,867,650,003 |
Total distributable earnings (loss) |
(165,457,138) |
NET ASSETS |
$ 1,703,619,020 |
Shares outstanding ($0.01 par value with unlimited amount authorized) |
142,615,463 |
Net asset value |
$ 11.95 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 75
|
|
STATEMENT OF OPERATIONS |
May 31, 2024 |
For the Year Ended May 31, 2024 |
|
|
INVESTMENT INCOME: |
|
Interest from securities of unaffiliated issuers (net of foreign withholdings tax $6,820) |
$ 144,160,820 |
Dividends from securities of unaffiliated issuers (net of foreign withholdings tax $929) |
7,031,340 |
Dividends from securities of affiliated issuers |
1,267,157 |
Miscellaneous income |
542 |
Total investment income |
152,459,859 |
EXPENSES: |
|
Interest expense |
23,517,735 |
Investment advisory fees |
19,752,305 |
Professional fees |
1,026,933 |
Administration fees |
287,523 |
Printing fees |
273,470 |
Fund accounting fees |
240,586 |
Trustees’ fees and expenses* |
141,212 |
Custodian fees |
132,839 |
Registration and filing fees |
128,628 |
Insurance |
120,216 |
Transfer agent fees |
22,326 |
Miscellaneous |
16,696 |
Total expenses |
45,660,469 |
Less: |
|
Expenses waived by adviser |
(158,649) |
Net expenses |
45,501,820 |
Net investment income |
106,958,039 |
NET REALIZED AND UNREALIZED GAIN (LOSS): |
|
Net realized gain (loss) on: |
|
Investments in unaffiliated issuers |
37,627,955 |
Swap agreements |
(5,622,189) |
Futures contracts |
766,798 |
Options purchased |
(1,156,729) |
Options written |
(9,443,410) |
Forward foreign currency exchange contracts |
1,172,727 |
Foreign currency transactions |
(538,771) |
Net realized gain |
22,806,381 |
Net change in unrealized appreciation (depreciation) on: |
|
Investments in unaffiliated issuers |
59,784,988 |
Investments in affiliated issuers |
1,020,137 |
Swap agreements |
(274,790) |
Futures contracts |
(1,325,744) |
Options purchased |
(1,080,220) |
Options written |
1,491,874 |
Forward foreign currency exchange contracts |
(1,122,307) |
Foreign currency translations |
(75,952) |
Net change in unrealized appreciation (depreciation) |
58,417,986 |
Net realized and unrealized gain |
81,224,367 |
Net increase in net assets resulting from operations |
$ 188,182,406 |
* Relates to Trustees not deemed “interested persons”
within the meaning of Section 2(a)(19) of the 1940 Act.
See notes to financial statements.
76 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS |
|
May 31, 2024 |
|
|
Year Ended |
Year Ended |
|
May 31, 2024 |
May 31, 2023 |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
Net investment income |
$ 106,958,039 |
$ 84,370,795 |
Net realized gain on investments |
22,806,381 |
24,993,182 |
Net change in unrealized appreciation (depreciation) |
|
|
on investments |
58,417,986 |
(125,820,760) |
Net increase (decrease) in net assets resulting from operations |
188,182,406 |
(16,456,783) |
DISTRIBUTIONS: |
|
|
Distributions to shareholders |
(124,527,642) |
(104,801,272) |
Return of capital |
(159,703,627) |
(139,524,841) |
Total distributions |
(284,231,269) |
(244,326,113) |
SHAREHOLDER TRANSACTIONS: |
|
|
Proceeds from shares issued through at-the-market offering |
292,166,076 |
212,399,119 |
Capital contribution from adviser |
— |
216,351 |
Reinvestments of distributions |
34,501,486 |
29,139,940 |
Common shares offering cost charged to paid-in-capital |
(693,499) |
106,199 |
Net increase in net assets resulting from shareholder transactions |
325,974,063 |
241,861,609 |
Net increase (decrease) in net assets |
229,925,200 |
(18,921,287) |
NET ASSETS: |
|
|
Beginning of period |
1,473,693,820 |
1,492,615,107 |
End of period |
$ 1,703,619,020 |
$ 1,473,693,820 |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 77
|
|
STATEMENT OF CASH FLOWS (Unaudited) |
May 31, 2024 |
For the Year Ended May 31, 2024 |
|
|
Cash Flows from Operating Activities: |
|
Net increase in net assets resulting from operations |
$ 188,182,406 |
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to |
|
Net Cash Used by Operating and Investing Activities: |
|
Net change in unrealized (appreciation) depreciation on investments |
(60,805,125) |
Net change in unrealized (appreciation) depreciation on options purchased |
1,080,220 |
Net change in unrealized (appreciation) depreciation on options written |
(1,491,874) |
Net change in unrealized depreciation on swap agreements |
(1,989,235) |
Net change in unrealized (appreciation) depreciation on forward foreign |
|
currency exchange contracts |
1,122,307 |
Net realized gain on investments |
(37,627,955) |
Net realized loss on options purchased |
1,156,729 |
Net realized loss on options written |
9,443,410 |
Purchase of long-term investments |
(715,699,610) |
Proceeds from sale of long-term investments |
596,763,166 |
Net purchase of short-term investments |
(57,300,260) |
Return of capital distributions received from investments |
5,731 |
Net accretion of bond discount and amortization of bond premium |
(11,038,814) |
Corporate actions and other payments |
4,423,102 |
Premiums received on options written |
103,974,125 |
Cost of closing options written |
(114,211,560) |
Commitment fees received and repayments of unfunded commitments |
169,975 |
Increase in due from adviser |
(17,509) |
Increase in unamortized upfront premiums paid on credit default swap agreements |
(592) |
Decrease in unamortized upfront premiums paid on interest rate swap agreements |
781 |
Decrease in prepaid expenses |
49,559 |
Increase in interest receivable |
(3,635,573) |
Decrease in investments sold receivable |
17,652,412 |
Decrease in dividends receivable |
304,724 |
Increase in tax reclaims receivable |
(363) |
Decrease in variation margin on credit default swap agreements receivable |
46,442 |
Increase in unamortized upfront premiums paid on credit default swap agreements |
7,806 |
Decrease in interest due on borrowings |
(179,913) |
Increase in segregated cash due to broker |
24,169,219 |
Increase in investments purchased payable |
25,941,339 |
Increase in variation margin on interest rate swap agreements payable |
2,263,660 |
Increase in investment advisory fees payable |
146,789 |
Increase in professional fees payable |
95,500 |
Increase in swap settlement payable |
208,748 |
Decrease in protection fees on credit default swap agreements payable |
(101,673) |
Increase in variation margin on futures contracts receivable |
(1,310,890) |
Decrease in trustees’ fees and expenses payable* |
(25,888) |
Increase in other liabilities |
40,228 |
Net Cash Used by Operating and Investing Activities |
(28,188,456) |
See notes to financial statements.
78 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
STATEMENT OF CASH FLOWS (Unaudited) continued |
May 31, 2024 |
For the Year Ended May 31, 2024 |
|
Cash Flows From Financing Activities: |
|
Distributions to common shareholders |
$ (249,729,783) |
Proceeds from the issuance of common shares |
292,459,496 |
Proceeds from borrowings |
19,000,000 |
Payments made on borrowings |
(70,700,000) |
Proceeds from reverse repurchase agreements |
2,087,478,951 |
Payments made on reverse repurchase agreements |
(2,017,822,884) |
Offering costs in connection with the issuance of common shares |
(331,876) |
Net Cash Provided by Financing Activities |
60,353,904 |
Net increase in cash |
32,165,448 |
Cash at Beginning of Year (including foreign currency)** |
8,167,570 |
Cash at End of Year (including foreign currency)*** |
$ 40,333,018 |
Supplemental Disclosure of Cash Flow Information: |
|
Cash paid during the year for interest |
$ 23,792,393 |
Supplemental Disclosure of Non Operating Financing Activity: |
|
Dividend reinvestment |
$ 34,501,486 |
* | | Relates to Trustees not deemed “interested persons” within the meaning of Section
2(a)(19) of the 1940 Act. |
** | | Includes $4,752,385 of segregated cash from broker for swap agreements and $518,416 of foreign
currency. |
*** | | Includes $34,792,184 of segregated cash from broker for swap agreements and $458,539 of foreign
currency. |
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 79
|
|
FINANCIAL HIGHLIGHTS |
May 31, 2024 |
The information in this table for the fiscal years ended 2024,
2023, 2022, 2021 and 2020 is derived from the Fund’s financial statements and has been audited by Ernst & Young LLP, independent
registered public accounting firm for the Fund. The Fund’s audited financial statements, including the report of Ernst & Young
LLP thereon and accompanying notes thereto, are included in this annual report to shareholders for the year ended May 31, 2024.
|
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|
May 31, |
May 31, |
May 31, |
May 31, |
May 31, |
|
2024 |
2023 |
2022 |
2021 |
2020 |
Per Share Data: |
|
|
|
|
|
Net asset value, beginning of period |
$ 12.34 |
$ 14.33 |
$ 17.05 |
$ 15.29 |
$ 17.91 |
Income from investment operations: |
|
|
|
|
|
Net investment income(a) |
0.82 |
0.75 |
0.80 |
0.95 |
0.89 |
Net gain (loss) on investments (realized and unrealized) |
0.98 |
(0.55) |
(1.33) |
3.00 |
(1.32) |
Total from investment operations |
1.80 |
0.20 |
(0.53) |
3.95 |
(0.43) |
Less distributions from: |
|
|
|
|
|
Net investment income |
(0.81) |
(0.76) |
(1.04) |
(0.97) |
(0.86) |
Capital gains |
(0.15) |
(0.18) |
(0.19) |
— |
— |
Return of capital |
(1.23) |
(1.25) |
(0.96) |
(1.22) |
(1.33) |
Total distributions to shareholders |
(2.19) |
(2.19) |
(2.19) |
(2.19) |
(2.19) |
Net asset value, end of period |
$ 11.95 |
$ 12.34 |
$ 14.33 |
$ 17.05 |
$ 15.29 |
Market value, end of period |
$ 14.68 |
$ 15.69 |
$ 17.92 |
$ 20.90 |
$ 16.20 |
Total Return(b) |
|
|
|
|
|
Net asset value |
15.72% |
2.09%(f) |
(3.99%) |
27.20% |
(2.79%) |
Market value |
9.77% |
0.80% |
(3.48%) |
45.59% |
(7.96%) |
Ratios/Supplemental Data: |
|
|
|
|
|
Net assets, end of period (in thousands) |
$ 1,703,619 |
$ 1,473,694 |
$ 1,492,615 |
$ 878,041 |
$ 648,892 |
Ratio to average net assets of: |
|
|
|
|
|
Net investment income, including interest expense |
6.79% |
5.81% |
4.75% |
5.72% |
5.29% |
Total
expenses, including interest expense (c) (d) |
2.90% |
2.88% |
1.83% |
1.83% |
1.21% |
Portfolio turnover rate |
30% |
26% |
47% |
64% |
41% |
Senior Indebtedness |
|
|
|
|
|
Total borrowings outstanding (in thousands)(g) |
$ 361,456 |
$ 343,500 |
$ 128,000 |
$ 38,501 |
$ 19,300 |
Asset coverage per $1,000 of indebtedness(e) |
$ 5,713 |
$ 5,290 |
$ 12,661 |
$ 23,806 |
$ 34,621 |
See notes to financial statements.
80 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
FINANCIAL HIGHLIGHTS continued |
May 31, 2024 |
|
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|
May 31, |
May 31, |
May 31, |
May 31, |
May 31, |
|
2019 |
2018 |
2017 |
2016 |
2015 |
Per Share Data: |
|
|
|
|
|
Net asset value, beginning of period |
$ 19.12 |
$ 19.78 |
$ 17.50 |
$ 19.61 |
$ 20.56 |
Income from investment operations: |
|
|
|
|
|
Net investment income(a) |
0.97 |
1.23 |
1.61 |
1.40 |
1.28 |
Net gain (loss) on investments (realized and unrealized) |
0.01 |
0.30 |
2.86 |
(1.33) |
(0.05) |
Total from investment operations |
0.98 |
1.53 |
4.47 |
0.07 |
1.23 |
Less distributions from: |
|
|
|
|
|
Net investment income |
(1.12) |
(2.01) |
(2.18) |
(1.82) |
(1.42) |
Capital gains |
(0.16) |
(0.18) |
(0.01) |
(0.36) |
(0.76) |
Return of capital |
(0.91) |
— |
— |
— |
— |
Total distributions to shareholders |
(2.19) |
(2.19) |
(2.19) |
(2.18) |
(2.18) |
Net asset value, end of period |
17.91 |
19.12 |
19.78 |
17.50 |
19.61 |
Market value, end of period |
$ 19.96 |
$ 21.29 |
$ 20.94 |
$ 17.61 |
$ 21.21 |
Total Return(b) |
|
|
|
|
|
Net asset value |
5.43% |
8.02% |
26.76% |
0.80% |
6.39% |
Market value |
4.94% |
13.31% |
33.33% |
-6.07% |
8.08% |
Ratios/Supplemental Data: |
|
|
|
|
|
Net assets, end of period (in thousands) |
$ 641,825 |
$ 530,250 |
$ 410,465 |
$ 310,246 |
$ 342,988 |
Ratio to average net assets of: |
|
|
|
|
|
Net investment income, including interest expense |
5.26% |
6.27% |
8.55% |
7.79% |
6.44% |
Total
expenses, including interest expense(c) (d) |
1.17% |
1.52% |
2.35% |
2.38% |
2.16% |
Portfolio turnover rate |
38% |
48% |
41% |
116% |
86% |
Senior Indebtedness |
|
|
|
|
|
Total borrowings outstanding (in thousands) |
N/A |
N/A |
$ 16,705 |
$ 9,355 |
$ 45,489 |
Asset coverage per $1,000 of indebtedness(e) |
N/A |
N/A |
$ 25,571 |
$ 34,164 |
$ 8,540 |
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 81
FINANCIAL HIGHLIGHTS continued |
May 31, 2024 |
(a) | | Based on average shares outstanding. |
(b) | | Total return is calculated assuming a purchase of a common share at the beginning of the
period and a sale on the last day of the period reported either at net asset value (“NAV”) or market price per share. Dividends
and distributions are assumed to be reinvested at NAV for NAV returns or the prices obtained under the Fund’s Dividend Reinvestment
Plan for market value returns. Total return does not reflect brokerage commissions. A return calculated for a period of less than one
year is not annualized. |
(c) | | The ratios of total expenses to average net assets applicable to common shares do not reflect
fees and expenses incurred indirectly by the Fund as a result of its investment in shares of other investment companies. If these fees
were included in the expense ratios, for the years ended May 31, the expense ratios would increase by: |
2024 |
2023 |
2022 |
2021 |
2020 |
2019 |
2018 |
2017 |
2016 |
2015 |
0.07% |
0.07% |
0.06% |
0.06% |
0.09% |
0.08% |
0.00%* |
0.00%* |
0.00%* |
0.02% |
(d) Excluding interest expense, the operating expense ratios for
the years ended May 31, would be:
2024 |
2023 |
2022 |
2021 |
2020 |
2019 |
2018 |
2017 |
2016 |
2015 |
1.39% |
1.44% |
1.51% |
1.55% |
1.17% |
1.15% |
1.33% |
1.62% |
1.74% |
1.72% |
(e) | | Calculated by subtracting the Fund’s total liabilities (not including the borrowings)
from the Fund’s total assets and dividing by the borrowings. Effective August 19, 2022, the Fund’s obligations under reverse
repurchase agreement transactions are treated as senior securities representing indebtedness for purposes of the 1940 Act. Accordingly,
for the years ended May 31, 2024 and May 31, 2023, Asset Coverage is calculated by subtracting the Fund's total liabilities (not including
the borrowings or reverse repurchase agreements) from the Fund's total assets and dividing by the sum of the borrowings and reverse repurchase
agreements. |
(f) | | The net increase from the payment by the Adviser totaling $216,351 relating to an operational
issue contributed 0.01% to total return at net asset value for the year ended May 31, 2023. |
(g) | | Effective August 19, 2022, the Fund’s obligations under reverse repurchase agreement
transactions are treated as senior securities representing indebtedness for purposes of the 1940 Act. |
82 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS |
May 31, 2024 |
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. There can be no assurance that the Fund will achieve its investment
objective. The Fund’s investment objective is considered fundamental and may not be changed without shareholder approval. The Fund
will provide shareholders with 60 days’ prior written notice of any change in its investment objective.
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”) adopted
policies and procedures for the valuation of the Fund’s investments (the “Fund Valuation Procedures”). The U.S. Securities
and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements
for determining fair value in good faith. Rule 2a-5 also defines “readily available market quotations” for purposes of the
1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated Guggenheim Funds
Investment Advisors, LLC (“GFIA” or the “Adviser”) as the valuation designee to perform fair valuation determinations
for the Fund with respect to all Fund investments and other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the
Adviser has adopted separate procedures (the “Valuation Designee Procedures” and together with the Fund Valuation Procedures,
the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The
Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s
investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the
fair value of the Fund’s securities and other assets.
Valuations of the Fund’s securities and other assets are
supplied primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser,
with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed,
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 83
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
to review the valuation of all assets which have been fair valued.
The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness
of the inputs, methods, models and assumptions employed by the pricing service provider.
If the pricing service provider cannot or does not provide a valuation
for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.
Equity securities listed or traded on a recognized U.S. securities
exchange or the Nasdaq Stock Market (“NASDAQ”) will 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.
Open-end investment companies are valued at their net asset value
(“NAV”) as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are
generally 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 Adviser will determine the current value
of such foreign securities by taking into consideration certain factors which may include the following factors, among others: the value
of the securities traded on other foreign markets, American Depositary Receipts (“ADRs”) 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 Adviser is authorized to use prices and other information supplied by a pricing service provider 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 pricing service providers,
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 Adviser concludes that amortized cost does not represent the fair value of
the applicable asset in which case it will be valued using an independent pricing service provider.
U.S. Government securities are valued by pricing service providers,
using the last traded fill price, or at the reported bid price at the close of business.
Typically, loans are valued using information provided by a pricing
service provider which uses broker quotes, among other inputs. If the pricing service provider cannot or does not provide a
84 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
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 Adviser.
Repurchase agreements are valued at amortized cost, provided such
amounts approximate market value.
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 and options on swaps (“swaptions”)
are valued using a price provided by a pricing service provider.
Futures contracts are valued on the basis of the last sale price
as of 4:00 p.m. 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.
Interest rate swap agreements entered into by the Fund are valued
on the basis of the last sale price on the primary exchange on which the swap is traded. Other swap agreements entered into by the Fund
are generally valued using an evaluated price provided by a pricing service provider.
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 the Adviser. 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. In connection with futures contracts and other derivative instruments, such factors may include obtaining information
as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b)
the securities underlying these contracts and other derivative investments trade in the cash market.
(b) Investment Transactions and Investment Income
Investment transactions are accounted for on the trade date. Realized
gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding
taxes on the ex-dividend date and interest income is recorded on an accrual basis. Dividend income from Real Estate Investment Trusts
(“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published
REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this
estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income,
return of capital,
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 85
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
and capital gains are only determined by each REIT after its fiscal
year-end, and may differ from the estimated amounts Discounts or premiums on debt securities purchased are accreted or amortized to interest
income using the effective interest method. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed
securities, and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original
loan agreement.
The Fund may receive other income from investments in senior loan
interests, including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received
by the Fund and included in interest income on the Fund’s Statement of Operations. For unfunded loans, commitment fees are included
in realized gain on investments on the Fund’s Statement of Operations at the end of the commitment period.
Income from residual collateralized loan obligations is recognized
using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated
periodically and a revised yield is calculated prospectively.
(c) Senior Floating Rate Interests and Loan Investments
Senior floating rate interests in which the Fund invests generally
pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending
rates are generally (i) the lending rate offered by one or more major European banks, (ii) the prime rate offered by one or more major United
States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess
cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As
a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Fund’s Schedule of
Investments.
The Fund invests in loans and other similar debt obligations (“obligations”).
A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations
(“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or
constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through
investment in securitization vehicles and other structured products. Many loans and other similar debt obligations have not featured traditional
covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s
operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations,
including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in
(or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations.
The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be
considered “securities” under the federal securities laws and, as a result, the Fund may not be entitled to rely on
86 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
the anti-fraud protections under the federal securities laws and
instead may have to resort to state law and direct claims.
(d) Currency Translations
The accounting records of the Fund are maintained in U.S. dollars.
All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases
and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing
on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly
affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange
restrictions, expropriation, taxation, or other political, social, geopolitical or economic developments, all of which could affect the
market and/or credit risk of the investments.
The Fund does not isolate that portion of the results of operations
resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of
securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.
Reported net realized foreign exchange gains and losses arise from
sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net
unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities
at the fiscal period end, resulting from changes in exchange rates.
(e) Forward Foreign Currency Exchange Contracts
The change in value of a forward foreign currency exchange contract
is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Fund records a realized
gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
(f) Distributions to Shareholders
The Fund intends to declare and pay monthly distributions to common
shareholders. The Fund expects that distributions will generally consist of (i) investment company taxable income taxed as ordinary income,
which includes, among other things, short-term capital gain and income from certain hedging and interest rate transactions, (ii) long-term
capital gain and (iii) return of capital. Any net realized long-term capital gains are distributed annually to common shareholders. To
the extent distributions exceed the amount of the Fund’s earnings and profit available for distribution, the excess will be deemed
a return of capital. A return of capital is generally not taxable and would reduce the shareholder’s tax basis in its shares, which
would reduce the loss (or increase the gain) on a subsequent taxable disposition by such shareholder of the shares, until such shareholder’s
basis reaches zero at which point subsequent return of capital distributions would constitute taxable capital gain to such shareholder.
Shareholders receiving a return of capital may be under the impression that they are receiving net investment income or profit when they
are not.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 87
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
Distributions to shareholders are recorded on the ex-dividend
date. The amount and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ
from U.S. GAAP.
(g) Restricted Cash
A portion of cash on hand relates to collateral received by the
Fund for swap agreements. This amount is presented on the Fund’s Statement of Assets and Liabilities as Segregated cash due from
broker.
(h) U.S. Government and Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a
discount basis; the interest rates shown on the Schedule of Investments reflect the effective rates paid at the time of purchase by the
Fund. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
(i) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any,
is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement
are recognized as realized gains or losses.
Upon entering into certain centrally-cleared swap transactions,
the Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin
receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference asset or obligation
and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain
or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Upfront payments received or made by the Fund on credit default
swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or
paid by the Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the
contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
(j) Options
Upon the purchase of an option, the premium paid is recorded as
an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of
the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds
from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain
or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When
the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.
When the Fund writes (sells) an option, an amount equal to the
premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability
is
88 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
subsequently marked-to-market to reflect the current value of the
option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss
if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
(k) Short Sales
When the Fund engages in a short sale of a security, an amount
equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market
to reflect the market value of the short sale.
Fees, if any, paid to brokers to borrow securities in connection
with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of
the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment
objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The
Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
(l) Futures Contracts
To purchase or sell a futures contract, the Fund deposits and maintains
as collateral such initial margin as required by the exchange on which the transaction is affected. Each day, the Fund agrees to receive
from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known
as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the position is closed, the Fund records
a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it
was closed.
(m) Indemnifications
Under the Fund’s organizational documents, its Trustees and
Officers are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, throughout
the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general
indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may
be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss
to be remote.
(n) Special Purpose Acquisition Companies
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
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 89
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
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 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 – Derivatives
As part of its investment strategy, the Fund utilizes a variety
of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized
on the Fund’s Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant
Accounting Policies in Note 2 of these Notes to Financial Statements.
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 for investment purposes (including to maintain cash reserves while maintaining exposure to certain other assets), for risk
management (hedging) purposes, for diversification purposes, to change the duration of the Fund, for leverage purposes, to facilitate
trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to seek 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 the 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.
90 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
Index Exposure: the use of an instrument to obtain exposure
to a listed or other type of index. Speculation: the use of an instrument to express macro-economic and other investment views.
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 following table represents the Fund’s use and volume
of call/put options purchased on a monthly basis:
|
Average Notional Amount |
Use |
Call |
Put |
Duration, Hedge |
$220,650,000 |
$19,261,401 |
The risk in writing a call option is that the 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 the
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 the Fund may not be able to enter into a closing transaction because
of an illiquid secondary market; or, for OTC options, the Fund may be at risk because of the counterparty’s inability to perform.
The following table represents the Fund’s use and volume
of call/put options written on a monthly basis:
|
Average Notional Amount |
Use |
Call |
Put |
Hedge, Income |
$111,872,297 |
|
$– |
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 the 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 the Fund because futures are exchange-traded and the
exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as
segregated cash due to or from broker on the Statement of Assets and Liabilities; securities held as collateral are noted on the Schedule
of Investments.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 91
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
The following table represents the Fund’s use and volume
of futures on a monthly basis:
|
Average Notional Amount |
Use |
Long |
Short |
Index exposure, Speculation |
$21,599,260 |
$– |
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. If the Fund utilizes centrally-cleared swaps,
the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that the 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.
The following table represents the Fund’s use and volume
of total return swaps on a monthly basis:
|
Average Notional Amount |
Use |
Long |
Short |
Hedge, Speculation, Income |
$6,642,004 |
$– |
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.
The following table represents the Fund’s use and volume
of interest rate swaps on a monthly basis:
|
Average Notional Amount |
|
Pay |
Receive |
Use |
Floating Rate |
Floating Rate |
Duration, Hedge |
$143,900,000 |
$– |
92 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
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 if it
is selling the credit protection. If the Fund utilizes 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, 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 in the case of a credit
default swap in which the 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.
The following table represents the Fund’s use and volume
of credit default swaps on a monthly basis:
|
Average Notional Amount |
|
Protection |
Protection |
Use |
Sold |
Purchased |
Hedge |
$– |
$52,160,000 |
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 93
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
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.
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.
The following table represents the Fund’s use and volume
of forward foreign currency exchange contracts on a monthly basis:
|
Average Value |
Use |
Purchased |
Sold |
Hedge |
$1,049,749 |
|
$98,252,012 |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments
on the Fund’s Statement of Assets and Liabilities as of May 31, 2024:
Derivative Investment Type |
Asset Derivatives |
Liability Derivatives |
Equity/Interest rate option contracts |
Investment in unaffiliated |
Options written, at value |
|
issuers, at value |
|
Currency forward contracts |
– |
Unrealized depreciation |
|
|
on forward foreign |
|
|
currency exchange |
|
|
contracts |
Credit/Interest rate swap agreements |
Unamortized upfront |
Unamortized upfront |
|
premiums paid on credit |
premiums received on credit |
|
default swap agreements |
default swap agreements |
|
Variation margin on credit |
Variation margin on interest |
|
default swap agreements |
rate swap agreements |
Equity/Commodity futures contracts |
Variation margin on |
– |
|
futures contracts |
|
The following tables set forth the fair value of the Fund’s
derivative investments categorized by primary risk exposure at May 31, 2024:
|
|
Asset Derivative Investments Value |
|
|
|
|
|
|
|
|
|
|
Forward |
|
|
|
Swaps |
|
|
Options |
Options |
Foreign |
Total |
Futures |
Swaps |
Interest |
Futures |
Swaps |
Written |
Purchased |
Currency |
Value at |
Equity |
Equity |
Rate |
Commodity |
Credit |
Equity |
Equity |
Exchange |
May 31, |
Risk* |
Risk |
Risk |
Risk* |
Risk |
Risk |
Risk |
Risk |
2024 |
$— |
$1,782,965 |
$206,270 |
$— |
$— |
$— |
$995,717 |
$— |
$2,984,952 |
94 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
|
|
Liability Derivative Investments Value |
|
|
|
|
|
|
|
|
|
|
Forward |
|
|
|
Swaps |
|
|
Options |
Options |
Foreign |
Total |
Futures |
Swaps |
Interest |
Futures |
Swaps |
Written |
Purchased |
Currency |
Value at |
Equity |
Equity |
Rate |
Commodity |
Credit |
Equity |
Equity |
Exchange |
May 31, |
Risk* |
Risk |
Risk |
Risk* |
Risk |
Risk |
Risk |
Risk |
2024 |
$1,139,819 |
$— |
$7,232,994 |
$185,925 |
$7,821 |
$836,235 |
$— |
$532,627 |
$9,935,421 |
* Includes cumulative appreciation (depreciation) of exchange-traded,
OTC and centrally-cleared derivatives contracts as reported on the Fund’s Schedule of Investments. For exchange-traded and centrally-cleared
derivatives, variation margin is reported within the Fund’s Statement of Assets and Liabilities.
The following is a summary of the location of derivative investments
on the Fund’s Statement of Operations for the year ended May 31, 2024:
Derivative Investment Type |
Location of Gain (Loss) on Derivatives |
Credit/interest rate swap agreements |
Net realized gain (loss) on swap agreements |
|
Net change in unrealized appreciation |
|
(depreciation) on swap agreements |
Equity/Interest rate option contracts |
Net realized gain (loss) on options purchased |
|
Net change in unrealized appreciation |
|
(depreciation) on options purchased |
|
Net realized gain (loss) on options written |
|
Net change in unrealized appreciation |
|
(depreciation) on options written |
Equity futures contracts |
Net realized gain (loss) on futures contracts |
|
Net change in unrealized appreciation |
|
(depreciation) on futures contracts |
Currency forward contracts |
Net realized gain (loss) on forward foreign |
|
currency exchange contracts |
|
Net change in unrealized appreciation |
|
(depreciation) on forward foreign currency |
|
exchange contracts |
The following is a summary of the Fund’s realized gain (loss)
and change in unrealized appreciation (depreciation) on derivative investments recognized on the Fund’s Statement of Operations
categorized by primary risk exposure for the year ended May 31, 2024:
Realized Gain(Loss) on Derivative Investments Recognized on the Statement of Operations |
|
|
|
|
|
|
|
|
Forward |
|
|
|
Swaps |
|
|
Options |
Options |
Options |
Foreign |
|
Futures |
Swaps |
Interest |
Futures |
Swaps |
Written |
Purchased |
Purchased |
Currency |
|
Equity |
Equity |
Rate |
Commodity |
Credit |
Equity |
Equity |
Interest |
Exchange |
|
Risk |
Risk |
Risk |
Risk |
Risk |
Risk |
Risk |
Risk |
Risk |
Total |
$1,073,314 |
$— |
$(3,941,793) |
$(306,516) |
$(1,680,396) |
$(9,443,410) |
$(564,305) |
$(592,424) |
$1,172,727 |
$(14,282,803) |
Change in Unrealized Appreciation(Depreciation) on Derivative Investments Recognized on the Statement of Operations |
|
|
|
|
|
|
|
|
Forward |
|
|
|
Swaps |
|
|
Options |
Options |
Options |
Foreign |
|
Futures |
Swaps |
Interest |
Futures |
Swaps |
Written |
Purchased |
Purchased |
Currency |
|
Equity |
Equity |
Rate |
Commodity |
Credit |
Equity |
Equity |
Interest |
Exchange |
|
Risk |
Risk |
Risk |
Risk |
Risk |
Risk |
Risk |
Risk |
Risk |
Total |
$(1,139,819) |
$1,782,965 |
$(2,350,848) |
$(185,925) |
$293,093 |
$1,491,874 |
$(803,511) |
$(276,709) |
$(1,122,307) |
$(2,311,187) |
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 95
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
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 rated/identified as 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.
96 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
Note 4 – Offsetting
In the normal course of business, the Fund enters into transactions
subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows
the Fund to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on
the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit
event upon merger or additional termination event.
In order to better define its contractual rights and to secure
rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association,
Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA
Master Agreement is a bilateral agreement between the Fund and a counterparty that governs OTC derivatives, including foreign exchange
contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or
termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out
netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral
requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that
amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral
that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately
on the Fund’s Statement of Assets and Liabilities as segregated cash due to or due from broker/receivable for variation margin,
or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum
transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties
are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts
to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring
the financial stability of those counterparties.
For financial reporting purposes, the Fund does not offset derivative
assets and derivative liabilities that are subject to netting arrangements in the Fund’s Statement of Assets and Liabilities.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 97
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
The following tables present derivative financial instruments and
secured financing transactions that are subject to enforceable netting arrangements and reverse repurchase agreements.
|
|
|
Net Amount |
Gross Amounts Not Offset |
|
|
|
Gross Amounts |
of Assets |
in the Statement of |
|
|
Gross |
Offset in the |
Presented on the |
Assets and Liabilities |
|
Amounts of |
Statement of |
Statement of |
|
Cash |
|
Recognized |
Assets and |
Assets and |
Financial |
Collateral |
|
Instrument |
Assets1 |
Liabilities |
Liabilities |
Instruments |
Received |
Net Amount |
Swap equity |
|
|
|
|
|
|
agreements |
$1,782,965 |
$ — |
$ 1,782,965 |
$ (301,964) |
$ — |
$ 1,481,001 |
Interest rate |
|
|
|
|
|
|
swap agreements |
206,270 |
— |
206,270 |
— |
— |
206,270 |
Options purchased |
|
|
|
|
|
|
|
contracts |
149,307 |
— |
149,307 |
(82) |
— |
149,225 |
|
|
|
Net Amount |
Gross Amounts Not Offset |
|
|
|
Gross Amounts |
of Liabilities |
in the Statement of |
|
|
Gross |
Offset in the |
Presented on the |
Assets and Liabilities |
|
|
Amounts of |
Statement of |
Statement of |
|
Cash |
|
|
Recognized |
Assets and |
Assets and |
Financial |
Collateral |
|
Instrument |
Liabilities1 |
Liabilities |
Liabilities |
Instruments |
Pledged |
Net Amount |
Forward foreign |
|
|
|
|
|
|
currency |
|
|
|
|
|
|
exchange |
|
|
|
|
|
|
contracts |
$ 532,627 |
$ — |
$ 532,627 |
$ (302,046) |
$ — |
$ 230,581 |
Reverse |
|
|
|
|
|
|
repurchase |
|
|
|
|
|
|
agreements |
359,155,862 |
— |
359,155,862 |
(359,155,862) |
|
— |
— |
1 Exchange-traded or centrally-cleared derivatives
are excluded from these reported amounts.
The Fund has the right to offset deposits against any related derivative
liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table
presents deposits held by others in connection with derivative investments and reverse repurchase agreements as of May 31, 2024.
Counterparty |
Asset Type |
Cash Pledged |
Cash Received |
BofA Securities, Inc. |
Credit default swap agreements |
$ 25,338,575 |
$ 24,917,128 |
BofA Securities, Inc. |
Futures contracts |
740,000 |
— |
BofA Securities, Inc. |
Interest rate swap agreements |
6,143,609 |
— |
BofA Securities, Inc. |
Options |
1,660,000 |
— |
Goldman Sachs International |
Options |
910,000 |
— |
Goldman Sachs International |
Reverse repurchase agreements |
— |
262,091 |
Morgan Stanley Capital |
|
|
|
Services LLC |
Options |
— |
120,000 |
|
|
$ 34,792,184 |
$ 25,299,219 |
98 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
Note 5 – Fees and Other Transactions with Affiliates
Pursuant to an Investment Advisory Agreement between the Fund and
the Adviser, the Adviser furnishes office facilities and equipment, and provides administrative services on behalf of the Fund, and oversees
the activities of Guggenheim Partners Investment Management, LLC (“GPIM” or the “Sub-Adviser”). The Adviser provides
all services through the medium of any directors, officers or employees of the Adviser or its affiliates as the Adviser deems appropriate
in order to fulfill its obligations. As compensation for these services, the Fund pays the Adviser a fee, payable monthly, at an annual
rate equal to 1.00% of the Fund’s average daily Managed Assets (as defined in this report).
Pursuant to an Investment Sub-Advisory Agreement among the Fund,
the Adviser and GPIM, GPIM under the oversight and supervision of the Board and the Adviser, manages the investment of the assets of the
Fund in accordance with its investment objective and policies, places orders to purchase and sell securities on behalf of the Fund, and,
at the request of the Adviser, consults with the Adviser as to the overall management of the assets of the Fund and its investment policies
and practices. As compensation for its services, the Adviser pays GPIM a fee, payable monthly, at an annual rate equal to 0.50% of the
Fund’s average daily Managed Assets, less 0.50% of the Fund’s average daily assets attributable to any investments by the
Fund in Affiliated Investment Funds.
For purposes of calculating the fees payable under the foregoing
agreements, “Managed Assets” means the total assets of the Fund (other than assets attributable to any investments by the
Fund in Affiliated Investment Funds), including the assets attributable to the proceeds from any borrowings or other forms of financial
leverage, minus liabilities, other than liabilities related to any financial leverage. “Affiliated Investment Funds” means investment
companies, including registered investment companies, private investment funds and/or other pooled investment vehicles, advised or managed
by the Fund’s investment Sub-Adviser or any of its affiliates.
If the Fund invests in a fund that is advised by the Adviser or
an adviser affiliated with the Adviser, the Fund’s Adviser has agreed to waive Fund fees to the extent necessary to offset the proportionate
share of any management fee paid by the Fund with respect to its investment in such fund. Fee waivers will be calculated at the investing
fund level without regard to any expense cap, if any, in effect for the investing fund. Fees waived under this arrangement are not subject
to reimbursement. For the year ended May 31, 2024, the Adviser waived $158,649 related to investments by the Fund in such funds.
Certain officers and trustees of the Fund may also be officers, directors
and/or employees of the Adviser or GPIM. The Fund does not compensate its officers who are officers, directors and/or employees of the aforementioned
firms.
GFIA pays operating expenses on behalf of the Fund, such as audit
and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis.
On November 11, 2022, the Fund received a one-time payment from
the Adviser for $216,351 relating to an operational issue. This amount is included in Capital contribution from adviser on the Fund’s
Statements of Changes in Net Assets and the impact of this amount to total return at NAV is included within the Financial Highlights.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 99
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
MUFG Investor Services (US), LLC (“MUIS”) acts as the
Fund’s administrator and accounting agent. As administrator and accounting agent, MUIS maintains the books and records of the Fund’s
securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible
for the custody of the Fund’s assets. For providing the aforementioned services, MUIS and BNY are entitled to receive a monthly
fee equal to an annual percentage of the Fund’s average daily Managed Assets and certain out of pocket expenses.
Note 6 – 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 between market participants
at the measurement date. 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: Level 1 — unadjusted
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.
Rule 2a-5 sets forth a definition of “readily available market
quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market
quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that
the Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.” Securities
for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security
priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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.
Pricing service providers are used to value a majority of the Fund’s
investments. When values are not available from a pricing service provider, 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. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.
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
100 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
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 pricing service provider based on a single daily or monthly broker quote.
The inputs or methodologies selected and applied for valuing securities
or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness
and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to
change.
Note 7 – 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 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. For the year ended May 31, 2024,
the average daily balance for which reverse repurchase agreements were outstanding amounted to $348,882,404. The weighted average interest
rate was 5.58%. As of May 31, 2024, there was $359,155,862 (inclusive of interest payable) in reverse repurchase agreements outstanding.
As of May 31, 2024, the Fund had outstanding reverse repurchase
agreements with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:
Counterparty |
Interest Rate(s) |
Maturity Date |
Face Value |
Barclays Capital, Inc. |
4.50% - 5.55%* |
Open Maturity |
$ 7,863,552 |
BofA Securities, Inc. |
5.50% - 5.60%* |
Open Maturity |
13,223,343 |
Canadian Imperial Bank of Commerce |
5.54% - 5.65%* |
Open Maturity |
55,193,018 |
Citigroup Global Markets, Inc. |
5.49% |
Open Maturity |
36,392,212 |
Goldman Sachs & Co. LLC |
3.00% - 5.55%* |
Open Maturity |
82,926,146 |
J.P. Morgan Securities LLC |
5.35% - 5.49%* |
Open Maturity |
17,624,082 |
RBC Capital Markets LLC |
5.35% - 5.50%* |
Open Maturity |
20,048,778 |
Societe Generale |
5.54% - 5.62%* |
Open Maturity |
98,472,192 |
Societe Generale |
5.76% |
06/21/24 |
27,412,539 |
|
|
|
$ 359,155,862 |
* | | The rate is adjusted periodically by the counterparty, subject to approval by the Adviser,
and is not based upon a set of reference rate and spread. Rate indicated is the rate effective at May 31, 2024. |
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 101
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
The following is a summary of the remaining contractual maturities
of the reverse repurchase agreements outstanding as of May 31, 2024, aggregated by asset class of the related collateral pledged by the
Fund:
|
Overnight and |
|
|
Greater than |
|
Asset Type |
Continuous |
Up to 30 days |
31-90 days |
90 days |
Total |
Corporate Bonds |
$280,529,742 |
$27,412,539 |
$— |
$— |
$307,942,281 |
Federal Agency Notes |
14,821,369 |
— |
— |
— |
14,821,369 |
Mortgage-Backed Securities |
36,392,212 |
— |
— |
— |
36,392,212 |
Total reverse repurchase |
|
|
|
|
|
agreements |
$331,743,323 |
$27,412,539 |
$— |
$— |
$359,155,862 |
Gross amount of recognized |
|
|
|
|
|
liabilities for reverse |
|
|
|
|
|
repurchase agreements |
$331,743,323 |
$27,412,539 |
$— |
$— |
$359,155,862 |
Note 8 – Borrowings
The Fund has entered into a $400,000,000, with the right to request
an increase to $800,000,000, credit facility agreement with an approved lender whereby the lender has agreed to provide secured financing
to the Fund and the Fund will provide pledged collateral to the lender. The maximum amount available to borrow under the Fund’s
credit facility may change from time to time pursuant to the terms of the credit facility agreement. Under the most recent amended terms,
the interest rate on the amount borrowed is based on the Secured Overnight Financing Rate (“SOFR”) plus 0.75%, 0.80%, or 0.85%
depending on the eligible security types pledged as related collateral, and an unused commitment fee of 0.30% is charged on the difference
between the amount available to borrow under the credit facility agreement and the actual amount borrowed. As of May 31, 2024, there was
$2,300,000 outstanding in connection with the Fund’s credit facility. The average daily amount of borrowings on the credit facility
during the year was $50,419,945 with a related average interest rate of 6.11%. The maximum amount outstanding during the year was $56,000,000.
As of May 31, 2024, the total value of securities segregated and pledged as collateral in connection with borrowings was $94,766,259.
The credit facility agreement governing the loan facility includes
usual and customary covenants. These covenants impose on the Fund asset coverage requirements, collateral requirements, investment strategy
requirements, and certain financial obligations. These covenants place limits or restrictions on the Fund’s ability to (i) enter
into additional indebtedness with a party other than the counterparty, (ii) change its fundamental investment policy, or (iii) pledge
to any other party, other than to the counterparty, securities owned or held by the Fund over which the counterparty has a lien. In addition,
the Fund is required to deliver financial information to the counterparty within established deadlines, maintain an asset coverage ratio
(as defined in Section 18(g) of the 1940 Act) greater than 300%, comply with the rules of the stock exchange on which its shares are listed,
and maintain its classification as a “closed-end management investment company” as defined in the 1940 Act.
There is no guarantee that the Fund’s leverage strategy will
be successful. The Fund’s use of leverage may cause the Fund’s NAV and market price of common shares to be more volatile and
can magnify the effect of any losses.
102 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
Note 9 – Federal
Income Tax Information
The Fund intends to comply with the provisions of Subchapter M
of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), applicable to regulated investment companies
and will distribute substantially all taxable net investment income and capital gains suffcient 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 (“IRS”)
for a period of three years after they are filed.
The tax character of distributions paid during the year ended May
31, 2024 was as follows:
Ordinary |
Long-Term |
Return |
Total |
Income |
Capital Gain |
of Capital |
Distributions |
$104,758,916 |
$19,768,726 |
$159,703,627 |
$284,231,269 |
The tax character of distributions paid during the year ended May
31, 2023 was as follows:
Ordinary |
Long-Term |
Return |
Total |
Income |
Capital Gain |
of Capital |
Distributions |
$84,848,300 |
$19,952,972 |
$139,524,841 |
$244,326,113 |
Note: For U.S. federal income tax purposes, short-term capital
gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of May 31,
2024 were as follows:
Undistributed |
Undistributed |
Net Unrealized |
Accumulated |
Other |
|
Ordinary |
Long-Term |
Appreciation |
Capital and |
Temporary |
|
Income |
Capital Gain |
(Depreciation) |
Other Losses |
Differences |
Total |
$ — |
$ — |
$(146,914,131) |
$(18,543,007) |
$ — |
$(165,457,138) |
For U.S. federal income tax purposes, capital loss carryforwards
represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry
forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term
capital losses. As of May 31, 2024, capital loss carryforwards for the Fund were as follows:
|
|
Total |
Unlimited |
Capital Loss |
Short-Term |
Long-Term |
Carryforward |
$ — |
$(18,386,399) |
$(18,386,399)* |
* In accordance with Section 382 of the Internal Revenue Code,
a portion of certain Fund losses are subject to an annual limitation. This annual limitation is generally applicable to all of the capital
loss carryforwards shown with respect to each Fund.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 103
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
For the year ended May 31, 2024, the Fund utilized $3,387,981 of
its capital loss carryforward.
Net investment income and net realized gains (losses) may differ
for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to
investments in partnerships and swap agreements, foreign currency gains and losses, investments in collateralized debt obligations, losses
deferred due to wash sales, paydown losses, the “mark-to-market” of certain derivatives, and the “mark-to-market,”
recharacterization, or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from losses
deferred due to straddles and the reclass of distributions. To the extent these differences are permanent and would require a reclassification
between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise.
These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statement of Assets
and Liabilities as of May 31, 2024 for permanent book/tax differences:
|
Total |
Paid In |
Distributable |
Capital |
Earnings/(Loss) |
$(257,844) |
$257,844 |
At May 31, 2024, 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:
|
|
|
Net Tax |
|
Tax |
Tax |
Unrealized |
Tax |
Unrealized |
Unrealized |
Appreciation/ |
Cost |
Appreciation |
Depreciation |
(Depreciation) |
$2,210,992,258 |
$22,993,715 |
$(169,992,820) |
$(146,999,105) |
Note 10 – Securities Transactions
For the year ended May 31, 2024, the cost of purchases and proceeds
from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Purchases |
Sales |
$715,699,610 |
$596,763,166 |
The Fund is permitted to purchase or sell securities from or to
certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure
that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by
virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule
17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the
104 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
current market price. For the year ended May 31, 2024, the Fund
did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.
Note 11 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held
unfunded loan commitments as of May 31, 2024. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
The Fund reserves against such contingent obligations by designating cash, liquid securities, illiquid securities, and liquid term loans
as a reserve. As of May 31, 2024, the total amount segregated in connection with unfunded loan commitments and reverse repurchase agreements
was $402,706,943.
The unfunded loan commitments as of May 31, 2024, were as follows:
Borrower |
Maturity Date |
Face Amount* |
Value |
Alteryx, Inc. |
02/08/31 |
1,498,611 |
$ 7,781 |
Ardonagh Midco 3 plc |
02/16/31 |
231,928 |
3,479 |
Avalara, Inc. |
10/19/28 |
700,000 |
7,348 |
Care BidCo |
05/04/28 |
EUR
1,000,000 |
56,693 |
Checkers Holdings, Inc. |
06/16/27 |
139,346 |
— |
Datix Bidco Ltd. |
04/30/31 |
1,180,000 |
— |
Epicor Software |
05/22/31 |
196,365 |
— |
Finastra USA, Inc. |
09/13/29 |
330,000 |
— |
Higginbotham Insurance Agency, Inc. |
11/25/28 |
549,474 |
5,495 |
Integrated Power Services Holdings, Inc. |
11/22/28 |
1,367,698 |
3,419 |
Lightning A |
03/01/37 |
7,420,000 |
— |
Lightning B |
03/01/37 |
945,000 |
— |
MB2 Dental Solutions, LLC |
01/29/31 |
3,524,036 |
86,725 |
Normec 1 B.V. |
03/27/31 |
EUR
552,632 |
— |
Orion Group |
03/19/27 |
1,149,783 |
23,032 |
Polaris Newco LLC |
06/04/26 |
627,200 |
31,515 |
PT Intermediate Holdings III LLC |
04/03/30 |
85,149 |
207 |
RLDatix |
10/30/30 |
997,500 |
— |
Schur Flexibles GmbH |
09/30/26 |
EUR 56,814 |
5,548 |
Shaw Development LLC |
10/30/29 |
531,915 |
— |
SHO Holding I Corp. |
09/03/24 |
16,000 |
(800) |
Thunderbird A |
03/01/37 |
7,420,000 |
— |
Thunderbird B |
03/01/37 |
945,000 |
— |
TK Elevator Midco GmbH |
01/29/27 |
EUR
1,419,168 |
69,950 |
|
|
|
$ 300,392 |
* The face amount is denominated in U.S. dollars unless otherwise
indicated.
EUR – Euro
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 105
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
Note 12 – Restricted Securities
The securities below are considered illiquid and restricted under
guidelines established by the Board:
Restricted Securities |
Acquisition Date |
Cost |
Value |
BBC Military Housing-Navy Northeast LLC |
|
|
|
6.30% due 10/15/49 |
05/05/15 |
$ 2,642,533 |
$ 2,466,721 |
CBC Insurance Revenue Securitization LLC |
|
|
|
2016-1, 5.25% due 07/15/46 |
08/09/19 |
272,108 |
240,939 |
CFMT LLC |
|
|
|
2022-HB9, 3.25% (WAC) due 09/25/371 |
09/23/22 |
2,932,297 |
2,974,323 |
Endo Luxembourg Finance Co I SARL / |
|
|
|
Endo US, Inc.* |
04/23/24 |
19,970 |
25,656 |
Endo Luxembourg Finance Co I SARL / |
|
|
|
Endo US, Inc.* |
04/23/24 |
11,343 |
14,573 |
Endo, Inc.* |
04/23/24 |
14,903 |
32,579 |
Freddie Mac Military Housing Bonds |
|
|
|
Resecuritization Trust Certificates |
|
|
|
2015-R1, 5.94% (WAC) due 11/25/521 |
09/10/19 |
3,344,889 |
2,932,544 |
Mirabela Nickel Ltd. |
|
|
|
due 06/24/192 |
12/31/13 |
2,341,590 |
13,340 |
|
|
$ 11,579,633 |
$ 8,700,675 |
1 | | Variable rate security. Rate indicated is the rate effective at May 31, 2024. 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. |
2 | | Security is in default of interest and/or principal obligations. |
* | | Non-income producing security. |
Note
13 – Capital
Common Shares
The Fund has an unlimited amount of common shares, $0.01 par value,
authorized and 142,615,463 shares issued and outstanding as of May 31, 2024.
Transactions in common shares were as follows:
|
Year Ended |
Year Ended |
|
May 31, 2024 |
May 31, 2023 |
Beginning shares |
119,342,322 |
104,149,415 |
Shares issued through at-the-market offering |
20,732,200 |
13,169,105 |
Shares issued through dividend reinvestment |
2,540,941 |
2,023,802 |
Ending shares |
142,615,463 |
119,342,322 |
On September 20, 2021, the Fund filed a shelf registration allowing
for the delayed or continuous offering of up to $700,000,000 of common shares. The Fund entered into an at-the-market sales agreement with
Cantor Fitzgerald & Co. (“Cantor Fitzgerald”) on September 16, 2021, as amended, to offer and sell common shares having
an aggregated initial offering price of up to $374,537,331, from time to time, through Cantor Fitzgerald as agent for the Fund. On March
24, 2023, the Fund entered into an at-the-market sales agreement with Cantor Fitzgerald to offer and sell common
106 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
shares having an aggregated initial offering price of up to $330,024,727,
from time to time, through Cantor Fitzgerald as agent for the Fund.
On May 3, 2024, the Fund’s current shelf registration allowing
for the delayed or continuous offering of additional shares became effective. The shelf registration statement allows for the issuance of
up to $850,000,000 of common shares. The Fund entered into an at-the-market sales agreement with Cantor Fitzgerald on May 3, 2024, as
amended, to offer and sell common shares having an aggregated initial offering price of up to $850,000,000, from time to time, through Cantor
Fitzgerald as agent for the Fund.
As of May 31, 2024, up to $828,363,904 of common shares remained
available under the at-the-market sales agreement. For the year ended May 31, 2024, the Fund paid $331,876 for offering costs associated
with the at-the market offering, but may be responsible for additional offering costs in the future of up to 0.60% of the offering price
of common shares sold pursuant to the shelf registration statement.
A portion of the proceeds of the foregoing offering is usually used
to pay distributions and may be a return of capital. If the Fund does not conduct such offering, it may not be able to maintain distributions
at historical levels. There is no guarantee that the Fund will sell all of the common shares available for sale under its shelf registration
statement or that there will be any sales of common shares thereunder and, from time to time, the Fund may be unable to sell its common
shares under its shelf registration statement.
Note 14 – Market Risks
The value of, or income generated by, the investments held by the
Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors
include, among others, developments affecting individual companies, issuers or particular industries, or from broader influences, including
real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates, adverse investor
confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability
or general uncertainty, environmental or man-made 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 escalated conflict in
the Middle East and the ongoing Russia-Ukraine conflict and its collateral economic and other effects, including, but not limited to, sanctions
and other international trade barriers) or ratings downgrades, and other similar types of events, each of which may be temporary or last
for extended periods. Different sectors, industries and security types may react differently to such developments. Moreover, changing economic,
political, geopolitical, social, financial market or other conditions in one country, geographic region or industry could adversely affect the value, yield and return of the investments held by the Fund in a different country, geographic region, economy, industry or market
because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors
or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 107
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
economies and financial markets or other adverse circumstances,
which may negatively affect the value of the Fund’s investments and performance of the Fund.
Note 15 – Subsequent Events
The Fund evaluated subsequent events through the date the financial
statements are issued and determined there were no material events, other than the one described below, that would require adjustment
to or disclosure in the Fund’s financial statements.
On June 7, 2024, the terms of the Fund’s credit facility
agreement were amended to reduce the maximum amount available to borrow from $400,000,000 to $150,000,000. The maximum amount available
to borrow under the Fund’s credit facility may change from time to time pursuant to the terms of the credit facility agreement.
108 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
May 31, 2024 |
To the Shareholders and Board of Trustees of Guggenheim Strategic
Opportunities Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities
of Guggenheim Strategic Opportunities Fund (the “Fund”), including the schedule of investments, as of May 31, 2024, and the
related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years
in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively
referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects,
the financial position of Guggenheim Strategic Opportunities Fund at May 31, 2024, the results of its operations and its cash flows for
the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for
each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s
management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public
accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to
be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of
the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the
PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an
audit of the Fund’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding
of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s
internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of
material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks.
Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures
included confirmation of securities owned as of May 31, 2024, by correspondence with the custodian, brokers, and paying agents; when replies
were not received from brokers or paying agents, we performed other auditing procedures. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements.
We believe that our audits provide a reasonable basis for our opinion.
![](https://www.sec.gov/Archives/edgar/data/1380936/000182126824000177/gof-10inddx109x1.gif)
We have served as the auditor of one or more Guggenheim investment
companies since 1979.
Tysons, Virginia
July 26, 2024
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 109
|
|
OTHER INFORMATION (Unaudited) |
May 31, 2024 |
Federal Income Tax Information
This information is being provided as required by the Internal
Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2025, shareholders will be advised on IRS Form 1099
DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2024.
The Fund’s investment income (dividend income plus short-term
capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal
year ended May 31, 2024, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax
Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and
dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid
during the fiscal year ended May 31, 2024, the Fund had the corresponding percentages qualify as interest related dividends and qualified
short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k) (2), respectively. See the qualified interest income
and qualified short-term capital gain columns, respectively, in the table below.
Qualified |
Dividend |
Qualified |
Qualified |
Dividend |
Received |
Interest |
Short-Term |
Income |
Deduction |
Income |
Capital Gain |
4.52% |
3.82% |
82.05% |
100.00% |
With respect to the taxable year ended May 31, 2024, the Fund
hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital
gain of such year:
From long-term capital gain: |
From long-term capital gain,
using proceeds from shareholder redemptions: |
$19,768,726 |
$ — |
110 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
Senior Securities
The following table sets forth information about the Fund’s
outstanding senior securities as of the end of each fiscal year for the last ten fiscal years. The outstanding senior securities include
borrowings from certain financial institutions (“Borrowings”) and, effective August 19, 2022, reverse repurchase agreement
transactions. The information in this table for the fiscal years ended 2024, 2023, 2022, 2021 and 2020 has been audited by Ernst &
Young LLP, independent registered public accounting firm. The Fund’s audited financial statements, including the report of Ernst
& Young LLP thereon and accompanying notes thereto, are included in this annual report to shareholders for the year ended May 31,
2024.
|
|
Total Principal |
Asset Coverage |
Fiscal Year Ended |
Title of Security |
Amount Outstanding(1) |
Per $1,000 of Principal Amount |
May 31, 2024 |
Borrowings, Reverse Repurchase Agreements |
$ 361,455,862 |
$ 5,713 |
May 31, 2023 |
Borrowings; Reverse Repurchase Agreements |
$ 343,499,795 |
$ 5,290 |
May 31, 2022 |
Borrowings |
$ 128,000,000 |
$ 12,661 |
May 31, 2021 |
Borrowings |
$ 38,500,690 |
$ 23,806 |
May 31, 2020 |
Borrowings |
$ 19,300,000 |
$ 34,621 |
May 31, 2019 |
Borrowings |
$ — |
N/A |
May 31, 2018 |
Borrowings |
$ — |
N/A |
May 31, 2017 |
Borrowings |
$ 16,704,955 |
$ 25,571 |
May 31, 2016 |
Borrowings |
$ 9,354,955 |
$ 34,164 |
May 31, 2015 |
Borrowings |
$ 45,488,955 |
$ 8,540 |
(1) | | Principal amount outstanding represents the principal amount as of the end of the relevant
fiscal year/period owed by the Fund to lenders or counterparties under arrangements or reverse repurchase agreements in place at the
time. |
Prior to August 19, 2022, as a result of the Fund having earmarked
or segregated cash or liquid securities to collateralize reverse repurchase agreement transactions or otherwise having covered the transactions,
in accordance with releases and interpretive letters issued by the SEC, the Fund did not treat its obligations under such transactions
as senior securities representing indebtedness for purposes of the 1940 Act. Accordingly, this table does not reflect reverse repurchase
agreement transactions for periods prior to August 19, 2022. Effective August 19, 2022, the Fund’s obligations under reverse repurchase
agreement transactions are treated as senior securities representing indebtedness for purposes of the 1940 Act.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 111
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
Summary of Fund Expenses
The following table contains information about the costs and expenses
that Common Shareholders will bear directly or indirectly. The table is based on the capital structure of the Fund as of May 31, 2024.
The purpose of the table and the example below is to help you understand the fees and expenses that you, as a holder of Common Shares,
would bear directly or indirectly. The following table should not be considered a representation of the Fund’s future expenses.
Actual expenses may be greater or less than shown. The following table shows estimated Fund expenses as a percentage of average net assets
attributable to Common Shares and not as a percentage of Managed Assets.
|
May 31, 2024 |
Common Shareholder Transaction Expenses |
|
Sales load paid by you (as a percentage of offering price)(1) |
—% |
Offering expenses borne by the Fund (as a percentage of offering price)(1)(2) |
0.60% |
Dividend
Reinvestment Plan fees(3) |
None |
|
As a Percentage of |
|
Net Assets Attributable |
|
to Common Shares(4) |
Annual Expenses |
|
Management fees(5) |
1.21% |
Acquired Fund Fees and Expenses(6) |
0.07% |
Interest expense(7) |
1.26% |
Other expenses(8) |
0.15% |
Total annual expenses(9) |
2.69% |
(1) | | In connection with an offering of Common Shares, a supplement to the Fund’s prospectus
(“Prospectus Supplement”) will set forth any applicable sales load and the estimated offering expenses borne by the Fund. |
(2) | | The Adviser has incurred on behalf of the Fund all costs associated with the Fund’s
registration statement and any offerings pursuant to such registration statement. The Fund has agreed, in connection with offerings under
the Fund’s registration statement, to reimburse the Adviser for offering expenses incurred by the Adviser on the Fund’s behalf
in an amount up to the lesser of the Fund’s actual offering costs or 0.60% of the total offering price of the Common Shares sold
in such offering. Amounts in excess of 0.60% of the total offering price of shares sold in connection with offerings under the Fund’s
registration statement will not be subject to recoupment from the Fund. This agreement will be in effect for the life of the Fund’s
registration statement with respect to all Common Shares sold pursuant to such registration statement and may only be terminated by the
Board of Trustees of the Fund. |
112 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
(3) | | Common Shareholders will pay brokerage charges if they direct the Plan Agent to sell Common
Shares held in a dividend reinvestment account. |
(4) | | Based upon average net assets applicable to Common Shares during the fiscal year ended May
31, 2024. |
(5) | | The Fund pays the Adviser a monthly fee in arrears at an annual rate equal to 1.00% of the
Fund’s average daily Managed Assets. The fee shown is based upon outstanding leverage employed through, among other things: (i)
the issuance of preferred shares (“Preferred Shares”), (ii) borrowing or the issuance of commercial paper or other forms
of debt (“Borrowings”), (iii) reverse repurchase agreements, dollar rolls or similar transactions or (iv) a combination of
the foregoing (‘leveraged transactions’ and collectively, ‘Financial Leverage’) of 17.50% of the Fund’s
Managed Assets. If Financial Leverage of more than 17.50% of the Fund’s Managed Assets is used, the management fees shown would
be higher. |
(6) | | Acquired Fund Fees and Expenses are estimated based on the fees and expenses borne by the
Fund as an investor in other investment companies during the fiscal year ended May 31, 2024. |
(7) | | Includes interest payments on borrowed funds and interest expense on reverse repurchase agreements.
Interest payments on borrowed funds is estimated based upon the Fund’s outstanding Borrowings as of May 31, 2024, which included
Borrowings under the Fund’s committed facility agreement in an amount equal to 0.11% of the Fund’s Managed Assets, at an
average interest rate of 6.08%. Interest expenses on reverse repurchase agreements is estimated based on the Fund’s outstanding
reverse repurchase agreements as of May 31, 2024, which included leverage in the form of reverse repurchase agreements in an amount equal
to 17.39% of the Fund’s Managed Assets, at a weighted average interest rate cost to the Fund of 5.52%. The actual amount of interest
payments and expenses by the Fund will vary over time in accordance with the amount of Borrowings and reverse repurchase agreements and
variations in market interest rates. |
(8) | | Other expenses are estimated based upon those incurred during the fiscal year ended May 31,
2024. |
(9) | | The Total Annual Expenses in this fee table may not correlate to the expense ratios in the
Fund’s financial highlights and financial statements because the financial highlights and financial statements reflect only the
operating expenses of the Fund and do not include Acquired Fund Fees and Expenses, which are fees and expenses incurred indirectly by
the Fund through its investments in certain underlying investment companies. |
Example
As required by relevant Securities and Exchange Commission regulations,
the following example illustrates the expenses that you would pay on a $1,000 investment in Common Shares, assuming (1) “Total annual
expenses” of 2.69% of net assets attributable to Common Shares and (2) a 5% annual return*:
|
1 Year |
3 Years |
5 Years |
10 Years |
Total Annual Expenses paid by Common Shareholders(1) |
$27 |
$84 |
$143 |
$302 |
* | | The example should not be considered a representation of future expenses or returns. Actual
expenses may be higher or lower than those assumed and shown. Moreover, the Fund’s actual rate of return may be higher or lower
than the hypothetical 5% return shown in the example. The example assumes that all dividends and distributions are reinvested at net
asset value. |
(1) | | The example does not include sales loads or estimated offering costs which, if reflected,
would result in higher expenses. In connection with an offering of Common Shares, the Prospectus Supplement will set forth any applicable
sales load and the estimated offering expenses borne by the Fund. |
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 113
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
Market and Net Asset Value Information
The Fund’s currently outstanding Common Shares are listed
on the NYSE. The Fund’s Common Shares commenced trading on the NYSE on July 27, 2007.
The Common Shares have traded both at a premium and at a discount
in relation to the Fund’s net asset value per share. Although the Common Shares recently have traded at a premium to net asset value,
there can be no assurance that this will continue nor that the Common Shares will not trade at a discount in the future. Shares of closed-end
investment companies frequently trade at a discount to net asset value. The sale of Common Shares by the Fund (or the perception that
such sales may occur) may have an adverse effect on prices of Common Shares in the secondary market. An increase in the number of Common
Shares available may put downward pressure on the market price for Common Shares.
The following table sets forth, for each of the periods indicated,
the high and low closing market prices for the Common Shares on the NYSE, the net asset value per Common Share and the premium or discount
to net asset value per Common Share at which the Common Shares were trading. Net asset value is generally determined on each Tuesday that
the NYSE is open for business and the last business day of each calendar month.
114 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
|
|
|
Net Asset Value |
|
|
|
|
|
per Common Share |
Premium/(Discount) |
|
|
|
on Date of Market |
on Date of Market |
|
Market Price |
Price High and Low(1) |
Price High and Low(2) |
Fiscal Quarter Ended |
High |
Low |
High |
Low |
High |
Low |
May 31, 2024 |
$14.90 |
$13.80 |
$12.26 |
$11.82 |
21.53% |
16.75% |
February 29, 2024 |
$14.29 |
$12.67 |
$12.12 |
$12.34 |
17.90% |
2.67% |
November 30, 2023 |
$15.96 |
$11.16 |
$12.30 |
$11.71 |
29.76% |
-4.70% |
August 31, 2023 |
$16.28 |
$15.51 |
$12.48 |
$12.30 |
30.45% |
26.10% |
May 31, 2023 |
$17.15 |
$15.20 |
$12.83 |
$12.26 |
33.67% |
23.98% |
February 28, 2023 |
$17.30 |
$15.11 |
$13.12 |
$12.62 |
31.86% |
19.73% |
November 30, 2023 |
$17.48 |
$14.98 |
$13.51 |
$12.71 |
29.39% |
17.86% |
August 31, 2023 |
$17.84 |
$15.08 |
$14.38 |
$13.46 |
24.06% |
12.04% |
May 31, 2022 |
$19.25 |
|
$16.73 |
$15.49 |
$14.08 |
24.27% |
18.82% |
(1) Based on the Fund’s computations.
(2) Calculated based on the information presented.
Percentages are rounded.
The reported market price, net asset value per Common Share and
percentage premium to net asset value per Common Share as of May 31, 2024 was $14.68, $11.95 and 22.85%, respectively. The Fund cannot
predict whether its Common Shares will trade in the future at a premium to or discount from net asset value, or the level of any premium
or discount. Shares of closed-end investment companies frequently trade at a discount from net asset value. As of May 31, 2024, 142,615,463
Common Shares of the Fund were outstanding.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 115
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
Results of Shareholder Votes
The Annual Meeting of Shareholders of the Fund was held on April
4, 2024. Shareholders voted on the election of Trustees. With regards to the election of the following Trustees by shareholders of the
Fund:
|
# of Shares in Favor |
# of Shares Against |
# of Shares Abstain |
Randall C. Barnes |
87,339,452 |
1,736,087 |
1,298,563 |
Angela Brock-Kyle |
87,217,090 |
1,924,023 |
1,232,989 |
Amy J. Lee |
87,356,299 |
1,800,270 |
1,217,533 |
The other Trustees of the Fund not up for election in 2024 are
Thomas F. Lydon Jr., Ronald A. Nyberg, Sandra G. Sponem and Ronald E. Toupin, Jr.
Unresolved Staff Comments
The Fund believes that there are no material unresolved written
comments, received 180 days or more before May 31, 2024, from the staff of the Securities and Exchange Commission regarding any of its periodic
or current reports under the Securities Exchange Act or the Investment Company Act of 1940 or its registration statement.
Delaware Statutory Trust Act-Control Share Acquisition
Under Delaware law applicable to the Fund as of August 1, 2022,
if a shareholder acquires direct or indirect ownership or power to direct the voting of shares of the Fund in an amount that equals or
exceeds certain percentage thresholds specified under Delaware law (beginning at 10% or more of shares of the Fund), the shareholder’s
ability to vote certain of these shares may be limited.
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.
116 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
Trustees
The Trustees of the Guggenheim Strategic Opportunities Fund and
their principal occupations during the past five years:
|
Position(s) |
Term
of Office |
|
Number
of |
|
|
Held |
and
Length |
|
Portfolios
in |
|
Name,
Address* |
with |
of
Time |
Principal
Occupation(s) |
Fund
Complex |
Other
Directorships |
and
Year of Birth |
Trust |
Served** |
During
Past Five Years |
Overseen |
Held
by Trustees*** |
Independent
Trustees: |
|
|
|
|
Randall
C. Barnes |
Trustee
and |
Since
2007 |
Current:
Private Investor (2001-present). |
153 |
Current:
Advent Convertible and |
(1951) |
Chair
of the |
(Trustee) |
|
|
Income
Fund (2005-present); Purpose |
|
Valuation |
Since
2020 |
Former:
Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); |
|
Investments
Funds (2013-present). |
|
Oversight |
(Chair
of the |
President,
Pizza Hut International (1991-1993); Senior Vice President, |
|
|
|
Committee |
Valuation |
Strategic
Planning and New Business Development, PepsiCo, Inc. (1987-1990). |
Former:
Guggenheim Energy & Income |
|
|
Oversight |
|
|
Fund
(2015-2023); Fiduciary/Claymore |
|
|
Committee) |
|
|
Energy
Infrastructure Fund (2004-2022); |
|
|
|
|
|
Guggenheim
Enhanced Equity Income |
|
|
|
|
|
Fund
(2005-2021); Guggenheim Credit |
|
|
|
|
|
Allocation
Fund (2013-2021). |
Angela
Brock-Kyle |
Trustee |
Since
2019 |
Current:
Founder and Chief Executive Officer, B.O.A.R.D.S. (consulting firm) |
152 |
Current:
Bowhead Insurance GP, LLC |
(1959) |
|
|
(2013-present);
Member, Board of Directors, Mutual Fund Directors Forum |
|
(2020-present);
Hunt Companies, Inc. |
|
|
|
(2022-present). |
|
(2019-present). |
|
|
|
|
Former:
Senior Leader, TIAA (financial services firm) (1987-2012). |
|
Former:
Guggenheim Energy & Income |
|
|
|
|
|
Fund
(2019-2023); Fiduciary/Claymore |
|
|
|
|
|
Energy
Infrastructure Fund (2019-2022); |
|
|
|
|
|
Guggenheim
Enhanced Equity Income |
|
|
|
|
|
Fund
(2019-2021); Guggenheim Credit |
|
|
|
|
|
Allocation
Fund (2019-2021); Infinity |
|
|
|
|
|
Property
& Casualty Corp. (2014-2018). |
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 117
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
|
Position(s) |
Term
of Office |
|
Number
of |
|
|
Held |
and
Length |
|
Portfolios
in |
|
Name,
Address* |
with |
of
Time |
Principal
Occupation(s) |
Fund
Complex |
Other
Directorships |
and
Year of Birth |
Trust |
Served** |
During
Past Five Years |
Overseen |
Held
by Trustees*** |
Independent
Trustees continued: |
|
|
|
Thomas
F. Lydon, Jr. |
Trustee
and |
Since
2019 |
Current:
President, Global Trends Investments (registered investment |
152 |
Current:
US Global Investors, Inc. |
(1960) |
Chair
of the |
(Trustee) |
adviser)
(1996-present); Chief Executive Officer, Lydon Media |
|
(GROW)
(1995-present); The 2023 ETF |
|
Contracts |
Since
2020 |
(2016-present). |
|
Series
Trust (4) (2023-present); The |
|
Review |
Chair
of the |
|
|
2023
ETF Series Trust II (1) |
|
Committee |
(Contracts |
Former:
Vice Chairman, VettaFi, a wholly owned subsidiary of The TMX |
|
(2023-present). |
|
|
Review |
Group
(financial advisor content, research, index and digital |
|
|
|
|
Committee) |
distribution
provider) (2022-2024); Chief Executive Officer, ETF Flows, |
|
Former:
Guggenheim Energy & Income |
|
|
|
LLC
(financial advisor education and research provider) (2019-2023); |
|
Fund
(2019-2023); Fiduciary/Claymore |
|
|
|
Director,
GDX Index Partners, LLC (index provider) (2021-2023). |
|
Energy
Infrastructure Fund (2019- |
|
|
|
|
|
2022);
Guggenheim Enhanced |
|
|
|
|
|
Equity
Income Fund (2019-2021); |
|
|
|
|
|
Guggenheim
Credit Allocation Fund |
|
|
|
|
|
(2019-2021);
Harvest Volatility Edge |
|
|
|
|
|
Trust
(3) (2017-2019). |
Ronald
A. Nyberg |
Trustee
and |
Since
2007 |
Current:
Of Counsel (formerly Partner), Momkus LLP (law firm) |
153 |
Current:
Advent Convertible and |
(1953) |
Chair
of the |
|
(2016-present). |
|
Income
Fund (2003-present); PPM |
|
Nominating
and |
|
|
Funds
(2) (2018-present); Endeavor |
|
Governance |
|
Former:
Partner, Nyberg & Cassioppi, LLC (law firm) (2000-2016); Executive |
|
Health
(2012-present). |
|
Committee |
|
Vice
President, General Counsel, and Corporate Secretary, Van Kampen |
|
|
|
|
|
Investments
(1982-1999). |
|
Former:
Guggenheim Energy & |
|
|
|
|
|
Income
Fund (2015-2023); Fiduciary/ |
|
|
|
|
|
Claymore
Energy Infrastructure Fund |
|
|
|
|
|
(2004-2022);
Guggenheim Enhanced |
|
|
|
|
|
Equity
Income Fund (2005-2021); |
|
|
|
|
|
Guggenheim
Credit Allocation Fund |
|
|
|
|
|
(2013-2021);
Western Asset Inflation- |
|
|
|
|
|
Linked
Opportunities & Income Fund |
|
|
|
|
|
(2004-2020);
Western Asset Inflation- |
|
|
|
|
|
Linked
Income Fund (2003-2020). |
118 l GOF l GUGGENHEIM
STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
|
Position(s) |
Term
of Office |
|
Number
of |
|
|
Held |
and
Length |
|
Portfolios
in |
|
Name,
Address* |
with |
of
Time |
Principal
Occupation(s) |
Fund
Complex |
Other
Directorships |
and
Year of Birth |
Trust |
Served** |
During
Past Five Years |
Overseen |
Held
by Trustees*** |
Independent
Trustees continued: |
|
|
|
|
Sandra
G. Sponem |
Trustee
and |
Since
2019 |
Current:
Retired. |
152 |
Current:
SPDR Series Trust (81) |
(1958) |
Chair
of the |
(Trustee) |
|
|
(2018-present);
SPDR Index Shares |
|
Audit |
Since
2020 |
Former:
Senior Vice President and Chief Financial Officer, M.A. |
|
Funds
(30) (2018-present); SSGA |
|
Committee |
(Chair
of the |
Mortenson-Companies,
Inc. (construction and real estate development |
|
Active
Trust (14) (2018-present). |
|
|
Audit |
company)
(2007-2017). |
|
|
|
|
Committee) |
|
|
Former:
Guggenheim Energy & Income |
|
|
|
|
|
Fund
(2019-2023); Fiduciary/Claymore |
|
|
|
|
|
Energy
Infrastructure Fund (2019-2022); |
|
|
|
|
|
Guggenheim
Enhanced Equity Income |
|
|
|
|
|
Fund
(2019-2021); Guggenheim Credit |
|
|
|
|
|
Allocation
Fund (2019-2021); SSGA |
|
|
|
|
|
Master
Trust (1) (2018-2020). |
Ronald
E. Toupin, Jr. |
Trustee, |
Since
2007 |
Current:
Portfolio Consultant (2010-present); Member, Governing Council, |
152 |
Former:
Guggenheim Energy & Income |
(1958) |
Chair
of the |
|
Independent
Directors Council (2013-present); Governor, Board of |
|
Fund
(2015-2023); Fiduciary/Claymore |
|
Board
and |
|
Governors,
Investment Company Institute (2018-present). |
|
Energy
Infrastructure Fund |
|
Chair
of the |
|
|
|
(2004-2022);
Guggenheim Enhanced |
|
Executive |
|
|
|
Equity
Income Fund (2005-2021); |
|
Committee |
|
Former:
Member, Executive Committee, Independent Directors Council |
|
Guggenheim
Credit Allocation Fund |
|
|
|
(2016-2018);
Vice President, Manager and Portfolio Manager, Nuveen Asset |
|
(2013-2021);
Western Asset Inflation- |
|
|
|
Management
(1998-1999); Vice President, Nuveen Investment Advisory Corp. |
|
Linked
Opportunities & Income Fund |
|
|
|
(1992-1999);
Vice President and Manager, Nuveen Unit Investment Trusts |
|
(2004-2020);
Western Asset Inflation- |
|
|
|
(1991-1999);
and Assistant Vice President and Portfolio Manager, Nuveen |
|
Linked
Income Fund (2003-2020). |
|
|
|
Unit
Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. |
|
|
|
|
|
(registered
broker dealer) (1982-1999). |
|
|
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 119
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
|
Position(s) |
Term
of Office |
|
Number
of |
|
|
Held |
and
Length |
|
Portfolios
in |
|
Name,
Address* |
with |
of
Time |
Principal
Occupation(s) |
Fund
Complex |
Other
Directorships |
and
Year of Birth |
Trust |
Served** |
During
Past Five Years |
Overseen |
Held
by Trustees*** |
Interested
Trustee: |
|
|
|
|
|
Amy
J. Lee**** |
Trustee,
Vice |
Since
2018 |
Current:
Interested Trustee, certain other funds in the Fund Complex |
152 |
Former:
Guggenheim Energy & Income |
(1961) |
President |
(Trustee) |
(2018-present);
Chief Legal Officer, certain other funds in the Fund Complex |
|
Fund
(2018-2023); Fiduciary/Claymore |
|
and
Chief |
Since
2014 |
(2014-present);
Vice President, certain other funds in the Fund Complex |
|
Energy
Infrastructure Fund |
|
Legal
Officer |
(Chief
Legal |
(2007-present);
Senior Managing Director, Guggenheim Investments |
|
(2018-2022);
Guggenheim Enhanced |
|
|
Officer)
Since |
(2012-present). |
|
Equity
Income Fund (2018-2021); |
|
|
2012
(Vice |
|
|
Guggenheim
Credit Allocation Fund |
|
|
President) |
Former:
President and Chief Executive Officer, certain other funds in the |
|
(2018-2021). |
|
|
|
Fund
Complex (2017-2019); Vice President, Associate General Counsel and |
|
|
|
|
|
Assistant
Secretary, Security Benefit Life Insurance Company and Security |
|
|
|
|
|
Benefit
Corporation (2004-2012). |
|
|
* | | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street,
Chicago, Illinois 60606. |
** | | Each Trustee elected shall hold office until his or her successor shall have been elected
and shall have qualified. After a Trustee’s initial term, each Trustee is expected to serve a two year term concurrent with the
class of Trustees for which he or she serves. |
- Mr. Barnes and Mses. Lee and Brock-Kyle are Class I Trustees.
Class I Trustees are expected to stand for re-election at the Fund’s annual meeting of shareholders for the fiscal year ended May
31, 2025.
- Messrs. Nyberg, Lydon, Jr., Toupin, Jr. and Ms. Sponem are
Class II Trustees. Class II Trustees are expected to stand for re-election at the Fund’s annual meeting of shareholders for the
fiscal year ended May 31, 2026.
*** | | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim
Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim
Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and
Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | | This Trustee is deemed to be an “interested person” of the Fund under the
1940 Act by reason of her position with the Fund’s Adviser and/or the parent of the Adviser. |
120 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
Officers
The Officers of the Guggenheim Strategic Opportunities Fund and their
principal occupations during the past five years:
|
Position(s) |
|
|
|
Held |
Term
of Office |
|
Name,
Address* |
with |
and
Length of |
|
and
Year of Birth |
Trust |
Time
Served** |
Principal
Occupation(s) During Past Five Years |
Officers: |
|
|
|
Brian
E. Binder |
President |
Since
2018 |
Current:
President, Mutual Funds Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other |
(1972) |
and
Chief |
|
funds
in the Fund Complex (2018-present); President, Mutual Funds Boards, Guggenheim Funds Investment Advisors, LLC and, Security |
|
Executive |
|
Investors,
LLC (2018-present); Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim |
|
Officer |
|
Global
Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). |
|
|
|
|
Former:
Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and |
|
|
|
President,
Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); |
|
|
|
Managing
Director, Chairman of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. |
|
|
|
(2010-2012). |
Joanna
M. Catalucci |
Chief |
Since
2012 |
Current:
Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim |
(1966) |
Compliance |
|
Investments
(2014-present). |
|
Officer |
|
|
|
|
|
Former:
AML Officer, certain other funds in the Fund Complex (2016-2017); Chief Compliance Officer and Secretary certain other funds |
|
|
|
in
the Fund Complex (2008-2012); Senior Vice President and Chief Compliance Officer, Security Investor, LLC and certain affiliates (2010- |
|
|
|
2012);
Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). |
James
M. Howley |
Chief |
Since
2022 |
Current:
Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, |
(1972) |
Financial |
|
certain
other funds in the Fund Complex (2022-present). |
|
Officer,
Chief |
|
|
|
Accounting |
|
Former:
Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); Manager, Mutual Fund Administration of Van Kampen |
|
Officer
and |
|
Investments,
Inc. (1996-2004). |
|
Treasurer |
|
|
Mark
E. Mathiasen |
Secretary |
Since
2008 |
Current:
Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
(1978) |
|
|
|
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 121
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
|
Position(s) |
|
|
|
Held |
Term
of Office |
|
Name,
Address* |
with |
and
Length of |
|
and
Year of Birth |
Trust |
Time
Served** |
Principal
Occupation(s) During Past Five Years |
Glenn
McWhinnie |
Assistant |
Since
2016 |
Current:
Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex |
(1969) |
Treasurer |
|
(2016-present). |
Michael
P. Megaris |
Assistant |
Since
2014 |
Current:
Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments |
(1984) |
Secretary |
|
(2012-present). |
Kimberly
J. Scott |
Assistant |
Since
2012 |
Current:
Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). |
(1974) |
Treasurer |
|
|
|
|
|
Former:
Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van |
|
|
|
Kampen
Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen |
|
|
|
Investments,
Inc./Morgan Stanley Investment Management (2005-2009). |
Jon
Szafran |
Assistant |
Since
2017 |
Current:
Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). |
(1989) |
Treasurer |
|
|
|
|
|
Former:
Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors |
|
|
|
(North
America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate
of Fund |
|
|
|
Administration,
Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street,
Chicago, Illinois 60606. |
** | | Each officer serves an indefinite term, until his or her successor is duly elected and
qualified. |
122 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
REPORT OF THE GUGGENHEIM STRATEGIC OPPORTUNITIES |
|
FUND (GOF) BOARD OF TRUSTEES |
May 31, 2024 |
The Board of Trustees of Guggenheim Strategic Opportunities Fund
(the “Fund”), including the Independent Trustees, unanimously approved the renewal of the investment management agreement
(the “Investment Advisory Agreement”) between the Fund and Guggenheim Funds Investment Advisors, LLC (“GFIA” or
the “Adviser”) and the investment sub-advisory agreement by and among the Fund, the Adviser and Guggenheim Partners Investment
Management, LLC (“GPIM” or the “Sub-Adviser”) (the “Sub-Advisory Agreement” and together with the
“Investment Advisory Agreement,” the “Agreements”).
GFIA and GPIM are each an indirect subsidiary of Guggenheim Partners,
LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”). Guggenheim Partners, GFIA, GPIM and their
affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global
asset management and investment advisory division of Guggenheim Partners and includes GFIA, GPIM, Security Investors, LLC and other affiliated investment management businesses of Guggenheim Partners.
At meetings held in person on April 16, 2024 (the “April
Meeting”) and on May 20-21, 2024 (the “May Meeting”), the Contracts Review Committee of the Board (the “Committee”),
consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements. As part
of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal
Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal
Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed
renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and
Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received
throughout the year regarding performance and operating results of the Fund, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network
LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed
specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the FUSE reports is to present
the subject fund’s relative position regarding fees, expenses and total return performance, with comparisons to a peer group of
funds identified by Guggenheim, based on a methodology reviewed by the Board.
In addition, Guggenheim provided materials and data in response
to formal requests for information sent by Independent Legal Counsel on behalf of the Committee. Guggenheim also made a presentation at
the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which
Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee
considered the Contract Review Materials in the context of its accumulated experience governing the Fund and other funds in the Guggenheim
fund complex and weighed the factors and standards discussed with Independent Legal Counsel.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 123
|
|
REPORT OF THE GUGGENHEIM STRATEGIC OPPORTUNITIES |
|
FUND (GOF) BOARD OF TRUSTEES continued |
May 31, 2024 |
Following an analysis and discussion of relevant factors, including
those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of the
Fund to recommend that the Board approve the renewal of the Agreements for an additional annual term. Following its review of the Committee’s
recommendation, the Board approved the renewal of the Agreements for the Fund for a one-year period ending August 1, 2025 at a meeting
held on May 20-21, 2024 (the “May Board Meeting” and together with the May Meeting, the “May Meetings”) and determined
to adopt the Committee’s considerations and conclusions, which follow.
Investment Advisory Agreement
Nature, Extent and Quality of Services Provided by the Adviser:
With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee noted that, although the
Adviser delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and the Sub-Adviser
are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related
services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser
on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities1.
As a result, in evaluating the services provided to the Fund, the Committee did not separately consider the contributions under the Investment
Advisory Agreement and the Sub-Advisory Agreement.
The Committee also considered the secondary market support services
provided by Guggenheim to the Fund and noted the materials describing the activities of Guggenheim’s dedicated Closed-End Fund Team,
including with respect to communication with financial advisors, data dissemination and relationship management. In addition, the Committee
considered the qualifications, experience and skills of key personnel performing services for the Fund, including those personnel providing
compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other
information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the
Fund. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing
on, and investing resources in support of, funds in the Guggenheim fund complex, including the Fund. The Committee also considered the
acceptability of the terms of the Investment Advisory Agreement, including the scope of services required to be performed by the Adviser.
The Committee’s review of the services provided by Guggenheim
to the Fund included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk
management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks
borne by Guggenheim in sponsoring and providing services to the Fund, including regulatory, operational, legal and entrepreneurial risks.
The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim
compliance personnel regarding Guggenheim’s adherence to regulatory
1 | | Consequently, except where the context indicates otherwise, references to “Adviser”
or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under
the Agreements. |
124 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
REPORT OF THE GUGGENHEIM STRATEGIC OPPORTUNITIES |
|
FUND (GOF) BOARD OF TRUSTEES continued |
May 31, 2024 |
requirements. The Committee also considered the regular reports
the Board receives from the Fund’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule
38a-1 under the Investment Company Act of 1940, as amended. In connection with the Committee’s evaluation of the overall package
of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising,
monitoring, coordinating and evaluating the various services provided by the fund administrator, custodian and other service providers
to the Fund. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), which oversees the fund administration,
accounting and transfer agency services provided to funds in the Guggenheim fund complex, including the OCFO’s resources, personnel
and services provided.
With respect to Guggenheim’s resources and the ability of
the Adviser to carry out its responsibilities under the Investment Advisory Agreement, the Chief Financial Officer of Guggenheim Investments
reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment
Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated
financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
Based on the
foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other
considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions
and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Fund in such capacity
and may reasonably be expected to continue to provide a high quality of services under the Investment Advisory Agreement with respect
to the Fund.
Investment Performance: The Committee received data showing,
among other things, the Fund’s total return on a net asset value (“NAV”) and market price basis for the ten-year, five-year,
three-year, one-year and three-month periods ended December 31, 2023, as well as total return based on NAV since inception. The Committee
also received certain performance information as of March 31, 2024. The Committee compared the Fund’s performance to a peer group
of closed-end funds identified by Guggenheim (the “peer group”) and, for NAV returns, performance versus the Fund’s
benchmark for the same time periods. The Committee noted that the Adviser’s peer group selection methodology for the Fund starts
with the entire U.S.-listed taxable closed-end fund universe, excluding term funds, that generally invests greater than 10% in at least
two of the following three investment categories: corporate bonds, asset-backed securities and bank loans, but excludes funds: (i) with
generally less than 20% financial leverage; (ii) that generally invest at least 80% in one asset class, sector or country; (iii) that
generally invest less than 50% in credit securities; (iv) that generally invest less than 80% in the U.S.; and (v) that generally invest
less than 60% in below investment grade securities. The Committee noted that the peer group consists of 8 other multi-sector bond closed-end
funds, with 3 of 8 peers belonging to the same large fund family. The Committee also considered that the peer group is consistent with
the peer group used for purposes of the Fund’s quarterly performance reporting. In assessing the Fund’s performance, the Committee
considered that the Board receives regular reporting from Guggenheim regarding performance and evaluates performance throughout the year.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 125
|
|
REPORT OF THE GUGGENHEIM STRATEGIC OPPORTUNITIES |
|
FUND (GOF) BOARD OF TRUSTEES continued |
May 31, 2024 |
The Committee observed that, on a NAV basis, the returns of the
Fund ranked in the 1st percentile of its peer group for the five-year period ended December 31, 2023 and in the 38th percentile of its
peer group for the one-year and three-year periods ended December 31, 2023.
In addition, the Committee took into account Guggenheim’s
belief that there is no single optimal performance metric, nor is there a single optimal time period over which to evaluate performance
and that a thorough understanding of performance comes from analyzing measures of returns, risk and risk-adjusted returns, as well as
evaluating strategies both relative to their market benchmarks and to peer groups of competing strategies. Thus, the Committee also reviewed
and considered the additional performance and risk metrics provided by Guggenheim for the since-inception, five-year, three-year and one-year
periods ended December 31, 2023, including the Fund’s standard deviation, tracking error, beta, Sharpe ratio, information ratio
and alpha compared to the benchmark, with the Fund’s risk metrics ranked against its peer group. In assessing the foregoing, the
Committee considered Guggenheim’s statement that, as of December 31, 2023, the Fund has consistently outperformed its benchmark
and delivered returns ranking in the top decile of its peer group over the since-inception and five-year periods and in the second quartile
of its peer group over the three-year and one-year periods. The Committee also noted Guggenheim’s statement indicating that, as
of December 31, 2023, the Fund’s risk metrics were mixed, with lower risk than the peer group over longer periods, as measured by
standard deviation and tracking error, but higher risk than the peer group when measured by beta, and that the Fund’s risk-adjusted
returns have generally ranked in the top decile or second quartile of its peer group over most relevant periods, with the exception of
the one-year period.
The Committee also considered the Fund’s structure and form
of leverage, and, among other information related to leverage, the cost of the leverage and the aggregate leverage outstanding as of December
31, 2023, as well as net yield on leverage assets and net impact on common assets due to leverage for the one-year period ended December
31, 2023 and annualized for the three-year and since-inception periods ended December 31, 2023.
Based on the foregoing, and based on other information received
(both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the Fund’s
performance was acceptable.
Comparative Fees, Costs of Services Provided and the Benefits
Realized by the Adviser from Its Relationship with the Fund: The Committee compared the Fund’s contractual advisory fee (which
includes the sub-advisory fee paid to the Sub-Adviser) as a percentage of average managed assets for the latest fiscal year,2
and the Fund’s net effective management fee3 and total net expense ratio, in each case as a percentage of average net
assets for the latest fiscal year, to the peer group and noted the Fund’s percentile rankings in this regard. The Committee also
reviewed the average and median advisory fees (based on average net assets) and expense ratios, including expense ratio components
2 | | Contractual advisory fee rankings represent the percentile ranking of the Fund’s contractual
advisory fee relative to peers assuming that the contractual advisory fee for each fund in the peer group is calculated on the basis
of the Fund’s average managed assets. |
3 | | The “net effective management fee” for the Fund represents the combined effective
advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
126 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
REPORT OF THE GUGGENHEIM STRATEGIC OPPORTUNITIES |
|
FUND (GOF) BOARD OF TRUSTEES continued |
May 31, 2024 |
(e.g., transfer agency fees, administration fees and other operating
expenses), of the peer group. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the
competitiveness of the Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety
of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements;
and (iii) ensure the Fund is able to deliver on shareholder return expectations.
The Committee observed that the Fund’s contractual advisory
fee based on average managed assets, net effective management fee based on average net assets and total net expense ratio (excluding interest
expense) based on average net assets each rank at the median of its peer group. The Committee took into account Guggenheim’s unique
investment strategy for the Fund, which is to combine a credit-managed fixed-income portfolio with access to a diversified pool of alternative
investments and equity strategies.
As part of its evaluation of the Fund’s advisory fee, the
Committee considered how such fee compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant
to similar investment strategies, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In
this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between
managing registered funds as compared to other types of accounts and differences between managing a closed-end fund as compared to an open-end
fund. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other
factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status
and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational,
legal and entrepreneurial risks involved with the Fund as compared to other types of accounts. The Committee concluded that the information
it received demonstrated that the aggregate services provided to, and the specific circumstances of, the Fund were sufficiently different
from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks
borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support
the difference in fees.
With respect to the costs of services provided and benefits
realized by Guggenheim Investments from its relationship with the Fund, the Committee reviewed a profitability analysis and data
from management setting forth the average assets under management for the twelve months ended December 31, 2023, gross revenues
received, and expenses incurred directly or through allocations, by Guggenheim Investments, earnings and the operating
margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2022 and December 31,
2021. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee
concerning the expense allocation methodology employed in producing the profitability analysis. In the course of its review of
Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine
expenses and profit and the representation by the Chief Financial Officer of Guggenheim Investments that such
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 127
|
|
REPORT OF THE GUGGENHEIM STRATEGIC OPPORTUNITIES |
|
FUND (GOF) BOARD OF TRUSTEES continued |
May 31, 2024 |
methods provided a reasonable basis for determining the profitability
of the Adviser with respect to the Fund. The Committee considered all of the foregoing, among other things, in evaluating the costs of
services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to the Adviser
because of its relationship with the Fund and noted Guggenheim’s statement that it does not believe the Adviser derives any such
“fallout” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such
benefits to be fall-out benefits, the Adviser may benefit from certain economies of scale and synergies, such as enhanced visibility of
the Adviser, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the
Fund.
Based on the foregoing, and based on other information received
(both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the comparative
fees and the benefits realized by the Adviser from its relationship with the Fund were appropriate and that the Adviser’s profitability
from its relationship with the Fund was not unreasonable.
Economies of Scale: The Committee received and considered
information regarding whether there have been economies of scale with respect to the management of the Fund as the Fund’s assets
grow, whether the Fund has appropriately benefited from any economies of scale, and whether there is potential for realization of any
further economies of scale. The Committee considered whether economies of scale in the provision of services to the Fund were being passed
along to and shared with the shareholders. The Committee considered that advisory fee breakpoints generally are not relevant given the
structural nature of closed-end funds, which, though able to conduct additional share offerings periodically, do not continuously offer
new shares and thus, do not experience daily inflows and outflows of capital. In addition, the Committee considered that the Adviser’s
research-intensive investment strategy for the Fund has required greater resources as the size of the Fund has increased and took into
account Guggenheim’s belief that given the relative size of the Fund, breakpoints are not appropriate at this time. The Committee
also considered the additional shares offered by the Fund through secondary offerings in the past and considered that to the extent the
Fund’s assets increase over time (whether through additional periodic offerings or internal growth from asset appreciation), the
Fund and its shareholders should realize economies of scale as certain expenses, such as Fund fixed costs, become a smaller percentage
of overall assets. In considering whether breakpoints should be added based on the growth in assets, the Committee also took into account
the competitiveness of the Fund’s contractual advisory fee (based on average managed assets), which ranks at the median of its peer
group, the competitiveness of the total expense ratio and performance.
Based on the foregoing, and based on other information received
(both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the Fund’s
advisory fee was reasonable.
Sub-Advisory Agreement
Nature, Extent and Quality of Services Provided by the Sub-Adviser:
As noted above, because both the Adviser and the Sub-Adviser for the Fund —GFIA and GPIM, respectively— are part of Guggenheim
Investments and the services provided by the Adviser on the one hand and the Sub-
128 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
REPORT OF THE GUGGENHEIM STRATEGIC OPPORTUNITIES |
|
FUND (GOF) BOARD OF TRUSTEES continued |
May 31, 2024 |
Adviser on the other cannot be ascribed to distinct legal entities,
the Committee did not separately evaluate the services provided under the Investment Advisory Agreement and the Sub-Advisory Agreement.
Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection
with the Committee’s evaluation of Guggenheim’s investment professionals under the Investment Advisory Agreement. With respect
to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement,
as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to
be performed by the Sub-Adviser.
Investment Performance: The Committee considered the returns
of the Fund under its evaluation of the Investment Advisory Agreement.
Comparative Fees, Costs of Services Provided and the Benefits
Realized by the SubAdviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an
affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund
does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’
profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate
for the Fund was reasonable.
Economies of Scale: The Committee recognized that, because
the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the
context of the Committee’s consideration of the Investment Advisory Agreement, which was separately considered. (See “Investment
Advisory Agreement – Economies of Scale” above.)
Overall Conclusions
The Committee concluded that the investment advisory fees are fair
and reasonable in light of the extent and quality of the services provided and other benefits received and that the renewal of the Agreements
is in the best interest of the Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee
member, in the exercise of their informed business judgment, may afford different weights to different factors.
Following its review of the Committee’s analysis and determinations,
the Board adopted the considerations and conclusions of the Committee and determined to approve the renewal of the Agreements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 129
|
|
DIVIDEND REINVESTMENT PLAN (Unaudited) |
May 31, 2024 |
Unless the registered owner of common shares elects to receive
cash by contacting Computershare Trust Company, N.A. (the “Plan Administrator”), all dividends declared on common shares of
the Fund will be automatically reinvested by the Plan Administrator for shareholders in the Fund’s Dividend Reinvestment Plan (the
“Plan”), in additional common shares of the Fund. Participation in the Plan is completely voluntary and may be terminated
or resumed at any time without penalty by notice if received and processed by the Plan Administrator prior to the dividend record date;
otherwise such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution. Some
brokers may automatically elect to receive cash on your behalf and may re-invest that cash in additional common shares of the Fund for
you. If you wish for all dividends declared on your common shares of the Fund to be automatically reinvested pursuant to the Plan, please
contact your broker.
The Plan Administrator will open an account for each common shareholder
under the Plan in the same name in which such common shareholder’s common shares are registered. Whenever the Fund declares a dividend
or other distribution (together, a “Dividend”) payable in cash, nonparticipants in the Plan will receive cash and participants
in the Plan will receive the equivalent in common shares. The common shares will be acquired by the Plan Administrator for the participants’
accounts, depending upon the circumstances described below, either (i) through receipt of additional unissued but authorized common shares
from the Fund (“Newly Issued Common Shares”) or (ii) by purchase of outstanding common shares on the open market (“Open-Market
Purchases”) on the New York Stock Exchange or elsewhere. If, on the payment date for any Dividend, the closing market price plus
estimated brokerage commission per common share is equal to or greater than the net asset value per common share, the Plan Administrator
will invest the Dividend amount in Newly Issued Common Shares on behalf of the participants. The number of Newly Issued Common Shares
to be credited to each participant’s account will be determined by dividing the dollar amount of the Dividend by the net asset value
per common share on the payment date; provided that, if the net asset value is less than or equal to 95% of the closing market value on
the payment date, the dollar amount of the Dividend will be divided by 95% of the closing market price per common share on the payment
date. If, on the payment date for any Dividend, the net asset value per common share is greater than the closing market value plus estimated
brokerage commission, the Plan Administrator will invest the Dividend amount in common shares acquired on behalf of the participants in
Open-Market Purchases. For federal income tax purposes, the Fund generally would be able to claim a deduction for distributions to shareholders
with respect to the common shares issued at up to a 5-percent discount from the closing market value pursuant to the Plan.
If, before the Plan Administrator has completed its Open-Market
Purchases, the market price per common share exceeds the net asset value per common share, the average per common share purchase price
paid by the Plan Administrator may exceed the net asset value of the common shares, resulting in the acquisition of fewer common shares
than if the Dividend had been paid in Newly Issued Common Shares on the Dividend payment date. Because of the foregoing difficulty with
respect to Open-Market Purchases, the Plan provides that if the Plan Administrator is unable to invest the full Dividend amount in Open-Market
Purchases during the purchase period or if the
130 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
DIVIDEND REINVESTMENT PLAN (Unaudited) continued |
May 31, 2024 |
market discount shifts to a market premium during the purchase
period, the Plan Administrator may cease making Open-Market Purchases and may invest the uninvested portion of the Dividend amount in
Newly Issued Common Shares at net asset value per common share at the close of business on the Last Purchase Date provided that, if the
net asset value is less than or equal to 95% of the then current market price per common share; the dollar amount of the Dividend will
be divided by 95% of the market price on the payment date.
The Plan Administrator maintains all shareholders’ accounts
in the Plan and furnishes written confirmation of all transactions in the accounts, including information needed by shareholders for tax
records. Common shares in the account of each Plan participant will be held by the Plan Administrator on behalf of the Plan participant,
and each shareholder proxy will include those shares purchased or received pursuant to the Plan. The Plan Administrator will forward all
proxy solicitation materials to participants and vote proxies for shares held under the Plan in accordance with the instruction of the
participants.
There will be no brokerage charges with respect to common shares
issued directly by the Fund. However, each participant will pay a pro rata share of brokerage commission incurred in connection with Open-Market
Purchases. The automatic reinvestment of Dividends will not relieve participants of any Federal, state or local income tax that may be
payable (or required to be withheld) on such Dividends.
The Fund reserves the right to amend or terminate the Plan. There
is no direct service charge to participants with regard to purchases in the Plan; however, the Fund reserves the right to amend the Plan
to include a service charge payable by the participants.
All correspondence or questions concerning the Plan should be directed
to the Plan Administrator, Computershare Trust Company, N.A., P.O. Box 30170 College Station, TX 77842-3170: Attention: Shareholder Services
Department, Phone Number: (866) 488-3559 or online at www.computershare.com/investor.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 131
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) |
May 31, 2024 |
CHANGES OCCURRING DURING THE FISCAL YEAR ENDED MAY 31, 2024
The following information in this annual report is a summary
of certain changes during the most recent fiscal year. This information may not reflect all of the changes that have occurred since you
purchased shares of the Fund.
INVESTMENT OBJECTIVE
The Fund’s investment objective is to maximize total return
through a combination of current income and capital appreciation. There can be no assurance that the Fund’s investment objective
will be achieved. The Fund’s investment objective is considered fundamental and may not be changed without the approval of the holders
of the Fund’s common shares of beneficial interest (“Common Shares”).
PRINCIPAL INVESTMENT STRATEGIES
The Fund pursues a relative value-based investment philosophy,
which utilizes quantitative and qualitative analysis to seek to identify securities or spreads between securities that deviate from their
perceived fair value and/or historical norms. GPIM seeks to combine a credit managed fixed income portfolio with access to a diversified
pool of alternative investments and equity strategies.
GPIM’s process for determining whether to buy or sell a security
is a collaborative effort between various groups including: (i) economic research, which focuses on key economic themes and trends, regional
and country-specific analysis, and assessments of event-risk and policy impacts on asset prices, (ii) the Portfolio Construction Group,
which utilizes proprietary portfolio construction and risk modeling tools to determine allocation of assets among a variety of sectors,
(iii) its Sector Specialists, who are responsible for identifying investment opportunities in particular securities within these sectors,
including the structuring of certain securities directly with the issuers or with investment banks and dealers involved in the origination
of such securities, and (iv) portfolio managers, who determine which securities best fit the Fund based on the Fund’s investment
objective and top-down sector allocations. In managing the Fund, GPIM uses a process for selecting securities for purchase and sale that
is based on intensive credit research and involves extensive due diligence on each issuer, region and sector. GPIM also considers macroeconomic
outlook and geopolitical issues.
The Fund may allocate its assets among a wide variety of Income
Securities and Common Equity Securities.
The Fund may invest without limitation in below-investment grade
securities (e.g., securities rated below Baa3 by Moody’s Investors Service, Inc., below BBB- by Standard & Poor’s Ratings
Group or Fitch Ratings or comparably rated by another nationally recognized statistical rating organization or, if unrated, determined
by GPIM to be of comparable quality). Below-investment grade securities are commonly referred to as “high-yield” or “junk
bonds” and are considered speculative with respect to the issuer’s capacity to pay interest and repay principal. The Fund’s
investments in any of the sectors and types of Income Securities in which the Fund may invest may include, without limitation, below-
132 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
investment grade securities. The Fund’s investments in below-investment
grade securities may include distressed and defaulted securities.
Under normal market conditions, the Fund will not invest more than:
• | | 50% of its total assets in Common Equity Securities consisting of common stock; |
• | | 30% of its total assets in Investment Funds; |
• | | 20% of its total assets in non-U.S. dollar-denominated Income Securities of corporate and
governmental issuers located outside the United States; and |
• | | 10% of its total assets in Income Securities of issuers in emerging markets. |
Unless otherwise required by applicable law, regulation or state
herein, the percentage of the Fund’s total assets allocated to any category of investment may at any given time be significantly
less than the percentage permitted pursuant to the above referenced investment policies.
The percentage of the Fund’s total assets allocated to any
category of investment may at any given time be significantly less than the maximum percentage permitted pursuant to the above referenced
investment policies.
Unless otherwise stated, the Fund’s investment policies are
considered non-fundamental and may be changed by the Board of Trustees without approval of holders of Common Shares (“Common Shareholders”).
The Fund will provide Common Shareholders with at least 60 days’ prior written notice of any change in the Fund’s investment
policies.
PORTFOLIO COMPOSITION
The following provides additional information about the types of
securities and other instruments in which the Fund will or may ordinarily invest.
The Fund seeks to achieve its investment objective by investing
in:
Income Securities. The Fund may invest in a wide range of
fixed- income and other debt and senior equity securities (“Income Securities”) selected from a variety of sectors and credit
qualities. The Fund may invest in Income Securities of any credit quality, including, without limitation, Income Securities rated below-investment
grade (commonly referred to as “high-yield” or “junk bonds”), which are considered speculative with respect to
the issuer’s capacity to pay interest and repay principal. The sectors and types of Income Securities in which the Fund may invest,
include, but are not limited to:
• | | Loans and loan participations (including senior secured floating rate loans, “second
lien” secured floating rate loans, and other types of secured and unsecured loans with fixed and variable interest rates) (collectively,
“Loans”); |
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 133
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
• | | Structured finance investments (including residential and commercial mortgage-related securities,
asset- backed securities, collateralized debt obligations and risk-linked securities); |
• | | U.S. government and agency securities; |
• | | Mezzanine and preferred securities; and |
Common Equity Securities and Covered Call Option Strategy. The
Fund may invest in common stocks, limited liability company interests, trust certificates and other equity investments (“Common
Equity Securities”) that GPIM believes offer attractive yield and/or capital appreciation potential.
As part of its Common Equity Securities strategy, the Fund currently
intends to employ a strategy of writing (selling) covered call options and may, from time to time, buy or sell put options on individual
Common Equity Securities. In addition to its covered call option strategy, the Fund may, to a lesser extent, pursue a strategy that includes
the sale (writing) of both covered call and put options on indices of securities and sectors of securities. This covered call option strategy
is intended to generate current gains from option premiums as a means to generate total returns as well as to enhance distributions payable
to the Common Shareholders. The Fund may also write call options on individual securities, securities indices, exchange-traded funds (“ETFs”),
futures and baskets of securities.
Structured Finance Investments. The Fund may invest in
structured finance investments, which are Income Securities and Common Equity Securities typically issued by special purpose vehicles
that hold income-producing securities (e.g., mortgage loans, consumer debt payment obligations and other receivables) and other financial
assets. Structured finance investments are tailored, or packaged, to meet certain financial goals of investors. Typically, these investments
provide investors with capital protection, income generation and/or the opportunity to generate capital growth. GPIM believes that structured
finance investments may provide attractive risk-adjusted returns, frequent sector rotation opportunities and prospects for adding value
through security selection. For purposes of the Fund’s investment policies, structured finance investments are not deemed to be
“private investment funds” (as discussed below). Structured finance investments primarily include (among others):
Mortgage-Related Securities. Mortgage-related
securities are a form of derivative collateralized by pools of commercial or residential mortgages. Pools of mortgage loans are assembled
as securities for sale to investors by various governmental, government-related and private organizations. These securities may include
complex instruments such as collateralized mortgage obligations, real estate investment trusts (“REITs”) (including debt and
preferred stock issued by REITs), and other real estate-related securities. The mortgage-related securities in which the Fund may invest
include those with fixed, floating or variable interest rates, those with interest rates that change based on multiples of changes in
a specified index of interest rates, and those with interest rates that change inversely to changes in interest rates, as well as those
that do not bear interest. The Fund may invest in residential and commercial mortgage-related securities issued by governmental entities
and private issuers, including subordinated mortgage-related securities. The underlying assets of certain
134 l GOF
l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
mortgage-related securities may be subject to prepayments, which
shorten the weighted average maturity and may lower the return of such securities, and extension, which lengthens expected maturity as
payments on principal may occur at a slower rate or later than expected.
Asset-Backed Securities. Asset-backed securities (“ABS”)
are a form of structured debt obligation. ABS are payment claims that are securitized in the form of negotiable paper that is issued by
a financing company (generally called a special purpose vehicle). Collateral assets are brought into a pool according to specific diversification
rules. A special purpose vehicle is founded for the purpose of securitizing these payment claims and the assets of the special purpose
vehicle are the diversified pool of collateral assets. The special purpose vehicle issues marketable securities that are intended to represent
a lower level of risk than an underlying collateral asset individually, due to the diversification in the pool. The redemption of the
securities issued by the special purpose vehicle takes place out of the cash flow generated by the collected assets. A special purpose
vehicle may issue multiple securities with different priorities to the cash flows generated and the collateral assets. The collateral for
ABS may include, among other assets, home equity loans, automobile and credit card receivables, boat loans, computer leases, airplane
leases, mobile home loans, recreational vehicle loans and hospital account receivables. The Fund may invest in these and other types of
ABS that may be developed in the future. There is the possibility that recoveries on the underlying collateral may not, in some cases,
be available or may be insufficient to support payments on these securities.
Collateralized Debt Obligations. A collateralized debt obligation
(“CDO”) is an asset-backed security whose underlying collateral is typically a portfolio of bonds, bank loans, other structured
finance securities and/or synthetic instruments. Where the underlying collateral is a portfolio of bonds, a CDO is referred to as a collateralized
bond obligation (“CBO”). Where the underlying collateral is a portfolio of bank loans, a CDO is referred to as a collateralized
loan obligation (“CLO”). Investors in CBOs and CLOs bear the credit risk of the underlying collateral. Multiple tranches of
securities are issued by the CLO, offering investors various maturity and credit risk characteristics. Tranches are categorized as senior,
mezzanine, and subordinated/equity, according to their degree of risk. If there are defaults or the CLO’s collateral otherwise underperforms,
scheduled payments to senior tranches take precedence over those of mezzanine tranches, and scheduled payments to mezzanine tranches take
precedence over those to subordinated/equity tranches. This prioritization of the cash flows from a pool of securities among the several
tranches of the CLO is a key feature of the CLO structure. If there are funds remaining after each tranche of debt receives its contractual
interest rate and the CLO meets or exceeds required collateral coverage levels (or other similar covenants), the remaining funds may be
paid to the subordinated (or residual) tranche (often referred to as the “equity” tranche). CLOs are subject to the same risk
of prepayment and extension described with respect to certain mortgage-related and ABS.
The Fund may invest in senior, rated tranches as well as mezzanine
and subordinated tranches of CLOs. Investment in the subordinated tranche is subject to special risks. The subordinated tranche does not
receive ratings and is considered the riskiest portion of the capital structure of a CLO
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 135
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
because it bears the bulk of defaults from the loans in the CLO
and serves to protect the other, more senior tranches from default in all but the most severe circumstances.
Risk-Linked Securities. Risk-linked securities (“RLS”)
are a form of derivative issued by insurance companies and insurance-related special purpose vehicles that apply securitization techniques
to catastrophic property and casualty damages. RLS are typically debt obligations for which the return of principal and the payment of
interest are contingent on the non-occurrence of a pre-defined “trigger event.” Depending on the specific terms and structure
of the RLS, this trigger could be the result of a hurricane, earthquake or some other catastrophic event.
Real Property Asset Companies. The Fund may invest in Income
Securities and Common Equity Securities issued by companies that own, produce, refine, process, transport and market “real property
assets,” such as real estate and the natural resources upon or within real estate (“Real Property Asset Companies”).
Personal Property Asset Companies. The Fund may invest in
Income Securities and Common Equity Securities issued by companies that seek to profit primarily from the ownership, rental, leasing,
financing or disposition of personal (as opposed to real) property assets (“Personal Property Asset Companies”). Personal
(as opposed to real) property includes any tangible, movable property or asset. The Fund will typically seek to invest in Income Securities
and Common Equity Securities of Personal Property Asset Companies the investment performance of which is not expected to be highly correlated
with traditional market indexes because the personal property asset held by such company is non-correlated with traditional debt or equity
markets. Such personal property assets include special situation transportation assets (e.g., railcars, airplanes and ships) and collectibles
(e.g., antiques, wine and fine art).
Private Securities. The Fund may invest in privately issued
Income Securities and Common Equity Securities of both public and private companies (“Private Securities”). Private Securities
have additional risk considerations in addition to those of comparable public securities, including the availability of financial information
about the issuer and valuation and liquidity issues.
Investment Funds. As an alternative to holding investments
directly, the Fund may also obtain investment exposure to Income Securities and Common Equity Securities by investing in other investment
companies, including registered investment companies, private investment funds and/ or other pooled investment vehicles (collectively,
“Investment Funds”), which may be managed by the Adviser, GPIM and/or their affiliates. The Fund may invest up to 30% of its
total assets in Investment Funds that primarily hold (directly or indirectly) investments in which the Fund may invest directly. The 1940
Act generally limits a registered investment company’s investments in other registered investment companies to 10% of its total
assets. However, pursuant to exemptions set forth in the 1940 Act and rules and regulations promulgated under the 1940 Act, the Fund may
invest in excess of this and other applicable limitations provided that the conditions of such exemptions are met. The Fund will invest
in private investment funds, commonly referred to as “hedge funds,” or “private equity funds” (including “single
asset continuation funds”) only to the extent permitted by applicable rules, regulations and interpretations of the Securities and
Exchange Commission (“SEC”)
136 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
and the NYSE. The Fund may invest up to the lower of 10% of its
total assets or 15% of its net assets, measured at the time of investment, in private investment funds that provide exposure to Common
Equity Securities of private companies (i.e., exposure to private equity investments). Investments in other Investment Funds involve operating
expenses and fees at the Investment Fund level that are in addition to the expenses and fees borne by the Fund and are borne indirectly
by holders of the Common Shares.
Synthetic Investments. As an alternative to holding investments
directly, the Fund may also obtain investment exposure to Income Securities and Common Equity Securities through the use of customized
derivative instruments (including swaps, options, forwards, futures (including, but not limited to, futures on rates such as Secured Overnight
Financing Rate (“SOFR”), securities, indices, currencies and other investments) or other financial instruments) to seek to
replicate, modify or replace the economic attributes associated with an investment in Income Securities and Common Equity Securities (including
interests in Investment Funds).
Derivatives Transactions. The Fund may purchase and sell
derivative instruments (which derive their value by reference to another instrument, asset or index) for investment purposes, such as
obtaining investment exposure to an investment category; risk management purposes, such as hedging against fluctuations in asset prices
or interest rates; diversification purposes; or to change the duration of the Fund. GPIM seeks to allocate derivatives transactions to
limit exposure to any single counterparty. The Fund has not adopted a maximum percentage limit with respect to derivative investments;
however, the use of derivative investments is subject to the limits imposed by the 1940 Act.
Municipal Securities. The Fund may invest directly or indirectly
in municipal securities. Municipal securities include securities issued by or on behalf of states, territories and possessions of the
United States and the District of Columbia and their political subdivisions, agencies and instrumentalities, the payments from which,
in the opinion of bond counsel to the issuer, are excludable from gross income for federal income tax purposes. Municipal securities also
include taxable securities issued by such issuers. Municipal bonds may include those backed by, among other things, state taxes and essential
service revenues as well as health care and higher education issuers, among others, or be supported by dedicated revenue streams and/or
statutory liens.
USE OF LEVERAGE
The Fund may employ leverage through: (i) the issuance of preferred
shares, (ii) borrowing or the issuance of commercial paper or other forms of debt, (iii) reverse repurchase agreements, dollar rolls or
similar transactions or (iv) a combination of the foregoing (collectively “Financial Leverage”).
Under the 1940 Act, the Fund may not utilize indebtedness if, immediately
after incurring such indebtedness, the Fund would have asset coverage (as defined in the 1940 Act) of less than 300% (i.e., for every
dollar of indebtedness outstanding, the Fund is required to have at least three dollars of assets). Under the 1940 Act, the Fund may not
issue preferred shares if, immediately after issuance, the Fund would have asset coverage (as defined in the 1940 Act) of less than 200%
(i.e., for every dollar of indebtedness plus preferred shares outstanding, the Fund is required to have at least
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 137
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
two dollars of assets). The Fund may also borrow in excess of such
limit for temporary purposes such as the settlement of transactions.
The Fund currently employs leverage through a committed facility
provided to the Fund by BNP Paribas. Although leverage may create an opportunity for increased return for shareholders, it also results
in additional risks and can magnify the effect of any losses. There is no assurance that the strategy will be successful. Leverage may
cause greater changes in the Fund’s net asset value (“NAV”) and returns than if leverage had not been used.
The Fund’s borrowings under the committed facility provided
to the Fund by BNP Paribas are collateralized by portfolio assets, which are maintained by the Fund in a separate account with the Fund’s
custodian for the benefit of the lender, which collateral exceeds the amount borrowed. Securities deposited in the collateral account
may be rehypothecated by the lender subject to the terms and conditions of the facility agreements. In the event of a default by the Fund
under its committed facility, the lender has the right to sell such collateral assets to satisfy the Fund’s obligation to the lender.
The committed facility agreement includes usual and customary covenants. These covenants impose on the Fund asset coverage requirements,
collateral requirements, investment strategy requirements, and certain financial obligations. These covenants place limits or restrictions
on the Fund’s ability to (i) enter into additional indebtedness with a party other than BNP Paribas, (ii) change its fundamental
investment policy, or (iii) pledge to any other party, other than to the counterparty, securities owned or held by the Fund over which
the counterparty has a lien. In addition, the Fund is required to deliver financial information to the counterparty within established
deadlines, maintain an asset coverage ratio (as defined in Section 18(g) of the 1940 Act) greater than 300%, comply with the rules of
the stock exchange on which its shares are listed, and maintain its classification as a “closed-end management investment company”
as defined in the 1940 Act.
In addition, the Fund may engage in certain derivatives transactions
that have economic characteristics similar to leverage. Subject to Rule 18f-4, the Fund’s obligations under such transactions will
not be considered indebtedness for purposes of the 1940 Act, but the Fund’s use of such transactions may be limited by the applicable
requirements of the SEC. So long as the net rate of return on the Fund’s investments purchased with the proceeds of Financial Leverage
and leveraged transactions exceeds the cost of such Financial Leverage and leveraged transactions, such excessive amounts will be available
to pay higher distributions to Common Shareholders.
Investments in Investment Funds frequently expose the Fund to an
additional layer of Financial Leverage and, thus, increase the Fund’s exposure to leverage risk.
TEMPORARY INVESTMENTS
At any time when a temporary posture is believed by GPIM to be
warranted (a “temporary period”), the Fund may, without limitation, hold cash or invest its assets in money market instruments
and repurchase agreements in respect of those instruments. The Fund may not achieve its investment objective during a temporary period
or be able to sustain its historical distribution levels.
138 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
PRINCIPAL RISKS OF THE FUND
Investment in the Fund involves special risk considerations,
which are summarized below. The Fund is designed as a long-term investment and not as a trading vehicle. The Fund is not intended to be
a complete investment program. The Fund’s performance and the value of its investments will vary in response to changes in interest
rates, inflation and other market and economic factors, among others.
The fact that a particular risk below is not specifically identified
as being heightened under current conditions does not mean that the risk is not greater than under normal conditions.
Not a Complete Investment Program
An investment in the Common Shares of the Fund should not be considered
a complete investment program. The Fund is intended for long-term investors seeking current income and capital appreciation. An investment
in the Fund is not meant to provide a vehicle for those who wish to play short-term swings in the market. Each Common Shareholder should
take into account the Fund’s investment objective as well as the Common Shareholder’s other investments when considering an
investment in the Fund. Before making an investment decision, a prospective investor should consider (i) the suitability of this investment
with respect to his or her investment objectives and personal situation and (ii) factors such as his or her personal net worth, income,
age, risk tolerance and liquidity needs.
Investment and Market Risk
An investment in the Common Shares is subject to investment risk,
including the possible loss of the entire principal amount that you invest. During periods of adverse economic, financial, market, geopolitical,
labor and public health conditions, the risks associated with an investment in Common Shares may be heightened.
An investment in the Common Shares represents an indirect investment
in the securities owned by the Fund. The value of, or income generated by, the investments held by the Fund are subject to the possibility
of rapid and unpredictable fluctuation, and loss. These fluctuations may occur frequently and in large amounts. These movements may result
from factors affecting individual companies or issuers or particular industries, or from broader influences, including real or perceived
changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates, adverse investor confidence or
sentiment, changing economic, political (including geopolitical), social or financial market conditions, tariffs and trade disruptions,
recession, changes in currency rates, increased instability or general uncertainty, extreme weather, natural/environmental or man-made
disasters, cyber attacks, terrorism, governmental or quasi-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 escalated conflict in
the Middle East and the ongoing Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings
downgrades, and other similar types of events, each of which may be temporary or last for extended periods. For example, the risks of
a borrower’s default or bankruptcy or non-payment of scheduled interest or principal payments from senior floating rate interests
held by the
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 139
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Fund are especially acute under these conditions. Furthermore,
interest rates may change and bond yields may fall as a result of types of events, including responses by governmental entities to such
events, which would magnify the Fund’s fixed-income instruments’ susceptibility to interest rate risk and diminish their yield
and performance. Moreover, the Fund’s investments in ABS are subject to many of the same risks that are applicable to investments
in securities generally, including interest rate risk, credit risk, foreign currency risk, below-investment grade securities risk, leverage
risk, prepayment and extension risks and regulatory risk, which would be elevated under the foregoing circumstances.
Moreover, changing economic, political, social, geopolitical or
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. As a result, there is an increased risk that geopolitical and other events will disrupt economies
and markets globally. For example, local or regional armed conflicts have led to significant sanctions by the United States, Europe and
other countries against certain countries (as well as persons and companies connected with certain countries) and led to indirect adverse
regional and global market, economic and other effects. It is difficult to accurately predict or foresee when events or conditions affecting
the U.S. or global financial markets, economies, and issuers may occur, the effects of such events or conditions, potential escalations
or expansions of these events, possible retaliations in response to sanctions or similar actions and the duration or ultimate impact of
those events. There is an increased likelihood that these types of events or conditions can, sometimes rapidly and unpredictably, result
in a variety of adverse developments and circumstances, such as reduced liquidity, supply chain disruptions and market volatility, as
well as increased general uncertainty and broad ramifications for markets, economies, issuers, businesses in many sectors and societies
globally. In addition, adverse changes in one sector or industry or with respect to a particular company could negatively impact companies
in other sectors or industries or increase market volatility as a result of the interconnected nature of economies and markets and thus
negatively affect the Fund’s performance. For example, developments in the banking or financial services sectors (or one or more
companies operating in these sectors) could adversely impact a wide range of companies and issuers. These types of adverse developments
could negatively affect the Fund’s performance or operations.
Different sectors, industries and security types may react differently
to such developments and, when the market performs well, there is no assurance that the Fund’s investments will increase in value
along with the broader markets and the Fund’s investments may underperform general securities markets or other investments. Periods
of market stress and volatility of financial markets, including potentially extreme stress and volatility caused by the events described
above or similar circumstances, can expose the Fund to greater market risk than normal, possibly resulting in greatly reduced liquidity,
increased volatility and valuation risks, and longer than usual trade settlement periods. The fewer the number of issuers in which the
Fund invests and/or the greater the use of leverage, the greater the potential volatility in the Fund’s portfolio. GPIM potentially
could be prevented from considering, managing and executing investment decisions at an advantageous
140 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
time or price or at all as a result of any domestic or global market
or other disruptions, particularly disruptions causing heightened market volatility and reduced market liquidity, which have also resulted
in impediments to the normal functioning of workforces, including personnel and systems of the Fund’s service providers and market
intermediaries. The Fund’s investments may decline in value or otherwise be adversely affected due to general market conditions that
are not specifically related to a particular issuer, such as real or perceived economic conditions, changes in interest or currency rates
or changes in investor sentiment or market outlook generally.
The domestic political environment, as well as political and diplomatic
events within the United States and abroad, such as the U.S. budget and deficit reduction plan and foreign policy tensions with foreign
nations, including embargoes, tariffs, sanctions and other similar developments, have in the past resulted, and may in the future result,
in developments that present additional risks to the Fund’s investments and operations. For example, additional and/or prolonged
U.S. federal government shutdowns or foreign policy tensions may affect investor and consumer confidence and may adversely impact financial
markets and the broader economy, perhaps suddenly and to a significant degree. Any market, economic and other disruption could also prevent
the Fund from executing its investment strategies and processes in a timely manner. Changes or disruptions in market conditions also may
lead to increased regulation of the Fund and the instruments in which the Fund may invest, which may, in turn, affect the Fund’s
ability to pursue its investment objective and the Fund’s performance.
At any point in time, your Common Shares may be worth less than
your original investment, even after including the reinvestment of Fund dividends and distributions.
Management Risk
The Fund is subject to management risk because it has an actively
managed portfolio. GPIM will apply investment techniques and risk analysis in making investment decisions for the Fund, but there can
be no guarantee that these will produce the desired results. The Fund’s allocation of its investments across various asset classes
and sectors may vary significantly over time based on GPIM’s analysis and judgment. As a result, the particular risks most relevant
to an investment in the Fund, as well as the overall risk profile of the Fund’s portfolio, may vary over time. The ability of the
Fund to achieve its investment objective depends, in part, on GPIM’s investment decisions and the ability of GPIM to allocate effectively the Fund’s assets among multiple investment strategies, Investment Funds and investments and asset classes. There can be
no assurance that the actual allocations will be effective in achieving the Fund’s investment objective or that an investment strategy
or Investment Fund or investment will achieve its particular investment objective.
Income Risk
The income investors receive from the Fund is based primarily or
in part on the interest it earns from its investments in Income Securities, which can vary widely over the short- and long-term. If prevailing
market interest rates drop, investors’ income from the Fund could drop as well. The Fund’s income could also be affected adversely
when prevailing short-term interest rates increase
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 141
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
and the Fund is utilizing leverage, although this risk may be mitigated
to the extent the Fund invests in floating-rate obligations, or when an issuer defaults, among other adverse developments.
Dividend Risk
Dividends on common stock and other Common Equity Securities which
the Fund may hold are not fixed but are declared at the discretion of an issuer’s board of directors. There is no guarantee that
the issuers of the Common Equity Securities in which the Fund invests will declare dividends in the future or that, if declared, they
will remain at current levels or increase over time. Therefore, there is the possibility that such companies could reduce or eliminate
the payment of dividends in the future or the anticipated acceleration of dividends could not occur as a result of, among other things,
a sharp change in interest rates or an economic downturn. Changes in the dividend policies of companies and capital resources available
for these companies’ dividend payments may adversely affect the Fund. Depending upon market conditions, dividend-paying stocks that
meet the Fund’s investment criteria may not be widely available and/or may be highly concentrated in only a few market sectors.
These circumstances may result from issuer-specific events, adverse economic or market developments, or legislative or regulatory changes
or other developments that limit an issuer’s ability to declare and pay dividends, which would affect the Fund’s performance
and ability to generate income. The dividend income from the Fund’s investments in Common Equity Securities will be influenced by
both general economic activity and issuer-specific factors. In the event of adverse changes in economic conditions or adverse events effecting a specific industry or issuer, the issuers of the Common Equity Securities held by the Fund may reduce the dividends paid on such
securities (or not declare or pay dividends on such securities).
Income Securities Risk
In
addition to the risks discussed above, Income Securities (notably the value and income of such investments), including high-yield bonds,
are subject to certain risks, including:
Issuer Risk. The
value of Income Securities may decline for a number of reasons which directly relate to the issuer, such as management performance, the
issuer’s overall level of debt, reduced demand for the issuer’s goods and services, historical and projected earnings, and
the value of its assets.
Spread
Risk. Spread
risk is the risk that the market price can change due to broad based movements in spreads. The difference (or “spread”) between
the yield of a security and the yield of a benchmark measures the additional interest paid. As the spread on a security widens (or increases),
the price (or value) of the security falls. Spread widening may occur, among other reasons, as a result of market concerns over the stability
of the market, excess supply, general credit concerns in other markets, security- or market-specific credit concerns, or general reductions
in risk tolerance.
Credit
Risk. The
Fund could lose money if the issuer or guarantor of a debt instrument, a counterparty to a derivatives transaction or other transaction
(such as a repurchase agreement or a loan of portfolio securities or other instruments) or other obligor to the Fund is unable or unwilling,
or perceived (whether by market participants, rating agencies, pricing services or otherwise) to be unable or unwilling, to pay interest
or repay principal on time or defaults or otherwise fails to meet its obligations. This risk is heightened in market environments where
interest rates are changing,
142 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
notably when rates are rising or when refinancing obligations becomes
more challenging. If an issuer fails to pay interest, the Fund’s income would likely be reduced, and if an issuer fails to repay
principal, the value of the instrument and income generated by the instrument likely would fall and the Fund could lose money, including
potentially the entire value of the investment. This risk is especially acute with respect to below investment grade debt instruments
(commonly referred to as “high-yield” or “junk” bonds) and unrated high risk debt instruments, whose issuers are
particularly susceptible to fail to meet principal or interest obligations.
Also, the issuer, guarantor or counterparty may suffer adverse changes
in its financial condition, the value of its assets, prospective earnings, demands for its goods and services or be adversely affected
by economic, political or social conditions that could lower the credit quality (or the market’s perception of the credit quality)
of the issuer or instrument, guarantor or counterparty, leading to greater volatility in the price of the instrument and in shares of
the Fund. Although credit quality rating may not accurately reflect the true credit risk of an instrument, credit quality (and credit
risks) may change over time and a change in the credit quality rating of an instrument or an issuer can have a rapid, adverse effect on
the instrument’s value, price volatility and liquidity and make it more difficult for the Fund to sell at an advantageous price or
time. The risk of the occurrence of these types of events is heightened in market environments where interest rates are changing, notably
when rates are rising. In addition, under adverse market or economic conditions, an increasing number of issuers may be unprofitable,
have little cash on hand and/or unable to pay the interest owed on their debt obligations and the number of such issuers may increase
if demand for their goods and services falls, borrowing costs rise due to governmental action or inaction or other reasons.
The degree of credit risk depends on the particular instrument,
the adequacy or lack of collateral or credit enhancements and the financial condition of the issuer, guarantor (including the guarantor
of the collateral or credit enhancements, if any) or counterparty, which are often reflected in its credit quality, and may change over
time. A credit quality rating is a measure of the issuer’s expected ability to make all required interest and principal payments
in a timely manner. An issuer with the highest credit rating has a very strong capacity with respect to making all payments. An issuer
with the second-highest credit rating has a strong capacity to make all payments, but the degree of safety is somewhat less. An issuer
with the lowest credit quality rating may be in default or have extremely poor prospects of making timely payment of interest and principal.
Credit ratings assigned by rating agencies are based on a number of factors and subjective judgments and therefore do not necessarily
represent an issuer’s actual financial condition or the volatility and liquidity of the security. Although higher-rated securities
generally present lower credit risk as compared to lower-rated or unrated securities, an issuer with a high credit rating may in fact
be exposed to heightened levels of credit or liquidity risk. Credit ratings (or average credit risk of the portfolio) may not be an accurate
assessment of liquidity or credit risk and do not reflect market risk.
If an issuer, guarantor or counterparty declares bankruptcy or
is declared bankrupt, the Fund would be adversely affected in its ability to receive principal or interest owed or otherwise to enforce
the financial obligations of the other party. The Fund may be subject to increased costs associated
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 143
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
with the bankruptcy process and experience losses as a result of
the deterioration of the financial condition of the issuer, guarantor or counterparty. The risks to the Fund related to such bankruptcies
are elevated during periods of adverse markets, economic and similar developments.
Interest
Rate Risk. Fixed-income
and other debt instruments are subject to the possibility that interest rates could change (or are expected to change). Changes in interest
rates (or the expectation of such changes), including changes in reference rates used in fixed-income and other debt instruments (such
as Term SOFR), may adversely affect the Fund’s investments in these instruments, such as the value or liquidity of, and income generated
by, the investments or increase risks associated with such investments, such as credit or default risks. In addition, changes in interest
rates, including rates that fall below zero, can have unpredictable effects on markets and can adversely affect the Fund’s yield,
income and performance. Generally, when interest rates increase, the values of fixed-income and other debt instruments decline and when
interest rates decrease, the values of fixed-income and other debt instruments rise. Changes in interest rates also adversely affect the
yield generated by certain Income Securities or result in the issuance of lower yielding Income Securities.
The impact of interest rate changes on a fixed-income or other
debt instrument depends on several factors, notably the instrument’s duration. The value of a debt instrument with a longer duration
will generally be more sensitive to interest rate changes than a similar instrument with a shorter duration. Similarly, the longer the
average duration (whether positive or negative) of these instruments held by the Fund or to which the Fund is exposed (i.e., the longer
the average portfolio duration of the Fund), the more the Fund’s NAV will likely fluctuate in response to interest rate changes.
Duration is a measure used to determine the sensitivity of a security’s price to changes in interest rates that incorporates a security’s
yield, coupon, final maturity and call features, among other characteristics. For example, the NAV per share of a bond fund with an average
duration of eight years would be expected to fall approximately 8% if interest rates rose by one percentage point.
However, measures such as duration may not accurately reflect the
true interest rate sensitivity of instruments held by the Fund and, in turn, the Fund’s susceptibility to changes in interest rates.
Certain fixed-income and debt instruments are subject to the risk that the issuer may exercise its right to redeem (or call) the instrument
earlier than anticipated. Although an issuer may call an instrument for a variety of reasons, if an issuer does so during a time of declining
interest rates, the Fund might have to reinvest the proceeds in an investment offering a lower yield or other less favorable features,
and therefore might not benefit from any increase in value as a result of declining interest rates. Interest only or principal only securities
and inverse floaters are particularly sensitive to changes in interest rates, which may impact the income generated by the security, its
value and other features of the security.
Instruments with variable or floating interest rates generally
are less sensitive to interest rate changes, but may decline in value if their interest rates do not rise as much or as fast as interest
rates in general. Conversely, in a decreasing interest rate environment, these instruments will generally not increase in value and the
Fund’s investment in instruments with floating interest rates may prevent the Fund from taking full advantage of decreasing interest
rates in a timely manner. In
144 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
addition, the income received from such instruments will likely
be adversely affected by a decrease in interest rates.
Adjustable rate securities also react to interest rate changes
in a similar manner as fixed-rate securities but generally to a lesser degree depending on the characteristics of the security, in particular
its reset terms (i.e., the index chosen, frequency of reset and reset caps or floors). During periods of rising interest rates, because
changes in interest rates on adjustable rate securities may lag behind changes in market rates, the value of such securities may decline
until their interest rates reset to market rates. These securities also may be subject to limits on the maximum increase in interest rates.
During periods of declining interest rates, because the interest rates on adjustable rate securities generally reset downward, their market
value is unlikely to rise to the same extent as the value of comparable fixed rate securities. These securities may not be subject to
limits on downward adjustments of interest rates.
During periods of rising interest rates, issuers of debt instruments
or ABS may pay principal later or more slowly than expected, which may reduce the value of the Fund’s investment in such securities
and may prevent the Fund from receiving higher interest rates on proceeds reinvested in other instruments. During periods of falling interest
rates, issuers of debt securities or ABS may pay off debts more quickly or earlier than expected, which could cause the Fund to be unable
to recoup the full amount of its initial investment and/or cause the Fund to reinvest proceeds or matured, traded or called securities
in lower-yielding securities, thereby reducing the Fund’s yield or otherwise adversely impacting the Fund.
Certain debt instruments, such as instruments with a negative duration
or inverse instruments, are also subject to interest rate risk, although such instruments generally react differently to changes in interest
rates than instruments with positive durations. The Fund’s investments in these instruments also may be adversely affected by changes
in interest rates. For example, the values of instruments with negative durations, such as inverse floaters, generally decrease if interest
rates decline. Certain fixed-income and debt instruments, including inverse floaters, interest only securities and principal only securities
are especially sensitive to interest rate changes, which may affect the income flows these securities generate as well as their values.
The U.S. Federal Reserve (“Federal Reserve”) has increased
interest rates at significant levels over recent periods. It is difficult to predict how long, and whether, the Federal Reserve’s
current stance on interest rates will persist and the impact these actions will have on the economy and the Fund’s investments and
the markets where they trade. Such actions may have unforeseen consequences and materially affect economic and market conditions, the Fund’s
investments and the Fund’s performance. The Federal Reserve’s monetary policy is subject to change at any time and potentially
frequently based on a variety of market and economic conditions.
The Fund’s use of leverage will tend to increase the Fund’s
interest rate risk. The Fund may utilize certain strategies, including taking positions in futures or interest rate swaps, for the purpose
of seeking to reduce the interest rate sensitivity of credit securities held by the Fund or any leverage being employed by the Fund and
seeking to decrease the Fund’s exposure to interest rate risk. The
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 145
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Fund is not required to hedge its exposure to interest rate risk
and may choose not to do so. In addition, there is no assurance that any attempts by the Fund to seek to reduce interest rate risk will
be successful or that any hedges that the Fund may establish will perfectly correlate with movements in interest rates.
Current
Fixed-Income and Debt Market Conditions. Fixed-income
and debt market conditions are highly unpredictable, and some parts of the market are subject to dislocations. In response to the inflation
rates in recent periods, governmental authorities have implemented significant fiscal and monetary policy changes, including increasing
interest rates and implementation of quantitative tightening. These actions present heightened risks, particularly to fixed-income and
debt instruments, and such risks could be even further heightened if these actions are ineffective in achieving their desired outcomes
or are quickly reversed. It is difficult to accurately predict changes in the Federal Reserve’s monetary policies and the effect of
any such changes or policies. Certain economic conditions and market environments will expose fixed-income and debt instruments to heightened
volatility and reduced liquidity, which can impact the Fund’s investments and may negatively impact the Fund’s characteristics,
which in turn would impact performance. To the extent the Fund invests in derivatives tied to fixed-income or related markets, the Fund
can be more substantially exposed to these risks than if it did not invest in such derivatives. The liquidity levels of the Fund’s
portfolio may also be affected and the Fund could be required to sell holdings at disadvantageous times or prices.
Corporate Bond Risk
Corporate bonds are debt obligations issued by corporations and
other business entities. Corporate bonds may be either secured or unsecured. Collateral used for secured debt includes real property,
machinery, equipment, accounts receivable, stocks, bonds or notes. If a bond is unsecured, it is known as a debenture. Bondholders, as
creditors, have a prior legal claim over common and preferred stockholders as to both income and assets of the corporation for the principal
and interest due them and may have a prior claim over other creditors if liens or mortgages are involved. Interest on corporate bonds
may be fixed or floating, or the bonds may be zero coupons. Interest on corporate bonds is typically paid semi-annually and is fully taxable
to the bondholder. Corporate bonds contain elements of both interest-rate risk and credit risk and are subject to the risks associated
with Income Securities, among other risks. The market value of a corporate bond generally is expected to rise and fall inversely with
interest rates and be affected by the credit rating of the corporation, the corporation’s performance and perceptions of the corporation
in the marketplace. Depending on the nature of the seniority provisions, a senior corporate bond may be junior to other credit securities
of the issuer.
The market value of a corporate bond may be affected by factors
directly related to the issuer, such as investors’ perceptions of the creditworthiness of the issuer, the issuer’s financial
performance, perceptions of the issuer in the marketplace, performance of management of the issuer, the issuer’s capital structure
and use of financial leverage and demand for the issuer’s goods and services. There is a risk that the issuers of corporate bonds
may not be able to meet their obligations on interest or principal payments at the time called for by an instrument or at all. Corporate
bonds of
146 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
below investment grade quality are often high risk and have speculative
characteristics and may be particularly susceptible to adverse issuer-specific and other developments.
Reinvestment Risk
Reinvestment risk is the risk that income from the Fund’s
portfolio will decline if the Fund invests the proceeds from matured, traded or called Income Securities at interest rates that are below
the Fund portfolio’s current earnings rate. A decline in income could affect the Common Shares’ market price or the overall
return of the Fund. These or similar conditions may also occur in the future.
Extension Risk
Certain debt instruments, including mortgage- and other ABS, are
subject to the risk that payments on principal may occur at a slower rate or later than expected. In this event, the expected maturity
could lengthen as short or intermediate-term instruments become longer-term instruments, which would make the investment more sensitive
to changes in interest rates. The likelihood that payments on principal will occur at a slower rate or later than expected is heightened
in market environments where interest rates are higher or rising. In addition, the Fund’s investment may sharply decrease in value
and the Fund’s income from the investment may quickly decline. These types of instruments are particularly subject to extension
risk, and offer less potential for gains, during periods of rising interest rates. In addition, the Fund may be delayed in its ability
to reinvest income or proceeds from these instruments in potentially higher yielding investments, which would adversely affect the Fund
to the extent its investments are in lower interest rate debt instruments. Thus, changes in interest rates may cause volatility in the
value of and income received from these types of debt instruments.
Prepayment Risk
Certain debt instruments, including loans and mortgage- and other
ABS, are subject to the risk that payments on principal may occur more quickly or earlier than expected (or an investment is converted
or redeemed prior to maturity). These types of instruments are particularly subject to prepayment risk, and offer less potential for gains,
during periods of declining interest rates. For example, an issuer may exercise its right to redeem outstanding debt securities prior
to their maturity (known as a “call”) or otherwise pay principal earlier than expected for a number of reasons (e.g., declining
interest rates, changes in credit spreads and improvements in the issuer’s credit quality). If an issuer calls or “prepays”
a security in which the Fund has invested, the Fund may not recoup the full amount of its initial investment and may be required to reinvest
in generally lower-yielding securities, securities with greater credit risks or securities with other, less favorable features or terms
than the security in which the Fund initially invested, thus potentially reducing the Fund’s yield. Income Securities frequently
have call features that allow the issuer to repurchase the security prior to its stated maturity. Loans and mortgage- and other ABS are
particularly subject to prepayment risk, and offer less potential for gains, during periods of declining interest rates (or narrower spreads)
as issuers of higher interest rate debt instruments pay off debts earlier than expected. In addition, the Fund may lose any premiums paid
to acquire the investment. Other factors, such as excess cash flows, may also contribute to prepayment risk. Thus, changes in interest
rates may cause volatility in the value of and income received from these types of debt instruments.
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 147
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Variable or floating rate investments may be less vulnerable to
prepayment risk. Most floating rate loans and fixed-income securities allow for prepayment of principal without penalty. Accordingly,
the potential for the value of a floating rate loan or security to increase in response to interest rate declines is limited. Corporate
loans or fixed-income securities purchased to replace a prepaid corporate loan or security may have lower yields than the yield on the
prepaid corporate loan or security.
Liquidity Risk
The Fund may invest without limitation in Income Securities for
which there is no readily available trading market or which are unregistered, restricted or otherwise illiquid, including certain high-yield
securities. The Fund invests in privately issued securities of both public and private companies, which may be illiquid. For example,
Common Equity Securities of private companies (including when held through an Investment Fund) are usually highly illiquid, and the Fund
is usually able to sell such securities only in private transactions with another investor or group of investors, and there can be no
assurance that the Fund will be able to successfully arrange such transactions if and when it desires or that it will obtain favorable
values upon the sale. Securities of below investment grade quality tend to be less liquid than investment grade debt securities, and securities
of financially distressed or bankrupt issuers may be particularly illiquid. Loans typically are not registered with the SEC and are not
listed on any securities exchange and may at times be illiquid. Loan investments through participations and assignments are typically
illiquid. Structured finance securities are typically privately offered and sold, and thus are not registered under the securities laws.
As a result, investments in structured finance securities may be characterized by the Fund as illiquid securities; however, an active
dealer market may exist which would allow such securities to be considered liquid in some circumstances. The securities and obligations
of foreign issuers, particular issuers in emerging markets, may be more likely to experience periods of illiquidity. Derivative instruments,
particularly privately-negotiated or OTC derivatives, may be illiquid, although can be no assurance that a liquid market will exist when
the Fund seeks to close out an exchange-traded derivative position.
The Fund may not be able to readily dispose of illiquid securities
and obligations at prices that approximate those at which the Fund could sell such assets and obligations if they were more widely traded
and, as a result of such illiquidity, the Fund may have to sell other investments or engage in borrowing transactions if necessary to
raise cash to meet its obligations. As a result, the Fund may be unable to achieve its desired level of exposure to certain issuers, asset
classes or sectors. The capacity of market makers of fixed-income and other debt instruments has not kept pace with the consistent growth
in these markets over the past decades, which has led to reduced levels in the capacity of these market makers to engage in trading and
provide liquidity to markets. In addition, limited liquidity could affect the market price of investments, thereby adversely affecting the
Fund’s NAV and ability to make distributions. Dislocations in certain parts of markets have in the past and may in the future result
in reduced liquidity for certain investments. Liquidity of financial markets may also be affected by government intervention and political,
social, public health, economic
148 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
or market developments (including rapid interest rate changes).
Liquidity risk is heightened in a changing interest rate environment, particularly for fixed-income and other debt instruments.
Valuation of Certain Income Securities Risk
GPIM may use the fair value method to value investments if market
quotations for them are not readily available or are deemed unreliable, or if events occurring after the close of a securities market
and before the Fund values its assets would materially affect net asset value. Because the secondary markets for certain investments may
be limited, they may be particularly difficult to value. Where market quotations are not readily available, valuation may require more research
than for more liquid investments. In addition, elements of judgment may play a greater role in valuation in such cases than for investments
with a more active secondary market because there is less reliable objective data available. A security that is fair valued may be valued
at a price higher or lower than the value determined by other funds using their own fair valuation procedures. Prices obtained by the
Fund upon the sale of such securities may not equal the value at which the Fund carried the investment on its books, which would adversely
affect the net asset value of the Fund.
Duration and Maturity Risk
The Fund has no set policy regarding portfolio maturity or duration.
Holding long duration and long maturity investments will expose the Fund to certain magnified risks. These risks include interest rate
risk, credit risk and liquidity risks as discussed above. Generally speaking, the longer the duration of the Fund’s portfolio, the
more exposure the Fund will have to interest rate risk described above.
Below-Investment Grade Securities Risk
The Fund may invest in Income Securities rated below-investment
grade or, if unrated, determined by GPIM to be of comparable credit quality, which are commonly referred to as “high-yield”
or “junk” bonds. Investment in securities of below-investment grade quality involves substantial risk of loss, the risk of
which is particularly acute under adverse economic conditions. Income Securities of below-investment grade quality are predominantly speculative
with respect to the issuer’s continuing capacity to pay interest and repay principal when due and therefore involve a greater risk
of default or decline in market value or income due to adverse economic and issuer-specific developments compared to investment grade
bonds. Securities of below-investment grade quality are often issued by companies without long track records of earnings or sales or by
companies with lesser credit profiles and may be more volatile than higher-rated securities of similar maturity.
Securities of below investment grade quality generally involve
a greater risk of default or decline in market value or income due to adverse economic and issuer-specific developments, such as operating
results and outlook and to real or perceived adverse economic and competitive industry conditions. Generally, the risks associated with
below-investment grade securities are heightened during times of weakening economic conditions or rising interest rates (particularly
for issuers that are highly leveraged). If the Fund is unable to sell an investment at its desired time, the Fund may miss other investment
opportunities while it holds investments it would prefer to sell, which
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 149
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
could adversely affect the Fund’s performance. In addition,
the liquidity of any Fund investment may change significantly over time as a result of market, economic, trading, issuer-specific and
other factors. Accordingly, the performance of the Fund and a shareholder’s investment in the Fund may be adversely affected if an
issuer is unable to pay interest and repay principal, either on time or at all. Issuers of below-investment grade securities are not perceived
to be as strong financially as those with higher credit ratings. These issuers are more vulnerable to financial setbacks and recessions
and other adverse economic developments than more creditworthy issuers, which may impair their ability to make interest and principal
payments. Income Securities of below-investment grade quality display increased price sensitivity to changing interest rates and to a
deteriorating economic environment. The market values, total return and yield for securities of below investment grade quality tend to
be more volatile than the market values, total return and yield for higher quality bonds. Securities of below investment grade quality
tend to be less liquid than investment grade debt securities and therefore more difficult to value accurately and sell at an advantageous
price or time and may involve greater transactions costs and wider bid/ask spreads, than higher-quality securities. Additionally, issuers
of below-investment grade securities may have the right to “call” or redeem the issue prior to its maturity, which could result
in the Fund having to reinvest in other below-investment grade or other securities at a lower interest rate or with other less favorable
terms. This may be more likely during a declining interest rate environment. To the extent that a secondary market does exist for certain
below-investment grade securities, the market for them may be subject to irregular trading activity, wide bid/ask spreads and extended
trade settlement periods. Because of the substantial risks associated with investments in below-investment grade securities, you could
have an increased risk of losing money on your investment in Common Shares, both in the short-term and the long-term. To the extent that
the Fund invests in securities that have not been rated by a nationally recognized statistical rating organization, the Fund’s ability
to achieve its investment objective will be more dependent on GPIM’s credit analysis than would be the case when the Fund invests
in rated securities.
Investment in lower-medium and lower-rated debt securities may
involve greater investment risk and the success of such investment is highly dependent on GPIM’s credit analysis. The value of securities
of below investment grade quality is particularly vulnerable to changes in interest rates and a real or perceived economic downturn or
higher interest rates could cause a decline in prices of such securities by lessening the ability of issuers to make principal and interest
payments. These securities may not be listed on an exchange and are often thinly traded or subject to irregular trading and can be more
difficult to sell and value accurately than higher-quality securities because there tends to be less public information available about
these securities. Because objective pricing data may be less available, judgment may play a greater role in the valuation process. In
addition, the entire below investment grade market can experience sudden and sharp price swings due to a variety of factors, including
changes in economic forecasts, stock market activity, large or sustained sales by major investors, a high-profile default, or a change
in the market’s perception regarding below-investment grade securities. Adverse conditions could make it difficult at times for the
Fund to sell certain securities or could result in lower prices than those used in calculating the Fund’s NAV. During periods of
deteriorating economic conditions, such as recessions or periods of rising
150 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
unemployment, or changing interest rates (notably increases), below-investment
grade securities are particularly susceptible to credit and default risk as delinquencies, non-payment rates and losses could increase,
and such increases could be sudden and significant. An economic downturn or individual corporate developments could adversely affect the
market for these investments and reduce the Fund’s ability to sell these investments at an advantageous time or price. These or
similar types of developments could cause below-investment grade securities to lose significant market value, including before a default
occurs.
Structured Finance Investments Risk
The Fund’s structured finance investments may include residential
and commercial mortgage-related and other ABS issued by governmental entities and private issuers. While traditional fixed-income securities
typically pay a fixed rate of interest until maturity, when the entire principal amount is due, these investments represent an interest
in a pool of residential or commercial real estate or assets such as automobile loans, credit card receivables or student loans that have
been securitized and provide for monthly or other periodic payments of interest and principal to the holder based from the cash flow of
these assets. Holders of structured finance investments bear risks of the underlying investments, index or reference obligation and are
subject to counterparty and other risks. The Fund may have the right to receive payments only from the structured product, and generally
does not have direct rights against the issuer or the entity that sold the assets to be securitized. While certain structured finance
investments enable the investor to acquire interests in a pool of securities without the brokerage and other expenses associated with
directly holding the same securities, investors in structured finance investments generally pay their share of the structured product’s
administrative and other expenses. Although it is difficult to accurately predict whether the prices of indices and securities underlying
structured finance investments will rise or fall, these prices (and, therefore, the prices of structured finance investments) will be
influenced by the same types of political, economic and other events that affect issuers of securities and capital markets generally. If
the issuer of a structured product uses shorter term financing to purchase longer term securities, the issuer may be forced to sell its
securities at below market prices if it experiences difficulty in obtaining short-term financing, which may adversely affect the value of
the structured finance investment owned by the Fund.
The Fund may invest in structured finance products collateralized
by low grade or defaulted loans or securities. Investments in such structured finance products are subject to the risks associated with
below-investment grade securities. Such securities are characterized by high risk. It is likely that an economic recession could severely
disrupt the market for such securities and may have an adverse impact on the value of such securities.
The Fund may invest in senior and subordinated classes issued by
structured finance vehicles. The payment of cash flows from the underlying assets to senior classes take precedence over those of subordinated
classes, and therefore subordinated classes are subject to greater risk. Furthermore, the leveraged nature of subordinated classes may
magnify the adverse impact on such class of changes in the value of the assets, changes in the distributions on the assets, defaults and
recoveries
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 151
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
on the assets, capital gains and losses on the assets, prepayment
on assets and availability, price and interest rates of assets.
Structured finance securities may be thinly traded or have a limited
trading market. Structured finance securities are typically privately offered and sold, and thus are not registered under the securities
laws. As a result, investments in structured finance securities may be characterized by the Fund as illiquid securities; however, an active
dealer market may exist which would allow such securities to be considered liquid in some circumstances.
Structured finance securities, such as mortgage-backed securities,
issued by non-governmental issuers are not guaranteed as to principal or interest by the U.S. government or a government sponsored enterprise
and are typically subject to greater risk than those issued by such governmental entities. For example, privately issued mortgage-backed
securities are not subject to the same underwriting requirements for underlying mortgages as those issued by governmental entities and,
as a result, mortgage loans underlying such privately issued securities typically have less favorable underwriting characteristics (such
as credit risk and collateral) and a wider range in terms (such as interest rate, term and borrower characteristics).
Asset-Backed Securities Risk
The Fund may invest in ABS issued by legal entities that are
sponsored by banks, investment banks, other financial institutions or companies, asset management firms or funds and are
specifically created for the purpose of issuing such ABS. Investors in ABS receive payments that are part interest and part return
of principal or certain ABS may be interest-only securities or principal-only securities. These payments typically depend upon the
cash flows generated by an underlying pool of assets and vary based on the rate at which the underlying obligors pay off their
liabilities under the underlying assets. The pooled assets provide cash flow to the issuer, which then makes interest and principal
payments to investors. As a result, these investments involve the risk, among other risks, that the borrower may default on its
obligations backing the ABS and, thus, the value of and interest generated by such investment will decline.
Investments in ABS are subject to many of the same risks that are
applicable to investments in certain other types of securities, including currency risk, geographic emphasis risk, high yield and unrated
securities risk, leverage risk, prepayment and extension risk and regulatory risk. ABS are particularly subject to interest rate, market
and credit risks and the risk that non-payment on underlying assets will result in a decline in the value of the ABS. Compared to other
fixed income investments with similar maturity and credit profile, ABS generally increase in value to a lesser extent when interest rates
decline and generally decline in value to a similar or greater extent when interest rates rise. ABS are also subject to liquidity and
valuation risk and, therefore, may be difficult to value accurately or sell at an advantageous time or price and involve greater transaction
costs and wider bid/ask spreads than certain other instruments. In addition, the assets or collateral underlying an ABS may be insufficient
or unavailable in the event of a default and enforcing rights with respect to these assets or collateral may be difficult and costly.
152 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
While traditional fixed-income securities typically pay a fixed
rate of interest until maturity, when the entire principal amount is due, an ABS represents an interest in a pool of assets, such as automobile
loans, credit card receivables, unsecured consumer loans or student loans, that has been securitized and provides for monthly payments
of interest, at a fixed or floating rate, and principal from the cash flow of these assets. This pool of assets (and any related assets
of the issuing entity) is the only source of payment for the ABS. The ability of an ABS issuer to make payments on the ABS, and the timing
of such payments, is therefore dependent on collections on these underlying assets. The recoveries on the underlying collateral may not,
in some cases, be sufficient to support payments on these securities, or may be unavailable in the event of a default and enforcing rights
with respect to these assets or collateral may be difficult and costly, which may result in losses to investors in an ABS.
Generally, obligors may prepay the underlying assets in full or
in part at any time, subjecting the Fund to prepayment risk related to the ABS it holds. While the expected repayment streams on ABS are
determined by the contractual amortization schedules for the underlying assets, an investor’s yield to maturity on an ABS is uncertain
and may be reduced by the rate and speed of prepayments of the underlying assets, which may be influenced by a variety of economic, social
and other factors. Any prepayments, repurchases, purchases or liquidations of the underlying assets could shorten the average life of
the ABS to an extent that cannot be fully predicted. Some ABS may be structured to include a period of rapid amortization triggered by
events such as a significant rise in the default rate of the underlying collateral, a sharp drop in the credit enhancement level because
of credit losses on the underlying assets, a specified regulatory event or the bankruptcy of the originator. A rapid amortization event
will cause any revolving period to end earlier than expected and all collections on the underlying assets will be used to pay principal
to investors earlier than expected. In general, the senior most securities will be paid prior to any payments being made on the subordinated
securities, and if such payments are made earlier than expected, the Fund’s yield on such ABS may be negatively affected.
In addition, investments in ABS entail additional risks relating
to the underlying pools of assets, including credit risk, default risk (such as a borrower’s default on its obligation and the default,
failure or inadequacy or unavailability of a guarantee, if any, underlying the ABS intended to protect investors in the event of default)
and prepayment and extension risk with respect to the underlying pool or individual assets represented in the pool. The underlying assets
of an ABS may include, without limitation, residential or commercial mortgages, motor vehicle installment sales or installment loan contracts,
leases of various types of real, personal and other property, receivable from credit card agreements and automobile finance agreements,
student loans, consumer loans, and income from other income streams, such as income from business loans. Moreover, additional risks relating
to investments in ABS may arise principally because of the type of ABS in which the Fund invests, with such risks primarily associated
with the particular assets collateralizing the ABS (such as their type or nature), the structure of such ABS, or the tranche or priority
of the ABS held by the Fund (with junior or equity tranches generally carrying higher levels of risk).
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 153
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Mortgage-Backed Securities Risk
Mortgage-Backed Securities (“MBS”) represent an interest
in a pool of mortgages. MBS are subject to certain risks, such as: credit risk associated with the performance of the underlying mortgage
properties and of the borrowers owning these properties; risks associated with their structure and execution (including the collateral,
the process by which principal and interest payments are allocated and distributed to investors and how credit losses affect the return
to investors in such MBS); risks associated with the servicer of the underlying mortgages; adverse changes in economic conditions and
circumstances, which are more likely to have an adverse impact on MBS secured by loans on certain types of commercial properties than
on those secured by loans on residential properties; prepayment and extension risks associated with the underlying assets of certain MBS,
which can shorten the weighted average maturity and lower the return of the MBS, or lengthen the expected maturity, respectively, leading
to significant fluctuations in the value of the MBS; loss of all or part of the premium, if any, paid; and decline in the market value
of the security, whether resulting from changes in interest rates, prepayments on the underlying mortgage collateral or perceptions of
the credit risk associated with the underlying mortgage collateral.
The value of MBS may be substantially dependent on the servicing
of the underlying pool of mortgages. In addition, the Fund’s level of investment in MBS of a particular type or in MBS issued or
guaranteed by affiliated obligors, serviced by the same servicer or backed by underlying collateral located in a specific geographic region,
may subject the Fund to additional risk.
When market interest rates decline, more mortgages are refinanced
and the securities are paid off earlier than expected. Prepayments may also occur on a scheduled basis or due to foreclosure. When market
interest rates increase, the market values of MBS decline. At the same time, however, mortgage refinancings and prepayments slow, which
lengthens the effective maturities of these securities. As a result, the negative effect of the rate increase on the market value of MBS
is usually more pronounced than it is for other types of debt securities. In addition, due to instability in the credit markets, the market
for some MBS has at times experienced reduced liquidity and greater volatility with respect to the value of such securities, making it
more difficult to value such securities. The Fund may invest in sub-prime mortgages or MBS that are backed by sub-prime mortgages or defaulted
or nonperforming loans.
Additional risks relating to investments in MBS may arise principally
because of the type of MBS in which the Fund invests, with such risks primarily associated with the particular assets collateralizing
the MBS and the structure of such MBS. For example, collateralized mortgage obligations (“CMOs”), which are MBS that are typically
collateralized by mortgage loans or mortgage pass-through securities and multi-class pass-through securities, are commonly structured
as equity interests in a trust composed of mortgage loans or other MBS. CMOs are usually issued in multiple classes, often referred to
as “tranches,” with each tranche having a specific fixed or floating coupon rate and stated maturity or final distribution
date. Under the traditional CMO structure, the cash flows generated by the mortgages or mortgage pass-through securities in the collateral
pool are used to first pay interest and then pay principal to the holders
154 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
of the CMOs. Subject to the provisions of individual CMO issues,
the cash flow generated by the underlying collateral (to the extent it exceeds the amount required to pay the stated interest) is used
to retire the bonds. As a result of these and other structural characteristics of CMOs, CMOs may have complex or highly variable prepayment
terms, such as companion classes, interest only or principal only payments, inverse floaters and residuals. These investments generally
entail greater market, prepayment and liquidity risks than other MBS, and may be more volatile or less liquid than other MBS. CMOs are
further subject to certain risks specific to these securities. For example, the average life of CMOs is typically determined using mathematical
models that incorporate prepayment and other assumptions that involve estimates of future economic and market conditions, which may prove
to be incorrect, particularly in periods of heightened market volatility. Further, the average weighted life of certain CMOs may not accurately
reflect the price volatility of such securities, resulting in price fluctuations greater than what would be expected from interest rate
movements alone.
Non-agency MBS (i.e., MBS issued by commercial banks, savings and
loans institutions, mortgage bankers, private mortgage insurance companies and other non-governmental issuers) are subject to the risk
that the value of such securities will decline because, among other things, the securities are not guaranteed as to principal or interest
by the U.S. government or a government sponsored enterprise. Non-agency MBS are not subject to the same underwriting requirements for
underlying mortgages as agency MBS and, as a result, mortgage loans underlying non-agency MBS typically have less favorable underwriting
characteristics (such as credit and default risk and collateral) and a wider range in terms (such as interest rate, term and borrower
characteristics) than agency MBS. Non-agency residential mortgage-backed securities often are issued in the form of several different tranches.
Depending on their respective seniority, individual tranches are subject to increased (and sometimes different) credit, prepayment and
liquidity and valuation risks as compared to other tranches. These securities are often subject to greater credit, prepayment and liquidity
and valuation risks than agency MBS. In addition, these securities may be less readily marketable as the market for these securities is
typically smaller and less liquid than the market for agency MBS, thus these securities may be subject to greater price fluctuation than
agency MBS, especially during periods of weakness or perceived weakness in the mortgage and real estate sectors.
Moreover, the relationship between prepayments and interest rates
may give some high-yielding MBS less potential for growth in value than conventional bonds with comparable maturities. In addition, during
periods of falling interest rates, the rate of prepayment tends to increase. During such periods, the reinvestment of prepayment proceeds
by the Fund will generally be at lower interest rates than the interest rates that were carried by the obligations that have been prepaid.
Because of these and other reasons, MBS’s total return and maturity may be difficult to predict precisely. To the extent that the
Fund purchases MBS at a premium, prepayments (which may be made without penalty) may result in loss of the Fund’s principal investment
to the extent of premium paid.
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 155
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
The general effects of inflation on the U.S. economy can be wide
ranging, as evidenced by rising interest rates, wages, and costs of consumer goods and necessities. The long-term effects of inflation
on the general economy and on any individual mortgagor are unclear, and in certain cases, rising inflation may affect a mortgagor’s
ability to repay its related mortgage loan, thereby reducing the amount received by the holders of MBS with respect to such mortgage loan.
Additionally, increased rates of inflation, as recently experienced, may negatively affect the value of certain MBS in the secondary market.
In addition, during periods of declining economic conditions, losses on mortgages underlying MBS generally increase. Mortgage-backed securities
generally are classified as either CMBS or RMBS, each of which are subject to certain specific risks. CMBS and RMBS are also subject to
risks similar to those associated with investing in real estate, such as the possible decline in the value of (or income generated by)
the real estate, variations in rental income, fluctuations in occupancy levels and demand for properties or real estate-related services,
changes in interest rates and changes in the availability or terms of mortgages and other financing that may render the sale or refinancing
of properties difficult or unattractive.
In addition, MBS, such as commercial and residential MBS, are subject
to the risks of ABS generally and are particularly sensitive to changes in interest rates and developments in the commercial or residential
real estate markets. For example, changing interest rates tend to adjust the duration of fixed-rate mortgage-backed securities. As a result,
a changing interest rate environment can cause the prices of mortgage-backed securities to be increasingly volatile and increase the risk
that payments on principal may occur more quickly (or earlier) or slower (or later) than expected, each of which may adversely affect the
Fund’s holdings of mortgage-backed securities. For example, a rising interest rate environment will cause the average life of these
securities to extend, which may lock in a below-market interest rate, increase the security’s duration and increase sensitivity
to further interest rate changes. This may negatively affect the Fund’s returns because the value of the security decreases when
principal payments are made later than expected. In addition, because principal payments are made later than expected, the Fund may be
prevented from investing proceeds it would otherwise have received at a given time at the higher prevailing interest rates. Rising interest
rates generally result in a decline in the value of mortgage-backed securities, such as MBS. In addition, in general, a decline of housing
values and other economic developments (such as a rise in unemployment rates or a slowdown in the overall economy) may cause delinquencies
or non-payment in mortgages (particularly sub-prime and non-prime mortgages) underlying MBS, which would likely adversely impact the ability
of the issuer to make principal and/or interest payments timely or at all to holders of MBS and negatively affect the Fund’s investments
in such MBS.
Commercial Mortgage-Backed Securities Risk
CMBS are collateralized by one or more commercial mortgage loans.
Banks and other lending institutions typically group the loans into pools and interests in these pools are then sold to investors, allowing
the lender to have more money available to loan to other commercial real estate owners. Commercial mortgage loans may be secured by office properties, retail properties,
156 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
hotels, mixed use properties or multi-family apartment buildings.
The value of, and income generated by, investments in CMBS are subject to the risks of ABS generally and the commercial real estate markets
and the real estate securing the underlying mortgage.
CMBS are subject to particular risks, such as those associated
with lack of standardized terms, shorter maturities than residential mortgage loans and payment of all or substantially all of the principal
only at maturity rather than regular amortization of principal. In addition, commercial lending generally is viewed as exposing the lender
to a greater risk of loss than residential lending. Commercial lending typically involves larger loans to single borrowers or groups of
related borrowers than residential mortgage loans. In addition, the repayment of loans secured by income producing properties typically
is dependent upon the successful operation of the related real estate project and the cash flow generated therefrom. Net operating income
of an income-producing property can be affected by, among other things: tenant mix, success of tenant businesses, property management decisions,
property location and condition, competition from comparable types of properties, changes in laws that increase operating expense or limit
rents that may be charged, any need to address environmental contamination at the property, the occurrence of any uninsured casualty at
the property, changes in national, regional or local economic conditions and/or specific industry segments, declines in regional or local
or other real estate values, declines in regional or local rental or occupancy rates, increases in interest rates, real estate tax rates
and other operating expenses, change in governmental rules, regulations and fiscal policies, including environmental legislation, acts
of God, terrorism, social unrest and civil disturbances.
Consequently, adverse changes in economic conditions and circumstances
are more likely to have an adverse impact on MBS secured by loans on commercial properties than on those secured by loans on residential
properties. Economic downturns, rises in unemployment, tightening lending standards and increased interest and lending rates, developments
adverse to the commercial real estate markets, and other developments that limit or reduce demand for commercial retail and office spaces
(including continued or expanded remote working arrangement) as well as increased maintenance or tenant improvement costs and costs to
convert properties for other uses adversely impact these investments. For example, economic decline in the businesses operated by the
tenants of office or retail properties may increase the likelihood that the tenants may be unable to pay their rent or that properties may
be unable to attract or retain tenants at all or on favorable terms for the commercial real estate owners, resulting in vacancies (potentially
for extended periods) and losses. These developments could also result from, among other things, population shifts and other demographic
changes, changing tastes and preferences as well as cultural, technological, working or economic and market developments. In addition,
changing interest rate environments and associated changes in lending standards and higher refinancing rates may adversely affect the commercial
real estate and CMBS markets. Moreover, other types of events, domestic or international, may affect general economic conditions and financial
markets, such as pandemics, armed conflicts, energy supply or price disruptions, natural disasters and man-made disasters, which may have
a significant effect on the underlying commercial mortgage loans and real estate. In addition, adverse developments in the local,
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 157
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
regional and national economies affect consumer spending and can
have a significant effect on the success of a retail space. Further, increased competition in the market of a retail property through the
addition of competing properties nearby can adversely impact the success of a retail property, even if the local, regional and national
economies are doing well. Retail properties are also subject to conditions that could negatively affect the retail sector, such as increased
unemployment, increased federal income and payroll taxes, increased health care costs, increased state and local taxes, increased real
estate taxes, industry slowdowns, lack of availability of consumer credit, weak income growth, increased levels of consumer debt, poor
housing market conditions, adverse weather conditions, natural disasters, plant closings, and other factors. Similarly, local real estate
conditions, such as an oversupply of, or a reduction in demand for, retail space or retail goods, and the supply and creditworthiness
of current and prospective tenants may negatively impact those retail properties. The occurrence of any of the foregoing or similar developments
would likely increase the risks associated with these investments, such as the default risk for the properties and loans underlying the
CMBS investments, and adversely impact the value of, and income generated by, these investments and the underlying properties or loans.
These developments could also result in reduced liquidity for CMBS. CMBS are also subject to the risk that the value of, and income generated
by, such securities will decline because, among other things, the securities are not issued or guaranteed as to principal or interest
by the U.S. government or a government sponsored enterprise and, thus, would be subject to similar risks as non-agency MBS. CMBS often
are issued in the form of several different tranches. Depending on their respective seniority, individual tranches are subject to increased
(and sometimes different) credit, prepayment and liquidity and valuation risks as compared to other tranches. CMBS are often subject to
credit, default, prepayment and liquidity and valuation risks and may experience greater price volatility than other types of ABS or MBS.
Additional risks may be presented by the type and use of a particular
commercial property. Special risks are presented by hospitals, nursing homes, hospitality properties and certain other property types.
Commercial property values and net operating income are subject to volatility, which may result in net operating income becoming insufficient to cover debt service on the related mortgage loan. The exercise of remedies and successful realization of liquidation proceeds
relating to CMBS may be highly dependent on the performance of the servicer or special servicer. There may be a limited number of special
servicers available, particularly those that do not have conflicts of interest.
Residential Mortgage-Backed Securities Risk
Home mortgage loans are typically grouped together into pools by
banks and other lending institutions, and interests in these pools are then sold to investors, allowing the bank or other lending institution
to have more money available to loan to home buyers. RMBS are particularly subject to the credit risk of the borrower. Credit-related
risk on RMBS primarily arises from losses due to delinquencies and defaults by the borrowers in payments on the underlying mortgage loans
and breaches by originators and servicers of their obligations under the underlying
158 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
documentation pursuant to which the RMBS are issued. RMBS are also
subject to the risks of MBS generally and the residential real estate markets. The rate of delinquencies and defaults on residential mortgage
loans and the aggregate amount of the resulting losses will be affected by a number of factors, including general economic conditions,
particularly those in the area where the related mortgaged property is located, the level of the borrower’s equity in the mortgaged
property and the individual financial circumstances of the borrower. The risk of non-payment is greater for RMBS that are backed by loans
that were originated under weak underwriting standards, including loans made to borrowers with limited means to make repayment. RMBS are
also subject to risks associated with the actions of mortgage lenders in the marketplace. Such lenders may adjust their loan programs
and underwriting standards, which may reduce the availability of mortgage credit to prospective mortgagors. This may result in limited
financing alternatives for mortgagors seeking to refinance their existing loans, which may in turn result in higher rates of delinquencies,
defaults and losses on mortgages. If a residential mortgage loan is in default, foreclosure on the related residential property may be
a lengthy and difficult process involving significant legal and other expenses. The net proceeds obtained by the holder on a residential
mortgage loan following the foreclosure on the related property may be less than the total amount that remains due on the loan. The prospect
of incurring a loss upon the foreclosure of the related property may lead the holder of the residential mortgage loan to restructure the
residential mortgage loan or otherwise delay the foreclosure process.
Income from and values of RMBS also may be greatly affected by demographic
trends, such as population shifts or changing tastes and values, or increasing vacancies or declining rents or property values resulting
from legal, cultural, technological, global or local economic developments, as well as reduced demand for properties.
Sub-Prime Mortgage Market Risk
Loans made to lower quality borrowers, including those of sub-prime
quality, may be underlying assets for an asset-backed security. Loans to such borrowers involve a higher degree of credit and default
risk. As a result, values of ABS backed by lower quality loans are more likely than others to suffer significant declines due to defaults,
delays or the perceived risk of defaults or delays.
The residential mortgage market in the United States has at times
experienced difficulties that may adversely affect the performance and market value of certain mortgages and MBS. Delinquencies and losses
on residential mortgage loans (especially sub-prime and second-lien mortgage loans) generally have increased at times and may again increase,
and a decline in or flattening of housing values (as has been experienced at times and may again be experienced in many housing markets)
may exacerbate such delinquencies and losses. Borrowers with adjustable rate mortgage loans are more sensitive to changes in interest
rates, which affect their monthly mortgage payments, and may be unable to secure replacement mortgages at comparably low interest rates.
Also, a number of residential mortgage loan originators have at times experienced serious financial difficulties or bankruptcy. Largely
due to the foregoing, reduced investor demand for mortgage loans and MBS and increased investor yield requirements has at times caused
limited liquidity in the secondary market for certain MBS, which can
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 159
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
adversely affect the market value of MBS. It is possible that such
limited liquidity in such secondary markets could occur again or worsen. If the economy of the United States deteriorates, the incidence
of mortgage foreclosures, especially sub-prime mortgages, may increase, which may adversely affect the value of any MBS owned by the Fund.
Any increase in prevailing market interest rates may result in
increased payments for borrowers who have adjustable rate mortgages. Moreover, with respect to hybrid mortgage loans after their initial
fixed rate period, interest-only products or products having a lower rate, and with respect to mortgage loans with a negative amortization
feature which reach their negative amortization cap, borrowers may experience a substantial increase in their monthly payment even without
an increase in prevailing market interest rates. Increases in payments for borrowers may result in increased rates of delinquencies and
defaults on residential mortgage loans underlying the RMBS.
The significance of the mortgage crisis and loan defaults in residential
mortgage loan sectors led to the enactment of numerous pieces of legislation relating to the mortgage and housing markets. These actions,
along with future legislation or regulation, may have significant impacts on the mortgage market generally and may result in a reduction
of available transactional opportunities for the Fund or an increase in the cost associated with such transactions and may adversely impact
the value of RMBS.
During the mortgage crisis, a number of originators and servicers
of residential and commercial mortgage loans, including some of the largest originators and servicers in the residential and commercial
mortgage loan market, experienced serious financial difficulties. These or similar difficulties may occur in the future and affect the performance
of RMBS and CMBS, particularly non-agency RMBS and CMBS. There can be no assurance that originators and servicers of mortgage loans will
not continue to experience serious financial difficulties or experience such difficulties in the future, including becoming subject to bankruptcy
or insolvency proceedings, or that underwriting procedures and policies and protections against fraud will be sufficient in the future to
prevent such financial difficulties or significant levels of default or delinquency on mortgage loans.
CLO, CDO and CBO Risk
The Fund may invest in CDOs, CBOs and CLOs. A CDO is an ABS whose
underlying collateral is typically a portfolio of other structured finance debt securities or synthetic instruments issued by another
ABS vehicle. A CBO is an ABS whose underlying collateral is a portfolio of bonds. A CLO is an ABS whose underlying collateral is a portfolio
of bank loans.
In addition to the general risks (such as interest rate risk, prepayment
risk, extension risk, market risk, credit risk and liquidity and valuation risk) associated with credit or debt securities discussed herein,
CLOs, CDOs and CBOs are subject to additional risks due to their complex structure and highly leveraged nature. Additionally, the Fund’s
investment in CLOs, CDOs and CBOs will provide it with indirect exposure to the underlying collateral; this indirect investment structure
presents certain risks to the Fund. For example, the Fund’s interest in CLO securities may be less liquid than the
160 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
loans held by the CLO; thus, it may be more difficult for the Fund
to dispose of CLO securities than it would be for the Fund to dispose of loans if it held such loans directly. Additionally, CLOs, CDOs
and CBOs normally charge management fees and administrative expenses, which fees and expenses would be borne by the Fund.
CLOs, CDOs and CBOs are subject to risks associated with the involvement
of multiple transaction parties related to the underlying collateral and disruptions that may occur as a result of the restructuring or
insolvency of the underlying obligors, which are generally corporate obligors. Unlike a consumer obligor that is generally obligated to
make payments on the collateral backing an ABS, the obligor on the collateral backing a CLO, a CDO or a CBO may have more effective defenses
or resources to cause a delay in payment or restructure the underlying obligation. If an obligor is permitted to restructure its obligations,
distributions from collateral securities may not be adequate to make interest or other payments.
The performance of CLOs, CDOs and CBOs depends primarily upon the
quality of the underlying assets and the level of credit support or enhancement in the structure and the relative priority of the interest
in the issuer of the CLO, CDO or CBO purchased by the Fund. In general, CLOs, CDOs and CBOs are actively managed by an asset manager that
is responsible for evaluating and acquiring the assets that will collateralize the CLO, CDO or CBO. The asset manager may have difficulty
in identifying assets that satisfy the eligibility criteria for the assets and may be restricted from trading the collateral. These criteria,
restrictions and requirements, while reducing the overall risk to the Fund, may limit the ability of GPIM to maximize returns on the CLOs,
CDOs and CBOs if an opportunity is identified by the collateral manager. In addition, other parties involved in CLOs, CDOs and CBOs, such
as credit enhancement providers and investors in senior obligations of the CLO, CDO or CBO may have the right to control the activities
and discretion of GPIM in a manner that is adverse to the interests of the Fund. A CLO, CDO or CBO generally includes provisions that
alter the priority of payments if performance metrics related to the underlying collateral, such as interest coverage and minimum overcollateralization,
are not met. These provisions may cause delays in payments on the securities or an increase in prepayments depending on the relative priority
of the securities owned by the Fund. CLO securities carry additional risks due to the complex structure and highly leveraged nature of
a CLO. CLOs issue classes or “tranches” that vary in risk and yield. CLOs, CDOs and CBOs issue classes or “tranches”
that vary in risk and yield. The failure of a CLO, CDO or CBO to make timely payments on a particular tranche may have an adverse effect
on the liquidity and market value of such tranche.
Payments to holders of CLOs, CDOs and CBOs may be subject to deferral.
If cashflows generated by the underlying assets are insufficient to make all current and, if applicable, deferred payments on the CLOs,
CDOs and CBOs, no other assets will be available for payment of the deficiency and, following realization of the underlying assets, the
obligations of the issuer to pay such deficiency will be extinguished.
Securities issued by CLOs, CDOs and CBOs may experience substantial
losses due to defaults or sales of underlying assets at a loss (due to a decline in market value of such assets or otherwise). The value
of securities issued by CLOs, CDOs and CBOs also may decrease because of, among other
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 161
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
developments, changes in market value; changes in the market’s
perception of the creditworthiness of the servicer of the assets, the originator of an asset in the pool, or the financial institution
or fund providing credit support or enhancement; loan performance and prices; broader market sentiment, including expectations regarding
future loan defaults, liquidity conditions and supply and demand for structured products.
The Fund may invest in senior, rated tranches as well as mezzanine
and subordinated tranches of CLOs. As a result, the CLOs in which the Fund invests may have issued and sold debt tranches that will rank
senior to the tranches in which the Fund invests. By their terms, such more senior tranches may entitle the holders to receive payment
of interest or principal on or before the dates on which the Fund is entitled to receive payments with respect to the tranches in which
the Fund invests. Also, in the event of insolvency, liquidation, dissolution, reorganization or bankruptcy of a CLO, holders of more senior
tranches would typically be entitled to receive payment in full before the Fund receives any distribution. After repaying such senior
creditors, such CLO may not have any remaining assets to use for repaying its obligation to the Fund. In the case of tranches ranking
equally with the tranches in which the Fund invests, the Fund would have to share on an equal basis any distributions with other creditors
holding such securities in the event of an insolvency, liquidation, dissolution, reorganization or bankruptcy of the relevant CLO. Therefore,
the Fund may not receive back the full amount of its investment in a CLO.
Investments in CLOs, CDOs and CBOs will expose the Fund to financial
leverage and, thus expose the Fund to the risks associated with financial leverage (such as higher risk of volatility and magnified financial
losses). CLOs, CDOs and CBOs are generally privately offered and sold and are not registered under securities laws and may be illiquid.
Further, the complex nature of CLOs, CDOs and CBOs may lead to disputes with the issuer or other investors and/or unexpected investment
results. CLOs, CDOs and CBOs are also subject to the risk that distributions from the underlying collateral may be inadequate to make
interest or other payments and that the underlying collateral may default or decline in value or quality and may be subject to risks associated
with investments in high yield, below investment grade and unrated securities. The risks associated with these investments depend in part
on the types of collateral underlying the CLO, CDO or CBO and the class or tranche in which the Fund invests, with certain classes or
tranches being subject to heightened risks.
Risks Associated with Risk-Linked Securities
RLS are a form of derivative issued by insurance companies and
insurance-related special purpose vehicles that apply securitization techniques to catastrophic property and casualty damages. Unlike
other insurable low-severity, high-probability events (such as auto collision coverage), the insurance risk of which can be diversified
by writing large numbers of similar policies, the holders of a typical RLS are exposed to the risks from high-severity, low-probability
events such as that posed by major earthquakes or hurricanes. RLS represent a method of reinsurance, by which insurance companies transfer
their own portfolio risk to other reinsurance companies and, in the case of RLS, to the capital markets. A typical RLS provides for income
and return of capital similar to other fixed-income investments, but involves full or partial default (or loss) if losses resulting from
a certain catastrophe
162 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
exceeded a predetermined amount. In essence, investors invest funds
in RLS and if a catastrophe occurs that “triggers” the RLS, investors may lose some or all of the capital invested. In the
case of an event, the funds are paid to the bond sponsor—an insurer, reinsurer or corporation—to cover losses. In return,
the bond sponsors pay interest to investors for this catastrophe protection. RLS can be structured to pay-off on three types of variables—insurance-industry
catastrophe loss indices, insure-specific catastrophe losses and parametric indices based on the physical characteristics of catastrophic
events. Such variables are difficult to predict or model, and the risk and potential return profiles of RLS may be difficult to assess. No
active trading market may exist for certain RLS, which may impair the ability of the Fund to realize full value in the event of the need
to liquidate such assets.
CLO Subordinated Notes Risk
The Fund may invest in any portion of the capital structure of
CLOs (including the subordinated, residual and deep mezzanine debt tranches). The most senior tranches have the lowest yield but the lowest
level of risk relative to other tranches, as they are senior in priority to the more junior tranches with respect to payments made by
the CLO. Conversely, the most subordinated tranches have the highest potential yield relative to other tranches but also the highest level
of risk relative to the other tranches, as they are the lowest in the priority of payments. Thus, losses on underlying assets are borne
first by the holders of the most subordinate tranche, followed by the second-most subordinated tranche, and so forth. A CLO may experience
substantial losses attributable to loan defaults or sales of underlying assets at a loss (due to a decline in market value of such assets
or otherwise). The Fund’s investment in a CLO may decrease in market value because of, among other developments, (i) loan defaults
or credit impairment; (ii) losses that exceed the subordinate tranches; (iii) an event of default occurring under a CLO, which could lead
to acceleration and/ or liquidation of the assets at a loss; (iv) market anticipation of defaults; (v) investor aversion to CLO securities
as a class; and (vi) poor performance of the CLO’s manager. These risks may be magnified depending on the tranche of CLO securities
in which the Fund invests. For example, investments in a junior tranche of CLO securities will likely be more sensitive to loan defaults
or credit impairment than investments in more senior tranches. Senior tranches are also subject to the risk that junior tranches may disappear,
eliminating the protection such junior tranches normally provide more senior tranches. In addition, the subordinated tranche does not
receive ratings and is subject to certain payment restrictions. As a result, the subordinated tranche bears the bulk of defaults from
the loans in the CLO. In addition, the subordinated tranche generally has only limited voting rights and generally does not benefit from
any creditors’ rights or ability to exercise remedies under the indenture governing the CLO notes. Certain mezzanine tranches in
which the Fund may invest may also be subject to certain risks similar to risks associated with investment in the subordinated tranche.
The subordinated tranche is unsecured and ranks behind all of the
secured creditors, known or unknown, of the CLO issuer, including the holders of the secured notes it has issued. Consequently, to the
extent that the value of the issuer’s portfolio of loan investments has been reduced as a result of conditions in the credit markets,
defaulted loans, capital gains and losses on the underlying
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 163
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
assets, prepayment or changes in interest rates, the value of the
subordinated tranche realized at redemption could be reduced. If a CLO breaches certain tests set forth in the CLO’s indenture,
excess cash flow that would otherwise be available for distribution to the subordinated tranche investors is diverted to prepay CLO debt
investors in order of seniority until such time as the covenant breach is cured. If the covenant breach is not or cannot be cured, the
subordinated tranche investors (and potentially other investors in lower priority rated tranches) may experience a partial or total loss
of their investment. Accordingly, the subordinated tranche may not be paid in full and may be more vulnerable to loss, including up to
100% loss. At the time of issuance, the subordinated tranche of a CLO is typically under-collateralized in that the liabilities of a CLO
at inception exceed its total assets.
The leveraged nature of subordinated notes may magnify the adverse
impact on the subordinated notes of changes in the market value of the investments held by the issuer, changes in the distributions on
those investments, defaults and recoveries on those investments, capital gains and losses on those investments, prepayments on those investments
and availability, prices and interest rates of those investments.
Subordinated notes are not guaranteed by another party. There can
be no assurance that distributions on the assets held by the CLO will be sufficient to make any distributions or that the yield on the subordinated
notes will meet the Fund’s expectations. Investments in the subordinated tranche of a CLO are generally less liquid than CLO debt
tranches and subject to extensive transfer restrictions, and there may be no market for subordinated notes. Therefore, the Fund may be
required to hold subordinated notes for an indefinite period of time or until their stated maturity. Certain mezzanine tranches in which
the Fund may invest may also be subject to certain risks similar to risks associated with investment in the subordinated tranche.
Risks Associated with Structured Notes
Investments in structured notes involve risks associated with the
issuer of the note and the reference instrument. Where the Fund’s investments in structured notes are based upon the movement of
one or more factors, including currency exchange rates, interest rates, referenced bonds and stock indices, depending on the factor used
and the use of multipliers or deflators, changes in interest rates and movement of the factor may cause significant price fluctuations.
Additionally, changes in the reference instrument or security may cause the interest rate on the structured note to be reduced to zero,
and any further changes in the reference instrument may then reduce the principal amount payable on maturity. Structured notes may be
less liquid than other types of securities and more volatile than the reference instrument or security underlying the note.
Senior Loans Risk
The Fund may invest in senior secured floating rate Loans made
to corporations and other nongovernmental entities and issuers (“Senior Loans”). Senior Loans typically hold the most senior
position in the capital structure of the issuing entity, are typically secured with specific collateral and typically have a claim on
the assets of the borrower, including stock owned by the borrower in its subsidiaries, that is senior to that held by junior lien creditors,
subordinated debt holders and
164 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
stockholders of the borrower. The Fund’s investments in Senior
Loans are typically below investment grade and are considered speculative because of the credit risk of the applicable issuer.
There is less readily-available, reliable information about most
Senior Loans than is the case for many other types of securities. In addition, there is rarely a minimum rating or other independent evaluation
of a borrower or its securities, and GPIM relies primarily on its own evaluation of a borrower’s credit quality rather than on any
available independent sources. As a result, the Fund is particularly dependent on the analytical abilities of GPIM with respect to investments
in Senior Loans. GPIM’s judgment about the credit quality of a borrower may be wrong.
The risks associated with Senior Loans of below-investment grade
quality are similar to the risks of other lower grade Income Securities, although Senior Loans are typically senior in payment priority
and secured on a senior priority basis, in contrast to subordinated and unsecured Income Securities.
Senior Loans’ higher priority has historically resulted in
generally higher recoveries in the event of a corporate reorganization. In addition, because their interest payments are typically adjusted
for changes in short-term interest rates, investments in Senior Loans generally have less interest rate risk than certain other lower
grade Income Securities, which may have fixed interest rates. The Fund’s investments in Senior Loans are typically below-investment
grade and are considered speculative because of the credit risk of their issuers. Such companies are more likely to default on their payments
of interest and principal owed to the Fund, and such defaults could reduce the Fund’s NAV and income distributions. Further, transactions
in Senior Loans typically settle on a delayed basis and may take longer than seven days to settle. As a result, the Fund may receive the
proceeds from a sale of a Senior Loan on a delayed basis which may affect the Fund’s ability to repay debt, to pay dividends, to
pay expenses, or to take advantage of new investment opportunities. An economic downturn generally leads to a higher non-payment rate,
and a Senior Loan may lose significant value before a default occurs. Moreover, any specific collateral used to secure a Senior Loan may
decline in value or become illiquid, which would adversely affect the Senior Loan’s value.
Economic and other events (whether real or perceived) can reduce
the demand for certain Senior Loans or Senior Loans generally, which may reduce market prices of the Senior Loans and cause the Fund’s
NAV per share to fall or otherwise adversely impact the Fund’s investments in Senior Loans. The frequency and magnitude of such
changes cannot be predicted.
Loans and other debt instruments are also subject to the risk of
price declines due to increases in prevailing interest rates, although floating-rate debt instruments are substantially less exposed to
this risk than fixed-rate debt instruments. Interest rate changes may also increase prepayments of debt obligations and require the Fund
to invest assets at lower yields. During periods of deteriorating economic conditions, such as recessions or periods of rising unemployment,
or changing interest rates (notably increases), delinquencies and losses generally increase, sometimes dramatically, with respect to obligations
under such loans. An economic downturn or individual corporate developments could adversely affect the market for these instruments and
reduce the Fund’s ability to sell these instruments at an advantageous time or price. An economic downturn
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 165
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
would generally lead to a higher non-payment rate and, a Senior
Loan may lose significant market value before a default occurs.
No active trading market may exist for certain Senior Loans, which
may impair the ability of the Fund to realize full value in the event of the need to liquidate such assets and normally make it more difficult to value Senior Loans (particularly those that are illiquid). Adverse market conditions may impair the liquidity of some actively
traded Senior Loans, meaning that the Fund may not be able to sell them quickly at a desirable price. To the extent that a secondary market
does exist for certain Senior Loans, the market may be subject to irregular trading activity, wide bid/ask spreads and extended trade
settlement periods.
Although the Senior Loans in which the Fund will invest generally
will be secured by specific collateral, there can be no assurance that liquidation of such collateral would satisfy the borrower’s
obligation in the event of non-payment of scheduled interest or principal or that such collateral could be readily liquidated. In the
event of the bankruptcy of a borrower, the Fund could experience delays or limitations with respect to its ability to realize the benefits
of the collateral securing a Senior Loan. If the terms of a Senior Loan do not require the borrower to pledge additional collateral in
the event of a decline in the value of the already pledged collateral, the Fund will be exposed to the risk that the value of the collateral
will not at all times equal or exceed the amount of the borrower’s obligations under the Senior Loans. To the extent that a Senior
Loan is collateralized by stock in the borrower or its subsidiaries, such stock may lose all of its value in the event of the bankruptcy
of the borrower. Such Senior Loans involve a greater risk of loss or illiquidity. Some Senior Loans are subject to the risk that a court,
pursuant to fraudulent conveyance or other similar laws, could subordinate or otherwise adversely affect the priority of the Senior Loans
to presently existing or future indebtedness of the borrower or could take other action detrimental to lenders, including the Fund. Such
court action could under certain circumstances include invalidation of Senior Loans.
Senior Loans are subject to legislative risk. If legislation or
state or federal regulations impose additional requirements or restrictions on the ability of financial institutions to make loans, the
availability of Senior Loans for investment by the Fund may be adversely affected. In addition, such requirements or restrictions could
reduce or eliminate sources of financing for certain borrowers. This could increase the risk of default. If legislation or federal or
state regulations require financial institutions to increase their capital requirements in order to make or hold certain debt investments,
this may cause financial institutions to dispose of Senior Loans that are considered highly levered transactions. Such sales could result
in prices that, in the opinion of the Adviser, do not represent fair value. If the Fund attempts to sell a Senior Loan at a time when
a financial institution is engaging in such a sale, the price the Fund could receive for the Senior Loan may be adversely affected.
The Fund’s investments in Senior Loans may be subject to
lender liability risk. Lender liability refers to a variety of legal theories generally founded on the premise that a lender has violated
a duty of good faith, commercial reasonableness and fair dealing or a similar duty owed to the borrower or has assumed an excessive degree
of control over the borrower resulting in the creation of a fiduciary duty owed to the borrower or its other creditors or shareholders.
Because of the nature of its investments, the Fund may be subject to allegations of lender liability. In addition, under
166 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
common law principles that in some cases form the basis for lender
liability claims, a court may elect to subordinate the claim of an offending lender or bondholder (or group of offending lenders or bondholders)
to the claims of a disadvantaged creditor (or group of creditors).
Economic exposure to Senior Loans through the use of derivatives
transactions may involve greater risks than if the Fund had invested in the Senior Loan interest directly during a primary distribution
or through assignments or participations in a loan acquired in secondary markets since, in addition to the risks described above, derivatives
transactions to gain exposure to Senior Loans may be subject to leverage risk and greater illiquidity risk, counterparty risk, valuation
risk and other risks associated with derivatives discussed herein.
Second Lien Loans Risk
The Fund may invest in “second lien” secured floating
rate Loans made by public and private corporations and other non-governmental entities and issuers for a variety of purposes (“Second
Lien Loans”). Second Lien Loans are typically second in right of payment and/or second in right of priority with respect to collateral
remedies to one or more Senior Loans of the related borrower. Second Lien Loans are subject to the same risks associated with investment
in Senior Loans and other lower grade Income Securities. However, Second Lien Loans are second in right of payment and/or second in right
of priority with respect to collateral remedies to Senior Loans and therefore are subject to the additional risk that the cash flow of
the borrower and/or the value of any property securing the Loan may be insufficient to meet scheduled payments or otherwise be available
to repay the Loan after giving effect to payments in respect of a Senior Loan, including payments made with the proceeds of any property
securing the Loan and any senior secured obligations of the borrower. Second Lien Loans are expected to have greater price volatility
and exposure to losses upon default than Senior Loans and may be less liquid. There is also a possibility that originators will not be
able to sell participations in Second Lien Loans, which would create greater credit risk exposure.
Subordinated Secured Loans Risk
Subordinated secured Loans generally are subject to similar risks
as those associated with investment in Senior Loans, Second Lien Loans and below-investment grade securities. However, such loans may
rank lower in right of payment than any outstanding Senior Loans, Second Lien Loans or other debt instruments with higher priority of
the borrower and therefore are subject to additional risk that the cash flow of the borrower and any property securing the loan may be
insufficient to meet scheduled payments and repayment of principal in the event of default or bankruptcy after giving effect to the higher
ranking secured obligations of the borrower. Subordinated secured Loans are expected to have greater price volatility than Senior Loans
and Second Lien Loans and may be less liquid.
Unsecured Loans Risk
Unsecured Loans generally are subject to similar risks as those
associated with investment in Senior Loans, Second Lien Loans, subordinated secured Loans and below-investment grade securities. However,
because unsecured Loans have lower priority in right of payment to any higher ranking obligations of the borrower and are not backed by
a security interest in any specific collateral,
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 167
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
they are subject to additional risk that the cash flow of the borrower
and available assets may be insufficient to meet scheduled payments and repayment of principal after giving effect to any higher ranking
obligations of the borrower. Unsecured Loans are expected to have greater price volatility than Senior Loans, Second Lien Loans and subordinated
secured Loans and may be less liquid.
Loans and Loan Participations and Assignments Risk
The Fund may invest in loans directly or through participations
or assignments. The Fund may purchase Loans on a direct assignment basis from a participant in the original syndicate of lenders or from
subsequent assignees of such interests. The Fund may also purchase, without limitation, participations in Loans. The purchaser of an assignment
typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with
respect to the debt obligation; however, the purchaser’s rights can be more restricted than those of the assigning institution,
and, in any event, the Fund may not be able to unilaterally enforce all rights and remedies under the loan and with regard to any associated
collateral. The Fund’s interest in a particular loan and/or in particular collateral securing a loan may be subordinate to the interests
of other creditors of the obligor, which leads to the risk of subordination to other creditors. A participation typically results in a
contractual relationship only with the institution participating out the interest, not with the borrower. In purchasing participations,
the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement against the borrower,
and the Fund may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation.
As a result, the Fund will be exposed to the credit risk of both the borrower and the institution selling the participation. Further,
in purchasing participations in lending syndicates, the Fund may not be able to conduct the same due diligence on the borrower with respect
to a Loan that the Fund would otherwise conduct. In addition, as a holder of the participations, the Fund may not have voting rights or
inspection rights that the Fund would otherwise have if it were investing directly in the Loan, which may result in the Fund being exposed
to greater credit or fraud risk with respect to the borrower or the Loan. Lenders selling a participation and other persons interpositioned
between the lender and the Fund with respect to a participation will likely conduct their principal business activities in the banking,
finance and financial services industries. Because the Fund may invest in participations, the Fund may be more susceptible to economic,
political or regulatory occurrences affecting such industries.
Loans are especially vulnerable to the financial health, or perceived
financial health, of the borrower but are also particularly susceptible to economic and market sentiment such that changes in these conditions
or the occurrence of other economic or market events may reduce the demand for loans, increase the risks associated with such investments
and cause their value to decline rapidly and unpredictably. Many loans and loan interests are subject to legal or contractual restrictions
on transfer, resale or assignment that may limit the ability of the Fund to sell its interest in a loan at an advantageous time or price.
The resale, or secondary, market for loans is currently growing, but may become more limited or more difficult to access, and such changes
may be sudden and unpredictable. Transactions in loans are often subject to long settlement periods (in excess of the standard T+1 days
settlement cycle for most securities and often longer than seven days). As a
168 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
result, sale proceeds potentially will not be available to the
Fund to make additional investments or to use proceeds to meet its current obligations. The Fund thus is subject to the risk of selling
other investments at disadvantageous times or prices or taking other actions necessary to raise cash to meet its obligations such as borrowing
from a bank or holding additional cash, particularly during periods of unusual market or economic conditions or financial stress. Investments
in loans can also be difficult to value accurately because of, among other factors, limited public information regarding the loan or the
borrowers. Risks associated with investments in loans are increased if the loans are secured by a single asset. Loans may offer a fixed
rate or floating rate of interest. Loans may decline in value if their interest rates do not rise as much or as fast as interest rates
in general. For example, the interest rates on floating rate loans typically adjust only periodically and therefore the interest rate
payable under such loans may significantly trail market interest rates.
The Fund invests in or is exposed to loans and other similar debt
obligations that are sometimes referred to as “covenant-lite” loans or obligations (“covenant-lite obligations”),
which are loans or other similar debt obligations that lack financial maintenance covenants or possess fewer or contingent financial maintenance
covenants and other financial protections for lenders and investors. Exposure may also be obtained to covenant-lite obligations through
investment in securitization vehicles and other structured products. Many new, restructured or reissued loans and similar debt obligations
may not feature traditional financial maintenance covenants, which are intended to protect lenders and investors by imposing certain restrictions
and other limitations on a borrower’s operations or assets by providing certain information and consent rights to lenders. Covenant-lite
obligations may carry more risk than traditional loans as they allow borrowers to engage in activities that would otherwise be difficult
or impossible under an agreement that is not covenant-lite. The Fund may have fewer rights with respect to covenant-lite obligations,
including fewer protections against the possibility of default and fewer remedies in the event of default as the lender may not have the
opportunity to negotiate with the borrower prior to default. As a result, investments in (or exposure to) covenant-lite obligations are
subject to more risk than investments in (or exposure to) certain types of obligations. In the event of default, covenant-lite obligations
may exhibit diminished recovery values as the lender may not have the opportunity to negotiate with the borrower prior to default. The
Fund may have a greater risk of loss on investments in (or exposure to) covenant-lite obligations as compared to investments in traditional
loans. In addition, the Fund may receive less or less frequent financial reporting from a borrower under a covenant-lite obligation, which
may result in more limited access to financial information, difficulty evaluating the borrower’s financial performance over time and
delays in exercising rights and remedies in the event of a significant financial decline.
In certain circumstances, the Adviser or its affiliates (including
on behalf of clients other than the Fund) or the Fund may be in possession of material non-public information about a borrower as a result
of its ownership of a loan and/or corporate debt security of a borrower. Because U.S. laws and regulations generally prohibit trading
in securities of issuers while in possession of material, nonpublic information, the Fund might be unable (potentially for a substantial
period of time) to trade securities or other instruments issued by the borrower when it would otherwise be advantageous to do so and,
as such, could incur a loss. In circumstances when the Adviser, GPIM
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 169
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
or the Fund determines to avoid or to not receive non-public information
about a borrower for loan investments being considered for acquisition by the Fund or held by the Fund, the Fund may be disadvantaged
relative to other investors that do receive such information, and the Fund may not be able to take advantage of other investment opportunities
that it may otherwise have. The Adviser or its affiliates may participate in the primary and secondary market for loans or other transactions
with possible borrowers. As a result, the Fund may be legally restricted from acquiring some loans and from participating in a restructuring
of a loan or other similar instrument. Further, if the Fund, in combination with other accounts managed by the Adviser or its affiliates,
acquires a large portion of a loan, the Fund’s valuation of its interests in the loan and the Fund’s ability to dispose of
the loan at favorable times or prices may be adversely affected.
The Fund is subject to other risks associated with investments
in (or exposure to) loans and other similar obligations, including that such loans or obligations may not be considered “securities”
under federal securities laws and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities
laws and instead may have to resort to state law and direct claims.
Unfunded Commitments Risk
Certain of the loan participations or assignments acquired by the
Fund may involve unfunded commitments of the lenders, revolving credit facilities, delayed draw credit facilities or other investments
under which a borrower may from time to time borrow and repay amounts up to the maximum amount of the facility. In such cases, the Fund
would have an obligation to advance its portion of such additional borrowings upon the terms specified in the loan documentation. Such
an obligation may have the effect of requiring the Fund to increase its investment in a company at a time when it might not be desirable
to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). These
commitments are generally subject to the borrowers meeting certain criteria such as compliance with covenants and certain operational
metrics. The terms of the borrowings and financings subject to commitment are comparable to the terms of other loans and related investments
in the Fund’s portfolio.
Mezzanine Investments Risk
The Fund may invest in certain lower grade securities known as
“Mezzanine Investments,” which are subordinated debt securities that are generally issued in private placements in connection
with an equity security (e.g., with attached warrants) or may be convertible into equity securities. Mezzanine Investments are subject
to the same risks associated with investment in Senior Loans, Second Lien Loans and other lower grade Income Securities. However, Mezzanine
Investments may rank lower in right of payment than any outstanding Senior Loans and Second Lien Loans of the borrower, or may be unsecured
(i.e., not backed by a security interest in any specific collateral), and are subject to the additional risk that the cash flow of the
borrower and available assets may be insufficient to meet scheduled payments after giving effect to any higher ranking obligations of the
borrower. Mezzanine Investments are expected to have greater price volatility and exposure to losses upon default than Senior Loans and
Second Lien Loans and may be less liquid.
170 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Distressed and Defaulted Securities Risk
Investments in the securities of financially distressed issuers
involve substantial risks. These securities may present a substantial risk of default or may be in default at the time of investment.
The Fund may incur additional expenses to the extent it is required to seek recovery upon a default in the payment of principal or interest
on its portfolio holdings. In any reorganization or liquidation proceeding relating to a portfolio company, the Fund may lose its entire
investment or may be required to accept cash or securities with a value less than its original investment. Among the risks inherent in
investments in a troubled entity is the fact that it frequently may be difficult to obtain information as to the true financial condition
of such issuer. GPIM’s judgment about the credit quality of the issuer and the relative value and liquidity of its securities may
prove to be wrong.
Convertible Securities Risk
Convertible securities, debt or preferred equity securities convertible
into, or exchangeable for, equity securities, are generally preferred stocks and other securities, including fixed-income securities and
warrants that are convertible into or exercisable for common stock. Convertible securities generally participate in the appreciation or
depreciation of the underlying stock into which they are convertible, but to a lesser degree and are subject to the risks associated with
debt and equity securities, including interest rate, market and issuer risks. For example, if market interest rates rise, the value of
a convertible security usually falls. Certain convertible securities may combine higher or lower current income with options and other
features. Warrants are options to buy a stated number of shares of common stock at a specified price anytime during the life of the warrants
(generally, two or more years). Convertible securities may be lower-rated securities subject to greater levels of credit risk. A convertible
security may be converted before it would otherwise be most appropriate, which may have an adverse effect on the Fund’s ability to
achieve its investment objective.
“Synthetic” convertible securities have economic characteristics
similar to those of a traditional convertible security due to the combination of separate securities that possess the two principal characteristics
of a traditional convertible security, i.e., an income-producing security (“income-producing component”) and the right to
acquire an equity security (“convertible component”). The income-producing component is achieved by investing in non-convertible,
income-producing securities such as bonds, preferred stocks and money market instruments, which may be represented by derivative instruments.
The convertible component is achieved by investing in securities
or instruments such as warrants or options to buy common stock at a certain exercise price, or options on a stock index. A simple example
of a synthetic convertible security is the combination of a traditional corporate bond with a warrant to purchase equity securities of
the issuer of the bond. The income-producing and convertible components of a synthetic convertible security may be issued separately by
different issuers and at different times.
Preferred Securities/Preferred Stock Risk
The Fund may invest in preferred stock, which represents the senior
residual interest in the assets of an issuer after meeting all claims, with priority to corporate income and liquidation payments
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 171
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
over the issuer’s common stock, to the extent proceeds are
available after paying any more senior creditors. As such, preferred stock is inherently riskier than the bonds and other debt instruments
of the issuer, but less risky than its common stock. Preferred stocks may pay fixed or adjustable rates of return. Preferred stock is
subject to issuer-specific and market risks applicable generally to equity securities. Certain preferred stocks contain provisions that
allow an issuer under certain conditions to skip (in the case of “non-cumulative” preferred stocks) or defer (in the case
of “cumulative” preferred stocks) dividend payments. Preferred stocks often contain provisions that allow for redemption in
the event of certain tax or legal changes or at the issuer’s call. Preferred stocks typically do not provide any voting rights,
except in cases when dividends are in arrears beyond a certain time period. There is no assurance that dividends on preferred stocks in
which the Fund invests will be declared or otherwise made payable. If the Fund owns preferred stock that is deferring its distributions,
the Fund may be required to report income for U.S. federal income tax purposes while it is not receiving cash payments corresponding to
such income. When interest rates fall below the rate payable on an issue of preferred stock or for other reasons, the issuer may redeem
the preferred stock, generally after an initial period of call protection in which the stock is not redeemable. Preferred stocks may be
significantly less liquid than many other securities, such as U.S. government securities, corporate debt and common stock. Preferred stock
has properties of both an equity and a debt instrument and is generally considered a hybrid instrument.
Foreign Securities Risk
The Fund may invest up to 20% of its total assets in non-U.S. dollar-denominated
Income Securities of foreign issuers. Investing in foreign issuers may involve heightened risks and certain risks not typically associated
with investing in securities of U.S. issuers due to increased exposure to foreign economic, political (including geopolitical), market
and legal developments, including favorable or unfavorable changes in currency exchange rates, exchange control regulations (including
currency blockage), expropriation or nationalization of assets, imposition of withholding taxes on payments, and possible difficulty in
obtaining and enforcing judgments against foreign entities. Furthermore, issuers of foreign securities and obligations are subject to
different, often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers, and may be subject to less
extensive and transparent accounting, auditing, recordkeeping, financial reporting and other requirements which limit the quality and
availability of financial information. The securities and obligations of some foreign companies and foreign markets are less liquid and
at times more volatile than comparable U.S. securities, obligations and markets. In addition, such investments are subject to other adverse
diplomatic or geopolitical developments, which may include the imposition of economic or trade sanctions or other measures by the U.S.
or other governments and supranational organizations, changes in trade policies, or conflicts that may render the holdings illiquid or
even worthless. These risks may be more pronounced to the extent that the Fund invests a significant amount of its assets in companies
located in one region and to the extent that the Fund invests in securities of issuers in emerging markets. The Fund may also invest in
U.S. dollar-denominated Income Securities of foreign issuers, which are subject to many of the risks described above regarding Income
Securities of foreign issuers denominated in foreign currencies. These risks are heightened under adverse economic, market, geopolitical
and other conditions.
172 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Investments in the securities of foreign issuers involve certain
considerations and risks not ordinarily associated with investments in securities of domestic issuers. Investments in foreign securities
are generally denominated in foreign currency. As a result, changes in the value of those currencies compared to the U.S. dollar may affect (positively or negatively) the value of the Fund’s investments. In addition, fluctuations in currency exchange fees and restrictions
on costs associated with the exchange of currencies may adversely affect the value of the Fund’s investments. The values of foreign
currencies may be affected by changes in the exchange rates between particular foreign currencies and the U.S. dollar or by unfavorable
currency regulations imposed by foreign governments. If the Fund invests in securities issued by foreign issuers, the Fund may be subject
to these risks even if the investment is denominated in U.S. dollars. Foreign companies are not generally subject to uniform accounting,
auditing and financial standards and requirements comparable to those applicable to U.S. companies. Foreign securities exchanges, brokers
and listed companies may be subject to less government supervision and regulation that exists in the United States.
Dividend and interest income may be subject to withholding and
other foreign taxes, which may adversely affect the net return on such investments. There may be difficulty in obtaining or enforcing a court
judgment abroad. The governments of certain countries may prohibit or impose substantial restrictions on foreign investments in their
capital markets or in certain industries. In addition, it may be difficult to effect repatriation of capital invested in certain countries.
With respect to certain countries, there are risks of expropriation, confiscatory taxation, political or social instability or diplomatic
developments that could affect assets of the Fund held in foreign countries.
Economic sanctions or other similar measures may be, and have been,
imposed against certain countries, organizations, companies, entities and/or individuals. Economic sanctions and other similar governmental
actions or developments could, among other things, effectively restrict or eliminate the Fund’s ability to purchase or sell certain
foreign securities or groups of foreign securities, and thus may make the Fund’s investments in such securities less liquid, less
valuable or more difficult to value. In addition, as a result of economic sanctions and other similar governmental actions or developments,
the Fund may be forced to sell or otherwise dispose of foreign investments at inopportune times or prices. The type and severity of sanctions
and other similar measures, including counter sanctions and other retaliatory actions, such as those that have been impacted against Russia
and other countries and that may further be imposed could vary broadly in scope, and their impact is difficult to accurately predict. For
example, the imposition of sanctions and other similar measures likely would, among other things, cause a decline in the value and/or
liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase
market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could significantly
delay or prevent the settlement of securities transactions or their valuation, and significantly impact the Fund’s liquidity and
performance. Sanctions and other similar measures may be in place for a substantial period of time and enacted with limited advance notice.
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 173
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
There may be less publicly available information about a foreign
company than a U.S. company. Foreign securities markets may have substantially less volume than U.S. securities markets and some foreign
company securities are less liquid than securities of otherwise comparable U.S. companies. Foreign markets may be more volatile than U.S.
markets and offer less protection to investors. Foreign markets also have different clearance and settlement procedures that could cause
the Fund to encounter difficulties in purchasing and selling securities on such markets and may result in the Fund missing attractive investment
opportunities or experiencing a loss. In addition, a portfolio that includes foreign securities can expect to have a higher expense ratio
because of the increased transaction costs on non-U.S. securities markets and the increased costs of maintaining the custody of foreign
securities. Similar foreign investment risks may apply to futures contracts and other derivative instruments in which the Fund invests
that trade on foreign exchanges. The value of derivative and other instruments denominated in or that pay revenues in foreign currencies
may fluctuate based on changes in the value of those currencies relative to the U.S. dollar, and a decline in applicable foreign exchange
rates could reduce the value of such instruments held by the Fund. Foreign settlement procedures also may involve additional risks.
American depositary receipts (“ADRs”) are receipts
issued by United States banks or trust companies in respect of securities of foreign issuers held on deposit for use in the United States
securities markets. While ADRs may not necessarily be denominated in the same currency as the securities into which they may be converted,
many of the risks associated with foreign securities may also apply to ADRs. In addition, the underlying issuers of certain depositary
receipts, particularly unsponsored or unregistered depositary receipts, are under no obligation to distribute shareholder communications
to the holders of such receipts, or to pass through to them any voting rights with respect to the deposited securities.
Emerging Markets Risk
The Fund may invest up to 10% of its total assets in Income Securities
the issuers of which are located in countries considered to be emerging markets, and investments in such securities are considered speculative.
Investing in securities in emerging countries generally entails greater risks than investing in securities in developed countries. Securities
issued by governments or issuers in emerging market countries are more likely to have greater exposure to the risks of investing in foreign
securities and are subject to risks in addition to the risks associated with investing in foreign securities. These risks are elevated
at times based on adverse conditions, including macroeconomic, geopolitical and global health conditions, and these risks include: (i)
less social, political and economic stability (including the lack or inadequacy of the ability to remedy natural or man-made disasters,
such as pandemics or climate change) and potentially more volatile currency exchange rates, currency blockage or transfer restrictions
and currency devaluation; (ii) the small size of and lack of development of the markets for such securities, limited access to investments
in the event of market closures (including due to local holidays), potentially low or nonexistent volume of trading, and less established
financial market operations, which may result in a lack of liquidity, greater price volatility, higher brokerage and other transaction
costs and delay in settlements or otherwise less developed settlement systems, and/or a higher risk of failed trades or other trading
174 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
issues; (iii) national policies (including sanctions programs
or tariffs) which may restrict the Fund’s investment opportunities, including restrictions on investment in issuers or
industries deemed sensitive to national interests, and trade barriers; (iv) foreign taxation; (v) the absence of developed legal
systems, including structures governing private or foreign investment or allowing for judicial redress (such as limits on rights and
remedies available to the Fund or impediments to bringing litigation or enforcing judgments) for investment losses and injury to
private property, or otherwise less developed legal systems; (vi) expropriation and nationalization of private properties; (vii)
lower levels of government regulation, which could lead to market manipulation or disruption, and less extensive and transparent
accounting, auditing, recordkeeping, financial reporting and other requirements and standards, which limit the quality, reliability
and availability of financial information and limited information about issuers and securities as well as increased difficulty in
valuation of securities in emerging markets; (viii) high rates of inflation for prolonged periods and rapid interest rate changes;
(ix) dependence on a few key trading partners and heightened sensitivity to adverse political (including geopolitical) or social
events and conditions affecting the global economy and the region where an emerging market is located compared to developed market
securities, which can change suddenly and significantly, and periods of economic, social or political instability; and (x)
particular sensitivity to global economic conditions, including adverse effects stemming from recessions, depressions, or other
economic crises, or armed conflicts and other hostilities, or reliance on international or other forms of aid, including trade,
taxation and development policies. Furthermore, foreign investors may be required to register the proceeds of sales and future
economic or political crises could lead to price controls, forced mergers, expropriation or confiscatory taxation, seizure,
nationalization or creation of government monopolies. The currencies of emerging market countries may experience significant
declines against the U.S. dollar, and devaluation may occur subsequent to investments in these currencies by the Fund. Inflation and
rapid fluctuations in inflation rates have had, and may continue to have, negative effects on the economies and securities markets
of certain emerging market countries. To the extent that the economy of an emerging market is particularly dependent on one or a few
commodities or industries, any adverse events affecting those particular commodities or industries will likely negatively impact the
profitability of issuers economically tied to that emerging market. In addition, government actions with respect to financial
markets and economies in emerging markets or assets and foreign ownership of emerging market companies could adversely affect
trading conditions for, and the values of, emerging market securities or otherwise negatively impact investments in such securities.
Sovereign debt of emerging countries may be in default or present a greater risk of default, the risk of which is heightened in
market environments where interest rates are changing, notably when rates are rising. These risks are heightened for investments in
frontier markets.
GPIM has broad discretion to identify countries that it considers
to qualify as “emerging markets.” In determining whether a country is an emerging market, GPIM may take into account specific
or general factors that GPIM deems to be relevant, including interest rates, inflation rates, exchange rates, monetary and fiscal policies,
trade and current account balances and/or legal, social and political developments, as well as whether the country is considered to be
emerging or developing
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 175
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
by supranational organizations such as the World Bank, the United
Nations or other similar entities. Emerging market countries generally will include countries with low gross national product per capita
and the potential for rapid economic growth and are likely to be located in Africa, Asia, the Middle East, Eastern and Central Europe
and Central and South America. In addition, the impact of the economic and public health situation in emerging market countries may be
greater due to their generally less established healthcare systems and capabilities with respect to fiscal and monetary policies, which
may exacerbate other pre-existing political, social and economic risks.
Foreign Currency Risk
The value of securities denominated or quoted in foreign currencies
may be adversely affected by fluctuations in the relative currency exchange rates and by exchange control regulations. The Fund’s
investment performance may be negatively affected by a devaluation of a currency in which the Fund’s investments are denominated
or quoted. Further, the Fund’s investment performance may be significantly affected, either positively or negatively, by currency
exchange rates because the U.S. dollar value of securities denominated or quoted in another currency will increase or decrease in response
to changes in the value of such currency in relation to the U.S. dollar. Finally, the Fund’s distributions are paid in U.S. dollars,
and to the extent the Fund’s assets are denominated in currencies other than the U.S. dollar, there is a risk that the value of
any distribution from such assets may decrease if the currency in which such assets or distributions are denominated falls in relation
to the value of the U.S. dollar. The Fund may seek to hedge its exposures to foreign currencies but may, at the discretion of GPIM, at
any time limit or eliminate foreign currency hedging activity. To the extent the Fund does not hedge (or is unsuccessful in seeking to
hedge) its foreign currency risk, the value of the Fund’s assets and income could be adversely affected by currency exchange rate
movements.
Sovereign Debt Risk
Investments in sovereign debt securities, such as foreign government
debt or foreign treasury bills, involve special risks in addition to those associated with foreign investment, including the availability
of sufficient foreign exchange on the date a payment is due, the relative size of the debt service burden to the economy as a whole, the
government debtor’s policy towards the International Monetary Fund or international lenders, the political constraints to which
the debtor may be subject and other political, social and other local, regional and global considerations. Periods of economic and political
uncertainty may result in the illiquidity and increased price volatility of sovereign debt securities held by the Fund. The governmental
authority that controls the repayment of sovereign debt may be unwilling or unable to repay the principal and/or interest when due in
accordance with the terms of such securities due to the extent of its foreign reserves. If an issuer of sovereign debt defaults on payments
of principal and/or interest, the Fund may have limited or no legal recourse against the issuer and/or guarantor. In certain cases, remedies
must be pursued in the courts of the defaulting party itself. For example, there may be no bankruptcy or similar proceedings through which
all or part of the sovereign debt that a governmental entity has not repaid may be collected. There can be no assurance that the holders
of commercial bank loans to the same sovereign entity
176 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
may not contest payments to the holders of sovereign debt in the
event of default under commercial bank loan agreements.
Certain issuers of sovereign debt may be dependent on disbursements
from foreign governments, multilateral agencies and others abroad to reduce principal and interest arrearages on their debt. Such disbursements
may be conditioned upon a debtor’s implementation of economic reforms and/ or economic performance and the timely service of such
debtor’s obligations. A failure on the part of the debtor to implement such reforms, achieve such levels of economic performance
or repay principal or interest when due may result in the cancellation of such third parties’ commitments to lend funds to the debtor,
which may impair the debtor’s ability to service its debts on a timely basis. Foreign investment in certain sovereign debt is restricted
or controlled to varying degrees, including requiring governmental approval for the repatriation of income, capital or proceeds of sales
by foreign investors. These restrictions or controls may at times limit or preclude foreign investment in certain sovereign debt and increase
the costs and expenses of the Fund.
As a holder of sovereign debt, the Fund may be requested to participate
in the restructuring of such sovereign indebtedness, including the rescheduling of payments and the extension of further loans to debtors,
which may adversely affect the Fund. There can be no assurance that such restructuring will result in the repayment of all or part of the
debt. Sovereign debt risk is greater for issuers in emerging markets than issuers in developed countries and certain emerging market countries
have at times declared moratoria on the payment of principal and interest on external debt. Certain emerging market countries have at
times experienced difficulty in servicing their sovereign debt on a timely basis, which has led to defaults and the restructuring of certain
indebtedness.
The Fund may also invest in securities or other obligations issued
or backed by supranational organizations, which are international organizations that are designated or supported by government entities
or banking institutions typically to promote economic reconstruction or development. These obligations are subject to the risk that the
government(s) on whose support the organization depends may be unable or unwilling to provide the necessary support. With respect to both
sovereign and supranational obligations, the Fund may have little recourse against the foreign government or supranational organization
that issues or backs the obligation in the event of default. These obligations may be denominated in foreign currencies and the prices
of these obligations may be more volatile than corporate debt obligations.
Common Equity Securities Risk
The Fund may invest up to 50% of its total assets in Common Equity
Securities. An adverse event, such as an unfavorable earnings report or other corporate development, may depress the value of a particular
common stock held by the Fund. Also, the prices of equity securities are sensitive to general movements in the stock market, so a drop
in the stock market may depress the prices of equity securities to which the Fund has exposure. Common Equity Securities’ prices
fluctuate for a number of reasons, including changes in investors’ perceptions of the financial condition of an issuer, the general
condition of the relevant stock market and the economy overall, and broader domestic and international political and economic events.
The prices of Common Equity Securities
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 177
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
may also decline due to factors which affect a particular industry
or industries, such as labor shortages or increased production and other costs and competitive conditions within an industry. The value
of a particular common stock held by the Fund may decline for a number of other reasons which directly relate to the issuer, such as management
performance, financial leverage, the issuer’s historical and prospective earnings, the value of its assets and reduced demand for
its goods and services. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital
rises and borrowing costs increase. At times, stock markets can be volatile and stock prices can change substantially and suddenly. While
broad market measures of Common Equity Securities have historically generated higher average returns than most Income Securities, Common
Equity Securities have also experienced significantly more volatility in those returns. Common Equity Securities in which the Fund may
invest are structurally subordinated to preferred stock, bonds and other debt instruments in a company’s capital structure in terms
of priority to corporate income and are therefore inherently riskier than preferred stock or debt instruments of such issuers. Dividends
on Common Equity Securities which the Fund may hold are not fixed but are declared at the discretion of the issuer’s board of directors.
There is no guarantee that the issuers of the Common Equity Securities in which the Fund invests will declare dividends in the future
or that, if declared, they will remain at current levels or increase over time. Equity securities have experienced heightened volatility
over certain periods and, therefore, the Fund’s investments in equity securities are subject to heightened risks related to volatility
and would likely also be subject to such risks in adverse market, economic, geopolitical and public health conditions in the future.
Risks Associated with the Fund’s Covered Call Option Strategy
and Put Options
The ability of the Fund to achieve its investment objective is
partially dependent on the successful implementation of its covered call option strategy. There are significant differences between the
securities and options markets that could result in an imperfect correlation between these markets, causing a given transaction not to
achieve its objectives. A decision as to whether, when and how to use options involves the exercise of skills and judgment, and even a
well-conceived transaction may be unsuccessful to some degree because of market behavior or unexpected events.
The Fund may write call options on individual securities, securities
indices, ETFs and baskets of securities. The buyer of an option acquires the right, but not the obligation, to buy (a call option) or
sell (a put option) a certain quantity of a security (the underlying security) or instrument, including a futures contract or swap, at
a certain price up to a specified point in time or on expiration, depending on the terms. The seller or writer of an option is obligated
to sell (a call option) or buy (a put option) the underlying instrument upon exercise of the option. A call option is “covered”
if the Fund owns the security or instrument underlying the call or has an absolute right to acquire the security or instrument without
additional cash consideration (or, if additional cash consideration is required, cash or assets determined to be liquid by GPIM in such
amount are designated or earmarked on the Fund’s books and records). A call option is also covered if the Fund holds a call on the
same security as the call written where the exercise price of the call held is (i) equal to or less than the exercise price of the call
written, or (ii) greater than the exercise price of the call written, provided the difference is maintained by the Fund in designated assets
determined to be liquid by
178 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
GPIM as described above. As a seller of covered call options, the
Fund faces the risk that it will forgo the opportunity to profit from increases in the market value of the security or instrument covering
the call option during an option’s life. As the Fund writes covered calls over more of its portfolio, its ability to benefit from
capital appreciation becomes more limited. For certain types of options, the writer of the option will have no control over the time when
it may be required to fulfill its obligation under the option.
If an option written by the Fund expires unexercised, the Fund
realizes on the expiration date a capital gain equal to the premium received by the Fund at the time the option was written. If an option
purchased by the Fund expires unexercised, the Fund realizes a capital loss equal to the premium paid.
As the Fund writes covered calls over more of its portfolio, its
ability to benefit from capital appreciation becomes more limited.
As part of its strategy, the Fund may not sell “naked”
call options on individual securities (i.e., options representing more shares of the stock than are held in the portfolio).
There can be no assurance that a liquid market will exist if and
when the Fund seeks to close out an option position. Once an option writer has received an exercise notice, it cannot effect a closing
purchase transaction in order to terminate its obligation under the option and must deliver the underlying security or instrument at the
exercise price.
The Fund may purchase and write exchange-listed and OTC options.
Options written by the Fund with respect to non-U.S. securities, indices or sectors and other instruments generally will be OTC options.
OTC options differ from exchange-listed options in several respects. They are transacted directly with the dealers and not with a clearing
corporation, and therefore entail the risk of nonperformance by the dealer. OTC options are available for a greater variety of securities
and for a wider range of expiration dates and exercise prices than are available for exchange-traded options. Because OTC options are
not traded on an exchange, pricing is done normally by reference to information from a market maker. OTC options are subject to heightened
counterparty, credit, liquidity and valuation risks. The Fund’s ability to terminate OTC options is more limited than with exchange-traded
options and may involve the risk that broker-dealers participating in such transactions will not fulfill their obligations. The hours
of trading for options may not conform to the hours during which the underlying securities are traded. The Fund’s options transactions
will be subject to limitations established by each of the exchanges, boards of trade or other trading facilities on which such options
are traded.
The Fund may also purchase put options and write covered put options.
As a seller of put options, the Fund bears the risk of loss if the value of the underlying security or instrument declines below the exercise
price minus the put premium. If the option is exercised, the Fund could incur a loss if it is required to purchase the security or instrument
underlying the put option at a price greater than the market price of the security or instrument at the time of exercise plus the put
premium the Fund received when it wrote the option. The Fund’s potential gain in writing a put option is limited to distributions
earned on the liquid assets securing the put option plus the premium received from the
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 179
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
purchaser of the put option; however, the Fund risks a loss equal
to the entire exercise price of the option minus the put premium.
Risks of Real Property Asset Companies
The Fund may invest in Income Securities and Common Equity Securities
issued by Real Property Asset Companies.
Real
Estate Risks. Because
of the Fund’s ability to make indirect investments in real estate and in the securities of companies in the real estate industry,
it is subject to risks associated with the direct ownership of real estate and the real estate market generally, such as the possible
decline in the value of (or income generated by) the real estate, variations in rental income, fluctuations in occupancy levels and demand
for properties or real estate-related services, and changes in the availability or terms of mortgages and other financing that may render
the sale or refinancing of properties difficult or unattractive. Real estate values or income generated by real estate may be affected by
many additional factors and risks, including, but not limited to: losses from casualty or condemnation; changes in national, state and
local economic conditions and real estate market conditions (such as an oversupply of real estate for rent or sale or vacancies, potentially
for extended periods); changes in real estate values and rental income, rising interest rates (which could result in higher costs of capital);
changes in building, environmental, zoning and other regulations and related costs; possible environmental liabilities; regulatory limitations
on rents; increased property taxes and operating expenses; the attractiveness, type and location of the property; reduced demand for commercial
and office space as well as increased maintenance or tenant improvement costs or other costs to convert properties for other uses; default
risk and credit quality of tenants and borrowers, the financial condition of tenants, buyers and sellers, and the inability to re-lease
space on attractive terms or to obtain mortgage financing on a timely basis at all; overbuilding and intense competition, including for
real estate and related services and technology; construction delays and the supply of real estate generally; extended vacancies of properties
due to economic conditions and tenant bankruptcies; and catastrophic events (such as public health emergencies, earthquakes, hurricanes
and terrorist acts) and other public crises and relief responses thereto. Investments in real estate companies and companies related to
the real estate industry are also subject to risks associated with the management skill, insurance coverage and credit worthiness of the
issuer. Real estate companies tend to have micro-, small- or mid-capitalization, making their securities more volatile and less liquid
than those of companies with larger-capitalizations, and may be subject to heightened cash flow sensitivity. In addition, the real estate
industry has historically been cyclical and particularly sensitive to economic downturns and other events that limit demand for real estate,
which would adversely impact the value of real estate investments.
Real estate income and values and the real estate market also may
be greatly affected by demographic trends, such as population shifts or changing tastes, preferences (such as remote work arrangements)
and values, or increasing vacancies or declining rents or property values resulting from legal, cultural, technological, global or local
economic developments, as well as reduced demand for properties. If the Fund’s real estate-related investments are concentrated
in one geographic area or in one property type, the Fund will be particularly subject to the risks associated with that area or property
type or
180 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
related real estate conditions. Similarly, real estate industry
companies whose underlying properties are concentrated in a particular industry or geographic region are also particularly subject to
risks affecting such industries and regions or related real estate conditions.
The value or price of real estate company securities may drop because
of, among other adverse events, defaults by tenants and the failure of borrowers to repay their loans and the inability to obtain financing
either on favorable terms or at all. Changing interest rates and credit quality requirements will also affect real estate companies, including
their cash flow and their ability to meet capital needs. If real estate properties do not generate sufficient income to meet operating expenses,
including, where applicable, debt service, ground lease payments, tenant improvements, third-party leasing commissions and other capital
expenditures, the income and ability (or perceived ability) of a real estate company to make payments of interest and principal on their
loans will be adversely affected, which, as a result, may adversely affect the Fund. Many real estate companies, and companies operating
in the real estate industry, utilize leverage, which increases investment risk and could adversely affect a company’s operations
and market value in periods of rising interest rates.
Natural Resources and Commodities Risks
Because of the Fund’s ability to make indirect investments
in natural resources and physical commodities, and in Real Property Asset Companies engaged in oil and gas exploration and production,
gold and other precious metals, steel and iron ore production, energy services, forest products, chemicals, coal, alternative energy sources
and environmental services, as well as related transportation companies and equipment manufacturers, the Fund is subject to special risks
associated with such investments, which include (among others):
A decrease in the production of a physical commodity or a decrease
in the volume of such commodity available for transportation, mining, processing, storage or distribution may adversely impact the financial
performance of an energy, natural resources, basic materials or an associated company that devotes a portion of its business to that commodity.
Production declines and volume decreases could be caused by various factors, including catastrophic events affecting production, depletion
of resources, labor difficulties, environmental proceedings, increased regulations, equipment failures and unexpected maintenance problems,
import supply disruption, governmental expropriation, political upheaval or conflicts, supply chain disruptions or increased competition
from alternative energy sources or commodity prices. Alternatively, a sustained decline in demand for such commodities could also adversely
affect the financial performance of energy, natural resources, basic materials or associated companies. Factors that could lead to a decline
in demand include economic recession or other adverse economic conditions, higher taxes on commodities or increased governmental regulations,
increases in fuel economy, consumer shifts to the use of alternative commodities or fuel sources, changes in commodity prices, or weather.
Depletion and Exploration Risk
Many energy, natural resources, basic materials and associated
companies are engaged in the production of one or more physical commodities or are engaged in transporting, storing,
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 181
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
distributing and processing these items on behalf of shippers.
To maintain or grow their revenues, these companies or their customers need to maintain or expand their reserves through exploration of
new sources of supply, through the development of existing sources, through acquisitions or through long-term contracts to acquire reserves.
The financial performance of energy, natural resources, basic materials and associated companies may be adversely affected if they, or
the companies to whom they provide the service, are unable to cost-effectively acquire additional reserves sufficient to replace the natural
decline.
Operational and Geological Risk
Energy, natural resources, basic materials companies and associated
companies are subject to specific operational and geological risks in addition to normal business and management risks. Some examples
of operational risks include mine rock falls, underground explosions and pit wall failures. Geological risk would include faulting of
the ore body and misinterpretation of geotechnical data.
Regulatory Risk
Energy, natural resources, basic materials and associated companies
are subject to significant federal, state and local government regulation in virtually every aspect of their operations, including how
facilities are constructed, maintained and operated, environmental and safety controls, and the prices they may charge for the products
and services they provide. Various governmental authorities have the power to enforce compliance with these regulations and the permits
issued under them, and violators are subject to administrative, civil and criminal penalties, including civil fines, injunctions or both.
Stricter laws, regulations or enforcement policies could be enacted in the future which would likely increase compliance costs and may
adversely affect the operations and financial performance of energy, natural resources and basic materials companies.
Commodity Pricing Risk
The operations and financial performance of energy, natural resources
and basic materials companies may be directly affected by commodity prices, especially those energy, natural resources, basic materials
and associated companies that own the underlying commodity. Commodity prices fluctuate for several reasons, including changes in market
and economic conditions, the impact of weather on demand, levels of domestic production and imported commodities, energy conservation,
domestic and foreign governmental regulation and taxation, the availability of local, intrastate and interstate transportation systems,
governmental expropriation and political upheaval and conflicts. Volatility of commodity prices, which may lead to a reduction in production
or supply, may also negatively impact the performance of energy, natural resources, basic materials and associated companies that are
solely involved in the transportation, processing, storing, distribution or marketing of commodities. Volatility of commodity prices may
also make it more difficult for energy, natural resources, basic materials and associated companies to raise capital to the extent the market
perceives that their performance may be directly or indirectly tied to commodity prices.
Precious Metals Pricing Risk
The Fund may invest in companies that have a material exposure
to precious metals, such as gold, silver and platinum and precious metals related instruments and securities. The price of precious metals
can fluctuate widely and is affected by numerous factors, including: global or regional
182 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
political, economic or financial events and situations; investors’
expectations with respect to the future rates of inflation and movements in world equity, financial and property markets; global supply
and demand for specific precious metals, which is influenced by such factors as mine production and net forward selling activities by
precious metals producers, central bank purchases and sales, jewelry demand and the supply of recycled jewelry, net investment demand
and industrial demand, net of recycling; interest rates and currency exchange rates, particularly the strength of and confidence in the
U.S. dollar; and investment and trading activities of hedge funds, commodity funds and other speculators. The Fund does not intend to
hold physical precious metals.
Risks of Personal Property Asset Companies
The Fund may invest in Income Securities and Common Equity Securities
issued by Personal Property Asset Companies. Personal (as opposed to real) property includes any tangible, movable property or asset.
The Fund seeks to invest in Income Securities and Common Equity Securities of Personal Property Asset Companies that are associated with
personal property assets with investment performance that is not highly correlated with traditional market indexes, such as special situation
transportation assets (e.g., railcars, airplanes and ships) and collectibles (e.g., antiques, wine and fine art).
Special Situation Transportation Assets Risks
The risks of special situation transportation assets include (among
others):
Cyclicality
of Supply and Demand for Transportation Assets Risk. The
transportation asset leasing and sales industry has periodically experienced cycles of oversupply and undersupply of railcars, aircraft
and ships. The oversupply of a specific type of transportation asset in the market is likely to depress the values of that type of transportation
asset. The supply and demand of transportation assets is affected by various cyclical factors, including: (i) passenger and cargo demand;
(ii) commercial demand for certain types of transportation assets, (iii) fuel costs and general economic conditions affecting lessees’
operations; (iv) government regulation, including operating restrictions; (v) interest rates; (vi) the availability of credit; (vii) manufacturer
production level; (viii) retirement and obsolescence of certain classes of transportation assets; (ix) re-introduction into service of
transportation assets previously in storage; and (x) traffic control infrastructure constraints.
Risk
of Decline in Value of Transportation Assets and Rental Values. In
addition to factors linked to the railway, aviation and shipping industries, other factors that may affect the value of transportation
assets, and thus of the Personal Property Asset Companies in which the Fund invests, include (among others): (i) manufacturers merging
or exiting the industry or ceasing to produce specific types of transportation asset; (ii) the particular maintenance and operating history
of the transportation assets; (iii) the number of operators using that type of transportation asset; (iv) whether the railcar, aircraft
or ship is subject to a lease; (v) any regulatory and legal requirements that must be satisfied before the transportation asset can be
operated, sold or re-leased, (vi) compatibility of parts and layout of the transportation asset among operators of particular asset; and
(vii) any renegotiation of a lease on less favorable terms.
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 183
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Technological
Risks. The
availability for sale or lease of new, technologically advanced transportation assets and the imposition of stringent noise, emissions
or environmental regulations may make certain types of transportation assets less desirable in the marketplace and therefore may adversely
affect the owners’ ability to lease or sell such transportation assets. Consequently, the owner will have to lease or sell many of
the transportation assets close to the end of their useful economic life. The owners’ ability to manage these technological risks
by modifying or selling transportation assets will likely be limited.
Risks
Relating to Leases of Transportation Assets. Owner/lessors
of transportation assets will typically require lessees of assets to maintain customary and appropriate insurance. There can be no assurance
that the lessees’ insurance will cover all types of claims that may be asserted against the owner, which could adversely affect the
value of the Fund’s investment in the Personal Property Asset Company owning such transportation asset. Personal Property Asset
Companies are subject to credit risk of the lessees’ ability to the provisions of the lease of the transportation asset and supply
chain disruptions. The Personal Property Asset Company needs to release or sell transportation assets as the current leases expire in
order to continue to generate revenues. The ability to re-lease or sell transportation assets depends on general market and competitive
conditions. Some of the competitors of the Personal Property Asset Company may have greater access to financial resources and may have
greater operational flexibility. If the Personal Property Asset Company is not able to re-lease a transportation asset, it may need to
attempt to sell the aircraft to provide funds for its investors, including the Fund.
Collectible Assets Risks
The risks of collectible assets include (among others):
Valuation of Collectible Assets Risk. The market for collectible
assets as a financial investment is developing. Collectible assets are typically bought and sold through auction houses, and estimates
of prices of collectible assets at auction are imprecise. Accordingly, collectible assets are difficult to value.
Liquidity
of Collectible Assets Risk. There
are relatively few auction houses in comparison to brokers and dealers of traditional financial assets. The ability to sell collectible
assets is dependent on the demand for particular classes of collectible assets, which demand has been volatile and erratic in the past.
There is no assurance that collectible assets can be sold within a particular timeframe or at the price at which such collectible assets
are valued, which may impair the ability of the Fund to realize full value of Personal Property Asset Companies in the event of the need
to liquidate such assets.
Authenticity
of Collectible Assets Risk. The
value of collectible assets often depends on its rarity or scarcity, or of its attribution as the product of a particular artisan. Collectible
Assets are subject to forgery and to the inabilities to assess the authenticity of the collectible asset, which may significantly impair
the value of the collectible asset.
High
Transaction and Related Costs Risk. Collectible
assets are typically bought and sold through auction houses, which typically charge commissions to the purchaser and to the seller which
may
184 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
exceed 20% of the sale price of the collectible asset. In addition,
holding collectible assets entails storage and insurance costs, which may be substantial.
Private Securities Risk
The Fund may invest directly or indirectly in privately issued
securities (Income Securities and Common Equity Securities) of both public and private companies. Private Securities have additional risk
considerations relative to investments in comparable public investments. Whenever the Fund invests in companies that do not publicly report
financial and other material information, it assumes a greater degree of investment risk and reliance upon GPIM’s ability to obtain
and evaluate applicable information concerning such companies’ creditworthiness and other investment considerations, which information
cannot be independently verified. The Fund also depends on the expertise, skill and network of business contacts of GPIM to evaluate,
negotiate, structure, execute and monitor the Private Securities. Private Securities are often illiquid. Because there is often no readily
available trading market for Private Securities, the Fund will not be able to readily dispose of such investments at prices that approximate
those at which the Fund could sell them if they were more widely traded. Subscriptions to purchase Private Securities are typically subject
to restrictions or delays. Private Securities are also more difficult to value. Valuation will require more research, and elements of judgment
will play a greater role in the valuation of Private Securities as compared to public securities because there is less reliable objective
data available.
In addition to the risks discussed above, investments in Common
Equity Securities of private issuers (often called private equity investments) are subject to certain risks (whether made directly or
through Investment Funds), including:
• | | Limited Operating History. Private equity investments may have limited operating histories,
and the information GPIM will obtain about such investments may be limited and, in many cases, cannot be independently verified. As such,
GPIM’s ability to evaluate past performance of a private equity investment or to validate its investment strategies will be limited.
Moreover, even to the extent a private equity investment has a longer operating history, its past performance should not be construed
as an indication of the future results of the private equity investment or the Fund, particularly as the investment professionals responsible
for the performance of the private equity investment may change over time. |
• | | Concentration and Non-Diversification Risk. Investment Funds that have exposure to private
equity investments, such as private equity funds in which the Fund can invest, may at certain times hold large positions in a relatively
limited number of investments. In addition, private equity funds may target or concentrate their investments in particular markets, sectors
or industries. Those funds that concentrate in a specific industry or target a specific sector will also be subject to the risks of that
industry or sector, which may include, but are not limited to, rapid obsolescence of technology, sensitivity to regulatory changes, minimal
barriers to entry and sensitivity to overall market swings. Some of these Investment Funds may hold a single asset and thus are subject
to even higher risks. As a result, the net asset values of such funds may be subject to greater volatility than those of investment companies
that |
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 185
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
are subject to diversification requirements, which may negatively
impact the value of the Common Shares.
• | | Liquidity Risk. The securities held by private equity funds are often illiquid, and subscriptions
to purchase these securities are typically subject to restrictions or delays. There is no regular market for interests in many private
equity funds or portfolio companies, which typically must be sold in privately negotiated transactions subject to high conflicts, valuation
and liquidity risks. Any such sales would likely require the consent of the manager of the applicable private equity fund or the board
of the portfolio company and could occur at a material discount to the stated net asset value. If GPIM determines to cause the Fund to
sell its interest in a private equity investment, the Fund may be unable to sell such interest quickly, if at all, and could therefore
be obligated to continue to hold such interest for an extended period of time, or to accept a materially lower price. |
• | | Valuation Risk. A large percentage of private equity investments will not have a readily
determinable market value and may be reported at an estimate of fair value determined by private equity fund managers or the co-investment
sponsor that are subject to conflicts (when held through an Investment Fund). In this regard, a private equity fund manager or a co-investment
sponsor may face a conflict of interest in valuing the securities, as their value may affect the compensation of the manager or sponsor
or the manager’s or sponsor’s ability to raise additional funds in the future. As a result, valuations of the securities
may be subjective and could subsequently prove to have been inaccurate, potentially by significant amounts. |
Private Securities that are debt securities generally are of below-investment
grade quality, frequently are unrated and present many of the same risks as investing in below-investment grade public debt securities.
Investing in private debt instruments is a highly specialized investment practice that depends more heavily on independent credit analysis
than investments in other types of obligations.
Risks Associated with Private Company Investments
Private companies are generally not subject to SEC reporting requirements,
are not required to maintain their accounting records in accordance with generally accepted accounting principles and are not required
to maintain effective internal controls over financial reporting. As a result, GPIM may not have timely or accurate information about the
business, financial condition and results of operations of the private companies in which the Fund invests. There is risk that the Fund
will invest on the basis of incomplete or inaccurate information, which will adversely affect the Fund’s investment performance.
Some private companies in which the Fund may invest may have limited financial resources, shorter operating histories, more asset concentration
risk, narrower product lines and smaller market shares than larger businesses, which tend to render such private companies more vulnerable
to competitors’ actions and market conditions, as well as general economic downturns. In addition, the management of private companies
may depend on one or two key individuals, and the loss of the services of any such individual may adversely affect the performance of the
private company.
186 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
These companies generally have less predictable operating results,
may from time to time be parties to litigation, may be engaged in rapidly changing businesses with products subject to a substantial risk
of obsolescence, and may require substantial additional capital to support their operations, finance expansion or maintain their competitive
position. These companies may have difficulty accessing the capital markets to meet future capital needs, which may limit their ability
to grow or to repay their outstanding indebtedness upon maturity. In addition, the Fund’s investment also may be structured as pay-in-kind
securities with minimal or no cash interest or dividends until the company meets certain growth and liquidity objectives.
Typically, investments in private companies are in restricted securities
that are not traded in public markets and subject to substantial holding periods, so that the Fund may not be able to resell some of its
holdings for extended periods, which may be several years. There can be no assurance that the Fund will be able to realize the value of
private company investments in a timely manner, and these investments are subject to heightened valuation risks.
Late-Stage Private Companies Risk
Investments in late-stage private companies involve greater risks
than investments in shares of companies that have traded publicly on an exchange for extended periods of time. These investments may present
significant opportunities for capital appreciation but involve a high degree of risk that may result in significant decreases in the value
of these investments. The Fund may not be able to sell such investments when GPIM deems it appropriate to do so because they are not publicly
traded. As such, these investments are generally considered to be illiquid until a company’s public offering (which may never occur)
and are often subject to additional contractual restrictions on resale following any public offering that may prevent the Fund from selling
its shares of these companies for a period of time. Market conditions, developments within a company, investor perception or regulatory
decisions or other factors may adversely affect a late-stage private company and delay or prevent such a company from ultimately offering
its securities to the public. If a company issues shares in an IPO, IPOs are risky and volatile and may cause the value of the Fund’s
investment to decrease significantly.
Investment Funds Risk
As an alternative to holding investments directly, the Fund may
also obtain investment exposure to Income Securities and Common Equity Securities by investing up to 30% of its total assets in Investment
Funds. These investments include open-end funds, closed-end funds, exchange-traded funds and business development companies as well as
other pooled investment vehicles. Investment Funds may include those advised by the Adviser, GPIM and/or their affiliates. Investments in
Investment Funds present certain special considerations and risks not present in making direct investments in Income Securities and Common
Equity Securities, and in addition to these risks, investments in Investment Funds subject the Fund to the risks affecting such Investment
Funds and involve operating expenses and fees that are in addition to the expenses and fees borne by the Fund. Such expenses and fees
attributable to the Fund’s investment in another Investment Fund are borne indirectly by Common Shareholders. Accordingly, investment
in such entities involves expenses and fees at both levels. Fees and expenses borne by other Investment Funds in which
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 187
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
the Fund invests may be similar to the fees and expenses borne
by the Fund and can include asset-based management fees and administrative fees payable to such entities’ advisers and managers
as well as other expenses borne by such entities, thus resulting in fees and expenses at both levels. To the extent management fees of
Investment Funds are based on total gross assets, it may create an incentive for such entities’ managers to employ Financial Leverage,
thereby adding additional expense and increasing volatility and risk (including the Fund’s overall exposure to leverage risk). Fees
payable to advisers and managers of Investment Funds may include performance-based incentive fees calculated as a percentage of profits.
Such incentive fees directly reduce the return that otherwise would have been earned by investors over the applicable period. A performance-based
fee arrangement may create incentives for an adviser or manager to take greater investment risks in the hope of earning a higher profit
participation.
Investments in Investment Funds frequently expose the Fund to an
additional layer of Financial Leverage and, thus, increase the Fund’s exposure to leverage risk and costs. From time to time, the
Fund may invest a significant portion of its assets in Investment Funds that employ leverage. The use of leverage by Investment Funds
may cause the Investments Funds’ market price of common shares and/or NAV to be more volatile and can magnify the effect of any losses.
From time to time, the Fund may invest a significant portion of its assets in Investment Funds that employ leverage.
Investments in Investment Funds expose the Fund to additional management
risk. The success of the Fund’s investments in Investment Funds will depend in large part on the investment skills and implementation
abilities of the advisers or managers of such entities. Decisions made by the advisers or managers of such entities may cause the Fund
to incur losses or to miss profit opportunities. While GPIM will seek to evaluate managers of Investment Funds and where possible independently
evaluate the underlying assets, a substantial degree of reliance on such entities’ managers is nevertheless present with such investments.
The Fund may invest in Investment Funds in excess of statutory
limits imposed by the 1940 Act in reliance on Rule 12d1-4 under the 1940 Act. These investments would be subject to the applicable conditions
of Rule 12d1-4, which in part could affect or otherwise impose certain limits on the investments and operations of the underlying Investment
Fund (notably such fund’s ability to invest in other investment companies and private funds, which include certain structured finance
vehicles). It is uncertain what effect the conditions of Rule 12d1-4 will have on the Fund’s investment strategies and operations
or those of the Investment Funds in which the Fund may invest.
If the Fund invests in Investment Funds, the Fund’s realized
losses on sales of shares of an underlying Investment Fund may be indefinitely or permanently deferred as “wash sales.” Distributions
of short-term capital gains by an underlying Investment Fund will be recognized as ordinary income by the Fund and would not be offset
by the Fund’s capital loss carryforwards, if any. Capital loss carryforwards of an underlying Investment Fund, if any, would not
offset net capital gain of the Fund or of another underlying Investment Fund. When the Fund invests in private investment funds, such investments
pose additional risks to the Fund, in addition to those risks described above with respect to all Investment Funds. Certain private investment
funds involve capital call provisions under which an investor is obligated to make additional investments at specified levels even if
it
188 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
would otherwise choose not to. Investments in private investment
funds may have very limited liquidity. Often there will be no secondary market for such investments and the ability to redeem or otherwise
withdraw from a private investment fund may be prohibited during the term of the private investment fund or, if permitted, may be infrequent.
Certain private investment funds are subject to “lock-up” periods of a year or more. The valuation of investments in private
investment funds are often subject to high conflicts and valuation risks. Investors in private investment funds are also often exposed
to increased leverage risk.
Synthetic Investments Risk
As an alternative to holding investments directly, the Fund may
also obtain investment exposure to Income Securities and Common Equity Securities through the use of customized derivative instruments
(including swaps, options, forwards, futures (including, but not limited to, futures on rates such as SOFR, securities, indices, currencies
and other investments) or other financial instruments) to seek to replicate, modify or replace the economic attributes associated with
an investment in Income Securities and Common Equity Securities (including interests in Investment Funds).
The Fund may be exposed to certain additional risks to the extent
GPIM uses derivatives as a means to synthetically implement the Fund’s investment strategies. If the Fund enters into a derivative
instrument whereby it agrees to receive the return of a security or financial instrument or a basket of securities or financial instruments,
it will typically contract to receive such returns for a predetermined period of time. During such period, the Fund may not have the ability
to increase or decrease its exposure. In addition, such customized derivative instruments will likely be highly illiquid, and it is possible
that the Fund will not be able to terminate such derivative instruments prior to their expiration date or that the penalties associated
with such a termination might impact the Fund’s performance in a material adverse manner. Furthermore, certain derivative instruments
contain provisions giving the counterparty the right to terminate the contract upon the occurrence of certain events. Such events may
include a decline in the value of the reference securities and material violations of the terms of the contract or the portfolio guidelines
as well as other events determined by the counterparty. If a termination were to occur, the Fund’s return could be adversely affected
as it would lose the benefit of the indirect exposure to the reference securities and it may incur significant termination expenses.
In the event the Fund seeks to obtain investment exposure to Investment
Funds (including private investment funds) through the use of such synthetic derivative instruments, the Fund will not acquire any voting
interests or other shareholder rights that would be acquired with a direct investment in the underlying Investment Fund. Accordingly,
the Fund will not participate in matters submitted to a vote of the shareholders. In addition, the Fund may not receive all of the information
and reports to shareholders that the Fund would receive with a direct investment in such Investment Fund.
Further, the Fund will pay the counterparty to any such customized
derivative instrument structuring fees and ongoing transaction fees, which will reduce the investment performance of the Fund.
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 189
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Finally, certain tax aspects of such customized derivative instruments
are uncertain and a Common Shareholder’s return could be adversely affected by an adverse tax ruling.
Inflation/Deflation Risk
Inflation risk is the risk that the intrinsic value of assets or
income from investments will be worth less in the future as inflation decreases the purchasing power and value of money. As inflation
increases, the real value of the Common Shares and distributions can decline. Inflation rates may change frequently and significantly
as a result of various factors, including unexpected shifts in the domestic or global economy and changes in monetary or economic policies
(or expectations that these policies may change), and the Fund’s investments may not keep pace with inflation, which would adversely
affect the Fund. The market price of debt instruments generally falls as inflation increases because the purchasing power of the future
income and repaid principal is expected to be worth less when received by the Fund. The risk of inflation is greater for debt instruments
with longer maturities and especially those that pay a fixed rather than variable interest rate. Inflation has reached historically high
levels in recent periods, and the Federal Reserve has increased interest rates significantly to seek to reduce it. In addition, during
any periods of rising inflation, the dividend rates or borrowing costs associated with the Fund’s use of Financial Leverage would
likely increase, which would tend to further reduce returns to Common Shareholders. Deflation risk is the risk that prices throughout
the economy decline over time-the opposite of inflation. Deflation may have an adverse effect on the creditworthiness of issuers and may
make issuer default more likely, which may result in a decline in the value of the Fund’s portfolio.
Market Discount Risk
The net asset value and market price of the Common Shares will
fluctuate, sometimes independently, based on market and other factors affecting the Fund and its investments. The market price of the Common
Shares will either be above (premium) or below (discount) their net asset value. Although the net asset value of Common Shares is often
considered in determining whether to purchase or sell shares, whether investors will realize gains or losses upon the sale of Common Shares
will depend upon whether the market price of Common Shares at the time of sale is above or below the investor’s purchase price,
taking into account transaction costs for the Common Shares, and is not directly dependent upon the Fund’s net asset value. Market
price movements of Common Shares are thus material to investors and may result in losses, even when net asset value has increased.
The Fund cannot predict whether the Common Shares will trade at
a premium or discount to net asset value and the market price for the Common Shares will change based on a variety of factors. If the
Common Shares are trading at a premium to net asset value at the time you purchase Common Shares, the net asset value per share of the
Common Shares purchased will be less than the purchase price paid. Shares of closed-end investment companies frequently trade at a discount
from their net asset value, but in some cases have traded above net asset value. The risk of the Common Shares trading at a discount is
a risk separate and distinct from the risk of a decline in the Fund’s net asset value as a result of the Fund’s investment
activities.
190 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Because the market price of the Common Shares will be determined
by factors such as net asset value, dividend and distribution levels (which are dependent, in part, on expenses), supply of and demand
for Common Shares, stability of dividends or distributions, trading volume of Common Shares, general market and economic conditions and
other factors beyond the Fund’s control, the Fund cannot predict whether the Common Shares will trade at, below or above net asset
value, or at, below or above the public offering price for the Common Shares.
The Fund’s net asset value would be reduced following an
offering of the Common Shares due to the costs of such offering, to the extent those costs are borne by the Fund. The sale of Common Shares
by the Fund (or the perception that such sales may occur) may have an adverse effect on prices of Common Shares in the secondary market.
An increase in the number of Common Shares available may put downward pressure on the market price for Common Shares. The Fund may, from
time to time, seek the consent of Common Shareholders to permit the issuance and sale by the Fund of Common Shares at a price below the
Fund’s then-current net asset value, subject to certain conditions, and such sales of Common Shares at price below net asset value,
if any, may increase downward pressure on the market price for Common Shares. These sales, if any, also might make it more difficult for
the Fund to sell additional Common Shares in the future at a time and price it deems appropriate.
The Fund is designed for long-term investors and investors in Common
Shares should not view the Fund as a vehicle for trading purposes.
Dilution Risk
The voting power of current Common Shareholders will be diluted
to the extent that current Common Shareholders do not purchase Common Shares in any future offerings of Common Shares or do not purchase
sufficient Common Shares to maintain their percentage interest. If the Fund is unable to invest the proceeds of such offering as intended
or if investments made with these proceeds perform poorly, the Fund’s per Common Share distribution may decrease and the Fund may
not participate in market advances to the same extent as if such proceeds were fully invested as planned. If the Fund sells Common Shares
at a price below net asset value pursuant to the consent of Common Shareholders, shareholders will experience a dilution of the aggregate
net asset value per Common Share because the sale price will be less than the Fund’s then-current net asset value per Common Share.
Similarly, were the expenses of the offering to exceed the amount by which the sale price exceeded the Fund’s then-current net asset
value per Common Share, shareholders would experience a dilution of the aggregate net asset value per Common Share. This dilution will
be experienced by all shareholders, irrespective of whether they purchase Common Shares in any such offering.
Financial Leverage and Leveraged Transactions Risk
Although the use of Financial Leverage and leveraged transactions
by the Fund may create an opportunity for increased after-tax total return for the Common Shares, it also results in additional risks
and can magnify the effect of any losses. If the income and gains earned on securities purchased with Financial Leverage and leveraged
transactions proceeds are greater than the cost
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 191
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
of Financial Leverage and leveraged transactions, the Fund’s
return will be greater than if Financial Leverage and leveraged transactions had not been used. Conversely, if the income or gains from
the securities purchased with such proceeds does not cover the cost of Financial Leverage and leveraged transactions, the return to the
Fund will be less than if Financial Leverage and leveraged transactions had not been used. There can be no assurance that a leveraging
strategy will be implemented or that it will be successful during any period during which it is employed.
Financial Leverage and leveraged transactions are speculative techniques
that expose the Fund to greater risk and increased costs than if they were not implemented. Increases and decreases in the value of the
Fund’s portfolio will be magnified when the Fund uses Financial Leverage and leveraged transactions. As a result, Financial Leverage
and leveraged transactions may cause greater changes in the Fund’s NAV and returns than if Financial Leverage and leveraged transactions
had not been used. The Fund will also have to pay interest on its indebtedness, if any, which may reduce the Fund’s return. This
interest expense may be greater than the Fund’s return on the underlying investment, which would negatively affect the performance
of the Fund.
Financial Leverage and the use of leveraged transactions involve
risks and special considerations for shareholders, including the likelihood of greater volatility of NAV and market price of and dividends
on the Common Shares than a comparable portfolio without leverage; the risk that fluctuations in interest rates on indebtedness or in
the dividend rate on any preferred shares (if any) that the Fund must pay will reduce the return to the Common Shareholders; and the effect of Financial Leverage and leveraged transactions in a declining market, which is likely to cause a greater decline in the NAV of the
Common Shares than if the Fund were not leveraged, which may result in a greater decline in the market price of the Common Shares.
Because the fees received by the Adviser and Sub-Adviser are based
on the Managed Assets (as defined above) of the Fund (including the proceeds of any Financial Leverage), the Adviser and Sub-Adviser have
a financial incentive for the Fund to utilize Financial Leverage, which may create a conflict of interest between the Adviser and the
Sub-Adviser on one hand and the Common Shareholders on the other. Common Shareholders bear the portion of the investment advisory fee
attributable to the assets purchased with the proceeds of Financial Leverage, which means that Common Shareholders effectively bear the
entire advisory fee. For all purpose other than the Fund’s advisory and sub-advisory arrangements, “Managed Assets”
means the total assets of the Fund, including the assets attributable to the proceeds from any borrowings or other forms of Financial
Leverage, minus liabilities, other than liabilities related to any Financial Leverage.
Indebtedness may subject the Fund to covenants in credit agreements
relating to asset coverage and portfolio composition requirements. Indebtedness by the Fund also may subject the Fund to certain restrictions
on investments imposed by guidelines of one or more rating agencies, which may issue ratings for such indebtedness. Such guidelines may
impose asset coverage or portfolio composition requirements that are more stringent than those imposed by the 1940 Act. It is not anticipated
that these covenants or guidelines will impede the Adviser or GPIM from managing the Fund’s portfolio in accordance with the Fund’s
investment objective and policies.
192 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
The Fund may enter into reverse repurchase agreements with the
same parties with whom it may enter into repurchase agreements (as described below). Under a reverse repurchase agreement, the Fund would
sell securities or other assets and agree to repurchase them at a particular price at a future date. Reverse repurchase agreements involve
the risks that the interest income earned on the investment of the proceeds will be less than the interest expense and Fund expenses associated
with the repurchase agreement, that the market value of the securities or other assets sold by the Fund may decline below the price at
which the Fund is obligated to repurchase such securities and that the securities may not be returned to the Fund. There is no assurance
that reverse repurchase agreements can be successfully employed. In the event of the insolvency of the counterparty to a reverse repurchase
agreement, recovery of the securities or other assets sold by the Fund may be delayed. The counterparty’s insolvency may result
in a loss equal to the amount by which the value of the securities or other assets sold by the Fund exceeds the repurchase price payable
by the Fund; if the value of the purchased securities or other assets increases during such a delay, that loss may also be increased.
When the Fund enters into a reverse repurchase agreement, any fluctuations in the market value of either the securities or other assets
transferred to another party or the securities or other assets 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 net asset value of the Fund’s shares.
The Fund may enter into dollar roll transactions, in which the
Fund sells a mortgage-backed or other security for settlement on one date and agrees to purchase a substantially similar security (but
not the same security) for settlement at a later date at an agreed-upon price. During the roll-period, the Fund gives up the principal
and interest payments on the sold security, but may invest the sale proceeds. When the Fund enters into a dollar roll transaction, any
fluctuation in the market value of the security transferred or the securities in which the sales proceeds are invested can affect the market
value of the Fund’s assets, and therefore, the Fund’s NAV. Successful use of dollar rolls may depend upon, among other things,
GPIM’s ability to correctly predict interest rates and prepayments. There is no assurance that dollar rolls can be successfully
employed. In connection with reverse repurchase agreements, the Fund will also be subject to counterparty risk with respect to the purchaser
of the securities. Dollar roll transactions also involve the risk that the market value of the securities the Fund is required to deliver
may decline below the agreed upon repurchase price of those securities. In addition, in the event that the Fund’s counterparty becomes
insolvent or otherwise unable or unwilling to perform its obligations, the Fund’s use of the proceeds may become restricted pending
a determination as to whether to enforce the Fund’s obligation to purchase the substantially similar securities.
The Fund’s use of leverage through reverse repurchase agreements,
dollar rolls and economically similar transactions will be included when calculating the Fund’s Financial Leverage and therefore
will be limited by the Fund’s maximum overall Financial Leverage levels approved by the Board of Trustees and may be further limited
by the applicable requirements of the SEC discussed herein.
In addition, the Fund may engage in certain derivatives transactions
that have economic characteristics similar to leverage.
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 193
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
The Fund’s obligations under reverse repurchase agreements,
dollar roll transactions, and derivatives transactions may have economic characteristics similar to leverage. The Fund’s obligations
under such transactions will not be considered indebtedness for purposes of the 1940 Act, but the Fund’s use of such transactions
may be limited by the applicable requirements of the SEC.
The Fund may have Financial Leverage and leveraged transactions
outstanding during a short term period during which such Financial Leverage and leveraged transactions may not be beneficial to the Fund
if GPIM believes that the long-term benefits to Common Shareholders of such Financial Leverage would outweigh the costs and portfolio
disruptions associated with redeeming and reissuing or closing out and reopening such Financial Leverage and leveraged transactions. However,
there can be no assurance that GPIM’s judgment in weighing such costs and benefits will be correct.
Economic and market events have at times caused severe market volatility
and severe liquidity strains in the credit markets. The terms of the Fund’s credit facility include a variable interest rate. Accordingly,
during periods when interest rates or the applicable reference rate for the credit facility rise or there are dislocations in the credit
markets, the Fund’s leverage costs may increase and there is a risk that the Fund may not be able to renew or replace existing leverage
on favorable terms or at all. If the cost of leverage is no longer favorable, or if the Fund is otherwise required to reduce its leverage,
the Fund may not be able to maintain distributions on Common Shares at historical levels and Common Shareholders will bear any costs associated
with selling portfolio securities. The cost of leverage and the risks highlighted above are heightened during periods of rising or elevated
interest rates.
The Fund’s total Financial Leverage and leveraged transactions
may vary significantly over time. To the extent the Fund increases its amount of Financial Leverage and leveraged transactions outstanding,
it will be more exposed to these risks.
Investments in Investment Funds and certain other pooled and structured
finance vehicles, such as collateralized loan obligations, frequently expose the Fund to an additional layer of financial leverage and,
thus, increase the Fund’s exposure to leverage risk. From time to time, the Fund may invest a significant portion of its assets
in Investment Funds that employ leverage.
Derivatives Transactions Risk
In addition to the Covered Call Option Strategy and other options
strategies described above, the Fund may, but is not required to, utilize other derivatives, including futures contracts, swaps transactions
and other similar strategic transactions to seek to earn income, facilitate portfolio management and mitigate risks. Participation in
derivatives markets transactions involves investment risks and transaction costs to which the Fund would not be subject absent the use
of these strategies (other than its covered call writing strategy). Certain derivatives transactions that involve leverage can result
in losses that greatly exceed the amount originally invested. Derivatives transactions utilizing instruments denominated in foreign currencies
will expose the Fund to foreign currency risk. Derivatives transactions involve risks of mispricing or improper valuation,
194 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
and the documentation governing a derivative instrument or transaction
may be unfavorable or ambiguous. Derivatives transactions may involve commissions and other costs, which may increase the Fund’s
expenses and reduce its return. Various legislative and regulatory initiatives may impact the availability, liquidity and cost of derivative
instruments, limit or restrict the ability of the Fund to use certain derivative instruments or transact with certain counterparties as
a part of its investment strategy, increase the costs of using derivative instruments or make derivative instruments less effective.
The Fund may be required to deposit amounts as premiums or to be
held in margin accounts. Such amounts may not otherwise be available to the Fund for investment purposes. The Fund may earn a lower return
on its portfolio than it might otherwise earn if it did not have to maintain such assets in respect of its derivatives transactions positions.
Participation in derivatives market transactions involves investment risks and transaction costs to which the Fund would not be subject
absent the use of these strategies. To the extent the Fund engages in derivatives transactions in an attempt to hedge certain exposures
or risks, there can be no assurance that the Fund’s hedging investments or transactions will be effective. In addition, hedging investments
or transactions involve costs and may reduce gains or result in losses, which may adversely affect the Fund. Changes in the value of a
derivatives transaction may also create sudden margin delivery or settlement payment obligations for the Fund, which can materially affect the performance of the Fund and its liquidity and other risk profiles. The skills necessary to successfully execute derivatives strategies
may be different from those for more traditional portfolio management techniques, and if GPIM is incorrect about its expectations of market
conditions, the use of derivatives could also result in a loss, which in some cases may be unlimited. Additional risks inherent in the
use of derivatives include (among others):
• | | dependence on GPIM’s ability to predict correctly movements in the direction of interest
rates and securities prices; |
• | | imperfect correlation between the price of derivatives and movements in the prices of the
securities being hedged; |
• | | the fact that skills needed to use these strategies are different from those needed to select
portfolio securities; |
• | | the possible absence of a liquid secondary market for any particular instrument at any time; |
• | | the possible need to defer closing out certain hedged positions to avoid adverse tax consequences; |
• | | the possible inability of the Fund to purchase or sell a security at a time that otherwise
would be favorable for it to do so, or the possible need for the Fund to sell a security at a disadvantageous time due to a need for
the Fund to make margin or settlement payments in connection with such derivatives transactions; and |
• | | the creditworthiness of counterparties. |
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 195
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
The Fund is required to trade derivatives and other transactions
that create future payment or delivery obligations (except reverse repurchase agreements and similar financing transactions) subject to
value-at-risk (“VaR”) leverage limits and derivatives risk management program and reporting requirements. Generally, these
requirements apply unless a fund satisfies a “limited derivatives users” exception that is included in Rule 18f-4. When the
Fund trades reverse repurchase agreements or similar financing transactions, including certain tender option bonds, it needs to aggregate
the amount of indebtedness associated with the reverse repurchase agreements or similar financing transactions with the aggregate amount
of any other senior securities representing indebtedness when calculating the Fund’s asset coverage ratio or treat all such transactions
as derivatives transactions. Reverse repurchase agreements or similar financing transactions aggregated with other indebtedness do not
need to be included in the calculation of whether a fund satisfies the limited derivatives users exception, but for funds subject to the
VaR testing requirement, reverse repurchase agreements and similar financing transactions must be included for purposes of such testing
whether treated as derivatives transactions or not. The SEC also provided guidance regarding the use of securities lending collateral
that may limit the Fund’s securities lending activities. In addition, the Fund is permitted to invest in a security on a when-issued
or forward-settling basis, or with a non-standard settlement cycle, and the transaction will be deemed not to involve a senior security,
provided that (i) the Fund intends to physically settle the transaction and (ii) the transaction will settle within 35 days of its trade
date (the “Delayed-Settlement Securities Provision”). The Fund may otherwise engage in such transactions that do not meet
the conditions of the Delayed-Settlement Securities Provision so long as the Fund treats any such transaction as a “derivatives
transaction” for purposes of compliance with the rule. Furthermore, under the rule, the Fund is permitted to enter into an unfunded
commitment agreement, and such unfunded commitment agreement will not be subject to the asset coverage requirements under the 1940 Act,
if the Fund reasonably believes, at the time it enters into such agreement, that it will have sufficient cash and cash equivalents to meet
its obligations with respect to all such agreements as they come due. These requirements may limit the ability of the Fund to use derivatives,
reverse repurchase agreements and similar financing transactions, and the other relevant transactions as part of its investment strategies.
These requirements may increase the cost of the Fund’s investments and cost of doing business, which could adversely affect investors.
The Adviser has filed with the National Futures Association a notice
of eligibility claiming an exclusion from the definition of “commodity pool operator” (“CPO”) under CFTC Rule
4.5 under the Commodity Exchange Act, as amended (the “CEA”), with respect to the Fund’s operation. Accordingly, the
Adviser with respect to the Fund is not subject to registration or regulation as a CPO. Changes to the Fund’s investment strategies
or investments may cause the Adviser with respect to the Fund to lose the benefits of the exclusion under CFTC Rule 4.5 under the CEA
and may trigger additional CFTC regulation as a CPO. If the Fund becomes subject to CFTC regulation, the Fund or the Adviser may incur
additional expenses.
196 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Futures Transactions Risk
Futures and options on futures involve the risks discussed under
“Derivatives Transactions Risk” above and certain additional risks, including but not limited to the following:
• | | no assurance that futures contracts or options on futures can be o set at favorable prices; |
• | | possible reduction of the return of the Fund due to their use for hedging; |
• | | possible reduction in value of both the securities hedged and the hedging instrument; |
• | | possible lack of liquidity, trading restrictions or limitations that may be imposed by an
exchange, and the potential that government regulations may restrict trading; |
• | | imperfect correlation between the contracts and the securities being hedged; and |
• | | losses from investing in futures transactions that are potentially unlimited and losses resulting
from the default or insolvency of intermediaries such as the Fund’s futures commission merchant. |
The Fund may purchase and sell various kinds of financial futures
contracts (including, but not limited to, futures on rates such as SOFR, securities, indices, currencies and other investments) and options
thereon to obtain investment exposure and/or to seek to hedge against changes in interest rates or for other risk management purposes.
Futures contracts may be based on various securities and securities indices.
The CFTC and various exchanges have rules limiting the maximum
net long or short positions which any person or group may own, hold or control in any given futures contract or option on such futures
contract. GPIM must consider the effect of these limits in managing the Fund. In addition, the CFTC has position limits rules that establish
position limits for 25 specified physical commodity futures and related options contracts traded on exchanges, other futures contracts
and related options directly or indirectly linked to such contracts, and any OTC transactions that are economically equivalent.
Swap Risk
Swap agreements are contracts for periods ranging from one day
to more than one year and may be negotiated bilaterally and traded OTC between two parties or, for certain standardized swaps, must be
exchange-traded through a futures commission merchant or swap execution facility and/ or cleared through a clearinghouse that serves as
a central counterparty. In a standard swap transaction, two parties agree to exchange the returns (or differentials in rates of return)
earned or realized on particular predetermined investments or instruments.
The Fund may enter into swap transactions, including credit default
swaps, total return swaps, index swaps, currency swaps, commodity swaps and interest rate swaps, as well as options thereon, and may purchase
or sell interest rate caps, floors and collars. The Fund may utilize swap agreements in an attempt to gain exposure to certain assets
without purchasing those assets, to hedge other positions or for investment purposes.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 197
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Risks associated with the use of swap agreements are different from
those associated with ordinary portfolio securities transactions, largely due to the fact they could be considered illiquid and many swaps
currently trade on the OTC market. If GPIM is incorrect in its forecasts of market values, interest rates or currency exchange rates,
the investment performance of the Fund may be less favorable than it would have been if these investment techniques were not used. Such
transactions are subject to various risks, including market risk, risk of default by the other party to the transaction and risk of imperfect
correlation between the value of such instruments and the underlying assets and may involve commissions or other costs. Written credit
default swaps also are subject to the risk of default on the instrument underlying the swap, which may result in the Fund being obligated
to pay the counterparty to the swap the principal amount of the underlying instrument. Cash-settled swaps generally do not involve the
delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to such swaps generally is limited
to the net amount of payments and margin that the Fund is contractually obligated to make, or in the case of the other party to a swap
defaulting, the net amount of payments that the Fund is contractually entitled to receive. Swaps are subject to valuation, liquidity and
leveraging risks and could result in substantial losses to the Fund. In addition, the Fund may pay fees or incur costs each time it enters
into, amends or terminates a swap agreement.
Swaps may effectively add leverage to the Fund’s portfolio
because the Fund would be subject to investment exposure on the full notional amount of the swap. Swaps are subject to the risk that a
counterparty will default on its payment obligations to the Fund thereunder.
When the Fund acts as a seller of a credit default swap agreement
with respect to a debt security, it is subject to the risk that an adverse credit event may occur with respect to the issuer of the debt
security and the Fund may be required to pay the buyer the full notional value of the debt security under the swap net of any amounts
owed to the Fund by the buyer under the swap (such as the buyer’s obligation to deliver the debt security to the Fund). As a result,
the Fund bears the entire risk of loss due to a decline in value of a referenced debt security on a credit default swap it has sold if
there is a credit event with respect to the issuer of the security. If the Fund is a buyer of a credit default swap and no credit event
occurs, the Fund may recover nothing if the swap is held through its termination date. However, if a credit event occurs, the Fund generally
may elect to receive the full notional value of the swap in exchange for an equal face amount of deliverable obligations of the reference
entity whose value may have significantly decreased.
The swap market has become more standardized in recent years with
a large number of banks and investment banking firms acting both as principals and as agents utilizing standardized swap documentation.
As a result, some swaps have become relatively liquid. Although liquidity of certain swaps has improved, certain types of derivatives
products, such as caps, floors and collars may be less liquid than swaps in general.
Certain standardized swaps are subject to mandatory exchange-trading
and central clearing. While exchange-trading and central clearing are intended to reduce counterparty credit risk and increase liquidity,
they do not make swap transactions risk-free. Depending on the Fund’s size and other factors, the margin required under the rules
of the clearinghouse and by the clearing member may
198 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
be in excess of the collateral required to be posted by the Fund
to support its obligations under a similar bilateral swap.
In addition, rules imposing certain margin requirements, including
minimums, on uncleared swaps may result in the Fund and its counterparties posting higher margin amounts for uncleared swaps. Rules that
require centralized reporting of detailed information about many types of cleared and uncleared swaps may result in greater market transparency
but may subject the Fund to additional administrative burdens, and the safeguards established to protect trader anonymity may not function
as expected. GPIM will continue to monitor developments in this area, particularly to the extent regulatory changes affect the ability
of the Fund to enter into swap agreements.
Further regulatory developments in the swap market may adversely
impact the swap market generally or the Fund’s ability to use swaps.
Counterparty Risk
Counterparty risk is the risk that a counterparty to a fund transaction
(e.g., prime brokerage or securities lending arrangement or derivatives transaction) will be unable or unwilling to perform its contractual
obligation to the Fund. The Fund is exposed to credit risks that the counterparty may be unwilling or unable to make timely payments or
otherwise meet its contractual obligations. If the counterparty becomes bankrupt or defaults on (or otherwise becomes unable or unwilling
to perform) its payment or other obligations to the Fund, the Fund may not receive the full amount that it is entitled to receive or may
experience delays in recovering the collateral or other assets held by, or on behalf of, the counterparty. If this occurs, or if exercising
contractual rights involves delays or costs for the Fund, the value of your shares in the Fund may decrease. Such risk is heightened in
market environments where interest rates are changing, notably when rates are rising. Counterparty credit risk also includes the related
risk of having concentrated exposure to such counterparty.
The Fund bears the risk that counterparties may be adversely affected by legislative or regulatory changes, adverse market conditions, increased competition, and/or wide scale credit losses resulting
from financial difficulties of the counterparties’ other trading partners or borrowers.
The counterparty risk for cleared derivatives is generally lower
than for uncleared OTC derivatives transactions since generally a clearing organization becomes substituted for each counterparty to a
cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks
only to the clearing organization for performance of financial obligations under the derivative contract. However, there can be no assurance
that a clearing organization, or its members, will satisfy its obligations to the Fund.
Special Purpose Acquisition Companies Risk
The Fund may invest in stock, warrants, rights and other securities
of special purpose acquisition companies (“SPACs”) or similar special purpose entities in a private placement transaction
or as part of a public offering. As an alternative to obtaining a public listing through a traditional IPO, SPAC investments carry many
of the same risks as investments in IPO securities. These may include,
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 199
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
but are not limited to, 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.
Investments in SPACs also have risks peculiar to the SPAC structure
and investment process. Until an acquisition or merger 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. To the extent a SPAC is invested in cash or similar securities, this may impact the Fund’s ability to meet its investment
objective. 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. Some SPACs pursue acquisitions and mergers only within certain market sectors or regions,
which can increase the volatility of their prices. Conversely, other SPACs may invest without such limitations, in which case management
may have limited experience or knowledge of the market sector or region in which the transaction is contemplated. Moreover, interests
in SPACs may be illiquid and/or be subject to restrictions on resale, which may remain for an extended time, and may only be traded in
the over-the-counter market. If there is no market for interests in a SPAC, or only a thinly traded market for interests in a SPAC develops,
the Fund may not be able to sell its interest in a SPAC, or may be able to sell its interest only at a price below what the Fund believes
is the SPAC interest’s value.
Availability and Quality of Data
GPIM faces the general risk regarding the availability and quality
of information concerning a particular asset or investment, and employs a variety of policies, practices and methodologies designed to
minimize that risk. For example, there is less readily available and reliable information about most bank loans than is the case for many
other types of instruments, including listed securities. Another example is the consideration of Environmental, Social, and Governance
(“ESG”) criteria where GPIM believes it could have a material impact on an investment’s return or issuer’s financial
performance (though, for avoidance of doubt, GPIM does not offer any ESG products). Similar to GPIM’s ability to evaluate traditional
factors in making investment decisions, the ability for GPIM to identify and evaluate ESG characteristics and risks, or to engage with
an issuer, is limited to the availability and quality of information on an asset or issuer. In some cases, GPIM may decline to consider
ESG criteria in an investment decision due to the unavailability of information on an issuer, or the quality of that information. In addition,
GPIM often uses data and insights from third-party research to provide additional input in the analysis of ESG-related criteria. Third-party
information and data will, from time to time, be incomplete, inaccurate or unavailable. As a result, there is a risk that GPIM could incorrectly
assess the ESG criteria or risks associated with a particular asset or issuer. Additionally, GPIM expects from time to time to directly
engage with certain corporate credit issuers by requesting improved issuer disclosure relating to ESG factors, as well as discussing potential
opportunities to improve various ESG metrics and other related topics. Direct engagement will occur with only a minority of portfolio
investments and issuers GPIM considers for investment and will depend on a variety of considerations, including the materiality of ESG
criteria to the specific issuer or sector and the size of GPIM client investments in the issuer. There can be no assurance that GPIM’s
engagement efforts will be successful or provide benefits to clients.
200 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
The application of ESG criteria and risk factors to portfolio investments
(if any) could result in one or more assets or issuers being excluded from the Fund, which could have an adverse effect on the performance
of the Fund. Additionally, in some circumstances a client mandate or applicable regulations can cause GPIM to restrict specific investments
based on particular ESG characteristics. GPIM also reserves the right, in the future, to implement restrictions or prohibitions on investments
within certain industries for all or a sub-set of all client accounts which could be based on particular ESG criteria or other relevant
factors. As a result of any of the aforementioned circumstances, clients may be limited as to available investments, which could hinder
performance when compared to investments with no such restrictions.
Portfolio Turnover Risk
The Fund’s annual portfolio turnover rate may vary greatly
from year to year. Portfolio turnover rate is not considered a limiting factor in the execution of investment decisions for the Fund.
A higher portfolio turnover rate results in correspondingly greater brokerage commissions and other transactional expenses that are borne
by the Fund. High portfolio turnover may result in an increased realization of net short-term capital gains by the Fund which, when distributed
to Common Shareholders, will be taxable as ordinary income. Additionally, in a declining market, portfolio turnover may create realized
capital losses.
U.S. Government Securities Risk
U.S. government securities are subject to market and interest rate
risk, as well as varying degrees of credit risk. Different types of U.S. government securities have different relative levels of credit
risk depending on the nature of the particular government support for that security. U.S. government securities may be supported by: (i)
the full faith and credit of the United States government; (ii) the ability of the issuer to borrow from the U.S. Treasury; (iii) the
credit of the issuing agency, instrumentality or government-sponsored entity (“GSE”); (iv) pools of assets (e.g., MBS); or
(v) the United States in some other way. The U.S. government and its agencies and instrumentalities do not guarantee the market value
of their securities, which may fluctuate in value and are subject to investment risks, and certain U.S. government securities may not
be backed by the full faith and credit of the United States government and, thus, are subject to greater credit risk than other types
of U.S. government securities. Any downgrades of the U.S. credit rating could increase volatility in both stock and bond markets, result
in higher interest rates and higher Treasury yields and increase the costs of all debt generally. The value of U.S. government obligations
may be adversely affected by changes in interest rates. There is no guarantee that the U.S. government will provide support to its agencies
and GSEs if they are unable to meet their obligations. In addition, it is possible that the issuers of some U.S. government securities
will not have the funds to meet their payment obligations in the future and there is a risk of default.
UK Departure from EU (“Brexit”) Risk
The United Kingdom ceased to be a member of the EU on January 31,
2020 (such departure from the EU, “Brexit”). A trade agreement between the EU and the United Kingdom (the “TCA”)
took effect on May 1, 2021, and now governs the relationship between the EU and the United Kingdom. Although
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 201
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
the TCA covers many issues, such as economic partnership, free
trade, law enforcement and judicial co-operation and governance, it is silent on items such as financial services equivalence. As such,
there remains uncertainty as to the scope, nature and terms of the relationship between the United Kingdom and the EU and the effect and
implication of the TCA. Brexit may have a negative impact on the economy and currency of the United Kingdom and EU as a result of anticipated,
perceived or actual changes to the United Kingdom’s economic and political relations with the EU. Brexit may also have a destabilizing
impact on the EU to the extent other member states similarly seek to withdraw from the union. Any further exits from member states of
the EU, or the possibility of such exits, would likely cause additional market disruption globally and introduce new legal and regulatory
uncertainties. Any or all of these challenges may affect the value of the Fund’s investments that are economically tied to the United
Kingdom or the EU, and could have an adverse impact on the Fund’s performance.
Redenomination Risk
The result of Brexit, the progression of the European debt crisis
and the possibility of one or more Eurozone countries exiting the European Monetary Union (“EMU”), or even the collapse of
the euro as a common currency, has in recent years created significant volatility in currency and financial markets generally. The effects
of the collapse of the euro, or of the exit of one or more countries from the EMU, on the U.S. and global economies and securities markets
are impossible to predict and any such events could have a significant adverse impact on the value and risk profile of the Fund’s
portfolio. Any partial or complete dissolution of the EMU could have significant adverse effects on currency and financial markets, and
on the values of the Fund’s portfolio investments. If one or more EMU countries were to stop using the euro as its primary currency,
the Fund’s investments in such countries may be redenominated into a different or newly adopted currency. As a result, the value
of those investments could decline significantly and unpredictably. In addition, securities or other investments that are redenominated
may be subject to foreign currency risk, liquidity risk and valuation risk to a greater extent than similar investments currently denominated
in euros.
To the extent a currency used for redenomination purposes is not
specified in respect of certain EMU-related investments, or should the euro cease to be used entirely, the currency in which such investments
are denominated may be unclear, making such investments particularly difficult to value or dispose of. The Fund may incur additional expenses
to the extent it is required to seek judicial or other clarification of the denomination or value of such securities.
Legislation and Regulation Risk
At any time after the date hereof, U.S. and non-U.S. governmental
agencies and other regulators may implement additional regulations and legislators may pass new laws that affect the investments held by
the Fund, the strategies used by the Fund or the level of regulation or taxation applying to the Fund (such as regulations related to
investments in derivatives and other transactions). These regulations and laws may impact the investment strategies, performance, costs
and operations of the Fund, as well as the way investments in, and shareholders of, the Fund are taxed.
202 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Recent Market Developments Risk
The value of, or income generated by, the investments held by the
Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting
individual companies or issuers or particular industries, or from broader influences, including real or perceived changes in prevailing
interest rates, changes in inflation rates or expectations about inflation rates, adverse investor confidence or sentiment, changing economic,
political (including geopolitical), social or financial market conditions, tariffs and trade disruptions, recession, changes in currency
rates, 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 or credit
ratings downgrades, and other similar types of events, each of which may be temporary or last for extended periods.
Periods of market volatility remain, and may continue to occur
in the future, in response to various market, political, social, geopolitical, economic and public health events both within and outside
of the United States. These conditions have resulted in, and in cases continue to result in, greater price volatility, less liquidity,
widening credit spreads and a lack of price transparency, with certain securities remaining illiquid and of uncertain value. Such market
conditions may adversely affect the Fund, including by making valuation of some of the Fund’s securities uncertain and/or result
in sudden and significant valuation increases or declines in the Fund’s holdings. If there is a significant decline in the value
of the Fund’s portfolio, this may impact the asset coverage levels for the Fund’s outstanding leverage.
Risks resulting from any future debt or other economic or public
health situation could also have a detrimental impact on the global economies, the financial condition of financial institutions, operations
of businesses and the Fund’s business, financial condition and results of operation. Market and economic disruptions have affected,
and may in the future affect, consumer confidence levels and spending, personal bankruptcy rates, levels of incurrence and default on consumer
and other debt and home prices, among other factors. To the extent uncertainty regarding the U.S. or global economy negatively impacts
consumer confidence and consumer credit factors, the Fund’s business, financial condition and results of operations could be significantly
and adversely affected. Downgrades to the credit ratings of major banks could result in increased borrowing costs for such banks and negatively
affect the broader economy. Moreover, Federal Reserve policy, including with respect to certain interest rates, may also adversely affect
the value, volatility and liquidity of various investments, notably dividend- and interest-paying securities. These policies are subject
to change at any time based on a variety of factors and developments, with uncertain impacts on financial markets and economic conditions
and, thus, the Fund’s investments. Market volatility, changing interest rates and/or unfavorable economic conditions could impair
the Fund’s ability to achieve its investment objective. Economies and markets are experiencing, and have experienced, high inflation
rates. In response to such inflation, government authorities have implemented significant fiscal and monetary policies such as increasing
interest rates and quantitative tightening (reduction of money available in the market), which may adversely impact financial markets
and the broader economy, as well as the Fund’s performance, and have unintended adverse consequences.
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 203
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Moreover, changing economic, political, social, geopolitical, 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. As a result, there is an increased risk that geopolitical and other events will disrupt economies
and markets globally. For example, local or regional armed conflicts have led to significant sanctions by the United States, Europe and
other countries against certain countries (as well as persons and companies connected with certain countries) and led to indirect adverse
regional and global market, economic and other effects. It is difficult to accurately predict or foresee when events or conditions affecting
the U.S. or global financial markets, economies, and issuers may occur, the effects of such events or conditions, potential escalations
or expansions of these events, possible retaliations in response to sanctions or similar actions and the duration or ultimate impact of
those events. There is an increased likelihood that these types of events or conditions can, sometimes rapidly and unpredictably, result
in a variety of adverse developments and circumstances, such as reduced liquidity, supply chain disruptions and market volatility, as
well as increased general uncertainty and broad ramifications for markets, economies, issuers, businesses in many sectors and societies
globally. In addition, adverse changes in one sector or industry or with respect to a particular company could negatively impact companies
in other sectors or industries or increase market volatility as a result of the interconnected nature of economies and markets and thus
negatively affect the Fund’s performance. For example, developments in the banking or financial services sectors (or one or more
companies operating in these sectors) could adversely impact a wide range of companies and issuers. These types of adverse developments
could negatively affect the Fund’s performance or operations.
Increasing Government and other Public Debt Risk
Government and other public debt, including municipal obligations
in which the Fund may invest, can be adversely affected by large and sudden changes in local and global economic conditions that result
in increased debt levels. Although high levels of government and other public debt do not necessarily indicate or cause economic problems,
high levels of debt may create certain systemic risks if sound debt management practices are not implemented. A high debt level may increase
market pressures to meet an issuer’s funding needs, which may increase borrowing costs and cause a government or public or municipal
entity to issue additional debt, thereby increasing the risk of refinancing. A high debt level also raises concerns that the issuer may
be unable or unwilling to repay the principal or interest on its debt, which may adversely impact instruments held by the Fund that rely
on such payments. Extraordinary governmental and quasigovernmental responses to economic, market, labor and public health conditions designed
to support the markets may, at times, significantly increase government and other public debt, which heighten these risks and the long
term consequences of these actions are not known. Unsustainable debt levels can decline the valuation of currencies, and can prevent a
government from implementing effective counter-cyclical fiscal policy during economic downturns or can lead to increases in inflation or
generate or contribute to an economic downturn.
204 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Municipal Securities Risk
Municipal securities are subject to a variety of risks generally
associated with investments in debt instruments, including credit, interest rate, prepayment, liquidity, and valuation risks as well as
risks specific to municipal securities, and can be more volatile than other investments. Taxable municipal securities are subject to similar
risks as tax-exempt municipal securities. The ability of issuers of municipal securities to pay their obligations can be adversely affected
by, among other developments or events, (i) unfavorable legislative, tax, political or other developments or events, including extreme
weather conditions, natural or man-made disasters and public health conditions, (ii) changes in the economic and fiscal conditions of
issuers of municipal securities or the federal government (in cases where it provides financial support to such issuers), and (iii) litigations
involving such issuers. In addition, the values of, and income generated by, municipal securities may fully or partially depend on a specific
revenue or tax source, such as the taxing authority or revenue of a local government, the credit of a private issuer, or the current or
anticipated revenues from a specific project, which may be adversely affected by actual or perceived changes in economic, social or public
health conditions and general economic downturns. Changes in tax laws or other developments that affect the tax-exempt status of tax-exempt
municipal securities may result in a decline in such municipal securities’ value Moreover, the income, value and/or risk of municipal
securities is often correlated to specific project or other revenue sources (such as taxes), which can be negatively affected by, among
other things, demographic trends, such as population shifts or changing tastes and values, or increasing vacancies or declining rents
or property values resulting from legal, cultural, technological, global or local economic developments, as well as reduced demand for
properties, revenues or goods or services.
To the extent the Fund invests a substantial portion of its assets
in municipal securities issued by issuers in a particular state, municipality or project, the Fund will be particularly sensitive to developments
and events adversely affecting such state or municipality or with respect to a particular project. Certain sectors of the municipal bond
market have special risks that can affect them more significantly than the market as a whole. Because many municipal instruments are issued
to finance similar projects (such as education, health care, transportation and utilities), conditions in these industries can significantly
affect the overall municipal market. Also, municipal securities backed by current or anticipated revenues from a specific project or assets
can be negatively affected by the discontinuance of taxation or reduction of revenue supporting the project or assets.
Municipal securities that are insured may be adversely affected
by developments relevant to that particular insurer, or more general developments relevant to the market as a whole. The Fund’s
vulnerability to potential losses associated with such developments may be reduced through investment in municipal securities that feature
credit enhancements (such as bond insurance). Although insurance may reduce the credit risk of a municipal security, it does not protect
against fluctuations in the value of the Fund’s shares caused by market changes. It is important to note that, although insurance
may increase the credit safety of investments held by the Fund, it decreases the Fund’s yield as the Fund may pay for the insurance
directly or indirectly. In addition, while the obligation of a municipal bond insurance company to pay a claim extends over the life of
an insured bond, there is no assurance that insurers will meet their claims. A higher-than-anticipated default
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 205
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
rate on municipal bonds (or other insurance the insurer provides)
could strain the insurer’s loss reserves and adversely affect its ability to pay claims to bondholders.
Municipal securities can be difficult to value and be less liquid
than other investments, which may affect performance. Additionally, the amount of public information available about municipal securities
is generally less than that for corporate equities or bonds, and the investment performance of the Fund’s municipal securities investments,
and their risks, may therefore be more dependent on the analytical abilities of the Adviser than its investment in certain other securities.
Information related to municipal securities and their risks may be provided by the municipality itself, which may not always be accurate.
The secondary market for municipal securities, particularly below investment grade municipal securities, also tends to be less well-developed
or liquid than many other securities markets, which may adversely affect the Fund’s ability to sell such securities at prices approximating
those at which the Fund may currently value them.
Investments in municipal securities are subject to risks associated
with the financial health of the issuers of such securities or the revenue associated with underlying projects or other sources. For example,
social, political, economic, market or public health conditions can, and have at times, significantly stressed the financial resources
of many municipalities and other issuers of municipal securities, which may adversely affect their ability to meet their financial obligations
and the value or liquidity of the Fund’s investments in municipal securities. A number of municipal issuers, in the past, have defaulted
on obligations, been downgraded or commenced insolvency proceedings. Financial difficulties of issuers of municipal securities may occur
in the future and the financial condition of such issuers may decline quickly. The ability of municipal issuers to make timely payments
of interest and principal may be diminished during general economic downturns and as governmental cost burdens are reallocated among federal,
state and local governments. The taxing power of any governmental entity may be limited by provisions of state constitutions or laws and
an entity’s credit will depend on many factors, including the entity’s tax base, the extent to which the entity relies on
federal or state aid and other factors which are beyond the entity’s control. In addition, laws enacted or that may be enacted in
the future by governmental authorities could extend the time for payment of principal and/or interest, or impose other constraints on
enforcement of such obligations or on the ability of municipalities to levy taxes.
Moreover, as a result of economic, market and other factors, there
could be reduced tax or other revenue available to issuers of municipal securities and, in turn, increased budgetary and financial pressure
on the municipality and other issuers of municipal securities, which could increase the risks associated with municipal securities of
such issuer. As a result, the Fund’s investments in municipal obligations or other securities may be subject to heightened risks
relating to the occurrence of such developments. Issuers of municipal securities might seek protection under bankruptcy laws. In the event
of bankruptcy of such an issuer, holders of municipal securities could experience delays in collecting principal and interest and such
holders may not be able to collect all principal and interest to which they are entitled. Legislative developments may result in changes
to the laws relating to municipal bankruptcies, which may adversely affect the Fund’s investments in municipal securities.
206 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
When-Issued and Delayed Delivery Transactions Risk
Securities purchased on a when-issued or delayed delivery basis
may expose the Fund to counterparty risk of default as well as the risk that securities may experience fluctuations in value prior to
their actual delivery. The Fund generally will not accrue income with respect to a when-issued or delayed delivery security prior to its
stated delivery date. Purchasing securities on a when-issued or delayed delivery basis can involve the additional risk that the price
or yield available in the market when the delivery takes place may not be as favorable as that obtained in the transaction itself.
Short Sales Risk
The Fund may make short sales of securities. Short selling a security
involves selling a borrowed security with the expectation that the value of that security will decline, so that the security may be purchased
at a lower price when returning the borrowed security. If the price of the security sold short increases between the time of the short
sale and the time the Fund replaces the borrowed security, the Fund will incur a loss; conversely, if the price declines, the Fund will
realize a capital gain. Any gain will be decreased, and any loss will be increased, by the transaction costs incurred by the Fund, including
the costs associated with providing collateral to the broker-dealer (usually cash and liquid securities) and the maintenance of collateral
with its custodian. Although the Fund’s gain is limited to the price at which it sold the security short, its potential loss is
theoretically unlimited and may be greater than a direct investment in the security itself because the price of the borrowed or reference
security may rise. The Fund may not always be able to close out a short position at a particular time or at an acceptable price. A lender
may request that borrowed securities be returned to it on short notice, and the Fund may have to buy the borrowed securities at an unfavorable
price, resulting in a loss. The Fund may have to pay a premium to borrow the securities and must pay any dividends or interest payable
on the securities until they are replaced, which will be expenses of the Fund. Short sales also subject the Fund to risks related to the
lender (such as bankruptcy risks) or the general risk that the lender does not comply with its obligations. Government actions also may
affect the Fund’s ability to engage in short selling. The use of physical short sales is typically more expensive than gaining short
exposure through derivatives.
Repurchase Agreement Risk
The Fund may enter into bilateral and tri-party repurchase agreements.
In a typical Fund repurchase agreement, the Fund enters into a contract with a broker, dealer, or bank (the “counterparty”
to the transaction) for the purchase of securities or other assets. The counterparty agrees to repurchase the securities or other assets
at a specified future date, or on demand, for a price that is sufficient to return to the Fund its original purchase price, plus an additional
amount representing the return on the Fund’s investment. Such repurchase agreements economically function as a secured loan from
the Fund to a counterparty. If the counterparty defaults on the repurchase agreement, the Fund will retain possession of the underlying
securities or other assets. If bankruptcy proceedings are commenced with respect to the seller, realization on the collateral by the Fund
may be delayed or limited and the Fund may incur additional costs. In such case, the Fund will be subject to risks associated with changes
in market value of the collateral securities or other assets. The Fund intends to enter into repurchase agreements only with brokers,
dealers, or banks or other permitted
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 207
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
counterparties after the Adviser (or GPIM) evaluates the creditworthiness
of the counterparty. The Fund will not enter into repurchase agreements with the Adviser or GPIM or their affiliates. Except as provided
under applicable law, the Fund may enter into repurchase agreements without limitation.
Repurchase agreements collateralized fully by cash items, U.S.
government securities or by securities issued by an issuer that the Adviser or GPIM has determined at the time the repurchase agreement
is entered into has an exceptionally strong capacity to meet its financial obligations (“Qualifying Collateral”) and meet
certain liquidity standards generally may be deemed to be “collateralized fully” and may be deemed to be investments in the
underlying securities for certain purposes. The Fund may accept collateral other than Qualifying Collateral determined by the Adviser
or GPIM to be in the best interests of the Fund to accept as collateral for such repurchase agreement (which may include high yield debt
instruments that are rated below investment grade) (“Alternative Collateral”). Repurchase agreements secured by Alternative
Collateral are not deemed to be “collateralized fully” under applicable regulations and the repurchase agreement is therefore
considered a separate security issued by the counterparty to the Fund. Accordingly, the Fund must include repurchase agreements that are
not “collateralized fully” in its calculations of securities issued by the selling institution held by the Fund for purposes
of various portfolio diversification and concentration requirements applicable to the Fund. In addition, Alternative Collateral may not
qualify as permitted or appropriate investments for the Fund under the Fund’s investment strategies and limitations. Accordingly,
if a counterparty to a repurchase agreement defaults and the Fund takes possession of Alternative Collateral, the Fund may need to promptly
dispose of the Alternative Collateral (or other securities held by the Fund, if the Fund exceeds a limitation on a permitted investment
by virtue of taking possession of the Alternative Collateral). The Alternative Collateral may be particularly illiquid, especially in
times of market volatility or in the case of a counterparty insolvency or bankruptcy, which may restrict the Fund’s ability to dispose
of Alternative Collateral received from the counterparty. Depending on the terms of the repurchase agreement, the Fund may determine to
sell the collateral during the term of the repurchase agreement and then purchase the same collateral at the market price at the time
of the resale. In tri-party repurchase agreements, an unaffiliated third party custodian maintains accounts to hold collateral for the Fund
and its counterparties and, therefore, the Fund may be subject to the credit risk of those custodians. Securities subject to repurchase
agreements (other than tri-party repurchase agreements) and purchase and sale contracts will be held by the Fund’s custodian (or
sub-custodian) in the Federal Reserve/Treasury book-entry system or by another authorized securities depository.
Securities Lending Risk
The Fund may lend its portfolio securities to banks or dealers
which meet the Fund’s creditworthiness standards. Securities lending is subject to the risk that loaned securities may not be available
to the Fund on a timely basis and the Fund may therefore lose the opportunity to sell the securities at a desirable price. Any loss in
the market price of securities loaned by the Fund that occurs during the term of the loan would be borne by the Fund and would adversely
affect the Fund’s performance. Also, there may be delays in recovery, or no recovery, of securities loaned or even a
208 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
loss of rights in the collateral should the borrower of the securities
fail financially while the loan is outstanding.
Risk of Failure to Qualify as a RIC
To qualify for the favorable U.S. federal income tax treatment
generally accorded to regulated investment companies (“RICs”), the Fund must, among other things, derive in each taxable year
at least 90% of its gross income from certain prescribed sources, meet certain asset diversification tests and distribute for each taxable
year at least 90% of its “investment company taxable income” (generally, ordinary income plus the excess, if any, of net short-term
capital gain over net long-term capital loss). If for any taxable year the Fund does not qualify as a RIC, all of its taxable income for
that year (including its net capital gain) would be subject to tax at regular corporate rates without any deduction for distributions
to shareholders, and such distributions would be taxable as ordinary dividends to the extent of the Fund’s current and accumulated
earnings and profits.
Conflicts of Interest Risk
Guggenheim Partners, LLC (“Guggenheim Partners”) is
a global asset management and investment advisory organization. Guggenheim Partners and its affiliates advise clients in various markets
and transactions and purchase, sell, hold and recommend a broad array of investments for their own accounts and the accounts of clients
and of their personnel and the relationships and products they sponsor, manage and advise. Accordingly, Guggenheim Partners and its affiliates may have direct and indirect interests in a variety of global markets and the securities of issuers in which the Fund may directly
or indirectly invest. These interests may cause the Fund to be subject to regulatory limits, and in certain circumstances, these various
activities may prevent the Fund from participating in an investment decision.
An investment in the Fund is subject to a number of actual or potential
conflicts of interest. For example, the Adviser and its affiliates are engaged in a variety of business activities that are unrelated to
managing the Fund, which may give rise to actual, potential or perceived conflicts of interest in connection with making investment decisions
for the Fund. As a result, activities and dealings of Guggenheim Partners and its affiliates may affect the Fund in ways that may disadvantage
or restrict the Fund or be deemed to benefit Guggenheim Partners and its affiliates. From time to time, conflicts of interest may arise
between a portfolio manager’s management of the investments of the Fund on the one hand and the management of other registered investment
companies, pooled investment vehicles and other accounts (collectively, “other accounts”) on the other. The other accounts
might have similar investment objectives or strategies as the Fund or otherwise hold, purchase, or sell securities that are eligible to
be held, purchased or sold by the Fund. In certain circumstances, and subject to its fiduciary obligations under the Investment Advisers
Act of 1940 and the requirements of the 1940 Act, the Adviser or GPIM may have to allocate a limited investment opportunity among its
clients. The other accounts might also have different investment objectives or strategies than the Fund. In addition, the Fund may be limited
in its ability to invest in, or hold securities of, any companies that the Adviser or its affiliates (or other accounts managed by the Adviser
or its affiliates) control, or companies in which the Adviser or its affiliates have interests or with whom they do business. For example,
affiliates of the Adviser may act as
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 209
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
underwriter, lead agent or administrative agent for loans or otherwise
participate in the market for loans. Because of limitations imposed by applicable law, the presence of the Adviser’s affiliates in
the markets for loans may restrict the Fund’s ability to acquire some loans or affect the timing or price of such acquisitions. To
address these conflicts, the Fund and Guggenheim Partners and its affiliates have established various policies and procedures that are reasonably
designed to detect and prevent such conflicts and prevent the Fund from being disadvantaged. There can be no guarantee that these policies
and procedures will be successful in every instance.
Market Disruption and Geopolitical Risk
The Fund does not know and cannot predict how long the securities
markets may be affected by geopolitical events and the effects of these and similar events in the future on the U.S. economy and securities
markets. The Fund may be adversely affected by abrogation of international agreements and national laws which have created the market instruments
in which the Fund may invest, failure of the designated national and international authorities to enforce compliance with the same laws
and agreements, failure of local, national and international organization to carry out their duties prescribed to them under the relevant
agreements, revisions of these laws and agreements which dilute their effectiveness or conflicting interpretation of provisions of the
same laws and agreements. The Fund may be adversely affected by uncertainties such as terrorism, international political developments,
and changes in government policies, taxation, restrictions on foreign investment and currency repatriation, currency fluctuations and
other developments in the laws and regulations of the countries in which it is invested and the risks associated with financial, economic,
geopolitical, public health, labor and other global market developments and disruptions, such as the ongoing Russia-Ukraine conflict and
its risk of expansion or collateral economic and other effects.
Technology Risk
The Fund and its service providers and markets generally have become
more susceptible to potential operational risks related to intentional and unintentional events that may cause the Fund or a service provider
to lose proprietary information, suffer data corruption or lose operational capacity. There can be no guarantee that any risk management
systems established by the Fund, its service providers, or issuers of the securities in which the Fund invests to reduce technology and
cyber security risks will succeed, and the Fund cannot control such systems put in place by service providers, issuers or other third
parties whose operations may affect the Fund.
Cyber Security, Market Disruptions and Operational Risk
Like other funds and other parts of the modern economy, the Fund
and its service providers, as well as exchanges and market participants through or with which the Fund trades and exchanges on which its
shares trade and other infrastructures, services and parties on which the Fund, the Adviser, GPIM or the Fund’s other service providers
rely, are susceptible to ongoing risks related to cyber incidents and the risks associated with financial, economic, public health, labor
and other global market developments and disruptions, including those arising out of geopolitical events, public health emergencies (such
as the spread of infectious diseases, pandemics and epidemics), natural/environmental disasters, war, terrorism and governmental or quasi-governmental
actions.
210 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Cyber incidents can result from unintentional events (such as an
inadvertent release of confidential information) or deliberate attacks (such as cyber extortion) by insiders or third parties, including
cyber criminals, competitors, nation-states and “hacktivists,” and can be perpetrated by a variety of complex means, including
the use of stolen access credentials, malware or other computer viruses, ransomware, phishing, structured query language injection attacks,
and distributed denial of service attacks, among other means. Cyber incidents and market disruptions may result in actual or potential
adverse consequences for critical information and communications technology, systems and networks that are vital to the operations of
the Fund or its service providers, or otherwise impair Fund or service provider operations. For example, a cyber incident may cause operational
disruptions and failures impacting information systems or information that a system processes, stores, or transmits, such as by theft,
damage or destruction, or corruption or modification of and denial of access to data maintained online or digitally, denial of service
on websites rendering the websites unavailable to intended users or not accessible for such users in a timely manner, and the unauthorized
release or other exploitation of confidential information. Recent geopolitical tensions may have increased the scale and sophistication
of deliberate cyber attacks, particularly from nation-states or entities with nation-state backing.
A cyber incident or sudden market disruption could adversely impact
the Fund, its service providers or its shareholders by, among other things, interfering with the processing of transactions or other operational
functionality, impacting the Fund’s ability to calculate its NAV or other data, causing the release of private shareholder information
(i.e., identity theft or other privacy breaches) or confidential Fund information or otherwise compromising the security and reliability
of information, impeding trading, causing reputational damage, and subjecting the Fund or its service providers to regulatory fines, penalties
or financial losses, reimbursement or other compensation or remediation costs, litigation expenses and additional compliance and cyber
security risk management costs, which may be substantial. The same could affect the exchange on which Fund shares trade. A cyber incident
could also adversely affect the ability of the Fund (and its Adviser) to invest or manage the Fund’s assets.
Cyber incidents and developments and disruptions to financial,
economic, public health, labor and other global market conditions can obstruct the regular functioning of business workforces (including
requiring employees to work from external locations or from their homes), cause business slowdowns or temporary suspensions of business
activities, each of which can negatively impact Fund service providers and Fund operations. Although the Fund and its service providers,
as well as exchanges and market participants through or with which the Fund trades and other infrastructures on which the Fund or its
service providers rely, may have established business continuity plans and systems reasonably designed to protect from and/or defend against
the risks or adverse consequences associated with cyber incidents and market disruptions, there are inherent limitations in these plans
and systems, including that certain risks may not yet be identified, in large part because different or unknown threats may emerge in the
future and the threats continue to rapidly evolve and increase in sophistication. As a result, it is not possible to anticipate and prevent
every cyber incident and possible obstruction to the normal activities of these entities’ employees resulting from market disruptions
and attempts to mitigate the occurrence or impact of such
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 211
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
events may be unsuccessful. For example, public health emergencies
and governmental responses to such emergencies, including through quarantine measures and travel restrictions, can create difficulties in
carrying out the normal working processes of these entities’ employees, disrupt their operations and hamper their capabilities.
The nature, extent, and potential magnitude of the adverse consequences of these events cannot be predicted accurately but may result
in significant risks, adverse consequences and costs to the Fund and its shareholders. The use of cloud-based service providers could
heighten all of the above risks.
The issuers of securities in which the Fund invests are also subject
to the ongoing risks and threats associated with cyber incidents and market disruptions. These incidents could result in adverse consequences
for such issuers and may cause the Fund’s investment in such securities to lose value. For example, a cyber incident involving an
issuer may include the theft, destruction or misappropriation of financial assets, intellectual property or other sensitive information
belonging to the issuer or their customers (i.e., identity theft or other privacy breaches) and a market disruption involving an issuer
may include materially reduced consumer demand and output, disrupted supply chains, market closures, travel restrictions and quarantines.
As a result, the issuer may experience the types of adverse consequences summarized above, among others (such as loss of revenue), despite
having implemented preventative and other measures reasonably designed to protect from and/or defend against the risks or adverse effects
associated with cyber incidents and market disruptions.
The Fund and its service providers, as well as exchanges and market
participants through or with which the Fund trades and other infrastructures on which the Fund or its service providers rely, are also
subject to the risks associated with technological and operational disruptions or failures arising from, for example, processing errors
and human errors, inadequate or failed internal or external processes, failures in systems and technology, errors in algorithms used with
respect to the Fund, changes in personnel, and errors caused by third parties or trading counterparties. Although the Fund attempts to
minimize such failures through controls and oversight, it is not possible to identify all of the operational risks that may affect the
Fund or to develop processes and controls that completely eliminate or mitigate the occurrence of such failures or other disruptions in
service.
Cyber incidents, market disruptions and operational errors or failures
or other technological issues may adversely affect the Fund’s ability to calculate its NAV correctly, in a timely manner or process
trades or Fund or shareholder transactions may be adversely affected, including over a potentially extended period. The Fund does not control
the cyber security, disaster recovery, or other operational defense plans or systems of its service providers, intermediaries, exchanges
where its shares trades, companies in which it invests or other third-parties. The value of an investment in Fund shares may be adversely
affected by the occurrence of the cyber incidents, market disruptions and operational errors or failures or technological issues summarized
above or other similar events and the Fund and its shareholders may bear costs tied to these risks. In addition, work-from-home arrangements
by the Fund, the Adviser or GPIM (or their service providers) could increase all of the above risks, create additional data and information
accessibility concerns, and make the Fund, the Adviser or GPIM (or their service providers) more susceptible to operational disruptions,
any of which
212 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
could adversely impact their operations. Furthermore, the Fund
may be an appealing target for cybersecurity threats such as hackers and malware.
ANTI-TAKEOVER PROVISIONS
The Fund’s Declaration of Trust and Bylaws, each as may be
amended and/or restated from time to time, include provisions that could limit the ability of other entities or persons to acquire control
of the Fund or convert the Fund to an open-end fund. These provisions could have the effect of depriving the Common Shareholders of opportunities
to sell their Common Shares at a premium over the then-current market price of the Common Shares.
In addition, investors should note that the Fund reserves the
right to merge or reorganize with another fund, liquidate or convert into an open-end fund, in each case subject to applicable approvals
by shareholders and the Fund’s Board of Trustees as required by law and the Fund’s governing documents.
EFFECTS OF LEVERAGE
Assuming that the Fund’s total Financial Leverage represented
approximately 17.5% of the Fund’s Managed Assets (based on the Fund’s outstanding Financial Leverage of $361,455,862 and interest
costs to the Fund at a combined average annual rate of 6.11% (based on the Fund’s average annual leverage costs for the fiscal year
ended May 31, 2024) with respect to such Financial Leverage, then the incremental income generated by the Fund’s portfolio (net
of estimated expenses including expenses related to the Financial Leverage) must exceed approximately 1.07% to cover such interest specifically
related to the debt. These numbers are merely estimates used for illustration. Actual interest rates may vary frequently and may be significantly
higher or lower than the rate estimated above.
The following table is furnished pursuant to requirements of the
SEC. It is designed to illustrate the effect of leverage on Common Share total return, assuming investment portfolio total returns (comprised
of income, net expenses and changes in the value of investments held in the Fund’s portfolio) of -10%, -5%, 0%, 5% and 10%. These
assumed investment portfolio returns are hypothetical figures and are not necessarily indicative of what the Fund’s investment portfolio
returns will be. The table further reflects the issuance of Financial Leverage representing approximately 17.5% of the Fund’s Managed
Assets and interest costs to the Fund at a combined average annual rate of 6.11% with respect to such Financial Leverage. The table does
not reflect any offering costs of Common Shares or Borrowings.
Assumed portfolio total return (net of expenses) |
(10.00%) |
(5.00%) |
0.00% |
5.00% |
10.00% |
Common Share total return |
(13.42%) |
(7.36%) |
(1.30%) |
4.77% |
10.83% |
Common Share total return is composed of two elements—the
Common Share dividends paid by the Fund (the amount of which is largely determined by the Fund’s net investment income after paying
the carrying cost of Financial Leverage) and realized and unrealized gains or losses on the value of the securities the Fund owns. As
required by SEC rules, the table assumes that the Fund is more likely to suffer capital loss than to enjoy capital appreciation. For example,
to assume a total
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 213
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
return of 0%, the Fund must assume that the net investment income
it receives on its investments is entirely offset by losses on the value of those investments. This table reflects the hypothetical performance
of the Fund’s portfolio and not the performance of the Common Shares, the value of which will be determined by market and other
factors.
During the time in which the Fund is utilizing Financial Leverage,
the amount of the fees paid to the Adviser by the Fund (and by the Adviser to GPIM) for investment advisory services will be higher than
if the Fund did not utilize Financial Leverage because the fees paid will be calculated based on the Fund’s Managed Assets which
may create a conflict of interest between the Adviser and GPIM and the Common Shareholders. Because the Financial Leverage costs will
be borne by the Fund at a specified rate, only the Common Shareholders will bear the cost of the Fund’s fees and expenses. The Fund
generally will not use Financial Leverage if the Adviser and GPIM anticipate that such use would result in a lower return to Common Shareholders
for any significant amount of time.
INTEREST RATE TRANSACTIONS
In connection with the Fund’s use of Financial Leverage,
the Fund may enter into interest rate swap or cap transactions. Interest rate swaps involve the Fund’s agreement with the swap counterparty
to pay a fixed-rate payment in exchange for the counterparty’s paying the Fund a variable rate payment that is intended to approximate
all or a portion of the Fund’s variable-rate payment obligation on the Fund’s Financial Leverage. The payment obligation would
be based on the notional amount of the swap, which will not exceed the amount of the Fund’s Financial Leverage.
The Fund may use an interest rate cap, which would require it to
pay a premium to the cap counterparty and would entitle it, to the extent that a specified variable-rate index exceeds a predetermined
fixed rate, to receive payment from the counterparty of the difference based on the notional amount. The Fund would use interest rate swaps
or caps only with the intent to reduce or eliminate the risk that an increase in short-term interest rates could have on Common Share
net earnings as a result of Financial Leverage.
The Fund will usually enter into swaps or caps on a net basis;
that is, the two payment streams will be netted out in a cash settlement on the payment date or dates specified in the instrument, with
the Fund’s receiving or paying, as the case may be, only the net amount of the two payments.
The use of interest rate swaps and caps is a highly specialized
activity that involves investment techniques and risks different from those associated with ordinary portfolio security transactions. Depending
on the state of interest rates in general, the Fund’s use of interest rate instruments could enhance or harm the overall performance
of the Common Shares. To the extent there is a decline in interest rates, the net amount receivable by the Fund under the interest rate
swap or cap could decline and could thus result in a decline in the net asset value of the Common Shares. In addition, if short-term interest
rates are lower than the Fund’s fixed rate of payment on the interest rate swap, the swap will reduce Common Share net earnings
if the Fund must make net payments to the counterparty. If, on the other hand, short-term interest rates are higher than the fixed rate
of payment on the interest rate swap, the swap will enhance Common Share net earnings if the
214 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
Fund receives net payments from the counterparty. Buying interest
rate caps could enhance the performance of the Common Shares by limiting the Fund’s maximum leverage expense.
Buying interest rate caps could also decrease the net earnings
of the Common Shares if the premium paid by the Fund to the counterparty exceeds the additional cost of the Financial Leverage that the
Fund would have been required to pay had it not entered into the cap agreement.
Interest rate swaps and caps do not involve the delivery of securities
or other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount
of interest payments that the Fund is contractually obligated to make. The Fund will be subject to credit risk with respect to the counterparties
to interest rate transactions entered into by the Fund. If a counterparty becomes bankrupt or otherwise fails to perform its obligations
under a derivative contract, the Fund may experience significant delays in obtaining any recovery under the derivative contract in bankruptcy
or other reorganization proceedings. The Fund may obtain only a limited recovery or may obtain no recovery in such circumstances. Depending
on whether the Fund would be entitled to receive net payments from the counterparty on the swap or cap, which in turn would depend on
the general state of short-term interest rates at that point in time, such default by a counterparty could negatively impact the performance
of the Common Shares.
Although this will not guarantee that the counterparty does not
default, the Fund will not enter into an interest rate swap or cap transaction with any counterparty that GPIM believes does not have
the financial resources to honor its obligation under the interest rate swap or cap transaction. Further, GPIM will regularly monitor
the financial stability of a counterparty to an interest rate swap or cap transaction in an effort to seek to proactively protect the Fund’s
investments.
In addition, at the time the interest rate swap or cap transaction
reaches its scheduled termination date, there is a risk that the Fund will not be able to obtain a replacement transaction or that the
terms of the replacement will not be as favorable as on the expiring transaction. If this occurs, it could have a negative impact on the
performance of the Common Shares.
The Fund may choose or be required to prepay Indebtedness. Such
a prepayment would likely result in the Fund’s seeking to terminate early all or a portion of any swap or cap transaction. Such
early termination of a swap could result in a termination payment by or to the Fund. An early termination of a cap could result in a termination
payment to the Fund. There may also be penalties associated with early termination.
FUNDAMENTAL INVESTMENT RESTRICTIONS
The Fund operates under the following restrictions that constitute
fundamental policies that, except as otherwise noted, cannot be changed without the affirmative vote of the holders of a majority of the
outstanding voting securities of the Fund voting together as a single class, which is defined by the 1940 Act as the lesser of (i) 67%
or more of the Fund’s voting securities present at a meeting, if the holders of more than 50% of the Fund’s outstanding voting
securities are present or represented by proxy; or (ii) more than 50% of the Fund’s outstanding voting securities. Except as otherwise
noted, all percentage limitations set forth below apply immediately after a purchase or
GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT l 215
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
initial investment and any subsequent change in any applicable
percentage resulting from market fluctuations does not require any action. These restrictions provide that the Fund shall not:
1. | | Issue senior securities nor borrow money, except the Fund may issue senior securities or
borrow money to the extent permitted by applicable law. |
2. | | Act as an underwriter of securities issued by others, except to the extent that, in connection
with the disposition of portfolio securities, it may be deemed to be an underwriter under applicable securities laws. |
3. | | Invest in any security if, as a result, 25% or more of the value of the Fund’s total
assets, taken at market value at the time of each investment, are in the securities of issuers in any particular industry, except that
this policy shall not apply to securities issued or guaranteed by the U.S. government and its agencies and instrumentalities or tax-exempt
securities of state and municipal governments or their political subdivisions. |
4. | | Purchase or sell real estate except that the Fund may: (a) acquire or lease office space
for its own use, (b) invest in securities of issuers that invest in real estate or interests therein or that are engaged in or operate
in the real estate industry, (c) invest in securities that are secured by real estate or interests therein, (d) purchase and sell mortgage-related
securities, (e) hold and sell real estate acquired by the Fund as a result of the ownership of securities and (f) as otherwise permitted
by applicable law. |
5. | | Purchase or sell physical commodities unless acquired as a result of ownership of securities
or other instruments; provided that this restriction shall not prohibit the Fund from purchasing or selling options, futures contracts
and related options thereon, forward contracts, swaps, caps, floors, collars and any other financial instruments or from investing in
securities or other instruments backed by physical commodities or as otherwise permitted by applicable law. |
6. | | Make loans of money or property to any person, except (a) to the extent that securities or
interests in which the Fund may invest are considered to be loans, (b) through the loan of portfolio securities in an amount up to 33%
of the Fund’s total assets, (c) by engaging in repurchase agreements or (d) as may otherwise be permitted by applicable law. |
The Fund is a diversified, closed-end management investment company
and will not invest in a manner inconsistent with its classification as a “diversified company” as provided by the 1940 Act,
the rules and regulations promulgated by the SEC under the 1940 Act or an exemption or other relief applicable to the Fund from provisions
of the 1940 Act. Under the 1940 Act, a “diversified company” may not with respect to 75% of its total assets, invest more
than 5% of the value of its total assets in the securities of any single issuer or purchase more than 10% of the outstanding securities
of any one issuer. The Fund’s classification as a diversified management investment company cannot be changed without the affirmative
vote of the holders of a majority of the outstanding voting securities of the Fund voting together as a single class.
216 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
ADDITIONAL INFORMATION REGARDING THE FUND (Unaudited) continued |
May 31, 2024 |
For purposes of applying the limitation set forth in subparagraph
(3) above to securities that have a security interest or other collateral claim on specified underlying collateral (such as asset-backed
securities, mortgage-backed securities and collateralized debt and loan obligations) the Fund will determine the industry classifications
of such investments based on GPIM’s evaluation of the risks associated with the collateral underlying such investments.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 217
This Page Intentionally Left Blank
This Page Intentionally Left Blank
This Page Intentionally Left Blank
This Page Intentionally Left Blank
|
|
FUND INFORMATION |
May 31, 2024 |
Board of Trustees
Randall C. Barnes
Angela Brock-Kyle
Amy J. Lee*
Thomas F. Lydon, Jr.
Ronald A. Nyberg
Sandra G. Sponem
Ronald E. Toupin, Jr.,
Chairman
* This Trustee is an “interested person”
(as defined in Section 2(a)(19) of the 1940 Act) (“Interested Trustee”) of the Fund because of her affiliation with Guggenheim
Investments.
Principal Executive Officers
Brian E. Binder
President and Chief Executive Officer
Joanna M. Catalucci
Chief Compliance Officer
Amy J. Lee
Vice President and Chief Legal Officer
Mark E. Mathiasen
Secretary
James M. Howley
Chief Financial Officer, Chief Accounting Officer
and Treasurer |
Investment Adviser
Guggenheim Funds Investment Advisors, LLC
Chicago, IL
Investment Sub-Adviser
Guggenheim Partners Investment Management, LLC
Santa Monica, CA
Administrator and Accounting Agent
MUFG Investor Services (US), LLC Rockville, MD
Custodian
The Bank of New York Mellon Corp. New York, NY
Legal Counsel
Dechert LLP Washington, D.C.
Independent Registered Public Accounting Firm
Ernst & Young LLP
Tysons, VA |
222 l GOF l GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT
|
|
FUND INFORMATION continued |
May 31, 2024 |
Privacy Principles of Guggenheim Strategic Opportunities Fund
for Shareholders
The Fund is committed to maintaining the privacy of its shareholders
and to safeguarding its non-public personal information. The following information is provided to help you understand what personal information
the Fund collects, how we protect that information and why, in certain cases, we may share information with select other parties.
Generally, the Fund does not receive any non-public personal information
relating to its shareholders, although certain non-public personal information of its shareholders may become available to the Fund. The
Fund does not disclose any non-public personal information about its shareholders or former shareholders to anyone except as permitted
by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).
The Fund restricts access to non-public personal information about
the shareholders to Guggenheim Funds Investment Advisors, LLC employees with a legitimate business need for the information. The Fund
maintains physical, electronic and procedural safeguards designed to protect the non-public personal information of its shareholders.
Questions concerning your shares of Guggenheim Strategic Opportunities
Fund?
• | | If your shares are held in a Brokerage Account, contact your Broker. |
• | | If you have physical possession of your shares in certificate form, contact the Fund’s
Transfer Agent: Computershare Trust Company, N.A., P.O. Box 30170 College Station, TX 77842-3170; (866) 488-3559 or online at www.computershare.com/investor |
This report is provided to shareholders of Guggenheim Strategic
Opportunities Fund for their information. It is not a Prospectus, circular or representation intended for use in the purchase or sale
of shares of the Fund or of any securities mentioned in this report.
Paper copies of the Fund’s annual and semi-annual shareholder
reports are not sent by mail, unless you specifically request paper copies of the reports. Instead, the reports are made available on
a website, and you are notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive paper copies of all future shareholder
reports free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you
may receive paper copies of your shareholder reports; if you invest directly with the Fund, you may call Computershare at 1-866-488-3559.
Your election to receive reports in paper form may apply to all funds held in your account with your financial intermediary or, if you
invest directly, to all Guggenheim closed-end funds you hold.
The Fund's Statement of Additional Information includes additional
information about directors of the Fund and is available, without charge, upon request, by calling the Fund at (888) 991-0091.
A description of the Fund’s proxy voting policies and procedures
related to portfolio securities is available without charge, upon request, by calling the Fund at (888) 991-0091 and on the SEC's website
at www.sec.gov.
Information regarding how the Fund voted proxies for portfolio
securities, if applicable, during the most recent 12-month period ended June 30, is also available, without charge and upon request by
calling (888) 991-0091, by visiting the Fund’s website at guggenheiminvestments.com/gof or by accessing the Fund’s Form N-PX
on the U.S. Securities and Exchange Commission’s (SEC) website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with
the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for the reporting periods ended prior to August 31, 2019,
filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC website at www.sec.gov or at guggenheiminvestments.com/gof.
Notice to Shareholders
Notice is hereby given in accordance with Section 23(c) of the
Investment Company Act of 1940, as amended, that the Fund from time to time may purchase shares of its common stock in the open market
or in private transactions.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT l 223
ABOUT
THE FUND MANAGERS
Guggenheim Funds Investment Advisors, LLC
Guggenheim Investments represents the investment management businesses
of Guggenheim Partners, LLC (“Guggenheim”), which includes Guggenheim Funds Investment Advisors, LLC (“GFIA”)
the investment adviser to the referenced fund. Collectively Guggenheim Investments has a long, distinguished history of serving institutional
investors, ultra-high-net-worth individuals, family offices and financial intermediaries. Guggenheim Investments offers clients a wide
range of differentiated capabilities built on a proven commitment to investment excellence.
Guggenheim Partners Investment Management, LLC
Guggenheim Partners Investment Management, LLC (“GPIM”)
is an indirect subsidiary of Guggenheim Partners, LLC, a diversified financial services firm. The firm provides capital markets services,
portfolio and risk management expertise, wealth management, and investment advisory services. Clients of Guggenheim Partners, LLC subsidiaries
are an elite mix of individuals, family offices, endowments, foundations, insurance companies and other institutions.
Investment Philosophy
GPIM’s investment philosophy is predicated upon the belief
that thorough research and independent thought are rewarded with performance that has the potential to outperform benchmark indexes with
both lower volatility and lower correlation of returns over time as compared to such benchmark indexes.
Investment Process
GPIM’s investment process is a collaborative effort between
various groups including the Portfolio Construction Group, which utilize proprietary portfolio construction and risk modeling tools to
determine allocation of assets among a variety of sectors, and its Sector Specialists, who are responsible for identifying investment
opportunities in particular securities within these sectors, including the structuring of certain securities directly with the issuers
or with investment banks and dealers involved in the origination of such securities.
Guggenheim Funds Distributors, LLC
227 West Monroe Street
Chicago, IL 60606
Member FINRA/SIPC
(07/24)
NOT FDIC-INSURED l NOT BANK-GUARANTEED
l MAY LOSE VALUE
CEF-GOF-AR-0524
Item 2. Code of Ethics.
(a) The
registrant has adopted a code of ethics (the "Code of Ethics") that applies to its principal executive officer, principal financial
officer, principal accounting officer or controller, or persons performing similar functions.
(b) No
information need be disclosed pursuant to this paragraph.
(c) The
registrant has not amended its Code of Ethics during the period covered by the report presented in Item 1 hereto.
(d) The
registrant has not granted a waiver or an implicit waiver to its principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions from a provision of its Code of Ethics during the period covered
by this report.
(e) Not
applicable.
(f) (1)
The registrant's Code of Ethics is attached hereto as Exhibit (a)(1).
(2) Not applicable.
(3) Not applicable.
Item 3. Audit Committee Financial
Expert.
The registrant's Board of Trustees has determined
that it has at least one audit committee financial expert serving on its audit committee (the “Audit Committee”), Sandra
G. Sponem. Ms. Sponem is “independent,” meaning that she is not an “interested person” of the Registrant (as
that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended) and she does not accept any consulting, advisory,
or other compensatory fee from the Registrant (except in her capacity as a Board or committee member).
(Under applicable securities laws,
a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including
without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an
audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose
on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such
person as a member of the audit committee and Board of Trustees in the absence of such designation or identification. The designation
or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other
member of the audit committee or Board of Trustees.)
Item 4. Principal Accountant Fees
and Services.
(a) Audit
Fees: the aggregate Audit Fees billed for professional services rendered by the principal accountant for the audit of the registrant's
annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings
or engagements were $103,560 and $100,544 for the fiscal years ended May 31, 2024,
and May 31, 2023, respectively.
(b) Audit-Related
Fees: the aggregate Audit-Related Fees billed for assurance and related services by the principal accountant that are reasonably
related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph 4(a) of this
Item 4, were $43,950 and $14,167 for the
fiscal years ended May 31, 2024, and May 31, 2023,
respectively.
(c) Tax Fees:
the aggregate Tax Fees billed for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning,
including federal, state and local income tax return preparation and related advice and determination of taxable income and miscellaneous
tax advice were $34,945 and $34,338 for the
fiscal years ended May 31, 2024, and May 31, 2023,
respectively. These services consisted of [(i) preparation of U.S. federal, state and excise tax returns; (ii) U.S. federal and state
tax planning, advice and assistance regarding statutory, regulatory or administrative developments, (iii) tax advice regarding tax qualification
matters and/or treatment of various financial instruments held or proposed to be acquired and (iv) review of U.S. federal excise distribution
calculations.
(d) All Other
Fees: the aggregate All Other Fees billed for products and services provided by the principal accountant, other than the services
reported in paragraphs (a) through (c) of this Item 4 were $0 and $0
for the fiscal years ended May 31, 2024, and May 31, 2023,
respectively.
(e) Audit Committee Pre-Approval
Policies and Procedures.
1. Pre-Approval Policy (Trusts).
Pre-approve any engagement of the independent auditors to provide any services, other than “prohibited non-audit services,”
to the Trust, including the fees and other compensation to be paid to the independent auditors (unless an exception is available under
Rule 2-01 of Regulation S-X).
(a) The categories of services to
be reviewed and considered for pre-approval include those services set forth under Section II.A.1. of the Background and Definitions
for Audit Committee Charter (collectively, “Identified Services”).
(b) The Committee
has pre-approved Identified Services for which the estimated fees are less than $25,000.
(c) For Identified Services with
estimated fees of $25,000 or more, but less than $50,000, the Chair or any member of the Committee designated by the Chair is hereby
authorized to pre-approve such Identified Services on behalf of the Committee.
(d) For Identified Services with
estimated fees of $50,000 or more, such Identified Services require pre-approval by the Committee.
(e) All requests for Identified
Services to be provided by the independent auditor that were pre-approved by the Committee shall be submitted to the Principal/Chief
Accounting Officer (“CAO”) of the Trust by the independent auditor using the pre-approval request form. The Trust’s
CAO will determine whether such services are included within the list of services that have received the general pre-approval of the
Committee.
(f) The independent auditors or
the CAO of the Trust (or an officer of the Trust who reports to the CAO) shall report to the Committee at each of its regular scheduled
meetings all audit, audit-related and permissible non-audit services initiated since the last such report (unless the services were contained
in the initial audit plan, as previously presented to, and approved by, the Committee). The report shall include a general description
of the services and projected fees, and the means by which such services were approved by the Committee (including the particular category
of Identified Services under which pre-approval was obtained).
2. Pre-Approval Policy (Adviser
or Any Control Affiliate). Pre-approve any engagement of the independent auditors, including the fees and other compensation to be paid
to the independent auditors, to provide any non-audit services to the Adviser (or any “control affiliate” of the Adviser
providing ongoing services to the Trust), if the engagement relates directly to the operations or financial reporting of the Trust (unless
an exception is available under Rule 2-01 of Regulation S-X).
(a) The Chair or any member of the
Committee designated by the Chair may grant the pre-approval for non-audit services to the Adviser (or any “control affiliate”
of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which
the estimated fees are less than $25,000. All such delegated pre-approvals shall be presented to the Committee no later than the next
Committee meeting.
(b) For non-audit services to the
Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations
or financial reporting of the Trust for which the estimated fees are $25,000 or more, such services require pre-approval by the Committee.
a. Pre-Approval Requirements
i. Categories
of Services to be Reviewed and Considered for Pre-Approval
1. Audit Services
a. Annual
financial statement audits
b. Seed audits
(related to new product filings, as required)
c. SEC and
regulatory filings and consents
2. Audit-Related
Services
a. Accounting consultations
b. Fund merger/reorganization support
services
c. Other accounting related matters
d. Agreed upon procedures reports
e. Attestation reports
f. Other internal
control reports
3. Tax Services
a. Recurring
tax services:
i. Preparation of Federal and
state income tax returns, including extensions
ii. Preparation of calculations
of taxable income, including fiscal year tax designations
iii.Preparation of annual Federal
excise tax returns (if applicable)
iv.Preparation of calendar year
excise distribution calculations
v. Calculation of tax equalization
on an as-needed basis
vi.Preparation of monthly/quarterly
estimates of tax undistributed position for closed-end funds
vii.Preparation of the estimated
excise distribution calculations on an as-needed basis
viii.Preparation of calendar year
shareholder reporting designations on Form 1099
ix.Preparation of quarterly Federal,
state and local and franchise tax estimated tax payments on an as-needed basis
x. Preparation of state apportionment
calculations to properly allocate Fund taxable income among the states for state tax filing purposes
xi.Assistance with management’s
identification of passive foreign investment companies (PFICs) for tax purposes
b. Permissible
non-recurring tax services upon request:
i. Assistance with determining
ownership changes which impact a Fund’s utilization of loss carryforwards
ii. Assistance with corporate
actions and tax treatment of complex securities and structured products
iii.Assistance with IRS ruling
requests and calculation of deficiency dividends
iv.Conduct training sessions for
the Adviser’s internal tax resources
v. Assistance with Federal, state,
local and international tax planning and advice regarding the tax consequences of proposed or actual transactions
vi.Tax services related to amendments
to Federal, state and local returns and sales and use tax compliance
vii.RIC qualification reviews
viii.Tax distribution analysis
and planning
ix.Tax authority examination services
x. Tax appeals support services
xi.Tax accounting methods studies
xii.Fund merger, reorganization
and liquidation support services
xiii.Tax compliance, planning
and advice services and related projects
xiv.Assistance with out of state
residency status
xv.Provision of tax compliance
services in India for Funds with direct investments in India
(2) None of the services described
in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation
S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed
by the registrant's accountant for services rendered to the registrant, the registrant’s investment adviser (not including a sub-adviser
whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and/or any entity
controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that directly related
to the operations and financial reporting of the registrant were $78,895 and $48,505
for the fiscal years ended May 31, 2024 and May 31, 2023,
respectively.
(h) Not applicable.
(i) Not applicable.
(j) Not applicable.
Item 5. Audit Committee of Listed
Registrants.
(a)
The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities
Exchange Act of 1934, as amended. The Audit Committee of the registrant is composed of: Randall C. Barnes; Angela Brock-Kyle; Thomas
F. Lydon, Jr.; Ronald A. Nyberg; Sandra G. Sponem; and Ronald E. Toupin, Jr.
(b) Not applicable.
Item 6. Schedule of Investments.
The Schedule of Investments is included
as part of Item 1.
Item 7. Financial Statements and
Financial Highlights for Open-End Management Investment Companies.
| (a) | Not
applicable to this registrant. |
| (b) | Not
applicable to this registrant. |
Item 8. Changes in and Disagreements
with Accountants for Open-End Management Investment Companies.
Not applicable to this registrant.
Item 9. Proxy Disclosures for
Open-End Management Investment Companies.
Not applicable to this registrant.
Item 10. Remuneration Paid to
Directors, Officers, and Others of Open-End Management Investment Companies.
Not applicable to this registrant.
Item 11. Statement Regarding Basis
for Approval of Investment Advisory Contract.
The statement regarding basis for approval of investment advisory contract is included in the annual report provided in Item 1. Reports to Stockholders.
Item 12. Disclosure of Proxy Voting
Policies and Procedures for Closed-End Management Investment Companies.
The registrant has delegated the
voting of proxies relating to its voting securities to the registrant’s investment sub-adviser, Guggenheim Partners Investment
Management, LLC (“GPIM”). Guggenheim’s proxy voting policies and procedures are included as Exhibit (c) hereto.
Item 13. Portfolio Managers of
Closed-End Management Investment Companies.
(a)(1) GPIM serves as sub-adviser for the
registrant and is responsible for the day-to-day management of the registrant’s portfolio. GPIM uses a team approach
to manage client portfolios. Day to day management of a client portfolio is conducted under the auspices of GPIM’s Portfolio
Construction Group (“PCG”). PCG’s members include the Chief Investment Officer (“CIO”) and other
key investment personnel. The PCG, in consultation with the CIO, provides direction for overall investment strategy. The
PCG performs several duties as it relates to client portfolios including: determining both tactical and strategic asset allocations;
monitoring portfolio adherence to asset allocation targets; providing sector specialists with direction for overall investment strategy,
which may include portfolio design and the rebalancing of portfolios; performing risk management oversight; assisting sector managers
and research staff in determining the relative valuation of market sectors; and providing a forum for the regular discussion of the economy
and the financial markets to enhance the robustness of GPIM’s strategic and tactical policy directives.
The following individuals
at GPIM share primary responsibility for the management of the registrant’s portfolio and is provided as of May 31, 2024:
Name |
Since |
Professional
Experience During the Last Five Years |
|
|
|
|
Anne
B. Walsh, CFA, FLMI –Managing Partner and CIO |
2007 |
Guggenheim
Partners Investment Management, LLC: Senior Managing Director and Assistant CIO – 2007–2021; Managing Partner and CIO-
Fixed Income - 2021- Present |
|
|
|
|
|
Steven
Brown – Senior Managing Director and CIO, Fixed Income |
2017 |
Guggenheim
Partners Investment Management, LLC Senior Managing Director 2019- Present; Managing Director – 2016 to 2019; Guggenheim Partners
Investment Management, LLC – Director 2014 to 2016; Guggenheim Partners Investment Management, LLC – Vice President 2013
to 2014; Senior Associate 2012 to 2013. |
|
Adam
Bloch – Managing Director |
2018 |
Guggenheim
Partners Investment Management, LLC: Managing Director 2019- Present; Director – 2015- 2019; Vice President – 2014-2015;
Senior Associate – 2013-2014; Associate – 2012-2013. Bank of America Merrill Lynch: Associate – 2011-2012. |
|
Evan
Serdensky – Managing Director |
2022 |
Guggenheim
Partners Investment Management, LLC: Managing Director 2023-Present; Director 2018- 2023; |
|
(a)(2)(i-iii) Other Accounts Managed
by the Portfolio Managers
The following tables summarize information
regarding each of the other accounts managed by the Guggenheim portfolio managers as of May 31, 2024:
Anne Walsh:
|
|
|
|
|
|
|
|
|
Type
of Account |
|
Number
of Accounts |
Total
Assets in the Accounts |
|
Number
of Accounts In Which the Advisory Fee is Based on Performance |
Total
Assets in the Accounts In Which the Advisory Fee is Based on Performance |
Registered
investment companies |
|
19 |
$ 42,968,670,918
|
|
|
0 |
$ 0
|
Other
pooled investment vehicles |
|
5 |
$
2,419,422,117 |
|
|
3 |
$ 1,625,959,739
|
|
Other
accounts |
|
50 |
$ 116,636,639,894
|
|
|
1 |
$ 108,428,912
|
|
|
|
|
|
|
|
|
|
|
|
Steve Brown:
|
|
|
|
|
|
|
|
|
Type
of Account |
|
Number
of Accounts |
Total
Assets in the Accounts |
|
Number
of Accounts In Which the Advisory Fee is Based on Performance |
Total
Assets in the Accounts In Which the Advisory Fee is Based on Performance |
Registered
investment companies |
|
19 |
$ 42,968,670,918
|
|
|
0 |
$ 0 |
Other
pooled investment vehicles |
|
10 |
$ 3,052,476,916
|
|
|
3 |
$ 1,625,959,739
|
|
Other
accounts |
|
41 |
$ 20,878,576,145
|
|
|
1 |
$ 108,428,912
|
|
|
|
|
|
|
|
|
|
|
|
|
Adam Bloch:
|
|
|
|
|
|
|
|
|
Type
of Account |
|
Number
of Accounts |
Total
Assets in the Accounts |
|
Number
of Accounts In Which the Advisory Fee is Based on Performance
|
Total
Assets in the Accounts In Which the Advisory Fee is Based on Performance |
Registered
investment companies |
|
21 |
$ 41,835,438,630
|
|
|
0 |
$
0 |
Other
pooled investment vehicles |
|
10 |
$ 3,052,476,916
|
|
|
3 |
$ 1,625,959,739
|
|
Other
accounts |
|
41 |
$ 21,940,264,652
|
|
|
1 |
$ 108,428,912
|
|
|
|
|
|
|
|
|
|
|
|
|
Evan Serdensky:
|
|
|
|
|
|
|
|
|
Type
of Account |
|
Number
of Accounts |
Total
Assets in the Accounts |
|
Number
of Accounts In Which the Advisory Fee is Based on Performance |
Total
Assets in the Accounts In Which the Advisory Fee is Based on Performance |
Registered
investment companies |
|
15 |
$ 41,619,741,153
|
|
|
0 |
$ 0 |
Other
pooled investment vehicles |
|
3 |
$ 1,595,795,612
|
|
|
1 |
$ 201,204,522
|
|
Other
accounts |
|
38 |
$ 20,866,143,560
|
|
|
1 |
$ 108,428,912
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)(2)(iv) Potential Conflicts of Interest
Actual or apparent conflicts of interest
may arise when a portfolio manager has day-to-day management responsibilities with respect to more than one fund or other account. More
specifically, portfolio managers who manage multiple funds and/or other accounts may be presented with one or more of the following potential
conflicts.
The management of multiple funds and/or
other accounts may result in a portfolio manager devoting unequal time and attention to the management of each fund and/or other account.
GPIM seeks to manage such competing interests for the time and attention of a portfolio manager by having the portfolio manager focus
on a particular investment discipline. Specifically, the ultimate decision maker for security selection for each client portfolio is
the Sector Specialist Portfolio Manager. They are responsible for analyzing and selecting specific securities that they believe
best reflect the risk and return level as provided in each client’s investment guidelines.
GPIM may have clients with similar investment
strategies. As a result, if an investment opportunity would be appropriate for more than one client, GPIM may be required
to choose among those clients in allocating such opportunity, or to allocate less of such opportunity to a client than it would ideally
allocate if it did not have to allocate to multiple clients. In addition, GPIM may determine that an investment opportunity
is appropriate for a particular account, but not for another.
Allocation decisions are made in accordance
with the investment objectives, guidelines, and restrictions governing the respective clients and in a manner that will not unfairly
favor one client over another. GPIM’s allocation policy provides that investment decisions must never be based upon account performance
or fee structure. Accordingly, GPIM’s allocation procedures are designed to ensure that investment opportunities are
allocated equitably among different client accounts over time. The procedures also seek to ensure reasonable efficiency in
client transactions and to provide portfolio managers with flexibility to use allocation methodologies appropriate to GPIM’s investment
disciplines and the specific goals and objectives of each client account.
In order to minimize execution costs and
obtain best execution for clients, trades in the same security transacted on behalf of more than one client may be aggregated. In
the event trades are aggregated, GPIM’s policy and procedures provide as follows: (i) treat all participating client accounts fairly;
(ii) continue to seek best execution; (iii) ensure that clients who participate in an aggregated order will participate at the average
share price with all transaction costs shared on a pro-rata basis based on each client’s participation in the transaction; (iv)
disclose its aggregation policy to clients.
GPIM, as a fiduciary to its clients, considers
numerous factors in arranging for the purchase and sale of clients’ portfolio securities in order to achieve best execution for
its clients. When selecting a broker, individuals making trades on behalf of GPIM clients consider the full range and quality
of a broker’s services, including execution capability, commission rate, price, financial stability and reliability. GPIM
is not obliged to merely get the lowest price or commission but also must determine whether the transaction represents the best qualitative
execution for the account.
In the event that multiple broker/dealers
make a market in a particular security, GPIM’s Portfolio Managers are responsible for selecting the broker-dealer to use with respect
to executing the transaction. The broker-dealer will be selected on the basis of how the transaction can be executed to achieve
the most favorable execution for the client under the circumstances. In many instances, there may only be one counter-party
active in a particular security at a given time. In such situations the Employee executing the trade will use his/her best
effort to obtain the best execution from the counter-party.
GPIM and the registrant have adopted certain
compliance procedures which are designed to address these types of conflicts. However, there is no guarantee that such procedures will
detect each and every situation in which a conflict arises.
(a)(3) Portfolio
Manager Compensation
GPIM compensates the portfolio managers
for their management of the registrant’s portfolio. Compensation is evaluated based on their contribution to investment performance
relative to pertinent benchmarks and qualitatively based on factors such as teamwork and client service efforts. GPIM’s
staff incentives may include: a competitive base salary, bonus determined by individual and firm wide performance, equity participation,
and participation opportunities in various GPIM investments. All GPIM employees are also eligible to participate in a 401(k)
plan to which GPIM may make a discretionary match after the completion of each plan year.
(a)(4) Portfolio Manager Securities Ownership
The following table discloses the dollar
range of equity securities of the registrant beneficially owned by each GPIM portfolio manager as of May 31, 2024:
Name of Portfolio Manager |
Dollar Amount of Equity
Securities in Fund |
|
|
Anne B. Walsh |
$500,001-$1,000,000 |
Steven Brown |
None |
Adam Bloch |
None |
Evan Serdensky None
Item 14. Purchases of Equity Securities
by Closed-End Management Investment Company and Affiliated Purchasers.
None.
Item 15. Submission of Matters
to a Vote of Security Holders.
The registrant has not made any material
changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.
Item 16. Controls and Procedures.
(a) The registrant's principal executive
officer and principal financial officer have evaluated the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act) as of a date within 90 days of this filing and have concluded based on such evaluation, as required
by Rule 30a-3(b) under the Investment Company Act, that the registrant's disclosure controls and procedures were effective, as of that
date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized,
and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b) There were no changes in the
registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred
during the registrant’s period covered by this report that have materially affected, or are reasonably likely to materially affect,
the registrant’s internal control over financial reporting.
Item 17. Disclosure of Securities
Lending Activities for Closed-End Management Investment Companies.
(a) The registrant has not participated
in securities lending activities during the period covered by this report.
(b) Not applicable
Item
18. Recovery of Erroneously Awarded Compensation.
(a) Not
applicable.
(b) Not
applicable
Item 19. Exhibits.
(a)(1) Code of Ethics for Chief Executive and Senior Financial Officers.
(a)(2) Certifications of principal executive officer and principal financial officer pursuant to Rule 30a-2(a) under the Investment Company Act.
(a)(3) Not applicable.
(b) Certification of principal executive officer and principal financial officer pursuant to Rule 30a-2(b) under the Investment Company Act and Section 906 of the Sarbanes-Oxley Act of 2002.
(c) Guggenheim
Partners Investment Management, LLC Proxy Voting Policies and Procedures.
(d) Consent of Independent Registered Public Accounting Firm.
SIGNATURES
Pursuant to the
requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Guggenheim Strategic
Opportunities Fund
By: /s/ Brian E. Binder
Name: Brian
E. Binder
Title: President and Chief Executive
Officer
Date: August
2, 2024
Pursuant to the
requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ Brian E. Binder
Name: Brian
E. Binder
Title: President and Chief Executive
Officer
Date: August
2, 2024
By: /s/ James Howley
Name: James Howley
Title: Chief Financial Officer,
Chief Accounting Officer and Treasurer
Date: August
2, 2024
CODE OF ETHICS FOR
PRINCIPAL EXECUTIVE AND
SENIOR FINANCIAL
OFFICERS
I. Covered
Officers/Purpose of the Code
This code of ethics
(the “Code”) is applicable to Guggenheim Funds (each a “Company” and together the “Companies,” each
set forth in Exhibit A) and applies to the Companies’ President/CEO (Principal Executive Officer), and CFO/Treasurer (Principal
Financial and Accounting Officer) (the “Covered Officers”) for the purpose of promoting:
- honest and ethical conduct, including the ethical
handling of actual or apparent conflicts of interest between personal and professional relationships;
- full, fair, accurate, timely and understandable
disclosure in reports and documents that a registrant files with, or submits to, the Securities and Exchange Commission (“SEC”)
and in other public communications made by the Company;
- compliance with applicable laws and governmental
rules and regulations;
- the prompt internal reporting of violations
of the Code to an appropriate person or persons identified in the Code; and
- accountability for adherence to the Code.
Covered Officers are
expected to dedicate their best efforts to advancing the Trust’s interests and to use objective and unbiased standards when making
decisions that affect the Trust, while being sensitive to situations that may give rise to actual conflicts of interest, as well as apparent
conflicts of interest.
| II. | Covered
Officers Should Handle Ethically Actual and Apparent Conflicts of Interest |
Overview.
A “conflict of interest” occurs when a Covered Officer’s private interest interferes with the interests of, or
his or her service to, the Company. For example, a conflict of interest would arise if a Covered Officer, or a member of his or her family,
receives improper personal benefits as a result of his or her position with the Company.
Certain
conflicts of interest arise out of the relationships between Covered Officers and the Company and already are subject to conflict of
interest provisions in the Investment Company Act of 1940 (“Investment Company Act”) and the Investment Advisers Act of 1940
(“Investment Advisers Act”). For example, Covered Officers may not individually engage in certain transactions (such as the
purchase or sale of securities or other property) with the Company because of their status as “affiliated persons” of the
Company. The Company's and the investment adviser's compliance programs and procedures are designed to prevent, or identify and correct,
violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such
conflicts fall outside of the parameters of this Code.
Although
typically not presenting an opportunity for improper personal benefit, conflicts arise from, or result from, the contractual relationship
between the Company and the investment adviser of which the Covered Officers are also officers or employees. As a result, this Code recognizes
that the Covered Officers will, in the normal course of their duties (whether formally for the Company or for the adviser, or for both),
be involved in establishing policies and implementing decisions that will have different effects on the adviser and the Company. The
participation of the Covered Officers in such activities is inherent in the contractual relationship between the Company and the adviser
and is consistent with the performance by the Covered Officers of their duties as officers of the Company. Thus, if performed in conformity
with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled
ethically. In addition, it is recognized by the Funds’ Boards of Trustees (“Boards”) that the Covered Officers may
also be officers or employees of one or more other investment companies covered by this code.
Other
conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company
Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers
should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer
should not be placed improperly before the interest of the Company.
***
Each Covered Officer
must:
- not use his or her personal influence or personal
relationships improperly to influence investment decisions or financial reporting by the Company whereby the Covered Officer would benefit
personally to the detriment of the Company;
- not cause the Company to take action, or fail
to take action, for the individual personal benefit of the Covered Officer rather than the benefit the Company;
- report at least annually his or her affiliations
or other relationships which may give rise to conflicts of interest with the Funds (provided that annual completion of the Funds’
Trustees and Officers Questionnaire shall satisfy the requirements of this bullet point).
There are some conflict
of interest situations that should always be discussed with the Secretary of the Funds (the "Secretary"), or other senior legal
officer, if material. Examples of these include:1
- service as a director on the board of any public
company;
- the receipt of any non-de minimus gifts;
- the receipt of any entertainment from any company
with which the Company has current or prospective business dealings unless such entertainment is business-related, reasonable in cost,
appropriate as to time and place, and not so frequent as to raise any question of impropriety;
- any ownership interest in, or any consulting
or employment relationship with, any of the Company’s service providers, other than its investment adviser, principal underwriter,
administrator or any affiliated person thereof;
- a direct or indirect financial interest in
commissions, transaction charges or spreads paid by the Company for effecting portfolio transactions or for selling or redeeming shares
other than an interest arising from the Covered Officer’s employment, such as compensation or equity ownership.
III. Disclosure
and Compliance
- Each Covered Officer should familiarize himself
or herself with the disclosure requirements generally applicable to the Company;
- each Covered Officer should not knowingly misrepresent,
or cause others to misrepresent, facts about the Company to others, whether within or outside the Company, including to the Company’s
directors and auditors, and to governmental regulators and self-regulatory organizations;
- each Covered Officer should, to the extent
appropriate within his or her area of responsibility, consult with other officers and employees of the Funds and the adviser with the
goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submit
to, the SEC and in other public communications made by the Funds; and
- it is the responsibility of each Covered Officer
to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.
[1] | | Any activity or relationship that would present a conflict
for a Covered Officer would likely also present a conflict for the Covered Officer if a member of the Covered Officer’s family
engages in such an activity or has such a relationship. |
IV. Reporting
and Accountability
Each Covered Officer
must:
- upon adoption of the Code (or thereafter as
applicable, upon becoming a Covered Officer), affirm in writing to the Board that he or she has received, read, and understands the Code;
- annually thereafter affirm to the Board that
he or she has complied with the requirements of the Code;
- not retaliate against any other Covered Officer
or any employee of the Funds or their affiliated persons for reports of potential violations that are made in good faith; and
- notify the Secretary promptly if he or she
knows of any violation of this Code. Failure to do so is itself a violation of this Code.
The Secretary,
or other designated senior legal officer of the Funds’ investment adviser, is responsible for applying this Code to specific
situations in which questions are presented under it and has the authority to interpret this Code in any particular situation.2
However, any approvals or waivers3 sought by the President/ CEO will be considered by the Audit Committee of the Funds
(the “Committee”). The Chair of the Audit Committee of the Trust is authorized and encouraged to consult, as appropriate,
with the Chair of the Board of Trustees of the Trust, the Independent Trustees or the Board of Trustees of the Trust and/or with counsel
to the Trust, the Investment Adviser(s) or the Independent Trustees.
The Independent Trustees
are responsible for granting waivers of this Code of Ethics, as appropriate. Any changes to or waivers of this Code of Ethics will be
disclosed on Form N-CSR3 to the extent required by Securities and Exchange Commission rules.
The Funds will follow
these procedures in investigating and enforcing this Code:
- the Secretary or other designated senior legal
officer will take all appropriate action to investigate any potential violations reported to him or her;
- if, after such investigation, the Secretary
believes that no violation has occurred, the Secretary is not required to take any further action;
- any matter that the Secretary believes is a
violation will be reported to the Committee;
- if the Committee concurs that a violation has
occurred, it will inform and make a recommendation to the Board, which will consider appropriate action, which may include review of,
and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser
or its board; or a recommendation to dismiss the Covered Officer as an officer of the Funds;
- the Board will be responsible for granting
waivers, as appropriate; and
- any changes to or waivers of this Code will,
to the extent required, be disclosed as provided by SEC rules.
Nothing in this
Code, any agreement between the Audit Committee and Covered Officers or any other person serving the Trusts, or any Trust policy or program,
prohibits or restricts any person in any way from reporting possible violations of law or regulation to any governmental agency or entity,
or otherwise prevents anyone from participating,
| [2] | The Secretary or other designated senior legal officer is authorized to consult, as appropriate, with
counsel to the Company and counsel to the Independent Trustees, and is encouraged to do so. |
| [3] | Item 2 of Form N-CSR defines “waiver” as “the approval by the registrant of a material
departure from a provision of the code of ethics” and “implicit waiver,” which must also be disclosed, as “the
registrant’s failure to take action within a reasonable period of time regarding a material departure from a provision of the code
of ethics that has been made known to an executive officer” of the registrant. |
assisting, or testifying in any proceeding or investigation by any such agency or entity
or from making other disclosures that are protected and/or permitted under law or regulation. For more information, please refer to the
Guggenheim Capital, LLC Code of Conduct, available on OneGuggenheim.
V. Other
Policies and Procedures
This Code shall
be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable
to registered investment companies thereunder. Insofar as other policies or procedures of the Funds, the Funds’ adviser, principal
underwriter, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject
to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The Funds’
and their investment advisers’ and principal underwriters’ codes of ethics under Rule 17j-1 under the Investment Company
Act are separate requirements applying to the Covered Officers and others, and are not part of this Code.
VI. Amendments
Any amendments to this
Code must be approved or ratified by a majority vote of the Board, including a majority of independent directors/trustees.
VII Confidentiality
All reports and records
prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except
as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Board and its counsel, the Funds’
counsel, the Adviser and its counsel and any other advisers, consultants or counsel retained by the Board of Trustees.
VIII. Internal
Use
The Code is intended
solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Company, as to any fact, circumstance,
or legal conclusion.
Exhibit A - Covered
Entities
Guggenheim Taxable
Municipal Bond & Investment Grade Debt Trust
Guggenheim Strategic
Opportunities Fund
Guggenheim Active
Allocation Fund
Guggenheim Funds
Trust
Guggenheim Variable
Funds Trust
Guggenheim Strategy
Funds Trust
Transparent Value
Trust
Rydex Series Funds
Rydex Dynamic Funds
Rydex Variable Trust
Exhibit P-2
CERTIFICATION
FORM
This is to certify that I have received,
read and understand the Code of Ethics for Chief Executive and Senior Financial Officers and that I recognize that I am subject to the
provisions thereof and will comply with the policy and procedures contained therein.
This is to further certify that I
have complied with the requirements of the Code of Ethics for Chief Executive and Senior Financial Officers.
Signature:
____________________
Name: _______________________
Date: ______August
2, 2024__________________
Please sign two copies of this Certification
Form, return one copy to the Chief Compliance Officer and retain the other copy, together with a copy of the Code of Ethics for Chief
Executive and Senior Financial Officers, for your records.
EXHIBIT (a)(2)
CERTIFICATION OF CHIEF EXECUTIVE OFFICER
CERTIFICATIONS
I, Brian
E. Binder, certify that:
1. I have reviewed this report on Form N-CSR
of Guggenheim Strategic Opportunities Fund;
2. Based on my knowledge, this report does
not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of
the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements,
and other financial information included in this report, fairly present in all material respects the financial condition, results of operations,
changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant
as of, and for, the periods presented in this report;
4. The registrant's other certifying officer
and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
for the registrant and have:
(a) Designed such disclosure controls and procedures,
or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to
the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the
period in which this report is being prepared;
(b) Designed such internal control over financial
reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance
regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with
generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s
disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and
procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in
the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting: and
5. The registrant's other certifying officer
and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing
the equivalent functions):
(a) All significant deficiencies and material
weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the
registrant's ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that
involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
Date: August 2, 2024
/s/ Brian E. Binder
Brian
E. Binder
President and Chief Executive Officer
CERTIFICATION OF CHIEF FINANCIAL OFFICER
CERTIFICATIONS
I, James Howley, certify that:
1. I have reviewed this report on Form N-CSR
of Guggenheim Strategic Opportunities Fund;
2. Based on my knowledge, this report does not
contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the
circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements,
and other financial information included in this report, fairly present in all material respects the financial condition, results of operations,
changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant
as of, and for, the periods presented in this report;
4. The registrant's other certifying officer
and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
for the registrant and have:
(a) Designed such disclosure controls and procedures,
or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to
the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the
period in which this report is being prepared;
(b) Designed such internal control over financial
reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance
regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with
generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s
disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and
procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the
registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting: and
5. The registrant's other certifying officer
and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing
the equivalent functions):
(a) All significant deficiencies and material
weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the
registrant's ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that
involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
Date: August 2, 2024
/s/ James Howley
James Howley
Chief Financial Officer, Chief Accounting Officer and Treasurer
EXHIBIT (b)
Certification
of CEO and CFO Pursuant to
18 U.S.C.
Section 1350,
as Adopted
Pursuant to
Section 906
of the Sarbanes-Oxley Act of 2002
In connection with the Report on
Form N-CSR of Guggenheim Strategic Opportunities Fund (the “Issuer”) for the annual period ended May 31, 2024 (the “Report”),
Brian E. Binder, as President and Chief Executive Officer of the Issuer, and James Howley, as Chief Financial Officer, Chief Accounting
Officer and Treasurer of the Issuer, each hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of
the Sarbanes-Oxley Act of 2002, that, to the best of his knowledge:
| (1) | the
Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange
Act of 1934; and |
| (2) | the
information contained in the Report fairly presents, in all material respects, the financial
condition and results of operations of the Issuer. |
Dated: August
2, 2024
/s/ Brian
E. Binder
Name: Brian
E. Binder
Title: President and Chief Executive
Officer
/s/ James
Howley
Name: James Howley
Title: Chief Financial Officer,
Chief Accounting Officer and Treasurer
Consent of Independent Registered Public Accounting
Firm
We consent to the references to our
firm under the captions “Senior Securities”, “Independent Registered Public Accounting Firm” and “Fund Information”
included in this Annual Report to Shareholders (Form N-CSR) for the year ended May 31, 2024.
We consent to the incorporation by
reference of our report dated July 26, 2024, with respect to the financial statements and financial highlights of Guggenheim Strategic
Opportunities Fund included in this Annual Report to Shareholders (Form N-CSR) for the year ended May 31, 2024, into the Registration
Statement (Form N-2, File No 811-21982), filed with the Securities and Exchange Commission.
/s/ Ernst & Young LLP
Tysons, Virginia
August 2, 2024
Guggenheim Strategic Opp... (NYSE:GOF)
Historical Stock Chart
From Jul 2024 to Aug 2024
Guggenheim Strategic Opp... (NYSE:GOF)
Historical Stock Chart
From Aug 2023 to Aug 2024