N-Q 1 gug70749-nq.htm GOF
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC  20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number
811-21982
 
Guggenheim Strategic Opportunities Fund
(Exact name of registrant as specified in charter)
 
227 West Monroe Street, Chicago, IL 60606
(Address of principal executive offices) (Zip code)
 
Amy J. Lee
 
227 West Monroe Street, Chicago, IL 60606
(Name and address of agent for service)

Registrant’s telephone number, including area code: (312) 827-0100

Date of fiscal year end: May 31
Date of reporting period: December 1, 2016 – February 28, 2017
 
Item 1.    Schedule of Investments.
Attached hereto.
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2017
   
 
 
Shares
  
Value
  
COMMON STOCKS† - 0.5%
          
Energy - 0.3%
          
SandRidge Energy, Inc.*,1
41,086
  
$
770,363
  
Titan Energy LLC*,1
9,603
    
204,064
  
Total Energy
      
974,427
  
Technology - 0.2%
          
Aspect Software Parent, Inc.*,†††,2
53,029
    
793,848
  
Qlik Technologies, Inc. A*,†††,2
56
    
55,840
  
Aspect Software Parent, Inc.*,†††,2
2,061
    
30,853
  
Qlik Technologies, Inc. B*,†††,2
13,812
    
564
  
Qlik Technologies, Inc.*,††
3,600
    
-
  
Total Technology
      
881,105
  
Communications - 0.0%**
          
Cengage Learning Acquisitions, Inc.*,††
11,126
    
122,386
  
*
–
    
–
  
Consumer, Non-cyclical - 0.0%**
          
Targus Group International Equity, Inc*,†††,2
13,409
    
19,577
  
*,2
–
    
–
  
Basic Materials - 0.0%**
          
Mirabela Nickel Ltd.*,†††,2
5,244,841
    
402
  
*,2
–
    
–
  
Consumer, Cyclical - 0.0%**
          
Deb Stores Holding LLC*,†††,2
9,389
    
1
  
*,2
–
    
–
  
Industrial - 0.0%**
          
Carey International, Inc.*,†††,2
5,666
    
1
  
*,2
–
    
–
  
Total Common Stocks
          
(Cost $4,632,296)
      
1,997,899
  
PREFERRED STOCKS† - 1.8%
          
Financial - 1.2%
          
Morgan Stanley
          
5.85%
110,000
    
2,843,500
  
Public Storage
          
5.40%
42,000
    
1,047,480
  
5.90%
10,000
    
252,600
  
AgriBank FCB
          
6.88%1
4,000
    
420,625
  
Total Financial
      
4,564,205
  
Industrial - 0.6%
          
Seaspan Corp.
          
6.38%1
90,925
    
2,311,314
  
Total Preferred Stocks
          
(Cost $6,637,804)
      
6,875,519
  
WARRANTS†† - 0.0%**
          
Comstock Resources, Inc.
          
expiring 09/06/18
3,575
    
33,462
  
Total Warrants
          
(Cost $13,658)
      
33,462
  
 
 
Face
        
 
Amount~
    
Value
  
SHORT TERM INVESTMENTS - 9.8%
          
U.S. GOVERNMENT SECURITIES†† - 7.0%
          
United States Treasury Bill
          
0.00% due 03/09/171,3,14
8,000,000
    
7,999,237
  
0.00% due 03/16/171,3
7,900,000
    
7,898,689
  
0.00% due 03/02/171,3
5,600,000
    
5,599,933
  
0.00% due 04/27/171,3
2,500,000
    
2,498,080
  
0.00% due 05/04/171,3
2,500,000
    
2,497,845
  
 
 
Face
        
 
Amount~
    
Value
  
SHORT TERM INVESTMENTS - 9.8% (continued)
          
U.S. GOVERNMENT SECURITIES†† - 7.0% (continued)
          
0.00% due 03/23/171,3
350,000
  
$
349,914
  
Total U.S. Government Securities
          
(Cost $26,843,198)
      
26,843,698
  
MONEY MARKET FUND† - 2.8%
          
Dreyfus Treasury Prime Cash Management Institutional Shares
          
0.39%4
10,484,550
    
10,484,550
  
(Cost $10,484,550)
          
Total Short Term Investments
          
(Cost $37,327,748)
      
37,328,248
  
 
 
Face
        
 
Amount~
    
Value
  
ASSET BACKED SECURITIES†† - 46.1%
          
Collateralized Loan Obligation -  34.8%
          
Voya CLO Ltd.
          
2013-1A, 4.52% due 04/15/241,5,6
 2,000,000
    
 1,999,945
  
2014-4A, 7.02% due 10/14/265,6
 1,950,000
    
 1,807,227
  
2015-3A, 4.97% due 10/15/221,5,6
 1,000,000
    
 999,986
  
OCP CLO Ltd.
          
2015-9A, 7.42% due 07/15/275,6
 2,250,000
    
 1,955,684
  
2013-4A, 6.04% due 10/24/255,6
 1,250,000
    
 1,185,663
  
2015-8A, 7.02% due 04/17/275,6
 1,000,000
    
 842,123
  
Ziggurat CLO Ltd.
          
2014-1A, 6.02% due 10/17/265,6
 4,000,000
    
 3,666,322
  
CIFC Funding Ltd.
          
2014-5A, 7.57% due 01/17/275,6
 2,000,000
    
 1,872,996
  
2014-4A, 6.62% due 10/17/265,6
 1,500,000
    
 1,304,978
  
2014-3A, 5.79% due 07/22/261,5,6
 500,000
    
 468,336
  
Sound Point CLO III Ltd.
          
2013-2A, 6.37% due 07/15/251,5,6
 2,875,000
    
 2,611,049
  
2013-2A, 4.92% due 07/15/251,5,6
 1,000,000
    
 1,000,174
  
KVK CLO Ltd.
          
2014-2A, 5.77% due 07/15/265,6
 3,000,000
    
 2,599,762
  
2013-1A, due 04/14/251,6,7
 2,300,000
    
 965,115
  
WhiteHorse VI Ltd.
          
2013-1A, 7.53% due 02/03/251,5,6
 2,000,000
    
 1,791,428
  
2013-1A, 6.28% due 02/03/251,5,6
 1,750,000
    
 1,682,536
  
Flatiron CLO Ltd.
          
2013-1A, 4.62% due 01/17/261,5,6
 3,300,000
    
 3,304,111
  
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2017
   
 
 
Face
        
 
Amount~
    
Value
  
ASSET BACKED SECURITIES†† - 46.1% (continued)
          
Collateralized Loan Obligation -  34.8% (continued)
          
Catamaran CLO Ltd.
          
2014-1A, 5.53% due 04/20/265,6
2,000,000
   $
1,821,328
  
2014-1A, 6.78% due 04/20/261,5,6
 1,600,000
    
 1,387,291
  
Great Lakes CLO Ltd.
          
2015-1A, 4.77% due 07/15/261,5,6
 1,500,000
    
 1,458,592
  
2012-1A, due 01/15/231,7,8
 2,500,000
    
 1,064,758
  
2014-1A, 5.22% due 04/15/255,6
 500,000
    
 483,923
  
Venture XVI CLO Ltd.
          
2014-16A, 4.47% due 04/15/261,5,6
 3,000,000
    
 2,969,570
  
Eaton Vance CLO Ltd.
          
2015-1A, 9.08% due 10/20/265,6
 3,000,000
    
 2,964,019
  
Flagship CLO VIII Ltd.
          
2014-8A, 6.22% due 01/16/265,6
 3,250,000
    
 2,958,529
  
Fortress Credit Funding V, LP
          
2015-5A, 6.44% due 08/15/221,5,6
 3,000,000
    
 2,958,495
  
THL Credit Wind River CLO Ltd.
          
2015-2A, 8.82% due 10/15/275,6
 3,000,000
    
 2,884,451
  
Saranac CLO II Ltd.
          
2014-2A, 6.20% due 02/20/255,6
 3,000,000
    
 2,796,775
  
AMMC CLO XII Ltd.
          
2013-12A, 6.08% due 05/10/255,6
 3,000,000
    
 2,789,883
  
Newstar Trust
          
2012-2I, 7.63% due 01/20/235
 3,000,000
    
 2,769,468
  
Denali Capital CLO X Ltd.
          
2013-1A, 6.78% due 04/28/255,6
 3,000,000
    
 2,766,936
  
Babson CLO Ltd.
          
2015-2A, 7.78% due 07/20/275,6
 1,750,000
    
 1,583,274
  
2012-2A, due 05/15/236,7
 2,000,000
    
 1,168,995
  
Newstar Commercial Loan Funding LLC
          
2017-1A, 6.14% due 03/20/275,6
 2,000,000
    
 2,002,778
  
2014-1A, 5.78% due 04/20/251,5,6
 500,000
    
 489,370
  
2013-1A, 6.16% due 09/20/235,6
 250,000
    
 250,000
  
Octagon Investment Partners XVI Ltd.
          
2013-1A, 6.52% due 07/17/255,6
 3,000,000
    
 2,616,033
  
 
 
Face
        
 
Amount~
    
Value
  
ASSET BACKED SECURITIES†† - 46.1% (continued)
          
Collateralized Loan Obligation -  34.8% (continued)
          
Jamestown CLO III Ltd.
          
2013-3A, 4.32% due 01/15/261,5,6
2,250,000
   $
2,205,091
  
Dryden 30 Senior Loan Fund
          
2013-30A, 6.54% due 11/15/251,5,6
 2,500,000
    
 2,193,292
  
SHACKLETON 2013-IV CLO Ltd.
          
2013-4A, 6.77% due 01/13/255,6
 2,350,000
    
 2,089,394
  
Carlyle Global Market Strategies CLO Ltd.
          
2012-3A, due 10/04/246,7
 2,600,000
    
 2,069,983
  
Avery
          
2013-3X COM, due 01/18/257
 2,399,940
    
 2,037,984
  
Fortress Credit Opportunities VI CLO Ltd.
          
2015-6A, 5.95% due 10/10/261,5,6
 2,000,000
    
 1,972,757
  
Fortress Credit Opportunities
          
2005-1A, 0.94% due 07/15/191,5,8
 1,963,114
    
 1,912,190
  
Golub Capital Partners CLO 24M Ltd.
          
2015-24A, 5.28% due 02/05/271,5,6
 2,000,000
    
 1,907,586
  
Steele Creek CLO 2015-1 Ltd.
          
2015-1A, 6.30% due 02/21/275,6
 2,000,000
    
 1,857,145
  
Mountain View CLO Ltd.
          
2015-9A, 6.37% due 07/15/275,6
 2,000,000
    
 1,849,933
  
Ares XXXIII CLO Ltd.
          
2015-1A, 7.44% due 12/05/255,6
 2,000,000
    
 1,788,388
  
OHA Credit Partners IX Ltd.
          
2013-9A, due 10/20/251,6,7
 2,000,000
    
 1,774,636
  
Treman Park CLO Ltd.
          
2015-1A, due 04/20/271,6,7
 2,000,000
    
 1,736,024
  
Cent CLO 19 Ltd.
          
2013-19A, 4.34% due 10/29/251,5,6
 1,750,000
    
 1,708,803
  
Monroe Capital CLO 2014-1 Ltd.
          
2014-1A, 5.77% due 10/22/261,5,6
 1,750,000
    
 1,707,483
  
Ares XXVI CLO Ltd.
          
2013-1A, due 04/15/256,7
 3,700,000
    
 1,640,596
  
Mountain Hawk II CLO Ltd.
          
2013-2A, 4.18% due 07/22/241,5,6
 1,750,000
    
 1,623,866
  
Atlas Senior Loan Fund II Ltd.
          
2012-2A, due 01/30/241,6,7
 2,600,000
    
 1,592,578
  
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2017
   
 
 
Face
        
 
Amount~
    
Value
  
ASSET BACKED SECURITIES†† - 46.1% (continued)
          
Collateralized Loan Obligation -  34.8% (continued)
          
Cent CLO 22 Ltd.
          
2014-22A, 7.43% due 11/07/265,6
1,750,000
   $
1,535,932
  
Race Point VII CLO Ltd.
          
2012-7A, 5.29% due 11/08/241,5,6
 1,500,000
    
 1,515,534
  
Fortress Credit Opportunities V CLO Ltd.
          
2014-5A, 5.91% due 10/15/261,5,6
 1,500,000
    
 1,477,413
  
Avery Point III CLO Ltd.
          
2013-3A, 6.02% due 01/18/255,6
 1,500,000
    
 1,432,559
  
Regatta IV Funding Ltd.
          
2014-1A, 5.99% due 07/25/265,6
 1,500,000
    
 1,376,292
  
Madison Park Funding XI Ltd.
          
2013-11A, 6.03% due 10/23/255,6
 1,500,000
    
 1,345,609
  
NewStar Arlington Senior Loan Program LLC
          
2014-1A, 5.29% due 07/25/251,5,6
 750,000
    
 717,795
  
2014-1A, 5.97% due 07/25/251,6
 500,000
    
 501,142
  
Finn Square CLO Ltd.
          
2012-1A, due 12/24/236,7
 2,500,000
    
 1,201,444
  
Avery Point IV CLO Ltd.
          
2014-1A, 6.04% due 04/25/261,5,6
 1,430,000
    
 1,156,539
  
Sound Point CLO I Ltd.
          
2012-1A, 5.61% due 10/20/231,5,6
 1,000,000
    
 1,000,426
  
Cent CLO 16, LP
          
2014-16A, 5.28% due 08/01/245,6
 1,000,000
    
 1,000,174
  
Fortress Credit Opportunities III CLO, LP
          
2014-3A, 4.26% due 04/28/261,5,6
 1,000,000
    
 999,931
  
Atlas Senior Loan Fund IV Ltd.
          
2014-2A, 4.49% due 02/17/261,5,6
 1,000,000
    
 995,101
  
Cerberus Onshore II CLO-2 LLC
          
2014-1A, 5.03% due 10/15/231,5,6
 1,000,000
    
 989,935
  
Kingsland VI Ltd.
          
2013-6A, 4.69% due 10/28/241,5,6
 1,000,000
    
 982,658
  
Garrison Funding Ltd.
          
2016-2A, 5.06% due 09/29/271,5,6
 1,000,000
    
 982,591
  
 
 
Face
        
 
Amount~
    
Value
  
ASSET BACKED SECURITIES†† - 46.1% (continued)
          
Collateralized Loan Obligation -  34.8% (continued)
          
Golub Capital Partners CLO 25M Ltd.
          
2015-25A, 4.68% due 08/05/271,5,6
1,000,000
   $
974,351
  
WhiteHorse VII Ltd.
          
2013-1A, 5.85% due 11/24/255,6
 1,000,000
    
 929,891
  
Ares XXV CLO Ltd.
          
2013-3A, due 01/17/246,7
 1,750,000
    
 889,225
  
Venture XIII CLO Ltd.
          
2013-13A, due 06/10/253,6,7
 1,500,000
    
 825,000
  
Dryden 37 Senior Loan Fund
          
2015-37A, due 04/15/276,7
 1,050,000
    
 803,560
  
Keuka Park CLO Ltd.
          
2013-1A, due 10/21/241,6,7
 1,500,000
    
 724,664
  
Resource Capital Corp.
          
2014-CRE2, 3.27% due 04/15/321,5,6
 729,000
    
 712,882
  
Marathon CLO Ltd.
          
due 02/21/257
 1,300,000
    
 676,413
  
Octagon Loan Funding Ltd.
          
2014-1A, 6.25% due 11/18/261,5,6
 700,000
    
 661,340
  
West CLO Ltd.
          
2013-1A, due 11/07/256,7
 1,350,000
    
 616,968
  
NXT Capital CLO 2013-1 LLC
          
2013-1A, 5.19% due 04/25/241,5,6
 500,000
    
 496,206
  
COA Summit CLO Ltd.
          
2014-1A, 4.88% due 04/20/231,5,6
 500,000
    
 494,704
  
MCF CLO IV LLC
          
2014-1A, 6.78% due 10/15/251,5,6
 500,000
    
 453,607
  
Golub Capital Partners CLO Ltd.
          
2014-18A, 5.04% due 04/25/261,5,6
 300,000
    
 293,910
  
Marathon CLO II Ltd.
          
2005-2A, due 12/20/19†††,2,5,6,7
 3,000,000
    
 3
  
Neuberger Berman CLO Ltd.
          
2012-12A, due 07/25/23†††,2,6,7
 2,500,000
    
 3
  
Total Collateralized Loan Obligation
      
 132,673,434
  
Transportation -  6.6%
          
Apollo Aviation Securitization Equity Trust
          
2014-1, 7.38% due 12/15/295
 3,064,615
    
 3,046,227
  
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2017
   
 
 
Face
        
 
Amount~
    
Value
  
ASSET BACKED SECURITIES†† - 46.1% (continued)
          
Transportation -  6.6% (continued)
          
2016-1A, 9.20% due 03/17/361,6,9
2,450,100
   $
2,474,601
  
2016-2, 7.87% due 11/15/41
 2,375,000
    
 2,380,565
  
2014-1, 5.13% due 12/15/295
 1,532,308
    
 1,523,114
  
2016-2, 5.93% due 11/15/41
 977,300
    
 981,230
  
Airplanes Pass Through Trust
          
2001-1A, 1.32% due 03/15/191,5,8
 12,068,641
    
 4,103,339
  
ACAS CLO Ltd.
          
2014-1A, 6.92% due 07/18/265,6
 3,750,000
    
 3,445,096
  
ECAF I Ltd.
          
2015-1A, 5.80% due 06/15/406
 2,433,692
    
 2,427,607
  
Falcon Aerospace Limited
          
2017-1, 6.30% due 02/15/42
 2,000,000
    
 1,990,906
  
Stripes
          
2013-1 A1, 4.28% due 03/20/23†††
 1,673,255
    
 1,632,211
  
Turbine Engines Securitization Ltd.
          
2013-1A, 6.38% due 12/13/488
 668,832
    
 624,355
  
Rise Ltd.
          
2014-1AB, 6.50% due 02/12/39†††
 362,275
    
 358,583
  
BBAM Acquisition Finance
          
 5.38% due 09/17/18
 237,298
    
 236,111
  
Total Transportation
      
 25,223,945
  
Collateralized Debt Obligation -  3.3%
          
FDF II Ltd.
          
2016-2A, 7.70% due 05/12/311,6
 3,000,000
    
 3,011,307
  
Anchorage Credit Funding 1 Ltd.
          
2015-1A, 6.30% due 07/28/301,6
 3,000,000
    
 3,007,223
  
FDF I Ltd.
          
2015-1A, 6.88% due 11/12/301,6
 2,000,000
    
 2,001,712
  
2015-1A, 7.50% due 11/12/301,6
 1,000,000
    
 1,003,249
  
SRERS Funding Ltd.
          
2011-RS, 1.02% due 05/09/465,6
 1,705,851
    
 1,683,260
  
Anchorage Credit Funding 4 Ltd.
          
2016-4A, 5.50% due 02/15/351,6
 1,000,000
    
 963,926
  
 
 
Face
        
 
Amount~
    
Value
  
ASSET BACKED SECURITIES†† - 46.1% (continued)
          
Collateralized Debt Obligation -  3.3% (continued)
          
Highland Park CDO I Ltd.
          
2006-1A, 1.45% due 11/25/511,5,6
805,358
   $
746,008
  
Total Collateralized Debt Obligation
      
 12,416,685
  
Other -  0.6%
          
Emerald Aviation Finance Ltd.
          
2013-1, 6.35% due 10/15/381,6,9
 1,262,193
    
 1,262,193
  
Glenn Pool Oil & Gas Trust
          
 6.00% due 08/02/21†††
 975,338
    
 968,007
  
Total Other
      
 2,230,200
  
Financial -  0.4%
          
NCBJ 2015-1 A
          
 5.88% due 07/08/22†††,2
 1,500,000
    
 1,500,000
  
Aircraft -  0.3%
          
Castlelake Aircraft Securitization Trust
          
2014-1, 7.50% due 02/15/29
 1,017,860
    
 1,016,333
  
Credit Cards -  0.1%
          
Credit Card Pass-Through Trust
          
2012-BIZ, 0.00% due 12/15/496
 256,727
    
 190,916
  
Total Asset Backed Securities
          
(Cost $172,268,201)
      
175,251,513
  
SENIOR FLOATING RATE INTERESTS††,5 - 39.6%
          
Consumer, Cyclical -  8.1%
          
BBB Industries, LLC
          
6.00% due 11/03/21
 3,000,000
    
 2,996,250
  
Sears Holdings Corp.
          
5.50% due 06/30/18
 2,550,975
    
 2,523,883
  
Navistar Inc.
          
5.00% due 08/07/20
 2,370,990
    
 2,384,339
  
LSF9 Robin Investments Ltd.
          
5.38% due 12/13/23
 1,750,000 GBP
    
 2,193,336
  
K & N Parent, Inc.
          
5.75% due 10/20/23
 2,000,000
    
 2,005,000
  
Accuride Corp.
          
8.00% due 11/17/23
 2,000,000
    
 1,977,500
  
Blue Nile, Inc.
          
7.50% due 01/20/23
 2,000,000
    
 1,950,000
  
Mavis Tire
          
6.25% due 11/02/20†††,2
 1,970,000
    
 1,949,648
  
Boot Barn Holdings, Inc.
          
5.50% due 06/29/21†††,2
 1,970,000
    
 1,924,690
  
LA Fitness International LLC
          
6.00% due 07/01/20
 1,849,136
    
 1,866,093
  
BIG JACK Holdings
          
5.75% due 07/01/22
 1,695,000
    
 1,695,000
  
Belk, Inc.
          
5.76% due 12/12/22
 1,546,301
    
 1,318,701
  
National Vision, Inc.
          
6.75% due 03/11/22
 1,200,000
    
 1,165,200
  
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2017
   
 
 
Face
        
 
Amount~
    
Value
  
SENIOR FLOATING RATE INTERESTS††,5 - 39.6% (continued)
          
Consumer, Cyclical -  8.1% (continued)
          
Med Finance Merger Sub LLC
          
7.25% due 08/16/21†††,2
987,898
   $
980,558
  
Sky Bet Cyan Blue HoldCo
          
4.81% due 02/25/22
 650,000 GBP
    
 816,394
  
ABRA Auto Body
          
8.50% due 09/19/22
 500,000
    
 500,000
  
Amaya Holding B.V.
          
5.00% due 08/01/21
 497,475
    
 497,788
  
Talbots, Inc.
          
5.50% due 03/19/20
 511,712
    
 459,261
  
Acosta, Inc.
          
3.25% due 09/26/19†††,2
 366,667
    
 341,551
  
Alexander Mann Solutions Ltd.
          
5.75% due 12/20/19
 322,090
    
 315,648
  
Ceridian Corp.
          
4.50% due 09/15/20
 244,000
    
 242,740
  
Capital Automotive LP
          
6.00% due 04/30/20
 210,000
    
 211,575
  
CH Holding Corp.
          
8.25% due 02/03/25
 200,000
    
 203,500
  
Ascena Retail Group
          
5.31% due 08/21/22
 206,680
    
 187,562
  
Deb Stores Holding LLC
          
1.50% due 10/11/16†††,2
 748,250
    
 1
  
Total Consumer, Cyclical
      
 30,706,218
  
Consumer, Non-cyclical -  7.5%
          
Reddy Ice Holdings, Inc.
          
6.75% due 05/01/19
 2,266,014
    
 2,232,024
  
American Seafoods Group LLC / American Seafoods Finance, Inc.
          
6.02% due 08/19/21
 2,034,200
    
 2,034,200
  
1.83% due 08/19/21†††,2
 75,000
    
 66,676
  
Copernicus Group, Inc.
          
6.00% due 08/15/22
 1,995,000
    
 1,995,000
  
AT Home Holding III
          
4.54% due 06/03/22
 1,965,000
    
 1,960,088
  
Give and Go Prepared Foods Corp.
          
6.50% due 07/29/23
 1,845,875
    
 1,878,178
  
Pelican Products, Inc.
          
5.25% due 04/10/20
 1,784,233
    
 1,775,312
  
Chef's Warehouse Parent LLC
          
6.75% due 06/22/22
 1,628,711
    
 1,640,926
  
American Academy Holdings
          
6.25% due 05/17/21†††,2
 1,534,605
    
 1,521,671
  
Arctic Glacier Holdings, Inc.
          
6.00% due 05/10/19
 1,350,137
    
 1,348,449
  
IHC Holding Corp.
          
7.00% due 04/30/21†††,2
 985,000
    
 974,736
  
7.25% due 04/30/21†††,2
 189,050
    
 188,766
  
Sho Holding I Corp.
          
6.00% due 10/27/22
 1,130,000
    
 1,124,350
  
Hanger, Inc.
          
11.50% due 08/01/19
 1,000,000
    
 1,007,500
  
 
 
Face
        
 
Amount~
    
Value
  
SENIOR FLOATING RATE INTERESTS††,5 - 39.6% (continued)
          
Consumer, Non-cyclical -  7.5% (continued)
          
Springs Industries, Inc.
          
7.50% due 06/01/21†††,2
995,000
   $
995,000
  
CTI Foods Holding Co. LLC
          
8.25% due 06/28/21
 1,105,000
    
 994,500
  
CPM Holdings
          
6.00% due 04/11/22
 985,000
    
 991,156
  
Affordable Care Holding
          
5.75% due 10/24/22
 990,000
    
 990,000
  
ABB Concise Optical Group LLC
          
6.00% due 06/15/23
 967,575
    
 974,832
  
Lineage Logistics LLC
          
4.50% due 04/07/21
 940,331
    
 935,630
  
ABG Intermediate Holdings 2 LLC
          
5.50% due 05/27/21
 913,926
    
 920,780
  
American Tire Distributors, Inc.
          
5.25% due 09/01/21
 898,223
    
 894,109
  
Parts Town
          
7.50% due 06/23/22†††,2
 648,375
    
 648,375
  
7.50% due 06/23/22
 140,000
    
 138,600
  
NES Global Talent
          
6.54% due 10/03/19
 318,472
    
 286,625
  
Packaging Coordinators Midco, Inc.
          
1.09% due 07/01/21†††,2
 115,385
    
 102,873
  
Rite Aid Corp.
          
5.75% due 08/21/20
 100,000
    
 100,250
  
Targus Group International, Inc.
          
15.00% due 12/31/19†††,2
 217,356
    
 86,563
  
Total Consumer, Non-cyclical
      
 28,807,169
  
Industrial -  7.5%
          
ILPEA Parent, Inc.
          
6.50% due 02/21/23
 2,700,000
    
 2,659,500
  
Alion Science & Technology Corp.
          
5.50% due 08/19/21
 2,462,500
    
 2,459,422
  
CareCore National LLC
          
5.50% due 03/05/21
 2,386,246
    
 2,395,195
  
SRS Distribution, Inc.
          
9.79% due 02/24/23
 2,030,000
    
 2,095,975
  
American Bath Group LLC
          
6.25% due 09/30/23
 2,049,057
    
 2,065,060
  
Bioplan / Arcade
          
5.75% due 09/23/21
 2,102,896
    
 2,043,321
  
National Technical
          
7.25% due 06/12/21†††,2
 1,636,991
    
 1,596,066
  
Advanced Integration Technology LP
          
6.50% due 07/22/21
 1,496,250
    
 1,499,991
  
Tronair Parent, Inc.
          
5.75% due 09/08/23
 1,496,250
    
 1,481,288
  
HBC Hardware Holdings
          
6.75% due 03/30/20†††
 1,316,250
    
 1,289,925
  
Thor Bidco (Morrison Utility)
          
5.86% due 09/20/23
 1,000,000 GBP
    
 1,240,926
  
Zodiac Pool Solutions LLC
          
5.50% due 12/20/23
 1,200,000
    
 1,208,256
  
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2017
   
 
 
Face
        
 
Amount~
    
Value
  
SENIOR FLOATING RATE INTERESTS††,5 - 39.6% (continued)
          
Industrial -  7.5% (continued)
          
PROAMPAC PG BORROWER LLC
          
9.56% due 11/18/24
1,000,000
   $
1,015,000
  
SiteOne Landscaping LLC
          
5.50% due 04/29/22
 992,513
    
 1,001,822
  
Amspec Services, Inc.
          
6.00% due 07/01/22†††,2
 892,500
    
 884,564
  
2.09% due 07/01/22†††,2
 22,844
    
 22,640
  
Kuehg Corp.
          
5.25% due 08/12/22
 746,139
    
 749,250
  
Ranpak
          
8.25% due 10/03/22
 700,000
    
 665,000
  
GYP Holdings III Corp.
          
4.54% due 04/01/21
 625,125
    
 628,645
  
SI Organization
          
5.75% due 11/22/19
 495,455
    
 500,563
  
Hunter Defense Technologies
          
7.01% due 08/05/19
 373,333
    
 336,000
  
Mast Global
          
7.75% due 09/12/19†††,2
 287,834
    
 286,605
  
NaNa Development Corp.
          
8.00% due 03/15/18
 280,147
    
 273,143
  
Doncasters Group Ltd.
          
9.50% due 10/09/20
 101,379
    
 97,578
  
Carey International, Inc.
          
9.00% due 05/23/20†††,2
 46,931
    
 6,664
  
Total Industrial
      
 28,502,399
  
Technology -  7.4%
          
TIBCO Software, Inc.
          
5.50% due 12/04/20
 2,408,356
    
 2,437,956
  
LANDesk Group, Inc.
          
5.25% due 01/20/24
 2,270,000
    
 2,280,941
  
Epicor Software
          
4.75% due 06/01/22
 1,720,305
    
 1,724,605
  
5.00% due 06/01/22
 491,587
    
 493,430
  
Insight Venture
          
7.25% due 07/15/21†††,2
 1,650,000 GBP
    
 2,022,649
  
EIG Investors Corp.
          
6.04% due 02/09/23
 1,873,357
    
 1,883,510
  
Planview, Inc. (PHNTM Holdings, Inc.)
          
6.25% due 01/27/23
 1,000,000
    
 985,000
  
10.75% due 07/27/23
 900,000
    
 886,500
  
PowerSchool, Inc.
          
5.88% due 07/30/21†††,2
 987,500
    
 987,500
  
6.00% due 07/30/21†††,2
 582,120
    
 582,120
  
6.38% due 07/30/21†††,2
 249,375
    
 249,375
  
Project Alpha Intermediate Holding, Inc.
          
9.25% due 08/22/22†††,2
 1,645,875
    
 1,616,805
  
Solera LLC
          
4.45% due 03/03/21†††,2
 1,626,400
    
 1,437,962
  
Aspect Software, Inc.
          
11.28% due 05/25/20
 912,013
    
 894,913
  
4.84% due 05/25/18†††,2
 343,750
    
 337,379
  
Advanced Computer Software
          
10.56% due 01/31/23
 1,250,000
    
 1,123,962
  
MRI Software LLC
          
5.25% due 06/23/21
 1,038,701
    
 1,028,314
  
 
 
Face
        
 
Amount~
    
Value
  
SENIOR FLOATING RATE INTERESTS††,5 - 39.6% (continued)
          
Technology -  7.4% (continued)
          
Masergy Holdings, Inc.
          
5.50% due 12/15/23
1,000,000
   $
1,015,000
  
Kronos, Inc.
          
5.03% due 11/01/23
 1,000,000
    
 1,011,350
  
CPI Acquisition, Inc.
          
5.83% due 08/17/22
 1,091,782
    
 979,874
  
Sparta Holding Corp.
          
6.50% due 07/28/20†††,2
 955,057
    
 949,628
  
Touchtunes Interactive
          
5.75% due 05/28/21
 886,500
    
 888,716
  
Micron Technology, Inc.
          
4.54% due 04/26/22
 820,875
    
 831,202
  
Infoblox, Inc.
          
5.78% due 11/07/23
 700,000
    
 707,875
  
GlobalLogic Holdings, Inc.
          
5.50% due 06/20/22
 491,189
    
 492,417
  
Active Network LLC
          
6.00% due 11/13/20
 443,724
    
 442,614
  
Ceridian Corp.
          
4.54% due 09/15/20
 75,697
    
 75,319
  
Total Technology
      
 28,366,916
  
Financial -  2.5%
          
Hyperion Insurance
          
5.50% due 04/29/22
 1,777,653
    
 1,780,621
  
American Stock Transfer & Trust
          
5.75% due 06/26/20
 1,453,961
    
 1,453,961
  
Safe-Guard
          
6.25% due 08/19/21
 1,075,167
    
 1,077,855
  
Americold Realty Operating Partnership, LP
          
4.75% due 12/01/22
 990,025
    
 1,004,054
  
Integro Parent, Inc.
          
6.78% due 10/28/22
 990,285
    
 985,333
  
Acrisure LLC
          
5.75% due 11/22/23
 898,413
    
 907,118
  
Magic Newco, LLC
          
12.00% due 06/12/19
 750,000
    
 793,748
  
Assured Partners, Inc.
          
5.25% due 10/21/22
 684,705
    
 691,840
  
Ryan LLC
          
6.75% due 08/07/20
 668,219
    
 662,372
  
Total Financial
      
 9,356,902
  
Basic Materials -  1.9%
          
Zep, Inc.
          
5.00% due 06/27/22
 1,970,000
    
 1,989,700
  
Niacet Corp.
          
5.50% due 02/01/24
 1,700,000
    
 1,687,250
  
PetroChoice Holdings
          
6.00% due 08/19/22
 1,481,250
    
 1,488,656
  
Niacet B.V.
          
5.50% due 02/01/24†††
 800,000 EUR
    
 839,072
  
Hoffmaster Group, Inc.
          
5.50% due 11/21/23
 600,000
    
 608,250
  
PQ Corp.
          
5.29% due 11/04/22
 599,500
    
 607,917
  
 
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2017
   
 
 
Face
        
 
Amount~
    
Value
  
SENIOR FLOATING RATE INTERESTS††,5 - 39.6% (continued)
          
Basic Materials -  1.9% (continued)
          
Noranda Aluminum Acquisition Corp.
          
7.25% due 02/28/19
598,290
   $
29,167
  
Total Basic Materials
      
 7,250,012
  
Energy -  1.5%
          
Cactus Wellhead
          
7.00% due 07/31/20
 1,974,883
    
 1,887,000
  
Invenergy Thermal
          
6.50% due 10/19/22
 1,595,047
    
 1,531,245
  
PSS Companies
          
5.50% due 01/28/20
 1,852,965
    
 1,445,313
  
Exgen Texas Power LLC
          
5.75% due 09/18/21
 1,118,010
    
 792,669
  
Total Energy
      
 5,656,227
  
Communications -  1.3%
          
Anaren, Inc.
          
9.25% due 08/18/21
 1,000,000
    
 973,750
  
5.50% due 02/18/21
 935,956
    
 930,106
  
Cengage Learning Acquisitions, Inc.
          
5.25% due 06/07/23
 1,718,324
    
 1,621,943
  
Proquest LLC
          
10.00% due 12/15/22
 772,000
    
 747,875
  
5.25% due 10/24/21
 397,966
    
 401,572
  
Houghton Mifflin Co.
          
4.00% due 05/31/21
 400,000
    
 371,252
  
Total Communications
      
 5,046,498
  
Utilities -  1.0%
          
Panda Power
          
7.50% due 08/21/20
 1,242,864
    
 1,228,882
  
Lone Star Energy
          
5.30% due 02/22/21
 1,143,243
    
 1,094,655
  
Panda Moxie Patriot
          
6.75% due 12/19/20
 897,750
    
 878,673
  
Panda Temple II Power
          
7.25% due 04/03/19
 496,490
    
 445,600
  
Total Utilities
      
 3,647,810
  
Transportation -  0.9%
          
Travelport Finance Luxembourg Sarl
          
4.29% due 09/02/21
 2,062,590
    
 2,077,193
  
Capstone Logistics
          
5.50% due 10/07/21
 1,100,000
    
 1,091,750
  
Sirva Worldwide, Inc.
          
7.52% due 11/22/22
 184,996
    
 180,834
  
Total Transportation
      
 3,349,777
  
Total Senior Floating Rate Interests
          
(Cost $151,800,655)
      
150,689,928
  
CORPORATE BONDS†† - 38.4%
          
Financial -  14.0%
          
Bank of America Corp.
          
6.50%1,10,11
 2,000,000
    
 2,184,359
  
6.10%1,10,11
 1,750,000
    
 1,867,031
  
6.30%10,11
 1,000,000
    
 1,090,000
  
 
 
Face
        
 
Amount~
    
Value
  
CORPORATE BONDS†† - 38.4% (continued)
          
Financial -  14.0% (continued)
          
Citigroup, Inc.
          
5.95%1,10,11
3,000,000
    
$3,127,499
  
6.25%1,10,11
 1,000,000
    
 1,088,570
  
QBE Insurance Group Ltd.
          
7.50% due 11/24/431,5,6
 3,000,000
    
 3,360,000
  
Jefferies Finance LLC / JFIN Company-Issuer Corp.
          
7.50% due 04/15/211,6
 2,150,000
    
 2,176,875
  
7.38% due 04/01/201,6
 950,000
    
 966,625
  
BBC Military Housing-Navy Northeast LLC
          
6.30% due 10/15/49†††,1
 2,900,000
    
 2,775,864
  
Citizens Financial Group, Inc.
          
5.50%1,10,11
 2,500,000
    
 2,550,000
  
Customers Bank
          
6.13% due 06/26/295,8
 2,500,000
    
 2,547,612
  
Fifth Third Bancorp
          
4.90%1,10,11
 1,500,000
    
 1,485,000
  
5.10%1,10,11
 815,000
    
 800,738
  
NewStar Financial, Inc.
          
7.25% due 05/01/201
 2,100,000
    
 2,152,500
  
KeyCorp
          
5.00%10,11
 2,100,000
    
 2,079,000
  
NFP Corp.
          
9.00% due 07/15/211,6
 1,950,000
    
 2,061,735
  
CNB Financial Corp.
          
5.75% due 10/15/26†††,5,8
 2,000,000
    
 2,003,148
  
Fort Knox Military Housing Privatization Project
          
5.82% due 02/15/526
 1,967,019
    
 1,975,595
  
FBM Finance, Inc.
          
8.25% due 08/15/211,6
 1,750,000
    
 1,872,850
  
Garfunkelux Holding Co. 3 S.A.
          
8.50% due 11/01/22
 1,400,000 GBP
    
 1,823,900
  
Atlas Mara Ltd.
          
8.00% due 12/31/20
 2,200,000
    
 1,819,400
  
GEO Group, Inc.
          
6.00% due 04/15/261
 1,130,000
    
 1,176,428
  
5.88% due 10/15/241
 600,000
    
 618,000
  
Greystar Real Estate Partners LLC
          
8.25% due 12/01/221,6
 1,550,000
    
 1,689,500
  
Cadence Bank North America
          
6.25% due 06/28/291,5
 1,600,000
    
 1,444,000
  
AmTrust Financial Services, Inc.
          
6.13% due 08/15/231
 1,314,000
    
 1,377,038
  
Fidelity & Guaranty Life Holdings, Inc.
          
6.38% due 04/01/211,6
 1,165,000
    
 1,173,738
  
HUB International Ltd.
          
9.25% due 02/15/211,6
 1,000,000
    
 1,037,500
  
Lincoln Finance Ltd.
          
7.38% due 04/15/211,6
 800,000
    
 852,000
  
Pacific Beacon LLC
          
5.63% due 07/15/511,8
 711,451
    
 668,658
  
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2017
   
 
 
Face
        
 
Amount~
    
Value
  
CORPORATE BONDS†† - 38.4% (continued)
          
Financial -  14.0% (continued)
          
Atlantic Marine Corporations Communities LLC
          
5.38% due 02/15/481
549,505
   $
526,882
  
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp.
          
6.00% due 08/01/201
 300,000
    
 312,003
  
5.88% due 02/01/22
 200,000
    
 204,236
  
Jefferies LoanCore LLC / JLC Finance Corp.
          
6.88% due 06/01/201,6
 500,000
    
 505,000
  
Total Financial
      
 53,393,284
  
Consumer, Cyclical -  4.2%
          
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
          
6.75% due 06/15/231
 2,335,000
    
 2,264,950
  
6.50% due 05/01/211
 429,000
    
 419,348
  
NPC International Incorporated / NPC Quality Burgers Inc / NPC Operating Company B Inc
        
10.50% due 01/15/201
 2,455,000
    
 2,528,650
  
WMG Acquisition Corp.
          
6.75% due 04/15/221,6
 2,130,000
    
 2,242,038
  
HP Communities LLC
          
6.82% due 09/15/531,8
 978,261
    
 1,063,233
  
6.16% due 09/15/53†††,1,8
 1,000,000
    
 982,874
  
Nathan's Famous, Inc.
          
10.00% due 03/15/201,6
 1,804,000
    
 1,952,829
  
TVL Finance PLC
          
8.50% due 05/15/23
 1,300,000 GBP
    
 1,778,355
  
Exide Technologies
          
11.00% due 04/30/201,12
 2,140,750
    
 1,648,378
  
PF Chang's China Bistro, Inc.
          
10.25% due 06/30/201,6
 1,255,000
    
 1,248,725
  
Total Consumer, Cyclical
      
 16,129,380
  
Energy -  4.1%
          
Husky Energy, Inc.
          
4.00% due 04/15/241
 900,000
    
 922,831
  
3.95% due 04/15/221
 600,000
    
 627,782
  
Keane Group Holdings LLC
          
12.00% due 08/08/19†††,2
 1,387,500
    
 1,401,375
  
Comstock Resources, Inc.
          
10.00% due 03/15/201,12
 1,300,000
    
 1,345,501
  
TerraForm Power Operating LLC
          
6.38% due 02/01/231,6,9
 1,096,000
    
 1,134,360
  
Alta Mesa Holdings Limited Partnership / Alta Mesa Finance Services Corp.
          
7.88% due 12/15/241,6
 1,000,000
    
 1,057,500
  
Hess Corp.
          
8.13% due 02/15/191
 950,000
    
 1,049,931
  
Trinidad Drilling Ltd.
          
6.63% due 02/15/251,6
 1,000,000
    
 1,030,000
  
Sunoco Logistics Partners Operations, LP
          
4.25% due 04/01/241
 1,000,000
    
 1,020,263
  
 
 
Face
        
 
Amount~
    
Value
  
CORPORATE BONDS†† - 38.4% (continued)
          
Energy -  4.1% (continued)
          
American Midstream Partners Limited Partnership / American Midstream Finance Corp.
      
8.50% due 12/15/211,6
1,000,000
   $
1,020,000
  
EQT Corp.
          
8.13% due 06/01/191
 800,000
    
 896,702
  
CONSOL Energy, Inc.
          
8.00% due 04/01/231
 850,000
    
 886,125
  
Buckeye Partners, LP
          
4.35% due 10/15/241
 750,000
    
 772,439
  
Gibson Energy, Inc.
          
6.75% due 07/15/211,6
 550,000
    
 570,625
  
EP Energy LLC / Everest Acquisition Finance, Inc.
          
8.00% due 02/15/256
 500,000
    
 487,500
  
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
        
6.25% due 04/01/231
 400,000
    
 415,000
  
QEP Resources, Inc.
          
6.88% due 03/01/211
 350,000
    
 370,125
  
Approach Resources, Inc.
          
7.00% due 06/15/211
 409,000
    
 359,920
  
Crestwood Midstream Partners, LP / Crestwood Midstream Finance Corp.
          
6.13% due 03/01/221
 200,000
    
 206,750
  
Schahin II Finance Company SPV Ltd.
          
5.88% due 09/25/228,13
 1,216,133
    
 139,855
  
Total Energy
      
 15,714,584
  
Consumer, Non-cyclical -  3.9%
          
Bumble Bee Holdings, Inc.
          
9.00% due 12/15/171,6
 2,082,000
    
 2,074,192
  
Vector Group Ltd.
          
6.13% due 02/01/251,6
 2,000,000
    
 2,060,000
  
Tenet Healthcare Corp.
          
7.50% due 01/01/221,6
 1,900,000
    
 2,056,750
  
Kinetic Concepts Incorporated / KCI USA Inc
          
7.88% due 02/15/211,6
 1,691,000
    
 1,822,053
  
Halyard Health, Inc.
          
6.25% due 10/15/221
 1,600,000
    
 1,656,000
  
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc.
          
7.88% due 10/01/221,6
 1,575,000
    
 1,624,613
  
Albertsons Companies LLC / Safeway Incorporated / New Albertson's Inc / Albertson's LLC
        
6.63% due 06/15/241,6
 1,500,000
    
 1,590,000
  
Bumble Bee Holdco SCA
          
9.63% due 03/15/186,12
 1,400,000
    
 1,368,500
  
 
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2017
   
 
 
Face
        
 
Amount~
    
Value
  
CORPORATE BONDS†† - 38.4% (continued)
          
Consumer, Non-cyclical -  3.9% (continued)
          
KeHE Distributors LLC / KeHE Finance Corp.
          
7.63% due 08/15/211,6
550,000
   $
551,375
  
Total Consumer, Non-cyclical
      
 14,803,483
  
Communications -  3.4%
          
MDC Partners, Inc.
          
6.50% due 05/01/241,6
 2,900,000
    
 2,802,125
  
SFR Group S.A.
          
7.38% due 05/01/261,6
 1,800,000
    
 1,865,250
  
Inmarsat Finance plc
          
4.88% due 05/15/221,6
 1,850,000
    
 1,850,000
  
Cengage Learning, Inc.
          
9.50% due 06/15/241,6
 1,900,000
    
 1,710,000
  
Midcontinent Communications / Midcontinent Finance Corp.
          
6.88% due 08/15/231,6
 1,300,000
    
 1,400,750
  
Sprint Communications, Inc.
          
7.00% due 03/01/201,6
 800,000
    
 874,000
  
EIG Investors Corp.
          
10.88% due 02/01/241
 750,000
    
 783,750
  
CSC Holdings LLC
          
6.75% due 11/15/211
 500,000
    
 548,750
  
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
          
7.88% due 05/15/246
 550,000
    
 539,000
  
Zayo Group LLC / Zayo Capital, Inc.
          
6.38% due 05/15/251
 400,000
    
 431,000
  
Total Communications
      
 12,804,625
  
Basic Materials -  3.2%
          
BHP Billiton Finance USA Ltd.
          
6.75% due 10/19/751,5,6
 2,000,000
    
 2,286,000
  
Yamana Gold, Inc.
          
4.95% due 07/15/241
 2,160,000
    
 2,200,479
  
Eldorado Gold Corp.
          
6.13% due 12/15/201,6
 1,950,000
    
 2,003,625
  
Alcoa Nederland Holding B.V.
          
7.00% due 09/30/261,6
 1,650,000
    
 1,810,875
  
Constellium N.V.
          
7.88% due 04/01/211,6
 1,588,000
    
 1,719,169
  
GCP Applied Technologies, Inc.
          
9.50% due 02/01/231,6
 1,475,000
    
 1,673,830
  
New Day Aluminum
          
10.00% due 10/28/20†††,2
 590,985
    
 490,517
  
Mirabela Nickel Ltd.
          
2.38% due 06/24/19
 1,388,176
    
 97,172
  
1.00% due 09/10/44†††,2
 27,743
    
 –
  
Total Basic Materials
      
 12,281,667
  
Industrial -  3.2%
          
Summit Materials LLC / Summit Materials Finance Corp.
          
8.50% due 04/15/221
 2,150,000
    
 2,408,000
  
Grinding Media Incorporated / MC Grinding Media Canada Inc
          
7.38% due 12/15/231,6
 2,050,000
    
 2,193,500
  
 
 
Face
        
 
Amount~
    
Value
  
CORPORATE BONDS†† - 38.4% (continued)
          
Industrial -  3.2% (continued)
          
StandardAero Aviation Holdings, Inc.
          
10.00% due 07/15/231,6
2,025,000
   $
2,156,625
  
Princess Juliana International Airport Operating Company N.V.
          
5.50% due 12/20/27†††,1,6
 1,817,034
    
 1,818,630
  
Dynagas LNG Partners Limited Partnership / Dynagas Finance, Inc.
          
6.25% due 10/30/191
 1,800,000
    
 1,777,500
  
LMI Aerospace, Inc.
          
7.38% due 07/15/191
 1,575,000
    
 1,604,531
  
New Day Aluminum
          
10.00% due 10/28/20
 387,358
    
 271,151
  
Total Industrial
      
 12,229,937
  
Technology -  1.2%
          
Micron Technology, Inc.
          
7.50% due 09/15/231,6
 1,550,000
    
 1,728,250
  
5.25% due 08/01/231,6
 200,000
    
 201,750
  
Infor US, Inc.
          
6.50% due 05/15/221
 1,532,000
    
 1,593,280
  
First Data Corp.
          
7.00% due 12/01/231,6
 500,000
    
 537,500
  
Epicor Software
          
9.25% due 06/21/23†††,2
 500,000
    
 488,500
  
Total Technology
      
 4,549,280
  
Utilities -  1.2%
          
AES Corp.
          
6.00% due 05/15/261
 1,700,000
    
 1,751,000
  
LBC Tank Terminals Holding Netherlands BV
          
6.88% due 05/15/231,6
 1,425,000
    
 1,482,000
  
Terraform Global Operating LLC
          
9.75% due 08/15/221,6
 1,150,000
    
 1,288,000
  
Total Utilities
      
 4,521,000
  
Total Corporate Bonds
          
(Cost $141,645,608)
      
146,427,240
  
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 3.3%
          
Commercial Mortgage Backed Securities -  2.7%
          
Cosmopolitan Hotel Trust
          
2016-CSMO, 5.42% due 11/15/331,5,6
 3,500,000
    
 3,569,982
  
GS Mortgage Securities Corporation Trust
          
2016-ICE2, 9.27% due 02/15/331,5,6
 3,000,000
    
 3,120,043
  
Capmark Military Housing Trust
          
2007-AETC, 5.75% due 02/10/521,8
 1,916,821
    
 1,886,478
  
2007-AET2, 6.06% due 10/10/521,8
 486,010
    
 495,584
  
 
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2017
   
 
 
Face
        
 
Amount~
    
Value
  
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 3.3% (continued)
          
Commercial Mortgage Backed Securities -  2.7% (continued)
          
Motel 6 Trust
          
2015-MTL6, 5.28% due 02/05/301,6
1,200,000
   $
1,206,675
  
Total Commercial Mortgage Backed Securities
      
 10,278,762
  
Residential Mortgage Backed Securities -  0.6%
          
Nomura Resecuritization Trust
          
2012-1R, 1.22% due 08/27/471,5,6
 1,348,881
    
 1,334,853
  
TBW Mortgage Backed Pass-Through Certificates
          
2006-6, 6.04% due 01/25/371,9
 1,437,312
    
 711,537
  
2006-6, 5.75% due 01/25/371,9
 600,433
    
 307,556
  
Total Residential Mortgage Backed Securities
      
 2,353,946
  
Total Collateralized Mortgage Obligation
          
(Cost $12,589,568)
      
12,632,708
  
 
 
Face
        
 
Amount~
    
Value
  
FOREIGN GOVERNMENT BONDS†† - 2.3%
          
Kenya Government International Bond
          
6.88% due 06/24/241,6
4,700,000
    
4,623,672
  
Dominican Republic International Bond
          
6.85% due 01/27/451,6
3,650,000
  
 
3,768,625
  
Senegal Government International Bond
          
6.25% due 07/30/246
200,000
    
202,060
  
Total Foreign Government Bonds
          
(Cost $8,782,321)
      
8,594,357
  
MUNICIPAL BONDS†† - 0.6%
          
Illinois -  0.6%
          
City of Chicago Illinois General Obligation Unlimited
          
6.26% due 01/01/40
 2,350,000
    
 2,110,418
  
(Cost $2,035,638)
          
Total Investments - 142.4%
          
(Cost $537,733,497)
    
$
541,941,292
  
 
 
Contracts
    
Value
  
CALL OPTIONS WRITTEN†* - (0.2)%
          
Call options on:
          
S&P 500 Index Expiring March 2017 with strike price of $2,360.00
277
    
(645,410
)
Total Call Options Written
          
(Premiums received $596,755)
      
(645,410
)
Other Assets & Liabilities, net - (42.2)%
      
(160,618,953
)
Total Net Assets - 100.0%
    
$
380,676,929
 
 
 
Contracts
  
Unrealized
Gain
  
EQUITY FUTURES CONTRACTS PURCHASED†
  
March 2017 S&P 500 Index E-Mini Futures Contracts
554
  
$
3,003,891
  
(Aggregate Value Of Contracts $65,434,325)
          
 
~
The face amount is denominated in U.S. Dollars, unless otherwise indicated.
*
Non-income producing security.
**
Less than 0.1%
†
Value determined based on Level 1 inputs, unless otherwise noted — See Note 2.
††
Value determined based on Level 2 inputs, unless otherwise noted — See Note 2.
†††
Value determined based on Level 3 inputs — See Note 2.
1
All or a portion of these securities have been physically segregated in connection with borrowings, reverse repurchase agreements and unfunded loan commitments. As of February 28, 2017, the total value of securities segregated was $266,869,444.
2
Security was fair valued by the Valuation Committee at February 28, 2017.  The total market value of fair valued securities amounts to $25,542,549, (cost $33,517,737) or 6.7% of total net assets.
3
Zero coupon rate security.
4
Rate indicated is the 7-day yield as of February 28, 2017.
5
Variable rate security. Rate indicated is rate effective at February 28, 2017.
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) liquid securities is $237,758,988 (cost $234,926,405), or 62.5% of total net assets.
7
Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
8
Security is a 144A or Section 4(a)(2) security. These securities are considered 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 $17,492,084 (cost $25,277,020), or 4.6% of total net assets - see Note 4.
9
Security is a step up/step down bond.  The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is rate effective at February 28, 2017.
10
Perpetual maturity.
11
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
12
Security is a pay-in-kind bond.
13
Security is in default.
14
All or a portion of this security is pledged as futures collateral.
 
BV
Limited Liability Company
CDO
Collateralized Debt Obligation
CLO
Collateralized Loan Obligation
EUR
Euro
FCB
Farmers Credit Bureau
GBP
Great Britain Pound
LLC
Limited Liability Company
LP
Limited Partnership
NV
Publicly Traded Company
plc
Public Limited Company
SA
Corporation
SCA
Limited Partnership
plc
Public Limited Company
   
 
See Sector Classification in Supplemental Information section.
 

 
Other Information (unaudited)
 
 
The following table summarizes the inputs used to value the Fund's investments at February 28, 2017 (See Note 2 in the Notes to Schedule of Investments):

               
Level 2
    
Level 3
        
               
Significant
    
Significant
        
          Level 1 Quoted    
Observable
    
Unobservable
        
         
Prices
    
Inputs
    
Inputs
    
Total
  
Assets:
                              
Corporate Bonds
      
$
‐
    
$
136,466,332
    
$
9,960,908
    
$
146,427,240
  
Asset Backed Securities
          
‐
      
170,792,706
      
4,458,807
      
175,251,513
  
Collateralized Mortgage Obligations
          
‐
      
12,632,708
    
‐
      
12,632,708
  
Senior Floating Rate Interests
          
‐
      
127,799,866
      
22,890,062
      
150,689,928
  
Municipal Bonds
          
‐
      
2,110,418
    
‐
      
2,110,418
  
Foreign Government Bonds
          
‐
      
8,594,357
    
‐
      
8,594,357
  
Common Stocks
            
974,427
      
122,386
      
901,086
      
1,997,899
  
Preferred Stocks
            
6,875,519
    
‐
    
‐
      
6,875,519
  
Warrants
          
‐
      
33,462
    
‐
      
33,462
  
U.S. Government Securities
          
‐
      
26,843,698
    
‐
      
26,843,698
  
Money Market Fund
            
10,484,550
    
‐
    
‐
      
10,484,550
  
Forward Foreign Currency Exchange Contracts*
          
‐
      
70,457
    
‐
      
70,457
  
Equity Futures Contracts*
            
3,033,891
    
‐
    
‐
      
3,033,891
  
Total Assets
          
$
21,368,387
    
$
485,466,390
    
$
38,210,863
    
$
545,045,640
  
Liabilities:
                                        
Options Written
            
645,410
    
‐
    
‐
      
645,410
  
Unfunded Commitments
          
‐
      
696,004
    
‐
      
696,004
  
Total Liabilities
          
$
645,410
    
$
696,004
    
$
‐
    
$
1,341,414
  
 
*These amounts are reported as unrealized gain/(loss) as of February 28, 2017.

If not referenced in the table, please refer to the detailed Schedule of Investments for a breakdown of investment type by industry category.

 
   
   
Other Information (unaudited)
 
 
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
Valuation
Unobservable
Input Range
Category
at 2/28/2017
Technique
Inputs
    
Corporate Bonds
$
  7,580,516
Option adjusted spread off the month end
Indicative Quote
  
‐
     
broker quote over the 3 month LIBOR
      
Corporate Bonds
  
  1,889,875
Model Price
Market Comparable Yields
8.6% ‐ 12.7%
Corporate Bonds
  
     490,517
Model Price
Liquidation Value
  
‐
Asset Backed Securities
  
  2,958,801
Option adjusted spread off the month end
Indicative Quote
  
‐
     
broker quote over the 3 month LIBOR
      
Asset Backed Securities
  
  1,500,000
Option adjusted spread
Indicative Quote for Comparable Security
  
‐
Senior Floating Rate Interests
  
  2,128,997
Option adjusted spread off the month end
Indicative Quote
  
‐
     
broker quote over the 3 month LIBOR
      
Senior Floating Rate Interests
  
  1,380,234
Enterprise Value
Valuation Multiple
6.7x ‐ 13.0x
Senior Floating Rate Interests
  
  7,498,254
Model Price
Market Comparable Yields
4.7%
‐ 6.0%
Senior Floating Rate Interests
  
11,882,577
Model Price
Purchase Price
  
‐
Common Stocks
  
          402
Model Price
Liquidation Value
  
‐
Common Stocks
  
      56,404
Model Price
Purchase Price
  
‐
Common Stocks
  
    844,280
Enterprise Value
Valuation Multiple
6.7x
‐ 7.2x
 

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

Any remaining Level 3 securities held by the Fund and excluded from the tables above, were not considered material to the Fund.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.

As of February 28, 2017, the Fund had securities with a total value of $1,521,674 transferred from Level 2 to Level 3 due to lack of multiple vendor prices. As of February 28, 2017, the Fund had securities with a total value of $5,133,896 transferred from Level 3 to Level 2 due to availability of market price information at the period end.

Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended February 28, 2017:
 
                     
Collateralized
              
   
Asset Backed
    
Senior Floating
    
Corporate
    
Mortgage
              
   
Securities
    
Rate Interests
    
Bonds
    
Obligations
    
Common Stocks
    
Total
  
Assets:
                                    
Beginning Balance
  
$
8,036,285
    
$
19,029,841
    
$
8,485,549
  
$
3,380,625
    
$
1,079,055
    
$
40,011,355
  
Paydowns Received
    
(530,748
)
    
(3,813,576
)
    
(596,127
)
    
(22,786
)
  
‐
      
(4,963,237
)
Payment‐in‐kind Distributions Received
  
‐
      
32,330
      
17,894
    
‐
    
‐
      
50,224
  
Realized Gain/Loss
  
‐
      
3,424
    
‐
      
338,151
    
‐
      
341,575
  
Change in Unrealized Gain/Loss
    
196,630
      
(367,147
)
    
(112,613
)
    
(130,610
)
    
74,353
      
(339,387
)
Accrued discounts/(premiums)
    
4,054
      
103,341
      
36,370
      
1,195
    
‐
      
144,960
  
Purchases
  
‐
      
6,000,186
      
2,498,350
    
‐
      
85,340
      
8,583,876
  
Sales
  
‐
      
(1,671,658
)
  
‐
      
(1,680,097
)
  
‐
      
(3,351,755
)
Corporate actions
  
‐
      
2,051,650
      
(368,515
)
  
‐
      
(337,662
)
    
1,345,473
  
Transfers into Level 3
    
3
      
1,521,671
    
‐
    
‐
    
‐
      
1,521,674
  
Transfers out of Level 3
    
(3,247,417
)
  
‐
    
‐
      
(1,886,478
)
  
‐
      
(5,133,895
)
Ending Balance
  
$
4,458,807
    
$
22,890,062
    
$
9,960,908
  
$
‐
    
$
901,086
    
$
38,210,863
  
Net change in unrealized appreciation (depreciation)
                                                
for investments in securities still held at February 28, 2017
  
$
143,857
    
$
(374,427
)
  
$
(112,613
)
$
‐
    
$
74,353
    
$
(268,830
)
 
 
   
   
Other Information (unaudited)
 
As of February 28, 2017, the Fund had the following unfunded loan commitments which could be extended at the option of the borrower:
  
               
               
Borrower
Maturity Date
  
Face Amount
    
Value
  
Acosta, Inc.
09/26/2019
  
$
733,333
    
$
50,232
  
Acrisure LLC
11/03/2023
    
101,587
      
-
  
American Bath Group LLC
09/30/2023
    
150,943
      
-
  
American Seafoods Group LLC
08/19/2021
    
425,000
      
47,056
  
Amspec Services, Inc.
07/01/2022
    
82,362
      
732
  
Aspect Software, Inc.
05/25/2018
    
281,250
      
-
  
Eyemart Express
12/18/2019
    
500,000
      
33,968
  
Gold Merger, Co.
07/27/2021
    
1,000,000
      
128,855
  
Hostess Brands
08/03/2020
    
500,000
      
48,482
  
Insight Fourth Hospitality
07/15/2020
    
500,000
      
52,328
  
IntraWest Holdings
12/10/2018
    
200,000
      
2,840
  
National Technical
06/12/2021
    
305,882
      
2,328
  
Packaging Coordinators Midco, Inc.
07/01/2021
    
1,384,615
      
150,114
  
Pelican Products, Inc.
04/11/2019
    
300,000
      
18,954
  
PowerSchool, Inc.
07/29/2021
    
875,003
      
91,335
  
Solera LLC
03/03/2021
    
609,900
      
68,780
  
      
$
7,949,875
    
$
696,004
  
                   
As of February 28, 2017, the following forward foreign currency exchange contracts were outstanding:

 
Contracts to Sell
  
Counterparty
Settlement Date
  
Settlement Value
    
Value as of 2/28/17
    
Net Unrealized Appreciation
  
EUR
    
792,000
                        
for USD
    
840,281
  
Morgan Stanley
3/13/2017
  
$
840,281
    
$
839,601
    
$
680
  
GBP
    
7,018,000
                              
for USD
    
8,781,378
  
JP Morgan Derivatives
3/13/2017
    
8,781,378
      
8,711,601
      
69,777
  
             Net unrealized appreciation on forward foreign currency exchange contracts    
$
70,457
  
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)                                                       

For information on the Guggenheim Strategic Opportunities Fund’s (the “Fund”) policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semiannual or annual shareholder report.

1.
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 (“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 and disclosure of 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.

The following is a summary of significant accounting policies consistently followed by the Fund.

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

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

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

Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sale price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on such day, the security is valued at the closing bid price on such day.

Open-end investment companies (“Mutual Funds”) are valued at their NAV as of the close of business on the valuation date. Exchange Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sale price.

Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker/dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition and repurchase agreements are valued at amortized cost, provided such amounts approximates market value.

Typically loans are valued using information provided by an independent third party pricing service which uses broker quotes in a non-active market.

Listed options are valued at the Official Settlement Price listed in by the exchange, usually as of 4:00 p.m.  Long options are valued using the bid price and short options are valued using the ask price. In the event that a settlement price is not available, fair valuation is enacted. Over-the counter options are valued using the average bid price (for long options), or average ask price (for short options) obtained from one or more security dealers.
 

The value of futures contracts is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current settlement prices.  Financial futures contracts are valued at 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.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the 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 currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as World Equity Benchmark Securities. In addition, under the Valuation Procedures, the Valuation Committee and Guggenheim Funds Investment Advisors, LLC (“GFIA” or the “Adviser”) are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Investments for which market quotations are not readily available are fair valued as determined in good faith by the Adviser, subject to review by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “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 Treasuries, and other information analysis.

2.
Fair Value Measurement
 
In accordance with GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. 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 — quoted prices in active markets for identical assets or liabilities.

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

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

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

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined under the valuation policies that have been reviewed and approved by the Board. In any event, values are 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 Treasuries, and other information and analysis. A significant portion of the Funds’ assets and liabilities are categorized as Level 2 or Level 3, as indicated in this report.

Indicative quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may be also 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 indicative quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations.
 

Certain fixed income securities are valued by obtaining a monthly indicative quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.  The Fund’s fair valuation guidelines categorize these securities as Level 3.

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

3.
Federal Income Taxes
 
As of February 28, 2017, the cost of investments and accumulated unrealized appreciation/(depreciation) of investments for federal income tax purposes were as follows:
 
Cost of
Investments for
Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax 
Unrealized
Depreciation
Net Tax Unrealized
Appreciation on
Investments
$537,811,056
$33,995,682
$(29,865,446)
 $4,130,236


4.
Restricted Securities

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

Restricted Securities
Acquisition Date
  
Cost
    
Value
  
Airplanes Pass Through Trust
              
2001-1A, 1.32% due 03/15/2019
10/14/2009
  
$
9,732,312
    
$
4,103,339
  
Capmark Military Housing Trust
                  
2007-AETC, 5.75% due 02/10/2052
09/18/2014
    
1,897,465
      
1,886,478
  
Capmark Military Housing Trust
                  
2007-AET2, 6.06% due 10/10/2052
04/23/2015
    
486,872
      
495,584
  
CNB Financial Corp.
                  
5.75% due 10/15/2026
09/14/2016
    
2,000,000
      
2,003,148
  
Customers Bank
                  
6.13% due 06/26/2029
06/24/2014
    
2,500,000
      
2,547,612
  
Fortress Credit Opportunities
                  
2005-1A, 0.94% due 07/15/2019
02/16/2012
    
1,877,687
      
1,912,190
  
Great Lakes CLO Ltd.
                  
2012-1A, due 01/15/2023
12/06/2012
    
2,387,500
      
1,064,758
  
HP Communities LLC
                  
6.82% due 09/15/2053
07/21/2015
    
974,764
      
1,063,233
  
HP Communities LLC
                  
6.16% due 09/15/2053
06/09/2014
    
997,528
      
982,874
  
Pacific Beacon LLC
                  
5.63% due 07/15/2051
01/15/2014
    
586,643
      
668,658
  
Schahin II Finance Company SPV Ltd.
                  
5.88% due 09/25/2022
01/08/2014
    
1,178,715
      
139,855
  
Turbine Engines Securitization Ltd.
                  
2013-1A, 6.38% due 12/13/2048
11/27/2013
    
657,534
      
624,355
  
      
$
25,277,020
    
$
17,492,084
  

 

 

SUPPLEMENTAL INFORMATION (Unaudited)                                                       


Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/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.
 
 
Item 2.    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 of 1940, as amended) as of a date within 90 days of the filing date of this report and have concluded, based on such evaluation, that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant’s last fiscal quarter that has materially affected or is reasonably likely to materially affect the registrant’s internal control over financial reporting.

Item 3.    Exhibits.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), is attached hereto.
 
 



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.

Guggenheim Strategic Opportunities Fund 

By:          /s/ Donald C. Cacciapaglia               
Donald C. Cacciapaglia
President and Chief Executive Officer

Date:      May 1, 2017


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:          /s/ Donald C. Cacciapaglia                
Donald C. Cacciapaglia
President and Chief Executive Officer

Date:      May 1, 2017



By:          /s/ John L. Sullivan                            
John L. Sullivan
Chief Financial Officer, Chief Accounting Officer & Treasurer

Date:       May 1, 2017