Investment Company Act file number
|
811-22715
|
Guggenheim Credit Allocation Fund
|
|
(Exact name of registrant as specified in charter)
|
|
227 West Monroe Street, Chicago, IL 60606
|
|
(Address of principal executive offices) (Zip code) | |
Amy J. Lee
227 West Monroe Street, Chicago, IL 60606
|
|
(Name and address of agent for service)
|
Guggenheim Credit Allocation Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2014
|
Shares
|
Value
|
|
COMMON STOCKS† - 1.5%
|
||
Consumer Discretionary - 1.2%
|
||
Travelport LLC*
|
1,146,556
|
$ 1,897,550
|
Basic Materials - 0.2%
|
||
Mirabela Nickel Ltd.*
|
4,839,202
|
406,751
|
Industrials - 0.1%
|
||
Project Silverback Holdings
|
||
Corp.*, †††,2
|
228
|
227,700
|
Project Silverback Holdings
|
||
Corp.*, †††,2
|
94,522
|
1,890
|
Total Industrials
|
229,590
|
|
Total Common Stocks
|
||
(Cost $3,635,423)
|
2,533,891
|
|
PREFERRED STOCKS† - 2.5%
|
||
Seaspan Corp.
|
||
6.38% due 04/30/19
|
88,000
|
2,262,480
|
Kemper Corp.
|
||
7.38% due 02/27/54
|
72,000
|
1,874,160
|
Total Preferred Stocks
|
||
(Cost $4,009,518)
|
4,136,640
|
|
Face
|
||
Amount~
|
Value
|
|
CORPORATE BONDS†† - 69.2%
|
||
Energy - 20.3%
|
||
Atlas Energy Holdings
|
||
Operating Company LLC /
|
||
Atlas Resource Finance Corp.
|
||
9.25% due 08/15/21
|
2,300,000
|
2,420,750
|
7.75% due 01/15/213
|
1,826,000
|
1,862,520
|
Legacy Reserves, LP / Legacy
|
||
Reserves Finance Corp.
|
||
8.00% due 12/01/20
|
3,000,000
|
3,225,000
|
Regency Energy Partners, LP /
|
||
Regency Energy Finance Corp.
|
||
8.38% due 06/01/193
|
3,000,000
|
3,225,000
|
Endeavor Energy Resources.
|
||
LP / EER Finance, Inc.
|
||
7.00% due 08/15/213
|
3,000,000
|
3,187,500
|
BreitBurn Energy Partners LP /
|
||
BreitBurn Finance Corp.
|
||
7.88% due 04/15/22
|
3,000,000
|
3,180,000
|
SandRidge Energy, Inc.
|
||
8.75% due 01/15/20
|
3,000,000
|
3,150,000
|
Bill Barrett Corp.
|
||
7.00% due 10/15/22
|
3,000,000
|
3,090,000
|
Atlas Pipeline Partners Limited
|
||
Partnership / Atlas Pipeline
|
||
Finance Corp.
|
||
5.88% due 08/01/23
|
2,000,000
|
2,030,000
|
ContourGlobal Power Holdings
|
||
S.A.
|
||
7.13% due 06/01/193
|
1,850,000
|
1,863,875
|
Keane Group Holdings LLC
|
||
8.50% due 08/08/19†††,2
|
1,200,000
|
1,176,000
|
2.00% due 08/30/19†††,2
|
400,000
|
400,000
|
Precision Drilling Corp.
|
||
5.25% due 11/15/243
|
1,200,000
|
1,200,000
|
Legacy Reserves Limited
|
||
Partnership / Legacy Reserves
|
||
Finance Corp.
|
||
6.63% due 12/01/213
|
1,000,000
|
1,012,500
|
FTS International, Inc.
|
||
6.25% due 05/01/223
|
650,000
|
664,625
|
Summit Midstream Holdings
|
||
LLC / Summit Midstream
|
||
Finance Corp.
|
||
5.50% due 08/15/22
|
600,000
|
612,000
|
Jones Energy Holdings LLC /
|
||
Jones Energy Finance Corp.
|
||
6.75% due 04/01/223
|
500,000
|
527,500
|
IronGate Energy Services LLC
|
||
11.00% due 07/01/181,3
|
200,000
|
203,000
|
Total Energy
|
33,030,270
|
|
Consumer, Non-cyclical -
|
||
10.0%
|
||
Central Garden and Pet Co.
|
||
8.25% due 03/01/18
|
3,500,000
|
3,609,375
|
KeHE Distributors LLC / KeHE
|
||
Finance Corp.
|
||
7.63% due 08/15/213
|
2,900,000
|
3,117,500
|
Vector Group Ltd.
|
||
7.75% due 02/15/21
|
2,381,000
|
2,535,765
|
JBS USA LLC / JBS USA
|
||
Finance, Inc.
|
||
5.88% due 07/15/243
|
1,750,000
|
1,750,000
|
R&R Ice Cream plc
|
||
8.25% due 05/15/203
|
1,700,000 AUD
|
1,580,348
|
Premier Foods Finance plc
|
||
6.50% due 03/15/213
|
800,000 GBP
|
1,301,569
|
Amsurg Corp.
|
||
5.63% due 07/15/223
|
1,050,000
|
1,073,625
|
American Seafoods Group LLC
|
||
/ American Seafoods Finance,
|
||
Inc.
|
||
10.75% due 05/15/163
|
1,000,000
|
1,000,000
|
Ceridian LLC / Comdata, Inc.
|
||
8.13% due 11/15/173
|
300,000
|
304,050
|
Total Consumer, Non-cyclical
|
16,272,232
|
|
Consumer, Cyclical - 7.8%
|
||
GRD Holdings III Corp.
|
||
10.75% due 06/01/193
|
3,200,000
|
3,528,000
|
WMG Acquisition Corp.
|
||
6.75% due 04/15/223
|
3,500,000
|
3,465,000
|
Checkers Drive-In Restaurants,
|
||
Inc.
|
||
11.00% due 12/01/173
|
2,400,000
|
2,664,000
|
Guitar Center, Inc.
|
||
6.50% due 04/15/193
|
1,870,000
|
1,776,500
|
Guggenheim Credit Allocation Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2014
|
Face
|
||
Amount~
|
Value
|
|
CORPORATE BONDS†† - 69.2% (continued)
|
||
Consumer, Cyclical - 7.8%
|
||
(continued)
|
||
Suburban Propane Partners
|
||
Limited Partnership/Suburban
|
||
Energy Finance Corp.
|
||
5.50% due 06/01/24
|
$1,000,000
|
$997,500
|
Men's Wearhouse, Inc.
|
||
7.00% due 07/01/223
|
200,000
|
209,500
|
Global Partners Limited
|
||
Partnership/GLP Finance Corp.
|
||
6.25% due 07/15/223
|
110,000
|
110,550
|
Total Consumer, Cyclical
|
12,751,050
|
|
Communications - 7.1%
|
||
SITEL LLC / Sitel Finance Corp.
|
||
11.00% due 08/01/173
|
3,400,000
|
3,553,000
|
Alcatel-Lucent USA, Inc.
|
||
8.88% due 01/01/203
|
3,000,000
|
3,337,500
|
Avaya, Inc.
|
||
7.00% due 04/01/193
|
2,050,000
|
2,039,750
|
Sirius XM Radio, Inc.
|
||
6.00% due 07/15/243
|
1,050,000
|
1,092,000
|
CSC Holdings LLC
|
||
5.25% due 06/01/243
|
1,000,000
|
990,000
|
Expo Event Transco, Inc.
|
||
9.00% due 06/15/211,3
|
550,000
|
572,688
|
Total Communications
|
11,584,938
|
|
Technology - 5.9%
|
||
First Data Corp.7
|
||
8.75% due 01/15/223
|
3,000,000
|
3,285,000
|
Aspect Software, Inc.
|
||
10.63% due 05/15/17
|
3,200,000
|
3,264,000
|
Eagle Midco, Inc.
|
||
9.00% due 06/15/183
|
3,000,000
|
3,082,500
|
Total Technology
|
9,631,500
|
|
Financial - 5.7%
|
||
Majid AL Futtaim Holding
|
||
7.12% due 12/31/49
|
1,500,000
|
1,646,580
|
Nationstar Mortgage LLC /
|
||
Nationstar Capital Corp.
|
||
6.50% due 07/01/21
|
1,400,000
|
1,372,000
|
Citigroup, Inc.
|
||
6.30%4,5
|
1,100,000
|
1,119,250
|
Jefferies Finance LLC / JFIN
|
||
Company-Issuer Corp.
|
||
7.38% due 04/01/203
|
1,000,000
|
1,045,000
|
Lock AS
|
||
7.00% due 08/15/21
|
600,000 EUR
|
825,833
|
Schahin II Finance Company
|
||
SPV Ltd.
|
||
5.88% due 09/25/223
|
835,800
|
814,905
|
Banco do Brasil S.A.
|
||
9.00% due3,4,5
|
800,000
|
804,000
|
Prosight Global Inc.†††
|
||
7.50% due 11/26/20
|
650,000
|
668,070
|
Ultra Resources, Inc.†††
|
||
4.66% due 10/12/22
|
700,000
|
652,960
|
Cabot Financial Luxembourg
|
||
S.A.
|
||
6.50% due 04/01/213
|
250,000 GBP
|
404,665
|
Total Financial
|
9,353,263
|
|
Diversified - 4.2%
|
||
Opal Acquisition, Inc.
|
||
8.88% due 12/15/213
|
3,400,000
|
3,587,000
|
Harbinger Group, Inc.
|
||
7.88% due 07/15/19
|
3,000,000
|
3,255,000
|
Total Diversified
|
6,842,000
|
|
Industrial - 3.7%
|
||
Deutsche Raststatten
|
||
6.75% due 12/30/20
|
1,300,000 EUR
|
1,834,588
|
Unifrax I LLC / Unifrax Holding
|
||
Co.
|
||
7.50% due 02/15/193
|
1,401,000
|
1,443,030
|
Odebrecht Offshore Drilling
|
||
Finance Ltd.
|
||
6.63% due 10/01/223
|
890,010
|
953,423
|
CEVA Group plc
|
||
7.00% due 03/01/213
|
800,000
|
808,000
|
LMI Aerospace, Inc.
|
||
7.38% due 07/15/193
|
500,000
|
506,250
|
Princess Juliana International
|
||
Airport Operating Company
|
||
N.V.
|
||
5.50% due 12/20/273
|
466,358
|
462,954
|
Total Industrial
|
6,008,245
|
|
Basic Materials - 2.9%
|
||
TPC Group, Inc.
|
||
8.75% due 12/15/203
|
2,395,000
|
2,640,488
|
Mirabela Nickel Ltd.
|
||
9.50% due 05/20/19†††,2
|
1,063,000
|
1,063,000
|
KGHM International Ltd.
|
||
7.75% due 06/15/191,3
|
500,000
|
536,875
|
Cascades, Inc.
|
||
5.50% due 07/15/223
|
500,000
|
496,250
|
Total Basic Materials
|
4,736,613
|
|
Utilities - 1.6%
|
||
NGL Energy Partners, LP / NGL
|
||
Energy Finance Corp.
|
||
6.88% due 10/15/213
|
2,500,000
|
2,681,250
|
Total Utilities
|
2,681,250
|
|
Total Corporate Bonds
|
||
(Cost $109,543,494)
|
112,891,361
|
|
SENIOR FLOATING RATE INTERESTS††,4 - 47.9%
|
||
Industrial - 14.3%
|
||
Ursa Insulation B.V.
|
||
5.04% due 04/26/21†††,1,2
|
1,393,486 EUR
|
1,831,004
|
7.75% due 04/26/20†††,1,2
|
1,250,000 EUR
|
1,642,468
|
Flakt Woods
|
||
4.82% due 03/20/171
|
2,475,000 EUR
|
3,122,003
|
Guggenheim Credit Allocation Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2014
|
Face
|
||
Amount
|
Value
|
|
SENIOR FLOATING RATE INTERESTS††,4 - 47.9% (continued)
|
||
Industrial - 14.3% (continued)
|
||
Total Safety U.S., Inc.
|
||
9.25% due 09/13/201
|
$3,000,000
|
$2,940,000
|
Minimax Viking
|
||
4.50% due 08/14/201
|
2,519,747
|
2,518,688
|
Mitchell International, Inc.
|
||
8.50% due 10/11/211
|
2,350,000
|
2,366,168
|
Doncasters Group Ltd.
|
||
9.50% due 10/09/201
|
2,206,897
|
2,217,931
|
NaNa Development Corp.
|
||
8.00% due 03/15/181
|
1,735,294
|
1,709,265
|
NVA Holdings, Inc.
|
||
8.00% due 08/14/221
|
1,650,000
|
1,652,063
|
AlliedBarton Security Services
|
||
LLC
|
||
8.00% due 08/12/211
|
1,452,055
|
1,439,349
|
Camp Systems International
|
||
8.25% due 11/29/191
|
1,000,000
|
1,007,500
|
Wencor Group
|
||
7.75% due 06/19/221
|
900,000
|
893,250
|
Omnitracs, Inc.
|
||
8.75% due 05/25/211
|
150,000
|
150,000
|
Total Industrial
|
23,489,689
|
|
Technology - 8.9%
|
||
Greenway Medical
|
||
Technologies
|
||
9.25% due 11/04/211
|
2,200,000
|
2,178,000
|
6.00% due 11/04/201
|
1,990,000
|
1,985,025
|
LANDesk Group, Inc.
|
||
5.00% due 02/25/201
|
3,970,050
|
3,951,867
|
Aspect Software, Inc.
|
||
7.25% due 05/07/161
|
1,900,000
|
1,897,625
|
Sparta Systems, Inc.
|
||
6.25% due 07/28/20†††,1,2
|
1,800,000
|
1,782,197
|
EIG Investors Corp.
|
||
5.00% due 11/09/191
|
1,670,141
|
1,670,141
|
Lantiq Deutschland GmbH
|
||
11.00% due 11/16/151
|
700,000
|
693,000
|
Gogo LLC
|
||
7.50% due 03/21/181
|
360,570
|
364,176
|
Total Technology
|
14,522,031
|
|
Consumer, Non-cyclical -
|
||
7.1%
|
||
CTI Foods Holding Co. LLC
|
||
8.25% due 06/28/211
|
4,000,000
|
4,020,000
|
Reddy Ice Holdings, Inc.
|
||
10.75% due 10/01/191
|
4,000,000
|
3,520,000
|
AdvancePierre Foods, Inc.
|
||
9.50% due 10/10/171
|
1,592,000
|
1,548,220
|
Arctic Glacier Holdings, Inc.
|
||
5.00% due 05/10/191
|
1,449,075
|
1,430,962
|
Pelican Products, Inc.
|
||
9.25% due 04/09/211
|
550,000
|
550,000
|
Targus Group International,
|
||
Inc.
|
||
12.00% due 05/24/161
|
574,352
|
475,276
|
Total Consumer, Non-cyclical
|
11,544,458
|
|
Financial - 5.0%
|
||
Ranpak
|
||
8.50% due 04/23/201
|
3,000,000
|
3,052,500
|
Expert Global Solutions
|
||
8.50% due 04/03/181
|
2,944,405
|
2,939,488
|
Intertrust Group
|
||
8.00% due 04/11/221
|
2,200,000
|
2,193,136
|
Total Financial
|
8,185,124
|
|
Basic Materials - 2.8%
|
||
Royal Adhesives and Sealants
|
||
5.50% due 07/31/181
|
2,528,942
|
2,533,165
|
Ennis Flint Road Infrastructure
|
||
7.75% due 09/30/211
|
2,000,000
|
1,975,000
|
Total Basic Materials
|
4,508,165
|
|
Communications - 2.7%
|
||
Anaren, Inc.
|
||
9.25% due 08/18/211
|
2,200,000
|
2,199,999
|
Gogo LLC
|
||
11.25% due 03/21/181
|
1,127,937
|
1,184,333
|
Cengage Learning
|
||
Acquisitions, Inc.
|
||
7.00% due 03/31/201
|
748,125
|
752,644
|
Mcgraw-Hill Global Education
|
||
Holdings LLC
|
||
2.48% due 03/22/181
|
208,333
|
187,570
|
Max Broadcast Group LLC
|
||
6.25% due 03/31/14†††,1,2
|
82,737
|
78,424
|
6.25% due 03/31/14†††,1,2
|
39,158 | 37,117 |
Total Communications
|
4,440,087
|
|
Energy - 2.7%
|
||
Panda Temple II Power
|
||
7.25% due 04/03/191
|
3,000,000
|
3,060,000
|
Cactus Wellhead
|
||
7.00% due 07/31/201
|
1,400,000
|
1,379,000
|
Total Energy
|
4,439,000
|
|
Transportation - 2.2%
|
||
Travelport Holdings Ltd.
|
||
9.50% due 01/31/161
|
2,224,686
|
2,265,753
|
Ceva Logistics US Holdings
|
||
6.50% due 03/19/211
|
511,034
|
499,005
|
Ceva Logistics Holdings BV
|
||
(Dutch)
|
||
6.50% due 03/19/211
|
370,500
|
361,778
|
Ceva Group Plc (United
|
||
Kingdom)
|
||
6.50% due 03/19/211
|
352,217
|
339,889
|
Guggenheim Credit Allocation Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2014
|
Face
|
||
Amount
|
Value
|
|
SENIOR FLOATING RATE INTERESTS††,4 - 47.9% (continued)
|
||
Transportation - 2.2%
|
||
(continued)
|
||
Ceva Logistics Canada, ULC
|
||
6.50% due 03/19/211
|
$63,879
|
$62,376
|
Total Transportation
|
3,528,801
|
|
Utilities - 1.7%
|
||
Astoria Generating Company
|
||
Acquisitions LLC
|
||
8.50% due 10/26/171
|
2,708,182
|
2,775,886
|
Consumer, Cyclical - 0.5%
|
||
DLK Acquisitions BV
|
||
4.25% due 08/06/191
|
400,000 EUR
|
516,723
|
4.25% due 02/06/191
|
250,000 EUR
|
324,867
|
Total Consumer, Cyclical
|
841,590
|
|
Total Senior Floating Rate Interests
|
||
(Cost $82,286,706)
|
78,274,831
|
|
ASSET BACKED SECURITIES†† - 8.9%
|
||
Structured Asset Securities Corporation Mortgage Loan
|
||
Trust 2006-BC6
|
||
2006-BC6, 0.33% due
|
||
01/25/374
|
2,000,000
|
1,651,877
|
Newstar Commercial Loan Funding 2013-1 LLC
|
||
2013-1A, 5.53% due
|
||
09/20/231,3,4
|
1,500,000
|
1,496,250
|
Emerald Aviation Finance Ltd.
|
||
2013-1, 6.35% due
|
||
10/15/383,6
|
1,421,875
|
1,443,914
|
Castlelake Aircraft Securitization Trust
|
||
2014-1, 5.25% due
|
||
02/15/29
|
776,909
|
781,726
|
2014-1, 7.50% due
|
||
02/15/29
|
594,107
|
596,364
|
COA Summit CLO Ltd.
|
||
2014-1A, 4.09% due
|
||
04/20/233,4
|
1,000,000
|
984,600
|
Duane Street CLO IV Ltd.
|
||
2007-4A, 2.48% due
|
||
11/14/213,4
|
1,000,000
|
966,500
|
Monroe Capital CLO 2014-1 Ltd.
|
||
2014-1A, 4.96% due
|
||
10/22/263,4
|
1,000,000
|
961,400
|
GSAA Home Equity Trust
|
||
2006-18, 6.00% due
|
||
11/25/366
|
1,386,766
|
953,126
|
RAIT CRE CDO I Ltd.
|
||
2006-1X, 0.48% due
|
||
11/20/46
|
1,058,599
|
945,858
|
KKR Financial CLO Ltd.
|
||
2007-1X, 5.23% due
|
||
05/15/211
|
750,000
|
748,650
|
NewStar Arlington Senior Loan Program LLC
|
||
2014-1A, 4.48% due
|
||
07/25/253,4
|
750,000
|
717,825
|
Salus CLO 2012-1 Ltd.
|
||
2013-1AN, 6.98% due
|
||
03/05/211,3,4
|
500,000
|
494,400
|
Rise Ltd.
|
||
6.50% due 02/12/391
|
484,375
|
489,800
|
NXT Capital CLO 2013-1 LLC
|
||
2013-1A, 4.38% due
|
||
04/25/243,4
|
500,000
|
481,600
|
Cerberus Onshore II CLO LLC
|
||
2014-1A, 4.23% due
|
||
10/15/233,4
|
500,000
|
471,750
|
Turbine Engines Securitization Ltd.
|
||
2013-1A, 6.38% due
|
||
12/13/483
|
376,291
|
381,936
|
Total Asset Backed Securities
|
||
(Cost $14,407,934)
|
14,567,576
|
|
MORTGAGE BACKED SECURITIES†† - 1.5%
|
||
SRERS Funding Ltd.
|
||
2011-RS,0.41% due
|
||
05/09/461,3,4
|
2,181,404
|
2,058,155
|
Washington Mutual Mortgage Pass-Through Certificates
|
||
WMALT Series 2006-8 Trust
|
||
2006-8,4.92% due
|
||
10/25/366
|
542,369
|
388,024
|
Total Mortgage Backed Securities
|
||
(Cost $2,324,106)
|
2,446,179
|
|
SHORT TERM INVESTMENTS† - 1.4%
|
||
Dreyfus Treasury Prime Cash
|
||
Management Fund
|
2,221,593
|
2,221,593
|
Total Short Term Investments
|
||
(Cost $2,221,593)
|
2,221,593
|
|
Total Investments - 132.9%
|
||
(Cost $218,428,774)
|
$ 217,072,071
|
|
Other Assets & Liabilities, net - (32.9)%
|
(53,688,517)
|
|
Total Net Assets - 100.0%
|
$ 163,383,494
|
~
|
The principal amount is denominated in U.S. Dollars, unless otherwise noted.
|
*
|
Non-income producing security.
|
†
|
Value determined based on Level 1 inputs — See Note 2.
|
††
|
Value determined based on Level 2 inputs — See Note 2.
|
†††
|
Value determined based on Level 3 inputs — See Note 2.
|
1
|
All or a portion of these securities have been physically segregated in connection with reverse repurchase agreements and unfunded loan commitments. As of August 31, 2014, the total amount segregated was $84,864,100.
|
2
|
Security was fair valued by the Valuation Committee at August 31, 2014. The total market value of fair valued securities amounts to $8,239,800, (cost $11,383,067) or 5.0% of total net assets.
|
Guggenheim Credit Allocation Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2014
|
3
|
Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $79,665,499 (cost $77,719,619), or 48.8% of total net assets.
|
4
|
Variable rate security. Rate indicated is rate effective at August 31, 2014.
|
5
|
Perpetual maturity.
|
6
|
Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.
|
7
|
Paid-in-kind toggle note. This issuer in each interest period has the option to pay interest in cash or to issue payment-in-kind shares of the note.
|
plc
REIT
|
Public Limited Company
Real Estate Investment Trust
|
Borrower††
|
Expiration Date
|
Principal Amount
|
Unrealized Appreciation
|
Advantage Sales and Market†††
|
07/21/2019
|
$ 900,000
|
$ -
|
AlliedBarton Security Services
|
08/12/2021
|
547,945
|
297
|
American Stock Transfer
|
06/11/2018
|
400,000
|
10,935
|
CEVA Group plc
|
03/19/2019
|
500,000
|
3,873
|
Hillman Group, Inc.†††
|
06/13/2019
|
900,000
|
-
|
IntraWest Holdings S.A.R.
|
12/10/2018
|
1,100,000
|
2,344
|
Learning Care Group†††
|
05/05/2021
|
500,000
|
-
|
McGraw-Hill Global Education
|
03/22/2018
|
791,667
|
2,244
|
National Financial Partners
|
07/01/2018
|
1,500,000
|
23,282
|
Phillips-Medsize Corp.†††
|
06/13/2019
|
1,100,000
|
-
|
Signode Industrial Group†††
|
05/01/2019
|
1,050,000
|
-
|
Signode Industrial Group†††
|
05/01/2019
|
350,000
|
-
|
Wencor†††
|
06/19/2019
|
500,000
|
-
|
$ 42,975
|
Contracts to Sell
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 8/31/14
|
Net Unrealized Appreciation (Depreciation)
|
|
AUD
|
2,900,000
|
|||||
for USD
|
2,697,087
|
The Bank of New York Mellon
|
09/04/2014
|
$ 2,697,087
|
$ 2,707,692
|
$ (10,605)
|
EUR
|
4,000,000
|
|||||
for USD
|
5,351,568
|
The Bank of New York Mellon
|
09/04/2014
|
5,351,568
|
5,256,219
|
95,349
|
EUR
|
600,000
|
|||||
for USD
|
801,462
|
The Bank of New York Mellon
|
09/04/2014
|
801,462
|
788,433
|
13,029
|
EUR
|
2,300,000
|
|||||
for USD
|
3,056,194
|
The Bank of New York Mellon
|
09/04/2014
|
3,056,194
|
3,022,326
|
33,868
|
GBP
|
1,100,000
|
|||||
for USD
|
1,859,324
|
The Bank of New York Mellon
|
09/04/2014
|
1,859,324
|
1,826,241
|
33,083
|
Total unrealized appreciation for forward exchange currency contracts
|
$ 164,724
|
1.
|
Significant Accounting Policies
|
2.
|
Fair Value Measurement
|
Level 1
|
Level 2
|
Level 3
|
||||||||||||||
Investments
|
Investments
|
Investments
|
||||||||||||||
In Securities
|
In Securities
|
In Securities
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Common Stocks
|
$ | 2,304,301 | $ | - | $ | 229,590 | $ | 2,533,891 | ||||||||
Preferred Stocks
|
4,136,640 | - | - | 4,136,640 | ||||||||||||
Corporate Bonds
|
- | 108,931,331 | 3,960,030 | 112,891,361 | ||||||||||||
Senior Floating Rate Interests
|
- | 72,903,621 | 5,371,210 | 78,274,831 | ||||||||||||
Asset Backed Securities
|
- | 14,567,576 | - | 14,567,576 | ||||||||||||
Mortgage Backed Securities
|
- | 2,446,179 | - | 2,446,179 | ||||||||||||
Short Term Investmemts
|
2,221,593 | - | - | 2,221,593 | ||||||||||||
Unfunded Commitments
|
- | 42,975 | - | 42,975 | ||||||||||||
Forward Exchange Currency
|
||||||||||||||||
Contracts
|
- | 175,329 | - | 175,329 | ||||||||||||
Total Assets
|
$ | 8,662,534 | $ | 199,317,011 | $ | 9,560,830 | $ | 217,540,375 | ||||||||
Liabilities
|
||||||||||||||||
Forward Exchange Currency
|
||||||||||||||||
Contracts
|
$ | - | $ | 10,605 | $ | - | $ | 10,605 | ||||||||
Total Liabilities
|
$ | - | $ | 10,605 | $ | - | $ | 10,605 |
Category
|
Ending Balance at 8/31/14
|
Valuation Technique
|
Unobservable Inputs
|
Common Stock
|
$229,590
|
Model Price
|
Trade Price
|
Corporate Bonds
|
2,639,000
|
Model Price
|
Trade Price
|
Corporate Bonds | 1,321,030 | Option adjusted spread off the month end broker quote mark over the 3 month LIBOR | Indicative Quote |
Term Loans
|
3,589,013
|
Enterprise Value
|
Valuation Multiple*
|
Term Loans | 1,782,197 | Model Price | Trade Price |
Level 3 – Fair value measurement using significant unobservable inputs
|
||||
Guggenheim Credit Allocation Fund
|
||||
Assets:
|
||||
Beginning Balance
|
$ | 11,511,694 | ||
Realized Gain/Loss
|
(2,608,160 | ) | ||
Purchases
|
4,650,787 | |||
Total change in unrealized gains or losses included in earnings
|
(113,059 | ) | ||
Unrealized gains or losses on unfunded commitments | - | |||
Transfers out of Level 3
|
(3,880,432 | ) | ||
Ending Balance
|
$ | 9,560,830 |
3.
|
Federal Income Taxes
|
Cost of Investments for Tax Purposes
|
Gross Tax Unrealized
Appreciation
|
Gross Tax Unrealized Depreciation
|
Net Tax Unrealized
Depreciation
|
$218,428,849
|
$4,497,213
|
$(5,853,991)
|
$(1,356,778)
|
(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.
|