(Unaudited)
|
November 30, 2016
|
(Unaudited)
|
November 30, 2016
|
QUESTIONS & ANSWERS (Unaudited)
|
November 30, 2016
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2016
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2016
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2016
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2016
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2016
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2016
|
FUND SUMMARY (Unaudited)
|
November 30, 2016
|
Fund Statistics
|
|
Share Price
|
$21.06
|
Net Asset Value
|
$21.93
|
Discount to NAV
|
-3.97%
|
Net Assets ($000)
|
$146,823
|
AVERAGE ANNUAL TOTAL RETURNS
|
|
|
|
|
FOR THE PERIOD ENDED NOVEMBER 30, 2016
|
|
|
|
|
|
Six
|
|
|
Since
|
|
Month
|
One
|
Three
|
Inception
|
|
(non-annualized)
|
Year
|
Year
|
(06/26/13)
|
Guggenheim Credit Allocation Fund
|
|
|
|
|
NAV
|
12.33%
|
17.95%
|
6.31%
|
6.72%
|
Market
|
11.57%
|
23.47%
|
8.13%
|
4.27%
|
Portfolio Breakdown
|
% of Net Assets
|
|||
Corporate Bonds
|
76.3
|
%
|
||
Senior Floating Rate Interests
|
44.9
|
%
|
||
Asset Backed Securities
|
14.7
|
%
|
||
Preferred Stocks
|
3.7
|
%
|
||
Common Stocks
|
1.7
|
%
|
||
Exchange-Traded Funds
|
1.6
|
%
|
||
Mortgage Backed Securities
|
0.8
|
%
|
||
Short Term Investments
|
0.2
|
%
|
||
Warrants
|
0.0
|
%*
|
||
Total Investments
|
143.9
|
%
|
||
Other Assets & Liabilities, net
|
-43.9
|
%
|
||
Net Assets
|
100.0
|
%
|
||
* Less than 0.1%
|
FUND SUMMARY (Unaudited) continued
|
November 30, 2016
|
FUND SUMMARY (Unaudited) continued
|
November 30, 2016
|
Ten Largest Holdings
|
|
(% of Total Net Assets)
|
|
Terraform Global Operating LLC, 9.75%, 08/15/22
|
2.4%
|
Reddy Ice Holdings, Inc., 10.75%, 10/01/19
|
2.3%
|
HRG Group, Inc., 7.88%, 07/15/19
|
2.1%
|
CTI Foods Holding Co. LLC, 8.25%, 06/28/21
|
2.1%
|
Epicor Software, 9.25%, 06/21/23
|
2.0%
|
Infor US, Inc., 6.50%, 05/15/22
|
1.8%
|
Panda Temple II Power, 7.25%, 04/03/19
|
1.8%
|
Midas Intermediate Holdco II LLC, 7.88%, 10/01/22
|
1.8%
|
TIBCO Software, Inc., 6.50%, 12/04/20
|
1.8%
|
LMI Aerospace, Inc., 7.38%, 07/15/19
|
1.8%
|
Top Ten Total
|
19.9%
|
Portfolio Composition by Quality Rating*
|
|
|
% of Total
|
Rating
|
Investments
|
Fixed Income Instruments
|
|
A
|
1.5%
|
BBB
|
5.2%
|
BB
|
22.4%
|
B
|
40.3%
|
CCC
|
16.6%
|
CC
|
0.1%
|
NR**
|
10.3%
|
Other Instruments
|
|
Short Term Investments
|
3.3%
|
Common Stocks
|
0.3%
|
Total Investments
|
100.0%
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
November 30, 2016
|
|
Shares
|
Value
|
||||||
COMMON STOCKS† – 1.7%
|
||||||||
Energy – 0.8%
|
||||||||
Titan Energy LLC*,1
|
27,133
|
$
|
624,060
|
|||||
SandRidge Energy, Inc.*,1
|
26,112
|
597,965
|
||||||
Total Energy
|
1,222,025
|
|||||||
Technology – 0.6%
|
||||||||
Aspect Software Parent, Inc.*,†††,2
|
51,036
|
772,687
|
||||||
Qlik Technologies, Inc. A*,†††,2
|
56
|
55,840
|
||||||
Qlik Technologies, Inc. B*,†††,2
|
13,812
|
564
|
||||||
Qlik Technologies, Inc.*,†††,2
|
3,600
|
–
|
||||||
Total Technology
|
829,091
|
|||||||
Industrial – 0.3%
|
||||||||
Sparta Holding Corp., Class A*,†††,2
|
228
|
277,406
|
||||||
Sparta Holding Corp., Class B*,†††,1,2
|
94,522
|
105,298
|
||||||
Ursa Insulation B.V.*,†††,2
|
5,282
|
–
|
||||||
Total Industrial
|
382,704
|
|||||||
Consumer, Non-cyclical – 0.0%**
|
||||||||
Targus Group International Equity, Inc*,†††,2
|
33,098
|
48,323
|
||||||
Basic Materials – 0.0%**
|
||||||||
Mirabela Nickel Ltd.*,†††,2
|
4,839,202
|
357
|
||||||
Total Common Stocks
|
||||||||
(Cost $5,500,442)
|
2,482,500
|
|||||||
PREFERRED STOCKS† – 3.7%
|
||||||||
Financial – 2.4%
|
||||||||
Bank of America Corp., Series X 6.25%*,3,4
|
1,150,000
|
1,144,262
|
||||||
Citigroup, Inc., Series M 6.30%*,3,4
|
1,100,000
|
1,090,375
|
||||||
PNC Financial Services Group, Inc. 5.00%*,3,4
|
550,000
|
533,500
|
||||||
M&T Bank Corp. 5.13%*,3,4
|
450,000
|
433,125
|
||||||
People's United Financial, Inc. 5.63%*,3,4
|
12,000
|
300,000
|
||||||
Total Financial
|
3,501,262
|
|||||||
Industrial – 1.3%
|
||||||||
Seaspan Corp. 6.38%1
|
76,500
|
1,883,430
|
||||||
Total Preferred Stocks
|
||||||||
(Cost $5,444,717)
|
5,384,692
|
|||||||
EXCHANGE-TRADED FUNDS† – 1.6%
|
||||||||
SPDR Bloomberg Barclays High Yield Bond ETF
|
65,000
|
2,347,800
|
||||||
Total Exchange-Traded Funds
|
||||||||
(Cost $2,359,169)
|
2,347,800
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2016
|
|
Shares
|
Value
|
||||||
SHORT TERM INVESTMENTS† – 0.2%
|
||||||||
Dreyfus Treasury Prime Cash Management Institutional Shares, 0.24%5
|
318,233
|
$
|
318,233
|
|||||
Total Short Term Investments
|
||||||||
(Cost $318,233)
|
318,233
|
|||||||
WARRANTS†† – 0.0%**
|
||||||||
Comstock Resources, Inc., 09/06/18
|
6,119
|
57,825
|
||||||
Total Warrants
|
||||||||
(Cost $49,782)
|
57,825
|
|||||||
|
Face
|
|||||||
|
Amount~
|
Value
|
||||||
CORPORATE BONDS†† – 76.3%
|
||||||||
Communications – 14.5%
|
||||||||
DISH DBS Corp.
|
||||||||
5.88% due 11/15/24
|
2,300,000
|
$
|
2,331,624
|
|||||
7.75% due 07/01/26
|
850,000
|
938,188
|
||||||
SFR Group S.A.
|
||||||||
7.38% due 05/01/261,6
|
2,600,000
|
2,593,499
|
||||||
Sprint Communications, Inc.
|
||||||||
9.00% due 11/15/186
|
2,200,000
|
2,417,250
|
||||||
6.00% due 11/15/22
|
150,000
|
144,683
|
||||||
MDC Partners, Inc.
|
||||||||
6.50% due 05/01/246
|
2,900,000
|
2,490,375
|
||||||
Ziggo Secured Finance BV
|
||||||||
4.25% due 01/15/27
|
1,000,000 EUR
|
1,047,570
|
||||||
5.50% due 01/15/276
|
700,000
|
672,000
|
||||||
CSC Holdings LLC
|
||||||||
5.25% due 06/01/24
|
1,350,000
|
1,265,490
|
||||||
6.75% due 11/15/21
|
400,000
|
420,500
|
||||||
Interoute Finco plc
|
||||||||
4.63% due 10/12/221
|
1,300,000 EUR
|
1,479,239
|
||||||
Sprint Spectrum Company LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
|
||||||||
3.36% due 09/20/216
|
1,100,000
|
1,102,750
|
||||||
EIG Investors Corp.
|
||||||||
10.88% due 02/01/247
|
1,100,000
|
1,023,000
|
||||||
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
|
||||||||
7.88% due 05/15/246
|
950,000
|
935,750
|
||||||
Sprint Corp.
|
||||||||
7.25% due 09/15/211
|
400,000
|
410,000
|
||||||
7.88% due 09/15/231
|
300,000
|
309,750
|
||||||
7.63% due 02/15/25
|
100,000
|
101,625
|
||||||
Comcast Corp.
|
||||||||
3.20% due 07/15/36
|
700,000
|
628,184
|
||||||
TIBCO Software, Inc.
|
||||||||
11.38% due 12/01/216
|
610,000
|
584,075
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2016
|
|
Face
|
|||||||
|
Amount~
|
Value
|
||||||
CORPORATE BONDS†† – 76.3% (continued)
|
||||||||
Communications – 14.5% (continued)
|
||||||||
Midcontinent Communications / Midcontinent Finance Corp.
|
||||||||
6.88% due 08/15/236
|
400,000
|
$
|
420,500
|
|||||
Total Communications
|
21,316,052
|
|||||||
Energy – 13.3%
|
||||||||
CONSOL Energy, Inc.
|
||||||||
8.00% due 04/01/23
|
2,500,000
|
2,550,000
|
||||||
Comstock Resources, Inc.
|
||||||||
10.00% due 03/15/201,8
|
2,225,000
|
2,191,624
|
||||||
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
|
||||||||
7.88% due 04/15/221,9
|
2,200,000
|
1,485,000
|
||||||
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
|
||||||||
6.00% due 12/15/20
|
1,200,000
|
1,221,000
|
||||||
6.13% due 03/01/221
|
150,000
|
151,500
|
||||||
6.25% due 04/01/231
|
50,000
|
50,750
|
||||||
Keane Group Holdings LLC
|
||||||||
12.00% due 08/08/19†††,2
|
1,520,000
|
1,394,600
|
||||||
Unit Corp.
|
||||||||
6.63% due 05/15/211
|
1,500,000
|
1,365,000
|
||||||
Whiting Petroleum Corp.
|
||||||||
5.00% due 03/15/19
|
675,000
|
666,563
|
||||||
5.75% due 03/15/21
|
550,000
|
541,750
|
||||||
Halcon Resources Corp.
|
||||||||
8.63% due 02/01/206
|
1,175,000
|
1,204,962
|
||||||
FTS International, Inc.
|
||||||||
8.35% due 06/15/201,3,6
|
1,100,000
|
1,045,000
|
||||||
TerraForm Power Operating LLC
|
||||||||
6.38% due 02/01/236,10
|
750,000
|
767,100
|
||||||
6.63% due 06/15/256,10
|
250,000
|
259,375
|
||||||
EP Energy LLC / Everest Acquisition Finance, Inc.
|
||||||||
9.38% due 05/01/20
|
650,000
|
544,570
|
||||||
6.38% due 06/15/231
|
400,000
|
280,000
|
||||||
Approach Resources, Inc.
|
||||||||
7.00% due 06/15/21
|
880,000
|
770,000
|
||||||
SandRidge Energy, Inc.
|
||||||||
0.00% due 10/04/201,11
|
615,587
|
749,092
|
||||||
QEP Resources, Inc.
|
||||||||
6.88% due 03/01/21
|
700,000
|
721,000
|
||||||
Gibson Energy, Inc.
|
||||||||
6.75% due 07/15/216
|
650,000
|
674,375
|
||||||
Legacy Reserves Limited Partnership / Legacy Reserves Finance Corp.
|
||||||||
6.63% due 12/01/21
|
750,000
|
431,250
|
||||||
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
|
||||||||
7.50% due 07/01/21
|
300,000
|
314,250
|
||||||
Schahin II Finance Company SPV Ltd.
|
||||||||
5.88% due 09/25/221,7,9
|
825,233
|
99,028
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2016
|
Face
|
||||||||
Amount~
|
Value
|
|||||||
CORPORATE BONDS†† – 76.3% (continued)
|
||||||||
Energy – 13.3% (continued)
|
||||||||
SandRidge Energy, Inc. Escrow Notes
|
||||||||
8.75% due 06/01/209
|
2,725,000
|
$
|
273
|
|||||
Total Energy
|
19,478,062
|
|||||||
Financial – 11.7%
|
||||||||
Jefferies Finance LLC / JFIN Company-Issuer Corp.
|
||||||||
7.38% due 04/01/206
|
2,100,000
|
2,052,750
|
||||||
7.50% due 04/15/216
|
1,100,000
|
1,069,750
|
||||||
NFP Corp.
|
||||||||
9.00% due 07/15/216
|
2,000,000
|
2,070,000
|
||||||
Lincoln Finance Ltd.
|
||||||||
7.38% due 04/15/21
|
1,750,000 EUR
|
1,993,694
|
||||||
Majid AL Futtaim Holding
|
||||||||
7.13%4
|
1,500,000
|
1,564,170
|
||||||
Garfunkelux Holding Co. 3 S.A.
|
||||||||
8.50% due 11/01/22
|
1,200,000 GBP
|
1,550,268
|
||||||
FBM Finance, Inc.
|
||||||||
8.25% due 08/15/216
|
1,400,000
|
1,449,000
|
||||||
GEO Group, Inc.
|
||||||||
6.00% due 04/15/261
|
775,000
|
744,000
|
||||||
5.88% due 10/15/24
|
350,000
|
337,750
|
||||||
5.88% due 01/15/22
|
250,000
|
249,375
|
||||||
NewStar Financial, Inc.
|
||||||||
7.25% due 05/01/20
|
1,125,000
|
1,116,563
|
||||||
Capital One Financial Corp.
|
||||||||
3.75% due 07/28/26
|
750,000
|
722,531
|
||||||
Prosight Global Inc.
|
||||||||
7.50% due 11/26/20†††,1
|
650,000
|
660,181
|
||||||
HUB International Ltd.
|
||||||||
9.25% due 02/15/216
|
600,000
|
618,000
|
||||||
Greystar Real Estate Partners LLC
|
||||||||
8.25% due 12/01/221,6
|
450,000
|
487,125
|
||||||
Cabot Financial Luxembourg S.A.
|
||||||||
7.00% due 10/01/23
|
350,000 GBP
|
431,308
|
||||||
Lock AS
|
||||||||
7.00% due 08/15/21
|
50,000 EUR
|
56,141
|
||||||
Total Financial
|
17,172,606
|
|||||||
Consumer, Non-cyclical – 8.8%
|
||||||||
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc.
|
||||||||
7.88% due 10/01/226
|
2,651,000
|
2,664,254
|
||||||
Vector Group Ltd.
|
||||||||
7.75% due 02/15/21
|
2,431,000
|
2,534,318
|
||||||
Bumble Bee Holdings, Inc.
|
||||||||
9.00% due 12/15/176
|
1,950,000
|
1,925,625
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2016
|
|
Face
|
|||||||
|
Amount~
|
Value
|
||||||
CORPORATE BONDS†† – 76.3% (continued)
|
||||||||
Consumer, Non-cyclical – 8.8% (continued)
|
||||||||
KeHE Distributors LLC / KeHE Finance Corp.
|
||||||||
7.63% due 08/15/211,6
|
1,400,000
|
$
|
1,393,000
|
|||||
Bumble Bee Holdco SCA
|
||||||||
9.63% due 03/15/186,8
|
1,105,000
|
1,082,900
|
||||||
Kinetic Concepts Incorporated / KCI USA Inc
|
||||||||
7.88% due 02/15/216
|
1,000,000
|
1,055,000
|
||||||
Halyard Health, Inc.
|
||||||||
6.25% due 10/15/22
|
925,000
|
945,813
|
||||||
Tenet Healthcare Corp.
|
||||||||
7.50% due 01/01/226
|
600,000
|
616,875
|
||||||
Post Holdings, Inc.
|
||||||||
5.00% due 08/15/261,6
|
450,000
|
425,813
|
||||||
Opal Acquisition, Inc.
|
||||||||
8.88% due 12/15/216
|
420,000
|
328,650
|
||||||
Total Consumer, Non-cyclical
|
12,972,248
|
|||||||
Technology – 6.8%
|
||||||||
Epicor Software
|
||||||||
9.25% due 06/21/23†††,1,2
|
3,000,000
|
2,931,000
|
||||||
Infor US, Inc.
|
||||||||
6.50% due 05/15/22
|
2,650,000
|
2,722,874
|
||||||
Micron Technology, Inc.
|
||||||||
7.50% due 09/15/236
|
1,375,000
|
1,519,375
|
||||||
5.25% due 08/01/236
|
925,000
|
913,438
|
||||||
Cengage Learning, Inc.
|
||||||||
9.50% due 06/15/241,6
|
2,225,000
|
1,941,313
|
||||||
Total Technology
|
10,028,000
|
|||||||
Consumer, Cyclical – 6.6%
|
||||||||
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
|
||||||||
6.50% due 05/01/21
|
1,750,000
|
1,653,749
|
||||||
6.75% due 01/15/22
|
1,215,000
|
1,145,138
|
||||||
6.75% due 06/15/231
|
650,000
|
604,500
|
||||||
WMG Acquisition Corp.
|
||||||||
6.75% due 04/15/226
|
1,550,000
|
1,623,625
|
||||||
Nathan's Famous, Inc.
|
||||||||
10.00% due 03/15/206
|
1,300,000
|
1,417,000
|
||||||
NPC International Incorporated / NPC Operating Company A Inc /
|
||||||||
NPC Operating Company B Inc
|
||||||||
10.50% due 01/15/20
|
1,120,000
|
1,158,640
|
||||||
L Brands, Inc.
|
||||||||
6.75% due 07/01/361
|
650,000
|
641,875
|
||||||
6.88% due 11/01/35
|
250,000
|
250,000
|
||||||
TVL Finance plc
|
||||||||
8.50% due 05/15/23
|
500,000 GBP
|
656,547
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2016
|
|
Face
|
|||||||
|
Amount~
|
Value
|
||||||
CORPORATE BONDS†† – 76.3% (continued)
|
||||||||
Consumer, Cyclical – 6.6% (continued)
|
||||||||
Carrols Restaurant Group, Inc.
|
||||||||
8.00% due 05/01/221
|
400,000
|
$
|
433,000
|
|||||
Men's Wearhouse, Inc.
|
||||||||
7.00% due 07/01/22
|
75,000
|
68,250
|
||||||
Total Consumer, Cyclical
|
9,652,324
|
|||||||
Industrial – 5.2%
|
||||||||
LMI Aerospace, Inc.
|
||||||||
7.38% due 07/15/191
|
2,628,000
|
2,621,431
|
||||||
StandardAero Aviation Holdings, Inc.
|
||||||||
10.00% due 07/15/236
|
2,000,000
|
2,112,500
|
||||||
Summit Materials LLC / Summit Materials Finance Corp.
|
||||||||
8.50% due 04/15/221
|
1,000,000
|
1,101,250
|
||||||
Ardagh Packaging Finance plc
|
||||||||
6.75% due 05/15/24
|
600,000 EUR
|
666,349
|
||||||
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
|
||||||||
7.25% due 05/15/241,6
|
450,000
|
470,250
|
||||||
Princess Juliana International Airport Operating Company N.V.
|
||||||||
5.50% due 12/20/27†††,1,6
|
410,434
|
414,538
|
||||||
Coveris Holdings S.A.
|
||||||||
7.88% due 11/01/196
|
250,000
|
245,625
|
||||||
Total Industrial
|
7,631,943
|
|||||||
Basic Materials – 4.0%
|
||||||||
Eldorado Gold Corp.
|
||||||||
6.13% due 12/15/206
|
1,900,000
|
1,914,250
|
||||||
Alcoa Nederland Holding BV
|
||||||||
7.00% due 09/30/266
|
1,000,000
|
1,059,999
|
||||||
GCP Applied Technologies, Inc.
|
||||||||
9.50% due 02/01/231,6
|
875,000
|
990,938
|
||||||
Novelis, Inc.
|
||||||||
8.38% due 12/15/17
|
850,000
|
853,188
|
||||||
Constellium N.V.
|
||||||||
7.88% due 04/01/211,6
|
750,000
|
806,250
|
||||||
Mirabela Nickel Ltd.
|
||||||||
9.50% due 06/24/19†††,1,2,7
|
1,279,819
|
236,037
|
||||||
1.00% due 09/10/44†††,2
|
25,570
|
–
|
||||||
Total Basic Materials
|
5,860,662
|
|||||||
Utilities – 3.3%
|
||||||||
Terraform Global Operating LLC
|
||||||||
9.75% due 08/15/226
|
3,250,000
|
3,469,375
|
||||||
LBC Tank Terminals Holding Netherlands BV
|
||||||||
6.88% due 05/15/236
|
1,300,000
|
1,300,000
|
||||||
Total Utilities
|
4,769,375
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2016
|
|
Face
|
|||||||
|
Amount~
|
Value
|
||||||
CORPORATE BONDS†† – 76.3% (continued)
|
||||||||
Diversified – 2.1%
|
||||||||
HRG Group, Inc.
|
||||||||
7.88% due 07/15/19
|
3,000,000
|
$
|
3,127,500
|
|||||
Total Corporate Bonds
|
||||||||
(Cost $112,301,263)
|
112,008,772
|
|||||||
SENIOR FLOATING RATE INTERESTS††,4 – 44.9%
|
||||||||
Technology – 10.7%
|
||||||||
Greenway Medical Technologies
|
||||||||
9.25% due 11/04/211
|
2,450,000
|
2,327,500
|
||||||
6.00% due 11/04/201
|
1,945,000
|
1,896,375
|
||||||
Advanced Computer Software
|
||||||||
10.50% due 01/31/231
|
2,250,000
|
2,019,375
|
||||||
6.50% due 03/18/221
|
886,500
|
842,175
|
||||||
TIBCO Software, Inc.
|
||||||||
6.50% due 12/04/201
|
2,652,750
|
2,644,793
|
||||||
Qlik Technologies, Inc.
|
||||||||
9.25% due 08/22/22†††,1,2
|
2,500,000
|
2,453,790
|
||||||
Aspect Software, Inc.
|
||||||||
11.28% due 05/25/201
|
1,304,362
|
1,286,975
|
||||||
10.85% due 05/25/18†††,1,2
|
531,667
|
519,846
|
||||||
Sparta Holding Corp.
|
||||||||
6.50% due 07/28/20†††,1,2
|
1,719,102
|
1,708,624
|
||||||
Total Technology
|
15,699,453
|
|||||||
Consumer, Non-cyclical – 8.8%
|
||||||||
Reddy Ice Holdings, Inc.
|
||||||||
10.75% due 10/01/191
|
4,000,000
|
3,306,680
|
||||||
6.75% due 05/01/191
|
300,000
|
282,939
|
||||||
CTI Foods Holding Co. LLC
|
||||||||
8.25% due 06/28/211
|
3,430,000
|
3,052,700
|
||||||
Bauer Performance Sports
|
||||||||
7.50% due 04/15/211
|
1,300,000
|
1,287,325
|
||||||
IHC Holding Corp.
|
||||||||
7.00% due 04/30/21†††,1,2
|
1,234,375
|
1,220,752
|
||||||
Arctic Glacier Holdings, Inc.
|
||||||||
6.00% due 05/10/191
|
1,105,589
|
1,094,533
|
||||||
American Seafoods Group LLC / American Seafoods Finance, Inc.
|
||||||||
6.02% due 08/19/211
|
963,426
|
953,792
|
||||||
Hanger, Inc.
|
||||||||
11.50% due 08/01/191
|
925,000
|
920,375
|
||||||
Pelican Products, Inc.
|
||||||||
9.25% due 04/08/211
|
550,000
|
528,000
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2016
|
|
Face
|
|||||||
|
Amount~
|
Value
|
||||||
SENIOR FLOATING RATE INTERESTS††,4 – 44.9% (continued)
|
||||||||
Consumer, Non-cyclical – 8.8% (continued)
|
||||||||
Targus Group International, Inc.
|
||||||||
15.00% due 12/31/19†††,1,2
|
139,256
|
$
|
194,722
|
|||||
13.75% due 12/31/19†††,1,2
|
7,928
|
11,086
|
||||||
Total Consumer, Non-cyclical
|
12,852,904
|
|||||||
Consumer, Cyclical – 7.4%
|
||||||||
ABRA Auto Body
|
||||||||
8.25% due 09/19/221
|
1,600,000
|
1,536,000
|
||||||
8.25% due 09/02/221
|
750,000
|
720,000
|
||||||
The Bay Club Company
|
||||||||
7.50% due 08/31/221
|
1,645,875
|
1,654,104
|
||||||
7.50% due 08/31/171
|
350,000
|
346,500
|
||||||
Accuride Corp.
|
||||||||
8.00% due 11/10/23
|
2,000,000
|
1,940,000
|
||||||
Sears Holdings Corp.
|
||||||||
5.50% due 06/30/181
|
1,959,596
|
1,910,606
|
||||||
Sky Bet Cyan Blue HoldCo
|
||||||||
6.25% due 02/25/221
|
1,500,000 GBP
|
1,886,347
|
||||||
Fitness International LLC
|
||||||||
6.00% due 07/01/201
|
600,000
|
600,000
|
||||||
Advantage Sales & Marketing LLC
|
||||||||
2.59% due 07/21/19†††,1,2
|
360,000
|
335,405
|
||||||
Total Consumer, Cyclical
|
10,928,962
|
|||||||
Industrial – 7.2%
|
||||||||
Ursa Insulation B.V.
|
||||||||
25.00% due 04/26/21†††,1,2
|
1,621,819 EUR
|
1,796,526
|
||||||
7.75% due 04/26/20†††,1,2
|
1,511,071 EUR
|
1,601,390
|
||||||
Doncasters Group Ltd.
|
||||||||
9.50% due 10/09/201
|
1,351,724
|
1,243,585
|
||||||
Bioplan USA, Inc.
|
||||||||
5.75% due 09/23/211
|
962,670
|
920,553
|
||||||
HBC Hardware Holdings
|
||||||||
6.75% due 03/30/20†††,1
|
910,000
|
891,800
|
||||||
Ranpak
|
||||||||
8.25% due 10/03/221
|
900,000
|
846,000
|
||||||
National Technical
|
||||||||
7.25% due 06/12/21†††,1,2
|
861,604
|
840,064
|
||||||
NaNa Development Corp.
|
||||||||
8.00% due 03/15/181
|
694,118
|
666,353
|
||||||
Advanced Integration Tech
|
||||||||
6.50% due 07/22/211
|
650,000
|
650,000
|
||||||
SRS Distribution, Inc.
|
||||||||
9.75% due 02/24/231
|
600,000
|
618,000
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2016
|
|
Face
|
|||||||
|
Amount~
|
Value
|
||||||
SENIOR FLOATING RATE INTERESTS††,4 – 44.9% (continued)
|
||||||||
Industrial – 7.2% (continued)
|
||||||||
ProAmpac
|
||||||||
9.50% due 11/18/241
|
250,000
|
$
|
250,000
|
|||||
Omnitracs, Inc.
|
||||||||
8.75% due 05/25/211
|
150,000
|
142,500
|
||||||
Wencor Group
|
||||||||
0.89% due 06/19/19†††,1,2
|
53,846
|
50,414
|
||||||
Total Industrial
|
10,517,185
|
|||||||
Communications – 3.9%
|
||||||||
Cengage Learning Acquisitions, Inc.
|
||||||||
5.25% due 06/07/231
|
2,299,605
|
2,205,987
|
||||||
Anaren, Inc.
|
||||||||
9.25% due 08/18/211
|
2,200,000
|
1,991,000
|
||||||
Proquest LLC
|
||||||||
10.00% due 12/15/221
|
850,000
|
823,438
|
||||||
SFR GROUP SA
|
||||||||
4.04% due 01/14/25
|
700,000
|
698,033
|
||||||
Total Communications
|
5,718,458
|
|||||||
Energy – 3.7%
|
||||||||
Invenergy Thermal
|
||||||||
6.50% due 10/19/221
|
2,422,437
|
2,319,482
|
||||||
Cactus Wellhead
|
||||||||
7.00% due 07/31/201
|
1,369,930
|
1,215,813
|
||||||
Exgen Texas Power LLC
|
||||||||
5.75% due 09/18/211
|
1,039,566
|
788,771
|
||||||
MRP Generation Holding
|
||||||||
8.00% due 10/18/221
|
750,000
|
738,750
|
||||||
Lone Star Energy
|
||||||||
5.47% due 02/22/211
|
500,000
|
442,500
|
||||||
Total Energy
|
5,505,316
|
|||||||
Utilities – 2.1%
|
||||||||
Panda Temple II Power
|
||||||||
7.25% due 04/03/191
|
2,977,500
|
2,716,969
|
||||||
Stonewall (Green Energy)
|
||||||||
6.50% due 11/13/211
|
450,000
|
441,000
|
||||||
Total Utilities
|
3,157,969
|
|||||||
Financial – 0.8%
|
||||||||
Acrisure LLC
|
||||||||
5.75% due 11/03/231
|
633,929
|
633,003
|
||||||
Integro Parent, Inc.
|
||||||||
6.75% due 10/31/221
|
546,032
|
532,381
|
||||||
Total Financial
|
1,165,384
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2016
|
|
Face
|
|||||||
|
Amount~
|
Value
|
||||||
SENIOR FLOATING RATE INTERESTS††,4 – 44.9% (continued)
|
||||||||
Basic Materials – 0.2%
|
||||||||
PQ Corp.
|
||||||||
5.25% due 11/04/221
|
249,375
|
$
|
251,245
|
|||||
Transportation – 0.1%
|
||||||||
Ceva Group plc (United Kingdom)
|
||||||||
1.50% due 03/19/19†††,1,2
|
110,000
|
99,694
|
||||||
Total Senior Floating Rate Interests
|
||||||||
(Cost $68,709,211)
|
65,896,570
|
|||||||
ASSET BACKED SECURITIES†† – 14.7%
|
||||||||
Collateralized Loan Obligations – 10.2%
|
||||||||
Newstar Commercial Loan Funding LLC
|
||||||||
2013-1A, 6.16% due 09/20/231,3,6
|
1,500,000
|
1,360,795
|
||||||
THL Credit Wind River 2014-1 CLO Ltd.
|
||||||||
2014-1A, 5.83% due 04/18/261,3,6
|
1,500,000
|
1,270,248
|
||||||
CIFC Funding Ltd.
|
||||||||
2014-1A, 5.38% due 04/18/253,6
|
1,340,000
|
1,112,012
|
||||||
Monroe Capital CLO 2014-1 Ltd.
|
||||||||
2014-1A, 5.61% due 10/22/261,3,6
|
1,000,000
|
940,020
|
||||||
Betony CLO Ltd.
|
||||||||
2015-1A, 6.23% due 04/15/273,6
|
1,000,000
|
836,435
|
||||||
Eaton Vance CLO Ltd.
|
||||||||
2014-1A, 5.91% due 07/15/263,6
|
1,000,000
|
811,516
|
||||||
Denali Capital CLO X Ltd.
|
||||||||
2013-1A, 6.63% due 04/28/251,3,6
|
1,000,000
|
807,147
|
||||||
OZLM XI Ltd.
|
||||||||
2015-11A, 7.04% due 01/30/273,6
|
1,000,000
|
767,127
|
||||||
Ares Enhanced Loan Investment Strategy IR Ltd.
|
||||||||
2013-IRAR, 5.88% due 07/23/251,3,6
|
830,000
|
736,163
|
||||||
NewStar Arlington Senior Loan Program LLC
|
||||||||
2014-1A, 5.13% due 07/25/251,3,6
|
750,000
|
693,359
|
||||||
Saranac CLO III Ltd.
|
||||||||
2014-3A, 6.02% due 06/22/253,6
|
750,000
|
592,203
|
||||||
Babson CLO Ltd.
|
||||||||
2012-2A, 0.00% due 05/15/231,6,11
|
1,000,000
|
583,238
|
||||||
Cerberus Onshore II CLO-2 LLC
|
||||||||
2014-1A, 5.03% due 10/15/231,3,6
|
500,000
|
494,515
|
||||||
Fortress Credit Opportunities V CLO Ltd.
|
||||||||
2014-5A, 5.78% due 10/15/261,3,6
|
500,000
|
480,836
|
||||||
NXT Capital CLO 2013-1 LLC
|
||||||||
2013-1A, 5.03% due 04/25/241,3,6
|
500,000
|
476,203
|
||||||
Fortress Credit Opportunities VI CLO Ltd.
|
||||||||
2015-6A, 5.85% due 10/10/261,3,6
|
500,000
|
467,295
|
||||||
Dryden 41 Senior Loan Fund
|
||||||||
2015-41A, 0.00% due 01/15/281,6,11
|
600,000
|
465,468
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2016
|
|
Face
|
|||||||
|
Amount~
|
Value
|
||||||
ASSET BACKED SECURITIES†† – 14.7% (continued)
|
||||||||
Collateralized Loan Obligations – 10.2% (continued)
|
||||||||
Treman Park CLO Ltd.
|
||||||||
2015-1A, 0.00% due 04/20/271,6,11
|
500,000
|
$
|
438,464
|
|||||
Saranac CLO II Ltd.
|
||||||||
2014-2A, 6.06% due 02/20/253,6
|
500,000
|
406,310
|
||||||
Adams Mill CLO Ltd.
|
||||||||
2014-1A, 5.88% due 07/15/263,6
|
500,000
|
404,695
|
||||||
Jamestown CLO VI Ltd.
|
||||||||
2015-6A, 5.66% due 02/20/273,6
|
500,000
|
394,571
|
||||||
KVK CLO Ltd.
|
||||||||
2014-2A, 5.63% due 07/15/263,6
|
500,000
|
381,918
|
||||||
Total Collateralized Loan Obligations
|
14,920,538
|
|||||||
Transportation – 2.9%
|
||||||||
Emerald Aviation Finance Ltd.
|
||||||||
2013-1, 6.35% due 10/15/381,6,10
|
1,135,681
|
1,151,297
|
||||||
Apollo Aviation Securitization Equity Trust
|
||||||||
2014-1, 7.50% due 12/15/293
|
852,564
|
846,170
|
||||||
Apollo Aviation Securitization Equity Trust 2016-2
|
||||||||
2016-2, 7.87% due 11/15/416
|
500,000
|
500,237
|
||||||
Apollo Aviation Securitization Equity Trust 2016-1
|
||||||||
2016-1A, 9.20% due 03/17/361,6,10
|
433,350
|
439,850
|
||||||
Rise Ltd.
|
||||||||
2014-1AB, 6.50% due 02/12/39†††,1
|
416,667
|
407,098
|
||||||
AASET
|
||||||||
2014-1 C, 10.00% due 12/15/29
|
378,955
|
378,955
|
||||||
Turbine Engines Securitization Ltd.
|
||||||||
2013-1A, 6.38% due 12/15/481,7
|
311,602
|
290,102
|
||||||
Castlelake Aircraft Securitization Trust
|
||||||||
2014-1, 7.50% due 02/15/29
|
271,123
|
270,581
|
||||||
Total Transportation
|
4,284,290
|
|||||||
Collateralized Debt Obligations – 1.0%
|
||||||||
Anchorage Credit Funding 1 Ltd.
|
||||||||
2015-1A, 6.30% due 07/28/306
|
1,000,000
|
1,002,866
|
||||||
FDF I Ltd.
|
||||||||
2015-1A, 6.88% due 11/12/301,6
|
500,000
|
500,196
|
||||||
Total Collateralized Debt Obligations
|
1,503,062
|
|||||||
Financial – 0.3%
|
||||||||
NCBJ 2015-1 A
|
||||||||
5.88% due 07/08/22†††,1,2
|
500,000
|
500,000
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2016
|
|
Face
|
|||||||
|
Amount~
|
Value
|
||||||
ASSET BACKED SECURITIES†† – 14.7% (continued)
|
||||||||
Collateralized Loan Obligation – 0.3%
|
||||||||
ACAS CLO 2014-1 Ltd.
|
||||||||
2014-1A, 6.78% due 07/18/263,6
|
500,000
|
$
|
390,549
|
|||||
Total Asset Backed Securities
|
||||||||
(Cost $21,661,323)
|
21,598,439
|
|||||||
MORTGAGE BACKED SECURITIES†† – 0.8%
|
||||||||
Collateralized Mortgage Backed Securities – 0.8%
|
||||||||
GS Mortgage Securities Corporation Trust
|
||||||||
2016-ICE2, 9.04% due 02/15/333,6
|
1,200,000
|
1,234,218
|
||||||
Total Mortgage Backed Securities
|
||||||||
(Cost $1,200,000)
|
1,234,218
|
|||||||
Total Investments – 143.9%
|
||||||||
(Cost $217,544,140)
|
$
|
211,329,049
|
||||||
Other Assets & Liabilities, net – (43.9)%
|
(64,505,761
|
)
|
||||||
Total Net Assets – 100.0%
|
$
|
146,823,288
|
~
|
The face amount is denominated in U.S. Dollars, unless otherwise noted.
|
|
|
|
|
*
|
Non-income producing security. | |
|
|
|
**
|
Less than 0.1%
|
|
|
|
|
†
|
Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
|
|
|
|
|
††
|
Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
|
|
|
|
|
†††
|
Value determined based on Level 3 inputs — See Note 4.
|
|
|
|
|
1
|
All or a portion of these securities have been physically segregated or earmarked in connection with borrowings, reverse repurchase agreements and unfunded loan commitments. As of November 30, 2016, the total market value of segregated or earmarked securities was $98,758,271.
|
|
|
|
|
2
|
Security was fair valued by the Valuation Committee at November 30, 2016. The total market value of fair valued securities amounts to $17,212,249, (cost $21,491,213) or 11.7% of total net assets.
|
|
|
|
|
3
|
Variable rate security. Rate indicated is rate effective at November 30, 2016.
|
|
|
|
|
4
|
Perpetual maturity.
|
|
|
|
|
5
|
Rate indicated is the 7-day yield as of November 30, 2016.
|
|
|
|
|
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 $72,743,981 (cost $71,804,983), or 49.6% of total net assets.
|
|
|
|
|
7
|
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 $1,648,167 (cost $3,222,270), or 1.1% of total net assets — See Note 12.
|
|
8 | Payment-in-kind security. | |
9 | Security is in default of interest and/or principal obligations. | |
10 | 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 as of November 30, 2016. | |
11 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2016
|
B.V.
|
Limited Liability Company
|
CLO | Collateralized Loan Obligation |
EUR | Euro |
GBP | Great Britain Pound |
LLC | Limited Liability Company |
N.V. | Publicly Traded Company |
plc | Public Limited Company |
S.A. | Corporation |
|
Level 2
|
Level 3
|
||||||||||||||
|
Significant
|
Significant
|
||||||||||||||
|
Level 1
|
Observable
|
Unobservable
|
|||||||||||||
Description
|
Quoted Prices
|
Inputs
|
Inputs
|
Total
|
||||||||||||
Assets:
|
||||||||||||||||
Common Stocks
|
$
|
1,222,025
|
$
|
–
|
$
|
1,260,475
|
$
|
2,482,500
|
||||||||
Preferred Stocks
|
5,384,692
|
–
|
–
|
5,384,692
|
||||||||||||
Exchange-Traded Funds
|
2,347,800
|
–
|
–
|
2,347,800
|
||||||||||||
Short Term Investments
|
318,233
|
–
|
–
|
318,233
|
||||||||||||
Warrants
|
–
|
57,825
|
–
|
57,825
|
||||||||||||
Corporate Bonds
|
–
|
106,372,416
|
5,636,356
|
112,008,772
|
||||||||||||
Senior Floating Rate Interests
|
–
|
54,172,457
|
11,724,113
|
65,896,570
|
||||||||||||
Asset Backed Securities
|
–
|
20,691,341
|
907,098
|
21,598,439
|
||||||||||||
Mortgage Backed Securities
|
–
|
1,234,218
|
–
|
1,234,218
|
||||||||||||
Forward Foreign Currency Exchange Contracts
|
–
|
394,582
|
*
|
–
|
394,582
|
|||||||||||
Total Assets
|
$
|
9,272,750
|
$
|
182,922,839
|
$
|
19,528,042
|
$
|
211,723,631
|
||||||||
Liabilities:
|
||||||||||||||||
Forward Foreign Currency Exchange Contracts
|
$
|
–
|
$
|
54,558
|
*
|
$
|
–
|
$
|
54,558
|
|||||||
Unfunded Commitments
|
–
|
826,658
|
–
|
826,658
|
||||||||||||
Total Liabilities
|
$
|
–
|
$
|
881,216
|
$
|
–
|
$
|
881,216
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2016
|
|
Ending Balance at
|
|
|
|
Category
|
11/30/2016
|
Valuation Technique
|
Unobservable Inputs
|
Input Range
|
Asset Backed Securities
|
$407,098
|
Option adjusted
|
Indicative Quote
|
–
|
|
|
spread off the month
|
|
|
|
|
end broker quote over
|
|
|
|
|
the 3 month LIBOR
|
|
|
Asset Backed Securities
|
500,000
|
Option adjusted spread
|
Indicative Quote
|
–
|
|
|
|
for Comparable Security
|
|
Corporate Bonds
|
1,074,719
|
Option adjusted
|
Indicative Quote
|
–
|
|
|
spread off the month
|
|
|
|
|
end broker quote over
|
|
|
|
|
the 3 month LIBOR
|
|
|
Corporate Bonds
|
4,325,600
|
Model Price
|
Market Comparable Yields
|
8.8% - 14.1%
|
Corporate Bonds
|
236,037
|
Model Price
|
Liquidation Value
|
–
|
Common Stocks
|
1,203,714
|
Enterprise Value
|
Valuation Multiple*
|
5.5x - 13.0x
|
Common Stocks
|
56,404
|
Model Price
|
Purchase Price
|
–
|
Common Stocks
|
357
|
Model Price
|
Liquidation Value
|
–
|
Senior Floating Rate Interests
|
891,800
|
Option adjusted
|
Indicative Quote
|
–
|
|
|
spread off the month
|
|
|
|
|
end broker quote over
|
|
|
|
|
the 3 month LIBOR
|
|
|
Senior Floating Rate Interests
|
3,603,724
|
Enterprise Value
|
Valuation Multiple*
|
5.5x - 8.0x
|
Senior Floating Rate Interests
|
5,167,773
|
Model Price
|
Purchase Price
|
–
|
Senior Floating Rate Interests
|
2,060,816
|
Model Price
|
Market Comparable Yields
|
5.7% - 5.9%
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2016
|
|
Senior Floating
|
Asset-Backed
|
Corporate
|
Common
|
||||||||||||||||
|
Rate Interests
|
Securities
|
Bonds
|
Stocks
|
Total
|
|||||||||||||||
Assets:
|
||||||||||||||||||||
Beginning Balance
|
$
|
11,180,172
|
$
|
1,351,858
|
$
|
5,956,415
|
$
|
1,484,363
|
$
|
19,972,808
|
||||||||||
Purchases
|
4,034,429
|
–
|
–
|
60,004
|
4,094,433
|
|||||||||||||||
Corporate Actions
|
–
|
–
|
(380,626
|
)
|
–
|
(380,626
|
)
|
|||||||||||||
Paydowns Received
|
(1,786,813
|
)
|
(37,587
|
)
|
(33,029
|
)
|
–
|
(1,857,429
|
)
|
|||||||||||
Payment-in-kind Distributions
|
||||||||||||||||||||
Received
|
218,824
|
–
|
16,140
|
–
|
234,964
|
|||||||||||||||
Realized Gain/ (Loss)
|
(25,457
|
)
|
–
|
–
|
–
|
(25,457
|
)
|
|||||||||||||
Total change in unrealized gains
|
||||||||||||||||||||
or (losses) included in earnings
|
208,700
|
(28,094
|
)
|
48,804
|
(283,892
|
)
|
(54,482
|
)
|
||||||||||||
Accrued discounts/(premiums)
|
36,985
|
(124
|
)
|
28,652
|
–
|
65,513
|
||||||||||||||
Sales
|
(2,142,727
|
)
|
–
|
–
|
–
|
(2,142,727
|
)
|
|||||||||||||
Transfers out of Level 3
|
–
|
(378,955
|
)
|
–
|
–
|
(378,955
|
)
|
|||||||||||||
Ending Balance
|
$
|
11,724,113
|
$
|
907,098
|
$
|
5,636,356
|
$
|
1,260,475
|
$
|
19,528,042
|
||||||||||
Net change in unrealized
|
||||||||||||||||||||
appreciation (depreciation)
|
||||||||||||||||||||
for investments in securities
|
||||||||||||||||||||
still held at November 30, 2016
|
$
|
214,409
|
$
|
(30,464
|
)
|
$
|
52,595
|
$
|
(283,892
|
)
|
$
|
(47,352
|
)
|
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
|
November 30, 2016
|
ASSETS:
|
||||
Investments, at value (cost $217,544,140)
|
$
|
211,329,049
|
||
Foreign currency, at value (cost $107)
|
107
|
|||
Cash
|
1,814,814
|
|||
Unrealized appreciation on forward foreign currency exchange contracts
|
394,582
|
|||
Receivables:
|
||||
Interest
|
3,024,771
|
|||
Investments sold
|
3,405,207
|
|||
Tax reclaims
|
22,568
|
|||
Other assets
|
6,263
|
|||
Total assets
|
219,997,361
|
|||
LIABILITIES:
|
||||
Reverse repurchase agreements
|
61,902,161
|
|||
Borrowings
|
6,000,000
|
|||
Unfunded loan commitments, at value (Note 10) (commitment fees
|
||||
received $1,561,468)
|
826,658
|
|||
Segregated Cash from broker
|
255,000
|
|||
Interest payable on borrowings
|
37,365
|
|||
Unrealized depreciation on forward foreign currency exchange contracts
|
54,558
|
|||
Payable for:
|
||||
Investments purchased
|
3,700,863
|
|||
Investment advisory fees
|
178,412
|
|||
Excise tax payable
|
121,000
|
|||
Offering costs
|
3,987
|
|||
Trustee's fees and expenses*
|
3,073
|
|||
Accrued expenses and other liabilities
|
90,996
|
|||
Total liabilities
|
73,174,073
|
|||
NET ASSETS
|
$
|
146,823,288
|
||
NET ASSETS CONSIST OF:
|
||||
Common stock, $.01 par value per share; unlimited number of shares authorized,
|
||||
6,695,877 shares issued and outstanding
|
$
|
66,959
|
||
Additional paid-in capital
|
159,037,940
|
|||
Undistributed net investment income
|
1,480,130
|
|||
Accumulated net realized loss on investments
|
(8,620,666
|
)
|
||
Net unrealized depreciation on investments
|
(5,141,075
|
)
|
||
NET ASSETS
|
$
|
146,823,288
|
||
Net Asset Value
|
$
|
21.93
|
STATEMENTS OF OPERATIONS (Unaudited)
|
November 30, 2016
|
For the Six Months Ended November 30, 2016
|
|
INVESTMENT INCOME:
|
||||
Interest
|
$
|
7,927,837
|
||
Dividends
|
145,108
|
|||
Total investment income
|
8,072,945
|
|||
EXPENSES
|
||||
Investment advisory fees
|
1,030,006
|
|||
Interest expense
|
404,923
|
|||
Excise tax expense
|
121,000
|
|||
Professional fees
|
63,026
|
|||
Trustees' fees and expenses*
|
37,698
|
|||
Fund accounting fees
|
32,676
|
|||
Administration fees
|
28,079
|
|||
Printing fees
|
19,830
|
|||
Registration and filings
|
11,895
|
|||
Custodian fees
|
11,008
|
|||
Transfer agent fees
|
9,889
|
|||
Insurance
|
4,272
|
|||
Total expenses
|
1,774,302
|
|||
Net investment income
|
6,298,643
|
|||
NET REALIZED AND UNREALIZED GAIN (LOSS):
|
||||
Net realized gain (loss) on:
|
||||
Investments
|
(4,802,193
|
)
|
||
Foreign currency transactions
|
1,179,648
|
|||
Net realized (loss)
|
(3,622,545
|
)
|
||
Net change in unrealized appreciation (depreciation) on:
|
||||
Investments
|
13,689,248
|
|||
Foreign currency translations
|
110,758
|
|||
Net change in unrealized appreciation (depreciation)
|
13,800,006
|
|||
Net realized and unrealized gain
|
10,177,461
|
|||
Net increase in net assets resulting from operations
|
$
|
16,476,104
|
STATEMENTS OF CHANGES IN NET ASSETS
|
November 30, 2016
|
|
Period Ended
|
|||||||
November 30, 2016
|
Year Ended
|
|||||||
|
(Unaudited)
|
May 31, 2016
|
||||||
INCREASE IN NET ASSETS FROM OPERATIONS:
|
||||||||
Net investment income
|
$
|
6,298,643
|
$
|
13,366,634
|
||||
Net realized (loss) on investments
|
(3,622,545
|
)
|
(3,042,312
|
)
|
||||
Net change in unrealized appreciation (depreciation) on investments
|
13,800,006
|
(14,515,990
|
)
|
|||||
Net increase (decrease) in net assets resulting from operations
|
16,476,104
|
(4,191,668
|
)
|
|||||
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||||||
From net investment income
|
(7,234,278
|
)
|
(14,423,713
|
)
|
||||
SHAREHOLDER TRANSACTIONS:
|
||||||||
Net proceeds from shares issued through at-the-market offering
|
1,393,383
|
–
|
||||||
Reinvestments
|
54,466
|
4,542
|
||||||
Common share offering costs charged to paid-in capital
|
(8,488
|
)
|
–
|
|||||
Net increase from capital share transactions
|
1,439,361
|
4,542
|
||||||
Total increase (decrease) in net assets
|
10,681,187
|
(18,610,839
|
)
|
|||||
NET ASSETS:
|
||||||||
Beginning of period
|
136,142,101
|
154,752,940
|
||||||
End of period
|
$
|
146,823,288
|
$
|
136,142,101
|
||||
Undistributed net investment
|
||||||||
income at end of period
|
$
|
1,480,130
|
$
|
2,415,765
|
STATEMENT OF CASH FLOWS (Unaudited)
|
November 30, 2016
|
For the Period November 30, 2016
|
|
Cash Flows from Operating Activities:
|
||||
Net Increase in net assets resulting from operations
|
$
|
16,476,104
|
||
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to
|
||||
Net Cash Used In Operating and Investing Activities:
|
||||
Net change in unrealized (appreciation) on investments
|
(13,689,248
|
)
|
||
Net change in unrealized (appreciation) on forward foreign
|
||||
currency exchange contracts
|
(110,758
|
)
|
||
Net realized loss on investments
|
4,802,193
|
|||
Net accretion of bond discount and amortization of bond premium
|
(130,468
|
)
|
||
Purchase of long-term investments
|
(74,025,515
|
)
|
||
Paydowns received on mortgage and asset backed securities
|
14,560,283
|
|||
Proceeds from sales of long-term investments
|
54,009,486
|
|||
Net purchases of short-term investments
|
(70,912
|
)
|
||
Other payments
|
123,988
|
|||
Commitment fees paid on unfunded commitments
|
(117,560
|
)
|
||
Increase in segregated cash from broker
|
5,000
|
|||
Increase in interest receivable
|
(103,998
|
)
|
||
Increase in investments sold receivable
|
(1,349,587
|
)
|
||
Increase in tax reclaims receivables
|
(627
|
)
|
||
Decrease in other assets
|
8,006
|
|||
Increase in payable for investments purchased
|
(651,060
|
)
|
||
Increase in investment advisory fees payable
|
15,479
|
|||
Increase in excise tax payable
|
121,000
|
|||
Decrease in interest payable on borrowings
|
(22,347
|
)
|
||
Decrease in trustees fees and expenses payable
|
(364
|
)
|
||
Increase in offering costs
|
3,987
|
|||
Decrease in accrued expenses and other liabilities
|
(51,554
|
)
|
||
Net Cash Used in Operating and Investing Activities
|
(198,472
|
)
|
||
Cash Flows From Financing Activities:
|
||||
Distributions to common shareholders
|
(7,179,812
|
)
|
||
Proceeds from reverse repurchase agreements
|
147,452,271
|
|||
Payments made on reverse repurchase agreements
|
(145,217,244
|
)
|
||
Proceeds from borrowings
|
6,000,000
|
|||
Net Cash Provided by Financing Activities
|
1,055,215
|
|||
Net increase in cash
|
856,743
|
|||
Cash at Beginning of Period (including foreign currency)
|
958,178
|
|||
Cash at End of Period (including foreign currency)
|
$
|
1,814,921
|
||
Supplemental Disclosure of Cash Flow Information: Cash paid during the period
|
||||
for interest
|
$
|
988,648
|
||
Supplemental Disclosure of Non Cash Financing Activity: Dividend reinvestment
|
$
|
54,466
|
||
Supplemental Disclosure of Non Cash Financing Activity: Additional principal
|
||||
received on payment-in-kind bonds
|
$
|
(235,075
|
)
|
FINANCIAL HIGHLIGHTS
|
November 30, 2016
|
|
For the
|
|||||||||||||||
|
six months ended
|
For the
|
For the
|
|||||||||||||
|
November 30, 2016
|
year ended
|
year ended
|
Period Ended
|
||||||||||||
|
(Unaudited)
|
May 31, 2016
|
May 31, 2015
|
May 31, 2014(a)
|
||||||||||||
Per Share Data:
|
||||||||||||||||
Net asset value, beginning of period
|
$
|
20.53
|
$
|
23.34
|
$
|
24.71
|
$
|
23.82
|
||||||||
Income from investment operations:
|
||||||||||||||||
Net investment income (b)
|
1.04
|
2.02
|
1.95
|
1.64
|
||||||||||||
Net gain (loss) on investments (realized and unrealized)
|
1.45
|
(2.65
|
)
|
(1.16
|
)
|
0.71
|
||||||||||
Total from investment operations
|
2.49
|
(0.63
|
)
|
0.79
|
2.35
|
|||||||||||
Less distributions from:
|
||||||||||||||||
Net investment income
|
(1.09
|
)
|
(2.18
|
)
|
(1.57
|
)
|
(1.46
|
)
|
||||||||
Capital gains
|
—
|
(0.59
|
)
|
—
|
||||||||||||
Total distributions to shareholders
|
(1.09
|
)
|
(2.18
|
)
|
(2.16
|
)
|
(1.46
|
)
|
||||||||
Net asset value, end of period
|
$
|
21.93
|
$
|
20.53
|
$
|
23.34
|
$
|
24.71
|
||||||||
Market value, end of period
|
$
|
21.06
|
$
|
19.86
|
$
|
23.07
|
$
|
24.68
|
||||||||
Total Return(c)
|
||||||||||||||||
Net asset value
|
12.33
|
%
|
-2.31
|
%
|
3.45
|
%
|
10.12
|
%
|
||||||||
Market value
|
11.57
|
%
|
-4.00
|
%
|
2.54
|
%
|
5.08
|
%
|
||||||||
Ratios/Supplemental Data:
|
||||||||||||||||
Net assets, end of period (in thousands)
|
$
|
146,823
|
$
|
136,142
|
$
|
154,753
|
$
|
163,815
|
||||||||
Ratio to average net assets of:
|
||||||||||||||||
Total expenses, including interest expense(d)
|
2.40
|
%
|
2.27
|
%
|
2.04
|
%
|
1.73
|
%
|
||||||||
Net investment income, including interest expense
|
8.83
|
%
|
9.68
|
%
|
8.23
|
%
|
7.28
|
%
|
||||||||
Portfolio turnover rate(e)
|
26
|
%
|
63
|
%
|
55
|
%
|
54
|
%
|
FINANCIAL HIGHLIGHTS continued
|
November 30, 2016
|
|
For the
|
|||||||||||||||
|
six months ended
|
For the
|
For the
|
|||||||||||||
|
November 30, 2016
|
year ended
|
year ended
|
Period Ended
|
||||||||||||
|
(Unaudited)
|
May 31, 2016
|
May 31, 2015
|
May 31, 2014(a)
|
||||||||||||
Per Share Data:
|
||||||||||||||||
Senior Indebtedness:
|
||||||||||||||||
Total Borrowings outstanding (in thousands)
|
$
|
67,902
|
$
|
59,667
|
$
|
65,943
|
$
|
53,344
|
||||||||
Asset Coverage per $1,000 of indebtedness(f)
|
$
|
3,162
|
$
|
3,282
|
$
|
3,347
|
$
|
4,071
|
(a)
|
Since commencement of operations: June 26, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
|
|
|
(b)
|
Based on average shares outstanding.
|
|
|
(c)
|
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 distribution are assumed to be reinvested at NAV for NAV returns or the prices obtained under the Fund’s Dividend Reinvestment Plan for market value returns. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized.
|
|
|
(d)
|
Excluding interest expense, the annualized operation expense ratio would be 1.84%, 1.82%, 1.76% and 1.55% for the periods ended November 30, 2016, May 31, 2016, May 31, 2015 and May 31, 2014, respectively.
|
|
|
(e)
|
Portfolio turnover is not annualized for periods of less than one year.
|
|
|
(f)
|
Calculated by subtracting the Fund's total liabilities (not including borrowings) from the Fund's total assets and dividing by the total borrowings.
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)
|
November 30, 2016
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2016
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2016
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2016
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2016
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2016
|
Cost of
|
|
|
Net Tax
|
Investments
|
Gross Tax
|
Gross Tax
|
Unrealized
|
for Tax
|
Unrealized
|
Unrealized
|
Depreciation on
|
Purposes
|
Appreciation
|
Depreciation
|
Investments
|
$ 217,772,817
|
$ 5,857,726
|
$ (12,301,494)
|
$ (6,443,768)
|
The net tax unrealized appreciation on unfunded commitments is $734,810.
|
|
Accumulated
|
||
|
Long-Term Gains/
|
Net Unrealized
|
Undistributed
|
(Accumulated
|
Appreciation/
|
Ordinary Income
|
Capital Losses)
|
(Depreciation)
|
$ 2,855,017
|
$ (4,971,448)
|
$ (19,407,006)
|
Distributions paid from
|
2016
|
Ordinary Income
|
$14,423,713
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2016
|
|
|
Realized
|
Purchases
|
Sales
|
Gain (Loss)
|
$406,341
|
$10,047,633
|
$214,782
|
|
|
|
Net Unrealized
|
|||||||||||||||
|
|
Settlement
|
Settlement
|
Value as of
|
Appreciation
|
|||||||||||||
Contracts to Buy
|
Counterparty
|
Date
|
Value
|
11/30/16
|
(Depreciation)
|
|||||||||||||
EUR
|
376,000
|
|
|
|||||||||||||||
for USD
|
398,750
|
The Bank of New York Mellon
|
12/12/2016
|
398,750
|
409,880
|
$
|
(11,130
|
)
|
||||||||||
EUR
|
670,000
|
|
|
|||||||||||||||
for USD
|
710,538
|
The Bank of New York Mellon
|
12/12/2016
|
710,538
|
710,227
|
$
|
311
|
|||||||||||
|
|
|
$
|
(10,819
|
)
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2016
|
|
|
|
Net Unrealized
|
|||||||||||||||
|
|
Settlement
|
Settlement
|
Value as of
|
Appreciation
|
|||||||||||||
Contracts to Sell
|
Counterparty
|
Date
|
Value
|
11/30/16
|
(Depreciation)
|
|||||||||||||
EUR
|
9,199,000
|
|
|
|||||||||||||||
for USD
|
10,149,855 |
The Bank of New York Mellon
|
12/12/2016
|
10,149,855
|
9,755,584
|
$
|
394,271
|
|||||||||||
GBP
|
3,586,000
|
|
|
|||||||||||||||
for USD
|
4,444,051
|
The Bank of New York Mellon
|
12/12/2016
|
4,444,051
|
4,487,479
|
$
|
(43,428
|
)
|
||||||||||
|
|
|
$
|
350,843
|
||||||||||||||
Total unrealized appreciation for forward foreign currency exchange contracts
|
$
|
340,024
|
Statement of Asset and Liabilities
|
|||||
Presentation of Fair Values of Derivative Instruments ($000s):
|
|||||
|
Asset Derivatives
|
Liability Derivatives
|
|||
|
Statement of Assets
|
|
Statement of Assets
|
|
|
Primary Risk Exposure
|
and Liabilities Location
|
Fair Value
|
and Liabilities Location
|
Fair Value
|
|
|
Unrealized appreciation on
|
|
Unrealized depreciation on
|
|
|
|
forward foreign currency
|
|
forward foreign currency
|
|
|
Foreign exchange risk
|
exchange contracts
|
$395
|
exchange contracts
|
$55
|
Effect of Derivative Instruments on the Statement of Operations: | |
Amount of Realized Gain (Loss) on Derivatives (value in $000s)
|
|
Primary Risk Exposure | Foreign Currency Transactions |
Foreign exchange risk
|
$1,180
|
Change in Unrealized Depreciation on Derivatives (value in $000s)
|
|
Primary Risk Exposure
|
Foreign Currency Translations
|
Foreign exchange risk
|
$103*
|
*
|
The Statement of Operations includes change in unrealized appreciation (depreciation) on foreign currency and payables or receivables in foreign currency.
|
Quarterly Average Settlement Value Purchased
|
$ 1,140,018
|
Quarterly Average Settlement Value Sold
|
21,788,457
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2016
|
|
|
Gross
|
Net Amounts
|
|
|
|
|
Amounts
|
of Assets
|
Gross Amounts Not
|
|
|
Gross
|
Offset in the
|
Presented in the
|
Offset in the Statement
|
|
|
Amounts
|
Statement of
|
Statement of
|
of Assets & Liabilities
|
|
|
of Recognized
|
Assets and
|
Assets and
|
Financial
|
Net
|
Description
|
Assets
|
Liabilities
|
Liabilities
|
Instruments
|
Amount
|
Forward Foreign
|
|
|
|
|
|
Currency Exchange
|
|
|
|
|
|
Contracts
|
$394,582
|
$ –
|
$394,582
|
$ (54,558)
|
$ 340,024
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2016
|
|
|
Gross
|
Net Amounts
|
|
|
|
|
Amounts
|
of Liabilities
|
Gross Amounts Not
|
|
|
Gross
|
Offset in the
|
Presented in the
|
Offset in the Statement
|
|
|
Amounts
|
Statement of
|
Statement of
|
of Assets & Liabilities
|
|
|
of Recognized
|
Assets and
|
Assets and
|
Financial
|
Net
|
Description
|
Liabilities
|
Liabilities
|
Liabilities
|
Instruments
|
Amount
|
Reverse Repurchase
|
|
|
|
|
|
Agreements
|
$61,902,161
|
$ –
|
$ 61,902,161
|
$ (61,902,161)
|
$ –
|
Forward Foreign
|
|
|
|
|
|
Currency Exchange
|
|
|
|
|
|
Contracts
|
54,558
|
–
|
54,558
|
(54,558)
|
–
|
|
Overnight and
|
Greater than
|
||||||||||||||||||
|
Continuous
|
Up to 30 days
|
31 – 90 days
|
90 days
|
Total
|
|||||||||||||||
Preferred Stocks
|
$
|
–
|
$
|
2,570,000
|
$
|
–
|
$
|
–
|
$
|
2,570,000
|
||||||||||
Corporate Bonds
|
2,798,272
|
28,231,267
|
28,302,621
|
–
|
59,332,160
|
|||||||||||||||
Gross amount of
|
||||||||||||||||||||
recognized
|
||||||||||||||||||||
liabilities for
|
||||||||||||||||||||
reverse repurchase
|
||||||||||||||||||||
agreements
|
$
|
2,798,272
|
$
|
30,801,267
|
$
|
28,302,621
|
$
|
–
|
$
|
61,902,160
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2016
|
Counterparty
|
Interest Rates
|
Maturity Dates
|
Face Value
|
Barclays Capital, Inc.
|
0.00% – 1.72%
|
12/01/2016 – 01/06/2017
|
$ 7,189,320
|
Barclays Capital, Inc.
|
0.00% – 1.60%
|
Open Maturity
|
1,031,063
|
Bank of America
|
1.16% - 1.66%
|
12/06/2016 – 01/06/2017
|
11,315,019
|
Citigroup, Inc.
|
0.00%
|
Open Maturity
|
988,500
|
Credit Suisse First Boston
|
1.55% – 1.80%
|
12/01/2016 – 01/06/2017
|
10,088,826
|
Credit Suisse First Boston
|
1.15%
|
Open Maturity
|
370,500
|
JPMorgan Chase Bank
|
1.61% – 1.93%
|
01/06/2017 – 02/21/2017
|
4,007,000
|
BNP Paribas Bank
|
1.27% – 1.62%
|
12/02/2016 – 01/24/2017
|
13,082,000
|
BNP Paribas Bank
|
0.00%
|
Open Maturity
|
408,210
|
Royal Bank of Canada
|
1.34% - 1.61%
|
12/05/2016 – 01/24/2017
|
13,421,722
|
|
|
|
$61,902,160
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2016
|
Borrower
|
Maturity Date
|
Face Amount
|
Value
|
Acosta, Inc.
|
09/26/2019
|
$ 2,000,000
|
$150,112
|
Acrisure LLC
|
05/19/2022
|
130,986
|
379
|
Advantage Sales and Marketing
|
07/21/2019
|
540,000
|
36,821
|
American Seafood
|
08/04/2021
|
450,000
|
48,097
|
American Stock Transfer
|
06/11/2018
|
400,000
|
16,580
|
Aspect Software
|
05/25/2018
|
18,333
|
–
|
BBB Industries, LLC
|
10/17/2019
|
1,100,000
|
89,176
|
Ceva Group PLC
|
03/19/2019
|
390,000
|
36,539
|
Eyemart Express
|
12/16/2019
|
1,000,000
|
73,925
|
Grinding Media
|
03/03/2017
|
800,000
|
–
|
Hillman Group, Inc.
|
06/13/2019
|
900,000
|
50,622
|
IntraWest Holdings, S.A.R
|
12/10/2018
|
1,100,000
|
17,783
|
Learning Care Group
|
05/05/2021
|
500,000
|
38,638
|
National Financial Partners
|
07/01/2018
|
1,500,000
|
66,768
|
National Technical
|
06/11/2021
|
160,588
|
1,292
|
PowerSchool, Inc.
|
07/29/2021
|
450,000
|
43,716
|
ProMach Group, Inc.
|
10/22/2019
|
650,000
|
45,282
|
Signode Industrial Group
|
05/01/2019
|
1,400,000
|
84,287
|
Targus Group International
|
05/24/2016
|
383,723
|
–
|
Wencor Group
|
06/19/2019
|
446,154
|
26,641
|
|
|
$14,319,784
|
$826,658
|
Transactions in common shares were as follows:
|
|
|
|
Six Months
|
|
|
Ended
|
Year Ended
|
|
November 30, 2016
|
May 31, 2016
|
Beginning Shares
|
6,629,959
|
6,629,724
|
Common shares issued through dividend reinvestment
|
2,514
|
235
|
Common shares issued through at-the-market offering
|
63,404
|
–
|
Ending Shares
|
6,695,877
|
6,629,959
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2016
|
Restricted Securities
|
Acquisition Date
|
Cost
|
Value
|
EIG Investors Corp., 10.88%
|
|
|
|
due 02/01/24
|
08/01/16
|
$ 976,978
|
$ 1,023,000
|
Mirabela Nickel Ltd., 9.50%
|
|
|
|
due 06/24/19
|
08/01/16
|
1,155,115
|
236,037
|
Schahin II Finance Company SPV Ltd.,
|
|
|
|
5.88% due 09/25/22
|
01/18/14
|
783,911
|
99,028
|
Turbine Engines Securitization Ltd.,
|
|
|
|
6.38% due 12/15/48
|
01/18/14
|
306,266
|
290,102
|
|
|
$ 3,222,270
|
$ 1,648,167
|
SUPPLEMENTAL INFORMATION (Unaudited)
|
November 30, 2016
|
|
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
|
Since 2013
|
Current: Private Investor (2001-present).
|
98
|
Current: Trustee, Purpose Investments
|
(1951)
|
|
|
|
|
Funds (2014-present).
|
|
|
|
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997);
|
|
|
|
|
|
President, Pizza Hut International (1991-1993); Senior Vice President,
|
|
|
|
|
|
Strategic Planning and New Business Development, PepsiCo, Inc.
|
|
|
|
|
|
(1987-1990).
|
|
|
Donald A. Chubb, Jr. Trustee
|
Since 2014
|
Current: Business broker and manager of commercial real estate,
|
95
|
Current: Midland Care, Inc.
|
|
(1946 )
|
|
|
Griffith & Blair, Inc. (1997-present).
|
|
(2011-present).
|
Jerry B. Farley
|
Trustee
|
Since 2014
|
Current: President, Washburn University (1997-present).
|
95
|
Current: Westar Energy, Inc.
|
(1946)
|
|
|
|
|
(2004-present); CoreFirst Bank & Trust
|
|
|
|
|
|
(2000-present).
|
Roman Friedrich III
|
Trustee and
|
Since 2013
|
Current: Founder and Managing Partner, Roman Friedrich & Company
|
95
|
Current: Zincore Metals, Inc.
|
(1946)
|
Chairman of
|
|
(1998-present).
|
|
(2009-present).
|
|
the Contracts
|
|
|
|
|
|
Review
|
|
Former: Senior Managing Director, MLV & Co. LLC (2010-2011).`
|
|
Former: Axiom Gold and Silver Corp.
|
|
Committee
|
|
|
|
(2011-2012).
|
SUPPLEMENTAL INFORMATION (Unaudited) continued
|
November 30, 2016
|
|
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:
|
|
|
|
|
|
Robert B. Karn III
(1942)
|
Trustee and
Chairman of
the Audit
Committee
|
Since 2013
|
Current: Consultant (1998-present).
Former: Arthur Andersen (1965-1997) and Managing Partner, Financial and
Economic Consulting, St. Louis office (1987-1997).
|
95
|
Current: Peabody Energy Company (2003-present); GP Natural Resource Partners, LLC (2002- present).
|
|
|
||||
|
|
|
|||
Ronald A. Nyberg
|
Trustee and
|
Since 2013
|
Current: Partner, Momkus McCluskey Roberts, LLC (2016-present)
|
100
|
Current: Edward-Elmhurst Healthcare
|
(1953)
|
Chairman of
|
|
|
|
System (2012-present).
|
|
the Nominating
|
|
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice
|
|
|
|
and Governance
|
|
President, General Counsel, and Corporate Secretary, Van Kampen Investments
|
|
|
|
Committee
|
|
(1982-1999).
|
|
|
Maynard F.
|
Trustee
|
Since 2014
|
Current: Retired.
|
95
|
Current: Fort Hays State University Foundation (1999-present); Stormont-
Vail Foundation (2013-present); University of Minnesota MHA Alumni
Philanthropy Committee
(2009-present).
Former: Topeka Community Foundation (2009-2014).
|
Oliverius
|
|
|
|
|
|
(1943)
|
|
|
Former: President and CEO, Stormont-Vail HealthCare (1996-2012).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ronald E. Toupin, Jr.
|
Trustee and
|
Since 2013
|
Current: Portfolio Consultant (2010-present).
|
97
|
Former: Bennett Group of Funds
|
(1958)
|
Chairman of
|
|
|
|
(2011-2013).
|
|
the Board
|
|
Former: Vice President, Manager and Portfolio Manager, Nuveen Asset
|
|
|
|
|
|
Management (1998-1999); Vice President, Nuveen Investment Advisory Corp.
|
|
|
|
|
|
(1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts
|
|
|
|
|
|
(1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen
|
|
|
Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).
|
SUPPLEMENTAL INFORMATION (Unaudited) continued
|
November 30, 2016
|
|
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:
|
|
|
|
|
|
Donald C.
|
President,
|
Since 2013
|
Current: President and CEO, certain other funds in the Fund Complex
|
230
|
Current: Clear Spring Life Insurance
|
Cacciapaglia***
|
Chief Executive
|
|
(2012-present); Vice Chairman, Guggenheim Investments (2010-present).
|
|
Company (2015-present); Guggenheim
|
(1951)
|
Officer and
|
|
|
|
Partners Investment Management
|
|
Trustee
|
|
Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010)
|
|
Holdings, LLC (2014-present);
|
|
|
|
|
|
Guggenheim Partners Japan,Ltd. (2014-
|
|
|
|
|
|
present); Delaware Life (2013-present);
|
|
|
|
|
|
Guggenheim Life and Annuity Company
|
|
|
|
|
|
(2011-present); Paragon Life Insurance
|
|
|
|
|
|
Company of Indiana (2011-present).
|
*
|
The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, IL 60606.
|
|
|
**
|
This is the period for which the Trustee began serving the Fund. After a Trustee’s initial term, each Trustee is expected to serve a three year term concurrent with the class of Trustees for which he serves:
|
|
|
|
—Messrs. Barnes, Cacciapaglia and Chubb 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, 2017. |
|
|
|
—Messrs. Farley, Friedrich and Nyberg 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, 2018.
|
|
|
|
—Messrs. Karn, Oliverius and Toupin are Class III Trustees. Class III Trustees are expected to stand for re-election at the Fund’s annual meeting of shareholders for the fiscal year ended May 31, 2019.
|
|
|
***
|
This Trustee is deemed to be an "interested person" of the Funds under the 1940 Act by reason of his position with the Funds' Investment Manager and/or the parent of the Investment Manager.
|
SUPPLEMENTAL INFORMATION (Unaudited) continued
|
November 30, 2016
|
|
Position(s)
|
|
|
|
held
|
Term of Office
|
|
Name, Address*
|
with the
|
and Length of
|
|
and Year of Birth
|
Trust
|
Time Served**
|
Principal Occupations During Past Five Years
|
Officers:
|
|
|
|
William H.
|
Vice President
|
Since 2014
|
Current: Vice President, certain other funds in the Fund Complex (2006-present); Managing Director, Guggenheim Funds Investment
|
Belden, III
|
|
|
Advisors, LLC (2005-present).
|
(1965)
|
|
|
|
|
|
|
Former: Vice President of Management, Northern Trust Global Investments (1999-2005).
|
Joanna M. Catalucci
|
Chief
|
Since 2013
|
Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments
|
(1966)
|
Compliance
|
|
(2012-present).
|
|
Officer
|
|
|
|
|
|
Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance
|
|
|
|
Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and
|
|
|
|
certain affiliates (2010-2011).
|
James M. Howley
|
Assistant
|
Since 2013
|
Current: Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
|
(1972)
|
Treasurer
|
|
|
|
|
|
Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004).
|
Keith Kemp
|
Assistant
|
Since 2016
|
Current: Managing Director of Transparent Value, LLC (2015-present); Managing Director of Guggenheim Investments (2015-present).
|
(1960)
|
Treasurer
|
|
|
|
|
|
Formerly: Director, Transparent Value, LLC (2010-2015); Director, Guggenheim Investments (2010-2015); Chief Operating Officer, Macquarie
|
|
|
|
Capital Investment Management (2007-2009).
|
Amy J. Lee
|
Chief Legal
|
Since 2013
|
Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments
|
(1961)
|
Officer
|
|
(2012-present).
|
|
|||
|
|
|
Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit
|
|
|
|
Corporation (2004-2012).
|
Mark E. Mathiasen
|
Secretary
|
Since 2013
|
Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
|
(1978)
|
|
|
|
Glenn McWhinnie
|
Assistant
|
Since 2016
|
Current: Vice President, Guggenheim Investments (2009-present).
|
(1969)
|
Treasurer
|
|
|
|
|
|
Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009).
|
SUPPLEMENTAL INFORMATION (Unaudited) continued
|
November 30, 2016
|
|
Position(s)
|
|
|
|
held
|
Term of Office
|
|
Name, Address*
|
with the
|
and Length of
|
|
and Year of Birth
|
Trust
|
Time Served**
|
Principal Occupations During Past Five Years
|
Officers continued:
|
|
|
|
Michael P. Megaris
|
Assistant
|
Since 2014
|
Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Vice President, Guggenheim Investments (2012-present).
|
(1984)
|
Secretary
|
|
|
|
|
|
Former: J.D., University of Kansas School of Law (2009-2012).
|
Adam J. Nelson
|
Assistant
|
Since 2015
|
Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).
|
(1979)
|
Treasurer
|
|
|
|
|
|
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant
|
|
|
|
Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011).
|
Kimberly J. Scott
|
Assistant
|
Since 2013
|
Current: Vice President, 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 of Mutual Fund Administration, 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).
|
Bryan Stone
|
Vice President
|
Since 2014
|
Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present).
|
(1979)
|
|
|
|
|
|
|
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
|
John L. Sullivan
|
Chief
|
Since 2013
|
Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director,
|
(1955)
|
Financial
|
|
Guggenheim Investments (2010-present).
|
|
Officer,
|
|
|
|
Chief
|
|
Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and
|
|
Accounting
|
|
Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen
|
|
Officer and
|
|
Funds (1996-2004).
|
|
Treasurer
|
|
|
*
|
The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, IL 60606.
|
|
|
**
|
Each officer serves an indefinite term, until his or her successor is duly elected and qualified. The data reflects the commencement date upon which the officer held any officer position with the Fund.
|
DIVIDEND REINVESTMENT PLAN (Unaudited)
|
November 30, 2016
|
DIVIDEND REINVESTMENT PLAN (Unaudited) continued
|
November 30, 2016
|
FUND INFORMATION
|
November 30, 2016
|
Board of Trustees
|
Investment Adviser
|
Randall C. Barnes
|
Guggenheim Funds Investment
|
|
Advisors, LLC
|
Donald C. Cacciapaglia*
|
Chicago, IL
|
|
|
Donald A. Chubb
|
Investment Sub-Adviser
|
|
Guggenheim Partners Investment
|
Jerry B. Farley
|
Management, LLC
|
|
Santa Monica, CA
|
Roman Friedrich III
|
|
Administrator and Accounting Agent
|
|
Robert B. Karn III
|
MUFG Investor Services (US), LLC
|
|
Rockville, MD
|
Ronald A. Nyberg
|
|
Custodian
|
|
Maynard F. Oliverius
|
The Bank of New York Mellon Corp
|
New York, NY
|
|
Ronald E. Toupin, Jr.,
|
|
Chairperson
|
Legal Counsel
|
|
Skadden, Arps, Slate,
|
* Trustee is an “interested person” (as defined
|
Meagher & Flom LLP
|
in section 2(a)(19) of the 1940 Act)
|
New York, NY
|
(“Interested Trustee”) of the Trust because of
|
|
his position as the President and CEO of the
|
Independent Registered Public
|
Investment Adviser and Distributor.
|
Accounting Firm
|
|
Ernst & Young LLP
|
McLean, VA
|
|
Principal Executive Officers
|
|
Donald C. Cacciapaglia
|
|
President and Chief Executive Officer
|
|
|
|
Joanna M. Catalucci
|
|
Chief Compliance Officer
|
|
|
|
Amy J. Lee
|
|
Chief Legal Officer
|
|
|
|
Mark E. Mathiasen
|
|
Secretary
|
|
|
|
John L. Sullivan
|
|
Chief Financial Officer,
|
|
Chief Accounting Officer and Treasurer
|
|
FUND INFORMATION continued
|
November 30, 2016
|
·
|
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. |
Name
|
Since
|
Professional Experience During the Last Five Years
|
Thomas Hauser
|
2017
|
Guggenheim Partners Investment Management, LLC: Managing Director – 2012 – Present.
|
Richard de Wet
|
2017
|
Guggenheim Partners Investment Management, LLC: Vice President and Portfolio Manager – 2015 – Present; Guggenheim Partners Investment Management, LLC, Associate Portfolio Manager – 2013-2015; Pacific Investment Management Company, 2009 – 2013.
|
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
|
|
6
|
$3,103,133,561
|
2
|
$256,708,208
|
|||
Other pooled investment vehicles
|
|
43
|
$13,248,625,162
|
21
|
$6,286,819,170
|
|||
Other accounts
|
|
43
|
$9,463,834,286
|
3
|
$808,667,234
|
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
|
|
1
|
117,522,758
|
0
|
$0
|
Other pooled investment vehicles
|
|
7
|
$1,917,701,933
|
0
|
$0
|
|||
Other accounts
|
|
23
|
$5,401,390,622
|
1
|
$268,586,855
|
Name of Portfolio Manager
|
Dollar Amount of Equity Securities in Registrant
|
Thomas Hauser
|
$-0-
|
Richard de Wet
|
$-0-
|