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)
|
February 28, 2019
|
Shares
|
Value
|
||
COMMON STOCKS† - 1.9%
|
|||
Utilities - 1.2%
|
|||
TexGen Power LLC*,††
|
46,457
|
|
$1,788,595
|
Energy - 0.3%
|
|||
SandRidge Energy, Inc.*
|
57,766
|
448,842
|
|
Approach Resources, Inc.*
|
48,823
|
45,810
|
|
Titan Energy LLC*,5
|
27,133
|
1,357
|
|
Total Energy
|
496,009
|
||
Consumer, Cyclical - 0.3%
|
|||
ATD New Holdings, Inc.*,††
|
24,428
|
439,704
|
|
Consumer, Non-cyclical - 0.1%
|
|||
Targus Group International Equity, Inc.*,†††,1,2
|
32,060
|
67,647
|
|
Technology - 0.0%
|
|||
Qlik Technologies, Inc. - Class A*,†††,1
|
56
|
62,173
|
|
Qlik Technologies, Inc.*,†††,1
|
3,600
|
--
|
|
Qlik Technologies, Inc. - Class B*,†††,1
|
13,812
|
--
|
|
Aspect Software, Inc.*,†††,1,2
|
200
|
–
|
|
Total Technology
|
62,173
|
||
Financials – 0.0%
|
|||
Project Silverback Holdings B Escrow*,†††,1
|
1,922
|
–
|
|
Industrial – 0.0%
|
|||
Ursa Insulation B.V.*,†††,1
|
135,131,158
|
–
|
|
Total Common Stocks
|
|||
(Cost $8,234,840)
|
2,854,128
|
||
PREFERRED STOCKS†† - 0.4%
|
|||
Industrial - 0.4%
|
|||
Seaspan Corp. 6.38% due 04/30/195
|
21,595
|
544,410
|
|
Total Preferred Stocks
|
|||
(Cost $539,875)
|
544,410
|
||
WARRANTS††† - 0.0%
|
|||
Aspect Software, Inc.*,1,2
|
161,849
|
–
|
|
Total Warrants
|
|||
(Cost $–)
|
--
|
||
MONEY MARKET FUND† - 0.5%
|
|||
Dreyfus Treasury Securities Cash Management - Institutional Shares 2.27%3
|
769,003
|
769,003
|
|
Total Money Market Fund
|
|||
(Cost $769,003)
|
769,003
|
Face
|
|||
Amount~
|
Value
|
||
CORPORATE BONDS†† - 89.8%
|
|||
Financial - 21.7%
|
|||
Jefferies Finance LLC / JFIN Company-Issuer Corp.
|
|||
7.25% due 08/15/244
|
3,505,000
|
3,408,612
|
|
7.38% due 04/01/204,5
|
1,700,000
|
1,703,400
|
|
AmWINS Group, Inc.
|
|||
7.75% due 07/01/264,5
|
3,250,000
|
3,331,250
|
|
Hunt Companies, Inc.
|
|||
6.25% due 02/15/264,5
|
3,550,000
|
3,301,500
|
|
Barclays plc
|
|||
7.75% (USD 5 Year Swap Rate + 4.84%)5,6,10
|
3,000,000
|
2,992,500
|
Face
|
|||
Amount~
|
Value
|
||
CORPORATE BONDS†† - 89.8% (continued)
|
|||
Financial - 21.7% (continued)
|
|||
HUB International Ltd.
|
|||
7.00% due 05/01/264,5
|
2,750,000
|
$2,695,000
|
|
Fidelity & Guaranty Life Holdings, Inc.
|
|||
5.50% due 05/01/254,5
|
2,250,000
|
2,213,437
|
|
NFP Corp.
|
|||
6.88% due 07/15/254
|
1,940,000
|
1,852,700
|
|
Springleaf Finance Corp.
|
|||
7.13% due 03/15/265
|
1,100,000
|
1,113,750
|
|
6.13% due 03/15/24
|
600,000
|
606,750
|
|
Newmark Group, Inc.
|
|||
6.13% due 11/15/234,5
|
1,600,000
|
1,608,601
|
|
CoreCivic, Inc.
|
|||
4.75% due 10/15/275
|
1,750,000
|
1,522,500
|
|
GEO Group, Inc.
|
|||
6.00% due 04/15/26
|
1,075,000
|
997,062
|
|
5.88% due 10/15/24
|
350,000
|
331,625
|
|
Quicken Loans, Inc.
|
|||
5.25% due 01/15/284,5
|
1,375,000
|
1,252,969
|
|
American Equity Investment Life Holding Co.
|
|||
5.00% due 06/15/275
|
750,000
|
744,878
|
|
Prosight Global Inc.
|
|||
7.50% due 11/26/20†††,5
|
650,000
|
671,235
|
|
Lincoln Finance Ltd.
|
|||
7.38% due 04/15/214,5
|
450,000
|
457,875
|
|
Assurant, Inc.
|
|||
7.00% due (3 Month USD LIBOR + 4.14%) 03/27/4810
|
400,000
|
392,000
|
|
USIS Merger Sub, Inc.
|
|||
6.88% due 05/01/254
|
400,000
|
389,000
|
|
Total Financial
|
31,586,644
|
||
Communications - 16.0%
|
|||
Altice France S.A.
|
|||
7.38% due 05/01/264
|
3,850,000
|
3,777,813
|
|
8.13% due 02/01/274,5
|
1,300,000
|
1,306,500
|
|
EIG Investors Corp.
|
|||
10.88% due 02/01/245
|
3,830,000
|
4,078,950
|
|
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
|
|||
7.88% due 05/15/244,5
|
4,465,000
|
3,594,325
|
|
MDC Partners, Inc.
|
|||
6.50% due 05/01/244,5
|
3,826,000
|
3,314,272
|
|
Cengage Learning, Inc.
|
|||
9.50% due 06/15/244,5
|
3,850,000
|
3,205,125
|
|
DISH DBS Corp.
|
|||
7.75% due 07/01/265
|
1,450,000
|
1,254,250
|
|
5.88% due 11/15/245
|
950,000
|
800,090
|
|
Telenet Finance Lux Note
|
|||
5.50% due 03/01/28
|
1,000,000
|
962,500
|
|
CCO Holdings LLC / CCO Holdings Capital Corp.
|
|||
5.00% due 02/01/284,5
|
550,000
|
529,031
|
Guggenheim Credit Allocation Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
February 28, 2019
|
Face
|
|||
Amount~
|
Value
|
||
CORPORATE BONDS†† - 89.8% (continued)
|
|||
Communications - 16.0% (continued)
|
|||
CSC Holdings LLC
|
|||
6.75% due 11/15/215
|
400,000
|
$426,000
|
|
Total Communications
|
23,248,856
|
||
Consumer, Non-cyclical - 14.7%
|
|||
Vector Group Ltd.
|
|||
6.13% due 02/01/254,5
|
4,950,000
|
4,380,750
|
|
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc.
|
|||
7.88% due 10/01/224,5
|
3,951,000
|
3,753,450
|
|
Beverages & More, Inc.
|
|||
11.50% due 06/15/224
|
4,470,000
|
3,263,100
|
|
FAGE International S.A. / FAGE USA Dairy Industry, Inc.
|
|||
5.63% due 08/15/264,5
|
3,800,000
|
3,097,000
|
|
Nathan's Famous, Inc.
|
|||
6.63% due 11/01/254,5
|
2,450,000
|
2,394,875
|
|
Flexi-Van Leasing, Inc.
|
|||
10.00% due 02/15/234
|
2,024,000
|
1,710,280
|
|
Endo Finance LLC / Endo Finco, Inc.
|
|||
5.38% due 01/15/234,5
|
1,400,000
|
1,154,125
|
|
KeHE Distributors LLC / KeHE Finance Corp.
|
|||
7.63% due 08/15/215,8
|
1,075,000
|
1,007,813
|
|
Bausch Health Americas, Inc.
|
|||
8.50% due 01/31/274
|
620,000
|
644,025
|
|
Total Consumer, Non-cyclical
|
21,405,418
|
||
Energy - 13.2%
|
|||
Unit Corp.
|
|||
6.63% due 05/15/215
|
3,571,000
|
3,499,580
|
|
American Midstream Partners LP / American Midstream Finance Corp.
|
|||
8.50% due 12/15/214,5
|
3,565,000
|
3,294,096
|
|
Indigo Natural Resources LLC
|
|||
6.88% due 02/15/264,5
|
3,625,000
|
3,162,813
|
|
Moss Creek Resources Holdings, Inc.
|
|||
7.50% due 01/15/264,5
|
2,230,000
|
2,017,659
|
|
Bruin E&P Partners LLC
|
|||
8.88% due 08/01/234,5
|
2,008,000
|
1,962,820
|
|
Exterran Energy Solutions LP / EES Finance Corp.
|
|||
8.13% due 05/01/255
|
1,750,000
|
1,739,063
|
|
Gibson Energy, Inc.
|
|||
5.25% due 07/15/244
|
CAD 1,200,000
|
911,046
|
|
Covey Park Energy LLC / Covey Park Finance Corp.
|
|||
7.50% due 05/15/254,5
|
970,000
|
902,100
|
|
Parkland Fuel Corp.
|
|||
6.00% due 04/01/264,5
|
775,000
|
761,437
|
|
Basic Energy Services, Inc.
|
|||
10.75% due 10/15/234
|
575,000
|
491,625
|
Face
|
|||
Amount~
|
Value
|
||
CORPORATE BONDS†† - 89.8% (continued)
|
|||
Energy - 13.2% (continued)
|
|||
Alta Mesa Holdings LP / Alta Mesa Finance Services Corp.
|
|||
7.88% due 12/15/24
|
750,000
|
$238,125
|
|
Legacy Reserves LP / Legacy Reserves Finance Corp.
|
|||
8.00% due 09/20/23
|
695,000
|
209,404
|
|
Total Energy
|
19,189,768
|
||
Consumer, Cyclical - 9.2%
|
|||
AMC Entertainment Holdings, Inc.
|
|||
6.13% due 05/15/275
|
2,500,000
|
2,240,625
|
|
Titan International, Inc.
|
|||
6.50% due 11/30/235
|
1,775,000
|
1,655,188
|
|
Williams Scotsman International, Inc.
|
|||
6.88% due 08/15/234
|
1,050,000
|
1,031,625
|
|
7.88% due 12/15/224
|
525,000
|
532,875
|
|
Ferrellgas LP / Ferrellgas Finance Corp.
|
|||
6.50% due 05/01/215
|
950,000
|
850,250
|
|
6.75% due 01/15/22
|
740,000
|
658,600
|
|
JB Poindexter & Company, Inc.
|
|||
7.13% due 04/15/264,5
|
1,175,000
|
1,154,438
|
|
Carrols Restaurant Group, Inc.
|
|||
8.00% due 05/01/22
|
1,000,000
|
1,026,250
|
|
Superior Plus LP / Superior General Partner, Inc.
|
|||
7.00% due 07/15/264
|
1,000,000
|
1,000,000
|
|
Wabash National Corp.
|
|||
5.50% due 10/01/254
|
1,025,000
|
945,562
|
|
Delphi Technologies plc
|
|||
5.00% due 10/01/254,5
|
715,000
|
636,214
|
|
Suburban Propane Partners LP/Suburban Energy Finance Corp.
|
|||
5.88% due 03/01/275
|
650,000
|
612,625
|
|
Party City Holdings, Inc.
|
|||
6.63% due 08/01/264,5
|
575,000
|
564,937
|
|
TVL Finance PLC
|
|||
8.50% due 05/15/23
|
GBP 400,000
|
555,401
|
|
Total Consumer, Cyclical
|
13,464,590
|
||
Industrial - 7.8%
|
|||
Great Lakes Dredge & Dock Corp.
|
|||
8.00% due 05/15/225
|
3,450,000
|
3,617,325
|
|
Grinding Media Inc. / MC Grinding Media Canada Inc.
|
|||
7.38% due 12/15/234,5
|
2,100,000
|
2,102,625
|
|
Cleaver-Brooks, Inc.
|
|||
7.88% due 03/01/234,5
|
2,053,000
|
2,006,808
|
|
Summit Materials LLC / Summit Materials Finance Corp.
|
|||
8.50% due 04/15/22
|
1,000,000
|
1,045,000
|
|
New Enterprise Stone & Lime Company, Inc.
|
|||
6.25% due 03/15/264
|
950,000
|
919,125
|
Guggenheim Credit Allocation Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
February 28, 2019
|
Face
|
|||
Amount~
|
Value
|
||
CORPORATE BONDS†† - 89.8% (continued)
|
|||
Industrial - 7.8% (continued)
|
|||
Intertape Polymer Group, Inc.
|
|||
7.00% due 10/15/264
|
850,000
|
$856,375
|
|
Princess Juliana International Airport Operating Company N.V.
|
|||
5.50% due 12/20/278
|
347,196
|
315,858
|
|
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
|
|||
7.25% due 05/15/244
|
225,000
|
233,651
|
|
TransDigm, Inc.
|
|||
6.25% due 03/15/264
|
200,000
|
204,500
|
|
Total Industrial
|
11,301,267
|
||
Basic Materials - 3.7%
|
|||
Eldorado Gold Corp.
|
|||
6.13% due 12/15/204,5
|
3,900,000
|
3,802,500
|
|
Big River Steel LLC / BRS Finance Corp.
|
|||
7.25% due 09/01/254,5
|
600,000
|
621,750
|
|
United States Steel Corp.
|
|||
6.88% due 08/15/25
|
600,000
|
591,000
|
|
Mirabela Nickel Ltd.
|
|||
9.50% due 06/24/198,11
|
1,279,819
|
396,744
|
|
Total Basic Materials
|
5,411,994
|
||
Utilities - 3.5%
|
|||
Terraform Global Operating LLC
|
|||
6.13% due 03/01/264,5
|
2,595,000
|
2,497,687
|
|
LBC Tank Terminals Holding Netherlands BV
|
|||
6.88% due 05/15/235,8
|
2,000,000
|
1,892,500
|
|
AmeriGas Partners, LP / AmeriGas Finance Corp.
|
|||
5.75% due 05/20/275
|
750,000
|
735,000
|
|
Total Utilities
|
5,125,187
|
||
Total Corporate Bonds
|
|||
(Cost $138,212,737)
|
130,733,724
|
||
SENIOR FLOATING RATE INTERESTS††,10 - 50.4%
|
|||
Consumer, Cyclical - 13.0%
|
|||
NES Global Talent
|
|||
8.24% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 05/11/23
|
4,138,714
|
4,128,367
|
|
Accuride Corp.
|
|||
8.05% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23
|
3,402,743
|
2,892,332
|
|
Alexander Mann
|
|||
6.23% (1 Month GBP LIBOR + 5.50%, Rate Floor: 5.50%) due 06/16/25
|
GBP 1,150,000
|
1,464,094
|
|
7.98% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 08/11/25
|
1,300,000
|
1,248,000
|
|
Comet Bidco Ltd.
|
|||
7.63% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 09/30/24
|
2,029,551
|
1,978,812
|
|
BBB Industries, LLC
|
|||
7.01% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 08/01/25
|
1,800,000
|
1,777,500
|
Face
|
|||
Amount~
|
Value
|
||
SENIOR FLOATING RATE INTERESTS††,10 - 50.4% (continued)
|
|||
Consumer, Cyclical - 13.0% (continued)
|
|||
SMG US Midco 2, Inc.
|
|||
9.49% (1 Month USD LIBOR + 7.00%, Rate Floor: 7.00%) due 01/23/26
|
1,425,000
|
$1,446,375
|
|
EnTrans International, LLC
|
|||
8.49% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 11/01/24
|
1,400,000
|
1,379,000
|
|
Acosta, Inc.
|
|||
5.75% ((1 Month USD LIBOR + 3.25%) and (Commercial Prime Lending Rate + 2.25%, Rate Floor: 4.25%)) due 09/26/19
|
603,739
|
302,334
|
|
5.91% ((Commercial Prime Lending Rate + 2.25%, Rate Floor: 2.25%) and 1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%)) due 09/26/19
|
510,962
|
255,875
|
|
SHO Holding I Corp.
|
|||
7.74% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/27/22
|
596,923
|
555,138
|
|
Blue Nile, Inc.
|
|||
9.13% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 02/17/23
|
439,375
|
423,997
|
|
Checkers Drive-In Restaurants, Inc.
|
|||
6.88% ((1 Month USD LIBOR + 4.25%) and (3 Month USD LIBOR + 4.25%), Rate Floor: 5.25%)) due 04/25/24
|
492,500
|
412,878
|
|
American Tire Distributors, Inc.11
|
|||
8.66% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23
|
225,417
|
216,964
|
|
10.13% (1 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24
|
150,278
|
136,190
|
|
Bojangles, Inc.
|
|||
7.24% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 01/28/26
|
250,000
|
250,000
|
|
Total Consumer, Cyclical
|
18,867,856
|
||
Technology - 13.0%
|
|||
Lytx, Inc.
|
|||
9.24% (1 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 08/31/23†††,1
|
3,435,818
|
3,370,959
|
|
24-7 Intouch, Inc.
|
|||
6.74% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 08/25/25
|
2,443,875
|
2,358,339
|
|
Advanced Computer Software
|
|||
7.26% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 05/31/24
|
2,340,305
|
2,327,621
|
Guggenheim Credit Allocation Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
February 28, 2019
|
Face
|
|||
Amount~
|
Value
|
||
SENIOR FLOATING RATE INTERESTS††,10 - 50.4% (continued)
|
|||
Technology - 13.0% (continued)
|
|||
Bullhorn, Inc.
|
|||
9.40% (3 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 11/21/22†††,1
|
2,241,144
|
$2,205,265
|
|
9.44% (3 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 11/21/22†††,1
|
92,606
|
83,976
|
|
Planview, Inc.
|
|||
12.24% (1 Month USD LIBOR + 9.75%, Rate Floor: 10.75%) due 07/27/23†††,1
|
2,000,000
|
2,005,681
|
|
Misys Ltd.
|
|||
6.30% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24
|
1,795,205
|
1,775,620
|
|
Dun & Bradstreet
|
|||
due 02/06/26
|
1,400,000
|
1,400,350
|
|
Aspect Software, Inc.
|
|||
15.50% (Commercial Prime Lending Rate + 10.00%, Rate Floor: 11.00%) due 05/25/202
|
1,122,092
|
932,268
|
|
8.50% (Commercial Prime Lending Rate + 3.00%, Rate Floor: 4.00%) due 05/25/202
|
490,390
|
407,431
|
|
Cologix Holdings, Inc.
|
|||
9.49% (1 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 03/20/25
|
750,000
|
720,937
|
|
Park Place Technologies LLC
|
|||
10.49% (1 Month USD LIBOR + 8.00%, Rate Floor: 9.00%) due 03/29/26
|
680,723
|
660,301
|
|
Refinitiv (Financial & Risk Us Holdings, Inc.)
|
|||
6.24% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/01/25
|
625,000
|
615,069
|
|
Targus Group International, Inc.
|
|||
15.13% (3 Month USD LIBOR + 11.50%, Rate Floor: 14.75%) due 08/01/25†††,1,2,11
|
383,723
|
–
|
|
Total Technology
|
18,863,817
|
||
Communications - 6.1%
|
|||
Houghton Mifflin Co.
|
|||
5.49% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 05/28/21
|
3,384,171
|
3,198,042
|
|
Flight Bidco, Inc.
|
|||
9.99% (1 Month USD LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26
|
2,300,000
|
2,242,500
|
Face
|
|||
Amount~
|
Value
|
||
SENIOR FLOATING RATE INTERESTS††,10 - 50.4% (continued)
|
|||
Communications - 6.1% (continued)
|
|||
Cengage Learning Acquisitions, Inc.
|
|||
6.74% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/07/23
|
2,247,669
|
$2,071,362
|
|
Resource Label Group LLC
|
|||
11.30% (3 Month USD LIBOR + 8.50%, Rate Floor: 9.50%) due 11/26/23
|
850,000
|
841,500
|
|
Mcgraw-Hill Global Education Holdings LLC
|
|||
6.49% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 05/04/22
|
292,476
|
268,914
|
|
Imagine Print Solutions LLC
|
|||
7.25% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/21/22
|
270,188
|
253,976
|
|
Total Communications
|
8,876,294
|
||
Industrial - 5.8%
|
|||
Bhi Investments LLC
|
|||
11.63% (3 Month USD LIBOR + 8.75%, Rate Floor: 9.75%) due 02/28/25†††,1
|
3,000,000
|
2,940,000
|
|
YAK MAT (YAK ACCESS LLC)
|
|||
12.49% (1 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26
|
2,425,000
|
1,952,125
|
|
Diversitech Holdings, Inc.
|
|||
10.30% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 06/02/25
|
1,000,000
|
960,000
|
|
Bioplan USA, Inc.
|
|||
7.24% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 09/23/21
|
852,869
|
790,328
|
|
National Technical
|
|||
8.76% (1 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 06/12/21†††,1
|
726,753
|
703,134
|
|
PT Intermediate Holdings III LLC
|
|||
10.80% (3 Month USD LIBOR + 8.00%, Rate Floor: 9.00%) due 12/08/25
|
450,000
|
441,000
|
|
STS Operating, Inc. (SunSource)
|
|||
6.74% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24
|
373,116
|
367,519
|
|
ProAmpac PG Borrower LLC
|
|||
11.19% (3 Month USD LIBOR + 8.50%, Rate Floor: 9.50%) due 11/18/24
|
250,000
|
243,333
|
Guggenheim Credit Allocation Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
February 28, 2019
|
Face
|
|||
Amount~
|
Value
|
||
SENIOR FLOATING RATE INTERESTS††,10 - 50.4% (continued)
|
|||
Industrial - 5.8% (continued)
|
|||
Wencor Group
|
|||
5.99% ((1 Month USD LIBOR + 3.50%) and (Commercial Prime Lending Rate + 2.50%, Rate Floor: 3.50%)) due 06/19/19
|
53,846
|
$52,163
|
|
Total Industrial
|
8,449,602
|
||
Energy - 5.8%
|
|||
Gavilan Resources LLC
|
|||
8.49% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 03/01/24
|
3,280,000
|
2,601,466
|
|
SeaPort Financing LLC
|
|||
8.00% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 10/31/25
|
2,300,000
|
2,294,250
|
|
Permian Production Partners LLC
|
|||
8.49% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 05/20/24
|
2,047,500
|
1,993,753
|
|
Summit Midstream Partners, LP
|
|||
8.49% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 05/13/22
|
1,577,917
|
1,558,193
|
|
Total Energy
|
8,447,662
|
||
Consumer, Non-cyclical - 4.4%
|
|||
Springs Window Fashions
|
|||
10.98% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26
|
2,900,000
|
2,631,750
|
|
Immucor, Inc.
|
|||
7.80% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 06/15/21
|
1,182,000
|
1,180,522
|
|
IHC Holding Corp.
|
|||
9.55% (3 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 04/30/21†††,1
|
1,152,475
|
1,146,226
|
|
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
|
|||
7.01% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25
|
645,624
|
642,396
|
|
CTI Foods Holding Co. LLC
|
|||
6.10% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/29/20
|
630,000
|
318,937
|
|
9.85% (3 Month USD LIBOR + 7.25%, Rate Floor: 8.25%) due 06/28/21
|
3,430,000
|
154,350
|
|
Moran Foods LLC
|
|||
due 12/05/23
|
608,936
|
348,007
|
Face
|
|||
Amount~
|
Value
|
||
SENIOR FLOATING RATE INTERESTS††,10 - 50.4% (continued)
|
|||
Consumer, Non-cyclical - 4.4% (continued)
|
|||
Examworks Group, Inc.
|
|||
5.70% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 01/27/23†††,1
|
33,333
|
$31,429
|
|
Total Consumer, Non-cyclical
|
6,453,617
|
||
Basic Materials - 1.4%
|
|||
US Salt LLC
|
|||
7.23% (3 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 01/16/26
|
1,000,000
|
998,750
|
|
Big River Steel LLC
|
|||
7.80% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 08/23/23
|
545,120
|
547,845
|
|
Ranpak
|
|||
9.73% (1 Month USD LIBOR + 7.25%, Rate Floor: 8.25%) due 10/03/22
|
536,667
|
532,642
|
|
Total Basic Materials
|
2,079,237
|
||
Utilities - 0.7%
|
|||
MRP Generation Holding
|
|||
9.80% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 10/18/22
|
733,125
|
701,967
|
|
Stonewall
|
|||
8.30% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 11/13/21
|
325,578
|
320,694
|
|
Total Utilities
|
1,022,661
|
||
Financial - 0.2%
|
|||
Aretec Group, Inc.
|
|||
6.74% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25
|
250,000
|
246,875
|
|
JZ Capital Partners Ltd.
|
|||
8.53% (3 Month USD LIBOR + 5.75%, Rate Floor: 6.75%) due 06/14/21†††,1
|
100,000
|
99,619
|
|
Total Financial
|
346,494
|
||
Total Senior Floating Rate Interests
|
|||
(Cost $79,570,586)
|
73,407,240
|
||
ASSET-BACKED SECURITIES†† - 3.0%
|
|||
Collateralized Loan Obligations - 1.6%
|
|||
Monroe Capital CLO Ltd.
|
|||
2017-1A, 6.36% (3 Month USD LIBOR + 3.60%) due 10/22/264,10
|
1,000,000
|
976,206
|
|
FDF I Ltd.
|
|||
2015-1A, 6.88% due 11/12/304,5
|
500,000
|
499,405
|
|
Treman Park CLO Ltd.
|
|||
2015-1A, due 10/20/284,9
|
500,000
|
425,453
|
Guggenheim Credit Allocation Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
February 28, 2019
|
Face
|
|||
Amount~
|
Value
|
||
ASSET-BACKED SECURITIES†† - 3.0% (continued)
|
|||
Collateralized Loan Obligations - 1.6% (continued)
|
|||
Dryden 41 Senior Loan Fund
|
|||
2015-41A, (WAC) due 04/15/314,9
|
600,000
|
$398,055
|
|
Babson CLO Ltd.
|
|||
2012-2A, (WAC) due 05/15/234,5,9
|
1,000,000
|
12,200
|
|
Total Collateralized Loan Obligations
|
2,311,319
|
||
Collateralized Debt Obligations - 0.7%
|
|||
Anchorage Credit Funding 1 Ltd.
|
|||
2015-1A, 6.30% due 07/28/304
|
1,000,000
|
990,308
|
|
Transport-Aircraft - 0.5%
|
|||
Rise Ltd.
|
|||
2014-1B, 6.50% due 02/12/39
|
252,030
|
252,030
|
Face
|
|||
Amount~
|
Value
|
||
ASSET-BACKED SECURITIES†† - 3.0% (continued)
|
|||
Transport-Aircraft - 0.5% (continued)
|
|||
Apollo Aviation Securitization Equity Trust
|
|||
2016-2, 7.87% due 11/15/41
|
234,037
|
$233,663
|
|
Turbine Engines Securitization Ltd.
|
|||
2013-1A, 6.38% due 12/13/485,8
|
212,809
|
179,242
|
|
Total Transport-Aircraft
|
664,935
|
||
Financial - 0.2%
|
|||
NCBJ
|
|||
2015-1A, 5.88% due 07/08/22†††,1,5
|
364,990
|
364,350
|
|
Total Asset-Backed Securities
|
|||
(Cost $4,304,171)
|
4,330,912
|
||
Total Investments - 146.0%
|
|||
(Cost $231,631,212)
|
|
$212,639,417
|
|
Other Assets & Liabilities, net - (46.0)%
|
(66,992,825)
|
||
Total Net Assets - 100.0%
|
|
$145,646,592
|
Forward Foreign Currency Exchange Contracts††
|
||||||
Counterparty
|
Contracts to Sell
|
Currency
|
Settlement Date
|
Settlement Value
|
Value at
February 28, 2019
|
Unrealized
Depreciation
|
Citigroup
|
1,170,000
|
CAD
|
03/12/19
|
$880,733
|
$889,566
|
$(8,833)
|
Bank of America Merrill Lynch
|
1,542,000
|
GBP
|
03/12/19
|
2,001,231
|
2,045,836
|
(44,605)
|
$(53,438)
|
Guggenheim Credit Allocation Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
February 28, 2019
|
CAD
|
Canadian Dollar
|
EUR
|
Euro
|
GBP
|
British Pound
|
LIBOR
|
London Interbank Offered Rate
|
plc
|
Public Limited Company
|
WAC
|
Weighted Average Coupon
|
See Sector Classification in Other Information section.
|
The following table summarizes the inputs used to value the Fund's investments at February 28, 2019 (See Note 3 in the Notes to Schedule of Investments):
|
* Includes securities with a market value of $0.
|
||||
** This derivative is reported as unrealized appreciation/depreciation at period end.
Please refer to the Schedule of Investments for a breakdown of investment type by industry category.
|
||||
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $67,596,664 are categorized as Level 2 within the disclosure hierarchy. See Note 2.
|
Category
|
Ending Balance at February 28, 2019
|
Valuation Technique
|
Unobservable Inputs
|
Input Range
|
Weighted Average
|
|||||||||
Asset Backed Securities
|
$
|
364,350
|
Yield Analysis
|
Yield
|
6
|
%
|
— | |||||||
Common Stocks
|
129,820
|
Enterprise Value
|
Valuation Multiple
|
7.7x-10.3
|
x
|
8.9
|
x
|
|||||||
Corporate Bonds
|
671,235
|
Option Adjusted Spread off prior month end broker mark over the 3 month LIBOR
|
Indicative Quote
|
—
|
—
|
|||||||||
Senior Floating Rate Interests
|
5,848,399
|
Model Price
|
Market Comparable Yields
|
7.2%-10.6
|
%
|
9.1
|
%
|
|||||||
Senior Floating Rate Interests
|
4,616,804
|
Yield Analysis
|
Yield
|
9%-10
|
%
|
9.2
|
%
|
|||||||
Senior Floating Rate Interests
|
2,005,681
|
Model Price
|
Liquidation Value
|
—
|
—
|
|||||||||
Senior Floating Rate Interests
|
115,405
|
Model Price
|
Purchase Price
|
—
|
—
|
|||||||||
Total
|
$
|
13,751,694
|
||||||||||||
Liabilities:
|
||||||||||||||
Unfunded Loan Commitments
|
$
|
286,050 |
Model Price
|
Purchase Price
|
Significant changes in an indicative quote, yield, market comparable yield or valuation multiples would generally result in significant changes in the fair value of the security.
|
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, 2019, the Fund had assets with a total value of $459,594 transfer from Level 3 to Level 2 due to the availability of market price information at period end and a total value of $2,940,000 transfer from Level 2 to Level 3 due to the lack of availability of market price information at period end. As of February 28, 2019, the Fund had liabilities with a total value of $126,442 transfer from Level 3 to Level 2 due to availability of market price information at period end. There were no other securities that transferred between levels.
|
Guggenheim Credit Allocation Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
February 28, 2019
|
Assets
|
Liabilities
|
|||||||||||||||||||||||
Asset-Backed
Securities
|
Corporate
Bonds
|
Senior Floating
Rate Interests
|
Common Stocks
|
Total Assets
|
Unfunded Loan
Commitments
|
|||||||||||||||||||
Beginning Balance
|
$
|
1,430,016
|
$
|
687,359
|
$
|
11,750,092
|
$
|
283,937
|
$
|
14,151,404
|
$
|
(175,354
|
)
|
|||||||||||
Purchases/(Receipts)
|
-
|
87
|
1,161,932
|
-
|
1,162,019
|
(609,435
|
)
|
|||||||||||||||||
(Sales, maturities and paydowns)/Fundings
|
(1,078,981
|
)
|
(5,824
|
)
|
(2,694,348
|
)
|
(12,085
|
)
|
(3,791,238
|
)
|
156,098
|
|||||||||||||
Amortization of discount/premiums
|
-
|
-
|
64,480
|
-
|
64,480
|
(13,750
|
)
|
|||||||||||||||||
Total realized gains (losses) included in earnings
|
10,000
|
5,262
|
(55,848
|
)
|
-
|
|
(40,586
|
)
|
512,677
|
|||||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings
|
3,315
|
(15,649
|
)
|
(120,425
|
)
|
(142,032
|
)
|
(274,791
|
)
|
(282,728
|
)
|
|||||||||||||
Transfers into Level 3
|
-
|
-
|
2,940,000
|
-
|
2,940,000
|
-
|
||||||||||||||||||
Transfers out of Level 3
|
-
|
-
|
(459,594
|
)
|
-
|
(459,594
|
)
|
126,442
|
||||||||||||||||
Ending Balance
|
$
|
364,350
|
$
|
671,235
|
$
|
12,586,289
|
$
|
129,820
|
13,751,694
|
$
|
(286,050
|
)
|
||||||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at February 28, 2019
|
$
|
65
|
$
|
(10,386
|
)
|
$
|
(39,473
|
)
|
$
|
(570
|
)
|
$
|
(50,364
|
)
|
$
|
42,761
|
Transactions during the period ended February 28, 2019, in which the company is an affiliated issuer, were as follows:
|
|
Security Name
|
Value
05/31/18
|
Additions
|
Reductions
|
Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation
(Depreciation)
|
Value
02/28/19
|
Shares/Face
Amount
02/28/19
|
Investment
Income
|
Capital Gain
Distributions
|
|||||||||||||||||||||||||||
Common Stocks
|
||||||||||||||||||||||||||||||||||||
Aspect Software, Inc.*
|
$
|
141,720
|
$
|
--
|
$
|
(258
|
) |
$
|
–
|
|
$
|
(141,462
|
)
|
$
|
–
|
**
|
200
|
$
|
–
|
$
|
–
|
|||||||||||||||
Targus Group International Equity, Inc.*,1
|
83,725
|
–
|
(11,827
|
)
|
–
|
(4,251
|
)
|
67,647
|
32,060
|
–
|
||||||||||||||||||||||||||
Senior Floating Rate Interests
|
||||||||||||||||||||||||||||||||||||
Aspect Software, Inc. 8.50% (Commercial Prime Lending Rate + 3.00%), Rate Floor: 4.00%) due 05/25/202
|
536,250
|
182,750
|
(228,610
|
)
|
–
|
(82,959
|
)
|
407,431
|
490,390
|
61
|
–
|
|||||||||||||||||||||||||
Aspect Software, Inc. 15.50% (Commercial Prime Lending Rate + 10.00%, Rate Floor: 11.00%) due 05/25/202
|
1,199,287
|
24,939
|
(157,988
|
)
|
–
|
(133,970
|
)
|
932,268
|
1,122,092
|
477
|
12,469
|
|||||||||||||||||||||||||
Targus Group International, Inc.1,2,3
|
–
|
** |
–
|
–
|
–
|
–
|
–
|
**
|
383,723
|
–
|
–
|
|||||||||||||||||||||||||
Warrants
|
||||||||||||||||||||||||||||||||||||
Aspect Software Inc.
|
–
|
–
|
** |
–
|
--
|
–
|
–
|
**
|
161,849
|
–
|
–
|
|||||||||||||||||||||||||
$
|
1,960,982
|
$
|
207,689
|
$
|
(398,683
|
)
|
$
|
–
|
|
$
|
(362,642
|
)
|
$
|
1,407,346
|
$
|
538
|
$
|
12,469
|
*
|
Non-income producing security.
|
**
|
Market value is less than $0.
|
1
|
Security was fair valued by the Valuation Committee at February 28, 2019. The total market value of fair valued and affiliated securities amounts to $67,647, (cost $378,143) or less than 0.1% of total net assets.
|
2
|
Variable rate security. Rate indicated is the rate effective at February 28, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
|
3 |
Security is in default of interest and/or principal obligations.
|
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
|
February 28, 2019
|
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
|
February 28, 2019
|
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
|
February 28, 2019
|
Tax Cost
|
Tax Unrealized Appreciation
|
Tax Unrealized Depreciation
|
Net Unrealized Depreciation
|
$ 231,674,993
|
$ 1,950,196
|
$ (21,039,210)
|
$ (19,089,014)
|
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
|
February 28, 2019
|
Borrower
|
Maturity Date
|
Face Amount*
|
Value
|
|
Acosta, Inc.
|
09/26/19
|
885,299
|
$441,968
|
|
Advantage Sales & Marketing, Inc.
|
07/25/19
|
900,000
|
112,500
|
|
Alexander Mann
|
08/09/24
|
GBP
|
1,250,000
|
210,395
|
Aspect Software, Inc.
|
07/15/23
|
311,611
|
9,828
|
|
Cypress Intermediate Holdings III, Inc.
|
04/27/22
|
450,000
|
35,153
|
|
Examworks Group, Inc.
|
01/27/23
|
466,666
|
26,667
|
|
Lytx, Inc.
|
08/31/22
|
157,895
|
13,835
|
|
Wencor Group
|
06/19/19
|
446,154
|
13,942
|
|
$864,288
|
* The face amount is denominated in U.S. dollars unless otherwise indicated.
|
Restricted Securities
|
Acquisition Date
|
Cost
|
Value
|
KeHE Distributors LLC / KeHE Finance Corp.
|
|||
7.63% due 08/15/211
|
07/30/13
|
$1,078,929
|
$1,007,813
|
LBC Tank Terminals Holding Netherlands BV
|
|||
6.88% due 05/15/231
|
01/12/16
|
2,013,694
|
1,892,500
|
Mirabela Nickel Ltd. | |||
9.50% due 6/24/192
|
12/31/13 | 1,160,919 | 396,744 |
Princess Juliana International Airport Operating Company N.V.
|
|||
5.50% due 12/20/27
|
02/05/14
|
343,440
|
315,858
|
Turbine Engines Securitization Ltd.
|
|||
2013-1A, 6.38% due 12/13/481
|
11/27/13
|
209,967
|
179,242
|
$4,806,949
|
$3,792,157
|
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, 2019, the total value of securities segregated was $3,079,555.
|
2 Security is in default of interest and/or principal obligations.
|
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
|
February 28, 2019
|
(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.
|