UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC  20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number
811-22715
 
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)

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

Date of fiscal year end: May 31
Date of reporting period: December 1, 2018 – February 28, 2019
 

Item 1.    Schedule of Investments.
Attached hereto.
 
 
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)
 

~
The face amount is denominated in U.S. dollars unless otherwise indicated.
*
Non-income producing security.
Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
††
Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
†††
Value determined based on Level 3 inputs — See Note 3.
1
Security was fair valued by the Valuation Committee at February 28, 2019.  The total market value of fair valued securities amounts to $13,080,459, (cost $13,698,970) or 9.0% of total net assets.
2
Affiliated issuer.
3
Rate indicated is the 7-day yield as of February 28, 2019.
4
Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $94,254,912 (cost $100,427,363), or 64.7% of total net assets.
5
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 $87,687,674.
6
Perpetual maturity.
7
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
8
Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $3,792,157 (cost $4,806,949), or 2.6% of total net assets — See Note 6.
9
Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
10
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.
11
Security is in default of interest and/or principal obligations.
 

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):
 
Investments in Securities (Assets)
 
Level 1
Quoted
Prices
   
Level 2
Significant
Observable
Inputs
   
Level 3
Significant
Unobservable
Inputs
   
Total
 
Common Stocks
 
$
496,009
   
$
2,228,299
 
 
$
129,820
*
 
$
2,854,128
 
Preferred Stocks
   
     
544,410
     
     
544,410
 
Warrants
   
     
 
   
   
 
Money Market Fund
   
769,003
     
     
     
769,003
 
Corporate Bonds
   
     
130,062,489
     
671,235
     
130,733,724
 
Senior Floating Rate Interests
   
     
60,820,951
     
12,586,289
 
   
73,407,240
 
Asset-Backed Securities
   
     
3,966,562
     
364,350
     
4,330,912
 
Total Assets
 
$
1,265,012
   
$
197,622,711
   
$
13,751,694
   
$
212,639,417
 
                                 
Investments in Securities (Liabilities)
 
Level 1
Quoted
Prices
   
Level 2
Significant
Observable
Inputs
   
Level 3
Significant
Unobservable
Inputs
   
Total
 
Forward Foreign Currency Exchange Contracts**
 
$
   
$
53,438
   
$
   
$
53,438
 
Unfunded Loan Commitments (Note 5)
   
     
578,238
     
286,050
     
864,288
 
Total Liabilities
 
$
   
$
631,676
   
$
286,050
   
$
917,726
 
       
* 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.
 
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
 
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
   
 
Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets and liabilities for which significant unobservable inputs were used to determine fair value for the period ended 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
 
 
Affiliated Transactions
 
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
 
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
 
 
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Credit Allocation Fund (the "Fund") was organized as a Delaware statutory trust on June 7, 2012, and commenced investment operations on June 26, 2013. The Fund is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act").

The Fund's investment objective is to seek total return through a combination of current income and capital appreciation.

Significant Accounting Policies
The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. 
 
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Fund. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
 
(a) Valuation of Investments 
The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund's investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.
 
Valuations of the Fund's securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund's officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
 
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
 
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sale price as of the close of business on the NYSE, usually at 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
 
Open-end investment companies are valued at their net asset value (“NAV”) as of the close of business, on the valuation date.  Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the NYSE. The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and Guggenheim Funds Investment Advisors, LLC (“GFIA”, or the “Adviser”)  are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
 
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers
 

 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2019

 
who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value. Money market funds are valued at their NAV.
 
Typically, loans are valued using information provided by an independent third party pricing service which uses broker quotes. If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by GFIA, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value". Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.
 
Note 2 – Financial Instruments and Derivatives
As part of its investment strategy, the Fund utilizes a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Schedule of Investments.
 
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
 
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
 
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.

Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements as part of its financial leverage strategy. Under a reverse repurchase agreement, the Fund temporarily transfers possession of a portfolio instrument to another party, such as a bank or broker-dealer, in return for cash. At the same time, the Fund agrees to repurchase the instrument at an agreed upon time and price, which reflects an interest payment. Such agreements have the economic effect of borrowings. The Fund may enter into such agreements when it is able to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. When the Fund enters into a reverse repurchase agreement, any fluctuations in the market value of either the instruments transferred to another party or the instruments in which the proceeds may be invested would affect the market value of the Fund's assets.

Note 3 – Fair Value Measurement  
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value
 

 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2019

 
 
hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
 
Level 1 — quoted prices in active markets for identical assets or liabilities.
 
Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.
 
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
 
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they may be computed by the Fund’s Adviser or an affiliate. In any event, values may be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.

Indicative quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may be also used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although indicative quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in an indicative quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly indicative quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change. 
 
Note 4 – Federal Income Tax Information
The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
 
Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
 
At February 28, 2019, the cost of securities for Federal income tax purposes, the aggregate gross unrealized appreciation for all securities for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all securities for which there was an excess of tax cost over value were as follows:
 
Tax Cost
Tax Unrealized Appreciation
Tax Unrealized Depreciation
Net Unrealized Depreciation
 $           231,674,993
 $             1,950,196
 $              (21,039,210)
 $              (19,089,014)
 
Note 5 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of February 28, 2019. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
 

 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2019
 

 
The unfunded loan commitments as of February 28, 2019, were as follows:
 

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.
 
GBP – British Pound
 
Note 6 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:

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

 
Other Information (Unaudited)

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level classifications used by Bloomberg Industry Classification System, a widely recognized industry classification system provider. In the Fund’s registration statement, the Fund has investment policies relating to concentration in specific industries. For purposes of these investment policies, the Fund usually classifies industries based on industry-level classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
 

Item 2.    Controls and Procedures.

(a)
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) as of a date within 90 days of the filing date of this report and have concluded, based on such evaluation, that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

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

Item 3.    Exhibits.

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


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Guggenheim Credit Allocation Fund 

By:          /s/ Brian E. Binder    
Brian E. Binder
President and Chief Executive Officer

Date:      April 29, 2019


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

By:         /s/ Brian E. Binder   
               Brian E. Binder
     President and Chief Executive Officer

Date:      April 29, 2019



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

Date:      April 29, 2019