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Investment Company Act file number
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811-21455
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Guggenheim Enhanced Equity Strategy Fund
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(Exact name of registrant as specified in charter)
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2455 Corporate West Drive, Lisle, IL 60532
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| (Address of principal executive offices) (Zip code) |
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Kevin M. Robinson
2455 Corporate West Drive, Lisle, IL 60532
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(Name and address of agent for service)
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GGE Guggenheim Enhanced Equity Strategy Fund
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Portfolio of Investments
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July 31, 2011 (unaudited)
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Number
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of Shares
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Description
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Value
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Exchange Traded Funds (a) - 123.3%
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| 163,700 |
Industrial Select Sector SPDR Fund
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$ | 5,670,568 | ||
| 98,700 |
iShares Dow Jones US Real Estate Index Fund
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5,974,311 | |||
| 105,700 |
iShares Russell 2000 Index Fund
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8,419,005 | |||
| 209,500 |
PowerShares QQQ Trust Series 1
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12,144,715 | |||
| 57,400 |
ProShares Ultra S&P500
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2,899,848 | |||
| 192,400 |
SPDR Dow Jones Industrial Average ETF Trust
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23,343,892 | |||
| 344,200 |
SPDR S&P 500 ETF Trust
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44,419,010 | |||
| 33,900 |
SPDR S&P MidCap 400 ETF Trust
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5,800,629 | |||
| 178,700 |
Utilities Select Sector SPDR Fund
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5,925,692 | |||
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(Cost $118,121,722)
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114,597,670 | ||||
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Limited Partnership - 0.1%
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Real Estate - 0.1%
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| 400,000 |
Kodiak Funding, LP (b)
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68,800 | |||
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(Cost $3,490,000)
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Total Investments - 123.4%
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(Cost $121,611,722)
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114,666,470 | ||||
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Other Assets in excess of Liabilities - 0.4%
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385,657 | ||||
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Total value of Options Written - (1.2%) (Premiums received $1,865,356)
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(1,118,474 | ) | |||
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Borrowings - (22.6% of Net Assets or 18.3% of Total Investments)
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(21,000,000 | ) | |||
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Net Assets - 100.0%
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$ | 92,933,653 | |||
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LP - Limited Partnership
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S&P - Standard & Poor's
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(a)
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All of these securities represents cover (directly or through conversion rights) for outstanding options written. All of these securities have been physically segregated as collateral for borrowings outstanding.
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(b)
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Security is valued in accordance with Fair Valuation procedures established in good faith by the Board of Trustees. The total market value of such securities is $68,800 which represents 0.1% of Net Assets Applicable to Common Shares.
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(c)
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Non-income producing security.
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Country Breakdown
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% of Total
Investments
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United States
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100.0%
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See previously submitted notes to financial statements for the period ended April 30, 2011.
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Contracts
(100 shares
per contract)
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Options Written (c)
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Expiration
Month
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Exercise
Price
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Value
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1,637
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Industrial Select Sector SPDR Fund
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August 2011
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37.00
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$(24,555)
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987
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iShares Dow Jones US Real Estate Index Fund
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August 2011
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61.00
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(115,479)
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1,057
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iShares Russell 2000 Index Fund
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August 2011
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83.00
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(83,503)
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2,095
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Powershares QQQ Trust Series 1
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August 2011
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59.00
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(185,408)
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574
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ProShares Ultra S&P500
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August 2011
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54.00
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(45,633)
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1,924
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SPDR Dow Jones Industrial Average ETF Trust
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August 2011
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125.00
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(168,350)
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3,442
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SPDR S&P 500 ETF Trust
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August 2011
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134.00
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(323,548)
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339
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SPDR S&P MidCap 400 ETF Trust
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August 2011
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177.00
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(57,630)
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1,787
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Utilities Select Sector SPDR Fund
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August 2011
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33.00
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(114,368)
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Total Value of Options Written
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$(1,118,474)
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(Premiums received $1,865,356)
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At July 31, 2011, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
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Cost of
Investments for
Tax Purposes
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Gross Tax
Unrealized
Appreciation
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Gross Tax
Unrealized
Depreciation
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Net Tax
Unrealized
Depreciation on
Investments
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||||||||||
| $ 121,633,657 | - | (6,967,187 | ) | $ (6,967,187) | |||||||||
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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. There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark
interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
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The Fund has adopted the Accounting Standard Update, Fair Value Measurements and Disclosures (Topic 820): Improving Disclosures about Fair Value Measurements which provides guidance on how investment assets and liabilities are to be valued and disclosed. Specifically, the amendment requires reporting entities to disclose i) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions ii) transfers between all levels (including Level 1 and Level 2) on a
gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s) for the transfer and iii) purchases, sales, issuances and settlements must be shown on a gross basis in the Level 3 rollforward rather than as one net number.
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The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs in accordance with procedures established in good faith by management and approved by the Board of Trustees. The fair value estimate
for the Level 3 security in the Fund was determined in good faith by the Pricing Committee pursuant to the Valuation Procedures adopted by Board of Trustees. There were various factors considered in reaching fair value determination, including, but not limited, to the following: the type of security, the extent of public trading of the security, analysis of the company’s
performance and the present value of potential future earnings of the investment.
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The following table represents the Fund's investments carried on the Statement of Assets and Liabilities by caption and by level within the fair value hierarchy as of July 31, 2011:
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Description
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Level 1
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Level 2
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Level 3
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Total
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(value in $000s)
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Assets:
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Exchange Traded Funds
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$ | 114,597 | $ | - | $ | - | $ | 114,597 | ||||||||
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Limited Partnerships
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69 | 69 | ||||||||||||||
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Total
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$ | 114,597 | $ | - | $ | 69 | $ | 114,666 | ||||||||
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Liabilities:
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Call Options Written
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$ | 1,118 | $ | - | $ | - | $ | 1,118 | ||||||||
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Total
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$ | 1,118 | $ | - | $ | - | $ | 1,118 | ||||||||
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Level 3 holdings
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Securities
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Beginning Balance at 10/31/10
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$ | 248 | ||||||||||||||
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Total Realized Gain/Loss
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- | |||||||||||||||
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Change in Unrealized Gain/Loss
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(179 | ) | ||||||||||||||
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Net Purchases and Sales
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- | |||||||||||||||
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Net Transfers In/Out
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Ending Balance at 7/31/2011
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$ | 69 | ||||||||||||||
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There were no transfers between Level 1 and Level 2. There were no Level 3 transfers.
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(a)
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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 on 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.
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(b)
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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.
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Guggenheim Enhanced Equity Strategy Fund
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By:
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/s/Kevin M. Robinson |
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Date:
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September 16, 2011 |
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By:
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/s/Kevin M. Robinson |
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Date:
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September 16, 2011 |
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By:
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/s/John Sullivan |
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Date:
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September 16, 2011 |