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Investment Company Act file number
811-21681
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Guggenheim Enhanced Equity Income Fund
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(Exact name of registrant as specified in charter)
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227 West Monroe, Chicago, IL 60606
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(Address of principal executive offices) (Zip code)
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Amy J. Lee
227 West Monroe, Chicago, IL 60606
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(Name and address of agent for service)
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GPM Guggenheim Enhanced Equity Income Fund
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Portfolio of Investments
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March 31, 2014 (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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Long-Term Investments - 140.7%
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Exchange Traded Funds(a) - 140.7%
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92,200
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Consumer Discretionary Select Sector SPDR
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$ 5,967,184
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541,100
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iShares Russell 2000 ETF
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62,951,574
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202,000
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PowerShares QQQ Trust, Series 1
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17,711,360
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840,000
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SPDR S&P 500 ETF Trust
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157,113,600
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48,600
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SPDR S&P MidCap 400 ETF Trust
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12,177,702
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(Cost $255,655,857)
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255,921,420
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Total Investments - 140.7%
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(Cost $255,655,857)
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255,921,420
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Other Assets in excess of Liabilities - 0.6%
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1,004,307
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Total Value of Options Written - (0.6%) (Premiums received $1,841,862)
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(1,098,124)
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Borrowings - (40.7% of Net Assets or 28.9% of Total Investments)
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(74,000,000)
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Net Assets - 100.0%
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$ 181,827,603
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Contracts (100
shares per contract) |
Options Written
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Expiration
Month
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Exercise
Price
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Value
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Call Options Written (b) - (0.6%)
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922
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Consumer Discretionary Select Sector SPDR
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April 2014
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$67.00
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$ (6,454)
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1,030
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iShares Russell 2000 ETF
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April 2014
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117.00
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(143,170)
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1,307
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iShares Russell 2000 ETF
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April 2014
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115.00
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(335,245)
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2,020
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PowerShares QQQ Trust, Series 1
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April 2014
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91.00
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(32,320)
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8,400
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SPDR S&P 500 ETF Trust
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April 2014
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190.00
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(424,200)
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486
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SPDR S&P MidCap 400 ETF Trust
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April 2014
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250.00
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(156,735)
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Total Value of Options Written - (0.6%)
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(Premiums received $1,841,862)
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$ (1,098,124)
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S&P - Standard & Poor's
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(a)
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Securities represent cover 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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Non-income producing security.
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Country Allocation
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% of Total Investments
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United States
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100.0%
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Subject to change daily.
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See previously submitted notes to financial statements for the period ended December 31, 2013.
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At March 31, 2014, 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 Appreciation on Investments
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| $ | 255,827,355 | $ | 1,453,984 | $ | (1,359,919 | ) | $ | 94,065 | |||||
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The Fund values equity securities at the last reported sale price on the principal exchange or in the principal over-the-counter (“OTC”) market in which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued, or if there are no sales, at the mean between the last available bid and ask prices on that day. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. Debt securities are valued by independent pricing services or dealers using the bid price for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. Exchange traded options are valued at the mean between the last available bid and asked prices on the principal exchange on which they are traded. The Fund values money market funds at net asset value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value.
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For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees. A valuation committee consisting of representatives from investment management, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Fund and convenes monthly, or more frequently as needed. The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, unchanged priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Board of Trustees.
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Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” 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. 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: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
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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 values Level 1 securities using readily available market quotations in active markets. Money market funds are valued at net asset value. 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 independent pricing providers who employ various observable market inputs. The Fund did not have any Level 2 or Level 3 securities during the period ended March 31, 2014.
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The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of March 31, 2014:
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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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Valuations (in $000s)
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Assets:
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Exchange-Traded Funds
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$ | 255,921 | $ | - | $ | - | $ | 255,921 | |||||||
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Total
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$ | 255,921 | $ | - | $ | - | $ | 255,921 | |||||||
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Liabilities:
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Call Options Written
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$ | 1,098 | $ | - | $ | - | $ | 1,098 | |||||||
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Total
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$ | 1,098 | $ | - | $ | - | $ | 1,098 | |||||||
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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.
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During the three months ended March 31, 2014, there were no transfers between levels.
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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 (the “Investment Company Act”)) 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) 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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