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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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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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GPM Guggenheim Enhanced Equity Income Fund
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Portfolio of Investments
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September 30, 2012 (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 - 138.2%
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Exchange Traded Funds (a) - 138.2%
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317,400
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Health Care Select Sector SPDR
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$12,730,914
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171,100
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Industrial Select Sector SPDR
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6,251,994
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194,100
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iShares Dow Jones US Real Estate Index
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12,498,099
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749,700
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iShares Russell 2000 Index
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62,569,962
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870,600
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SPDR S&P 500 ETF Trust
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125,305,458
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69,600
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SPDR S&P MidCap 400 ETF Trust
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12,522,432
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99,000
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SPDR S&P Retail ETF
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6,209,280
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351,000
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Utilities Select Sector SPDR
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12,776,400
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(Cost $252,494,466)
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250,864,539
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Short-Term Investment - 0.4%
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Money Market Fund - 0.4%
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774,444
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Dreyfus Treasury Prime Cash Management Institutional Shares
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774,444
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(Cost $774,444)
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Total Investments - 138.6%
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(Cost $253,268,910)
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251,638,983
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Other Assets in excess of Liabilities - 0.1%
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168,195
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Total Value of Options Written - (0.7%) (Premiums received $2,760,681)
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(1,215,181)
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Borrowings - (38.0% of Net Assets or 27.4% of Total Investments)
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(69,000,000)
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Net Assets - 100.0%
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$181,591,997
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Contracts
(100 shares
per contract)
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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) - (0.7%)
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3,174
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Health Care Select Sector SPDR
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October 2012
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$40.00
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$(163,461)
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1,711
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Industrial Select Sector SPDR
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October 2012
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38.00
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(12,832)
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1,941
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iShares Dow Jones US Real Estate Index
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October 2012
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66.00
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(27,174)
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7,497
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iShares Russell 2000 Index
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October 2012
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86.00
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(277,389)
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8,706
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SPDR S&P 500 ETF Trust
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October 2012
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147.00
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(457,065)
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696
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SPDR S&P MidCap 400 ETF Trust
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October 2012
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184.00
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(60,900)
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990
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SPDR S&P Retail ETF
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October 2012
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65.00
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(19,800)
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3,510
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Utilities Select Sector SPDR
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October 2012
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36.00
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(196,560)
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Total Value of Options Written - (0.7%)
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(Premiums received $2,760,681)
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$(1,215,181)
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S&P - Standard & Poor's
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(a) All of these 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) Non-income producing security.
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See previously submitted notes to financial statements for the period ended June 30, 2012.
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Country Allocation*
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United States
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100.0%
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* Subject to change daily. Based on total investments.
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At September 30, 2012, 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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| $ | 260,036,836 | $ | 1,363,897 | $ | (9,761,750) | $ | (8,397,853) | |||||||
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Readily marketable securities listed on an exchange are valued at the last reported sale price on the primary exchange or in the principal over-the-counter (“OTC”) market on which they are traded, as of the close of regular trading on the New York Stock Exchange on the day the securities are being valued. Equity securities for which there are no transactions on a given day are valued at the mean of the closing bid and asked prices. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. Debt securities are valued at the bid price for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. Equity index options are valued at the mean between the last available bid and ask prices on the primary exchange on which they are traded. Short-term securities with maturities of 60 days or less at the 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. 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 should be 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 less active 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 various observable market inputs as described above. The Fund did not have any Level 2 or Level 3 securities during the period ended September 30, 2012.
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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 September 30, 2012:
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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 $000s)
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Assets:
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Exchange Traded Funds
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$ | 250,865 | $ | - | $ | - | $ | 250,865 | ||||||||
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Money Market Fund
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774 | - | - | 774 | ||||||||||||
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Total
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$ | 251,639 | $ | - | $ | - | $ | 251,639 | ||||||||
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Liabilities:
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Call Options Written
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$ | 1,215 | $ | - | $ | - | $ | 1,215 | ||||||||
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Total
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$ | 1,215 | $ | - | $ | - | $ | 1,215 | ||||||||
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There were no transfers between valuation levels as of the report date when compared to the valuation levels at the end of the previous fiscal year.
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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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