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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)
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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March 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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Long-Term Investments - 134.1%
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Exchange Traded Funds - 134.1%
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790,900
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iShares Russell 2000 Index Fund(a)
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$66,570,053
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453,600
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PowerShares QQQ Trust, Series 1(a)
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26,050,248
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39,400
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ProShares Ultra QQQ(a) (b)
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3,546,000
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253,500
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ProShares Ultra S&P500(a)
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13,514,085
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425,600
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SPDR Dow Jones Industrial Average ETF Trust(a)
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52,357,312
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535,300
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SPDR S&P 500 ETF Trust(a)
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70,932,603
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258,100
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SPDR S&P Retail ETF(a)
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13,111,480
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(Cost $235,869,565)
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246,081,781
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Short-Term Investments - 0.2%
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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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Money Market - 0.2%
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321,073
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Dreyfus Institutional Reserve Money Market Fund
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321,073
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(Cost $321,073)
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Total Investments - 134.3%
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(Cost $236,190,638)
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246,402,854
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Other Assets in excess of Liabilities - 0.7%
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1,287,536
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Total Value of Options Written - (5.6%) (Premiums received $4,803,149)
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(10,272,949)
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Borrowings - (29.4% of Net Assets or 21.9% of Total Investments)
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(54,000,000)
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Net Assets - 100.0%
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$ 183,417,441
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Contracts
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Options Written
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Expiration
Date
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Exercise
Price
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Value
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Call Options Written (b) - (5.6%)
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7,909
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iShares Russell 2000 Index Fund
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April 2011
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$80.00
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$(3,598,595)
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4,536
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Powershares QQQ Trust, Series 1
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April 2011
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56.00
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(798,336)
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394
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ProShares Ultra QQQ
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April 2011
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83.00
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(302,395)
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2,535
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Proshares Ultra S&P500
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April 2011
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51.00
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(726,277)
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4,256
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SPDR Dow Jones Industrial Average ETF Trust
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April 2011
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119.00
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(1,851,360)
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5,353
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SPDR S&P 500 ETF Trust
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April 2011
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129.00
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(2,226,848)
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2,581
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SPDR S&P Retail ETF
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April 2011
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48.00
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(769,138)
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Total Value of Options Written - (5.6%)
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(Premiums received $4,803,149)
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$(10,272,949)
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S&P - Standard & Poor's
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(a)
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All or a portion of this security position represents 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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See previously submitted notes to financial statements for the period ended December 31, 2010.
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At March 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
Appreciation
on Investments
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$ 236,192,520
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$ 10,282,175
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$ (71,841)
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$ 10,210,334
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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 Standards 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) will be required to be disclosed 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. The effective date of the amendment is for interim and annual periods beginning after December 15, 2009 however, the requirement to provide the Level 3 activity for purchases, sales, issuances and settlements on a gross basis will be effective for interim and annual periods beginning after December 15, 2010.
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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 Fund did not have any Level 3 securities at March 31, 2011.
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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 March 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 $000s)
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Assets:
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Exchange Traded Funds
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$ | 246,082 | $ | - | $ | - | $ | 246,082 | ||||||||
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Money Market Fund
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321 | - | - | 321 | ||||||||||||
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Total
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$ | 246,403 | $ | - | $ | - | $ | 246,403 | ||||||||
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Liabilities:
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Derivatives
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$ | 10,273 | $ | - | $ | - | $ | 10,273 | ||||||||
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Total
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$ | 10,273 | $ | - | $ | - | $ | 10,273 | ||||||||
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There were no transfers between Level 1 and Level 2.
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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 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.
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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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