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    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS For the financial year ended 31 December 2019


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    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Contents Company Information 2 Directors’ Report 4 Investment Manager’s Report 10 Report from the Depositary to the Shareholders 12 Independent Auditor’s Report 13 Statement of Financial Position 16 Statement of Comprehensive Income 17 Statement of Changes in Net Assets Attributable to Redeemable Participating Shares 18 Statement of Cash Flows 19 Notes to the Financial Statements 20 Schedule of Investments (unaudited) - GFI Fund 42 Schedule of Material Portfolio Changes (unaudited) - GFI Fund 46 - GHY Fund 48 Company Remuneration Policy (unaudited) 50 Securities Financing Transactions Regulation (unaudited) 51 Total Expense Ratio (audited) 55 Performance Data (unaudited) 57 1


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    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Company Information The Board of Eimear Cowhey (Ireland) (Chairman)1 Legal Advisors Maples & Calder Directors of the Adrian Duffy (Ireland) and Listing Agent 75 St Stephen’s Green Company Adrian Waters (Ireland)1 Dublin 2, Ireland Farhan Sharaff (U.S.) D02 PR50 Julio Quintero (Colombia) Registered Office 32 Molesworth Street Independent KPMG Dublin 2, Ireland Auditors 1 Harbourmaster Place D02 Y512 IFSC Dublin 1, Ireland D01 F6F5 Manager Guggenheim Partners Switzerland ACOLIN Fund Services AG (Effective 1 April Fund Management (Europe) Limited Representative2 Leutschenbachstrasse 50 2019) 32 Molesworth Street CH-8050 Zurich Dublin 2, Ireland Switzerland D02 Y512 Investment Guggenheim Partners Company Secretary MFD Secretaries Limited Manager Investment Management LLC 32 Molesworth Street 330 Madison Avenue Dublin 2, Ireland 10th Floor D02 Y512 New York, NY 10017 United States of America Distributor & UK Guggenheim Investment Switzerland Paying NPB Private Bank AG Facilities Agent Advisors (Europe) Limited Agent Limmatquai 1/am Bellevue 5th Floor, The Peak P.O. Box 5 Wilton Road CH-8001 Zurich London SW1V 1AN Switzerland United Kingdom Administrator, BNY Mellon Fund Services German Information Marcard, Stein & Co AG Registrar (Ireland) Designated Activity Company Agent3 Ballindamm 36 & Transfer Agent One Dockland Central D-20095 Hamburg Guild Street, IFSC Germany Dublin 1, Ireland D01 E4X0 Registered Number 494504 Depositary The Bank of New York Mellon SA/NV, Dublin Branch Riverside II Sir John Rogerson’s Quay Grand Canal Quay Dublin 2 2


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    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Company Information (continued) 1 Independent Non-Executive Director 2 Interested parties may obtain the Prospectus, the key investor information documents, the latest annual and interim reports, copies of the Memorandum and Articles of Association, a list of changes in the composition of the portfolios and the statement of purchases and sales free of charge from the registered office of the Company or the local representatives in the countries where the Company is registered and in Switzerland at the office of the Representative Agent provided above. The issue and the redemption prices of the shares of each Sub-Fund of the Company offered to Non-Qualified Investors (being investors not considered qualified investors according to the Swiss Federal Collective Investment Schemes Act and Collective Investment Schemes Ordinance) will be published daily on the electronic platform “fundinfo AG” (www.fundinfo.com). In respect of the shares distributed in and from Switzerland, the place of performance and jurisdiction is at the registered office of the representative. 3 The Prospectus, the key investor information documents, the Articles of Association, the annual and interim reports, a list of changes in the composition of the portfolios as well as the issue and redemption prices are available free of charge pursuant to Sec. 297(1) of the German Capital Investment Code from the office of the German Information Agent as specified above. For investors in Germany, Sub-Funds GFI Fund and GHY Fund are available. For investors in Germany, no notification pursuant to Section 310 of the German Capital Investment Code (Kapitalanlagegesetzbuch) has been filed for Guggenheim Global Equity Fund and the Guggenheim Global Equity Minimum Volatility Fund and the shares in these Sub-Funds may not be marketed to investors in the Federal Republic of Germany. A detailed list of investments purchased and sold during the financial year is available upon request from the registered office of the Company. Guggenheim Global Investments plc may from time to time, make available to investors portfolio holdings and portfolio-related information in respect of one or more of the Funds. Any such information will be available to all investors in the relevant Fund on request. Any such information will only be provided on a historical basis and after the relevant Dealing Day to which the information relates. Notwithstanding the fact that this will be historical information, an investor that has received such information may be in a more informed position regarding the relevant Fund than investors that have not received the information. 3


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    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Directors’ Report The Directors present their annual report and audited financial statements for the financial year ended 31 December 2019. Principal Activities Guggenheim Global Investments plc (the “Company”) is an open-ended investment company with variable capital and segregated liability between its Sub-Funds, incorporated as a public limited company under the laws of Ireland. The Company was authorised by the Central Bank of Ireland (“Central Bank” or “CBI”) pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011, as amended (the “UCITS Regulations”) and the Central Bank (Supervision and Enforcement Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019, as amended (the “Central Bank UCITS Regulations”). As of the date of this report, there are four Sub-Funds authorised by the Central Bank, two of which are active: GFI Fund (commenced trading 15 December 2011) GHY Fund (commenced trading 15 December 2011) Guggengheim Global Equity Fund Guggenheim Global Equity Minimum Volatility Fund Each Sub-Fund maintains a separate portfolio of assets and may issue different classes of shares which may have different fee structures and levels of minimum subscriptions. The Company appointed Guggenheim Partners Fund Management (Europe) Limited (the “Manager”) as UCITS management company on 1 April 2019. The Central Bank UCITS Regulations refer to the "responsible person", being the party responsible for compliance with the relevant requirements of the Central Bank UCITS Regulations on behalf of a UCITS. The Manager assumes the regulatory role of the responsible person for the Company and all references to the Manager herein in its role of responsible person shall be read to mean the Manager in consultation with the Company. The Central Bank UCITS Regulations supplement the UCITS Regulations and existing legislative requirements and notwithstanding the Manager assuming the regulatory role of responsible person under the Central Bank UCITS Regulations, the Board of Directors of the Company (the “Board”) continue to hold a statutory role pursuant to the provisions of the Companies Act 2014 and the Companies (Accounting) Act 2017 (collectively the “Companies Acts”). The Company is organised in the form of an umbrella fund. Each Sub-Fund has a distinct portfolio of investments. The Manager has delegated investment management services and has appointed Guggenheim Partners Investment Management LLC (the “Investment Manager”) as the Investment Manager of the Company. The investment activities of the Company are managed by the Investment Manager and the administration of the Company is delegated to BNY Mellon Fund Services (Ireland) Designated Activity Company (the “Administrator”). As at 31 December 2019, the Company had the following classes of shares on offer: GFI Fund GHY Fund Class A JPY Distributing* Class A USD Accumulating Class A USD Accumulating Class I USD Accumulating Class I USD Distributing Class I USD Accumulating Class W EUR Accumulating* Class W EUR Distributing* Class I USD Distributing Class W GBP Accumulating* Class W GBP Distributing* Class W USD Accumulating Class W USD Accumulating Class W USD Distributing Class W USD Distributing Class Z EUR Accumulating* Class Z EUR Distributing* Class Z USD Accumulating Class Z GBP Accumulating* Class Z GBP Distributing* Class Z USD Distributing Class Z USD Accumulating Class Z USD Distributing * Hedged share class. Business Review, Results, Dividends and Future Developments Details of the state of affairs of the Company and results for the financial year ended 31 December 2019 are set out on pages 16 and 17. The Net Assets of the Company Attributable to Redeemable Participating Shares (for shareholder dealing purposes) as at 31 December 2019 were USD ‘000 532,620 (31 December 2018: USD ‘000 831,293). 4


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    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Directors’ Report (continued) The Directors have declared and paid final dividends in respect of the shares of the GFI Fund of USD ‘000 1,369 during the year (31 December 2018: USD ‘000 1,060). The Company will continue to pursue its investment objectives as set out in detail in the Prospectus and Supplement of each Sub-Fund. The Company’s business activities together with factors likely to affect its future performance and position are set out in the Investment Manager’s Report on pages 10 to 11. Significant Events during the Financial Year On 20 February 2019, the GHY Fund received a full redemption request from its single investor in Class A. GHY Fund satisfied this redemption request through a combination of cash redemptions and asset in-kind redemptions to the investor. Following this redemption, the Investment Manager withdrew its seed holding from GHY Fund’s other share classes. The GHY Fund remains open and is actively seeking new investors. GFI Fund, a Sub-Fund of the Company was registered in the UK, effective 20 March 2019. On 22 March 2019, the Company and its Sub-Fund, GFI Fund were entered into the Temporary Permissions Regime (TPR) in the UK. Effective 1 December 2019, BNY Mellon Trust Company (Ireland) Limited merged into The Bank of New York Mellon SA/NV, which itself is a wholly owned subsidiary of The Bank of New York Mellon (the “Merger”). Following the Merger, The Bank of New York Mellon SA/NV, Dublin Branch, will be the entity, which will provide trustee, depositary and/or custody services to the Company. On 1 April 2019, the Company appointed the Manager as UCITS management company. Effective 12 December 2019, the shares of the Company were delisted from the Official List and from trading on the regulated market of Euronext Dublin. There were no other significant events during the financial year. Material Changes to the Prospectus The Prospectus and Supplements for the Company were updated on 1 April 2019 to reflect the appointment of the Manager. The Prospectus and Supplements for the Company were updated on 31 October 2019 to reflect updated regulatory requirements disclosures. Principal Risks and Uncertainties The main risks arising from the Company’s financial instruments are market risk, liquidity risk and credit risk. The Company’s overall risk management policy focuses on the unpredictability of financial markets and seeks to minimise potential adverse effects on the Sub-Funds’ financial performance. See note 5 to the financial statements for further details. Since the start of January 2020, the outbreak of coronavirus, which is a rapidly evolving situation, has adversely impacted global commercial activities. The eventual impact on the global economy and markets will largely depend upon the scale and the duration of the outbreak. The Board of Directors, the Manager and the Investment Manager continues to monitor this situation closely. Statement of Directors’ Responsibilities The Directors are responsible for preparing the Directors’ Report and financial statements, in accordance with applicable law and regulations. Company law requires the Directors to prepare financial statements for each financial year. Under that law they have elected to prepare the financial statements in accordance with International Financial Reporting Standards (IFRS) as adopted by the EU and applicable law. 5


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    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Directors’ Report (continued) Under company law the Directors must not approve the financial statements unless they are satisfied that they give a true and fair view of the assets, liabilities and financial position of the Company at 31 December 2019 and of its changes in net assets attributable to holders of redeemable participating shares for the year then ended. In preparing the financial statements, the Directors are required to: • select suitable accounting policies and apply them consistently; • make judgements and estimates that are reasonable and prudent; • state whether applicable Accounting Standards have been followed, subject to any material departures disclosed and explained in the financial statements; • assess the Company’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern; and • use the going concern basis of accounting unless they either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so. The Directors are responsible for keeping adequate accounting records which disclose with reasonable accuracy at any time the assets, liabilities, financial position and profit or loss of the Company and enable them to ensure that its financial statements comply with the Companies Act 2014, the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019. The Directors have general responsibility for taking such steps as are reasonably open to them to safeguard the assets of the Company. In this regard the Directors have entrusted the assets of the Company to The Bank of New York Mellon SA/NV, Dublin Branch (the “Depositary”) who has been appointed as Depositary to the Company pursuant to the terms of a Depositary Agreement. The Directors are responsible for such internal controls as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error, and to prevent and detect fraud and other irregularities. The Directors are also responsible for preparing a Directors’ Report that complies with the requirements of the Companies Act 2014. The financial statements are published at www.guggenheiminvestments.com. The Directors together with the Investment Manager are responsible for the maintenance and integrity of the corporate and financial information included on the Company’s website as far as it relates to the Company. Relevant Audit Information So far as the Directors are aware, there is no relevant audit information of which the Company’s auditors are unaware and the Directors have taken all the steps that should have been taken as Directors in order to make themselves aware of any relevant audit information and to establish that the Company’s auditors are aware of that information. Accounting Records The Directors are responsible for ensuring that adequate accounting records are maintained by the Company. To achieve this, the Directors have appointed the Administrator for the purpose of maintaining adequate accounting records. The accounting records are located at the offices of the Administrator as stated on page 2. Directors’ and Secretary’s Interests The Directors and the Company Secretary are listed on page 2 and served for the whole financial year ended 31 December 2019. Neither the Directors nor the Secretary had any interests in the shares of the Company at any time during the financial year. There are no contracts or arrangements of any significance in relation to the business of the Company other than those stated in Note 8 to the financial statements, in which the Directors had any interest as defined in the Companies Acts, at any time during the financial years ended 31 December 2019 and 31 December 2018. Connected Persons Regulation 43 of the Central Bank UCITS Regulations states that “a responsible person shall ensure that any transaction between a UCITS and a connected person is conducted a) at arm’s length; and b) in the best interest of the unit-holders of the UCITS”. 6


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    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Directors’ Report (continued) As required under Central Bank UCITS Regulation 81(4), the Directors, as responsible persons are satisfied that there are in place arrangements, evidenced by written procedures, to ensure that the obligations that are prescribed by Regulation 43(1) are applied to all transactions with a connected person and all transactions with a connected person that were entered into during the period to which the report relates complied with the obligations that are prescribed by Regulation 43(1). Directors’ Compliance Statement The Directors are responsible for securing the Company’s compliance with its ‘relevant obligations’ under section 225 of the Companies Act 2014, (as defined in section 225(1) thereof). As required under section 225(3), the Directors confirm that: a) a compliance policy statement has been drawn up setting out the Company’s policies (that, in the Directors’ opinion, are appropriate to the Company) respecting compliance by the Company with its relevant obligations; b) appropriate arrangements or structures are in place that, in the Directors’ opinion, are designed to secure material compliance with the Company’s relevant obligations; and c) a review has been conducted during the financial year of the arrangements or structures referred to in paragraph (b) above. Corporate Governance Statement Although there is currently no specific statutory corporate governance code applicable to Irish collective investment schemes, the Company (as a Company incorporated in Ireland, regulated by the Central Bank) has been subject to the corporate governance practices provided for by: a) The Companies Acts, which is available for inspection at the registered office of the Company; and may also be obtained at www.irishstatutebook.ie; b) The Articles of Association of the Company which are available for inspection at the registered office of the Company and at the Companies Registration Office in Ireland. c) The Central Bank of Ireland in their UCITS Regulations which can be obtained from the CBI website at www.centralbank.ie and are available for inspection at the registered office of the Company. The Company has adopted in full and complied with the voluntary “Corporate Governance Code for Collective Investment Schemes and Management Companies” issued by Irish Funds the text of which is available from the Irish Funds website, www.irishfunds.ie. Financial Reporting Process The Manager has delegated to the Administrator the responsibility for establishing and maintaining adequate internal control and risk management systems of the Company in relation to the financial reporting process. Such systems are designed to manage rather than eliminate the risk of error or fraud in achieving the Company’s financial reporting objectives and can only provide reasonable and not absolute assurance against material misstatement or loss. The Administrator is authorised and regulated by the Central Bank and must comply with the rules imposed by the Central Bank. The Company has procedures in place to ensure all relevant accounting records are properly maintained and are readily available, including the production of annual and interim financial statements. The annual and interim financial statements of the Company are required to be approved by the Directors and are required to be filed with the Central Bank. The statutory annual financial statements are required to be audited by an independent auditor which reports its findings annually to the Board of Directors. The Board of Directors, from time to time, examines and evaluates the Administrator’s financial accounting and reporting routines and monitors and evaluates the external auditor’s performance, qualifications, and independence. The Board evaluates and discusses significant accounting and reporting issues as the need arises. The Directors receive regular presentations and review reports from the Depositary, the Investment Manager, the Manager, the Distributor and the Administrator. The Directors also have an annual process to ensure that appropriate measures are taken to consider and address the shortcomings identified and measures recommended by the independent auditor. 7


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    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Directors’ Report (continued) Shareholder Meetings The convening and conduct of shareholders’ meetings are governed by the Articles of Association of the Company and the Companies Acts. Although the Directors may convene an Extraordinary General Meeting of the Company at any time, the Directors are required to convene an Annual General Meeting of the Company within fifteen months of the date of the previous Annual General Meeting. The Company holds the Annual General Meeting in Ireland. In accordance with section 178 of the Companies Act 2014, shareholders representing not less than one-tenth of the paid up share capital of the Company may also request that the Directors convene a shareholders’ meeting. Not less than twenty one days notice of every Annual General Meeting and any meeting convened for the passing of a special resolution must be given to shareholders and fourteen days’ notice must be given in the case of any other general meeting unless the auditor of the Company and all the shareholders of the Company entitled to attend and vote agree to shorter notice. Two members present either in person or by proxy constitute a quorum at a general meeting provided that the quorum for a general meeting convened to consider any alteration to the class rights of shares is two shareholders holding or representing by proxy at least one third of the issued shares of the relevant Sub-Fund or Share Class. Every holder of participating shares present in person or by proxy who votes on a show of hands is entitled to one vote. On a poll, every holder of participating shares present in person or by proxy is entitled to one vote in respect of each share held by him. The Chairman of a general meeting of the Company or at least two members present in person or by proxy or any holder or holders of participating shares present in person or by proxy representing at least one tenth of the shares in issue having the right to vote at such meeting may demand a poll. Shareholders may resolve to sanction an ordinary resolution or special resolution at a shareholders’ meeting. An ordinary resolution of the Company, or of the shareholders of a particular Sub-Fund or Share Class, requires a simple majority of the votes cast by the shareholders voting in person or by proxy at the meeting at which the resolution is proposed. A special resolution of the Company, or of the shareholders of a particular Sub-Fund or Share Class, requires a majority of not less than 75% of the shareholders present in person or by proxy and voting in general meeting in order to pass a special resolution including a resolution to amend the Articles of Association. Composition and Operation of the Board The Board is composed of five Directors, being those listed on page 2 of these financial statements. The Directors meet at least quarterly and there are no sub-committees of the Board. The business of the Company is managed by the Directors, who exercise all such powers of the Company permitted by the Companies Acts, or by the Articles of Association of the Company required to be exercised by the Company in general meeting. A Director may, and the Company Secretary of the Company on the requisition of a Director will, at any time summon a meeting of the Directors. Questions arising at any meeting of the Directors are determined by a majority of votes. In the case of an equality of votes, the Chairman has a second or casting vote. The quorum necessary for the transaction of business at a meeting of the Directors is two. The Board has satisfied itself that the Directors have sufficient time to fully discharge their duties and disclose in writing to the Board their other commitments, including other directorships. Diversity Statement The Company believes in diversity and values the benefits that diversity can bring to its Board. Diversity promotes the inclusion of different perspectives and ideas, mitigates against groupthink and ensures that the Company can benefit from all available talent. The promotion of a diverse Board for the year ending 31 December 2019, and subsequent periods makes prudent business sense and makes for better corporate governance. The Company seeks to maintain a Board comprised of talented and dedicated directors with a diverse mix of expertise, experience, skills and backgrounds. For purposes of Board composition, diversity includes, but is not limited to, business experience, geography, age, gender and ethnicity. Given the nature, scale and complexity of the Company, the Board has not adopted a formal diversity policy nor set specific targets regarding issues such as business experience, geography, age, gender and ethnicity of its Directors. Events Since the Financial Year End There were distributions declared by the Board on the GFI Fund and paid on 15 January 2020. Details of the distributions approved by the Directors following the financial year end are outlined in Note 14 to the financial statements. There were no other significant events since the financial year end. 8


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    Qugg*nheirn &l*bnl lnv *stm*nls pl* hr{?'xuAL ft,r.?cr?"T & humry C.* "r 1N &N*, AL *1 AT U"l' /,f:?'47 * ffi tre*t"*r*' ?,*Ss**. lr:*nt"in**d) lndependent, Auditor Th* lndependent Auditor, KPMG, has indicated its willingness to continue to act as the Company's, auditor ln accordance with $ection 383{1} at the Companies AcY2014. Availability of Repo(s Th* Company may, lram time ts time, make avallable ta inv*slors partfolio holdings and p*fralia related i*tarmatian in rexper:l af one ar mar* *f the Sub-Funds. Any such infarme&i** will be available ta all investors in the relevant Sub-Fund an requ*s1. Saft. cammtssians and Direcled Brqkerage exfiense Tfr,e lnveslmenl Manager may direct transactions to brokers in return for research services. ln such circumstances, the lnvostment Manag*r may enter into soft commission or similar arrangements with such brokers. Under such arrangements, the lnvestment Manager must ensure thal the broker or caunlerpafiy to the arrangement has agreed ta provide best execution to the $ub-Funds and that the benefit provided assisis the Investment fi/anager in its provision of investment services to the Company. No soft commissian arrangements or direct brokerage expen$e$ were entered into during the financial year *nded 31 December 2A19 (31 Decernber 2018 : Nii). Chanqes in lhe UK ?alitical Enviranmenl Th* Company may ta*e patential risks assqciated with lhe uK's decision by referendum ta exit trarn the EU which may lead la political, legal, lax and ecanarni* uncertainly. This could impacl general econamic canditians in the lJK. lt is possible that the UK *xit could aclverse$ alfectthe Manag*r's ability lo access lhe LIK market, make inveslments ifi the UK, allract and retain employees based in the UK ar er*er inlo agreements (on its own behal'f ar on behalf of the Campany or the $ub-Funds) or to work with UK counterparties and service provi<Iers, all of which could result in increased costs to the Company and the Sub-Funds. ln February 2A19, the Financial Conduct Authority in the UK, agreed a multilateral memorandum of understanding (l\il0U) with the EU and EeA Competent Authorities (which includes the Central Bank) as awell as an lvloU with the European $ecurities and fi,{arkets Authority ([SM,S). lt is the intention of lhe MsUs to allaw f*r cantinued clcse cooperation between lhe UK and the remaintng ELJ countries. The MoLls will allow for e\J {unrl rnanagers {*uch as tt.'e bAanager) ta delegale pa*.talir: management servic*s ta a uK regisler*d manager in lhe ever* that lhe UK l*ai*s the EU in cirrurn$tances tuhere il bec$mes designaled as a lhird {zour,try {ar regulatary pur?a$Qs. An 22 tul'arck 2*19, the Company was enlered inta x"keTemparary ?errntssians Regirne ("T??,") in the t)K. *n fu*lnalf Etf 2** &ryard qt *er*ctar* Lc.-q Air*r:tar Airect*r Eirnear Cowhey hdrian Wa?ery, $ate".27 March 282t) Q


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    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Investment Manager’s Report GFI Fund Market Overview U.S. real gross domestic product (GDP) growth held steady at 2.1 percent annualized in the fourth quarter. This is slightly above our estimate of potential growth, but the details revealed a less positive underlying trend. A sharp reduction in imports led to an outsized 1.5 percentage point contribution from trade, which was more than offset by a smaller contribution from personal consumption expenditures (PCE) and a contraction in business investment in inventories and capex. A strong labor market continues to underpin the outlook for economic growth in the near term, with the unemployment rate touching a cycle low of 3.5 percent in December. Inflation continues to undershoot the Fed’s target, as measured by the core price deflator for PCE, which softened to 1.3 percent annualized in the fourth quarter. Looking ahead, the slowdown in the Leading Economic Index (LEI) to a cycle low of 0.1 percent year over year in December raises the specter of weaker growth this year. However, last year’s stock market rally bodes well for a pickup in leading indicators in the first half of 2020, as our analysis shows that stocks tend to lead the LEI by about six months. Several factors could temper any bounce in growth in early 2020, starting with the tendency for reported first quarter growth to be weak due to seasonal adjustment issues. More substantively, Boeing has temporarily halted production of 737 Max airplanes. Production will likely be suspended for at least the first quarter, reducing annualized real GDP growth by 0.5 percentage point. Once production resumes, there should be an offsetting boost to growth, likely in the second half of the year. Perhaps most significantly, the coronavirus will hit growth in China in early 2020, with spillovers that extend across Asia and beyond. Measures to limit transmission are having a significant impact on China’s transportation, energy, retail, hospitality, and manufacturing industries. Compared to the SARS outbreak in 2003, the country’s much larger services sector and significantly more aggressive government response indicates that the economic impact could be larger today. The outbreak comes at a difficult time for the Chinese economy. At 6.0 percent, real GDP growth in 2019 was the weakest in a generation, and the country’s massive debt load limits authorities’ flexibility to shore up the economy. China’s share of global GDP has more than tripled since 2003, and it has become a more integral part of global trade and international financial markets, amplifying the potential economic impact. Performance Review The GFI Fund (the “Fund” or the “Portfolio”) was launched on 15 December 2011. As of 31 December 2019, assets under management stood at $533 million. For the one-year period ending December 31, 2019, the Fund returned 4.51% underperforming its benchmark, while the Barclays U.S. Aggregate Bond Index returned 8.72%. Positive return was largely attributed to duration and the Portfolio’s carry with modest spread tightening also contributed to performance. Most asset categories rallied over the year as global central bank easing and a flood of liquidity drove prices higher. At the forefront of policy easing was the Federal Reserve’s (Fed) dovish pivot in late 2018 which prioritized extending the expansion and resulted in three rate cuts in 2019, and the expansion of the balance sheet via bill purchases and repo operations in the back half of the year. Portfolio Review & Strategy The Fed with its shift in policy has decreased the odds of a recession near term and has likely extended the expansion. Within the US economy weakness in manufacturing data looks to be bottoming, the consumer is in good shape, and the labor market remains extraordinarily resilient. The recovery in the U.S. is also helping to drive a pickup in global economic activity. Fed Chair Jerome Powell referred to the first cut as a brief “mid-cycle” rate adjustment, as opposed to the beginning of a lengthy cutting cycle. The Fed’s 1998 mid-cycle adjustment resulted in a liquidity driven rally that caused the Nasdaq index to double within a year before the bubble finally burst. It also led to a significant widening of credit spreads well in advance of the economy rolling over. 10


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    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Investment Manager’s Report (continued) GFI Fund (continued) With that in mind and with corporate credit spreads near cycle tights the Fund continued to focus on income and capital preservation in a market where the risk/reward trade-off looks unattractive in many credit sectors. Low volatility and reducing drawdown risk remained a priority for the Fund. As such the Fund continued to invest in assets classes that have a low likelihood of default and are expected to exhibit minimal spread volatility with stable returns under a variety of credit and rate environments. Over the year all sectors contributed positively to total return with no negative performers. Within our credit exposure we continued to favor structured credit over corporate credit given what we view as a compelling spread pickup to similarly rated corporates while providing defensive positioning through shorter spread duration profiles. Asset-Backed Securities (ABS) generated positive total returns as the investor base for structured credit, including aircraft securitization and other commercial ABS, continues to grow. The Aircraft ABS sector saw a record year in supply as new issuance topped $10.8bn amid lower financing costs. Lease and renewal rates for midlife aircraft (those securitized in aircraft ABS) are expected to be supported by new aircraft supply disruptions and relatively low fuel prices. Collateralized Loan Obligations (CLOs) contributed to performance. CLOs rallied into year-end as the underlying leveraged loan collateral base performed well with the positive geopolitical backdrop. Total CLO new issuance finished the year at ~$118bn, only slightly lagging last year’s issuance activity. Spreads remained considerably wider than many other asset categories, particularly those with a similar credit profile or spread duration. We continue to favor senior CLOs with short spread durations, as they offer a compelling spread pickup to similarly rated corporates. Non-Agency Residential Mortgage-Backed Securities (RMBS) also contributed positively as lower rates and improving credit fundamentals drove higher prepayments for discounted dollar price holdings. Limited home inventory and improving labor market conditions should support home prices and mortgage credit performance. Net issuance for the year finished positive for the first time since 2007, driven mainly by slower paydowns on existing deals. Historically low spread differences between senior and subordinated tranches suggest better value in staying structurally senior at this time. In order to maintain our defensive positioning and short portfolio spread duration our longer duration holdings continue to be allocated to treasuries and agency debt, including Agency CMBS. Agency CMBS has some spread tightening potential should credit spreads broadly tighten but has much less downside should spreads widen. Guggenheim Partners Investment Management LLC 06 February 2020 11


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    > BNY MELLON REPORT FROM THE DEPOSITARY TO THE SHAREHOLDERS DATED 27 MARCH2020 For the period from 01 January 2019 to 31 December 2019 (the “Period”) The Bank of New York Mellon SA/NV, Dublin Branch (the “Depositary” “us”, “we”, or “our’’) has enquired into the conduct of Guggenheim Global Investments plc (the “Company”for the Period,in its capacity as Depositary to the Company. This report including the opinion has been prepared for and solely for the shareholders in the Company, in accordance with our role as Depositary to the Companyandfor no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whomthis report is shown. Responsibilities of the Depositary Our duties and responsibilities are outlined in Regulation 34 of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (S.I. No 352 of 2011), as amended(the “Regulations”). Our report shall state whether, in our opinion, the Company has been managed in that Period in accordance with the provisions of the Company’s constitutional documentation and the Regulations. It is the overall responsibility of the Company to comply with these provisions. If the Company has not been so managed, we as Depositary must state in what respects it has not been so managed andthe steps which we havetaken in respect thereof. Basis of Depositary Opinion The Depositary conducts such reviewsasit, in its reasonable opinion, considers necessary in order to comply with its duties and to ensure that, in all material respects, the Company has been managed(i) in accordance with the limitations imposed on its investment and borrowing powersby the provisionsofits constitutional documentation and the appropriate regulations and (ii) otherwise in accordance with the Company’s constitutional documentation and the appropriate regulations. Opinion In our opinion, the Company has been managed duringthe Period,in all material respects: (i) in accordance with the limitations imposed on the investment and borrowing powers of the Company by the constitutional documentation and the Regulations; and (ii) otherwise in accordance with the provisions ofthe constitutional documentation and the Regulations. 7 ? ge i Le /„arl PL en For and on behalf of The Bank of New York Mellon SA/NV, Dublin Branch, Riverside Two, Sir John Rogerson’s Quay, Grand Canal Dock, Dublin 2, Ireland


  • Page 14

    INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF GUGGENHEIM GLOBAL INVESTMENTS PLC Report on the audit of the financial statements Opinion We have audited the financial statements of Guggenheim Global Investments plc (‘the Company’) for the year ended 31 December 2019 set out on pages 16 to 41, which comprise the Statement of Financial Position, the Statement of Comprehensive Income, the Statement of Changes in Net Assets Attributable to Redeemable Participating Shares, the Statement of Cash Flows and related notes, including the summary of significant accounting policies set out in note 3, and also the Total expense ratio on pages 55 and 56. The financial reporting framework that has been applied in their preparation is Irish Law and International Financial Reporting Standards (IFRS) as adopted by the European Union. In our opinion, the financial statements: • give a true and fair view of the assets, liabilities and financial position of the Company as at 31 December 2019 and of its decrease in net assets attributable to holders of redeemable participating shares for the year then ended; • have been properly prepared in accordance with IFRS as adopted by the European Union; and • have been properly prepared in accordance with the requirements of the Companies Act 2014, the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019. Basis for opinion We conducted our audit in accordance with International Standards on Auditing (Ireland) (ISAs (Ireland)) and applicable law. Our responsibilities under those standards are further described in the Auditor's responsibilities for the audit of the financial statements section of our report. We are independent of the Company in accordance with ethical requirements that are relevant to our audit of financial statements in Ireland, including the Ethical Standard issued by the Irish Auditing and Accounting Supervisory Authority (IAASA), and we have fulfilled our other ethical responsibilities in accordance with these requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. We have nothing to report on going concern We are required to report to you if we have concluded that the use of the going concern basis of accounting is inappropriate or there is an undisclosed material uncertainty that may cast significant doubt over the use of that basis for a period of at least twelve months from the date of approval of the financial statements. We have nothing to report in these respects.


  • Page 15

    Other information The directors are responsible for the other information presented in the Annual Report together with the financial statements. The other information comprises the information included in the Directors’ report, Investment Manager’s report, Report from the Depository to the Shareholders, company information, schedule of investments, schedule of material portfolio changes, company remuneration policy, securities financing transactions regulation and performance data. The financial statements and our auditor’s report thereon do not comprise part of the other information. Our opinion on the financial statements does not cover the other information and, accordingly, we do not express an audit opinion or, except as explicitly stated below, any form of assurance conclusion thereon. Our responsibility is to read the other information and, in doing so, consider whether, based on our financial statements audit work, the information therein is materially misstated or inconsistent with the financial statements or our audit knowledge. Based solely on that work we have not identified material misstatements in the other information. Based solely on our work on the other information, we report that: • we have not identified material misstatements in the directors’ report; • in our opinion, the information given in the directors’ report is consistent with the financial statements; • in our opinion, the directors’ report has been prepared in accordance with the Companies Act 2014. Opinions on other matters prescribed by the Companies Act 2014 We have obtained all the information and explanations which we consider necessary for the purposes of our audit. In our opinion the accounting records of the Company were sufficient to permit the financial statements to be readily and properly audited and the financial statements are in agreement with the accounting records. Matters on which we are required to report by exception The Companies Act 2014 requires us to report to you if, in our opinion, the disclosures of directors’ remuneration and transactions required by Sections 305 to 312 of the Act are not made. We have nothing to report in this regard. Respective responsibilities and restrictions on use Responsibilities of directors for the financial statements As explained more fully in the statement of directors’ responsibilities set out on pages 5 and 6, the directors are responsible for: the preparation of the financial statements including being satisfied that they give a true and fair view; such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error; assessing the Company’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern; and using the going concern basis of accounting unless they either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so.


  • Page 16

    Auditor’s responsibilities for the audit of the financial statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance but is not a guarantee that an audit conducted in accordance with ISAs (Ireland) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. A fuller description of our responsibilities is provided on IAASA’s website at https://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8f- a98202dc9c3a/Description_of_auditors_responsiblities_for_audit.pdf. The purpose of our audit work and to whom we owe our responsibilities Our report is made solely to the Company’s members, as a body, in accordance with Section 391 of the Companies Act 2014. Our audit work has been undertaken so that we might state to the Company’s members those matters we are required to state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Company and the Company’s members, as a body, for our audit work, for this report, or for the opinions we have formed. Ivor Conlon 27 March 2020 for and on behalf of KPMG Chartered Accountants, Statutory Audit Firm 1 Harbourmaster Place IFSC Dublin 1 Ireland


  • Page 17

    Q a;jq*nheirn *1 *b al I n'..t * strnent* 6strt: hr+?,laALnr"r*r,T & &.}mrc r"a r 1?,j hL *T hT rt{ttrNv * h?'J c,t .*tat*r,t*nt" *f f trz';sn*i'al ?r.s*iti*n fr,r:, aq" 31 U'4cr:rfihar 24(2 ?..Z*tr:*, ufl TtzzrJ &?4Y #wtztSo **rrzpa'*y tJg*'**A w*m'{38& ryfi*'0** 2*1* 2{t1n 2{r19 2*1t 2*1' 2*14 &.ssets *ati,tt anl **sh eqtsival*r*.* * 4,244 a'7 ?a a i*n t+.3$3 4,351 7,.2..iIt t *aah ytl*dged ae *rsliat*ral 4 :j,br7 ?,t/;/ 3,5*2 * i:: a? Financial a*saZs attair valt"t* thrcrsgh protit ar lass ({VT?l,) 5 fi20,227 52&.:12.6 275,500 520,227 803,826 Fe,evar*a rep$chase agraaffienls 4 6,8&A I,ZCU 6,88A 1,260 lncorne receivable 2,413 1,374 4,4; 2,013 5,&42 $e * t riti es sal d r e ceiv altle zt6 "1,) ,: 218 fi1 * apilal sh ar *s re ceiv abl e 60* 17& 6AA 17* Ath*r receivables and ezp*n*e wai,.ter (r) t,'t* 4 itiq T*kaL asa*ta *fr7 {3 LiatuZZizi**. Seuxlttt*ri purcha*ed p ay a?)la t2) {2} {apital *hare* payable 1746) 13,44:3) (746) (3,443) F inancial liabil ities at FVY?L 5 (3,65*) {fi,44b'} $,640) $,a48t Accru*l* and olher payatsles (748\ fi,*abj (105) | .:t,: .: ': te*) 11,&1V1 T *tal 4tabttlaii e * l*x*Z udi w g net. u*we{*| lt.1&r,t la,{},ba41 t1/Jtt 13221 4%,291, (1{},UUe\ ?t qr'/" zl*be?.{t attri'utsti:'*tru ?rt h t:tl rie r * rs( r' * rj e,e r", mbZ r; ys a r: 2i ei Vt ;zti r z g *h a r* * f71, e:r 2 P.&'ed;fi, bbz,&2t1 !t47,214 244,**3 b&2,&24 &ffi,2*3 T?w uecamysanying noN** f*rm an inl*gral part at rthese financial *t.at.ofi1unts. "A?,Y {und held *a Netl h***t* at- 31 *ecer,,tber 2A13" 9ee n*t* 13 t*r turth*r *etail*. *n b*half ot t?e* &*ard ry{ nireaters: Dtrect*r kc* q eirnear Covthey {ector AdrianWat*rs Date: 27 ?&arch 2*2{3 'tb


  • Page 18

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Statement of Comprehensive Income For the financial year ended 31 December 2019 Notes GFI Fund GHY Fund Company USD ‘000 USD ‘000 USD ‘000 2019 2018 2019 2018 2019 2018 Investment Income Coupon interest income 18,432 21,873 3,109 26,708 21,541 48,581 Bank interest income – 49 – 14 – 63 Dividend income 16 49 8 47 24 96 Net gain/(loss) from investments 10,493 (12,470) 9,900 (37,799) 20,393 (50,269) Total investment income/(loss) 28,941 9,501 13,017 (11,030) 41,958 (1,529) Operating expenses Interest expense (1,270) (814) – – (1,270) (814) Manager fee (4,025) – – – (4,025) – Investment Management fees 8 (1,277) (5,835) (196) (1,819) (1,473) (7,654) Administrator fees 8 (209) (250) (26) (167) (235) (417) Legal fees (189) (189) (82) (135) (271) (324) Auditor’s fees (60) (68) (17) (25) (77) (93) Depositary fees 8 (106) (190) (2) (135) (108) (325) Directors' fees 8 (58) (33) (21) (33) (79) (66) Professional fees (48) (45) (15) (36) (63) (81) Secretarial fees (16) (27) (9) (27) (25) (54) Other operating expenses (161) (138) (56) (93) (217) (231) Expense waiver 8 454 844 – – 454 844 Total operating expense (6,965) (6,745) (424) (2,470) (7,389) (9,215) Profit/(loss) before tax 21,976 2,756 12,593 (13,500) 34,569 (10,744) Withholding tax (12) (47) (8) (132) (20) (179) Increase/(decrease) in net assets 21,964 2,709 12,585 (13,632) 34,549 (10,923) There are no gains or losses in the financial year other than those dealt with in the Statement of Comprehensive Income. All results are from continuing activities. The accompanying notes form an integral part of these financial statements. 17


  • Page 19

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Statement of Changes in Net Assets Attributable to Redeemable Participating Shares For the financial year ended 31 December 2019 GFI Fund GHY Fund* Company USD ‘000 USD ‘000 USD ‘000 2019 2018 2019 2018 2019 2018 At the start of the financial year 547,230 591,549 284,063 665,358 831,293 1,256,907 Increase/(Decrease) in net assets 21,964 2,709 12,585 (13,632) 34,549 (10,923) Capital transactions in redeemable participating shares Distributions paid to holders of redeemable shares (1,369) (1,060) – – (1,369) (1,060) New issuances 115,989 106,914 – 21,319 115,989 128,233 Redemptions (151,194) (152,882) (296,648) (388,982) (447,842) (541,864) Net change from capital transactions (36,574) (47,028) (296,648) (367,663) (333,222) (414,691) At the end of the financial year 532,620 547,230 – 284,063 532,620 831,293 The accompanying notes form an integral part of these financial statements. *GHY Fund held no Net Assets at 31 December 2019. See note 13 for further details. 18


  • Page 20

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Statement of Cash Flows For the financial year ended 31 December 2019 GFI Fund GHY Fund Company USD ‘000 USD ‘000 USD ‘000 2019 2018 2019 2018 2019 2018 Cash flows from operating activities Increase/(decrease) in net assets 21,964 2,709 12,585 (13,632) 34,549 (10,923) Adjustments for: – Interest income (17,162) (21,108) (3,109) (26,722) (20,271) (47,830) – Dividend income (16) (49) (8) (47) (24) (96) – Withholding tax 12 47 8 132 20 179 Change in: Cash pledged as collateral 4,985 (7,020) – – 4,985 (7,020) Purchase/Sale of reverse repurchase agreements (5,630) (1,250) – – (5,630) (1,250) Income receivable/payable (643) (204) 4,472 4,730 3,829 4,526 Securities sold receivables & purchase payables (184) (37,916) 19 (19) (165) (37,935) Other receivables and payables (209) (392) (216) (535) (425) (927) Financial assets at FVTPL 8,099 36,588 275,500 372,614 283,599 409,202 Financial liabilities at FVTPL (2,358) 5,917 – – (2,358) 5,917 Cash used in operations 8,858 (22,678) 289,251 336,521 298,109 313,843 Interest received 17,150 21,061 3,101 26,590 20,251 47,651 Dividend received 16 49 8 47 24 96 Net cash provided by / (used in) operating activities 26,024 (1,568) 292,360 363,158 318,384 361,590 Cash flows from financing activities Distributions paid to holders of redeemable shares (1,369) (1,060) – – (1,369) (1,060) Proceeds from redeemable shares issued 115,565 158,118 – 21,319 115,565 179,437 Redemption of redeemable shares (153,891) (151,314) (296,648) (388,982) (450,539) (540,296) Net cash from financing activities (39,695) 5,744 (296,648) (367,663) (336,343) (361,919) Net (decrease)/increase in cash and cash equivalents (13,671) 4,176 (4,288) (4,505) (17,959) (329) Cash and cash equivalents at beginning of the financial year 17,917 13,741 4,393 8,898 22,310 22,639 Cash and cash equivalents at end of financial year 4,246 17,917 105 4,393 4,351 22,310 The accompanying notes form an integral part of these financial statements. 19


  • Page 21

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements 1. Organisation Guggenheim Global Investments plc (the “Company”) was incorporated in Ireland on 2 February 2011 and is an open- ended umbrella type investment fund with variable capital established as an undertaking for collective investment in transferable securities under the laws of Ireland as a public limited company pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended) (the “UCITS Regulations”) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48 (1)) (Undertakings for Collective Investment in Transferable Securities) (Amendment) Regulations 2019 (the “Central Bank Regulations”). The Company has segregated liability between its Sub-Funds and accordingly any liability incurred on behalf of or attributable to any Sub-Fund shall be discharged solely out of the assets of that Sub-Fund. Since 1 April 2019, Guggenheim Partners Fund Management (Europe) Limited (the “Manager”) is responsible for the management of the Company and its Sub-Funds in consultation with the Directors. The Manager has delegated the performance of descretionary invesment management services to Guggenheim Partners Investment Management LLC (the “Investment Manager”) and delegated the administration of the Company to BNY Mellon Fund Services (Ireland) Designated Activity Company (the “Administrator”). The Bank of New York Mellon SA/NV, Dublin Branch (formerly BNY Mellon Trust Company (Ireland) Limited) acts as Depositary (the “Depositary”) for the Company under the terms of a depositary agreement. 2. Basis of preparation a) Statement of compliance The financial statements have been prepared on a going concern basis in accordance with European Union (“EU”) endorsed International Financial Reporting Standards (“IFRS”) and the Companies Acts, as applicable to companies reporting under IFRS and the UCITS Regulations. b) Basis of measurement The financial statements of the Company are presented in the functional currency of the Company and each Sub-Fund, the U.S. Dollar (“USD”). These financial statements are prepared on a historical cost basis except for investments in financial assets and financial liabilities at fair value through profit or loss, which have been measured at fair value, and redeemable participating shares, which have been measured at redemption amount. The accounting policies have been consistently applied by the Company and comparative figures relate to the financial year ended 31 December 2018. Figures in the financial statements have been rounded to the closest thousand where indicated with a “USD ‘000” unless otherwise stated. c) Use of accounting judgements and estimates The preparation of financial statements in conformity with IFRS requires the use of certain critical accounting estimates and assumptions. It also requires the Directors to exercise their judgement in the process of applying the Company’s accounting policies. Actual results may differ from those estimates and assumptions. Management makes estimates and assumptions concerning the future. The resulting accounting estimates will, by definition, seldom equal the related actual results. The estimates and assumptions that have a significant risk of causing a material adjustment to the carrying amounts of assets and liabilities are outlined below. i) Fair value of derivative financial instruments The Company may, from time to time, hold financial instruments that are not quoted in active markets, such as over-the- counter derivatives. Fair values of such instruments are determined by using valuation techniques. Where valuation techniques (for example, models) are used to determine fair values, they are validated and periodically reviewed by experienced personnel at the Investment Manager, independent of the party that created them. ii) Fair value of securities not quoted in an active market The fair value of such securities not quoted in an active market may be determined by the Company using reputable pricing sources (such as pricing agencies) or indicative prices from bond/debt market makers. Broker quotes as obtained from the pricing sources may be indicative and not executable or binding. The Company would exercise judgement on the quantity and quality of pricing sources used. 20


  • Page 22

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 3. Significant accounting policies a) Financial assets and financial liabilities i) Classification In accordance with IFRS 9, the Company classifies its financial assets and financial liabilities at initial recognition into the categories of financial assets and financial liabilities discussed below. Financial assets Financial assets measured at amortised cost A financial asset is measured at amortised cost if it meets both of the following conditions and is not designated as at Fair Value through Profit or Loss (“FVTPL”): • it is held within a business model whose objective is to hold assets to collect contractual cash flows; and • its contractual terms give rise on specified dates to cash flows that are solely payments of principal and interest on the principal amount outstanding. The Company includes in this category cash and cash equivalents, cash pledged as collateral, sale and repurchase agreements, reverse repurchase agreements, receivables from brokers and other receivables. IFRS 9 replaces the ‘incurred loss’ model in IAS 39 with an ‘expected credit loss’ (ECL) model. The new impairment model applies to financial assets measured at amortised cost, but not to investments in equity instruments. The application of the ECL model under IFRS 9 has not changed the carrying amounts of the Company's amortised cost financial assets. Financial assets measured at FVTPL On initial recognition, the Company may irrevocably designate a financial asset that otherwise meets the requirements to be measured at amortised cost as at FVTPL if doing so eliminates or significantly reduces an accounting mismatch that would otherwise arise. Financial assets that are held for trading or are managed and whose performance is evaluated on a fair value basis are measured at FVTPL. This category includes all other financial assets including asset-backed securities, mortgage-related securities, bonds, equities, term loans and derivatives. Financial liabilities Financial liabilities are classified as measured at amortised cost or FVTPL. Financial liabilities measured at FVTPL A financial liability is classified as at FVTPL if it is classified as held-for-trading, it is a derivative or it is designated as such on initial recognition. Financial liabilities at FVTPL are measured at fair value and net gains and losses, including any interest expense, are recognised in profit or loss. The Company includes in this category, derivative contracts in a liability position since they are classified as held for trading. Financial liabilities measured at amortised cost Other financial liabilities are subsequently measured at amortised cost using the effective interest method. Interest expense and foreign exchange gains and losses are recognised in profit or loss. Any gain or loss on derecognition is also recognised in profit or loss. The Company includes in this category capital shares payable, securities purchased payable and other payables and liabilities. Financial liabilities arising from redeemable shares issued by the Company are carried at the redemption amount representing the investors’ right to a residual amount of the Company’s Net Assets Attributable to Holders of Redeemable Participating Shares (“Net Assets”). 21


  • Page 23

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 3. Significant accounting policies (continued) a) Financial assets and financial liabilities (continued) ii) Recognition and de-recognition A financial asset and a financial liability is recognised on the date it becomes a party to the contractual provisions of the instrument. A financial asset is derecognised when there is no longer control over the contractual rights that comprise that asset. This occurs when the rights are realised, expire or are surrendered. A financial liability is derecognised when it is extinguished or when the obligation specified in the contract is discharged, cancelled or expired. iii) Initial measurement Financial instruments are measured initially at fair value (transaction price). Transaction costs on financial assets and financial liabilities at fair value through profit or loss are recognised in net gain/(loss) from investments in the Statement of Comprehensive Income. iv) Subsequent measurement The Company measures financial instruments which are classified at fair value through profit or loss, at their fair values. Changes in the fair value recognised are recorded in the Statement of Comprehensive Income. v) Determination of fair value Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction in the principal (or most advantageous) market at the measurement date under current market conditions (i.e. an exit price) regardless of whether the price is directly observable or estimated using another valuation technique. The Company measures fair values using a fair value hierarchy that reflects the significance of the inputs used in making the measurements. The fair value hierarchy has the following levels: Level 1 Quoted market price in an active market for an identical instrument. Level 2 Valuation techniques based on observable inputs. This category includes instruments valued using: quoted market prices in active markets for similar instruments; quoted prices for similar instruments in markets that are considered less than active; or other valuation techniques where all significant inputs are directly or indirectly observable from market data. Level 3 Valuation techniques using significant unobservable inputs. This category includes all instruments where the valuation technique includes inputs not based on observable data and the unobservable inputs could have a significant impact on the instrument’s valuation. This category includes instruments that are valued based on quoted prices for similar instruments where significant unobservable adjustments or assumptions are required to reflect differences between the instruments. The level in the fair value hierarchy within which a financial instrument is categorised in its entirety is determined on the basis of the lowest level input that is significant to the fair value measurement. The Company considers observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary and provided by independent sources that are actively involved in the relevant market. Vendor quotes are classified as Level 2 because the inputs into the price supplied by the vendors are observable and may include recent trades, interest rates, yields and credit spreads. The Investment Manager reviews the prices independently recorded as vendor quotes and ensures that they are in accordance with fair value. The Investment Manager utilises a tiered pricing structure whereby valid prices are selected according to their price source and their price level. Fixed income securities, including corporate bonds and bank loans, are normally valued by pricing service providers on the basis of last available bid price. In determining the value of a particular investment, pricing service providers may use vendor quotations, reported trades or valuation estimates from their internal pricing models to determine the reported price. 22


  • Page 24

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 3. Significant accounting policies (continued) a) Financial assets and financial liabilities (continued) v) Determination of fair value (continued) Mortgage-related and asset-backed securities (“ABS”) are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use vendor quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche- level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, prepayment spreads, default rates and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are usually categorised as Level 2 within the fair value hierarchy. If a quoted market price in an active market is not available on a recognised stock exchange or from a vendor for non- exchange traded financial instruments, the fair value of the instrument is estimated by the Investment Manager using valuation techniques; including use of recent arm’s length market transactions, reference to the current fair value of another instrument that is substantially the same, discounted cash flow techniques, option pricing models or any other valuation technique that provides a reliable estimate of prices obtained in actual market transactions. vi) Reverse repurchase agreements and payables under sale and repurchase agreements When the Company purchases a financial asset and simultaneously enters into an agreement to resell the same or a substantially similar asset at a fixed price on a future date (reverse repurchase agreement), the arrangement is recognised in the Statement of Financial Position as a receivable from a reverse sale and repurchase agreement, and the underlying asset is not recognised in the Company’s financial statements. Receivables from reverse sale and repurchase agreements are subsequently measured at amortised cost. When the Company sells a financial asset and simultaneously enters into an agreement to repurchase the same or similar asset at a fixed price on a future date (sale and repurchase agreement), the arrangement is accounted for as a borrowing and is recognised in the Statement of Financial Position as a payable under a sale and repurchase agreement, and the underlying asset is classified as a financial asset in the Company’s financial statements. vii) Offsetting financial instruments Financial assets and liabilities are offset and the net amount presented in the Statement of Financial Position when, and only when, the Company has a legal right to set off the amounts and intends either to settle on a net basis or to realise the asset and settle the liability simultaneously. b) Forward foreign currency exchange contracts In a forward foreign currency exchange contract (“forward currency contract”), the Company agrees to receive or deliver a fixed quantity of one currency for another, at a predetermined price at a future date. The fair value of forward currency contracts is calculated as the difference between the contracted rate and the current forward rate that would close out the contract on the Statement of Financial Position date. Gains or losses on forward currency contracts are included in the financial assets at fair value through profit or loss or financial liabilities at fair value through profit or loss on the Statement of Financial Position and are shown in the Schedules of Investments. Any realised gains or losses are recognised in the Statement of Comprehensive Income on the trade date. The Company may enter into these contracts to hedge against changes in currency exchange rates. The forward currency contracts are used to hedge the currency exposure on individual positions taken by the Company and to hedge non-base currency investors. c) Open futures contracts A futures contract obligates one party to sell and the other party to purchase a specific instrument for an agreed price at an agreed future date. Certain companies may buy or sell futures to provide an efficient, liquid and effective method for the management of risks by “locking in” gains and/or protecting against future declines in value. The fair value of open future contracts is calculated as the difference between the contracted rate and the current rate that would close out the contract on the Statement of Financial Position date. Gains or losses on futures are included in the financial assets at fair value through profit or loss or financial liabilities at fair value through profit or loss on the Statement of Financial Position and are shown in the Schedules of Investments. When the contract is terminated, the Company will recognise a realised gain or loss in the Statement of Comprehensive Income equal to the difference between the value of the contract at the time it was entered into and the time it was closed. 23


  • Page 25

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 3. Significant accounting policies (continued) d) Options When the Company purchases an option, an amount equal to fair value which is based on the premium paid is recorded as an asset. When the Company writes an option, an amount equal to fair value which is based on the premium received by the Company is recorded as a liability. When options are closed, the difference between the premium and the amount paid or received, net of brokerage commissions, or the full amount of the premium if the option expires worthless, is recognised as a gain or loss and is presented in the Statement of Comprehensive Income within other net changes in fair value of financial assets and liabilities at fair value through profit or loss. e) Interest rate swaps Interest rate swaps outstanding at the end of the year are valued at their fair value at the year end date. The discounted value of each single inflow and outflow of interest and capital is calculated at the year end. The net difference arising on this calculation is included as the fair value of the swap and is recorded as an unrealised gain/(loss) in the financial statements. Cash inflows and outflows relating to interest receipts/payments on swaps, if any, are recorded as swap interest income/expense, respectively and presented within interest income in the Statement of Comprehensive Income. f) Credit default swaps The fair value of credit default swaps is determined by estimating future default probabilities using market standard models. The principal input into the model is the credit curve. Credit spreads are observed directly from broker data or third party vendors. The significant model inputs are observable in the marketplace or set in the contract. Gains or losses on credit default swaps are included in the financial assets at fair value through profit or loss or financial liabilities at fair value through profit or loss on the Statement of Financial Position and are shown in the Schedules of Investments. g) Foreign currency transactions Functional and presentation currency The functional currency of the Company and its Sub-Funds is the U.S. Dollar. Items included in the Company’s financial statements are measured using the currency of the primary economic environment in which it operates. The Company has adopted its functional currency as the presentation currency. Transactions and balances Transactions in currencies other than the functional currency are recorded at the rates of exchange prevailing on the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such transactions and from the translation of financial year end exchange rates of monetary items and non-monetary assets and liabilities that are denominated in foreign currencies are recognised in the Statement of Comprehensive Income in the financial year in which they arise. Foreign exchange gains and losses on financial assets and financial liabilities at fair value through profit or loss are recognised together with other changes in fair value. Net foreign exchange gains/(losses) on non-monetary and monetary financial assets and financial liabilities other than those classified at fair value through profit or loss are included in the line item net gain/(loss) on investments in the Statement of Comprehensive Income. h) Cash and cash equivalents and cash collateral Cash at bank, if any, includes cash in hand held by the Depositary. The Company considers short-term, highly liquid investments with original maturities of 90 days or less when acquired to be cash equivalents. Cash Collateral provided by the Company is identified in the Statement of Financial Position as Cash Collateral and is not included as a component of cash and bank overdraft. For collateral other than cash, if the party to whom the collateral is provided has the right by contract or custom to sell or re-pledge the collateral, the Company classifies that asset in its Statement of Financial Position separately from other assets and identifies the asset as securities pledged as collateral. i) Securities sold receivable and securities purchased payable Securities sold receivable and securities purchased payable represents amounts receivable and payable respectively, for transactions contracted for but for which settlement has not occurred at the end of the financial year. j) Interest income and expense Interest income and expense is recognised in the Statement of Comprehensive Income as it accrues, on an effective interest rate basis. 24


  • Page 26

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 3. Significant accounting policies (continued) k) Dividend income Dividend income from financial assets at fair value through profit or loss is recognised in the Statement of Comprehensive Income within dividends when the Company’s right to receive payments is established. This will generally be the ex- dividend date or, for certain securities, when notified. Dividend income is recognised gross of withholding tax, if any. l) Redeemable participating shares All redeemable participating shares issued by the Company provide the investors with the right to require redemption for cash at the value proportionate to the investor’s share in the Company’s net assets at the redemption date. Such instruments give rise to a financial liability for the present value of the redemption amount. m) Expenses All expenses, including investment management fees, management fees, administration fees and depositary fees, are recognised in the Statement of Comprehensive Income on an accrual basis. n) Distributions Distributions proposed and approved by the Board subsequent to the financial year end are not recognised as a liability at the financial year end date. Distributions are recognised in the financial year that they are declared by the Board and/or paid by the Company. o) Involvement with structured entities The Company has concluded that certain structures in which it invests, but that it does not consolidate, meet the definition of structured entities because the voting rights in the entities are not dominant rights in deciding who controls them because they relate to administrative tasks only, each entity’s activities are restricted by its transaction documents; and the entities have narrow and well-defined objectives to provide investment opportunities to investors. p) New standards, amendments and interpretations issued and effective On 7 June 2017, the International Accounting Standards Board (“IASB”) issued IFRIC Interpretation 23 - Uncertainty over Income Tax Treatments (the “Interpretation”). The Interpretation clarifies application of recognition and measurement requirements in IAS 12 Income Taxes when there is uncertainty over income tax treatments. The Interpretation is effective for annual reporting periods beginning on or after 1 January 2019, but certain transition reliefs are available. This new standard did not have a significant impact on the financial statements of the Company or performance. There are no other new standards, amendments to standards and interpretations issued and effective for annual periods beginning after 1 January 2019 that had a material effect on the financial statements of the Company. q) New standards, amendments and interpretations issued but not effective and not early adopted On 26 September 2019, the IASB issued 'Interest Rate Benchmark Reform (Amendments to IFRS 9, IAS 39 and IFRS 7)' as a first reaction to the potential effects the IBOR reform could have on financial reporting. The amendments are effective annual reporting periods beginning on or after 1 January 2020. This new standard is not expected to have a significant impact on the financial statements of the Company or performance. There are no other standards, interpretations or amendments to existing standards that are not yet effective that would be expected to have a significant impact on the Company. 4. Efficient portfolio management The Sub-Funds may employ investment techniques and instruments for efficient portfolio management (“EPM”) purposes and/or for short-term investment purposes under the conditions and limits set out by the Central Bank under the UCITS Regulations and in the Prospectus. These techniques and instruments may include investment in financial derivative instruments. The Sub-Funds may enter into swap agreements, futures contracts, forwards contracts, options, and contracts for difference, repurchase and reverse repurchase agreements and securities lending agreements for EPM purposes, hedging purposes, to reduce portfolio risk or to obtain in a more efficient way exposure that would otherwise be obtained by direct investment in securities in accordance with the investment objectives. The commitment approach is used to calculate global exposure for all Sub-Funds. 25


  • Page 27

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 4. Efficient portfolio management (continued) The gains and losses associated with the financial derivative instruments are included within net gain/(loss) from investments at FVTPL, while the gains and losses associated with the reverse repurchase agreements are included within interest expense from financial liabilities at FVTPL in the Statement of Comprehensive Income. 31 December 2019 31 December 2018 USD ‘000 USD ‘000 GFI GHY GFI GHY Fund Fund Fund Fund Net gain/(loss) on forward currency contracts 1,036 – (268) – Net loss on open futures contracts (311) – (140) – Net loss on options (832) – (1,000) – Net loss on interest rate swaps (623) – (4,922) – Net (loss)/gain on credit default swaps (1,895) – 491 – Net gain on reverse repurchase agreements 70 – 152 – Details regarding the exposure obtained through financial derivative instruments and reverse repurchase agreements, and relevant counterparties, are disclosed in the Schedule of Investments on pages 42 to 45. As at 31 December 2019 and 31 December 2018, the Company received/pledged the following collateral to reduce counterparty exposure: Collateral Pledged Sub-Fund 31 December 2019 Nominal value Collateral Description USD '000 Cash pledged as collateral GFI Fund 3,562 Collateral Pledged Sub-Fund 31 December 2018 Nominal value Collateral Description USD '000 Cash pledged as collateral GFI Fund 8,547 5. Financial instruments and associated risks In pursuing its investment objective, the Company is exposed to a variety of financial risks: market risk (including price risk, currency risk, and interest rate risk), credit risk and liquidity risk that could result in a reduction in the Company’s net assets. The Company’s overall risk management programme focuses on the unpredictability of financial markets and seeks to minimise potential adverse effects on the Sub-Funds’ financial performance. The risks, and the Directors’ approach to the management of those risks, are as follows: Price risk Price risk is the risk that the future fair value or future cash flows of a financial instrument will fluctuate because of changes in market prices. All security investments present a risk of loss of capital. The Investment Manager moderates this risk through a careful selection of securities within specified limits. The Board manages the price risks inherent in the investment portfolios by ensuring full and timely access to relevant information from the Investment Manager. The Board meets regularly and at each meeting reviews investment performance and overall market positions, monitors the Investment Manager’s compliance with the Company’s objectives and is responsible for investment strategy. There were no material changes to the Company’s policies and processes for managing price risk and the methods used to measure risk during the financial year. Currency risk Currency risk is the risk that the future fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign exchange rates. Certain assets, liabilities, income and expenses of the Sub-Funds are denominated in currencies other than the functional currency of the Sub-Fund. Therefore, they are exposed to currency risk as their value will fluctuate due to changes in foreign exchange rates. Currency risk is reviewed and managed on a daily basis by the Investment Manager, while the overall currency positions and exposures are monitored on a monthly basis by the Board. 26


  • Page 28

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 5. Financial instruments and associated risks (continued) Currency risk (continued) The primary purpose of the Company’s foreign currency hedging activities is to protect against the volatility associated with classes of shares and other assets and liabilities denominated in foreign currencies created in the normal course of business. The below table details the Company’s exposure to currency risks: GFI Fund (USD‘000) Other Non Other Non EUR EUR GBP GBP JPY JPY Base Base 31 Dec 2019 31 Dec 2018 31 Dec 2019 31 Dec 2018 31 Dec 2019 31 Dec 2018 31 Dec 2019 31 Dec 2018 Cash and cash equivalents 8 1 1 1 – – 1 5 Financial assets at FVTPL 12,245 25,899 – 7,536 40,627 – 3,135 15,356 Other financial assets (7,653) (14,180) 10,178 (1,268) 2,601 43,989 (3,138) (15,414) Total financial assets 4,600 11,720 10,179 6,269 43,228 43,989 (2) (53) Financial liabilities – – – – – – – – Net exposure 4,600 11,720 10,179 6,269 43,228 43,989 (2) (53) Effect of 10% increase (460) (1,172) (1,018) (627) (4,323) (4,399) – 5 Effect of 10% decrease 460 1,172 1,018 627 4,323 4,399 – (5) GHY Fund held no non-base currency assets at 31 December 2019 (31 December 2018: Cash and cash equivalents: USD ‘000 2). See note 13 for further details. Interest rate risk As the Company invests in fixed income securities, any change to the relevant interest rates for particular securities may result in the Investment Manager being unable to secure similar returns on the expiry of contracts or the sale of securities. In addition, changes to prevailing interest rates or changes in expectations of future rates may result in an increase or decrease in the value of the securities held. Interest rate risk is managed by the Investment Manager through the use of duration. Duration is the magnitude of the change in the price of an investment relative to a given change in market interest rates. Duration is a measure of the expected life of a debt obligation on a present value basis. Duration takes the length of the time intervals between the present time and the time that the interest and principal payments are scheduled or, in the case of a callable bond, the time the principal payments are expected to be received, and weights them by the present values of the cash to be received at each future point in time. As at 31 December 2019, the effective duration of the GFI Fund was 4.8 years (31 December 2018: 4.0 years). GHY Fund held no investments as at 31 December 2019, therefore the effective duration is not applicable (31 December 2018: 4.0 years). An increase/(decrease) of 0.5% in interest rates as at the financial year end date would have decreased/(increased) the net assets by the following amounts: 31-Dec-19 31-Dec-18 GFI Fund (USD '000) 12,783 10,945 GHY Fund (USD '000) N/A 5,681 27


  • Page 29

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 5. Financial instruments and associated risks (continued) Interest rate risk (continued) The below table details the Sub-Funds’ exposure to interest rate risk: 31 December 2019 31 December 2018 GFI Fund (USD‘000) Floating Fixed No Floating Fixed No rate rate interest Total rate rate interest Total Financial assets USD USD USD USD USD USD USD USD Cash and cash equivalents 4,246 – – 4,246 17,917 – – 17,917 Cash pledged as collateral – – 3,562 3,562 – – 8,547 8,547 Financial assets at FVTPL 145,237 373,716 1,274 520,227 161,826 364,421 2,079 528,326 Reverse repurchase agreements – 6,880 – 6,880 – 1,250 – 1,250 Securities sold receivable – – 218 218 – – 32 32 Capital shares receivable – – 600 600 – – 176 176 Other financial assets – – 2,073 2,073 – – 1,568 1,568 Total financial assets 149,483 380,596 7,727 537,806 179,743 365,671 12,402 557,816 Financial liabilities Financial liabilities at FVTPL – (3,394) (296) (3,690) – (5,562) (486) (6,048) Securities purchased payable – – (2) (2) – – – – Capital shares payable – – (746) (746) – – (3,443) (3,443) Other financial liabilities – – (748) (748) – – (1,095) (1,095) Net assets – – (532,620) (532,620) – – (547,230) (547,230) Total financial liabilities – (3,394) (534,412) (537,806) – (5,562) (552,254) (557,816) Interest sensitivity gap 149,483 377,202 179,743 360,109 31 December 2019 31 December 2018 GHY Fund* (USD‘000) Floating Fixed No Floating Fixed No rate rate interest Total rate rate interest Total Financial assets USD USD USD USD USD USD USD USD Cash and cash equivalents 105 – – 105 4,393 – – 4,393 Financial assets at FVTPL – – – – 5,878 268,332 1,290 275,500 Securities sold receivable – – – – – – 19 19 Other financial assets – – – – – – 4,473 4,473 Total financial assets 105 – – 105 10,271 268,332 5,782 284,385 Financial liabilities Other financial liabilities – – (105) (105) – – (322) (322) Net assets – – – – – – (284,063) (284,063) Total financial liabilities – – (105) (105) – – (284,385) (284,385) Interest sensitivity gap 105 – 10,271 268,332 *GHY Fund held no Net Assets at 31 December 2019. See note 13 for further details. Credit risk Credit risk is the risk that an issuer or counterparty will be unable to meet a commitment that it has entered into with the Sub-Fund. It is the Company’s policy to enter into financial instruments with a diversity of creditworthy counterparties. The Company does not expect to incur material credit losses on its financial instruments. The carrying value of the Company’s financial assets, as indicated in the Statement of Financial Position represents the maximum exposure to credit risk. 28


  • Page 30

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 5. Financial instruments and associated risks (continued) Credit risk (continued) The Investment Manager reviews the credit concentration of debt securities held based on counterparties and countries. No individual investment exceeded 5% (excluding U.S. Government/Agency securities) of the net assets at 31 December 2019 (31 December 2018: Nil). At 31 December 2019, the Company invested in asset-back securities, commercial paper, corporate bonds, government bonds, mortgage-related securities, preferred stock and terms loans with the following concentrations by rating agencies Standard and Poor’s, Moodys, Fitch, KBRA, Realpoint and DBRS and by country: Portfolio by rating category GFI Fund GHY Fund* Rating 31-Dec-19 31-Dec-18 31-Dec-19 31-Dec-18 A and above 76% 86% - 0% B and above 14% 5% - 94% C and above 2% 7% - 4% D and above 0% - - - Non-rated 8% 2% - 2% Total 100% 100% - 100% *GHY Fund held no Net Assets at 31 December 2019. See note 13 for further details. Portfolio by country exposure GFI Fund GHY Fund* Country 31-Dec-19 31-Dec-18 31-Dec-19 31-Dec-18 United States 75% 73% - 78% Cayman Islands 10% 16% - 1% Canada - 1% - 8% Japan 8% - - - Other – individually less than 5% of total debt securities 7% 10% - 13% Total 100% 100% - 100% *GHY Fund held no Net Assets at 31 December 2019. See note 13 for further details. The counterparty for interest rate swaps and options is Bank of America Merrill Lynch. The counterparties for credit default swaps are Bank of America Merrill Lynch, Goldman Sachs and Morgan Stanley. The counterparties for forward currency contracts are Bank of America Merrill Lynch, Barclays, Citi Bank, Goldman Sachs, J.P. Morgan and Morgan Stanley. All other financial assets (including cash balances) are held with Bank of New York Mellon SA/NV. The counterparty credit ratings were as follows: Counterparty 31-Dec-19 31-Dec-18 Bank of America Merrill Lynch A+ A+ Barclays A A Citi Bank A+ - Goldman Sachs BBB+ BBB+ J.P. Morgan A- AAA Morgan Stanley BBB+ BBB+ In order to mitigate its counterparty risk, the Company has entered into an International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreement with Bank of America Merrill Lynch. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty. At 31 December 2019, the Company offset financial assets and liabilities in the Statement of Financial Position as set out in the table overleaf. 29


  • Page 31

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 5. Financial instruments and associated risks (continued) Credit risk (continued) Related amounts not 31 December 2019 offset GFI Fund (USD '000) Gross Net Gross amounts amount Financial Cash Net amounts offset reported instruments Collateral amount Financial assets Forward currency contracts 1,274 – 1,274 – (770) 504 Interest rate swaps 5 – 5 – – 5 1,279 – 1,279 – (770) 509 Financial liabilities Credit Default Swaps (2,766) – (2,766) – 2,329 (437) Forward currency contracts (296) – (296) – – (296) Interest rate swaps (628) – (628) – 539 (89) (3,690) – (3,690) – 2,868 (822) Related amounts not 31 December 2018 offset GFI Fund (USD '000) Gross Net Gross amounts amount Financial Cash Net amounts offset reported instruments Collateral amount Financial assets Forward currency contracts 1,465 – 1,465 – (570) 895 1,465 – 1,465 – (570) 895 Financial liabilities Credit Default Swaps (608) – (608) – 514 (94) Forward currency contracts (346) – (346) – – (346) Interest rate swaps (4,954) – (4,954) – 4,754 (200) Open Futures Contracts (140) – (140) – 25 (115) (6,048) – (6,048) – 5,293 (755) Investment Manager monitors each Sub-Fund’s liquidity position on a daily basis. GHY Fund As at 31 December 2019 and 31 December 2018 GHY Fund did not hold any open derivative positions. Liquidity risk Liquidity risk is the risk that the Company will not be able to meet its financial obligations as they fall due. Each Sub-Fund is exposed to the liquidity risk of meeting shareholder redemption requests at any time. Some of the markets, exchanges or securities in which a Sub-Fund may invest may be illiquid and prices may be volatile from time to time. This can affect the ability of the Sub-Fund to liquidate positions to meet redemption requests or other funding requirements. The Investment Manager monitors each Sub-Fund’s liquidity position on a daily basis. The following tables present the remaining contractual maturity of each Sub-Fund’s financial liabilities. The amounts in the table below and overleaf are the contractual undiscounted cash flows. GFI Fund (USD‘000) 31 December 2019 31 December 2018 Under 1 1 to 3 Over 3 Total Under 1 1 to 3 Over 3 Total Residual contractual maturities month months months outflow month months months outflow Financial liabilities at FVTPL (252) – (3,438) (3,690) (198) (276) (5,574) (6,048) Securities purchased payable – – (2) (2) – – – – Accruals and other payables (177) (1,317) – (1,494) (62) (4,476) – (4,538) Net assets (532,620) – – (532,620) (547,230) – – (547,230) Total financial liabilities (533,049) (1,317) (3,440) (537,806) (547,490) (4,752) (5,574) (557,816) 30


  • Page 32

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 5. Financial instruments and associated risks (continued) Liquidity risk (continued) GHY Fund* (USD‘000) 31 December 2019 31 December 2018 Under 1 1 to 3 Over 3 Total Under 1 1 to 3 Over 3 Total Residual contractual maturities month months months outflow month months months outflow Accruals and other payables (73) (32) – (105) (48) (274) – (322) Net assets – – – – (284,063) – – (284,063) Total financial liabilities (73) (32) – (105) (284,111) (274) – (284,385) *GHY Fund held no Net Assets at 31 December 2019. See note 13 for further details. The Company had the following unfunded loan commitments at financial year end: 31 Dec 19 31 Dec 18 GFI Fund (USD’000) 59 136 GHY Fund (USD’000) – – Fair value hierarchy The following tables presents the Company’s financial assets and financial liabilities measured at fair value under the fair value hierarchy. All amounts represent the valuation of securities as presented in the Schedule of Investments on pages 42 to 45. 31 December 2019 31 December 2018 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total GFI Fund (USD‘000) Financial Assets Asset-Backed Securities – 130,225 – 130,225 – 165,340 4 165,344 Commercial Paper – – – – – 4,995 – 4,995 Corporate Bonds – 71,488 361 71,849 – 18,431 – 18,431 Forward Currency Contracts – 1,274 – 1,274 – 1,465 – 1,465 Government Bonds 11,392 133,381 – 144,773 25,518 154,493 – 180,011 Interest Rate Swaps – 5 – 5 – – – – Mortgage-Related Securities – 146,656 3,650 150,306 – 128,811 – 128,811 Options 766 – – 766 4 – – 4 Preferred Stock – – – – 610 – – 610 Term Loans – 14,536 6,493 21,029 – 28,185 470 28,655 Total financial assets at FVTPL 12,158 497,565 10,504 520,227 26,132 501,720 474 528,326 Financial Liabilities Credit Default Swaps – (2,766) – (2,766) – (608) – (608) Forward Currency Contracts – (296) – (296) – (346) – (346) Interest Rate Swaps – (628) – (628) – (4,954) – (4,954) Open Futures Contracts – – – – (140) – – (140) Total financial liabilities at FVTPL – (3,690) – (3,690) (140) (5,908) – (6,048) 31 December 2019 31 December 2018 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total GHY Fund* (USD‘000) Financial Assets Common Stock – – – – 613 – 141 754 Corporate Bonds – – – – – 273,023 582 273,605 Preferred Stock – – – – 536 – – 536 Term Loans – – – – – – 605 605 Total financial assets at FVTPL – – – – 1,149 273,023 1,328 275,500 *GHY Fund held no Net Assets at 31December 2019. See note 13 for further details. 31


  • Page 33

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 5. Financial instruments and associated risks (continued) Fair value hierarchy (continued) Level 3 valuations are reviewed regularly by a committee of the Investment Manager, which reports quarterly to the Manager. The committee considers the appropriateness of the valuation model inputs and valuation outputs using recognised industry techniques. The Investment Manager is satisfied that this reflects the best estimation of the asset at the valuation date. Transfers between levels of the fair value hierarchy are deemed to have occurred at the beginning of the financial year. Transfers of instruments from Level 2 to Level 3 during the financial year occurred as there was insufficient information available to measure their fair values based on observable market inputs. Transfers from Level 3 to Level 2 and from Level 2 to Level 1 during the financial year occurred as there was sufficient observable input information available to measure their fair values based on observable market inputs. There were no transfers between Level 1 and Level 3. The following table shows a reconciliation of movements in the fair value of financial investments categorised within Level 3 between the beginning and the end of the financial years ended 31 December 2019 and 31 December 2018: GFI Fund GHY Fund* 31 Dec 2019 31 Dec 2018 31 Dec 2019 31 Dec 2018 USD '000 USD '000 USD '000 USD '000 Opening balance 474 39,831 1,328 372 Purchases 5,837 (22,146) - 1,513 Sales (510) (10,741) (851) (8) Transfers into Level 3 4,688 2,029 - – Transfers out of Level 3 - (8,249) - – Net gain/(loss) recognised in investment income 15 (250) (477) (549) Closing Balance 10,504 474 - 1,328 Change in unrealised gain/(loss) 1,049 (198) 451 (549) *GHY Fund held no Net Assets at 31 December 2019. See note 13 for further details. Significant unobservable inputs used for Level 3 investments include single broker quotes, or yield, discount rate or EBITDA multiple where modelled positions are used as the valuation technique. Where modelled positions are used, the estimated fair value would increase if the EBITDA / revenue / leverage multiples were higher. Where single vendor prices are used, there are no further significant unobservable inputs available. For the financial years ended 31 December 2019 and 31 December 2018, cash and cash equivalents and cash collateral were classified within Level 1 of the fair value hierarchy. Other financial assets and financial liabilities, whose carrying value approximate to fair value, were classified within Level 2 of the fair value hierarchy. 6. Subscriber and redeemable participating shares The following table represents the movement in the number of redeemable participating shares. Class A Class A Class I Class I Class W Class W Class W JPY USD USD USD EUR EUR GBP GFI Fund Distributing Accumulating Accumulating Distributing Accumulating Distributing Accumulating 1 January 2019 50,000 260,633 25 25 35,045 100 11,509 Shares issued – – 354,471 6,734 – – – Shares redeemed – – (11,593) (6,734) (15,793) – – 31 December 2019 50,000 260,633 342,903 25 19,252 100 11,509 Class W Class W Class W Class Z Class Z Class Z Class Z GBP USD USD EUR EUR GBP GBP GFI Fund Distributing Accumulating Distributing Accumulating Distributing Accumulating Distributing 1 January 2019 100 2,287,034 87,727 37,935 100 22,504 4,191 Shares issued – 276,976 13,625 1,175 – 36,719 56,578 Shares redeemed – (467,134) (11,818) (27,740) – (50,321) (10,290) 31 December 2019 100 2,096,876 89,534 11,370 100 8,902 50,479 32


  • Page 34

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 6. Subscriber and redeemable participating shares (continued) Class Z USD Class Z USD GFI Fund Accumulating Distributing 1 January 2019 1,248,232 20,422 Shares issued 231,794 – Shares redeemed (557,673) – 31 December 2019 922,353 20,422 Class A Class A Class I Class I Class W Class W Class W Class W JPY USD USD USD EUR EUR GBP GBP GFI Fund Distributing Accumulating Accumulating Distributing Accumulating Distributing Accumulating Distributing 1 January 2018 50,000 442,483 – – 42,124 100 10,748 100 Shares issued – – 25 25 2,261 – 761 – Shares redeemed – (181,850) – – (9,340) – – – 31 December 2018 50,000 260,633 25 25 35,045 100 11,509 100 Class W Class W Class Z Class Z Class Z Class Z Class Z Class Z USD USD EUR EUR GBP GBP USD USD GFI Fund Accumulating Distributing Accumulating Distributing Accumulating Distributing Accumulating Distributing 1 January 2018 2,738,890 100 50,017 100 21,018 100 1,029,856 100 Shares issued 299,842 93,672 8,769 1,527 3,970 4,091 450,716 21,331 Shares redeemed (751,698) (6,045) (20,851) (1,527) (2,484) – (232,340) (1,009) 31 December 2018 2,287,034 87,727 37,935 100 22,504 4,191 1,248,232 20,422 Class A Class I Class I Class W Class W Class Z Class Z USD USD USD USD USD USD USD GHY Fund* Accumulating Accumulating Distributing Accumulating Distributing Accumulating Distributing 1 January 2019 1,976,203 25 25 25 25 25 25 Shares issued – – – – – – – Shares redeemed (1,976,203) (25) (25) (25) (25) (25) (25) 31 December 2019 – – – – – – – Class A Class A Class I Class I Class W Class W Class Z Class Z USD USD II USD USD USD USD USD USD GHY Fund* Accumulating Accumulating Accumulating Distributing Accumulating Distributing Accumulating Distributing 1 January 2018 3,527,559 1,204,374 – – – – – – Shares issued – 213,041 25 25 25 25 25 25 Shares redeemed (1,551,356) (1,417,415) – – – – – – 31 December 2018 1,976,203 – 25 25 25 25 25 25 *GHY Fund held no Net Assets at 31 December 2019. See note 13 for further details. 33


  • Page 35

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 6. Subscriber and redeemable participating shares (continued) The following tables summarise the Net Asset Value (“NAV”) and the NAV per Share of the Company: GFI Fund Currency 31 Dec 2019 31 Dec 2018 31 Dec 2017 NAV USD 532,620,039 547,230,462 591,549,139 NAV per share - Class A JPY Distributing JPY 95,307.39 96,427.86 100,080.93 - Class A USD Accumulating USD 152.55 145.97 144.20 - Class I USD Accumulating USD 105.31 101.07 – - Class I USD Distributing USD 102.92 101.07 – - Class W EUR Accumulating EUR 139.99 139.02 142.22 - Class W EUR Distributing EUR 94.43 95.67 100.18 - Class W GBP Accumulating GBP 133.54 130.90 132.38 - Class W GBP Distributing GBP 97.08 97.09 100.50 - Class W USD Accumulating USD 127.03 122.47 121.87 - Class W USD Distributing USD 100.80 99.12 100.96 - Class Z EUR Accumulating EUR 143.94 142.38 145.00 - Class Z EUR Distributing EUR 94.14 95.39 100.29 - Class Z GBP Accumulating GBP 137.17 133.93 134.83 - Class Z GBP Distributing GBP 97.21 97.21 100.61 - Class Z USD Accumulating USD 130.53 125.27 124.10 - Class Z USD Distributing USD 100.92 99.24 101.07 GHY Fund* Currency 31 Dec 2019 31 Dec 2018 31 Dec 2017 NAV USD – 284,063,148 665,358,500 NAV per share - Class A USD Accumulating USD – 143.73 148.79 - Class A USD II Accumulating USD – – 116.66 - Class I USD Accumulating USD – 96.98 – - Class I USD Distributing USD – 96.98 – - Class W USD Accumulating USD – 96.89 – - Class W USD Distributing USD – 96.89 – - Class Z USD Accumulating USD – 96.98 – - Class Z USD Distributing USD – 96.98 – *GHY Fund held no Net Assets at 31 December 2019. See note 13 for further details. Authorised The authorised share capital of the Company is 500 billion shares of no par value to be issued at the Net Asset Value (“NAV”) per Share on such terms as the Directors may think fit. As at 31 December 2019, the Directors have authorised and issued Subscriber Shares to the value of €2. Subscriber Shares do not participate in the dividends or assets of any company. Participating shares may be redeemed at the shareholder’s option on each dealing date or such other dates as the Board shall from time to time determine at the net asset value per share calculated on or with respect to the relevant Valuation Point (as defined in the Supplement for the relevant Sub-Fund). The Shareholder must request such redemption prior to the Trade Cut-Off Time (as defined in the Supplement for the relevant Sub-Fund). The Company may in exceptional circumstance, decide to accept an application received by the Administrator after the Trade Cut-Off Time but before the Valuation Point. The Directors reserve the right to increase or decrease the frequency of dividend payments, if any, at their discretion for the Distributing Share Classes. In the event of a change of policy full details will be disclosed in an updated Supplement and Shareholders will be notified in advance. Each of the redeemable participating shares entitles the shareholder to participate equally on a pro-rata basis in the distributions and net assets of the Company attributable to the relevant class in respect of which they are issued. Each of the shares entitles the holder to attend and vote at meetings of the Company. No class of share confers on the holder any preferential or pre-emptive rights to participate in the profits and distributions of any other class of shares or any voting rights in relation to matters relating solely to any other class of shares. 34


  • Page 36

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 6. Subscriber and redeemable participating shares (continued) There was a USD ‘000 1,369 distribution declared on GFI Fund by the Board and paid during the financial year ended 31 December 2019 (31 December 2018: USD ‘000 1,060). There were no distributions declared on GHY Fund by the Board during the financial year ended 31 December 2019 (31 December 2018: USD ‘000 Nil). The following distributions were approved by the Directors during the financial year. Ex-Date of 1 October 2019, Pay Date of 15 October 2019: Shares in GFI Fund issue Currency Rate per Share Distribution Share Class - Class A JPY Distributing 50,000 JPY 540.7345 27,036,724 - Class I USD Distributing 3,878 USD 0.5580 2,164 - Class W EUR Distributing 100 EUR 0.4198 42 - Class W GBP Distributing 100 GBP 0.4249 42 - Class W USD Distributing 101,335 USD 0.4327 43,852 - Class Z EUR Distributing 100 EUR 0.5316 53 - Class Z GBP Distributing 55,243 GBP 0.5395 29,801 - Class Z USD Distributing 20,422 USD 0.5508 11,249 Ex-Date of 1 July 2019, Pay Date of 15 July 2019: Shares in GFI Fund issue Currency Rate per Share Distribution Share Class - Class A JPY Distributing 50,000 JPY 584.6303 29,231,514 - Class I USD Distributing 25 USD 0.6104 15 - Class W EUR Distributing 100 EUR 0.4680 47 - Class W GBP Distributing 100 GBP 0.4888 49 - Class W USD Distributing 99,591 USD 0.4929 49,091 - Class Z EUR Distributing 100 EUR 0.5712 57 - Class Z GBP Distributing 4,191 GBP 0.5990 2,510 - Class Z USD Distributing 20,422 USD 0.6053 12,362 Ex-Date of 1 April 2019, Pay Date of 12 April 2019: Shares in GFI Fund issue Currency Rate per Share Distribution Share Class - Class A JPY Distributing 50,000 JPY 579.9277 28,996,386 - Class I USD Distributing 25 USD 0.6068 15 - Class W EUR Distributing 100 EUR 0.4627 46 - Class W GBP Distributing 100 GBP 0.4586 46 - Class W USD Distributing 95,544 USD 0.4732 45,213 - Class Z EUR Distributing 100 EUR 0.5650 57 - Class Z GBP Distributing 4,191 GBP 0.5618 2,355 - Class Z USD Distributing 20,422 USD 0.5807 11,858 35


  • Page 37

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 6. Subscriber and redeemable participating shares (continued) Ex-Date of 2 January 2019, Pay Date of 15 January 2019: Shares in GFI Fund issue Currency Rate per Share Distribution Share Class - Class A JPY Distributing 50,000 JPY 653.4972 32,674,858 - Class I USD Distributing 25 USD 0.5868 15 - Class W EUR Distributing 100 EUR 0.5716 57 - Class W GBP Distributing 100 GBP 0.5905 59 - Class W USD Distributing 87,727 USD 0.5876 51,544 - Class Z EUR Distributing 100 EUR 0.6835 68 - Class Z GBP Distributing 4,191 GBP 0.7039 2,950 - Class Z USD Distributing 20,422 USD 0.7018 14,331 Shares in GHY Fund issue Currency Rate per Share Distribution - Class I USD Distributing 25 USD 1.0708 27 - Class W USD Distributing 25 USD 0.9788 24 - Class Z USD Distributing 25 USD 1.0708 27 7. Taxation The Company qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act, 1997. Therefore, the Company is not generally chargeable to Irish tax on its income or gains. However, Irish tax may arise on the happening of a “chargeable event”. A chargeable event includes any distribution payments to shareholders or any encashment, redemption, cancellation or transfer of shares, or the holding of shares at the end of each eight year financial year beginning with the acquisition of such shares. No Irish tax will arise on the Company in respect of chargeable events in respect of a shareholder who is neither Irish resident nor ordinarily resident in Ireland for tax purposes, at the time of the chargeable event, provided appropriate valid declarations in accordance with the provisions of the Taxes Consolidation Act, 1997, as amended, are held by the Company, or the Company has been authorised by the Irish Revenue Commissioners to make gross payments in the absence of appropriate declarations; and certain exempted Irish tax resident shareholders who have provided the Company with the necessary signed statutory declarations. Dividends, interest and capital gains (if any) received on investments made by the Company may be subject to taxes imposed by the country from which the investments income/gains are received, and such taxes may not be recoverable by the Company and its shareholders. In some jurisdictions investment income is subject to withholding tax deducted at the source of the income. Withholding tax is a generic term used for the amount of withholding tax deducted at the source of the income and is not significant for the Sub-Funds. Withholding tax is presented separately from the gross investment income in the Statement of Comprehensive Income. 8. Related and Connected Persons and Significant Contracts Manager and significant contracts As at 31 December 2019 and 31 December 2018, the Investment Manager holds management shares/seed holding in the following share classes: 36


  • Page 38

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 8. Related and Connected Persons and Significant Contracts (continued) Manager and significant contracts (continued) GFI Fund Shares held Shares held Share Class 31 December 2019 31 December 2018 - Class I USD Accumulating 25 25 - Class I USD Distributing 25 25 - Class W EUR Accumulating 100 100 - Class W EUR Distributing 100 100 - Class W GBP Accumulating 100 100 - Class W GBP Distributing 100 100 - Class W USD Accumulating 100 100 - Class W USD Distributing 100 100 - Class Z EUR Accumulating 100 100 - Class Z EUR Distributing 100 100 - Class Z GBP Accumulating 100 100 - Class Z GBP Distributing 100 100 - Class Z USD Accumulating 100 100 - Class Z USD Distributing 100 100 GHY Fund* Shares held Shares held Share Class 31 December 2019 31 December 2018 - Class I USD Accumulating – 25 - Class I USD Distributing – 25 - Class W USD Accumulating – 25 - Class W USD Distributing – 25 - Class Z USD Accumulating – 25 - Class Z USD Distributing – 25 *GHY Fund held no Net Assets at 31 December 2019. See note 13 for further details. The Manager and Investment Manager do not hold shares/seed holding in the share classes of GFI Fund Class A USD Accumulating and Class A JPY Distributing shares and GHY Fund Class A USD Accumulating. In accordance with the fee arrangements outlined in the Company’s Prospectus, the following amounts were charged to the Company during the financial year: Charge/(credit) for Charge/(credit) for Payable/(receivable) Payable/(receivable) the financial year ended the financial year ended as at as at 31 Dec 2019 31 Dec 2018 31 Dec 2019 31 Dec 2018 USD ‘000 USD ‘000 USD ‘000 USD ‘000 Manager fee 4,025 – 546 – Investment Manager fee 1,473 7,654 – 1,084 Manager waiver (349) – (44) – Investment Manager waiver (105) (844) – (189) Administrator fee 235 417 48 52 Depositary fee 108 325 63 95 Effective until the appointment of the Manager on 1 April 2019, the Investment Manager was entitled to receive the following investment management fees: The Investment Manager was entitled to receive, out of the assets of the GFI Fund, an investment management fee accrued at each Dealing Day and payable monthly in arrears, of up to (i) 1.5 per cent per annum of the Net Asset Value of the GFI Fund in respect of Class A Shares; (ii) 0.65 per cent per annum of the Net Asset Value of the GFI Fund in respect of Class I Shares; (iii) 1.1 per cent per annum of the Net Asset Value of the GFI Fund in respect of Class W Shares; and (iv) 0.65 per cent per annum of the Net Asset Value of the GFI Fund in respect of Class Z Shares. 37


  • Page 39

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 8. Related and Connected Persons and Significant Contracts (continued) Manager and significant contracts (continued) The Investment Manager was entitled to receive, out of the assets of the GHY Fund (save for Class A US$ II Shares), an investment management fee accrued at each Dealing Day and payable monthly in arrears, of up to 1.5 per cent per annum of the Net Asset Value of the GHY Fund in respect of Class A II Shares; (iii) 1.2 per cent per annum of the Net Asset Value of the GHY Fund in respect of Class W Shares; and (iv) 0.7 per cent per annum of the Net Asset Value of the GHY Fund in respect of Class Z Shares. The Investment Manager entered into an expense waiver agreement with the seed investor of GFI Fund. There is currently no such agreement on GHY Fund. The Investment Manager was entitled to reimbursement of all reasonable expenses incurred. Effective from the appointment of the Manager on 1 April 2019, the Manager was entitled to receive the following management fees: The Manager shall be entitled to receive, out of the assets of the GFI Fund, a management fee accrued at each Dealing Day and payable monthly in arrears, of up to (i) 1.5 per cent per annum of the Net Asset Value of the GFI Fund in respect of Class A Shares; (ii) 0.65 per cent per annum of the Net Asset Value of the GFI Fund in respect of Class I Shares; (iii) 1.1 per cent per annum of the Net Asset Value of the GFI Fund in respect of Class W Shares; and (iv) 0.65 per cent per annum of the Net Asset Value of the GFI Fund in respect of Class Z Shares. The Manager shall be entitled to receive, out of the assets of the GHY Fund (save for Class A US$ II Shares), a management fee accrued at each Dealing Day and payable monthly in arrears, of up to 1.5 per cent per annum of the Net Asset Value of the GHY Fund in respect of Class A II Shares; (iii) 1.2 per cent per annum of the Net Asset Value of the GHY Fund in respect of Class W Shares; and (iv) 0.7 per cent per annum of the Net Asset Value of the GHY Fund in respect of Class Z Shares. The Manager entered into an expense waiver agreement with the seed investor of GFI Fund. There is currently no such agreement on GHY Fund. The Depositary is entitled to receive transaction charges and all sub-custodian charges are recovered by the Depositary from the Company as they are incurred by the relevant sub-custodians. All such charges are at normal commercial rates. Each of the Manager, the Administrator and the Depositary are entitled to reimbursement of all reasonable expenses incurred. The Administrator shall be entitled to receive, out of the assets of each Sub-Fund, an administration fee accrued at each Dealing Day and payable monthly in arrears, of up to 0.05 per cent per annum of the Net Asset Value of each Sub-Fund subject to a minimum fee of $50,000 per annum. The Administrator is also entitled to reimbursement of all reasonable out- of-pocket expenses incurred for the benefit of the Company. The Depositary shall be entitled to receive, out of the assets of each Sub-Fund, a fee accrued daily and payable monthly in arrears, of up to 0.023 per cent per annum of the Net Asset Value of each Sub-Fund. The Company has negotiated a tiered fee arrangement so that the actual fees charged reduce as the net asset value of the relevant Sub-Fund increases. The Depositary fees are subject to certain minimum amounts where the assets of a Sub-Fund are relatively small. The Depositary is entitled to receive transaction charges and all sub-custodian charges will be recovered by the Depositary from the Company as they are incurred by the relevant sub-custodians. All such charges shall be at normal commercial rates. The Depositary is also entitled to reimbursement of all reasonable out-of-pocket fees, charges and expenses incurred for the benefit of the Company. The Company had no employees for the financial year ended 31 December 2019 (31 December 2018: None). 38


  • Page 40

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 8. Related and Connected Persons and Significant Contracts (continued) Affiliates The Company and the Manager consider affiliated funds and entities associated with the Manager to be affiliates. The Company entered into related party transactions with structures managed by the Manager and its affiliates during the financial year which amounted to net sales of USD‘000 92,391 (31 December 2018: sales USD‘000 68,697) during the financial year of which USD‘000 Nil (31 December 2018: USD‘000 Nil) remained unpaid at year end. Such transactions were carried out on an arm’s length basis. Directors’ fees and interests The Directors are entitled to a fee by way of remuneration for their services at a rate to be determined from time to time by the Directors. The Directors are entitled to be reimbursed by the Company for all reasonable disbursements and out-of- pocket expenses incurred by them, if any. Directors fees charged for the financial year ended 31 December 2019 amounted to USD‘000 79 (31 December 2018: USD‘000 66) of which USD‘000 1 (31 December 2018: USD‘000 Nil) remained unpaid at that date. Employees, partners and officers of the Manager and its affiliates who act as director are not entitled to receive a director’s fee. Farhan Sharaff, Adrian Duffy and Julio Quintero are employees of the Manager or its affiliates. At 31 December 2019, the Directors had no interest in the shares of the Company (31 December 2018: None). Regulation 43 of the Central Bank UCITS Regulations “Restrictions of transactions with connected persons” states that “A responsible person shall ensure that any transaction between a UCITS and a connected person is conducted a) at arm’s length; and b) in the best interest of the unitholders of the UCITS”. As required under Central Bank UCITS Regulation 81(4), the Directors, as responsible persons are satisfied that there are in place arrangements, evidenced by written procedures, to ensure that the obligations that are prescribed by Regulation 43(1) are applied to all transactions with a connected person and all transactions with a connected person that were entered into during the period to which the report relates complied with the obligations that are prescribed by Regulation 43(1). 9. Auditor’s remuneration The remuneration (excluding VAT) for work carried out by KPMG Ireland is as follows: 31 Dec 2019 31 Dec 2018 USD ‘000 USD ‘000 Statutory audit fee 53 60 Tax advisory services 25 44 10. Foreign exchange The year end exchange rates per USD used in this report are as follows: 31 Dec 2019 31 Dec 2018 AUD 1.4226 1.4205 EUR 0.8909 0.8748 GBP 0.7549 0.7852 JPY 108.6750 109.7150 11. Transaction and stock lending fees Transaction fees incurred by the Company relating to the purchase or sale of transferable securities, money market instruments, derivatives or other eligible assets are mainly composed of broker fees. Transaction fees are included in the transaction price used to calculate the realised and unrealised gain on financial instruments at FVTPL. For the financial year ended 31 December 2019, GFI Fund and GHY Fund incurred seperately quantifiable transaction fees of USD‘000 Nil and USD‘000 1 (31 December 2018: USD‘000 Nil and USD‘000 1) respectively. There were no stock lending fees incurred during the financial year ended 31 December 2019 (31 December 2018: Nil). 39


  • Page 41

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 12. Interest in unconsolidated structured entities The Company meets the definition of an Investment Entity under IFRS 10 “Consolidated Financial Statements” and therefore does not consolidate any investments. IFRS 12 “Disclosure of Interests in Other Entities” requires disclosures around “unconsolidated structured entities”. IFRS 12 defines a structured entity as an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate to the administrative tasks only and the relevant activities are directed by means of contractual agreements. Disclosures are required where an interest is held in a structured entity and where, for example, the investor has been involved in the setting up of the structured entity and the investor would have exposure to potential losses or costs over and above the amount actually invested. Within their investment objectives, the GFI Fund had various investments in asset-backed and mortgage-related structures. The nominal value and fair value of each of these investments is listed in the GFI Fund’s Schedule of Investments. The fair value of the investments are recorded in the “Financial assets at FVTPL” line in the Statement of Financial Position. The carrying value of these investments is equivalent to fair value, and the GFI Fund’s maximum exposure to loss from these investments is equal to their total fair value. Once the GFI Fund has disposed of its holding in any of these investments, the GFI Fund ceases to be exposed to any risk from that investment. Below is a summary of GFI Fund's holdings in non-subsidiary unconsolidated structured entities as at 31 December 2019: Line position in Range of the Statement of Number of size of SEs Fair Value % of total Structured Entity ("SE") Other Financial investments Notional in USD ‘000 Net Assets Position USD ‘000 Financial assets 7,125- Non Asset-Backed Securities at FVTPL 79 4,307,560 130,225 24.45% recourse Mortgage-Related Financial assets 1,365- Non Structured Products at FVTPL 79 1,755,090 150,306 28.22% recourse Total Structured Entity Financial assets 1,365- Non Products at FVTPL 158 4,307,560 280,531 52.67% recourse Below is a summary of GFI Fund's holdings in non-subsidiary unconsolidated structured entities as at 31 December 2018: Line position in Range of the Statement of Number of size of SEs Fair Value % of total Structured Entity ("SE") Other Financial investments Notional in USD ‘000 Net Assets Position USD ‘000 Financial assets 7,125- Non Asset-Backed Securities at FVTPL 89 4,307,560 165,344 29.98% recourse Mortgage-Related Financial assets 7,084- Non Structured Products at FVTPL 66 1,755,090 128,811 23.54% recourse Total Structured Entity Financial assets 7,084- Non Products at FVTPL 155 4,307,560 294,155 53.52% recourse During the financial years ended 31 December 2019 or 31 December 2018, the Company did not provide financial support to the unconsolidated structured entities and has no intention of providing financial or other support. GHY Fund did not have any holdings in non-subsidiary unconsolidated structured entities as at 31 December 2019 and 31 December 2018. 13. Significant events during the financial year end On 20 February 2019, the GHY Fund received a full redemption request from its single investor in Class A. GHY Fund satisfied this redemption request through a combination of cash redemptions and asset in-kind redemptions to the investor. Following this redemption, the Investment Manager withdrew its seed holding from GHY Fund’s other share classes. The GHY Fund remains open and is actively seeking new investors. 40


  • Page 42

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Notes to Financial Statements (continued) 13. Significant events during the financial year end (continued) GFI Fund, a Sub-Fund of the Company was registered in the UK, effective 20 March 2019. On 22 March 2019, the Company and its Sub-Fund, GFI Fund were entered into the Temporary Permissions Regime (TPR) in the UK. On 1 April 2019, the Company appointed the Manager as UCITS management company. Effective 1 December 2019, BNY Mellon Trust Company (Ireland) Limited merged into The Bank of New York Mellon SA/NV, which itself is a wholly owned subsidiary of The Bank of New York Mellon (the “Merger”). Following the Merger, The Bank of New York Mellon SA/NV, Dublin Branch, will be the entity, which will provide trustee, depositary and/or custody services to the Company. Effective 12 December 2019, the shares of the Company were delisted from the Official List and from trading on the regulated market of Euronext Dublin. Other than above, there were no other significant events during the financial year. 14. Significant events since the financial year end The following distributions were approved by the Directors since the financial year end. Ex-Date of 2 January 2020, Pay Date of 15 January 2020: Shares in GFI Fund issue Currency Rate per Share Distribution Share Class - Class A JPY Distributing 50,000 JPY 491.2833 24,564,163 - Class I USD Distributing 25 USD 0.5136 13 - Class W EUR Distributing 100 EUR 0.3649 36 - Class W GBP Distributing 100 GBP 0.3710 37 - Class W USD Distributing 89,534 USD 0.3930 35,189 - Class Z EUR Distributing 100 EUR 0.4690 47 - Class Z GBP Distributing 50,479 GBP 0.4786 24,159 - Class Z USD Distributing 20,422 USD 0.5082 10,379 Since the start of January 2020, the outbreak of coronavirus, which is a rapidly evolving situation, has adversely impacted global commercial activities. The eventual impact on the global economy and markets will largely depend upon the scale and the duration of the outbreak. The Board of Directors, the Manager and the Investment Manager continues to monitor this situation closely. Other than above, there were no other significant events since the financial year end. 15. Approval of financial statements The Directors approved the financial statements on 27 March 2020. 41


  • Page 43

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Schedule of Investments (unaudited) – GFI Fund 31 December 2019 Market % of Market % of Nominal Value Net Nominal Value Net Description ('000) USD '000 Assets Description ('000) USD '000 Assets Transferable securities admitted to official stock exchange listing Transferable securities traded on another regulated market Corporate Bonds Asset-Backed Securities Ameren Corp 1,400 1,408 0.27 AASET 2018-3 5,144 5,195 0.98 American Electric Power Co Inc 90 90 0.02 ACIS CLO 2015-6 Ltd 1,500 1,503 0.28 American Equity Investment Life Holding Co 418 446 0.08 Anchorage Credit Funding 4 Ltd 4,500 4,518 0.85 American Express Co 80 80 0.02 Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W2 2,000 1,988 0.37 American Tower Corp 1,350 1,354 0.25 Attentus CDO III Ltd 16 16 0.00 Anthem Inc 380 385 0.07 Avery Point III CLO Ltd 2,400 1,729 0.32 AstraZeneca Plc 440 441 0.08 Bear Stearns Asset Backed Securities I Trust 2006-HE9 961 936 0.18 AvalonBay Communities Inc 100 101 0.02 BSPRT 2018-FL3 Issuer Ltd 750 750 0.14 AXIS Specialty Finance LLC 1,300 1,321 0.25 California Street CLO XII Ltd 1,000 1,001 0.19 Capital One Financial Corp 1,400 1,402 0.26 Capital Automotive LLC 3,973 4,003 0.75 Cigna Corp 1,050 1,058 0.20 Capital Automotive REIT 1,915 1,911 0.36 Constellation Brands Inc 1,350 1,353 0.25 Cerberus Loan Funding XVII Ltd 1,000 972 0.18 Credit Suisse Group Funding Guernsey Ltd 250 250 0.05 CIT Mortgage Loan Trust 2007-1 264 266 0.05 Discover Bank 1,400 1,405 0.26 CIT Mortgage Loan Trust 2007-1 1,829 1,834 0.34 Humana Inc 100 100 0.02 Citibank Credit Card Issuance Trust 5,750 5,750 1.08 Ingersoll-Rand Luxembourg Finance SA 337 337 0.06 Copper River CLO Ltd 550 74 0.01 Marathon Petroleum Corp 220 223 0.04 Cronos Containers Program I Ltd 1,145 1,143 0.22 McDonald's Corp 850 857 0.16 Crown Point CLO III Ltd 1,445 1,442 0.27 Molson Coors Beverage Co 1,290 1,290 0.24 CWHEQ Revolving Home Equity Loan Trust Series 2005-C 13 13 0.00 Morgan Stanley 300 306 0.06 Drug Royalty III LP 1 462 462 0.09 Occidental Petroleum Corp 1,050 1,058 0.20 Drug Royalty III LP 1 162 162 0.03 PSEG Power LLC 150 151 0.03 Dryden 37 Senior Loan Fund 1,000 864 0.16 RBC USA Holdco Corp 540 552 0.10 FDF I Ltd 1,000 1,021 0.19 Reynolds American Inc 1,560 1,567 0.30 FDF II Ltd 2,500 2,542 0.48 Ryder System Inc 440 441 0.08 First Franklin Mortgage Loan Trust 2004-FF10 766 769 0.14 Telefonica Emisiones SA 120 121 0.02 Fortress Credit Opportunities XI CLO Ltd 2,300 2,253 0.42 Telefonica Emisiones SA 710 737 0.14 Global SC Finance II SRL 458 458 0.09 United Technologies Corp 460 460 0.09 Golub Capital Partners Clo 36m Ltd 3,600 3,522 0.66 Whirlpool Corp 700 726 0.14 GSAMP Trust 2005-HE6 75 75 0.01 Willis Towers Watson Plc 930 969 0.18 GSAMP Trust 2007-NC1 746 475 0.09 Zimmer Biomet Holdings Inc 1,450 1,451 0.27 Halcyon Loan Advisors Funding 2015-3 Ltd 3,550 3,544 0.67 Total Corporate Bonds 22,440 4.21 Hertz Vehicle Financing II LP 500 503 0.09 Highland Park CDO I Ltd 90 89 0.02 Government Bonds Home Equity Asset Trust 2006-3 458 458 0.09 Japan Government Five Year Bond 196,000 1,805 0.34 Home Equity Loan Trust 4,304 4,061 0.76 Japan Government Five Year Bond 189,000 1,747 0.33 HSI Asset Securitization Corp Trust 2006-OPT2 1,000 991 0.19 Japan Government Twenty Year Bond 7,850 73 0.01 KVK CLO 2013-1 Ltd 2,800 2,794 0.52 Japan Government Two Year Bond 169,650 1,562 0.29 Lehman XS Trust Series 2007-2N 1,318 1,307 0.25 Japan Government Two Year Bond 520,600 4,795 0.90 Madison Avenue Secured Funding Trust 2019-1 1,000 1,000 0.19 Japan Government Two Year Bond 483,000 4,451 0.84 Marathon CLO VII Ltd 5,400 5,404 1.01 Japan Government Two Year Bond 364,000 3,360 0.63 MMCF CLO 2019-2 LLC 436 435 0.08 Japan Government Two Year Bond 146,000 1,348 0.25 Monroe Capital CLO 2014-1 Ltd 522 522 0.10 Japan Government Two Year Bond 1,093,000 10,094 1.90 Mountain Hawk II CLO Ltd 19 19 0.00 Mexico Cetes 25,300 132 0.03 Nassau 2019 CFO LLC 881 874 0.16 Mexico Cetes 22,800 118 0.02 New Residential Advance Receivables Trust Advance Receivables Backed 2019-T3 3,100 3,098 0.58 Residual Funding Corp Principal Strip 13,371 10,504 1.97 New Residential Advance Receivables Trust Advance Residual Funding Corp Principal Strip 530 414 0.08 Receivables Backed 2019-T4 4,000 3,994 0.75 Spain Government Bond 8,730 9,982 1.87 NewStar Clarendon Fund CLO LLC 4,728 4,724 0.89 Tennessee Valley Authority 1,420 2,157 0.41 NewStar Clarendon Fund CLO LLC 1,000 999 0.19 Tennessee Valley Authority 1,700 2,213 0.42 NovaStar Mortgage Funding Trust Series 2007-2 3,078 2,995 0.56 United States Treasury Note/Bond 4,347 4,422 0.83 N-Star REL CDO VIII Ltd 422 418 0.08 United States Treasury Note/Bond 21,302 21,909 4.11 NXT Capital CLO 2017-1 LLC 2,900 2,900 0.54 United States Treasury Note/Bond 7,321 7,260 1.36 Ocwen Master Advance Receivables Trust 1,700 1,709 0.32 United States Treasury Note/Bond 7,022 7,318 1.37 OHA Credit Partners IX Ltd 1,000 842 0.16 United States Treasury Note/Bond 3,996 4,416 0.83 Palmer Square Loan Funding 2018-4 Ltd 2,280 2,280 0.43 United States Treasury Note/Bond 12,400 12,063 2.27 Putnam Structured Product Funding 2003-1 Ltd 465 460 0.09 Total Government Bonds 112,143 21.06 Raspro Trust 2005 1,314 1,293 0.24 Secured Tenant Site Contract Revenue Notes Series 2018-1 1,414 1,432 0.27 Total Transferable securities admitted to official stock exchange listing 134,583 25.27 Seneca Park CLO Ltd 2014-1 2,000 2,002 0.38 42


  • Page 44

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Schedule of Investments (unaudited) – GFI Fund 31 December 2019 (continued) Market % of Market % of Nominal Value Net Nominal Value Net Description ('000) USD '000 Assets Description ('000) USD '000 Assets Asset-Backed Securities (continued) Corporate Bonds (continued) Soundview Home Loan Trust 2006-OPT5 4,042 3,938 0.74 Standard Chartered Bank/New York 1,400 1,402 0.26 STORE Master Funding I LLC 1,465 1,490 0.28 Starbucks Corp 1,350 1,353 0.25 Store Master Funding I-VII 2,401 2,499 0.47 State of Illinois 2,300 2,680 0.50 Structured Asset Investment Loan Trust 2004-BNC2 926 928 0.17 Swedbank AB 400 402 0.08 Structured Asset Investment Loan Trust 2005-11 646 639 0.12 Synchrony Bank 2,050 2,052 0.39 Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4 715 693 0.13 UBS AG/London 1,400 1,402 0.26 Structured Asset Securities Corp Mortgage Loan Trust 2007-BC4 3,731 3,715 0.70 Washington & Multnomah Counties School District No 48J Sudbury Mill CLO Ltd 1,150 1,145 0.22 Beaverton 1,100 722 0.14 Telos CLO 2014-6 Ltd 3,000 2,993 0.56 Total Corporate Bonds 49,409 9.27 Textainer Marine Containers V Ltd 1,556 1,562 0.29 Textainer Marine Containers V Ltd 2,912 2,904 0.55 Government Bonds Towd Point Mortgage Trust 2017-5 592 591 0.11 Fannie Mae Principal Strip 6,120 4,789 0.90 Towd Point Mortgage Trust 2018-1 395 399 0.08 Fannie Mae Principal Strip 10,000 6,262 1.18 Treman Park CLO Ltd 2,000 1,624 0.31 Freddie Mac Strips 2,800 2,138 0.40 Turbine Engines Securitization Ltd 473 474 0.09 Freddie Mac Strips 1,850 1,358 0.25 UCFC Manufactured Housing Contract 94 99 0.02 Japan Treasury Discount Bill 1,238,000 11,392 2.14 Venture XII CLO Ltd 2,254 2,250 0.42 Mexico Treasury Note/Bond 473,430 2,506 0.47 Voya CLO 2013-1 Ltd 1,948 815 0.15 Mexico Treasury Note/Bond 71,800 379 0.07 Wachovia Asset Securitization Issuance II LLC 2007-HE2 Trust 623 595 0.11 Spain Letras Del Tesoro 2,016 2,263 0.43 West CLO 2014-1 Ltd 404 404 0.08 Tennessee Valley Authority Principal Strip 2,000 1,176 0.22 Willis Engine Securitization Trust II 1,627 1,674 0.31 Tennessee Valley Authority Principal Strip 850 367 0.07 Total Asset Backed Securities 130,225 24.45 Total Government Bonds 32,630 6.13 Corporate Bonds Mortgage-Related Agnico Eagle Mines Ltd 2,500 2,523 0.47 American Home Mortgage Assets Trust 2006-4 1,940 1,322 0.25 Allergan Funding SCS 750 751 0.14 American Home Mortgage Investment Trust 2007-1 13,957 2,087 0.39 Analog Devices Inc 1,400 1,412 0.27 Banc of America Funding 2015-R4 Trust 393 390 0.07 Anthem Inc 1,020 1,025 0.19 Banc of America Mortgage 2007-1 Trust 1,441 1,432 0.27 ANZ New Zealand Int'l Ltd/London 1,400 1,407 0.26 Bancorp Commercial Mortgage 2018-CRE3 Trust/The 1,000 1,001 0.19 Applied Materials Inc 300 302 0.06 Capmark Military Housing Trust 1,190 1,301 0.24 Assurant Inc 284 284 0.05 Capmark Military Housing Trust 470 553 0.10 Barclays Bank Plc 4,400 4,409 0.83 CGBAM Mezzanine Securities Trust 2015-SMRT MZ 2,200 2,199 0.41 BBC Military Housing-Navy Northeast LLC 100 113 0.02 CIM Trust 2018-R2 616 618 0.12 Biogen Inc 250 252 0.05 CIM Trust 2018-R4 1,743 1,760 0.33 Broadcom Corp / Broadcom Cayman Finance Ltd 1,385 1,385 0.26 Citigroup Commercial Mortgage Trust 2015-GC29 37,640 1,501 0.28 California Institute of Technology 850 825 0.16 COMM 2013-WWP Mortgage Trust 3,000 3,119 0.59 Central Storage Safety Project Trust 1,300 1,404 0.26 COMM 2014-CCRE21 Mortgage Trust 25,252 896 0.17 Conagra Brands Inc 100 100 0.02 COMM 2015-CCRE26 Mortgage Trust 17,379 777 0.15 Credit Suisse AG/New York NY 1,410 1,412 0.27 CSMC Series 2015-12R 1,380 1,374 0.26 ERAC USA Finance LLC 180 184 0.04 DBJPM 17-C6 Mortgage Trust 35,448 1,918 0.36 Fiserv Inc 1,400 1,404 0.26 Deephaven Residential Mortgage Trust 2017-3 487 486 0.09 Florida Gas Transmission Co LLC 640 651 0.12 Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA2 918 880 0.16 Fort Benning Family Communities LLC 2,598 3,048 0.57 Fannie Mae Pool 700 698 0.13 Fort Knox Military Housing Privatization Project 1,536 980 0.18 Fannie Mae Pool 2,300 2,385 0.45 Fort Knox Military Housing Privatization Project 1,006 1,122 0.21 Fannie Mae Pool 1,100 1,143 0.21 Georgia-Pacific LLC 580 596 0.11 Fannie Mae Pool 1,000 1,014 0.19 Glenn Pool Oil & Gas Trust 373 361 0.07 Fannie Mae Pool 750 787 0.15 Hunt MH Borrower LLC 1,250 1,250 0.23 Fannie Mae Pool 1,500 1,555 0.29 Lloyds Bank Corporate Markets Plc/New York NY 1,410 1,412 0.27 Fannie Mae Pool 3,022 3,066 0.58 Marriott International Inc/MD 740 745 0.14 Fannie Mae Pool 2,000 1,996 0.37 Marriott International Inc/MD 660 662 0.12 Fannie Mae Pool 1,780 1,810 0.34 Mondelez International Inc 1,560 1,565 0.29 Fannie Mae Pool 3,400 3,601 0.68 NextEra Energy Capital Holdings Inc 1,420 1,422 0.27 Fannie Mae Pool 3,400 3,594 0.67 Pennsylvania Higher Education Assistance Agency 5 5 0.00 Fannie Mae Pool 2,600 2,760 0.52 Plains End Financing LLC 86 87 0.02 Fannie Mae Pool 5,550 5,819 1.09 Poway Unified School District 3,350 2,050 0.38 Fannie Mae Pool 1,000 1,055 0.20 Poway Unified School District 650 371 0.07 Fannie Mae Pool 4,500 4,718 0.89 QUALCOMM Inc 150 150 0.03 Fannie Mae Pool 1,000 1,076 0.20 Quest Diagnostics Inc 1,400 1,400 0.26 Fannie Mae Pool 864 865 0.16 Rolls-Royce Plc 1,400 1,405 0.26 Fannie Mae Pool 1,150 1,201 0.23 Sabine Pass Liquefaction LLC 800 822 0.16 Fannie Mae Pool 3,029 3,122 0.59 Siemens Financieringsmaatschappij NV 100 100 0.02 43


  • Page 45

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Schedule of Investments (unaudited) – GFI Fund 31 December 2019 (continued) Market % of Market % of Nominal Value Net Nominal Value Net Description ('000) USD '000 Assets Description ('000) USD '000 Assets Mortgage-Related (continued) Term Loans (continued) Fannie Mae Pool 1,450 1,515 0.28 Vicof 2 Unfunded Term Loan 6,563 0 0.00 Fannie Mae Pool 3,050 3,151 0.59 Total Term Loans 21,029 3.95 Fannie Mae Pool 1,000 1,081 0.20 Fannie Mae Pool 1,150 1,246 0.23 Fannie Mae Pool 2,350 2,461 0.46 Total Transferable securities traded on another regulated Fannie Mae Pool 564 596 0.11 market 383,599 72.02 Fannie Mae Pool 1,000 1,101 0.21 Forward Currency Contracts Fannie Mae Pool 1,025 1,142 0.21 Unrealised % of Fannie Mae-Aces 6,000 6,252 1.17 Buy MaturityGain/(Loss) Net Fannie Mae-Aces 5,300 5,516 1.04 Buy Ccy Sell Sell Ccy Counterparty Date USD '000 Assets Freddie Mac Military Housing Bonds Resecuritization Trust Bank of America Certificates 2015-R1 6,400 510 0.10 10,771,824 USD 1,093,546,500JPY Merrill Lynch 02/08/2021 373 0.07 Freddie Mac Military Housing Bonds Resecuritization Trust 11,546,160 USD 1,238,000,000JPY Goldman Sachs 10/01/2020 149 0.03 Certificates 2015-R1 955 1,092 0.20 13,646,792 GBP 17,976,017 USD Barclays 15/01/2020 110 0.02 Freddie Mac Military Housing Bonds Resecuritization Trust 3,551,609 USD 364,182,000 JPY Citi Bank 06/05/2021 106 0.02 Certificates 2015-R1 3,917 4,389 0.82 4,927,589 USD 520,933,300 JPY Citi Bank 01/06/2020 93 0.01 Freddie Mac Multifamily Structured Pass Through Certificates 700 707 0.13 4,593,419 USD 483,241,500 JPY J.P. Morgan 01/09/2020 84 0.02 Freddie Mac Multifamily Structured Pass Through Certificates 4,500 4,680 0.88 2,328,278 USD 2,016,000 EUR Barclays 17/01/2020 63 0.01 Freddie Mac Multifamily Structured Pass Through Certificates 500 527 0.10 4,370,337 EUR 4,850,278 USD Citi Bank 15/01/2020 59 0.01 Freddie Mac Multifamily Structured Pass Through Certificates 6,150 6,482 1.22 1,868,338 USD 189,094,500 JPY Goldman Sachs 20/12/2021 56 0.01 Freddie Mac Multifamily Structured Pass Through Certificates 1,300 1,405 0.26 6,582,024 USD 4,926,174 GBP J.P. Morgan 15/01/2020 54 0.01 Freddie Mac Multifamily Structured Pass Through Certificates 1,000 1,103 0.21 1,429,845 USD 146,073,000 JPY Barclays 01/06/2021 46 0.01 Freddie Mac Multifamily Structured Pass Through Certificates 2,000 2,141 0.40 Bank of America Freddie Mac Multifamily Structured Pass Through Certificates 2,700 2,710 0.51 1,930,728 USD 204,129,796 JPY Merrill Lynch 22/06/2020 34 0.01 Freddie Mac STACR Trust 2019-DNA3 370 370 0.07 Bank of America GS Mortgage Securities Trust 2013-GCJ14 81,326 1,551 0.29 1,600,985 USD 169,734,825 JPY Merrill Lynch 15/04/2020 30 0.01 JPMBB Commercial Mortgage Securities Trust 2013-C17 16,629 427 0.08 608,263 USD 530,400 EUR Goldman Sachs 30/04/2020 8 0.00 Lehman XS Trust Series 2005-7N 841 828 0.16 530,400 EUR 596,113 USD Goldman Sachs 30/04/2020 4 0.00 Luminent Mortgage Trust 2006-2 1,074 946 0.18 225,000 CAD 170,810 USD J.P. Morgan 08/01/2020 3 0.00 New Residential Mortgage Loan Trust 2017-1 676 702 0.13 100,000 CAD 75,486 USD J.P. Morgan 03/01/2020 2 0.00 New Residential Mortgage Loan Trust 2018-1 908 941 0.18 5,328 USD 546,500 JPY Morgan Stanley 01/02/2021 0 0.00 RALI Series 2007-QO2 Trust 1,766 980 0.18 5,218 USD 546,500 JPY Morgan Stanley 03/02/2020 0 0.00 Seasoned Credit Risk Transfer Trust 2017-4 2,599 2,678 0.50 707 USD 73,000 JPY Barclays 01/12/2020 0 0.00 Seasoned Credit Risk Transfer Trust 2017-4 1,634 1,697 0.32 2,270 USD 241,500 JPY J.P. Morgan 02/03/2020 0 0.00 Seasoned Credit Risk Transfer Trust Series 2017-3 4,287 4,369 0.82 1,756 USD 182,000 JPY Citi Bank 02/11/2020 0 0.00 Seasoned Credit Risk Transfer Trust Series 2018-1 2,226 2,268 0.43 924 USD 94,500 JPY Goldman Sachs 21/06/2021 0 0.00 Station Place Securitization Trust 2019-6 2,650 2,650 0.50 1,737 USD 182,000 JPY Citi Bank 01/05/2020 0 0.00 Station Place Securitization Trust 2019-8 4,950 4,950 0.93 914 USD 94,500 JPY Goldman Sachs 21/12/2020 0 0.00 Station Place Securitization Trust Series 2019-2 4,550 4,551 0.85 5,272 USD 546,500 JPY Morgan Stanley 03/08/2020 0 0.00 Station Place Securitization Trust Series 2019-9 1,000 1,000 0.19 Total unrealised gain on forward currency contracts 1,274 0.24 Verus Securitization Trust 2019-4 1,468 1,468 0.28 74,000 USD 66,000 EUR J.P. Morgan 30/07/2020 (0) (0.00) VMC Finance 2018-FL1 LLC 36 36 0.01 20,376 USD 15,511 GBP Citi Bank 15/01/2020 (0) (0.00) Washington Mutual Mortgage Pass-Through Certificates WMALT 224,000 USD 24,394,000 JPY Barclays 15/01/2020 (1) (0.00) Series 2006-AR9 Trust 1,432 1,338 0.25 32,886 USD 25,348 GBP Morgan Stanley 15/01/2020 (1) (0.00) Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR9 Trust 267 242 0.05 76,000 USD 100,000 CAD J.P. Morgan 03/01/2020 (2) (0.00) Wells Fargo Commercial Mortgage Trust 2016-NXS5 10,542 628 0.12 116,000 USD 2,280,000 MXN Citi Bank 08/04/2020 (3) (0.00) Total Mortgage-Related 150,306 28.22 129,000 USD 2,530,000 MXN Citi Bank 02/04/2020 (3) (0.00) 170,000 USD 225,000 CAD J.P. Morgan 08/01/2020 (3) (0.00) 365,000 USD 7,180,000 MXN Goldman Sachs 16/01/2020 (15) (0.00) Term Loans 1,310,247 USD 1,000,000 GBP J.P. Morgan 15/01/2020 (15) (0.01) AASET 2014-1 8,884 8,895 1.67 10,185,000 USD 8,796,000 EUR Goldman Sachs 30/07/2021 (38) (0.01) Apollo Aviation Securitization Equity Trust 2016-2 3,051 3,057 0.58 2,412,000 USD 47,343,000 MXN Citi Bank 02/01/2020 (95) (0.02) ATLAS 2014-1 Ltd 673 656 0.12 4,788,213,000 JPY 44,212,000 USD Morgan Stanley 15/01/2020 (120) (0.02) Avolon 2017 2 Loan Term Loan 3,187 3,178 0.60 Total unrealised loss on forward currency contracts (296) (0.06) Express Oil (Mavis) Term Loan 5 5 0.00 Options Express Oil 1L Term Loan 606 592 0.11 Falcon Aerospace Ltd 2017-1 1,324 1,329 0.25 % of Highgate Term Loan 593 591 0.11 Notional Fair Value Net Misys Ltd Tlb Term Loan 1 1 0.00 Amount Description Counterparty USD '000 Assets Talisker Generational Fee LLC 500 523 0.10 Tricorbraun Holdings Inc Term Loan 0 0 0.00 Buy 2 year treasury stike price Bank of America USI Term Loan 1 1 0.00 280,200,000 0.395 expiring on 01/08/2022 Merrill Lynch 427 0.08 Buy 2 year treasury stike price Vicof 2 Funded Term Loan 2,188 2,201 0.41 102,400,000 0.395 expiring on 01/08/2022 Morgan Stanley 156 0.03 44


  • Page 46

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Schedule of Investments (unaudited) – GFI Fund 31 December 2019 (continued) Options (continued) Buy 2 year treasury stike price 142,000,000 0.605 expiring on 01/08/2022 Goldman Sachs 117 0.02 Buy 2 year treasury stike price 43,400,000 0.395 expiring on 01/08/2022 Goldman Sachs 66 0.01 Total gain on Options 766 0.14 Total net gain on Options 766 0.14 Interest Rate Swaps % of Number of Fair Value Net Contracts Description Counterparty USD '000 Assets Receive USD Libor 3 month BBA/ Pay Bank of America 8,000,000 Fixed 1.494% Merrill Lynch 5 0.00 Total gain on interest rate swaps 5 0.00 Receive USD Libor 3 month BBA/ Pay Bank of America 21,200,000 Fixed 1.569% Merrill Lynch (45) (0.01) Receive USD Libor 3 month BBA/ Pay Bank of America 30,490,000 Fixed 1.098% Merrill Lynch (583) (0.11) Total loss on interest rate swaps (628) (0.12) Total net loss on interest rate swaps (623) (0.12) Credit Default Swaps % of Number of Fair Value Net Contracts Description Counterparty USD '000 Assets 1,020,000 Markit CDSI 5Y 1% Goldman Sachs (28) (0.01) 1,050,000 Markit CDSI 5Y 1% Goldman Sachs (28) (0.01) 1,500,000 Markit CDSI 5Y 1% Morgan Stanley (40) (0.01) 2,150,000 Markit CDSI 5Y 1% Morgan Stanley (58) (0.01) 2,270,000 Markit CDSI 5Y 1% Morgan Stanley (61) (0.01) 2,280,000 Markit CDSI 5Y 1% Goldman Sachs (62) (0.01) 2,680,000 Markit CDSI 5Y 1% Morgan Stanley (72) (0.01) 4,710,000 Markit CDSI 5Y 1% Morgan Stanley (127) (0.02) Bank of America 90,710,000 Markit CDSI 5Y 1% Merrill Lynch (2,290) (0.43) Total loss on credit default swaps (2,766) (0.52) Total net loss on credit default swaps (2,766) (0.52) Net Financial Assets & Liabilities at fair value through Profit or Loss 516,537 96.97 Reverse Repurchase Agreements Market Quantity Value % of Security CouponMaturity ('000) (USD) Net Name Rate Date '000 Assets Rep FFML 2005-FFH4 2.07% 03/02/2020 4,250 4,250 0.80 Rep CMLTI 2007-AMC2 2.10% 16/03/2020 2,630 2,630 0.49 Total Repurchase Agreements 6,880 1.29 Net Financial Assets & Liabilities 523,417 98.26 Other net assets 9,203 1.74 Net Assets Attributable to Holders of Redeemable Participating Shares 532,620 100.00 % of Total Analysis of Total Assets Assets Transferable securities admitted to official stock exchange listing 134,583 25.02 Transferable securities traded on another regulated market 383,599 71.33 OTC Financial Derivative Instruments 1,279 0.24 Money Market Instruments 6,880 1.28 Other Assets 11,465 2.13 Total Assets 537,806 100.00 45


  • Page 47

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Schedule of Material Portfolio Changes (unaudited) – GFI Fund 31 December 2019 Material Purchases Nominal Cost (‘000) USD (‘000) United States Treasury Note/Bond 52,842 53,049 United States Treasury Note/Bond 30,402 30,606 United States Treasury Note/Bond 22,821 22,960 United States Treasury Inflation Indexed Bonds 16,942 16,731 Japan Treasury Discount Bill 1,642,400 14,992 Spain Letras del Tesoro 12,398 14,058 United States Treasury Note/Bond 13,600 13,511 United States Treasury Note/Bond 12,400 12,509 Japan Treasury Discount Bill 1,318,600 12,016 United States Treasury Bill 12,000 11,977 Japan Treasury Discount Bill 1,238,000 11,395 Residual Funding Corp Principal Strip 13,371 10,644 Japan Treasury Discount Bill 1,093,000 10,331 United States Treasury Note/Bond 10,210 10,271 United States Treasury Note/Bond 9,699 10,032 Federal Home Loan Bank Discount Notes 10,000 9,999 Federal Home Loan Bank Discount Notes 10,000 9,986 Spain Government Bond 8,730 9,912 United States Treasury Note/Bond 8,002 7,986 United States Treasury Note/Bond 7,390 7,846 The Material Portfolio Changes reflect the aggregate purchases of a security exceeding one per cent of the total value of purchases for the year and aggregate disposals greater than one per cent of the total value of the sales. At a minimum the largest 20 purchases and sales are listed. 46


  • Page 48

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Schedule of Material Portfolio Changes (unaudited) – GFI Fund 31 December 2019 (continued) Material Sales Nominal Proceed (‘000) USD (‘000) United States Treasury Strip Principal (Zero Coupon) 116,335 50,961 United States Treasury Note/Bond 48,495 49,406 United States Treasury Inflation Indexed Bonds 16,942 16,923 United States Treasury Note/Bond 15,799 16,277 Japan Treasury Discount Bill 1,642,400 15,113 Spain Letras del Tesoro 12,398 13,993 United States Treasury Note/Bond 13,600 13,529 Spain Letras del Tesoro 11,990 13,505 Japan Treasury Discount Bill 1,318,600 12,173 United States Treasury Bill 12,000 12,000 United States Treasury Note/Bond 10,406 11,155 Ocwen Master Advance Receivables Trust 11,000 11,000 Fannie Mae Principal Strip (Zero Coupon) 13,371 10,622 United States Treasury Note/Bond 9,699 10,269 United States Treasury Note/Bond 10,210 10,267 United States Treasury Strip Principal (Zero Coupon) 22,706 10,228 Federal Home Loan Bank Discount Notes 10,000 10,000 Federal Home Loan Bank Discount Notes 10,000 9,996 United States Treasury Note/Bond 9,100 9,334 ABPCI Direct Lending Fund CLO I LLC '144A' FRN 8,700 8,683 The Material Portfolio Changes reflect the aggregate purchases of a security exceeding one per cent of the total value of purchases for the year and aggregate disposals greater than one per cent of the total value of the sales. At a minimum the largest 20 purchases and sales are listed. 47


  • Page 49

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Schedule of Material Portfolio Changes (unaudited) – GHY Fund 31 December 2019 Material Purchases Nominal Cost (‘000) USD (‘000) MERCK & Co Inc 3,000 2,988 Intel Corp 2,500 2,498 Home Depot Inc 1,800 1,798 Match Group Inc '144A' 1,700 1,700 HCA Inc 1,700 1,683 Tenet Healthcare Corp '144A' 1,250 1,251 Caterpillar Financial Services Corp 'GMTN' FRN 1,000 997 Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu '144A' FRN 950 956 TransDigm Inc '144A' 900 900 ADT Security Corp/The 850 860 MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc '144A' 850 850 Springleaf Finance Corp 825 825 United States Steel Corp 800 767 Grinding Media Inc / Moly-Cop AltaSteel Ltd '144A' 750 726 Indigo Natural Resources LLC '144A' 825 719 CSC Holdings LLC '144A' 575 575 Aspect Software Term Loan 426 354 Wabash National Corp '144A' 375 343 Superior Plus LP / Superior General Partner Inc '144A' 300 292 C&S Group Enterprises LLC '144A' 250 248 The Material Portfolio Changes reflect the aggregate purchases of a security exceeding one per cent of the total value of purchases for the year and aggregate disposals greater than one per cent of the total value of the sales. At a minimum the largest 20 purchases and sales are listed. 48


  • Page 50

    Guggenheim Global Investments plc ANNUAL REPORT & AUDITED FINANCIAL STATEMENTS Schedule of Material Portfolio Changes (unaudited) – GHY Fund 31 December 2019 (continued) Material Sales Nominal Proceed (‘000) USD (‘000) LBC Tank Terminals Holding Netherlands BV '144A' 5,656 5,345 Vector Group Ltd '144A' 5,700 5,052 Eldorado Gold Corp '144A' 5,100 4,973 Unit Corp 5,062 4,938 Tenet Healthcare Corp 4,200 4,337 Bausch Health Cos Inc '144A' 3,825 4,031 MDC Partners Inc '144A' 4,600 4,000 Fidelity & Guaranty Life Holdings Inc '144A' 4,000 3,948 Indigo Natural Resources LLC '144A' 4,500 3,928 Great Lakes Dredge & Dock Corp 3,700 3,872 Quicken Loans Inc '144A' 4,200 3,848 Exterran Energy Solutions LP / EES Finance Corp 3,350 3,354 Terraform Global Operating LLC '144A' 3,455 3,339 Novelis Corp '144A' 3,300 3,327 Lincoln Finance Ltd '144A' 3,200 3,259 Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 3,179 3,188 Altice France SA/France '144A' 3,150 3,099 Hunt Cos Inc '144A' 3,250 3,031 CSC Holdings LLC '144A' 2,950 3,016 Seminole Hard Rock Entertainment Inc / Seminole Hard Rock International LLC '144A' 2,962 3,006 The Material Portfolio Changes reflect the aggregate purchases of a security exceeding one per cent of the total value of purchases for the year and aggregate disposals greater than one per cent of the total value of the sales. At a minimum the largest 20 purchases and sales are listed. 49

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