gug56850-nq.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC  20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number
811-21681
 
Guggenheim Enhanced Equity Income Fund
(Exact name of registrant as specified in charter)
 
2455 Corporate West Drive  Lisle, IL  60532
 
(Address of principal executive offices) (Zip code)
 
Amy J. Lee
 
2455 Corporate West Drive
 
Lisle, IL 60532
(Name and address of agent for service)

Registrant’s telephone number, including area code: (630) 505-3700

Date of fiscal year end: December 31
Date of reporting period: January 1, 2013 – March 28, 2013





 
 

 

 

Item 1.                      Schedule of Investments.
                  Attached hereto.
 
 
 
GPM Guggenheim Enhanced Equity Income Fund
       
Portfolio of Investments
       
March 28, 2013 (unaudited)        
 
               
 
Number
           
 
of Shares
 
Description
   
Value
 
     
Long-Term Investments - 113.9%
       
     
Exchange Traded Funds (a) - 113.9%
       
 
196,100
 
Consumer Discretionary Select Sector SPDR
   
$10,385,456
 
 
63,800
 
Energy Select Sector SPDR
   
5,060,616
 
 
230,900
 
Health Care Select Sector SPDR
   
10,609,855
 
 
149,800
 
iShares Dow Jones US Real Estate Index
   
10,408,104
 
 
109,900
 
iShares Russell 2000 Index
   
10,359,174
 
 
603,000
 
PowerShares QQQ Trust, Series 1
   
41,588,910
 
 
85,000
 
ProShares Ultra QQQ
   
5,218,150
 
 
108,000
 
SPDR Dow Jones Industrial Average ETF Trust
   
15,705,360
 
 
464,200
 
SPDR S&P 500 ETF Trust
   
72,670,510
 
 
341,300
 
Technology Select Sector SPDR
   
10,331,151
 
 
272,100
 
Utilities Select Sector SPDR
   
10,625,505
 
     
(Cost $200,151,505)
   
202,962,791
 
               
               
     
Short-Term Investments - 0.5%
       
     
Money Market Fund - 0.5%
       
 
815,228
 
Dreyfus Treasury Prime Cash Management Institutional Shares
   
815,228
 
     
(Cost $815,228)
       
               
     
Total Investments - 114.4%
       
     
(Cost $200,966,733)
   
203,778,019
 
     
Liabilities in excess of Other Assets - (0.1%)
   
(108,451)
 
     
Total Value of Options Written - (1.1%) (Premiums received $1,465,771)
   
(1,888,786)
 
     
Borrowings - (13.2% of Net Assets or 11.5% of Total Investments)
   
(23,500,000)
 
     
Net Assets  - 100.0%
   
$        178,280,782
 
               
 
Contracts (100
shares
per contract)
 
 
 
Options Written
 
Expiration
Month
 
Exercise
Price
 
 
Value
 
     
Call Options Written (b) - (1.1%)
       
 
1,961
 
Consumer Discretionary Select Sector SPDR
April 2013
$54.00
$(36,279)
 
 
638
 
Energy Select Sector SPDR
April 2013
80.00
(48,169)
 
 
2,309
 
Health Care Select Sector SPDR
April 2013
45.00
(271,307)
 
 
1,498
 
iShares Dow Jones US Real Estate Index
April 2013
70.00
(55,426)
 
 
1,099
 
iShares Russell 2000 Index
April 2013
95.00
(97,811)
 
 
6,030
 
PowerShares QQQ Trust Series 1
April 2013
70.00
(195,975)
 
 
850
 
ProShares Ultra QQQ
April 2013
63.00
(50,150)
 
 
1,080
 
SPDR Dow Jones Industrial Average ETF Trust
April 2013
146.00
(112,860)
 
 
4,642
 
SPDR S&P 500 ETF Trust
April 2013
157.00
(684,695)
 
 
3,413
 
Technology Select Sector SPDR
April 2013
31.00
(20,478)
 
 
2,721
 
Utilities Select Sector SPDR
April 2013
38.00
(315,636)
 
               
     
Total Value of Options Written - (1.1%)
       
     
(Premiums received $1,465,771)
   
$(1,888,786)
 
               
 
 
S&P - Standard & Poor's
       
               
(a)
Securities represent cover for outstanding options written.  All of these securities have been physically segregated as collateral for borrowings outstanding.
(b)
Non-income producing security.
       
               
 
See previously submitted notes to financial statements for the period ended December 31, 2012.
 
 
 
 
 
 

 
Country Allocation*
   
 United States
 
100.0%
 
                 
 * Subject to change daily.  Based on total investments.
       
                 
                 
At March 28, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
 
Cost of Investments for Tax Purposes
Gross Tax Unrealized Appreciation
 
Gross Tax Unrealized Depreciation
 
Net Tax Unrealized Depreciation on Investments
$ 208,870,623 $ 2,824,693   $ (7,917,297)   $ (5,092,604)
 
The Fund values equity securities at the last reported sale price on the principal exchange or in the principal over-the-counter (“OTC”) market in which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued, or if there are no sales, at the mean between the last available bid and ask prices on that day. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. Debt securities are valued by independent pricing services or dealers using the bid price for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. Exchange traded options are valued at the mean between the last available bid and asked prices on the principal exchange on which they are traded. The Fund values money market funds at net asset value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value.
 
                       
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees. A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Fund and convenes monthly, or more frequently as needed. The valuation committee reviews monthly Level 3 fair valued securities methodology, preice overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund's Trustees.
 
                       
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value”. Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination should be based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
 
                       
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
 
                       
The Fund values Level 1 securities using readily available market quotations in active markets. Money market funds are valued at net asset value. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using independent pricing providers who employ various observable market inputs. The Fund did not have any Level 2 or Level 3 securities during the period ended March 28, 2013.
 
                       
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of March 28, 2013:
 
                       
Description
Level 1
   
Level 2
   
Level 3
   
Total
 
Valuations (in $000s)
                     
Assets:
                     
Exchange Traded Funds
$ 202,963     $ -     $ -     $ 202,963  
Money Market Fund
  815       -       -       815  
Total
$ 203,778     $ -     $ -     $ 203,778  
                               
Liabilities:
                             
Call Options Written
$ 1,889     $ -     $ -     $ 1,889  
Total
$ 1,889     $ -     $ -     $ 1,889  
                               
 
There were no transfers between valuation levels as of the report date when compared to the valuation levels at the end of the previous fiscal year.
                 

 
 
 

 
Item 2.                      Controls and Procedures.

 
(a)
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “Investment Company Act”)) as of a date within 90 days of the filing date of this report and have concluded, based on such evaluation  that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant on this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

 
(b)
There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s last fiscal quarter that has materially affected or is reasonably likely to materially affect the registrant’s internal control over financial reporting.

Item 3.                      Exhibits.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act (17 CFR 270.30a-2(a)), is attached hereto.
 
 
 

 
 



SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Guggenheim Enhanced Equity Income Fund  

By:                /s/ Donald C. Cacciapaglia            
Name:           Donald C. Cacciapaglia
Title:             Chief Executive Officer
 
Date:             May 16, 2013


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:                /s/ Donald C. Cacciapaglia              
Name:           Donald C. Cacciapaglia
Title:             Chief Executive Officer

Date:             May 16, 2013


By:                 /s/ John L. Sullivan                          
Name:           John L. Sullivan
Title:             Chief Financial Officer, Chief Accounting Officer and Treasurer

Date:             May 16, 2013