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
811-22715
 
Guggenheim Credit Allocation Fund
(Exact name of registrant as specified in charter)
 
227 West Monroe Street, Chicago, IL 60606
 
(Address of principal executive offices) (Zip code)
 
Amy J. Lee
 
227 West Monroe Street, Chicago, IL 60606
(Name and address of agent for service)

Registrant’s telephone number, including area code: (312) 827-0100

Date of fiscal year end: May 31
 
Date of reporting period: June 1, 2018 – August 31, 2018



Item 1.    Schedule of Investments.
Attached hereto.
 

Guggenheim Credit Allocation Fund
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
August 31, 2018
   

 
 
Shares
 
Value
COMMON STOCKS - 1.2%
     
Energy - 0.7%
     
SandRidge Energy, Inc.*,1
57,766
 
$916,169
Approach Resources, Inc.*
48,823
 
105,457
Titan Energy LLC*,1
27,133
 
12,210
Comstock Resources, Inc.*
1
 
10
Total Energy
   
1,033,846
Utilities - 0.5%
     
TexGen Power LLC*,††
20,607
 
741,852
Consumer, Non-cyclical - 0.0%
     
Targus Group International Equity, Inc*,†††,2,3
32,060
 
82,880
Technology - 0.0%
     
Qlik Technologies, Inc. - Class A*,†††,2
56
 
57,049
Aspect Software Parent, Inc.*,†††,2,3
200
 
4,069
Qlik Technologies, Inc.*,†††
3,600
 
Qlik Technologies, Inc. - Class B*,†††,2
13,812
 
Total Technology
   
61,118
Financials - 0.0%
     
Project Silverback Holdings B Escrow*,†††,2
1,922
 
1,442
Industrial - 0.0%
     
Ursa Insulation B.V.*,†††,2
135,131,158
 
Total Common Stocks
     
(Cost $5,808,039)
   
1,921,138
PREFERRED STOCKS - 2.0%
     
Financial 1.5%
     
Bank of America Corp., Series X
     
6.25%7,8
  1,150,000
 
 1,213,250
Citigroup, Inc., Series M
     
6.30%1,7,8
  1,100,000
 
 1,130,250
Total Financial
   
2,343,500
Industrial - 0.5%
     
Seaspan Corp.
 
 
6.38% due 04/30/191
29,020
 
737,108
Total Preferred Stocks
     
(Cost $2,958,014)
   
3,080,608
WARRANTS††† - 0.0%
     
Aspect Software Inc.2,3
161,849
 
25,375
Total Warrants
     
(Cost $)
   
25,375
EXCHANGE-TRADED FUNDS - 3.2%
     
SPDR Bloomberg Barclays High Yield Bond ETF
84,000
 
3,024,000
iShares iBoxx $ High Yield Corporate Bond ETF
22,750
 
1,964,690
Total Exchange-Traded Funds
     
(Cost $5,048,918)
   
4,988,690
MONEY MARKET FUND - 0.4%
     
Dreyfus Treasury Prime Cash Management - Institutional Shares 1.81%4
549,235
 
549,235
Total Money Market Fund
     
(Cost $549,235)
   
549,235
 
 
Face
   
 
Amount~
 
Value
CORPORATE BONDS†† - 90.1%
     
Financial -  21.2%
     
Jefferies Finance LLC / JFIN Company-Issuer Corp.
     
7.38% due 04/01/201,5
1,700,000
 
$1,729,750
7.50% due 04/15/211,5
  1,500,000
 
 1,545,000
7.25% due 08/15/245
  875,000
 
 859,687
6.88% due 04/15/225
  650,000
 
 656,500
Barclays plc
     
7.75%7,13
  3,000,000
 
 3,026,400
HUB International Ltd.
     
7.00% due 05/01/261,5
  2,750,000
 
 2,732,263
Lincoln Finance Ltd.
     
6.88% due 04/15/21
EUR  1,750,000
 
 2,102,645
7.38% due 04/15/215
  450,000
 
 463,500
Hunt Companies, Inc.
     
6.25% due 02/15/261,5
  2,450,000
 
 2,290,750
Fidelity & Guaranty Life Holdings, Inc.
     
5.50% due 05/01/251,5
  2,250,000
 
 2,227,500
AmWINS Group, Inc.
     
7.75% due 07/01/265
  2,000,000
 
 2,107,500
NFP Corp.
     
6.88% due 07/15/255
  1,940,000
 
 1,901,200
LoanCore Capital Markets LLC / JLC Finance Corp.
     
6.88% due 06/01/201,5
  1,605,000
 
 1,629,075
Majid AL Futtaim Holding
     
7.13%7
  1,500,000
 
 1,498,050
Quicken Loans, Inc.
     
5.25% due 01/15/281,5
  1,375,000
 
 1,259,844
CyrusOne LP/ CyrusOne Finance Corp.
     
5.00% due 03/15/241
  1,104,000
 
 1,117,800
Springleaf Finance Corp.
     
7.13% due 03/15/26
  1,100,000
 
 1,094,577
GEO Group, Inc.
     
6.00% due 04/15/261
  775,000
 
 747,875
5.88% due 10/15/24
  350,000
 
 341,250
Greystar Real Estate Partners LLC
     
5.75% due 12/01/251,5
  1,000,000
 
 977,500
American Equity Investment Life Holding Co.
     
5.00% due 06/15/271
  750,000
 
 738,302
Prosight Global Inc.
     
7.50% due 11/26/20†††,1
  650,000
 
 674,554
CoreCivic, Inc.
     
4.75% due 10/15/27
  750,000
 
 673,125
Assurant, Inc.
     
7.00% due 03/27/488
  400,000
 
 408,000

Guggenheim Credit Allocation Fund
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
August 31, 2018
   
 
 
 
Face
   
 
Amount~
 
Value
CORPORATE BONDS†† - 90.1% (continued)
     
Financial -  21.2% (continued)
     
USIS Merger Sub, Inc.
     
6.88% due 05/01/255
400,000
 
$398,000
Total Financial
   
 33,200,647
Communications -  19.2%
     
Altice France S.A.
     
7.38% due 05/01/261,5
  3,850,000
 
 3,782,625
8.13% due 02/01/271,5
  1,300,000
 
 1,319,500
5.88% due 02/01/27
EUR  300,000
 
 360,547
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
     
7.88% due 05/15/241,5
  4,465,000
 
 3,929,200
MDC Partners, Inc.
     
6.50% due 05/01/241,5
  4,085,000
 
 3,661,181
EIG Investors Corp.
     
10.88% due 02/01/241
  3,300,000
 
 3,588,750
Cengage Learning, Inc.
     
9.50% due 06/15/241,5
  3,850,000
 
 3,313,310
DISH DBS Corp.
     
5.88% due 11/15/241
  2,300,000
 
 2,001,000
7.75% due 07/01/261
  1,450,000
 
 1,308,625
Sprint Communications, Inc.
     
9.00% due 11/15/181,5
  2,200,000
 
 2,224,750
CSC Holdings LLC
     
5.25% due 06/01/241
  1,350,000
 
 1,309,500
6.75% due 11/15/21
  400,000
 
 424,000
CCO Holdings LLC / CCO Holdings Capital Corp.
     
5.00% due 02/01/281,5
  1,050,000
 
 983,357
Telenet Finance Lux Note
     
5.50% due 03/01/28
  1,000,000
 
 935,000
Virgin Media Secured Finance plc
     
5.25% due 01/15/261,5
  500,000
 
 486,350
Charter Communications Operating LLC / Charter Communications Operating Capital
     
4.20% due 03/15/281
  450,000
 
 430,936
Total Communications
   
 30,058,631
Consumer, Non-cyclical -  14.8%
     
Vector Group Ltd.
     
6.13% due 02/01/251,5
  3,750,000
 
 3,590,625
Great Lakes Dredge & Dock Corp.
     
8.00% due 05/15/221
  3,450,000
 
 3,544,875
Beverages & More, Inc.
     
11.50% due 06/15/225
  4,000,000
 
 3,155,000
FAGE International S.A./ FAGE USA Dairy Industry, Inc.
     
5.63% due 08/15/261,5
  3,400,000
 
 2,983,500
Midas Intermediate Holdco II LLC
     
7.88% due 10/01/221,5
  3,351,000
 
 2,919,559
Flexi-Van Leasing, Inc.
     
10.00% due 02/15/235
  2,024,000
 
 1,760,880
 
 
Face
   
 
Amount~
 
Value
CORPORATE BONDS†† - 90.1% (continued)
     
Consumer, Non-cyclical -  14.8% (continued)
     
Post Holdings, Inc.
     
5.63% due 01/15/281,5
1,250,000
 
$1,207,812
KeHE Distributors LLC / KeHE Finance Corp.
     
7.63% due 08/15/211,9
  1,075,000
 
 1,054,844
Avanos Medical, Inc.
     
6.25% due 10/15/221
  925,000
 
 945,813
Endo Finance LLC / Endo Finco, Inc.
     
7.25% due 01/15/221,5
  450,000
 
 432,000
5.38% due 01/15/235
  425,000
 
 363,375
Bausch Health Companies, Inc.
     
6.50% due 03/15/221,5
  650,000
 
 672,750
Avantor, Inc.
     
6.00% due 10/01/241,5
  500,000
 
 507,500
Total Consumer, Non-cyclical
   
 23,138,533
Energy -  13.4%
     
Unit Corp.
     
6.63% due 05/15/211
  4,000,000
 
 3,995,000
American Midstream Partners LP / American Midstream Finance Corp.
     
9.25% due 12/15/211,5
  3,565,000
 
 3,520,437
Indigo Natural Resources LLC
     
6.88% due 02/15/261,5
  2,850,000
 
 2,750,250
Moss Creek Resources Holdings, Inc.
     
7.50% due 01/15/261,5
  2,230,000
 
 2,174,250
Exterran Energy Solutions LP / EES Finance Corp.
     
8.13% due 05/01/251
  1,750,000
 
 1,837,500
Parkland Fuel Corp.
     
6.00% due 04/01/261,5
  1,150,000
 
 1,150,000
CNX Resources Corp.
     
8.00% due 04/01/23
  1,000,000
 
 1,057,810
Bruin E&P Partners LLC
     
8.88% due 08/01/235
  1,000,000
 
 1,036,250
Covey Park Energy LLC / Covey Park Finance Corp.
     
7.50% due 05/15/251,5
  970,000
 
 988,187
Gibson Energy, Inc.
     
5.25% due 07/15/245
CAD  1,200,000
 
 919,554
Alta Mesa Holdings LP / Alta Mesa Finance Services Corp.
     
7.88% due 12/15/24
  750,000
 
 735,938
Legacy Reserves LP / Legacy Reserves Finance Corp.
     
6.63% due 12/01/21
  695,000
 
 538,625
Trinidad Drilling Ltd.
     
6.63% due 02/15/255
  200,000
 
 198,000
Schahin II Finance Co. SPV Ltd.
     
5.88% due 09/25/221,9,10
  825,233
 
 115,533
 

Guggenheim Credit Allocation Fund
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
August 31, 2018
   
 
 
 
Face
   
 
Amount~
 
Value
CORPORATE BONDS†† - 90.1% (continued)
     
Energy -  13.4% (continued)
     
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp.
     
6.25% due 04/01/231
50,000
 
$51,563
Total Energy
   
 21,068,897
Consumer, Cyclical -  10.3%
     
Nathan's Famous, Inc.
     
6.63% due 11/01/255
  3,500,000
 
 3,508,750
AMC Entertainment Holdings, Inc.
     
6.13% due 05/15/271
  2,500,000
 
 2,450,000
Williams Scotsman International, Inc.
     
6.88% due 08/15/235
  1,050,000
 
 1,040,813
7.88% due 12/15/225
  525,000
 
 540,750
Ferrellgas LP / Ferrellgas Finance Corp.
     
6.50% due 05/01/21
  950,000
 
 869,250
6.75% due 06/15/231
  750,000
 
 645,000
Carrols Restaurant Group, Inc.
     
8.00% due 05/01/22
  1,000,000
 
 1,042,500
American Tire Distributors, Inc.
     
10.25% due 03/01/221,5
  2,700,000
 
 945,000
Ferrellgas, LP / Ferrellgas Finance Corp.
     
6.75% due 01/15/221
  990,000
 
 881,100
Delphi Technologies plc
     
5.00% due 10/01/251,5
  715,000
 
 675,353
JB Poindexter & Company, Inc.
     
7.13% due 04/15/265
  650,000
 
 671,937
Suburban Propane Partners LP / Suburban Energy Finance Corp.
     
5.88% due 03/01/271
  650,000
 
 614,250
Party City Holdings, Inc.
     
6.63% due 08/01/265
  575,000
 
 579,313
TVL Finance PLC
     
8.50% due 05/15/23
GBP  400,000
 
 544,347
Pinnacle Bidco plc
     
6.38% due 02/15/25
GBP  400,000
 
 530,839
Boyne USA, Inc.
     
7.25% due 05/01/255
  350,000
 
 371,000
L Brands, Inc.
     
7.60% due 07/15/37
  250,000
 
 210,717
Total Consumer, Cyclical
   
 16,120,919
Basic Materials -  3.9%
     
Eldorado Gold Corp.
     
6.13% due 12/15/201,5
  4,100,000
 
 3,854,000
Alcoa Nederland Holding B.V.
     
7.00% due 09/30/261,5
  1,000,000
 
 1,078,750
Big River Steel LLC / BRS Finance Corp.
     
7.25% due 09/01/251,5
  700,000
 
 733,271
 
 
Face
   
 
Amount~
 
Value
CORPORATE BONDS†† - 90.1% (continued)
     
Basic Materials -  3.9% (continued)
     
Mirabela Nickel Ltd.
     
9.50% due 06/24/1910
1,279,819
 
$435,138
Total Basic Materials
   
 6,101,159
Industrial -  3.2%
     
Grinding Media Inc. / MC Grinding Media Canada Inc.
     
7.38% due 12/15/231,5
  1,600,000
 
 1,679,504
Summit Materials LLC / Summit Materials Finance Corp.
     
8.50% due 04/15/22
  1,000,000
 
 1,068,750
Cleaver-Brooks, Inc.
     
7.88% due 03/01/235
  825,000
 
 851,813
Ardagh Packaging Finance PLC
     
6.75% due 05/15/24
EUR  600,000
 
 752,629
Princess Juliana International Airport Operating Company N.V.
     
5.50% due 12/20/271,9
  361,928
 
 322,724
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
     
7.25% due 05/15/245
  225,000
 
 236,531
Wrangler Buyer Corp.
     
6.00% due 10/01/255
  175,000
 
 168,875
Total Industrial
   
 5,080,826
Utilities -  2.8%
     
LBC Tank Terminals Holding Netherlands BV
     
6.88% due 05/15/231,5
  2,000,000
 
 1,995,000
Terraform Global Operating LLC
     
6.13% due 03/01/261,5
  975,000
 
 943,312
Superior Plus LP / Superior General Partner, Inc.
     
7.00% due 07/15/265
  800,000
 
 802,000
AmeriGas Partners, LP / AmeriGas Finance Corp.
     
5.75% due 05/20/271
  750,000
 
 740,625
Total Utilities
   
 4,480,937
Technology -  1.3%
     
Infor US, Inc.
     
6.50% due 05/15/221
  1,700,000
 
 1,722,049
Ascend Learning LLC
     
6.88% due 08/01/255
  250,000
 
 252,500
Total Technology
   
 1,974,549
Total Corporate Bonds
     
(Cost $145,647,236)
   
141,225,098
SENIOR FLOATING RATE INTERESTS††,6 - 44.3%
     
Technology -  9.7%
     
Lytx, Inc.
     
8.83% (1 Month USD LIBOR + 6.75%) due 08/31/23†††,2
  3,453,199
 
 3,382,050
24-7 Intouch, Inc.
     
4.25% (1 Month USD LIBOR + 4.25%) due 08/20/25
  2,450,000
 
 2,401,000
Advanced Computer Software
     
6.83% (1 Month USD LIBOR + 4.75%) due 05/31/24
  2,352,066
 
 2,363,826
 

Guggenheim Credit Allocation Fund
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
August 31, 2018
   
 
 
 
Face
   
 
Amount~
 
Value
SENIOR FLOATING RATE INTERESTS††,6 - 44.3% (continued)
     
Technology -  9.7% (continued)
     
Bullhorn, Inc.
     
9.07% (3 Month USD LIBOR + 6.75%) due 11/21/22†††,2
2,252,451
 
$2,240,623
9.09% (3 Month USD LIBOR + 6.75%) due 11/21/22†††,2
  58,033
 
 51,906
Planview, Inc.
     
11.83% (1 Month USD LIBOR + 9.75%) due 07/27/23†††,2
  2,000,000
 
 1,977,434
Aspect Software, Inc.
     
12.81% (3 Month USD LIBOR + 10.50%) due 05/25/203
  1,271,876
 
 1,053,114
6.41% (3 Month USD LIBOR + 4.00%) due 05/25/20†††,2,3
  531,404
 
 531,404
Cologix Holdings, Inc.
     
9.07% (1 Month USD LIBOR + 7.00%) due 03/20/25
  750,000
 
 750,705
Park Place Technologies LLC
     
10.08% (1 Month USD LIBOR + 8.00%) due 03/29/26
  500,000
 
 497,500
Total Technology
   
 15,249,562
Consumer, Cyclical -  7.7%
     
Accuride Corp.
     
7.58% (3 Month USD LIBOR + 5.25%) due 11/17/23
  3,420,104
 
 3,456,460
Alexander Mann
     
5.50% (3 Month USD LIBOR + 5.50%) due 06/29/25
GBP  1,150,000
 
 1,431,127
5.50% (3 Month USD LIBOR + 5.50%) due 08/07/25
  1,300,000
 
 1,248,000
ABRA Auto Body
     
9.42% (3 Month USD LIBOR + 7.25%) due 09/19/22
  2,350,000
 
 2,355,875
BC Equity Ventures LLC
     
10.50% (3 Month USD LIBOR + 6.50%) due 08/31/22
  1,914,846
 
 1,919,633
Acosta, Inc.
     
5.54% (1 Month USD LIBOR + 3.25%) due 09/26/19
  755,556
 
 583,667
5.48% (3 Month LIBOR + 3.25%) due 09/26/19
  222,222
 
 171,666
Blue Nile, Inc.
     
8.58% (1 Month USD LIBOR + 6.50%) due 02/17/23
  451,250
 
 451,250
SMG US Midco 2, Inc.
     
9.08% (1 Month USD LIBOR + 7.00%) due 01/23/26
  300,000
 
 302,001
CH Holding Corp.
     
9.33% (1 Month USD LIBOR + 7.25%) due 02/03/25
  200,000
 
 202,000
Total Consumer, Cyclical
   
 12,121,679
Industrial -  6.8%
     
Springs Window Fashions
     
10.56% (1 Month USD LIBOR + 8.50%) due 06/15/26
  2,900,000
 
 2,769,500
Hayward Industries, Inc.
     
10.33% (1 Month USD LIBOR + 8.25%) due 08/04/25
  2,325,000
 
 2,325,000
 
 
Face
   
 
Amount~
 
Value
SENIOR FLOATING RATE INTERESTS††,6 - 44.3% (continued)
     
Industrial -  6.8% (continued)
     
Diversitech Holdings, Inc.
     
9.84% (3 Month USD LIBOR + 7.50%) due 06/02/25
  1,000,000
 
$1,010,000
Resource Label Group LLC
     
10.84% (3 Month USD LIBOR + 8.50%) due 11/26/23
850,000
 
841,500
Bioplan USA, Inc.
     
6.83% (1 Month USD LIBOR + 4.75%) due 09/23/21
  857,299
 
 794,074
National Technical
     
8.33% (1 Month USD LIBOR + 6.25%) due 06/12/21†††,2
  730,523
 
 712,260
Ranpak
     
9.31% (1 Month USD LIBOR + 7.25%) due 10/03/22
  536,667
 
 538,008
PT Intermediate Holdings III LLC
     
10.33% (3 Month USD LIBOR + 8.00%) due 12/08/25
  450,000
 
 452,250
STS Operating, Inc. (SunSource)
     
6.33% (1 Month USD LIBOR + 4.25%) due 12/11/24
  375,000
 
 371,876
Advanced Integration Technology LP
     
7.22% (3 Month USD LIBOR + 4.75%) due 04/03/23
  364,764
 
 363,852
ProAmpac PG Borrower LLC
     
10.81% (1 Month USD LIBOR + 8.50%) due 11/18/24
  250,000
 
 250,418
Wencor Group
     
5.58% (1 Month LIBOR + 3.50%) due 06/19/19
  215,385
 
 208,923
Total Industrial
   
 10,637,661
Consumer, Non-cyclical -  5.6%
     
NES Global Talent
     
7.84% (3 Month USD LIBOR + 5.50%) due 05/11/23
  3,241,875
 
 3,241,875
CTI Foods Holding Co. LLC
     
9.33% (1 Month USD LIBOR + 7.25%) due 06/28/21
  3,430,000
 
 1,715,000
5.58% (1 Month USD LIBOR + 3.50%) due 06/29/20
  630,000
 
 497,700
Immucor, Inc.
     
7.17% (1 Month USD LIBOR + 5.00%) due 06/15/21
  1,188,000
 
 1,200,866
IHC Holding Corp.
     
8.92% (1 Month USD LIBOR + 6.75%) due 04/30/21†††,2
  1,158,725
 
 1,151,006
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
     
6.58% (3 Month USD LIBOR + 4.50%) due 04/03/25
  548,625
 
 547,253
Examworks Group, Inc.
     
8.25% (3 Month USD LIBOR + 3.25%) due 07/27/21†††,2
  383,333
 
 356,923
 

Guggenheim Credit Allocation Fund
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
August 31, 2018
   
 
 
Face
   
 
Amount~
 
Value
SENIOR FLOATING RATE INTERESTS††,6 - 44.3% (continued)
     
Consumer, Non-cyclical -  5.6% (continued)
     
Targus Group International, Inc.
     
15.13% (1 Month USD LIBOR + 11.50%) due 05/24/16†††,2,3,10
  383,723
 
$
Total Consumer, Non-cyclical
   
 8,710,623
Energy -  5.0%
     
Gavilan Resources LLC
     
8.08% (1 Month USD LIBOR + 6.00%) due 03/01/24
  3,280,000
 
 3,169,300
YAK MAT (YAK ACCESS LLC)
     
12.07% (3 Month USD LIBOR + 10.00%) due 07/10/26
2,300,000
 
2,179,250
Permian Production Partners
     
8.08% (1 Month USD LIBOR + 6.00%) due 05/18/24
  2,100,000
 
 2,068,500
Summit Midstream Partners, LP
     
8.08% (1 Month USD LIBOR + 6.00%) due 05/13/22
  397,917
 
 402,891
Total Energy
   
 7,819,941
Communications -  4.6%
     
Flight Bidco, Inc.
     
9.84% (3 Month USD LIBOR + 7.50%) due 07/23/26
  2,300,000
 
 2,277,000
Cengage Learning Acquisitions, Inc.
     
6.33% (1 Month USD LIBOR + 4.25%) due 06/07/23
  2,250,609
 
 2,082,939
Comet Bidco Ltd.
     
7.31% (3 Month USD LIBOR + 5.00%) due 09/30/24
  2,039,750
 
 1,987,063
Houghton Mifflin Co.
     
5.08% (1 Month USD LIBOR + 3.00%) due 05/28/21
  800,000
 
 740,800
Proquest LLC
     
11.08% (1 Month USD LIBOR + 9.00%) due 12/15/22
  146,200
 
 147,662
Total Communications
   
 7,235,464
Utilities -  4.4%
     
Bhi Investments LLC
     
11.25% (3 Month USD LIBOR + 8.75%) due 02/28/25†††,2
  3,000,000
 
 2,970,000
Minerva Bidco Ltd.
     
5.72% (3 Month USD LIBOR + 5.00%) due 07/20/25
GBP  2,200,000
 
 2,837,624
MRP Generation Holding
     
9.33% (3 Month USD LIBOR + 7.00%) due 10/18/22
  736,875
 
 718,453
Stonewall
     
7.83% (3 Month USD LIBOR + 5.50%) due 11/13/21
  327,227
 
 325,591
Total Utilities
   
 6,851,668
Financial -  0.3%
     
Aretec Group, Inc.
     
4.25% due 08/13/2512
  425,000
 
 426,062
Basic Materials -  0.2%
     
Big River Steel LLC
     
7.33% (3 Month USD LIBOR + 5.00%) due 08/23/23
  347,375
 
352,586
Total Senior Floating Rate Interests
     
(Cost $71,585,757)
   
69,405,246
 
 
Face
   
 
Amount~
 
Value
ASSET-BACKED SECURITIES†† - 4.3%
     
Collateralized Loan Obligations -  1.5%
     
Monroe Capital CLO Ltd.
     
2017-1A, 5.95% (3 Month USD LIBOR + 3.60%) due 10/22/265,6
1,000,000
 
$1,000,974
FDF I Ltd.
     
2015-1A, 6.88% due 11/12/301,5
  500,000
 
 499,252
Dryden 41 Senior Loan Fund
     
2015-41A, due 04/15/315,11
  600,000
 
 461,233
Treman Park CLO Ltd.
     
2015-1A, due 04/20/271,5,11
  500,000
 
 413,002
Babson CLO Ltd.
     
2012-2A, due 05/15/231,5,11
  1,000,000
 
 40,278
Total Collateralized Loan Obligations
   
 2,414,739
Transport-Aircraft -  1.3%
     
Emerald Aviation Finance Ltd.
     
2013-1, 6.35% due 10/15/381,5
  981,814
 
 994,468
Apollo Aviation Securitization Equity Trust
     
2016-2, 7.87% due 11/15/41
  346,450
 
 346,450
2016-1A, 9.20% due 03/17/361,5
  151,371
 
 152,270
Rise Ltd.
     
2014-1B, 6.50% due 02/12/39
  284,967
 
 279,268
Turbine Engines Securitization Ltd.
     
2013-1A, 6.38% due 12/13/481,9
  218,400
 
 186,866
Total Transport-Aircraft
   
 1,959,322
Whole Business -  0.6%
     
TSGE
     
2017-1, 6.25% due 09/25/31†††,2
  1,000,000
 
 1,007,264
Collateralized Debt Obligations -  0.6%
     
Anchorage Credit Funding 1 Ltd.
     
2015-1A, 6.30% due 07/28/305
  1,000,000
 
 1,007,144
 

Guggenheim Credit Allocation Fund
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
August 31, 2018
   
 
Face
   
 
Amount~
 
Value
Financial -  0.3%
     
NCBJ
     
2015-1A, 5.88% due 07/08/22†††,1,2
  411,312
 
$411,913
Total Asset-Backed Securities
     
(Cost $6,671,790)
   
6,800,382
Total Investments - 145.5%
     
(Cost $238,268,989)
   
$227,995,772
Other Assets & Liabilities, net - (45.5)%
   
(71,280,995)
Total Net Assets - 100.0%
   
$156,714,777

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
Counterparty
Contracts to Sell
Currency
Settlement Date
Settlement Value
Value at
August 31, 2018
Net Unrealized Appreciation/(Depreciation)
JPMorgan Chase & Co.
1,206,000
CAD
09/11/18
$924,518
$924,317
$201
BofA Merrill Lynch
2,811,000
EUR
09/11/18
 3,253,699
 3,264,526
 (10,827)
JPMorgan Chase & Co.
6,035,000
GBP
09/11/18
 7,769,171
 7,825,199
 (56,028)
           
$(66,654)
~
The face amount is denominated in U.S. dollars unless otherwise indicated.
*
Non-income producing security.
Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
††
Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
†††
Value determined based on Level 3 inputs — See Note 3.
1
All or a portion of these securities have been physically segregated in connection with reverse repurchase agreements and unfunded loan commitments.  As of August 31, 2018, the total value of securities segregated was $94,857,999.
2
Security was fair valued by the Valuation Committee at August 31, 2018.  The total market value of fair valued securities amounts to $14,963,598, (cost $16,661,742) or 9.5% of total net assets.
3
Affiliated issuer.
4
Rate indicated is the 7 day yield as of August 31, 2018.
5
Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $96,305,364 (cost $100,451,887), or 61.5% of total net assets.
6
Variable rate security.  Rate indicated is the rate effective at August 31, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
7
Perpetual maturity.
8
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
9
Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $1,679,967 (cost $2,440,071), or 1.1% of total net assets — See Note 6.
10
Security is in default of interest and/or principal obligations.
11
Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
12
Term loan interests in the Fund’s portfolio generally have variable rates.  All or a portion of this security represents unsettled loan positions and may not have a stated coupon rate.
13
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
 
CAD
Canadian Dollar
EUR
Euro
GBP
British Pound
LIBOR
London Interbank Offered Rate
plc
Public Limited Company
   
See Sector Classification in Other Information section.
 
The following table summarizes the inputs used to value the Fund's investments at August 31, 2018 (See Note 3 in the Notes to Schedule of Investments):
 
Investments in Securities (Assets)
 
Level 1 Quoted Prices
   
Level 2 Significant Observable Inputs
   
Level 3 Significant Unobservable Inputs
   
Total
 
Common Stocks
 
$
1,033,846
   
$
741,852
   
$
145,440
   
$
1,921,138
 
Preferred Stocks
   
3,080,608
     
     
     
3,080,608
 
Warrants
   
     
     
25,375
     
25,375
 
Exchange-Traded Funds
   
4,988,690
     
     
     
4,988,690
 
Money Market Fund
   
549,235
     
     
     
549,235
 
Corporate Bonds
   
     
140,550,544
     
674,554
     
141,225,098
 
Senior Floating Rate Interests
   
     
56,031,640
     
13,373,606
     
69,405,246
 
 

Guggenheim Credit Allocation Fund
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
August 31, 2018
   
 
 
Asset-Backed Securities
   
     
5,381,205
     
1,419,177
     
6,800,382
 
Forward Foreign Currency Exchange Contracts*
   
     
201
     
     
201
 
Total Assets
 
$
9,652,379
   
$
202,705,442
   
$
15,638,152
   
$
227,995,973
 
                                 
Investments in Securities (Liabilities)
 
Level 1 Quoted Prices
   
Level 2 Significant Observable Inputs
   
Level 3 Significant Unobservable Inputs
   
Total
 
Forward Foreign Currency Exchange Contracts*
 
$
   
$
66,855
   
$
   
$
66,855
 
Unfunded Loan Commitments (Note 5)
   
     
241,093
     
104,642
     
345,735
 
Total Liabilities
 
$
   
$
307,948
   
$
104,642
   
$
412,590
 
* This derivative is reported as unrealized appreciation/depreciation at period end.
 
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2018, reverse repurchase agreements of $76,723,307 are categorized as Level 2 within the disclosure hierarchy. See Note 3.
 
The following is a summary of the significant unobservable inputs used in the fair valuation of assets and liabilities categorized within the Level 3 of the fair value hierarchy.
 
Category
 
Ending Balance at August 31, 2018
 
Valuation Technique
Unobservable Inputs
 
Input Range
   
Weighted Average
 
Assets:
                     
Asset-Backed Securities
 
$
1,007,264
 
Model Price
Market Comparable Yield
   
6.2
%
   
-
 
Asset-Backed Securities
   
411,913
 
Yield Analysis
Yield
   
6.2
%
   
-
 
Common Stocks
   
143,998
 
Enterprise Value
Valuation Multiple
   
6.2x-9.4x
 
   
7.4x
 
Common Stocks
   
1,442
 
Model Price
Liquidation Value
     -        -  
Corporate Bonds
   
674,554
 
Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR
Indicative Quote
    -       -  
Senior Floating Rate Interests
   
8,751,113
 
Yield Analysis
Yield
   
9.2%-12.1
%
   
9.9
%
Senior Floating Rate Interests
   
3,501,404
 
Enterprise Value
Valuation Multiple
   
9.1x-9.4x
 
   
9.1x
 
Senior Floating Rate Interests
   
712,260
 
Model Price
Market Comparable Yields
   
6.3
%
   
-
 
Senior Floating Rate Interests
   
408,829
 
Model Price
Purchase Price
   
-
     
-
 
Warrants
   
25,375
 
Enterprise Value
Valuation Multiple
   
9.4x
 
   
7.4x
 
Total
 
$
15,638,152
                     
Liabilities:
                           
Unfunded Loan Commitments
 
$
104,642
 
Model Price
Purchase Price
   
-
     
-
 
 
Significant changes in an indicative quote, yield, market comparable yield or valuation multiples would generally result in significant changes in the fair value of the security.
 
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
 
As of August 31, 2018, the Fund had securities with a total value of $2,970,000 transfer from Level 2 to Level 3 due to lack of observable inputs and had securities with a total value of $208,923 transfer from Level 3 to Level 2 due to availability of market price information at period end. As of August 31, 2018, the Fund had liabilities with a total value of $8,538 transfer from Level 3 to Level 2 due to availability of market price information at period end.  There were no other securities that transferred between levels.
 
Summary of Fair Value Level 3 Activity
 
Following is a reconciliation of Level 3 assets and liabilities for which significant unobservable inputs were used to determine fair value for the period ended August 31, 2018:
 
LEVEL 3 – Fair Value measurement using significant unobservable inputs
 
   
Assets
         
Liabilities
 
   
Asset-Backed Securities
   
Corporate Bonds
   
Senior Floating Rate Interests
   
Warrants
   
Common Stocks
   
Total Assets
   
Unfunded Loan Commitments
 
Beginning Balance
 
$
1,430,016
   
$
687,359
   
$
11,750,092
   
$
-
   
$
283,937
   
$
14,151,404
   
$
(175,354
)
Purchases/(Receipts)
   
-
     
88
     
894,315
     
-
     
-
     
894,403
     
(251,335
)
(Sales, maturities and paydowns)/Fundings
   
(22,659
)
   
(5,825
)
   
(2,008,966
)
   
-
     
(258)
     
(2,037,708
)
   
77,730
 
Amortization of discount/premiums
   
-
     
-
     
31,420
     
-
     
-
     
31,420
     
(13,750
)
Total realized gains or losses included in earnings
   
-
     
5,262
     
(25,737
)
   
-
     
-
 
   
(20,475
)
   
512,500
 
Total change in unrealized appreciation (depreciation) included in earnings
   
11,820
     
(12,330
)
   
(28,595
)
   
25,375
     
(138,239
)
   
(141,969
)
   
(262,971
)
Transfers into Level 3
   
-
     
-
     
2,970,000
     
-
     
-
     
2,970,000
     
-
 
Transfers out of Level 3
   
-
     
-
     
(208,923
)
   
-
     
-
     
(208,923
)
   
8,538
 
Ending Balance
 
$
1,419,177
   
$
674,554
   
$
13,373,606
   
$
25,375
   
$
145,440
   
$
15,638,152
   
$
(104,642
)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at August 31, 2018
 
$
11,820
   
$
(7,067
)
 
$
(2,528
)
 
$
25,375
   
$
(138,239
)
 
$
(110,639
)
 
$
(12,642
)
 
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under Guggenheim Investments (“GI”), result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
Transactions during the period ended August 31, 2018, in which the portfolio company is an "affiliated person", were as follows:
 
Security Name
 
Value 05/31/18
   
Additions
   
Reductions
   
Realized Loss
   
Change in Unrealized Appreciation/(Depreciation)
   
Value 08/31/18
   
Shares 08/31/18
   
Interest and Amortization Included in Income
   
Capital Gain Distributions
 
Common Stocks
                                                     
  Aspect Software Parent, Inc.*,1
 
$
141,720
   
$
   
$
   
$
(258
)
 
$
(137,393
)
 
$
4,069
     
200
   
$
   
$
 
  Targus Group International Equity, Inc.*,1
   
83,725
     
     
     
     
(845
)
   
82,880
     
32,060
     
     
 
Warrants
                                                                       
  Aspect Software, Inc.1
   
     
     
     
     
25,375
     
25,375
     
161,849
     
     
 
Senior Floating Rate Interests2
                                                                       
 
 

Guggenheim Credit Allocation Fund
 
SCHEDULE OF INVESTMENTS (Unaudited)                  
August 31, 2018
   
 
 
  Aspect Software, Inc. 12.81% (3 Month USD LIBOR + 10.50%) due 05/25/20
   
1,199,287
     
24,939
     
(8,204
)
   
     
(162,908
)
   
1,053,114
     
1,271,876
     
65,173
     
12,469
 
  Aspect Software, Inc. 6.41% (3 Month USD LIBOR + 4.00%) due 05/25/201
   
536,250
     
165,667
     
(170,513
)
   
     
     
531,404
     
531,404
     
15,248
     
 
  Targus Group International, Inc.  15.13% (1 Month USD LIBOR + 11.50%) due 05/24/161,3
   
     
     
     
     
     
     
383,723
     
     
 
   
$
1,960,982
   
$
190,606
   
$
(178,717
)
 
$
(258
)
 
$
(275,771
)
 
$
1,696,842
           
$
80,421
   
$
12,469
 
 

*
Non-income producing security.
1
Security was fair valued by the Valuation Committee August 31, 2018.  The total market value of affiliated and fair valued securities amounts to $643,728, (cost $2,076,190) or 0.4% of total net assets.
2
Variable rate security.  Rate indicated is the rate effective at August 31, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
3
Security is in default of interest and/or principal obligations.
 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2018
 

Note 1 – Organization and Significant Accounting Policies

Organization
Guggenheim Credit Allocation Fund (the "Fund") was organized as a Delaware statutory trust on June 7, 2012, and commenced investment operations on June 26, 2013. The Fund is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act").
The Fund's investment objective is to seek total return through a combination of current income and capital appreciation.
Significant Accounting Policies
The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Fund. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
(a) Valuation of Investments 
The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund's investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.
Valuations of the Fund's securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund's officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sale price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
Open-end investment companies ("Mutual Funds") are valued at their net asset value (“NAV”) as of the close of business, on the valuation date. Exchange-traded funds ("ETFs") and closed-end investment companies ("CEFs") are valued at the last quoted sale price.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the NYSE. The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as World Equity Benchmark Securities. In addition, under the Valuation Procedures, the Valuation Committee and Guggenheim Funds Investment Advisors, LLC (“GFIA”, or the “Adviser”) are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2018
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value. Money market funds are valued at their NAV.
Typically, loans are valued using information provided by an independent third party pricing service which uses broker quotes in a non-active market.
Investments for which market quotations are not readily available are fair valued as determined in good faith by GFIA, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value". Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
Note 2 – Financial Instruments
As part of its investment strategy, the Fund utilizes derivative instruments. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Schedule of Investments.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.
In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. The Fund uses, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund.
The Fund has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Fund monitors the counterparty credit risk.
Note 3 – Fair Value Measurement  

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2018
In accordance with U.S. GAAP, 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. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — quoted prices in active markets for identical assets or liabilities.
Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they may be computed by the Fund’s investment adviser or an affiliate.  In any event, values may be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.
Indicative quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may be also used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although indicative quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in an indicative quote would generally result in significant changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly indicative quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.

Note 4 – Federal Income Tax Information
The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
At August 31, 2018, the cost of securities for Federal income tax purposes, the aggregate gross unrealized appreciation for all securities for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all securities for which there was an excess of tax cost over value were as follows:

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2018
 
Tax Cost
Tax Unrealized Appreciation
Tax Unrealized Depreciation
Net Unrealized Appreciation
$        238,278,230
$        3,043,508
$          (13,392,620)
$       (10,349,112)
 
Note 5 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of August 31, 2018. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of August 31, 2018, were as follows:

Borrower
Maturity Date
 
Face Amount*
Value
Acosta, Inc.
09/26/19
 
1,022,222
$232,555
Advantage Sales & Marketing, Inc.
07/25/19
 
 900,000
 43,686
Alexander Mann
12/29/24
 
GBP    500,000
 —
Bullhorn, Inc.
11/21/22
 
 179,632
 4,412
Cypress Intermediate Holdings III, Inc.
04/27/22
 
 450,000
 40,752
Examworks Group, Inc.
07/27/21
 
 116,667
 —
Lumentum Holdings, Inc.
03/11/19
 
 1,750,000
 —
Lytx, Inc.
08/31/22
 
 157,895
 15,792
Wencor Group
06/19/19
 
 284,615
 8,538
     
$345,735
*The face amount is denominated in U.S. dollars unless otherwise indicated.
GBP - British Pound
Note 6 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Restricted Securities
Acquisition Date
Cost
Value
KeHE Distributors LLC / KeHE Finance Corp.
     
 7.63% due 08/15/211
07/30/13
$1,082,999
$1,054,844
Princess Juliana International Airport Operating Company N.V.
     
5.50% due 12/20/271
02/05/14
 357,843
 322,724
Schahin II Finance Co. SPV Ltd.
     
 5.88% due 09/25/221,2
01/18/14
 783,911
 115,533
Turbine Engines Securitization Ltd.
     
2013-1A, 6.38% due 12/13/481
11/27/13
 215,318
 186,866
   
$2,440,071
$1,679,967
 
1
All or a portion of these securities have been physically segregated in connection with reverse repurchase agreements and unfunded loan commitments. As of August 31, 2018, the total value of restricted and segregated securities was $1,215,461.
2
Security is in default of interest/and or principal obligations.

Other Information (Unaudited)

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level classifications used by Bloomberg Industry Classification System, a widely recognized industry classification system provider. In the Fund’s registration statement, the Fund has investment policies relating to concentration in specific industries. For purposes of these investment policies, the Fund usually classifies industries based on industry-level classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
 



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) as of a date within 90 days of the filing date of this report and have concluded, based on such evaluation, that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(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 of 1940, as amended) 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 of 1940, as amended (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 Credit Allocation Fund 

By:          /s/ Brian E. Binder       
Brian E. Binder
President and Chief Executive Officer

Date:       October 26, 2018

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/ Brian E. Binder       
                Brian E. Binder
President and Chief Executive Officer

Date:      October 26, 2018
 
By:          /s/ John L. Sullivan      
John L. Sullivan
Chief Financial Officer, Chief Accounting Officer and Treasurer

Date:       October 26, 2018