gug50273-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)
 
Kevin M. Robinson
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: July 1, 2010 to September 30, 2010

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5).  The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public.  A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number.  Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609.  The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
 
Item 1. Schedule of Investments.
Attached hereto.
 
 
 
 
 
Guggenheim Enhanced Equity Income Fund
        
Portfolio of Investments
        
September 30, 2010 (unaudited)
        
             
Number
            
of Shares
          
 Value
   
Long-Term Investments - 129.0%
        
   
Exchange-Traded Funds (a) - 129.0%
        
              207,100
  
Health Care Select Sector SPDR Fund
      
 $             6,312,408
              214,900
  
iShares Dow Jones US Real Estate Index Fund
      
              11,363,912
              357,800
  
iShares Russell 2000 Index Fund
      
              24,140,766
              484,500
  
Powershares QQQ Trust, Series 1
      
              23,779,260
              373,000
  
ProShares Ultra S&P500
      
              14,681,280
              436,300
  
SPDR Dow Jones Industrial Average ETF Trust
      
              47,081,133
              717,200
  
SPDR S&P 500 ETF Trust
      
              81,846,864
              515,800
  
Technology Select Sector SPDR Fund
      
              11,873,716
   
(Cost $216,172,203)
      
            221,079,339
             
             
   
Short-Term Investments - 3.5%
        
   
Money Market Funds - 3.5%
        
           5,979,994
  
Dreyfus Institutional Reserve Money Market Fund
        
   
(Cost $5,979,994)
      
               5,979,994
             
   
Total Investments - 132.5%
        
   
(Cost $222,152,197)
      
            227,059,333
   
Liabilities in excess of Other Assets - (2.8%)
      
              (4,769,052)
   
Total Value of Options Written - (2.3%)
      
              (3,901,239)
   
Borrowings - (27.4%)
      
             (47,000,000)
   
Net Assets  - 100.0%
      
 $         171,389,042
             
Contracts
            
(100 shares
    
Expiration
Exercise
  
 
per contract)
  
Options Written (b)
Date
Price
  
Value
   
Call Options Written - (2.3%)
        
                  2,071
  
Health Care Select Sector SPDR Fund
October 2010
30.00
  
 $               147,041
                  2,149
  
iShares Dow Jones US Real Estate Index Fund
October 2010
54.00
  
                  108,525
                  3,578
  
iShares Russell 2000 Index Fund
October 2010
65.00
  
               1,123,492
                  4,845
  
Powershares QQQ Trust, Series 1
October 2010
49.00
  
                  419,092
                  3,730
  
ProShares Ultra S&P500
October 2010
40.00
  
                  339,430
                  4,363
  
SPDR Dow Jones Industrial Average ETF Trust
October 2010
108.00
  
                  617,365
                  7,172
  
SPDR S&P 500 ETF Trust
October 2010
115.00
  
                  950,290
                  5,158
  
Technology Select Sector SPDR Fund
October 2010
23.00
  
                  196,004
   
Total Value of Options Written - (2.3%)
      
               3,901,239
   
(Premiums received $2,804,674)
        
 
           
S&P - Standard and Poor's
      
           
(a) All of the security positions represent covers (directly or through conversion rights) for outstanding options written.
(b) Non-income producing.
      
           
     
 
    
See previously submitted notes to financial statements for the period ended June 30, 2010.
 
         
   
Country Allocation*
  
   
United States
100.0%
  
         
   
*  Subject to change daily.  Based on total investments.
    
         
         
 
 
 
 
 
 
At September 30, 2010, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
      
             Net Tax      
      Gross Tax     Gross Tax     Unrealized      
     Unrealized    Unrealized    Appreciation on      
Cost of Investments for Tax Purposes   Appreciation   Depreciation     Investments      
 $                                               222,152,197
  
 $        5,113,075
  
 $     (205,939)
  
 $       4,907,136
      
                   
In accordance with ASC 820, Fair Value Measurements and Disclosures ("ASC 820"), 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.  ASC 820 establishes 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 has adopted the Accounting Standard Update, Fair Value Measurements and Disclosures
      
(Topic 820): Improving Disclosures about Fair Value Measurements which provides guidance on how investment
      
assets and liabilities are to be valued and disclosed. Specifically, the amendment requires reporting entities to
      
disclose i) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value
  
measurements, for Level 2 or Level 3 positions ii) transfers between all levels (including Level 1 and Level 2) will be required
  
to be disclosed on a gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s)
  
for the transfer and iii) purchases, sales, issuances and settlements must be shown on a gross basis in the Level 3
    
rollforward rather than as one net number. The effective date of the amendment is for interim and annual periods beginning
  
after December 15, 2009 however, the requirement to provide the Level 3 activity for purchases, sales, issuances and
  
settlements on a gross basis will be effective for interim and annual periods beginning after December 15, 2010.   The
  
Fund has adopted the disclosures required by this amendment, which did not have a material impact on the financial
  
statements.
                  
                   
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values
      
Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing
      
market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values
      
Level 2 equity securities using quoted prices that are fair valued using procedures approved by the Board of Trustees.
  
The Fund did not have any Level 3 securities at September 30, 2010.
              
                   
The following table represents the Fund's investments carried on the Statement of Assets and Liabilities
      
by caption and by level within the fair value hierarchy as of September 30, 2010:
          
                   
 
                   
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
  
(value in $000s)
                  
Assets:
                  
Exchange Traded Funds
   $ 221,079   $ -   $ -   $ 221,079  
Money Market Fund
     5,980     -     -     5,980  
Total
   $ 227,059   $ -   $ -   $ 227,059  
                           
Liabilities:
                          
Derivatives
   $ 3,901   $ -   $ -   $ 3,901  
Total
   $ 3,901   $ -   $ -   $ 3,901  
                           
                           
There were no transfers between Level 1 and Level 2.
                    
                           
 
 
 
 
 

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 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 were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) 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/ Kevin M. Robinson
Name:
Kevin M. Robinson
Title:
Chief Executive Officer and Chief Legal Officer
 
Date: November 18, 2010


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/ Kevin M. Robinson
Name:
Kevin M. Robinson
Title:
Chief Executive Officer and Chief Legal Officer
 
Date: November 18, 2010

 
By:
/s/ Bruce Albelda
Name:
Bruce Albelda
Title:
Interim Chief Financial Officer, Interim Chief Accounting Officer and Interim Treasurer

Date: November 18, 2010