Guggenheim Tax-Exempt Strategy Portfolio of CEFs Series 1

The Trust contains common shares of closed-end investment companies (“closed-end funds”), all of which contain portfolios that are concentrated in tax-exempt municipal bonds. 

An investment can be made in the Closed- End Funds without paying the sales fee, operating expenses and organization costs of the Trust. 

The Sponsor, with the assistance of Guggenheim Partners Investment Management, LLC ("GPIM"), an affiliate of Guggenheim Partners, LLC, has selected the securities to be included in the Trust’s portfolio according to the selection criteria described below. 

See “Investment Policies” in Part B of the prospectus for additional information.

The trust’s portfolio was constructed and the securities were selected three business days prior to the initial date of deposit (the “Inception Date”) according to the selection criteria described below. 

The security selection process begins by identifying the entire universe of U.S.-listed closed-end funds. Each closed-end fund is then ranked for each the four factors listed below on a scale of 1 through 10, where “1” represents the 10% of closed-end funds ranked highest in a given factor and “10” represents the 10% of closed-end funds ranked lowest in a given factor. 

• Current percentage discount from net asset value (“NAV Discount”) 
• Current NAV Discount compared to the closed-end fund’s two-year historical NAV Discount 
• Volatility of distributions paid over the last 12 quarters 
• Six-month market price momentum 

The 40 closed-end funds with the highest average of the four rankings (where ties are broken by selecting the closed-end fund with the higher trading liquidity) will be selected for the trust portfolio, subject to the following constraints: 

• Only include closed-end funds classified as tax-exempt municipal income funds; 
• Minimum per share price of $5 as of the selection date; 
• Exclude closed-end funds that have a net asset value of less than $100 million;
• Exclude securities with 30-days average trading volume of less than $400,000 (or less than the median universe average trading volume if that is less than $400,000); 
• Exclude closed-end funds advised by the sponsor; 
• No more than 33% of the trust portfolio will comprise state-specific municipal closed-end funds and no one state’s bonds will represent more than 10% of the aggregate holdings of the closed-end funds selected for the trust; and 
• No more than 33% of the trust portfolio will comprise closed-end funds classified as high-yield municipal income closed-end funds.

The 40 closed-end funds selected for the portfolio will be approximately equally-weighted as of the selection date.

As with all investments, you may lose some or all of your investment in the Trust. No assurance can be given that the Trust’s investment objective will be achieved. The Trust also might not perform as well as you expect. This can happen for reasons such as these: 

• Securities prices can be volatile. The value of your investment may fall over time. Market value fluctuates in response to various factors. These can include stock market movements, purchases or sales of securities by the Trust, government policies, litigation, and changes in interest rates, inflation, the financial condition of the securities’ issuer or even perceptions of the issuer. Units of the Trust are not deposits of any bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. 
• Due to the current state of the economy, the value of the securities held by the Trust may be subject to steep declines or increased volatility due to changes in performance or perception of the issuers. Starting in December 2007, economic activity declined across all sectors of the economy, and the United States experienced increased unemployment. The economic crisis affected the global economy with European and Asian markets also suffering historic losses. Standard & Poor’s Rating Services recently lowered its long-term sovereign credit rating on the United States to “AA+” from “AAA,” which could lead to increased interest rates and volatility. Extraordinary steps have been taken by the governments of several leading countries to combat the economic crisis; however, the impact of these measures is not yet fully known and cannot be predicted. 
• The Trust includes closed-end funds. Closed-end funds are actively managed investment companies that invest in various types of securities. Closed-end funds issue common shares that are traded on a securities exchange. Closed- End Funds are subject to various risks, including management’s ability to meet the closed-end fund’s investment objective and to manage the closed-end fund’s portfolio during periods of market turmoil and as investors’ perceptions regarding closed-end funds or their underlying investments change. Closed-end funds are not redeemable at the option of the shareholder and they may trade in the market at a discount to their net asset value. Closed-end funds may also employ the use of leverage which increases risk and volatility. Instability in the auction rate preferred shares market may affect the volatility of closed-end funds that use such instruments to provide leverage. 
• Closed-end funds held by the Trust invest in municipal bonds. Municipal bonds are long-term fixed rate debt obligations that decline in value with increases in interest rates, an issuer’s worsening financial condition, a drop in bond ratings or when there is a decrease in the federal income tax rate. Typically, bonds with longer periods before maturity are more sensitive to interest rate changes. Municipal bonds generally generate income exempt from federal income taxation, but may be subject to the alternative minimum tax. In addition, some or all of the income generated by a closed-end fund may not be exempt from regular federal or state income taxes and as a result, the related income paid by the Trust may also be subject to regular federal and state income taxes. Capital gains, if any, may be subject to tax. 
• The value of the fixed-income securities in the closed-end funds will generally fall if interest rates, in general, rise. Typically, fixed-income securities with longer periods before maturity are more sensitive to interest rate changes. 
• A closed-end fund or an issuer of securities held by a closed-end fund may be unwilling or unable to make principal payments and/or to declare distributions in the future, may call a security before its stated maturity, or may reduce the level of distributions declared. This may result in a reduction in the value of your units. 
• The financial condition of a Closed- End Fund or an issuer of securities held by a closed-end fund may worsen, resulting in a reduction in the value of your units. This may occur at any point in time, including during the primary offering period. 
• Certain closed-end funds held by the Trust invest in securities that are rated below investment-grade and are considered to be “junk” securities. Below investment-grade obligations are considered to be speculative and are subject to greater market and credit risks, and accordingly, the risk of nonpayment or default is higher than with investment-grade securities. In addition, such securities may be more sensitive to interest rate changes and more likely to receive early returns of principal. 
• Certain closed-end funds held by the Trust may invest in securities that are rated as investment-grade by only one rating agency. As a result, such split-rated securities may have more speculative characteristics and are subject to a greater risk of default than securities rated as investment-grade by more than one rating agency. 
• Current economic conditions may lead to limited liquidity and greater volatility. The markets for fixed-income securities, such as those held by the closed-end funds, may experience periods of illiquidity and volatility. General market uncertainty and consequent repricing risk have led to market imbalances of sellers and buyers, which in turn have resulted in significant valuation uncertainties in a variety of fixed-income securities. These conditions resulted, and in many cases continue to result in, greater volatility, less liquidity, widening credit spreads and a lack of price transparency, with many debt securities remaining illiquid and of uncertain value. These market conditions may make valuation of some of the securities held by a closed-end fund uncertain and/or result in sudden and significant valuation increases or declines in its holdings. 
• Inflation may lead to a decrease in the value of assets or income from investments. 
• The Sponsor does not actively manage the portfolio. The Trust will generally hold, and may, when creating additional units, continue to buy, the same securities even though a security’s outlook, market value or yield may have changed. 
• Please note that the Sponsor or an affiliate may be engaged as a service provider to certain closed-end funds held by the Trust and therefore certain fees paid by the Trust to such closed-end funds will be paid to the Sponsor or an affiliate for its services to such closed-end funds. In addition to the expenses of the units of the Trust, the Trust is subject to various expenses of closed-end funds. Please see the Trust prospectus for more complete risk information.

See “Investment Risks” in Part A of the prospectus and “Risk Factors” in Part B of the prospectus for additional information.