GBAB Guggenheim Taxable Municipal Bond and Inv Grade Debt Trust

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-22437

Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust
(Exact name of registrant as specified in charter)

227 West Monroe, Chicago, IL, 60606
(Address of principal executive offices) (Zip code)

Amy J. Lee

227 West Monroe, 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, 2023 – November 30, 2023

 

Item 1. Reports to Stockholders.

The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:

 

 

 

Guggenheim Funds Semiannual Report

Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust

GuggenheimInvestments.com	CEF-GBAB-SAR-1123

 

 

 

GUGGENHEIMINVESTMENTS.COM/GBAB

... YOUR LINK TO THE LATEST, MOST UP-TO-DATE INFORMATION ABOUT THE GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST

The shareholder report you are reading right now is just the beginning of the story.

Online at guggenheiminvestments.com/gbab, you will find:

• Daily, weekly and monthly data on share prices, net asset values, distributions and more

• Monthly portfolio overviews and performance analyses

• Announcements, press releases and special notices

• Trust and adviser contact information

Guggenheim Partners Investment Management, LLC and Guggenheim Funds Investment Advisors, LLC are continually updating and expanding shareholder information services on the Trust’s website in an ongoing effort to provide you with the most current information about how your Trust’s assets are managed and the results of our efforts. It is just one more small way we are working to keep you better informed about your investment in the Trust.

 

 

DEAR SHAREHOLDER (Unaudited)	November 30, 2023

 

We thank you for your investment in the Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust (the “Trust”). This report covers the Trust’s performance for the six-month period ended November 30, 2023 (the “Reporting Period”).

To learn more about the Trust’s performance and investment strategy, we encourage you to read the Economic and Market Overview and the Management’s Discussion of Trust Performance, which begin on page 5.There you will find information on Guggenheim’s investment philosophy, views on the economy and market environment, and information about the factors that impacted the Trust’s performance during the Reporting Period.

The Trust’s primary investment objective is to provide current income with a secondary objective of long-term capital appreciation.

All Trust returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the Reporting Period, the Trust provided a total return based on market price of 0.74% and a total return based on NAV of -0.08%. At the end of the Reporting Period, the Trust’s market price of $15.65 per share represented a premium of 2.76% to its NAV of $15.23 per share.

Past performance is not a guarantee of future results. All NAV returns include the deduction of management fees, operating expenses, and all other Trust expenses. The market price of the Trust’s shares fluctuates from time to time, and it may be higher or lower than the Trust’s NAV.

During the Reporting Period, the Trust paid a monthly distribution of $0.12573 per share. The most recent distribution represents an annualized distribution rate of 9.64% based on the Trust’s closing market price of $15.65 per share at the end of the Reporting Period.

The Trust’s distribution rate is not constant and the amount of distributions, when declared by the Trust’s Board of Trustees, is subject to change. There is no guarantee of any future distribution or that the current returns and distribution rate will be maintained. Please see the Distributions to Shareholders & Annualized Distribution Rate table on page 25, and Note 2(g) on page 62 for more information on distributions for the period.

We encourage shareholders to consider the opportunity to reinvest their distributions from the Trust through the Dividend Reinvestment Plan (“DRIP”), which is described on page 86 of this report. When shares trade at a discount to NAV, the DRIP takes advantage of the discount by reinvesting the monthly dividend distribution in common shares of the Trust purchased in the market at a price less than NAV. Conversely, when the market price of the Trust’s common shares is at a premium above NAV, the DRIP reinvests participants’ dividends in newly issued common shares at the greater of NAV per share or 95% of the market price per share. The DRIP provides a cost-effective means to accumulate additional shares and enjoy the benefits of compounding returns over time. The DRIP effectively provides an income

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DEAR SHAREHOLDER (Unaudited) continued	November 30, 2023

 

averaging technique for shareholders to accumulate a larger number of Trust shares when the market price is depressed than when the price is higher.

We appreciate your investment and look forward to serving your investment needs in the future. For the most up-to-date information on your investment, please visit the Trust’s website at guggenheiminvestments.com/gbab.

Sincerely,

Guggenheim Funds Investment Advisors, LLC

Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust

December 31, 2023

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ECONOMIC AND MARKET OVERVIEW (Unaudited)	November 30, 2023

 

With an influx of softer data on economic activity and inflation coupled with worsening survey results and anecdotal reports, the U.S. Federal Reserve (the “Fed”) has continued to shift in a dovish direction as it becomes more cautious about downside risk to the economy than the upside risk to inflation. The Fed held rates steady at its December 2023 meeting, and in their Summary of Economic Projections, Fed officials signaled the possibility for 75 basis points of rate cuts in 2024, up from their prior estimate of 50 basis points of cuts. More importantly, Chair Powell acknowledged that discussion on when to cut rates was beginning, opening the possibility for rate cuts in as soon as the next few months.

The Fed’s pivot to a dovish stance is unequivocally market friendly in our view and led rates lower, equity markets to new highs, and credit spreads to their tightest levels since before the hiking cycle began. The decline in U.S. Treasury yields across the board is fueling a bit of an unexpected improvement in markets, spanning both risk and government-backed assets. Spreads continued to tighten in asset-backed securities as well, and November 2023 was the best month for Agency mortgage-backed securities since the 1980s.

Looking forward, we believe investment-grade corporate bond spread tightening could slow somewhat. Meanwhile, we continue to keep an eye on areas where fundamental trends fail to corroborate the broad risk-on sentiment, like in the office real estate sector which is struggling from structural demand shifts and the financing environment. In short, the unexpected improvement, while good news for investors after a challenging year, is predicated on the Fed cutting rates just in time to reverse the pressure that tightening is actively putting on the most sensitive sectors and consumers. To get more cuts projected from here, we believe that we will need to see more evidence that the economy is going to slow further.

The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

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MANAGEMENT’S DISCUSSION OF
TRUST PERFORMANCE (Unaudited)	November 30, 2023

 

MANAGEMENT TEAM

Guggenheim Funds Investment Advisors, LLC serves as the investment adviser to Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust (the “Trust”). The Trust is managed by a team of seasoned professionals at Guggenheim Partners Investment Management, LLC (“GPIM”).

This team includes Anne B. Walsh, CFA, JD, Managing Partner, Chief Investment Officer of GPIM and Portfolio Manager; Steven H. Brown, CFA, Chief Investment Officer - Fixed Income, Senior Managing

Director, and Portfolio Manager; Allen Li, CFA, Managing Director and Portfolio Manager; Adam J. Bloch, Managing Director and Portfolio Manager; and Evan L. Serdensky, Managing Director and Portfolio Manager.

Discuss the Trust’s return and return of comparative Indices

All Trust returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the Reporting Period, the Trust provided a total return based on market price of 0.74% and a total return based on NAV of -0.08%. At the end of the Reporting Period, the Trust’s market price of $15.65 per share represented a premium of 2.76% to its NAV of $15.23 per share. At the beginning of the Reporting Period, the Trust’s market price of $16.32 per share represented a premium of 1.94% to its NAV of $16.01 per share.

Past performance is not a guarantee of future results. All NAV returns include the deduction of management fees, operating expenses, and all other Trust expenses. The market price of the Trust’s shares fluctuates from time to time and maybe higher or lower than the Trust’s NAV.

Please refer to the graphs and tables included within the Trust Summary, beginning on page 22 for additional information about the Trust’s performance.

The returns for the Reporting Period of indices tracking performance of the asset classes to which the Trust allocates the largest of its investments were:

Index*	Total Return
Bloomberg Municipal Bond Index	2.29	%
Bloomberg Taxable Municipal Index	-1.21	%
Bloomberg U.S. Aggregate Bond Index	-0.80	%
Bloomberg U.S. Corporate High Yield Index	5.52	%
Credit Suisse Leveraged Loan Index	6.98	%
ICE Bank of America Asset Backed Security Master BBB-AA Index	2.19	%
ICE Bank of America Build America Bond Index	-1.49	%
Standard & Poor’s 500 (“S&P 500”) Index	10.17	%
*See page 10 for Index definitions

 

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MANAGEMENT’S DISCUSSION OF
TRUST PERFORMANCE (Unaudited) continued	November 30, 2023

 

Discuss the Trust’s distributions

During the Reporting Period, the Trust paid a monthly distribution of $0.12573 per share. The most recent distribution represents an annualized distribution rate of 9.64% based on the Trust’s closing market price of $15.65 per share at the end of the Reporting Period.

The distributions paid consisted of (i) investment company taxable income taxed as ordinary income, which includes, among other things, short-term capital gain and income from certain hedging and interest rate transactions, and (ii) return of capital.

There is no guarantee of any future distribution or that the current returns and distribution rate will be maintained. The Trust’s distribution rate is not constant and the amount of distributions, when declared by the Trust’s Board of Trustees, is subject to change.

Please see the Distributions to Shareholders & Annualized Distribution Rate table on page 25, and Note 2(g) on page 62 for more information on distributions for the period.

Payable Date		Amount
June 30, 2023	$	0.12573
July 31, 2023	$	0.12573
August 31, 2023	$	0.12573
September 29, 2023	$	0.12573
October 31, 2023	$	0.12573
November 30, 2023	$	0.12573
Total	$	0.75438

 

What factors contributed or detracted from the Trust’s Performance during the Reporting Period?

The Reporting Period was marked by a move tighter in spreads and a bear steepening of the U.S. Treasury curve. Earned income was the largest contributor to performance. Also, credit spreads positively contributed as the Bloomberg U.S. Corporate Investment Grade Bond Index and Bloomberg U.S. Corporate High Yield Bond Index spreads tightened by 34 basis points and 89 basis points, respectively. Duration detracted from performance as the yield curve bear steepened, meaning yields at the long end of the curve rose more than those at the front end, with yields on 2-year and 30-year Treasurys finishing 28 basis points and 63 basis points higher, respectively, at the end of the Reporting Period.

Discuss the Trust’s Use of Leverage

At the end of the Reporting Period, the Trust’s leverage was approximately 28% of Managed Assets, compared with about 26% at the beginning of the Reporting Period. The increase in leverage is largely due to the increased income opportunity that presented itself as rates rose to cycle-highs.

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MANAGEMENT’S DISCUSSION OF
TRUST PERFORMANCE (Unaudited) continued	November 30, 2023

 

The Trust currently employs financial leverage through reverse repurchase agreements with five counterparties.

One purpose of leverage is to fund the purchase of additional securities that may provide increased income and potentially greater appreciation to common shareholders than could be achieved from an unlevered portfolio. Leverage may result in greater NAV volatility and entails more downside risk than an unleveraged portfolio.

Given negative total returns over the Reporting Period, leverage detracted from performance.

Investments in Investment Funds (as defined below in the Risks and Other Considerations section which begins on page 11) frequently expose the Trust to an additional layer of financial leverage and the associated risks, such as the magnified effect of any losses.

How did the Trust use derivatives during the Reporting Period?

The Trust had minimal exposure to derivatives during the Reporting Period. The Trust held foreign currency forwards to hedge non-USD denominated bond holdings, which detracted a negligible amount as the dollar marginally depreciated against the Canadian dollar, the euro, and the pound. The Trust utilized credit default swaps to hedge broader credit risks, though this position was nearly unchanged and only modestly detracted during the period. Lastly, the Trust employed curve caps to hedge against moves in the yield curve; the performance from these positions over the Reporting Period was negligible.

How was the Trust positioned at the end of the Reporting Period?

As we near the end of 2023, we have come through a period of unprecedented volatility that has left a wide range of possible outcomes going forward. We are coming off multiple years of poor returns across fixed income, particularly for longer-duration, high-quality investments. But the past may not resemble the future, and the worst drawdown for an asset class can prove to be a very attractive entry point for prudent investors as the end of the Fed’s aggressive rate hiking cycle may provide respite.

We believe the next major policy moves are likely to provide strong tailwinds for fixed income. We continue to expect elevated volatility in the economy and markets, as well as a policy response to these conditions. This argues for the importance of diversification in asset allocation and within portfolios. The heightened probability of a recession over the next 6-12 months as indicated by our models continues to guide our more defensive and conservative positioning within the Trust, prioritizing quality (which takes multiple forms, including focusing on industry market leaders, more conservatively positioned balance sheets, stronger credit stipulations, and more creditor-friendly structures) and industries that may be more resilient to economic downturns.

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MANAGEMENT’S DISCUSSION OF
TRUST PERFORMANCE (Unaudited) continued	November 30, 2023

 

Though the recent decrease in interest rates and tightening of credit spreads have likely pulled forward some of the expected future total return potential of parts of fixed income, we still view the go-forward valuation proposition of fixed income as attractive at current levels and sourceable income levels in high quality credit as historically high relative to recent history. Our portfolio strategy has remained consistent throughout 2023. This means continuing to upgrade the credit profile of our portfolios and to seek strong income generation and the potential for capital appreciation. We have grown our exposure in high quality sectors, particularly in Agency residential mortgage-backed securities (“RMBS”) and in structured credit investments such as non-Agency RMBS, senior tranches of collateralized loan obligations, and commercial asset-backed securities.

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MANAGEMENT’S DISCUSSION OF
TRUST PERFORMANCE (Unaudited) continued	November 30, 2023

 

Index Definitions

Indices are unmanaged and reflect no expenses. It is not possible to invest directly in an index.

The Bloomberg Municipal Bond Index is considered representative of the broad market for investment grade, tax-exempt municipal bonds with a maturity of at least one year.

The Bloomberg Taxable Municipal Index tracks performance of investment-grade fixed income securities issued by state and local governments whose income is not exempt from tax, issued generally to finance a project or activity that does not meet certain “public purpose/use” requirements.

The Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

The Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.

The Credit Suisse Leveraged Loan Index is an index designed to mirror the investable universe of the U.S.-dollar-denominated leveraged loan market.

The ICE Bank of America Asset Backed Security Master BBB-AA Index is a subset of the ICE Bank of America U.S. Fixed Rate Asset Backed Securities Index including all securities rated AA1 through BBB3, inclusive.

The ICE Bank of America Build America Bond Index is designed to track the performance of U.S. dollar-denominated Build America Bonds publicly issued by U.S. states and territories, and their political subdivisions, in the U.S. market.

The Standard & Poor’s 500 (“S&P 500”) Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of U.S. stock market.

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MANAGEMENT’S DISCUSSION OF
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Risks and Other Considerations

Investors should be aware that in light of the current uncertainty, volatility and state of economies, financial markets, geopolitical tensions, and labor and public health conditions around the world, the risks below are heightened significantly compared to normal conditions and therefore subject the Trust’s investments and a shareholder’s investment in the Trust to reduced yield and/or income and sudden and substantial losses.

Below Investment Grade Securities Risk. High yield, below investment grade and unrated high risk debt securities (which also may be known as “junk bonds”) may present additional risks because these securities may be less liquid, and therefore more difficult to value accurately and sell at an advantageous price or time, and present more credit risk than investment grade bonds. The price of high yield securities tends to be subject to greater volatility due to issuer-specific operating results

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MANAGEMENT’S DISCUSSION OF
TRUST PERFORMANCE (Unaudited) continued	November 30, 2023

 

Corporate Bond Risk. Corporate bonds are debt obligations issued by corporations and other business entities. Corporate bonds may be either secured or unsecured. Collateral used for secured debt includes real property, machinery, equipment, accounts receivable, stocks, bonds or notes. If a bond is unsecured, it is known as a debenture. Bondholders, as creditors, have a prior legal claim over common and preferred stockholders as to both income and assets of the corporation for the principal and interest due them and may have a prior claim over other creditors if liens or mortgages are involved. Interest on corporate bonds may be fixed or floating, or the bonds may be zero coupons. Interest on corporate bonds is typically paid semi-annually and is fully taxable to the bondholder. Corporate bonds contain elements of both interest-rate risk and credit risk and are subject to the risks associated with other debt securities, among other risks. The market value of a corporate bond generally may be expected to rise and fall inversely with interest rates and may also be affected by the credit rating of the corporation, the corporation’s performance and perceptions of the corporation in the marketplace. Depending on the nature of the seniority provisions, a senior corporate bond may be junior to other credit securities of the issuer. The market value of a corporate bond may be affected by factors directly related to the issuer, such as investors’ perceptions of the creditworthiness of the issuer, the issuer’s financial performance, perceptions of the issuer in the marketplace, performance of management of the issuer, the issuer’s capital structure and use of financial leverage and demand for the issuer’s goods and services. There is a risk that the issuers of corporate bonds may not be able to meet their obligations on interest or principal payments at the time called for by an instrument. Corporate bonds of below investment grade quality are often high risk and have speculative characteristics and may be particularly susceptible to adverse issuer-specific developments.

Short Sales Risk. The Trust may make short sales of securities. A short sale is a transaction in which the Trust sells a borrowed security. If the price of the security sold short increases between the time of the short sale and the time the Trust replaces the borrowed security, the Trust will incur a loss. Although the Trust’s gain is limited to the price at which it sold the security short, its potential loss is theoretically unlimited.

Credit Risk. The Trust could lose money if the issuer or guarantor of a debt instrument or a counterparty to a derivatives transaction or other transaction is unable or unwilling, or perceived to be unable or unwilling, to pay interest or repay principal on time or defaults. This risk is heightened in market environments where interest rates are changing. The risk that such issuer, guarantor or counterparty is less willing or able to do so is heightened in market environments where interest rates are rising. Also, the issuer, guarantor or counterparty may suffer adverse changes in its financial condition or be adversely affected by economic, political or social conditions that could lower the credit quality (or the market’s perception of the credit quality) of the issuer or instrument, leading to

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MANAGEMENT’S DISCUSSION OF
TRUST PERFORMANCE (Unaudited) continued	November 30, 2023

 

Current Fixed-Income and Debt Market Conditions. Fixed-income and debt market conditions are highly unpredictable and some parts of the market are subject to dislocations. In response to the inflation rates in recent periods, governmental authorities have implemented significant fiscal and monetary policy changes, including increasing interest rates and implementation of quantitative tightening. These actions present heightened risks, particularly to fixed-income and debt instruments, and such risks could be even further heightened if these actions are ineffective in achieving their desired outcomes or reversed. It is difficult to accurately predict changes in the U.S. Federal Reserve Board’s (“Federal Reserve”) monetary policies and the effect of any such changes or policies. Certain economic conditions and market environments will expose fixed-income and debt instruments to heightened volatility and reduced liquidity, which can impact the Trust’s investments and may negatively impact the Trust’s characteristics, which in turn would impact performance.

Interest Rate Risk. Fixed-income and other debt instruments are subject to the possibility that interest rates could change (or are expected to change). Changes in interest rates (or the expectation of such changes) may adversely affect the Trust’s investments in these instruments, such as the value or liquidity of, and income generated by, the investments or increase risks associated with such investments, such as credit or default risks. In addition, changes in interest rates, including rates that fall below zero, can have unpredictable effects on markets and can adversely affect the Trust’s yield, income and performance. Generally, when interest rates increase, the values of fixed-income and other debt instruments decline, and when interest rates decrease, the values of fixed-income and other debt instruments rise. Changes in interest rates also adversely affect the yield generated by certain fixed income and other debt securities (“Income Securities”) or result in the issuance of lower yielding Income Securities. The Federal Reserve has increased interest rates at significant levels over recent periods. These actions present heightened risks to fixed-income and debt instruments, and such risks could be even further heightened if these actions are unexpectedly or suddenly reversed or are ineffective in achieving their desired outcomes. It is difficult to accurately predict how long, and whether, the Federal Reserve’s current stance on interest rates will persist and the impact these actions will have on the economy and the Trust’s investments and the markets where they trade. The Federal Reserve’s monetary policy is subject to change at any time and potentially frequently based on a variety of market and economic conditions.

Leverage Risk. The Trust’s use of leverage, through borrowings or instruments such as derivatives, causes the Trust to be more volatile and riskier than if it had not been leveraged. Although the use of leverage by the Trust may create an opportunity for increased return, it also results in additional risks and can magnify the effect of any losses. The effect of leverage in a declining market is likely to

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MANAGEMENT’S DISCUSSION OF
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Liquidity Risk. The Trust may invest in municipal securities that are, at the time of investment, illiquid. Illiquid securities are securities that cannot be disposed of within seven days in the ordinary course of business at approximately the value that the Trust values the securities. Illiquid securities may trade at a discount from comparable, more liquid securities and may be subject to wide fluctuations in market value. The Trust may be subject to significant delays in disposing of illiquid securities. Accordingly, the Trust may be forced to sell these securities at less than fair market value or may not be able to sell them when the Adviser believes it is desirable to do so. Illiquid securities also may entail registration expenses and other transaction costs that are higher than those for liquid securities. Dislocations in certain parts of markets are resulting in reduced liquidity for certain investments. It is uncertain when financial markets will improve. Liquidity of financial markets may also be affected by government intervention, such as the legal restrictions on certain financial instruments’ resale.

Management Risk. The Trust is actively managed, which means that investment decisions are made based on investment views. There is no guarantee that the investment views will produce the desired results or expected returns, causing the Trust to fail to meet its investment objective or underperform its benchmark index or funds with similar investment objectives and strategies.

Market Risk. The value of, or income generated by, the investments held by the Trust are subject to the possibility of rapid and unpredictable fluctuation. The value of certain investments (e.g., equity securities) tends to fluctuate more dramatically over the shorter term than do the value of other asset classes. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation or expectations about inflation, investor confidence or economic, political (including geopolitical), social or financial market conditions, tariffs and trade disruptions, recession, changes in currency rates, natural/environmental disasters, cyber attacks, terrorism, governmental or quasigovernmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened war or other armed conflicts (such as the ongoing Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrade, and other similar events, each of which may be temporary or last for extended periods. Many economies and markets have experienced high inflation rates in recent periods. In response to such inflation, government authorities have implemented significant fiscal and monetary policies such as increasing interest rates and quantitative tightening (reduction of money available in the

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Municipal Securities Risk. The Trust’s holdings of municipal securities could be significantly affected by events that affect the municipal bond market, which could include unfavorable legislative or political developments, adverse changes in the financial conditions of issuers of municipal securities, or other actual or perceived changes in economic, social, or public health conditions. The amount of public information available about municipal securities is generally less than that for corporate equities or bonds. The secondary market for municipal securities also tends to be less well-developed or liquid than many other securities markets, which may adversely affect the Trust’s ability to sell such securities at prices approximating those at which the Trust may currently value them. In addition, many state and municipal governments that issue securities are under significant economic and financial stress and may not be able to satisfy their obligations. Issuers of municipal securities might seek protection under bankruptcy laws. In the event of bankruptcy of such an issuer, holders of municipal securities could experience delays in collecting principal and interest and such holders may not be able to collect all principal and interest to which they are entitled. Legislative developments may result in changes to the laws relating to municipal bankruptcies. The income, value and/or risk of municipal securities is often correlated to specific project or other revenue sources, which can be negatively affected by demographic trends, such as population shifts or changing tastes and values, or increasing vacancies or declining rents resulting from legal, cultural, technological, global or local economic developments, as well as reduced demand for properties, revenues or goods. Municipalities and municipal projects that rely directly or indirectly on federal funding mechanisms may be negatively affected by constraints of the federal government budget. Each of the foregoing may adversely affect the Trust’s investments in municipal securities.

Build America Bonds (“BABs”) Risk. BABs are a form of municipal financing. The BABs market is smaller and less diverse than the broader municipal securities market. In addition, because the relevant provisions of the American Recovery and Reinvestment Act of 2009 were not extended, bonds issued after December 31, 2010 cannot qualify as BABs. It is uncertain whether Congress will renew the program to permit issuance of new Build America Bonds. As a result, the number of available BABs is limited, which may negatively affect the value of BABs. In addition, there can be no assurance

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MANAGEMENT’S DISCUSSION OF
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Special Risks Related to Certain Municipal Securities. The Trust may invest in municipal leases and certificates of participation in such leases, which involve special risks not normally associated with general obligations or revenue bonds. Leases and installment purchase or conditional sale contracts (which normally provide for title to the leased asset to pass eventually to the governmental issuer) have evolved as a means for governmental issuers to acquire property and equipment without meeting the constitutional and statutory requirements for the issuance of debt. The debt issuance limitations are deemed to be inapplicable because of the inclusion in many leases or contracts of “non-appropriation” clauses that relieve the governmental issuer of any obligation to make future payments under the lease or contract unless money is appropriated for such purpose by the appropriate legislative body on a yearly or other periodic basis. In addition, such leases or contracts may be subject to the temporary abatement of payments in the event the governmental issuer is prevented from maintaining occupancy of the leased premises or utilizing the leased equipment.

Taxable Municipal Securities Risk. While interest earned on municipal securities is generally not subject to federal tax, any interest earned on taxable municipal securities is fully taxable at the federal level and may be subject to tax at the state level. Additionally, litigation, legislation or other political events, local business or economic conditions or the bankruptcy of the issuer could have a significant effect on the ability of an issuer of municipal securities to make payments of principal and/or interest. Political changes and uncertainties in the municipal market related to taxation, legislative changes or the rights of municipal security holders can significantly affect municipal securities. Because many securities are issued to finance similar projects, especially those relating to education, health care, transportation and utilities, conditions in those sectors can affect the overall municipal market. In addition, changes in the financial condition of an individual municipal issuer can affect the overall municipal market.

Debt Instruments Risk. The value of the Trust’s investments in debt instruments (including bonds issued by non-profit entities, municipal conduits and project finance corporations) depends on the continuing ability of the debt issuers to meet their obligations for the payment of interest and principal when due. The ability of debt issuers to make timely payments of interest and principal can be affected by a variety of developments and changes in legal, political, economic and other conditions. Investments in debt instruments present certain risks, including credit, interest rate, liquidity and prepayment risks. Issuers that rely directly or indirectly on government funding mechanisms or non-profit statutes, may be negatively affected by actions of the government, including reductions in government spending, increases in tax rates, and changes in fiscal policy. The value of a debt instrument may decline for many reasons that directly relate to the issuer, such as a change in the demand for the issuer’s goods or services, or a decline in the issuer’s performance,

¹⁶ l ^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT}

 

 

MANAGEMENT’S DISCUSSION OF
TRUST PERFORMANCE (Unaudited) continued	November 30, 2023

 

Municipal Conduit Bond Risk. Municipal conduit bonds, also referred to as private activity bonds or industrial revenue bonds, are bonds issued by state and local governments or other entities for the purpose of financing the projects of certain private enterprises. Unlike municipal bonds, municipal conduit bonds are not backed by the full faith, credit or general taxing power of the issuing governmental entity. Rather, issuances of municipal conduit bonds are backed solely by revenues of the private enterprise involved. Municipal conduit bonds are therefore subject to heightened credit risk, as the private enterprise involved can have a different credit profile than the issuing governmental entity. Municipal conduit bonds may be negatively impacted by conditions affecting either the general credit of the private enterprise or the project itself. Factors such as competitive pricing, construction delays, or lack of demand for the project could cause project revenues to fall short of projections, and defaults could occur. Municipal conduit bonds tend to have longer terms and thus are more susceptible to interest rate risk.

Project Finance Risk. Project finance is a type of financing commonly used for infrastructure, industry, and public service projects. In a project finance arrangement, the cash flow generated by the project is used to repay lenders while the project’s assets, rights and interest are held as secondary collateral. Investors involved in project finance face heightened technology risk, operational risk, and market risk because the cash flow generated by the project, rather than the revenues of the company behind the project, will repay investors. In addition, because of the project-specific nature of such arrangements, the Trust face the risk of loss of investment if the company behind the project determines not to complete it.

Risks of Investing in Debt Issued by Non-Profit Institutions. Investing in debt issued by non-profit institutions, including foundations, museums, cultural institutions, colleges, universities, hospitals and healthcare systems, involves different risks than investing in municipal bonds. Many non-profit entities are tax-exempt under Section 501(c)(3) of the Internal Revenue Code and risk losing their tax-exempt status if they do not comply with the requirements of that section. There is a risk that Congress or the IRS could pass new laws or regulations changing the requirements for tax-exempt status, which could result in a non-profit institution losing such status. Additionally, non-profit institutions that receive federal and state appropriations face the risk of a decrease in or loss of such appropriations. Hospitals and healthcare systems are highly regulated at the federal and state levels and face burdensome state licensing requirements. There is a risk that a state could refuse to renew a hospital’s license or that the passage of new laws or regulations, especially changes to Medicare or Medicaid reimbursement, could inhibit a hospital from growing its revenues. Hospitals and healthcare systems also face risks related to increased competition from other health care providers; increased costs of inpatient and outpatient care; and increased pressures from managed

^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT} l ¹⁷

 

MANAGEMENT’S DISCUSSION OF
TRUST PERFORMANCE (Unaudited) continued	November 30, 2023

 

Senior Loans Risk. The Trust may invest in senior secured floating rate loans made to corporations and other non-governmental entities and issuers (“Senior Loans”). Senior Loans typically hold the most senior position in the capital structure of the issuing entity, are typically secured with specific collateral and typically have a claim on the assets and/or stock of the borrower that is senior to that held by subordinated debt holders and stockholders of the borrower. The Trust’s investments in Senior Loans are typically below investment grade and are considered speculative because of the credit risk of their issuers. The risks associated with Senior Loans of below investment grade quality are similar to the risks of other lower grade securities, although Senior Loans are typically senior in payment priority and secured on a senior priority basis in contrast to subordinated and unsecured securities. Senior Loans’ higher priority has historically resulted in generally higher recoveries in the event of a corporate reorganization. In addition, because their interest payments are typically adjusted for changes in short-term interest rates, investments in Senior Loans generally have less interest rate risk than certain other lower grade securities, which may have fixed interest rates. Loans and other debt instruments are also subject to the risk of price declines due to increases in prevailing interest rates, although floating-rate debt instruments are substantially less exposed to this risk than fixed-rate debt instruments. Interest rate changes may also increase prepayments of debt obligations and require the Trust to invest assets at lower yields. During periods of deteriorating economic conditions, such as recessions or periods of rising unemployment, or changing interest rates (notably increases), delinquencies and losses generally increase, sometimes dramatically, with respect to obligations under such loans. An economic downturn or individual corporate developments could adversely affect the market for these instruments and reduce the Trust’s ability to sell these instruments at an advantageous time or price. An economic downturn would generally lead to a higher non-payment rate and, a Senior Loan may lose significant market value before a default occurs. The Trust invests in or is exposed to loans and other similar debt obligations that are sometimes referred to as “covenant-lite” loans or obligations, which are generally subject to more risk than investments that contain traditional financial maintenance covenants and financial reporting requirements.

Structured Finance Investments Risk. The Trust’s structured finance investments may consist of residential mortgage-backed securities (“RMBS”) and commercial mortgage-backed securities (“CMBS”) issued by governmental entities and private issuers, asset-backed securities (“ABS”), structured notes, credit-linked notes and other types of structured finance securities. Holders of structured finance investments bear risks of the underlying investments, index or reference obligation and are subject to counterparty risk. The Trust may have the right to receive payments only from the structured product, and generally does not have direct rights against the issuer or the entity that sold the assets to be securitized. The Trust may invest in structured finance products collateralized by low grade or defaulted loans or securities. Investments in such structured finance products are subject to

¹⁸ l ^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT}

  

MANAGEMENT’S DISCUSSION OF
TRUST PERFORMANCE (Unaudited) continued	November 30, 2023

 

Asset-Backed Securities Risk. While traditional fixed-income securities typically pay a fixed rate of interest until maturity, when the entire principal amount is due, an ABS represents an interest in a pool of assets, such as automobile loans, credit card receivables, unsecured consumer loans or student loans, that has been securitized and provides for monthly payments of interest, at a fixed or floating rate, and principal from the cash flow of these assets. This pool of assets (and any related assets of the issuing entity) is the only source of payment for the ABS. The ability of an ABS issuer to make payments on the ABS, and the timing of such payments, is therefore dependent on collections on these underlying assets. The recoveries on the underlying collateral may not, in some cases, be sufficient to support payments on these securities, or may be unavailable in the event of a default and enforcing rights with respect to these assets or collateral may be difficult and costly, which may result in losses to investors in an ABS. The collateral underlying ABS may constitute assets related to a wide range of industries such as credit card and automobile receivables or other assets derived from consumer, commercial or corporate sectors, and these underlying assets may be secured or unsecured. ABS are particularly subject to interest rate risk and credit risk. Compared to other fixed income investments with similar maturity and credit, ABS generally increase in value to a lesser extent when interest rates decline and generally decline in value to a similar or greater extent when interest rates rise.

Mortgage-Backed Securities Risk. Mortgage-backed securities (“MBS”) represent an interest in a pool of mortgages. Mortgage-backed securities generally are classified as either commercial mortgage backed securities (“CMBS”) or residential mortgage-backed securities (“RMBS”), each of which are subject to certain specific risks. The risks associated with mortgage-backed securities include: (1) credit risk associated with the performance of the underlying mortgage properties and of the borrowers owning these properties; (2) risks associated with their structure and execution (including the collateral, the process by which principal and interest payments are allocated and distributed to investors and how credit losses affect the return to investors in such MBS); (3) risks associated with the servicer of the underlying mortgages; (4) adverse changes in economic conditions and circumstances, which are more likely to have an adverse impact on mortgage-backed securities secured by loans on certain types of commercial properties than on those secured by loans

^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT} l ¹⁹

 

MANAGEMENT’S DISCUSSION OF
TRUST PERFORMANCE (Unaudited) continued	November 30, 2023

 

CLO, CDO and CBO Risk. In addition to the general risks associated with debt securities discussed herein, collateralized loan obligations (“CLOs”), collateralized debt obligations (“CDOs”), and collateralized bond obligations (“CBOs”) are subject to additional risks due to their complex structure and highly leveraged nature, such as higher risk of volatility and magnified financial losses. CLOs, CDOs and CBOs are subject to risks associated with the possibility that distributions from collateral securities may not be adequate to make interest or other payments. The value of securities issued by CLOs, CDOs and CBOs also may decrease because of, among other developments, changes in market value; changes in the market’s perception of the creditworthiness of the servicer of the assets, the originator of an asset in the pool, or the financial institution or fund providing the credit support or enhancement; loan performance and prices; broader market sentiment, including expectations regarding future loan defaults; liquidity conditions; and supply and demand for structured products. Additionally, the indirect investment structure of CLOs, CDOs and CBOs presents certain risks to the Trust such as less liquidity compared with holding the underlying assets directly. CLOs, CDOs and CBOs normally charge management fees and administrative expenses, which would be borne by the Trust. The terms of many structured finance investments, including CLOs, CDOs and CBOs, are tied to the Secured Overnight Financing Rate (“SOFR”) or other reference rates based on SOFR. These

²⁰ l ^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT}

  

MANAGEMENT’S DISCUSSION OF
TRUST PERFORMANCE (Unaudited) continued	November 30, 2023

 

Investment Funds Risk. As an alternative to holding investments directly, the Trust may also obtain investment exposure to securities in which it may invest directly by investing up to 20% of its Managed Assets in other investment companies, including U.S. registered investment companies and/or other U.S. or foreign pooled investment vehicles (collectively, “Investment Funds”). Investments in Investment Funds present certain special considerations and risks not present in making direct investments in securities in which the Trust may invest. Investments in Investment Funds subject the Trust to the risks affecting such Investment Funds and involve operating expenses and fees that are in addition to the expenses and fees borne by the Trust. Such expenses and fees attributable to the Trust’s investment in another Investment Fund are borne indirectly by common shareholders. Accordingly, investment in such entities involves expense and fees at both levels. To the extent management fees of Investment Funds are based on total gross assets, it may create an incentive for such entities’ managers to employ financial leverage, thereby adding additional expense and increasing volatility and risk. A performance-based fee arrangement may create incentives for an adviser or manager to take greater investment risks in the hope of earning a higher profit participation. Investments in Investment Funds frequently expose the Trust to an additional layer of financial leverage and, thus, increase the Trust’s exposure to leverage risk and costs. From time to time, the Trust may invest a significant portion of its assets in Investment Funds that employ leverage. The use of leverage by these Investment Funds may cause these Funds’ market price of common shares and/or NAV to be more volatile and can magnify the effect of any losses.

This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.

^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT} l ²¹

 

TRUST SUMMARY (Unaudited)

November 30, 2023

 

Trust Statistics
Market Price		$15.65
Net Asset Value		$15.23
Premium to NAV		2.76	%
Net Assets ($000)		$358,076

 

AVERAGE ANNUAL TOTAL RETURNS FOR
THE PERIOD ENDED NOVEMBER 30, 2023
		Six month		One		Three		Five		Ten
		(non-annualized)		Year		Year		Year		Year
Guggenheim Taxable Municipal Bond & Investment
Grade Debt Trust
NAV		(0.08	%)	2.85	%	(5.61	%)	0.09	%	3.66	%
Market		0.74	%	2.17	%	(6.77	%)	1.40	%	5.45	%
Bloomberg Taxable Municipal Index		(1.21	%)	3.24	%	(4.67	%)	1.48	%	3.31	%

 

Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. All NAV returns include the deduction of management fees, operating expenses and all other Trust expenses. The deduction of taxes that a shareholder would pay on Trust distributions or the sale of Trust shares is not reflected in the total returns. For the most recent month-end performance figures, please visit guggenheiminvestments.com/gbab. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when sold, may be worth more or less than their original cost.

The referenced index is an unmanaged index and not available for direct investment. Index performance does not reflect transaction costs, fees or expenses.

Portfolio Breakdown	% of Net Assets
Municipal Bonds	68.8	%
Corporate Bonds	31.5	%
Asset-Backed Securities	11.4	%
Closed-End Mutual Funds	11.0	%
Senior Floating Rate Interests	9.3	%
Collateralized Mortgage Obligations	3.4	%
Preferred Stocks	2.1	%
Money Market Funds	1.3	%
Foreign Government Debt	0.2	%
Options Purchased	0.0	%*
Common Stocks	0.0	%*
Warrants	0.0	%*
Total Investments	139.0	%
Other Assets & Liabilities, net	(39.0	%)
Net Assets	100.0	%
*Less than 0.1%.

 

²² l ^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT}

 

 

TRUST SUMMARY (Unaudited) continued	November 30, 2023
Ten Largest Holdings	% of Net Assets
State of West Virginia, Higher Education Policy Commission, Revenue Bonds,
Federally Taxable Build America Bonds 2010, 7.65%		3.3	%
BlackRock Taxable Municipal Bond Trust		3.2	%
Dallas, Texas, Convention Center Hotel Development Corporation, Hotel Revenue
Bonds, Taxable Build America Bonds, 7.09%		3.1	%
School District of Philadelphia, Pennsylvania, General Obligation Bonds, Series 2011A,
Qualified School Construction Bonds - (Federally Taxable - Direct Subsidy), 6.00%		2.9	%
Oakland Unified School District, County of Alameda, California, Taxable General
Obligation Bonds, Election of 2006, Qualified School Construction Bonds,
Series 2012B, 6.88%		2.8	%
Westchester County Health Care Corporation, Revenue Bonds, Taxable Build America Bonds, 8.57%		2.7	%
Oklahoma Development Finance Authority Revenue Bonds, 5.45%		2.7	%
Evansville-Vanderburgh School Building Corp. Revenue Bonds, 6.50%		2.5	%
Santa Ana Unified School District, California, General Obligation Bonds, Federal
Taxable Build America Bonds, 7.10%		2.5	%
Pittsburgh, Pennsylvania, School District, Taxable Qualified School Construction Bonds, 6.85%		2.1	%
Top Ten Total		27.8	%

 

“Ten Largest Holdings” excludes any temporary cash or derivative investments.

Portfolio breakdown and holdings are subject to change daily. For more information, please visit guggenheiminvestments.com/gbab. The above summaries are provided for informational purposes only and should not be viewed as recommendations. Past performance does not guarantee future results.

^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT} l ²³

 

 

TRUST SUMMARY (Unaudited) continued	November 30, 2023
Portfolio Composition by Quality Rating1
	% of Total
Rating	Investments
Fixed Income Instruments
AAA	1.5	%
AA	28.9	%
A	22.7	%
BBB	17.6	%
BB	7.2	%
B	6.5	%
CCC	0.7	%
CC	0.0	%*
NR2	4.6	%
Other Instruments	10.3	%
Total Investments	100.0	%

 

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

*

Less than 0.1%.

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TRUST SUMMARY (Unaudited) continued

November 30, 2023

 

 

All or a portion of the above distributions may be characterized as a return of capital. For the calendar year ended December 31, 2023, 57% of the distributions were characterized as ordinary income, and 43% of the distributions were characterized as return of capital. The final determination of the tax character of the distributions paid by the Trust in 2023 will be reported to shareholders in January 2024.

^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT} l ²⁵

 

 

SCHEDULE OF INVESTMENTS (Unaudited)				November 30, 2023
		Shares				Value
COMMON STOCKS† – 0.0%
Communications – 0.0%
Figs, Inc. — Class A*		3,754				$27,254
Vacasa, Inc. — Class A*		511				4,068
Total Communications						31,322
Industrial – 0.0%
BP Holdco LLC*,†††,1		15,619				18,932
Vector Phoenix Holdings, LP*,†††		15,619				960
Targus, Inc.*,†††		17,838				526
Targus, Inc.*,†††		17,838				526
Targus, Inc.*,†††		17,838				428
Targus , Inc.*,†††		17,838				195
YAK BLOCKER 2 LLC*,†††		5,183				52
YAK BLOCKER 2 LLC*,†††		4,791				48
Targus, Inc.*,†††		17,838				2
Total Industrial						21,669
Financial – 0.0%
Tensor Ltd.*,†††		81,175				8
Total Common Stocks
(Cost $194,583)						52,999
PREFERRED STOCKS†† – 2.1%
Financial – 2.1%
Equitable Holdings, Inc.
4.30%		140,000				2,241,400
W R Berkley Corp.
4.13% due 03/30/61		95,975				1,753,463
Kuvare US Holdings, Inc.
7.00% due 02/17/51*,2		1,500,000				1,511,250
PartnerRe Ltd.
4.88%		46,000				825,700
Reinsurance Group of America, Inc.
7.13% due 10/15/52		23,225				607,798
Selective Insurance Group, Inc.
4.60%		20,000				348,600
First Republic Bank
4.50%†††		17,750				2
4.25%†††		31,650				–
Total Financial						7,288,213
Industrial – 0.0%
YAK BLOCKER 2 LLC*,†††		284,756				79,077
Total Preferred Stocks
(Cost $11,562,726)						7,367,290

 

See notes to financial statements.

²⁶ l ^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS (Unaudited) continued				November 30, 2023
		Shares				Value
WARRANTS† – 0.0%
Ginkgo Bioworks Holdings, Inc.
Expiring 09/16/26*		9,372				$842
Acropolis Infrastructure Acquisition Corp.
Expiring 03/31/26*,5		12,600				151
Pershing Square Tontine Holdings, Ltd.
Expiring 07/24/25*,†††,5		23,730				2
Total Warrants
(Cost $32,105)						995
CLOSED-END MUTUAL FUNDS† – 11.0%
BlackRock Taxable Municipal Bond Trust		738,712				11,568,230
Nuveen Taxable Municipal Income Fund		471,344				7,159,715
Nuveen California Quality Municipal Income Fund		482,736				5,117,002
Invesco Municipal Opportunity Trust		450,245				4,124,244
Invesco Trust for Investment Grade Municipals		382,286				3,616,426
Invesco Municipal Trust		309,052				2,849,459
BlackRock MuniVest Fund, Inc.		394,750				2,676,405
Invesco Advantage Municipal Income Trust II		287,297				2,341,471
Total Closed-End Mutual Funds
(Cost $56,469,081)						39,452,952
MONEY MARKET FUNDS† – 1.3%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.27%6		4,102,624				4,102,624
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 5.24%6		647,931				647,931
Total Money Market Funds
(Cost $4,750,555)						4,750,555
		Face
		Amount~
MUNICIPAL BONDS†† – 68.8%
California – 13.0%
Santa Ana Unified School District, California, General Obligation Bonds,
Federal Taxable Build America Bonds15
7.10% due 08/01/40		7,785,000				8,810,659
6.80% due 08/01/30		2,245,000				2,447,460
Oakland Unified School District, County of Alameda, California, Taxable General
Obligation Bonds, Election of 2006, Qualified School Construction
Bonds, Series 2012B
6.88% due 08/01/33		10,000,000				10,055,538
East Side Union High School District General Obligation Unlimited
3.13% due 08/01/427		7,500,000				5,530,377
California Statewide Communities Development Authority Revenue Bonds
7.14% due 08/15/477		3,450,000				3,633,492
California Public Finance Authority Revenue Bonds
3.27% due 10/15/43		4,800,000				3,101,104

 

See notes to financial statements.

^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT} l ²⁷

 

 

SCHEDULE OF INVESTMENTS (Unaudited) continued			November 30, 2023
	Face
	Amount~				Value
MUNICIPAL BONDS†† – 68.8% (continued)
California – 13.0% (continued)
Oakland Unified School District/Alameda County General Obligation Unlimited
3.12% due 08/01/407	2,450,000				$1,790,621
Marin Community College District General Obligation Unlimited
4.03% due 08/01/387	2,000,000				1,732,395
Moreno Valley Unified School District General Obligation Unlimited
3.82% due 08/01/447	2,000,000				1,551,347
Hillsborough City School District General Obligation Unlimited
due 09/01/388	1,600,000				689,832
due 09/01/378	1,120,000				514,992
due 09/01/408	500,000				189,244
San Jose Evergreen Community College District General Obligation Unlimited
3.06% due 09/01/457	1,500,000				1,036,369
Placentia-Yorba Linda Unified School District (Orange County, California), General
Obligation Bonds, Federally Taxable Direct-Pay Qualified School Construction
Bonds, Election of 2008
5.40% due 02/01/26	1,000,000				1,007,483
Manteca Redevelopment Agency Successor Agency Tax Allocation
3.21% due 10/01/42	1,400,000				1,003,451
Monrovia Unified School District, Los Angeles County, California, Election of 2006
General Obligation Bonds, Build America Bonds, Federally Taxable15
7.25% due 08/01/28	805,000				857,901
Norman Y Mineta San Jose International Airport SJC Revenue Bonds
2.91% due 03/01/357	500,000				392,794
3.27% due 03/01/40	250,000				184,480
3.29% due 03/01/417	70,000				50,766
Alhambra Unified School District General Obligation Unlimited
6.70% due 02/01/26	500,000				511,781
California State University Revenue Bonds
3.90% due 11/01/477	500,000				399,056
Cypress School District General Obligation Unlimited
6.65% due 08/01/25	350,000				355,095
Fremont Unified School District/Alameda County California General Obligation Unlimited
2.75% due 08/01/417	400,000				279,335
Riverside County Redevelopment Successor Agency Tax Allocation
3.88% due 10/01/37	250,000				211,744
Coast Community College District General Obligation Unlimited
2.98% due 08/01/397	250,000				184,659
Total California					46,521,975
Texas – 11.2%
Dallas, Texas, Convention Center Hotel Development Corporation,
Hotel Revenue Bonds, Taxable Build America Bonds15
7.09% due 01/01/427	10,020,000				10,904,483
Harris County Cultural Education Facilities Finance Corp. Revenue Bonds
3.34% due 11/15/377	8,900,000				7,014,204

 

See notes to financial statements.

²⁸ l ^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS (Unaudited) continued			November 30, 2023
	Face
	Amount~				Value
MUNICIPAL BONDS†† – 68.8% (continued)
Texas – 11.2% (continued)
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds
3.42% due 09/01/507	8,000,000				$5,208,942
City of San Antonio Texas Electric & Gas Systems Revenue Bonds
2.91% due 02/01/487	6,800,000				4,669,917
Central Texas Regional Mobility Authority Revenue Bonds
3.29% due 01/01/427	5,250,000				3,850,115
3.27% due 01/01/457	1,150,000				779,421
Dallas/Fort Worth International Airport Revenue Bonds
2.92% due 11/01/507	6,500,000				4,419,810
City of Garland Texas Electric Utility System Revenue Bonds
3.15% due 03/01/51	2,400,000				1,590,554
City of Austin Texas Rental Car Special Facility Revenue Bonds
2.86% due 11/15/427	2,200,000				1,533,615
Total Texas					39,971,061
Washington – 6.4%
Central Washington University Revenue Bonds
6.95% due 05/01/40	5,000,000				5,417,525
Central Washington University, System Revenue Bonds, 2010, Taxable
Build America Bonds15
6.50% due 05/01/30	5,000,000				5,215,294
Washington State Convention Center Public Facilities District, Lodging
Tax Bonds, Taxable Build America Bonds15
6.79% due 07/01/40	4,600,000				4,826,979
Washington State University, Housing and Dining System Revenue Bonds,
Taxable Build America Bonds15
7.10% due 04/01/32	3,325,000				3,582,230
County of Pierce Washington Sewer Revenue Bonds
2.87% due 08/01/42	4,300,000				3,065,181
King County Public Hospital District No. 2 General Obligation Limited
3.11% due 12/01/447	1,100,000				745,169
Total Washington					22,852,378
Pennsylvania – 5.0%
School District of Philadelphia, Pennsylvania, General Obligation Bonds, Series 2011A,
Qualified School Construction Bonds – (Federally Taxable – Direct Subsidy)
6.00% due 09/01/30	10,330,000				10,543,303
Pittsburgh, Pennsylvania, School District, Taxable Qualified School Construction Bonds
6.85% due 09/01/29	6,895,000				7,486,435
Doylestown Hospital Authority Revenue Bonds
3.95% due 07/01/24	175,000				172,017
Total Pennsylvania					18,201,755

 

See notes to financial statements.

^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT} l ²⁹

 

 

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2023
	Face
	Amount~			Value
MUNICIPAL BONDS†† – 68.8% (continued)
New York – 4.2%
Westchester County Health Care Corporation, Revenue Bonds,
Taxable Build America Bonds15
8.57% due 11/01/40		10,010,000		$9,766,365
Port Authority of New York & New Jersey Revenue Bonds
3.14% due 02/15/51	5,000,000			3,476,728
New York City Industrial Development Agency Revenue Bonds
2.73% due 03/01/347	2,250,000			1,779,754
Total New York				15,022,847
Illinois – 4.0%
Chicago, Illinois, Second Lien Wastewater Transmission Revenue Project Bonds,
Taxable Build America Bonds15
6.90% due 01/01/407	5,100,000			5,633,130
Illinois, General Obligation Bonds, Taxable Build America Bonds15
7.35% due 07/01/35	4,258,242			4,486,125
Chicago, Illinois, Second Lien Water Revenue Bonds, Taxable Build America Bonds15
6.74% due 11/01/407	2,990,000			3,274,798
State of Illinois General Obligation Unlimited
6.63% due 02/01/35	858,462			874,370
6.73% due 04/01/357	184,615			188,852
Chicago Board of Education General Obligation Unlimited
6.14% due 12/01/39	195,000			176,048
Total Illinois				14,633,323
Ohio – 4.0%
County of Franklin Ohio Revenue Bonds
2.88% due 11/01/507	8,900,000			5,615,779
American Municipal Power, Inc., Combined Hydroelectric Projects Revenue Bonds,
New Clean Renewable Energy Bonds
7.33% due 02/15/287	5,000,000			5,252,061
Madison Local School District, Richland County, Ohio, School Improvement,
Taxable Qualified School Construction Bonds
6.65% due 12/01/29	2,500,000			2,502,677
Toronto City School District, Ohio, Qualified School Construction Bonds General
Obligation Bonds
7.00% due 12/01/28	780,000			780,988
Total Ohio				14,151,505
Oklahoma – 3.4%
Oklahoma Development Finance Authority Revenue Bonds
5.45% due 08/15/28	10,950,000			9,617,846
Tulsa Airports Improvement Trust Revenue Bonds
3.10% due 06/01/45	3,700,000			2,541,989
Oklahoma State University Revenue Bonds
4.13% due 08/01/48	150,000			120,014
Total Oklahoma				12,279,849

 

See notes to financial statements.

³⁰ l ^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT}

 

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2023
	Face
	Amount~			Value
MUNICIPAL BONDS†† – 68.8% (continued)
West Virginia – 3.3%
State of West Virginia, Higher Education Policy Commission, Revenue Bonds,
Federally Taxable Build America Bonds 201015
7.65% due 04/01/407	10,000,000			$11,777,377
Indiana – 3.3%
Evansville-Vanderburgh School Building Corp. Revenue Bonds
6.50% due 01/15/307	8,690,000			8,918,278
County of Knox Indiana Revenue Bonds
5.90% due 04/01/34	2,920,000			2,759,451
Total Indiana				11,677,729
Michigan – 2.4%
Detroit City School District General Obligation Unlimited
7.75% due 05/01/397	2,505,000			2,856,513
Detroit, Michigan, School District, School Building and Site Bonds, Unlimited
Tax General Obligation Bonds, Taxable Qualified School Construction Bonds
6.65% due 05/01/297	2,640,000			2,806,018
Fraser Public School District, Macomb County, Michigan, General Obligation Federally
Taxable School Construction Bonds, 2011 School Building and Site Bonds
6.05% due 05/01/26	1,510,000			1,510,871
Oakridge, Michigan, Public Schools, Unlimited Tax General Obligation Bonds
6.75% due 05/01/26	1,000,000			1,001,119
Comstock Park Public Schools General Obligation Unlimited
6.30% due 05/01/26	415,000			415,315
Total Michigan				8,589,836
South Carolina – 1.6%
County of Horry South Carolina Airport Revenue Bonds, Build America Bonds15
7.33% due 07/01/40	5,000,000			5,625,588
New Jersey – 1.2%
New Jersey Educational Facilities Authority Revenue Bonds
3.51% due 07/01/427	3,500,000			2,648,070
New Jersey Turnpike Authority Revenue Bonds
2.78% due 01/01/407	2,500,000			1,770,274
Total New Jersey				4,418,344
Massachusetts – 1.2%
Massachusetts Port Authority Revenue Bonds
2.72% due 07/01/427	3,400,000			2,390,592
2.87% due 07/01/51	750,000			481,450
Massachusetts Development Finance Agency Revenue Bonds, Build America Bonds15
3.52% due 10/01/46	2,250,000			1,500,104
Total Massachusetts				4,372,146

 

See notes to financial statements.

^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT} l ³¹

  

SCHEDULE OF INVESTMENTS (Unaudited) continued

November 30, 2023

	Face
	Amount~				Value
MUNICIPAL BONDS†† – 68.8% (continued)
Alabama – 1.1%
Auburn University Revenue Bonds
2.68% due 06/01/507	6,500,000				$3,941,168
Colorado – 1.0%
Colorado, Building Excellent Schools Today, Certificates of Participation, Taxable
Qualified School Construction
6.82% due 03/15/28	2,500,000				2,660,062
University of Colorado Revenue Bonds
2.81% due 06/01/487	920,000				603,546
Total Colorado					3,263,608
Mississippi – 0.9%
Medical Center Educational Building Corp. Revenue Bonds
2.92% due 06/01/417	4,500,000				3,187,279
New Hampshire – 0.9%
New Hampshire Business Finance Authority Revenue Bonds
3.27% due 05/01/517	4,800,000				3,174,812
Louisiana – 0.5%
State of Louisiana Gasoline & Fuels Tax Revenue Bonds
3.05% due 05/01/387	2,500,000				1,950,741
Minnesota – 0.1%
City of State Paul Minnesota Sales & Use Tax Revenue Tax Allocation
3.89% due 11/01/35	250,000				215,634
Arkansas – 0.1%
University of Arkansas Revenue Bonds
3.10% due 12/01/417	250,000				186,480
District of Columbia – 0.0%
Washington Convention & Sports Authority Revenue Bonds
4.31% due 10/01/407	100,000				87,338
Total Municipal Bonds
(Cost $277,355,413)	246,102,773
CORPORATE BONDS†† – 31.5%
Financial – 11.8%
Central Storage Safety Project Trust
4.82% due 02/01/389	6,956,064				5,880,317
Wilton RE Ltd.
6.00% †††,2,3,10	3,800,000				3,356,710
Intact Financial Corp.
5.46% due 09/22/322,7	1,900,000				1,844,801
Blue Owl Finance LLC
4.38% due 02/15/322,7	2,150,000				1,791,256

 

See notes to financial statements.

³² l ^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT}

  

SCHEDULE OF INVESTMENTS (Unaudited) continued			November 30, 2023
	Face
	Amount~				Value
CORPORATE BONDS†† – 31.5% (continued)
Financial – 11.8% (continued)
Accident Fund Insurance Company of America
8.50% due 08/01/322	1,750,000				$1,727,157
Ares Finance Company IV LLC
3.65% due 02/01/522,7	2,650,000				1,720,698
Maple Grove Funding Trust I
4.16% due 08/15/512,7	2,500,000				1,637,183
Pershing Square Holdings Ltd.
3.25% due 10/01/312	2,100,000				1,571,430
Liberty Mutual Group, Inc.
4.30% due 02/01/612	2,700,000				1,545,783
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/282	1,500,000				1,282,380
Global Atlantic Finance Co.
4.70% due 10/15/512,3	1,450,000				1,202,647
National Life Insurance Co.
10.50% due 09/15/392	900,000				1,103,230
United Wholesale Mortgage LLC
5.50% due 11/15/252	1,100,000				1,069,391
Prudential Financial, Inc.
5.13% due 03/01/523	1,200,000				1,066,030
FS KKR Capital Corp.
3.25% due 07/15/277	1,150,000				1,013,903
Stewart Information Services Corp.
3.60% due 11/15/317	1,350,000				1,005,410
NFP Corp.
6.88% due 08/15/282,7	1,100,000				979,391
JPMorgan Chase & Co.
5.72% due 09/14/333	950,000				946,564
Horace Mann Educators Corp.
7.25% due 09/15/287	900,000				936,775
Macquarie Bank Ltd.
3.05% due 03/03/362,3	1,200,000				920,972
Credit Suisse AG NY
7.95% due 01/09/257	900,000				917,487
NatWest Group plc
7.47% due 11/10/263,7	850,000				871,216
Kennedy-Wilson, Inc.
5.00% due 03/01/317	1,150,000				863,011
Standard Chartered plc
7.78% due 11/16/252,3,7	750,000				762,411
Keenan Fort Detrick Energy LLC
4.17% due 11/15/482	1,000,000				757,012
Toronto-Dominion Bank
8.13% due 10/31/823	750,000				754,146

 

See notes to financial statements.

^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT} l ³³

  

SCHEDULE OF INVESTMENTS (Unaudited) continued			November 30, 2023
	Face
	Amount~				Value
CORPORATE BONDS†† – 31.5% (continued)
Financial – 11.8% (continued)
Blue Owl Capital GP LLC
7.21% due 08/22/43†††	750,000				$736,218
Corebridge Financial, Inc.
6.88% due 12/15/523	700,000				672,221
QBE Insurance Group Ltd.
5.88% 2,3,10	650,000				625,179
Bank of Nova Scotia
8.63% due 10/27/823	550,000				552,675
Nationstar Mortgage Holdings, Inc.
5.00% due 02/01/262,7	560,000				533,941
HUB International Ltd.
5.63% due 12/01/292,7	550,000				498,721
Belvoir Land LLC
5.60% due 12/15/352	500,000				464,406
OneMain Finance Corp.
9.00% due 01/15/297	350,000				360,969
Iron Mountain Information Management Services, Inc.
5.00% due 07/15/322,7	300,000				260,547
Total Financial	42,232,188
Consumer, Non-cyclical – 4.5%
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.
5.75% due 04/01/337	1,050,000				991,545
4.38% due 02/02/527	1,200,000				823,089
Tufts Medical Center, Inc.
7.00% due 01/01/38	1,500,000				1,495,979
Beth Israel Lahey Health, Inc.
3.08% due 07/01/517	2,500,000				1,485,170
Post Holdings, Inc.
4.50% due 09/15/312	1,300,000				1,131,812
Universal Health Services, Inc.
2.65% due 01/15/327	1,300,000				1,023,065
Altria Group, Inc.
3.70% due 02/04/517	1,500,000				1,000,643
Reynolds American, Inc.
5.70% due 08/15/357	1,050,000				985,413
HCA, Inc.
4.63% due 03/15/527	1,200,000				950,329
Amgen, Inc.
4.40% due 02/22/62	1,200,000				943,656
Sotheby’s
7.38% due 10/15/272,7	1,000,000				917,056
BAT Capital Corp.
7.08% due 08/02/437	800,000				814,231

 

See notes to financial statements.

³⁴ l ^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT}

 

SCHEDULE OF INVESTMENTS (Unaudited) continued			November 30, 2023
		Face
		Amount~			Value
CORPORATE BONDS†† – 31.5% (continued)
Consumer, Non-cyclical – 4.5% (continued)
BCP V Modular Services Finance II plc
6.13% due 10/30/282	GBP 750,000				$807,118
CPI CG, Inc.
8.63% due 03/15/262		601,000			570,987
Baylor College of Medicine
5.26% due 11/15/46		600,000			556,616
Medline Borrower, LP
5.25% due 10/01/292		450,000			407,234
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
7.00% due 12/31/272,7		260,000			240,716
Upbound Group, Inc.
6.38% due 02/15/292,7		250,000			227,648
Performance Food Group, Inc.
6.88% due 05/01/252,7		225,000			225,118
Endo Luxembourg Finance Company I SARL / Endo US, Inc.
7.13% due 04/01/292,11		350,000			224,875
OhioHealth Corp.
2.83% due 11/15/41		300,000			204,444
Total Consumer, Non-cyclical					16,026,744
Consumer, Cyclical – 3.8%
Delta Air Lines, Inc.
7.00% due 05/01/252,7		4,019,000			4,061,294
United Airlines, Inc.
4.63% due 04/15/292		2,200,000			1,963,961
Warnermedia Holdings, Inc.
5.14% due 03/15/527		1,150,000			919,150
6.41% due 03/15/267		900,000			900,816
Hyatt Hotels Corp.
5.75% due 04/23/307		1,100,000			1,107,734
LKQ Corp.
6.25% due 06/15/337		950,000			950,710
Air Canada
4.63% due 08/15/292	CAD 1,050,000				699,082
Evergreen Acqco 1 Limited Partnership / TVI, Inc.
9.75% due 04/26/282		539,000			559,213
PetSmart, Inc. / PetSmart Finance Corp.
4.75% due 02/15/282,7		600,000			548,704
Polaris, Inc.
6.95% due 03/15/29		450,000			463,124
Wabash National Corp.
4.50% due 10/15/282,7		500,000			427,486
Hanesbrands, Inc.
9.00% due 02/15/312,7		400,000			377,081

 

See notes to financial statements.

^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT} l ³⁵

 

 

SCHEDULE OF INVESTMENTS (Unaudited) continued				November 30, 2023
		Face
		Amount~				Value
CORPORATE BONDS†† – 31.5% (continued)
Consumer, Cyclical – 3.8% (continued)
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.00% due 06/01/312,7		300,000				$265,500
Superior Plus Limited Partnership / Superior General Partner, Inc.
4.50% due 03/15/292,7		250,000				220,149
Station Casinos LLC
4.63% due 12/01/312		200,000				169,936
Total Consumer, Cyclical						13,633,940
Industrial – 3.7%
Boeing Co.
5.81% due 05/01/50		4,000,000				3,901,251
IP Lending V Ltd.
5.13% due 04/02/26†††,2		1,200,000				1,142,640
Fortune Brands Innovations, Inc.
4.50% due 03/25/527		1,300,000				1,017,084
Artera Services LLC
9.03% due 12/04/252,7		1,050,000				958,918
LBJ Infrastructure Group LLC
3.80% due 12/31/572		1,500,000				930,870
IP Lending X Ltd.
7.75% due 07/02/29†††,2		900,000				905,440
Cellnex Finance Company S.A.
3.88% due 07/07/412,7		1,250,000				904,000
GrafTech Global Enterprises, Inc.
9.88% due 12/15/282		1,000,000				785,000
Dyal Capital Partners IV
3.65% due 02/22/41†††		1,000,000				768,409
Summit Materials LLC / Summit Materials Finance Corp.
6.50% due 03/15/272,7		600,000				595,500
New Enterprise Stone & Lime Company, Inc.
9.75% due 07/15/282,7		575,000				573,679
Deuce FinCo plc
5.50% due 06/15/272	GBP 500,000					568,861
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc
4.00% due 09/01/292,7		400,000				317,865
Level 3 Financing, Inc.
11.00% due 11/15/29†††		634,257				1
Total Industrial						13,369,518
Communications – 2.8%
British Telecommunications plc
4.88% due 11/23/812,3		1,700,000				1,403,356
T-Mobile USA, Inc.
2.88% due 02/15/317		1,362,000				1,154,063
McGraw-Hill Education, Inc.
8.00% due 08/01/292,7		850,000				766,063
5.75% due 08/01/282		300,000				273,750

 

See notes to financial statements.

³⁶ l ^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS (Unaudited) continued				November 30, 2023
		Face
		Amount~				Value
CORPORATE BONDS†† – 31.5% (continued)
Communications – 2.8% (continued)
LCPR Senior Secured Financing DAC
5.13% due 07/15/292,7	1,150,000				$965,351
Charter Communications Operating LLC / Charter Communications Operating Capital
5.25% due 04/01/537	1,200,000				960,990
Corning, Inc.
4.38% due 11/15/577	1,200,000				950,048
Rogers Communications, Inc.
4.50% due 03/15/42	1,150,000				947,127
Altice France S.A.
5.50% due 10/15/292,7	900,000				649,375
5.13% due 07/15/292,7	350,000				250,323
Vodafone Group plc
5.13% due 06/04/813	1,100,000				753,165
UPC Broadband Finco BV
4.88% due 07/15/312,7	700,000				590,625
CSC Holdings LLC
11.25% due 05/15/282,7	250,000				249,561
5.25% due 06/01/24	100,000				95,260
Telenet Finance Luxembourg Notes SARL
5.50% due 03/01/28	200,000				182,500
Total Communications					10,191,557
Energy – 2.5%
Occidental Petroleum Corp.
7.00% due 11/15/27	2,000,000				2,047,320
Valero Energy Corp.
4.00% due 06/01/527	2,450,000				1,782,204
ITT Holdings LLC
6.50% due 08/01/292	1,250,000				1,090,625
NuStar Logistics, LP
6.38% due 10/01/307	1,000,000				975,000
Targa Resources Partners Limited Partnership / Targa Resources Partners Finance Corp.
4.88% due 02/01/317	1,000,000				925,732
Venture Global LNG, Inc.
9.88% due 02/01/322	750,000				768,631
Kinder Morgan, Inc.
5.20% due 06/01/337	400,000				383,015
Parkland Corp.
4.63% due 05/01/302,7	300,000				267,750
Buckeye Partners, LP
4.35% due 10/15/247	250,000				244,415
Viper Energy, Inc.
7.38% due 11/01/312,7	200,000				202,400
Greensaif Pipelines Bidco SARL
6.51% due 02/23/422	200,000				200,268

 

See notes to financial statements.

^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT} l ³⁷

  

SCHEDULE OF INVESTMENTS (Unaudited) continued			November 30, 2023
	Face
	Amount~				Value
CORPORATE BONDS†† – 31.5% (continued)
Energy – 2.5% (continued)
CVR Energy, Inc.
5.75% due 02/15/282	125,000				$115,589
Total Energy					9,002,949
Basic Materials – 0.9%
Alcoa Nederland Holding BV
4.13% due 03/31/292,7	1,100,000				981,096
ArcelorMittal S.A.
6.55% due 11/29/27	900,000				929,363
SK Invictus Intermediate II SARL
5.00% due 10/30/292,7	700,000				568,844
SCIL IV LLC / SCIL USA Holdings LLC
5.38% due 11/01/262,7	600,000				563,237
Mirabela Nickel Ltd.
due 06/24/19†††,9,11	96,316				482
Total Basic Materials					3,043,022
Technology – 0.8%
Broadcom, Inc.
3.19% due 11/15/362,7	1,300,000				993,297
Oracle Corp.
3.95% due 03/25/517	1,100,000				813,880
CDW LLC / CDW Finance Corp.
3.57% due 12/01/317	800,000				688,896
Central Parent LLC / CDK Global II LLC / CDK Financing Company, Inc.
8.00% due 06/15/292	200,000				205,158
Total Technology					2,701,231
Utilities – 0.7%
Ohio Edison Co.
5.50% due 01/15/332,7	950,000				925,344
Alexander Funding Trust II
7.47% due 07/31/282,7	900,000				922,105
NRG Energy, Inc.
7.00% due 03/15/332	450,000				454,972
Black Hills Corp.
5.95% due 03/15/287	200,000				202,461
Total Utilities					2,504,882
Total Corporate Bonds
(Cost $129,172,712)	112,706,031
ASSET-BACKED SECURITIES†† – 11.4%
Financial – 3.8%
Thunderbird A
5.50% due 03/01/37†††	3,925,948				3,606,610

 

 

See notes to financial statements.

³⁸ l ^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT}

  

SCHEDULE OF INVESTMENTS (Unaudited) continued				November 30, 2023
		Face
		Amount~				Value
ASSET-BACKED SECURITIES†† – 11.4% (continued)
Financial – 3.8% (continued)
Lightning A
5.50% due 03/01/37†††		3,867,386				$3,552,812
HV Eight LLC
7.10% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%)
due 12/31/27◊,†††	EUR 1,607,232					1,749,785
KKR Core Holding Company LLC
4.00% due 08/12/31†††		1,561,248				1,371,792
Project Onyx I
7.67% due 01/26/27†††		1,350,000				1,349,277
Ceamer Finance LLC
6.92% due 11/15/37†††		966,635				923,670
LVNV Funding LLC
7.80% due 11/05/28†††		650,000				650,000
Project Onyx II
7.67% due 01/26/27†††		450,000				449,732
Total Financial						13,653,678
Transport-Aircraft – 1.9%
GAIA Aviation Ltd.
2019-1, 3.97% due 12/15/442,4		2,382,172				2,142,001
Navigator Aircraft ABS Ltd.
2021-1, 2.77% due 11/15/462		1,075,149				917,156
Sprite Ltd.
2021-1, 3.75% due 11/15/462		954,136				874,437
JOL Air Ltd.
2019-1, 3.97% due 04/15/442		862,383				777,378
Start Ltd.
2018-1, 4.09% due 05/15/432		829,979				740,880
Castlelake Aircraft Structured Trust
2021-1A, 6.66% due 01/15/462		725,290				596,955
Labrador Aviation Finance Ltd.
2016-1A, 4.30% due 01/15/422		573,173				483,035
AASET Trust
2021-2A, 2.80% due 01/15/472		407,951				349,288
Total Transport-Aircraft						6,881,130
Collateralized Loan Obligations – 1.9%
ABPCI Direct Lending Fund IX LLC
2021-9A BR, 8.15% (3 Month Term SOFR + 2.76%, Rate Floor: 2.50%)
due 11/18/31◊,2		2,500,000				2,405,639
Cerberus Loan Funding XLII LLC
2023-3A C, 9.58% (3 Month Term SOFR + 4.15%, Rate Floor: 4.15%)
due 09/13/35◊,2		1,250,000				1,249,705

 

^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT} l ³⁹

 

 

SCHEDULE OF INVESTMENTS (Unaudited) continued			November 30, 2023
	Face
	Amount~				Value
ASSET-BACKED SECURITIES†† – 11.4% (continued)
Collateralized Loan Obligations – 1.9% (continued)
ABPCI Direct Lending Fund CLO II LLC
2021-1A CR, 8.83% (3 Month Term SOFR + 3.41%, Rate Floor: 3.15%)
due 04/20/32◊,2	1,000,000				$963,631
Cerberus Loan Funding XL LLC
2023-1A C, 9.79% (3 Month Term SOFR + 4.40%, Rate Floor: 4.40%)
due 03/22/35◊,2	750,000				751,087
KREF Ltd.
2021-FL2 AS, 6.74% (1 Month Term SOFR + 1.41%, Rate Floor: 1.30%)
due 02/15/39◊,2	650,000				601,857
WhiteHorse X Ltd.
2015-10A E, 10.96% (3 Month Term SOFR + 5.56%, Rate Floor: 5.30%)
due 04/17/27◊,2	371,135				371,077
WhiteHorse VIII Ltd.
2014-1A E, 10.19% (3 Month Term SOFR + 4.81%, Rate Floor: 0.00%)
due 05/01/26◊,2	196,225				165,429
BNPP IP CLO Ltd.
2014-2A E, 10.90% (3 Month Term SOFR + 5.51%, Rate Floor: 0.00%)
due 10/30/25◊,2	287,756				71,737
Total Collateralized Loan Obligations					6,580,162
Infrastructure – 1.7%
VB-S1 Issuer LLC - VBTEL
2022-1A, 4.29% due 02/15/522	5,000,000				4,431,825
Hotwire Funding LLC
2023-1A, 8.84% due 05/20/532	1,900,000				1,750,238
Total Infrastructure					6,182,063
Whole Business – 0.8%
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.72% due 06/05/492	990,000				930,192
SERVPRO Master Issuer LLC
2019-1A, 3.88% due 10/25/492	960,000				886,363
2021-1A, 2.39% due 04/25/512	48,750				40,742
Sonic Capital LLC
2021-1A, 2.64% due 08/20/512	1,174,000				893,526
Total Whole Business					2,750,823
Net Lease – 0.7%
CARS-DB7, LP
2023-1A, 6.50% due 09/15/532	997,917				984,265
SVC ABS LLC
2023-1A, 5.55% due 02/20/532	998,125				921,977
CARS-DB4, LP
2020-1A, 4.95% due 02/15/502	500,000				407,320
Total Net Lease					2,313,562

 

⁴⁰ l ^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT}

  

SCHEDULE OF INVESTMENTS (Unaudited) continued

November 30, 2023

 

		Face
		Amount~				Value
ASSET-BACKED SECURITIES†† – 11.4% (continued)
Single Family Residence – 0.5%
FirstKey Homes Trust
2022-SFR3, 4.50% due 07/17/382		1,000,000				$950,488
2020-SFR2, 4.50% due 10/19/372		400,000				368,203
2020-SFR2, 4.00% due 10/19/372		400,000				367,018
2020-SFR2, 3.37% due 10/19/372		250,000				227,635
Total Single Family Residence						1,913,344
Insurance – 0.1%
CHEST
7.13% due 03/15/43†††		500,000				488,142
Total Asset-Backed Securities
(Cost $42,664,855)						40,762,904
SENIOR FLOATING RATE INTERESTS††,◊ – 9.3%
Consumer, Cyclical – 2.6%
MB2 Dental Solutions LLC
11.45% (1 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††		1,492,679				1,476,415
FR Refuel LLC
10.21% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 11/08/28				1,286,353		1,244,546
Zephyr Bidco Ltd.
11.19% (1 Month GBP SONIA + 6.00%, Rate Floor: 6.00%) due 07/31/28				GBP 900,000		1,107,728
First Brands Group LLC
10.88% (6 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27				1,121,250		1,101,348
Alexander Mann
11.42% (1 Month Term SOFR + 6.10%, Rate Floor: 6.10%) due 06/29/27				1,000,000		971,670
Pacific Bells LLC
10.15% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28		752,210				742,100
Accuride Corp.
12.22% (1 Month Term SOFR + 5.25%, Rate Floor: 6.25%)
(in-kind rate was 1.62%) due 05/18/2612		698,946				597,599
The Facilities Group
11.24% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 11/30/27†††		496,343				486,417
NFM & J LLC
11.23% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 11/30/27†††		488,427				478,658
Camin Cargo Control, Inc.
11.96% (1 Month Term SOFR + 6.50%, Rate Floor: 6.50%) due 06/04/26†††		471,801				452,929
Flutter Financing B.V.
8.90% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 07/24/28		415,521				415,662
ImageFIRST Holdings LLC
10.47% ((3 Month Term SOFR + 4.75%) and (6 Month Term SOFR + 4.75%),
Rate Floor: 4.75%) due 04/27/28		419,459				415,265
Total Consumer, Cyclical						9,490,337
Consumer, Non-cyclical – 2.1%
Mission Veterinary Partners
9.46% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/27/28				1,225,000		1,207,899

^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT} l ⁴¹

SCHEDULE OF INVESTMENTS (Unaudited) continued

November 30, 2023

  

 

	Face
	Amount~		Value
SENIOR FLOATING RATE INTERESTS††,◊ – 9.3% (continued)
Consumer, Non-cyclical – 2.1% (continued)
PetIQ LLC
10.17% (6 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 04/13/28	1,054,192	$	1,038,380
Quirch Foods Holdings LLC
10.45% (3 Month Term SOFR + 4.75%, Rate Floor: 5.25%) due 10/27/27	953,880		947,327
Women’s Care Holdings, Inc.
10.05% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 01/17/28	1,057,805		934,180
Blue Ribbon LLC
11.43% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 05/08/28	1,035,000		882,337
LaserAway Intermediate Holdings II LLC
11.41% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 10/14/27	781,187		766,540
Gibson Brands, Inc.
10.66% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 08/11/28	491,250		437,213
Southern Veterinary Partners LLC
9.46% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/05/27	424,753		422,204
Endo Luxembourg Finance Company I SARL
14.50% (Commercial Prime Lending Rate + 6.00%, Rate Floor: 7.75%) due 03/27/28	592,500		380,681
Florida Food Products LLC
10.46% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/18/28	439,356		375,649
HAH Group Holding Co. LLC
10.45% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27	255,153		251,752
Total Consumer, Non-cyclical			7,644,162
Technology – 1.7%
Polaris Newco LLC
8.95% ((1 Month Term SOFR + 3.50%) and (Commercial Prime Lending
Rate + 2.50%), Rate Floor: 3.50%) due 06/04/26†††	2,021,000		1,894,134
Sitecore Holding III A/S
10.98% ((6 Month EURIBOR + 7.75%) and (12 Month EURIBOR + 7.00%),
Rate Floor: 7.75%) due 03/12/26†††	EUR 727,995		789,269
11.84% ((3 Month Term SOFR + 6.25%) and (6 Month Term SOFR + 7.75%),
Rate Floor: 6.25%) due 03/12/26†††	584,919		582,520
11.84% ((3 Month Term SOFR + 6.25%) and (6 Month Term SOFR + 7.75%),
Rate Floor: 6.25%) due 03/09/26†††	111,648		111,191
Aston FinCo SARL
9.96% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 10/09/26	GBP 780,080		829,642
RLDatix
13.19% (6 Month Term SOFR + 7.75%, Rate Floor: 7.75%) due 04/27/26†††	700,000		685,650
24-7 Intouch, Inc.
10.20% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 08/25/25	382,938		377,512
Datix Bidco Ltd.
12.94% (6 Month GBP SONIA + 7.75%, Rate Floor: 7.75%) due 04/27/26†††	GBP 300,000		370,943
Sitecore USA, Inc.
11.84% ((3 Month Term SOFR + 6.25%) and (6 Month Term SOFR + 7.75%),
Rate Floor: 6.25%) due 03/12/26†††	286,383		285,209

⁴² l ^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT}

  

SCHEDULE OF INVESTMENTS (Unaudited) continued

November 30, 2023

 

	Face
	Amount~		Value
SENIOR FLOATING RATE INTERESTS††,◊ – 9.3% (continued)
Technology – 1.7% (continued)
Atlas CC Acquisition Corp.
9.90% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 05/25/28	191,431	$	177,100
Total Technology			6,103,170
Industrial – 1.7%
Dispatch Terra Acquisition LLC
9.79% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/27/28	1,124,125		1,053,867
Arcline FM Holdings LLC
10.40% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 06/23/28	959,038		942,974
Level 3 Financing, Inc.
7.21% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 03/01/27	1,000,000		940,000
CapStone Acquisition Holdings, Inc.
10.20% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 11/12/27†††	931,966		926,725
Aegion Corp.
10.39% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 05/17/28	588,174		580,828
Merlin Buyer, Inc.
9.35% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/14/28	575,189		565,123
Merlin Buyer, Inc.
due 12/14/28†††	300,000		294,000
TK Elevator Midco GmbH
6.85% (1 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 01/29/27†††	EUR 274,012		282,195
Integrated Power Services Holdings, Inc.
9.96% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 11/22/28†††	196,669		195,270
ILPEA Parent, Inc.
9.96% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 06/22/28†††	127,173		124,629
Total Industrial			5,905,611
Communications – 0.6%
FirstDigital Communications LLC
9.71% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/17/26†††	1,250,000		1,214,685
Syndigo LLC
9.96% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 12/15/27†††	929,590		897,055
Total Communications			2,111,740
Financial – 0.6%
Citadel Securities, LP
7.96% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 07/29/30	987,399		986,865
Eisner Advisory Group
10.71% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/28/28	711,669		710,339
HighTower Holding LLC
9.64% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/21/28	348,128		346,099
Total Financial			2,043,303
Utilities – 0.0%
Oregon Clean Energy LLC
9.24% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/01/26	79,386		78,096

 

^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT} l ⁴³

 

SCHEDULE OF INVESTMENTS (Unaudited) continued

November 30, 2023

 

	Face
	Amount~		Value
SENIOR FLOATING RATE INTERESTS††,◊ – 9.3% (continued)
Total Senior Floating Rate Interests
(Cost $34,481,531)		$	33,376,419
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 3.4%
Government Agency – 2.4%
Freddie Mac
3.00% due 08/01/527	2,930,298		2,490,280
3.00% due 06/01/527	2,913,706		2,471,939
Uniform MBS 30 Year
due 09/14/5314	4,411,764		3,719,346
Total Government Agency			8,681,565
Residential Mortgage-Backed Securities – 0.9%
Imperial Fund Mortgage Trust
2022-NQM2, 4.20% (WAC) due 03/25/67◊,2	1,972,124		1,719,893
GCAT Trust
2022-NQM5, 5.71% due 08/25/672,4	537,125		521,485
OBX Trust
2022-NQM8, 6.10% due 09/25/622,4	434,755		425,096
CFMT LLC
2022-HB9, 3.25% (WAC) due 09/25/37◊,9	500,000		418,803
Total Residential Mortgage-Backed Securities			3,085,277
Military Housing – 0.1%
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
2015-R1, 0.70% (WAC) due 11/25/55◊,2,13	6,787,122		427,407
2015-R1, 5.94% (WAC) due 11/25/52◊,9	84,762		73,758
Total Military Housing			501,165
Total Collateralized Mortgage Obligations
(Cost $12,486,511)			12,268,007
FOREIGN GOVERNMENT DEBT†† – 0.2%
Panama Government International Bond
4.50% due 01/19/63	1,250,000		767,983
Total Foreign Government Debt
(Cost $1,242,317)			767,983
	Notional
	Value
OTC OPTIONS PURCHASED†† – 0.0%
Call Options on:
Interest Rate Options
Goldman Sachs International
10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD 10,800,000		19,296
Morgan Stanley Capital Services LLC
10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD 10,400,000		18,581
Barclays Bank plc
10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD 10,300,000		18,403

⁴⁴ l ^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT}

 

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2023
	Notional
	Value		Value
OTC OPTIONS PURCHASED†† – 0.0% (continued)
Bank of America, N.A.
10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD 5,200,000		$9,291
Goldman Sachs International
10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20	USD 10,800,000		396
Morgan Stanley Capital Services LLC
10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.10	USD 10,400,000		381
Barclays Bank plc
10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20	USD 10,400,000		381
Bank of America, N.A.
10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20	USD 5,100,000		187
Total OTC Options Purchased
(Cost $313,757)			66,916
Total Investments – 139.0%
(Cost $570,726,146)	$ 497,675,824
Other Assets & Liabilities, net – (39.0)%	(139,600,114)
Total Net Assets – 100.0%	$ 358,075,710

 

Centrally Cleared Credit Default Swap Agreements Protection Purchased^††              

 

			Protection					Upfront
			Premium	Payment	Maturity	Notional		Premiums	Unrealized
Counterparty	Exchange	Index	Rate	Frequency	Date	Amount	Value	Received	Depreciation**
J.P. Morgan
Securities LLC	ICE	ITRAXX.EUR.38.V1	1.00%	Quarterly	12/20/27	EUR 4,400,000	$(81,663)	$(33,072)	$(48,591)

 

 

Forward Foreign Currency Exchange Contracts††
										Unrealized
					Contract	Settlement		Appreciation
Counterparty	Currency	Type	Quantity		Amount	Date		(Depreciation)
Barclays Bank plc	EUR	Sell	32,000		35,060 USD	12/18/23				$200
JPMorgan Chase Bank, N.A.	EUR	Sell	2,510,000		2,733,285 USD	12/18/23				(1,004	)
Bank of America, N.A.	CAD	Sell	935,000		682,963 USD	12/18/23				(6,509	)
JPMorgan Chase Bank, N.A.	GBP	Sell	2,952,000		3,690,692 USD	12/18/23				(36,313	)
										$(43,626	)

 

~

The face amount is denominated in U.S. dollars unless otherwise indicated.

*

Non-income producing security.

**

Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.

†

Value determined based on Level 1 inputs, unless otherwise noted — See Note 6.

††

Value determined based on Level 2 inputs, unless otherwise noted — See Note 6.

†††

Value determined based on Level 3 inputs — See Note 6.

 

See notes to financial statements.

^GBAB l ^{GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST SEMIANNUAL REPORT} l ⁴⁵

 

 

SCHEDULE OF INVESTMENTS (Unaudited) continued	November 30, 2023

 

◊

Variable rate security. Rate indicated is the rate effective at November 30, 2023. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

1

Affiliated issuer.

2

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 $92,016,924 (cost $102,353,536), or 25.7% of total net assets.

3

Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.

4

Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at November 30, 2023. See table below for additional step information for each security.

5

Special Purpose Acquisition Company (SPAC).

6

Rate indicated is the 7-day yield as of November 30, 2023.

7

All or a portion of these securities have been physically segregated in connection with borrowings, unfunded loan commitments, and reverse repurchase agreements. As of November 30, 2023, the total value of securities segregated was $152,359,198.

8

Zero coupon rate security.

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 $6,373,360 (cost $7,701,346), or 1.8% of total net assets — See Note 12.

10

Perpetual maturity.

11

Security is in default of interest and/or principal obligations.

12

Payment-in-kind security.

13

Security is an interest-only strip.

14

Security is unsettled at period end and does not have a stated effective rate.

15

Taxable municipal bond issued as part of the Build America Bond program.

 

CAD — Canadian Dollar

CMS — Constant Maturity Swap

EUR — Euro

EURIBOR — European Interbank Offered Rate

GBP — British Pound

ICE — Intercontinental Exchange

ITRAXX.EUR.38.V1 — iTraxx Euro