Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust |
|
SCHEDULE
OF INVESTMENTS (Unaudited) |
August
31, 2023 |
|
|
|
Shares |
|
Value |
COMMON STOCKS† - 0.0% |
Communications - 0.0% |
Figs, Inc.
— Class A* |
3,754 |
|
$ 23,200 |
Vacasa,
Inc. — Class A* |
10,238 |
|
6,163 |
Total Communications |
|
|
29,363
|
Industrial - 0.0% |
BP Holdco
LLC*,†††,1 |
15,619 |
|
20,062 |
Vector Phoenix
Holdings, LP*,††† |
15,619 |
|
3,732 |
Targus, Inc.*,††† |
17,838 |
|
526 |
Targus, Inc.*,††† |
17,838 |
|
526 |
Targus, Inc.*,††† |
17,838 |
|
428 |
Targus,
Inc.*,††† |
17,838 |
|
178 |
YAK BLOCKER
2 LLC*,††† |
5,183 |
|
52 |
YAK BLOCKER
2 LLC*,††† |
4,791 |
|
48 |
Targus,
Inc.*,††† |
17,838 |
|
2 |
Total Industrial |
|
|
25,554
|
Financial - 0.0% |
Tensor
Ltd.*,††† |
81,175 |
|
8
|
Total Common Stocks |
|
|
(Cost $194,763) |
|
|
54,925
|
PREFERRED STOCKS††
- 2.4% |
Financial - 2.4% |
Equitable Holdings, Inc. |
4.30% |
140,000 |
|
2,170,000 |
Reinsurance Group of America, Inc. |
7.13%
due 10/15/52 |
76,000 |
|
1,976,000 |
W R Berkley Corp. |
4.13%
due 03/30/61 |
95,975 |
|
1,661,327 |
Kuvare US Holdings, Inc. |
7.00%
due 02/17/51*,2 |
1,500,000 |
|
1,612,500 |
PartnerRe Ltd. |
4.88% |
46,000 |
|
843,640 |
Selective Insurance Group, Inc. |
4.60% |
20,000 |
|
330,000 |
First Republic Bank |
4.50% |
17,750 |
|
6 |
4.25% |
31,650 |
|
3 |
Total Financial |
|
|
8,593,476
|
Industrial - 0.0% |
YAK BLOCKER 2 LLC*,††† |
284,756 |
|
67,144
|
Total Preferred Stocks |
|
|
(Cost $12,882,101) |
|
|
8,660,620
|
WARRANTS† - 0.0% |
Ginkgo Bioworks Holdings, Inc. |
|
|
|
Expiring 09/16/26* |
9,372 |
|
3,278 |
Acropolis Infrastructure Acquisition Corp. |
|
|
|
Expiring 03/31/26*,4 |
12,600 |
|
1,575 |
Pershing Square Tontine Holdings, Ltd. |
|
|
|
Expiring 07/24/25*,†††,4 |
23,730 |
|
3 |
Waverley Capital Acquisition Corp. |
|
|
|
Expiring 04/30/27*,4 |
17,000 |
|
– |
Total Warrants |
|
|
(Cost $42,605) |
|
|
4,856
|
CLOSED-END FUNDS†
- 10.9% |
BlackRock
Taxable Municipal Bond Trust |
738,712 |
|
11,841,553 |
Nuveen Taxable
Municipal Income Fund |
471,344 |
|
7,187,996 |
Nuveen California
Quality Municipal Income Fund |
482,736 |
|
5,020,454 |
Invesco
Municipal Opportunity Trust |
450,245 |
|
4,070,215 |
Invesco
Trust for Investment Grade Municipals |
382,286 |
|
3,559,083 |
Invesco
Municipal Trust |
309,052 |
|
2,803,102 |
BlackRock
MuniVest Fund, Inc. |
394,750 |
|
2,597,455 |
Invesco
Advantage Municipal Income Trust II |
287,297 |
|
2,327,106 |
Total Closed-End Funds |
|
|
(Cost $56,469,081) |
|
|
39,406,964
|
MONEY MARKET FUNDS† -
0.9% |
Dreyfus
Treasury Securities Cash Management Fund — Institutional Shares, 5.22%5 |
1,738,511 |
|
1,738,511 |
Dreyfus
Treasury Obligations Cash Management Fund — Institutional Shares, 5.23%5 |
1,421,280 |
|
1,421,280 |
Total Money Market Funds |
|
|
(Cost $3,159,791) |
|
|
3,159,791
|
|
Face
Amount~ |
|
|
MUNICIPAL BONDS††
- 70.2% |
California - 13.2% |
|
|
|
Santa Ana Unified School District, California, General
Obligation Bonds, Federal Taxable Build America Bonds13 |
|
|
|
7.10%
due 08/01/40 |
7,785,000 |
|
8,990,924 |
6.80%
due 08/01/30 |
2,245,000 |
|
2,466,840 |
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 |
|
10,092,130 |
East Side Union High School District General Obligation
Unlimited |
|
|
|
3.13%
due 08/01/426 |
7,500,000 |
|
5,602,839 |
California Statewide Communities Development Authority
Revenue Bonds |
|
|
|
7.14%
due 08/15/47 |
3,450,000 |
|
3,719,446 |
California Public Finance Authority Revenue Bonds |
|
|
|
3.27%
due 10/15/43 |
4,800,000 |
|
3,136,649 |
Oakland Unified School District/Alameda County General
Obligation Unlimited |
|
|
|
3.12%
due 08/01/40 |
2,450,000 |
|
1,849,022 |
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust |
|
SCHEDULE
OF INVESTMENTS (Unaudited) |
August
31, 2023 |
|
|
|
Face
Amount~ |
|
Value |
MUNICIPAL BONDS††
- 70.2% (continued) |
California - 13.2% (continued) |
|
|
|
Marin Community College District General Obligation Unlimited |
|
|
|
4.03%
due 08/01/386 |
2,000,000 |
|
$1,781,095 |
Moreno Valley Unified School District General Obligation
Unlimited |
|
|
|
3.82%
due 08/01/44 |
2,000,000 |
|
1,589,906 |
Hillsborough City School District General Obligation
Unlimited |
|
|
|
due
09/01/387 |
1,600,000 |
|
700,866 |
due
09/01/377 |
1,120,000 |
|
522,035 |
due
09/01/407 |
500,000 |
|
193,221 |
San Jose Evergreen Community College District General
Obligation Unlimited |
|
|
|
3.06%
due 09/01/456 |
1,500,000 |
|
1,070,484 |
Manteca Redevelopment Agency Successor Agency Tax Allocation |
|
|
|
3.21%
due 10/01/42 |
1,400,000 |
|
1,019,416 |
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 02/01/266 |
1,000,000 |
|
1,006,870 |
Monrovia Unified School District, Los Angeles County,
California, Election of 2006 General Obligation Bonds, Build America Bonds, Federally Taxable13 |
|
|
|
7.25%
due 08/01/28 |
805,000 |
|
863,027 |
Norman Y Mineta San Jose International Airport SJC Revenue
Bonds |
|
|
|
2.91%
due 03/01/35 |
500,000 |
|
400,654 |
3.27%
due 03/01/40 |
250,000 |
|
189,683 |
3.29%
due 03/01/41 |
70,000 |
|
52,292 |
Alhambra Unified School District General Obligation Unlimited |
|
|
|
6.70%
due 02/01/266 |
500,000 |
|
512,995 |
California State University Revenue Bonds |
|
|
|
3.90%
due 11/01/476 |
500,000 |
|
416,820 |
Cypress School District General Obligation Unlimited |
|
|
|
6.65%
due 08/01/25 |
350,000 |
|
355,814 |
Fremont Unified School District/Alameda County California
General Obligation Unlimited |
|
|
|
2.75%
due 08/01/41 |
400,000 |
|
285,335 |
Riverside County Redevelopment Successor Agency Tax Allocation |
|
|
|
3.88%
due 10/01/37 |
250,000 |
|
215,011 |
Coast Community College District General Obligation Unlimited |
|
|
|
2.98%
due 08/01/39 |
250,000 |
|
189,846 |
Total California |
|
|
47,223,220 |
Texas - 11.4% |
|
|
|
Dallas, Texas, Convention Center Hotel Development Corporation,
Hotel Revenue Bonds, Taxable Build America Bonds13 |
|
|
|
7.09%
due 01/01/426 |
10,020,000 |
|
11,110,129 |
Harris County Cultural Education Facilities Finance Corp.
Revenue Bonds |
|
|
|
3.34%
due 11/15/376 |
8,900,000 |
|
7,106,044 |
Tarrant County Cultural Education Facilities Finance
Corp. Revenue Bonds |
|
|
|
3.42%
due 09/01/506 |
8,000,000 |
|
5,330,657 |
Central Texas Regional Mobility Authority Revenue Bonds |
|
|
|
3.29%
due 01/01/426 |
5,250,000 |
|
3,992,749 |
3.27%
due 01/01/45 |
1,150,000 |
|
812,974 |
City of San Antonio Texas Electric & Gas Systems
Revenue Bonds |
|
|
|
2.91%
due 02/01/486 |
6,800,000 |
|
4,780,647 |
Dallas/Fort Worth International Airport Revenue Bonds |
|
|
|
2.92%
due 11/01/506 |
6,500,000 |
|
4,663,242 |
City of Garland Texas Electric Utility System Revenue
Bonds |
|
|
|
3.15%
due 03/01/51 |
2,400,000 |
|
1,625,689 |
City of Austin Texas Rental Car Special Facility Revenue
Bonds |
|
|
|
2.86%
due 11/15/426 |
2,200,000 |
|
1,565,367 |
Total Texas |
|
|
40,987,498 |
Washington - 6.4% |
|
|
|
Central Washington University Revenue Bonds |
|
|
|
6.95%
due 05/01/40 |
5,000,000 |
|
5,513,023 |
Central Washington University, System Revenue Bonds,
2010, Taxable Build America Bonds13 |
|
|
|
6.50%
due 05/01/30 |
5,000,000 |
|
5,239,709 |
Washington State Convention Center Public Facilities
District, Lodging Tax Bonds, Taxable Build America Bonds13 |
|
|
|
6.79%
due 07/01/40 |
4,600,000 |
|
4,910,651 |
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust |
|
SCHEDULE
OF INVESTMENTS (Unaudited) |
August
31, 2023 |
|
|
|
Face
Amount~ |
|
Value |
MUNICIPAL BONDS††
- 70.2% (continued) |
Washington - 6.4% (continued) |
|
|
|
Washington State University, Housing and Dining System
Revenue Bonds, Taxable Build America Bonds13 |
|
|
|
7.10%
due 04/01/32 |
3,325,000 |
|
$3,633,843 |
County of Pierce Washington Sewer Revenue Bonds |
|
|
|
2.87%
due 08/01/426 |
4,300,000 |
|
3,130,981 |
King County Public Hospital District No. 2 General Obligation
Limited |
|
|
|
3.11%
due 12/01/44 |
1,100,000 |
|
781,583 |
Total Washington |
|
|
23,209,790 |
New York - 5.3% |
|
|
|
Westchester County Health Care Corporation, Revenue Bonds,
Taxable Build America Bonds13 |
|
|
|
8.57%
due 11/01/406 |
10,010,000 |
|
10,298,041 |
Port Authority of New York & New Jersey Revenue Bonds |
|
|
|
3.14%
due 02/15/516 |
5,000,000 |
|
3,610,501 |
Westchester County Local Development Corp. Revenue Bonds |
|
|
|
3.85%
due 11/01/506 |
4,550,000 |
|
3,179,616 |
New York City Industrial Development Agency Revenue Bonds |
|
|
|
2.73%
due 03/01/346 |
2,250,000 |
|
1,770,024 |
Total New York |
|
|
18,858,182 |
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 |
|
10,691,800 |
Pittsburgh, Pennsylvania, School District, Taxable Qualified
School Construction Bonds |
|
|
|
6.85%
due 09/01/296 |
6,895,000 |
|
7,445,183 |
Doylestown Hospital Authority Revenue Bonds |
|
|
|
3.95%
due 07/01/24 |
175,000 |
|
169,403 |
Total Pennsylvania |
|
|
18,306,386 |
Illinois - 4.1% |
|
|
|
Chicago, Illinois, Second Lien Wastewater Transmission
Revenue Project Bonds, Taxable Build America Bonds13 |
|
|
|
6.90%
due 01/01/406 |
5,100,000 |
|
5,730,989 |
Illinois, General Obligation Bonds, Taxable Build America
Bonds13 |
|
|
|
7.35%
due 07/01/356 |
4,285,714 |
|
4,568,750 |
Chicago, Illinois, Second Lien Water Revenue Bonds, Taxable
Build America Bonds13 |
|
|
|
6.74%
due 11/01/40 |
2,990,000 |
|
3,336,719 |
State of Illinois General Obligation Unlimited |
|
|
|
6.63%
due 02/01/35 |
858,462 |
|
886,121 |
6.73%
due 04/01/356 |
184,615 |
|
191,470 |
Chicago Board of Education General Obligation Unlimited |
|
|
|
6.14%
due 12/01/39 |
195,000 |
|
183,210 |
Total Illinois |
|
|
14,897,259 |
Ohio - 4.0% |
|
|
|
County of Franklin Ohio Revenue Bonds |
|
|
|
2.88%
due 11/01/506 |
8,900,000 |
|
5,758,834 |
American Municipal Power, Inc., Combined Hydroelectric
Projects Revenue Bonds, New Clean Renewable Energy Bonds |
|
|
|
7.33%
due 02/15/286 |
5,000,000 |
|
5,258,525 |
Madison Local School District, Richland County, Ohio,
School Improvement, Taxable Qualified School Construction Bonds |
|
|
|
6.65%
due 12/01/296 |
2,500,000 |
|
2,502,676 |
Toronto City School District, Ohio, Qualified School
Construction Bonds General Obligation Bonds |
|
|
|
7.00%
due 12/01/28 |
780,000 |
|
780,964 |
Total Ohio |
|
|
14,300,999 |
Oklahoma - 3.3% |
|
|
|
Oklahoma Development Finance Authority Revenue Bonds |
|
|
|
5.45%
due 08/15/28 |
10,950,000 |
|
9,511,118 |
Tulsa Airports Improvement Trust Revenue Bonds |
|
|
|
3.10%
due 06/01/45 |
3,700,000 |
|
2,627,189 |
Oklahoma State University Revenue Bonds |
|
|
|
4.13%
due 08/01/48 |
150,000 |
|
122,901 |
Total Oklahoma |
|
|
12,261,208 |
West Virginia - 3.3% |
|
|
|
State of West Virginia, Higher Education Policy Commission,
Revenue Bonds, Federally Taxable Build America Bonds 201013 |
|
|
|
7.65%
due 04/01/406 |
10,000,000 |
|
11,883,947 |
Indiana - 3.2% |
|
|
|
Evansville-Vanderburgh School Building Corp. Revenue
Bonds |
|
|
|
6.50%
due 01/15/306 |
8,690,000 |
|
8,873,347 |
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust |
|
SCHEDULE
OF INVESTMENTS (Unaudited) |
August
31, 2023 |
|
|
|
Face
Amount~ |
|
Value |
MUNICIPAL BONDS††
- 70.2% (continued) |
Indiana - 3.2% (continued) |
|
|
|
County of Knox Indiana Revenue Bonds |
|
|
|
5.90%
due 04/01/346 |
2,920,000 |
|
$2,772,424 |
Total Indiana |
|
|
11,645,771 |
Michigan - 2.4% |
|
|
|
Detroit City School District General Obligation Unlimited |
|
|
|
7.75%
due 05/01/396 |
2,505,000 |
|
2,903,178 |
Detroit, Michigan, School District, School Building and
Site Bonds, Unlimited Tax General Obligation Bonds, Taxable Qualified School Construction Bonds |
|
|
|
6.65%
due 05/01/296 |
2,640,000 |
|
2,817,263 |
Fraser Public School District, Macomb County, Michigan,
General Obligation Federally Taxable School Construction Bonds, 2011 School Building and Site Bonds |
|
|
|
6.05%
due 05/01/266 |
1,510,000 |
|
1,510,755 |
Oakridge, Michigan, Public Schools, Unlimited Tax General
Obligation Bonds |
|
|
|
6.75%
due 05/01/26 |
1,000,000 |
|
1,001,022 |
Comstock Park Public Schools General Obligation Unlimited |
|
|
|
6.30%
due 05/01/266 |
415,000 |
|
415,280 |
Total Michigan |
|
|
8,647,498 |
South Carolina - 1.6% |
|
|
|
County of Horry South Carolina Airport Revenue Bonds,
Build America Bonds13 |
|
|
|
7.33%
due 07/01/40 |
5,000,000 |
|
5,726,814 |
New Jersey - 1.3% |
|
|
|
New Jersey Educational Facilities Authority Revenue Bonds |
|
|
|
3.51%
due 07/01/426 |
3,500,000 |
|
2,764,622 |
New Jersey Turnpike Authority Revenue Bonds |
|
|
|
2.78%
due 01/01/406 |
2,500,000 |
|
1,807,639 |
Total New Jersey |
|
|
4,572,261 |
Massachusetts - 1.2% |
|
|
|
Massachusetts Port Authority Revenue Bonds |
|
|
|
2.72%
due 07/01/426 |
3,400,000 |
|
2,467,597 |
2.87%
due 07/01/51 |
750,000 |
|
498,778 |
Massachusetts Development Finance Agency Revenue Bonds,
Build America Bonds13 |
|
|
|
3.52%
due 10/01/46 |
2,250,000 |
|
1,547,394 |
Total Massachusetts |
|
|
4,513,769 |
Alabama - 1.1% |
|
|
|
Auburn University Revenue Bonds |
|
|
|
2.68%
due 06/01/506 |
6,500,000 |
|
4,109,088 |
Colorado - 0.9% |
|
|
|
Colorado, Building Excellent Schools Today, Certificates
of Participation, Taxable Qualified School Construction |
|
|
|
6.82%
due 03/15/28 |
2,500,000 |
|
2,667,635 |
University of Colorado Revenue Bonds |
|
|
|
2.81%
due 06/01/48 |
920,000 |
|
609,826 |
Total Colorado |
|
|
3,277,461 |
Mississippi - 0.9% |
|
|
|
Medical Center Educational Building Corp. Revenue Bonds |
|
|
|
2.92%
due 06/01/416 |
4,500,000 |
|
3,247,167 |
New Hampshire - 0.9% |
|
|
|
New Hampshire Business Finance Authority Revenue Bonds |
|
|
|
3.27%
due 05/01/516 |
4,800,000 |
|
3,246,093 |
Louisiana - 0.5% |
|
|
|
State of Louisiana Gasoline & Fuels Tax Revenue Bonds |
|
|
|
3.05%
due 05/01/386 |
2,500,000 |
|
1,983,624 |
Minnesota - 0.1% |
|
|
|
City of State Paul Minnesota Sales & Use Tax Revenue
Tax Allocation |
|
|
|
3.89%
due 11/01/35 |
250,000 |
|
222,034 |
Arkansas - 0.1% |
|
|
|
University of Arkansas Revenue Bonds |
|
|
|
3.10%
due 12/01/41 |
250,000 |
|
191,546 |
District of Columbia - 0.0% |
|
|
|
Washington Convention & Sports Authority Revenue
Bonds |
|
|
|
4.31%
due 10/01/406 |
100,000 |
|
86,686 |
Total Municipal Bonds |
|
|
(Cost $281,921,279) |
|
253,398,301 |
CORPORATE BONDS††
- 30.5% |
Financial - 11.1% |
|
|
|
Central Storage Safety Project Trust |
|
|
|
4.82%
due 02/01/386,8 |
7,078,240 |
|
5,997,830 |
Wilton RE Ltd. |
|
|
|
6.00%
2,3,9 |
3,800,000 |
|
3,420,570 |
Intact Financial Corp. |
|
|
|
5.46%
due 09/22/322,6 |
1,900,000 |
|
1,874,952 |
Accident Fund Insurance Company of America |
|
|
|
8.50%
due 08/01/322 |
1,750,000 |
|
1,756,471 |
Blue Owl Finance LLC |
|
|
|
4.38%
due 02/15/322,6 |
2,150,000 |
|
1,721,573 |
Ares Finance Company IV LLC |
|
|
|
3.65%
due 02/01/522,6 |
2,650,000 |
|
1,681,156 |
Maple Grove Funding Trust I |
|
|
|
4.16%
due 08/15/512 |
2,500,000 |
|
1,674,643 |
Liberty Mutual Group, Inc. |
|
|
|
4.30%
due 02/01/612,6 |
2,700,000 |
|
1,652,424 |
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust |
|
SCHEDULE
OF INVESTMENTS (Unaudited) |
August
31, 2023 |
|
|
|
Face
Amount~ |
|
Value |
CORPORATE BONDS†† - 30.5% (continued) |
Financial - 11.1% (continued) |
|
|
|
Pershing Square Holdings Ltd. |
|
|
|
3.25%
due 10/01/31 |
2,100,000 |
|
$1,561,175 |
Jefferies Finance LLC / JFIN Company-Issuer Corp. |
|
|
|
5.00%
due 08/15/282,6 |
1,500,000 |
|
1,280,807 |
National Life Insurance Co. |
|
|
|
10.50%
due 09/15/392 |
900,000 |
|
1,136,194 |
Prudential Financial, Inc. |
|
|
|
5.13%
due 03/01/523 |
1,200,000 |
|
1,072,069 |
United Wholesale Mortgage LLC |
|
|
|
5.50%
due 11/15/252,6 |
1,100,000 |
|
1,057,303 |
Global Atlantic Finance Co. |
|
|
|
4.70%
due 10/15/512,3,6 |
1,450,000 |
|
1,046,795 |
Stewart Information Services Corp. |
|
|
|
3.60%
due 11/15/31 |
1,350,000 |
|
1,022,631 |
FS KKR Capital Corp. |
|
|
|
3.25%
due 07/15/27 |
1,150,000 |
|
998,089 |
NFP Corp. |
|
|
|
6.88%
due 08/15/282,6 |
1,100,000 |
|
968,631 |
JPMorgan Chase & Co. |
|
|
|
5.72%
due 09/14/333 |
950,000 |
|
949,457 |
Credit Suisse AG NY |
|
|
|
7.95%
due 01/09/25 |
900,000 |
|
917,596 |
Macquarie Bank Ltd. |
|
|
|
3.05%
due 03/03/362,3 |
1,200,000 |
|
917,066 |
NatWest Group plc |
|
|
|
7.47%
due 11/10/263,6 |
850,000 |
|
875,143 |
Kennedy-Wilson, Inc. |
|
|
|
5.00%
due 03/01/316 |
1,150,000 |
|
869,912 |
Keenan Fort Detrick Energy LLC |
|
|
|
4.17%
due 11/15/482 |
1,000,000 |
|
782,343 |
Standard Chartered plc |
|
|
|
7.78%
due 11/16/252,3 |
750,000 |
|
766,912 |
Toronto-Dominion Bank |
|
|
|
8.13%
due 10/31/823 |
750,000 |
|
753,767 |
Corebridge Financial, Inc. |
|
|
|
6.88%
due 12/15/523 |
700,000 |
|
680,588 |
QBE Insurance Group Ltd. |
|
|
|
5.88%
2,3,9 |
650,000 |
|
618,607 |
Bank of Nova Scotia |
|
|
|
8.63%
due 10/27/823 |
550,000 |
|
560,656 |
Home Point Capital, Inc. |
|
|
|
5.00%
due 02/01/262 |
560,000 |
|
525,819 |
HUB International Ltd. |
|
|
|
5.63%
due 12/01/292,6 |
550,000 |
|
486,370 |
OneMain Finance Corp. |
|
|
|
9.00%
due 01/15/29 |
350,000 |
|
354,812 |
Iron Mountain Information Management Services, Inc. |
|
|
|
5.00%
due 07/15/322,6 |
300,000 |
|
259,039 |
Total Financial |
|
|
40,241,400 |
Consumer, Non-cyclical - 4.5% |
|
|
|
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance,
Inc. |
|
|
|
5.75%
due 04/01/33 |
1,050,000 |
|
999,321 |
4.38%
due 02/02/52 |
1,200,000 |
|
829,387 |
Beth Israel Lahey Health, Inc. |
|
|
|
3.08%
due 07/01/516 |
2,500,000 |
|
1,522,353 |
Tufts Medical Center, Inc. |
|
|
|
7.00%
due 01/01/38 |
1,500,000 |
|
1,517,617 |
Post Holdings, Inc. |
|
|
|
4.50%
due 09/15/312,6 |
1,300,000 |
|
1,119,933 |
Universal Health Services, Inc. |
|
|
|
2.65%
due 01/15/32 |
1,300,000 |
|
1,011,134 |
Altria Group, Inc. |
|
|
|
3.70%
due 02/04/516 |
1,500,000 |
|
979,164 |
Reynolds American, Inc. |
|
|
|
5.70%
due 08/15/35 |
1,050,000 |
|
971,168 |
HCA, Inc. |
|
|
|
4.63%
due 03/15/52 |
1,200,000 |
|
962,869 |
Amgen, Inc. |
|
|
|
4.40%
due 02/22/62 |
1,200,000 |
|
950,404 |
Sotheby's |
|
|
|
7.38%
due 10/15/272,6 |
1,000,000 |
|
910,356 |
BAT Capital Corp. |
|
|
|
7.08%
due 08/02/43 |
800,000 |
|
795,489 |
BCP V Modular Services Finance II plc |
|
|
|
6.13%
due 10/30/282 |
GBP 750,000 |
|
774,332 |
CPI CG, Inc. |
|
|
|
8.63%
due 03/15/262 |
601,000 |
|
582,970 |
Baylor College of Medicine |
|
|
|
5.26%
due 11/15/46 |
600,000 |
|
581,582 |
Medline Borrower, LP |
|
|
|
5.25%
due 10/01/292 |
450,000 |
|
399,612 |
Endo Luxembourg Finance Company I SARL / Endo US, Inc. |
|
|
|
due 04/01/292,10 |
350,000 |
|
248,840 |
Kronos Acquisition Holdings, Inc. / KIK Custom Products,
Inc. |
|
|
|
7.00%
due 12/31/272,6 |
260,000 |
|
228,800 |
Upbound Group, Inc. |
|
|
|
6.38%
due 02/15/292,6 |
250,000 |
|
227,125 |
Performance Food Group, Inc. |
|
|
|
6.88%
due 05/01/252 |
225,000 |
|
225,333 |
OhioHealth Corp. |
|
|
|
2.83%
due 11/15/41 |
300,000 |
|
213,269 |
Total Consumer, Non-cyclical |
|
|
16,051,058 |
Consumer, Cyclical - 3.6% |
|
|
|
Delta Air Lines, Inc. |
|
|
|
7.00%
due 05/01/252,6 |
4,019,000 |
|
4,072,498 |
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust |
|
SCHEDULE
OF INVESTMENTS (Unaudited) |
August
31, 2023 |
|
|
|
Face
Amount~ |
|
Value |
CORPORATE BONDS†† - 30.5% (continued) |
Consumer, Cyclical - 3.6% (continued) |
|
|
|
United Airlines, Inc. |
|
|
|
4.63%
due 04/15/292,6 |
2,200,000 |
|
$1,956,132 |
Warnermedia Holdings, Inc. |
|
|
|
5.14%
due 03/15/52 |
1,150,000 |
|
916,676 |
6.41%
due 03/15/26 |
900,000 |
|
901,325 |
Hyatt Hotels Corp. |
|
|
|
5.75%
due 04/23/30 |
1,100,000 |
|
1,101,505 |
LKQ Corp. |
|
|
|
6.25%
due 06/15/332 |
950,000 |
|
943,184 |
Air Canada |
|
|
|
4.63%
due 08/15/292 |
CAD 1,050,000 |
|
693,637 |
Evergreen Acqco 1 Limited Partnership / TVI, Inc. |
|
|
|
9.75%
due 04/26/282 |
539,000 |
|
562,074 |
PetSmart, Inc. / PetSmart Finance Corp. |
|
|
|
4.75%
due 02/15/282,6 |
600,000 |
|
538,218 |
Wabash National Corp. |
|
|
|
4.50%
due 10/15/282,6 |
500,000 |
|
424,224 |
Hanesbrands, Inc. |
|
|
|
9.00%
due 02/15/312 |
400,000 |
|
401,564 |
Suburban Propane Partners Limited Partnership/Suburban
Energy Finance Corp. |
|
|
|
5.00%
due 06/01/312,6 |
300,000 |
|
257,874 |
Superior Plus Limited Partnership / Superior General
Partner, Inc. |
|
|
|
4.50%
due 03/15/292,6 |
250,000 |
|
219,995 |
Station Casinos LLC |
|
|
|
4.63%
due 12/01/312 |
200,000 |
|
164,874 |
Total Consumer, Cyclical |
|
|
13,153,780 |
Industrial - 3.9% |
|
|
|
Boeing Co. |
|
|
|
5.81%
due 05/01/506 |
4,000,000 |
|
3,891,543 |
IP Lending V Ltd. |
|
|
|
5.13%
due 04/02/262 |
1,200,000 |
|
1,116,000 |
Fortune Brands Innovations, Inc. |
|
|
|
4.50%
due 03/25/526 |
1,300,000 |
|
1,001,375 |
Artera Services LLC |
|
|
|
9.03%
due 12/04/252 |
1,050,000 |
|
976,886 |
GrafTech Global Enterprises, Inc. |
|
|
|
9.88%
due 12/15/282 |
1,000,000 |
|
975,000 |
LBJ Infrastructure Group LLC |
|
|
|
3.80%
due 12/31/572 |
1,500,000 |
|
951,491 |
IP Lending X Ltd. |
|
|
|
7.75%
due 07/02/29†††,2 |
900,000 |
|
897,498 |
Cellnex Finance Company S.A. |
|
|
|
3.88%
due 07/07/412,6 |
1,250,000 |
|
888,650 |
Dyal Capital Partners IV |
|
|
|
3.65%
due 02/22/41††† |
1,000,000 |
|
762,471 |
Summit Materials LLC / Summit Materials Finance Corp. |
|
|
|
6.50%
due 03/15/272,6 |
600,000 |
|
595,020 |
New Enterprise Stone & Lime Company, Inc. |
|
|
|
9.75%
due 07/15/282,6 |
575,000 |
|
568,418 |
Deuce FinCo plc |
|
|
|
5.50%
due 06/15/272 |
GBP 500,000 |
|
543,964 |
Blue Owl Capital GP LLC |
|
|
|
7.21%
due 09/07/43 |
374,250 |
|
376,647 |
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal
Packaging Finance plc |
|
|
|
4.00%
due 09/01/292,6 |
400,000 |
|
325,120 |
Total Industrial |
|
|
13,870,083 |
Communications - 2.8% |
|
|
|
British Telecommunications plc |
|
|
|
4.88%
due 11/23/812,3,6 |
1,700,000 |
|
1,394,543 |
T-Mobile USA, Inc. |
|
|
|
2.88%
due 02/15/31 |
1,362,000 |
|
1,145,138 |
McGraw-Hill Education, Inc. |
|
|
|
8.00%
due 08/01/292,6 |
850,000 |
|
756,781 |
5.75%
due 08/01/282 |
300,000 |
|
266,250 |
Corning, Inc. |
|
|
|
4.38%
due 11/15/57 |
1,200,000 |
|
970,814 |
LCPR Senior Secured Financing DAC |
|
|
|
5.13%
due 07/15/292,6 |
1,150,000 |
|
969,450 |
Charter Communications Operating LLC / Charter Communications
Operating Capital |
|
|
|
5.25%
due 04/01/53 |
1,200,000 |
|
949,874 |
Rogers Communications, Inc. |
|
|
|
4.50%
due 03/15/42 |
1,150,000 |
|
929,816 |
Altice France S.A. |
|
|
|
5.50%
due 10/15/292,6 |
900,000 |
|
650,088 |
5.13%
due 07/15/292,6 |
350,000 |
|
247,424 |
Vodafone Group plc |
|
|
|
5.13%
due 06/04/813 |
1,100,000 |
|
766,871 |
UPC Broadband Finco BV |
|
|
|
4.88%
due 07/15/312,6 |
700,000 |
|
577,745 |
CSC Holdings LLC |
|
|
|
11.25%
due 05/15/282 |
250,000 |
|
246,581 |
5.25%
due 06/01/246 |
100,000 |
|
94,857 |
Telenet Finance Luxembourg Notes SARL |
|
|
|
5.50%
due 03/01/28 |
200,000 |
|
182,600 |
Total Communications |
|
|
10,148,832 |
Energy - 2.2% |
|
|
|
Occidental Petroleum Corp. |
|
|
|
7.00%
due 11/15/27 |
2,000,000 |
|
2,032,500 |
Valero Energy Corp. |
|
|
|
4.00%
due 06/01/52 |
2,450,000 |
|
1,795,807 |
ITT Holdings LLC |
|
|
|
6.50%
due 08/01/292,6 |
1,250,000 |
|
1,128,125 |
NuStar Logistics, LP |
|
|
|
6.38%
due 10/01/306 |
1,000,000 |
|
962,500 |
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust |
|
SCHEDULE
OF INVESTMENTS (Unaudited) |
August
31, 2023 |
|
|
|
Face
Amount~ |
|
Value |
CORPORATE BONDS††
- 30.5% (continued) |
Energy - 2.2% (continued) |
|
|
|
Targa Resources Partners Limited Partnership / Targa
Resources Partners Finance Corp. |
|
|
|
4.88%
due 02/01/31 |
1,000,000 |
|
$918,479 |
Kinder Morgan, Inc. |
|
|
|
5.20%
due 06/01/33 |
400,000 |
|
383,166 |
Parkland Corp. |
|
|
|
4.63%
due 05/01/302 |
300,000 |
|
264,471 |
Buckeye Partners, LP |
|
|
|
4.35%
due 10/15/246 |
250,000 |
|
242,500 |
Greensaif Pipelines Bidco SARL |
|
|
|
6.51%
due 02/23/422 |
200,000 |
|
202,354 |
CVR Energy, Inc. |
|
|
|
5.75%
due 02/15/282 |
125,000 |
|
113,790 |
Total Energy |
|
|
8,043,692 |
Basic Materials - 0.9% |
|
|
|
Alcoa Nederland Holding BV |
|
|
|
4.13%
due 03/31/292 |
1,100,000 |
|
989,976 |
ArcelorMittal S.A. |
|
|
|
6.55%
due 11/29/27 |
900,000 |
|
923,007 |
SK Invictus Intermediate II SARL |
|
|
|
5.00%
due 10/30/292,6 |
700,000 |
|
575,099 |
SCIL IV LLC / SCIL USA Holdings LLC |
|
|
|
5.38%
due 11/01/262,6 |
600,000 |
|
561,647 |
Mirabela Nickel Ltd. |
|
|
|
due 06/24/19†††,8,10 |
96,316 |
|
4,575 |
Total Basic Materials |
|
|
3,054,304 |
Technology - 0.7% |
|
|
|
Broadcom, Inc. |
|
|
|
3.19%
due 11/15/362 |
1,300,000 |
|
976,998 |
Oracle Corp. |
|
|
|
3.95%
due 03/25/51 |
1,100,000 |
|
803,969 |
CDW LLC / CDW Finance Corp. |
|
|
|
3.57%
due 12/01/31 |
800,000 |
|
676,457 |
Central Parent LLC / CDK Global II LLC / CDK Financing
Company, Inc. |
|
|
|
8.00%
due 06/15/292 |
200,000 |
|
201,300 |
Total Technology |
|
|
2,658,724 |
Utilities - 0.7% |
|
|
|
Ohio Edison Co. |
|
|
|
5.50%
due 01/15/332 |
950,000 |
|
939,741 |
Alexander Funding Trust II |
|
|
|
7.47%
due 07/31/282 |
900,000 |
|
911,464 |
NRG Energy, Inc. |
|
|
|
7.00%
due 03/15/332 |
450,000 |
|
447,380 |
Black Hills Corp. |
|
|
|
5.95%
due 03/15/28 |
200,000 |
|
202,803 |
Total Utilities |
|
|
2,501,388 |
Financial Institutions - 0.1% |
|
|
|
Blue Owl Capital GP LLC |
|
|
|
2.00%
due 09/07/43 |
375,750 |
|
378,759 |
Total Corporate Bonds |
|
|
(Cost $126,557,944) |
|
110,102,020 |
ASSET-BACKED SECURITIES††
- 11.4% |
Financial - 3.0% |
|
|
|
Lightning A |
|
|
|
5.50%
due 03/01/37††† |
3,574,575 |
|
3,312,499 |
Thunderbird A |
|
|
|
5.50%
due 03/01/37††† |
3,523,333 |
|
3,265,014 |
HV Eight LLC |
|
|
|
7.10%
(3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 12/31/27◊,††† |
EUR 1,750,000 |
|
1,899,329 |
KKR Core Holding Company LLC |
|
|
|
4.00%
due 08/12/31††† |
1,561,248 |
|
1,371,358 |
Ceamer Finance LLC |
|
|
|
6.92%
due 11/15/37††† |
993,645 |
|
963,233 |
Total Financial |
|
|
10,811,433 |
Transport-Aircraft - 2.0% |
|
|
|
GAIA Aviation Ltd. |
|
|
|
2019-1,
3.97% due 12/15/442,11 |
2,441,429 |
|
2,170,333 |
Navigator Aircraft ABS Ltd. |
|
|
|
2021-1,
2.77% due 11/15/462 |
1,097,470 |
|
952,275 |
Sprite Ltd. |
|
|
|
2021-1,
3.75% due 11/15/462 |
983,458 |
|
884,918 |
JOL Air Ltd. |
|
|
|
2019-1,
3.97% due 04/15/442 |
885,653 |
|
795,662 |
Start Ltd. |
|
|
|
2018-1,
4.09% due 05/15/432 |
854,390 |
|
746,010 |
Castlelake Aircraft Structured Trust |
|
|
|
2021-1A,
6.66% due 01/15/462 |
725,290 |
|
596,567 |
Labrador Aviation Finance Ltd. |
|
|
|
2016-1A,
4.30% due 01/15/422 |
597,276 |
|
496,348 |
AASET Trust |
|
|
|
2021-2A,
2.80% due 01/15/472 |
415,237 |
|
358,827 |
Total Transport-Aircraft |
|
|
7,000,940 |
Infrastructure - 1.7% |
|
|
|
VB-S1 Issuer LLC - VBTEL |
|
|
|
2022-1A,
4.29% due 02/15/522 |
5,000,000 |
|
4,392,496 |
Hotwire Funding LLC |
|
|
|
2023-1A,
8.84% due 05/20/532 |
1,900,000 |
|
1,804,784 |
Total Infrastructure |
|
|
6,197,280 |
Collateralized Loan Obligations - 1.7% |
|
|
|
ABPCI Direct Lending Fund IX LLC |
|
|
|
2021-9A
BR, 8.12% (3 Month Term SOFR + 2.76%, Rate Floor: 2.50%) due 11/18/31◊,2 |
2,500,000 |
|
2,399,894 |
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust |
|
SCHEDULE
OF INVESTMENTS (Unaudited) |
August
31, 2023 |
|
|
|
Face
Amount~ |
|
Value |
ASSET-BACKED SECURITIES†† - 11.4%
(continued) |
Collateralized Loan Obligations - 1.7% (continued) |
|
|
|
Cerberus Loan Funding XLII LLC |
|
|
|
2023-3A
C, due 09/13/352,15 |
1,250,000 |
|
$1,250,000 |
ABPCI Direct Lending Fund CLO II LLC |
|
|
|
2021-1A
CR, 8.74% (3 Month Term SOFR + 3.41%, Rate Floor: 3.15%) due 04/20/32◊,2 |
1,000,000 |
|
962,699 |
Cerberus Loan Funding XL LLC |
|
|
|
2023-1A
C, 9.71% (3 Month Term SOFR + 4.40%, Rate Floor: 4.40%) due 03/22/35◊,2 |
750,000 |
|
736,900 |
WhiteHorse X Ltd. |
|
|
|
2015-10A
E, 10.87% (3 Month Term SOFR + 5.56%, Rate Floor: 5.30%) due 04/17/27◊,2 |
504,296 |
|
492,190 |
WhiteHorse VIII Ltd. |
|
|
|
2014-1A
E, 10.18% (3 Month USD LIBOR + 4.55%, Rate Floor: 0.00%) due 05/01/26◊,2 |
305,677 |
|
257,915 |
BNPP IP CLO Ltd. |
|
|
|
2014-2A
E, 10.88% (3 Month Term SOFR + 5.51%, Rate Floor: 0.00%) due 10/30/25◊,2 |
283,017 |
|
84,552 |
Total Collateralized Loan Obligations |
|
|
6,184,150 |
Net Lease - 1.3% |
|
|
|
Capital Automotive LLC |
|
|
|
2017-1A,
4.18% due 04/15/472 |
3,776,828 |
|
3,697,691 |
SVC ABS LLC |
|
|
|
2023-1A,
5.55% due 02/20/532 |
998,750 |
|
919,020 |
Total Net Lease |
|
|
4,616,711 |
Whole Business - 1.1% |
|
|
|
Five Guys Funding LLC |
|
|
|
2017-1A,
4.60% due 07/25/472 |
1,231,250 |
|
1,206,863 |
SERVPRO Master Issuer LLC |
|
|
|
2019-1A,
3.88% due 10/25/492 |
962,500 |
|
882,998 |
2021-1A,
2.39% due 04/25/512 |
48,875 |
|
40,690 |
Applebee's Funding LLC / IHOP Funding LLC |
|
|
|
2019-1A,
4.72% due 06/05/492 |
990,000 |
|
919,914 |
Sonic Capital LLC |
|
|
|
2021-1A,
2.64% due 08/20/512 |
1,177,000 |
|
890,911 |
Total Whole Business |
|
|
3,941,376 |
Single Family Residence - 0.5% |
|
|
|
FirstKey Homes Trust |
|
|
|
2022-SFR3,
4.50% due 07/17/382 |
1,000,000 |
|
948,240 |
2020-SFR2,
4.50% due 10/19/372 |
400,000 |
|
371,373 |
2020-SFR2,
4.00% due 10/19/372 |
400,000 |
|
369,299 |
2020-SFR2,
3.37% due 10/19/372 |
250,000 |
|
228,843 |
Total Single Family Residence |
|
|
1,917,755 |
Insurance - 0.1% |
|
|
|
CHEST |
|
|
|
7.13%
due 03/15/43††† |
500,000 |
|
495,188 |
Total Asset-Backed Securities |
|
|
(Cost $42,952,613) |
|
41,164,833 |
SENIOR FLOATING RATE INTERESTS††,◊
- 9.3% |
Consumer, Cyclical - 2.8% |
|
|
|
MB2 Dental Solutions LLC |
|
|
|
11.43%
(1 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 01/29/27††† |
1,496,497 |
|
1,474,054 |
FR Refuel LLC |
|
|
|
10.20%
(1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 11/08/28††† |
1,290,011 |
|
1,241,636 |
Zephyr Bidco Ltd. |
|
|
|
9.97%
(1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 07/23/25 |
GBP 900,000 |
|
1,118,208 |
First Brands Group LLC |
|
|
|
10.88%
(3 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27 |
1,124,125 |
|
1,107,263 |
Flutter Financing B.V. |
|
|
|
8.75%
(3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 07/24/28 |
992,500 |
|
992,440 |
Alexander Mann |
|
|
|
11.37%
(3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 06/29/27 |
1,000,000 |
|
975,000 |
Pacific Bells LLC |
|
|
|
10.00%
(3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28 |
754,124 |
|
738,574 |
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust |
|
SCHEDULE
OF INVESTMENTS (Unaudited) |
August
31, 2023 |
|
|
|
Face
Amount~ |
|
Value |
SENIOR FLOATING RATE INTERESTS††,◊
- 9.3% (continued) |
Consumer, Cyclical - 2.8% (continued) |
|
|
|
Accuride Corp. |
|
|
|
6.10%
(1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/07/26††† |
697,316 |
|
$610,151 |
NFM & J LLC |
|
|
|
11.22%
(3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 11/30/27††† |
489,670 |
|
479,862 |
Camin Cargo Control, Inc. |
|
|
|
11.95%
(1 Month Term SOFR + 6.50%, Rate Floor: 6.50%) due 06/04/26††† |
473,051 |
|
454,129 |
The Facilities Group |
|
|
|
11.27%
(3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 11/30/27††† |
451,797 |
|
442,748 |
ImageFIRST Holdings LLC |
|
|
|
10.14%
(3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 04/27/28 |
420,531 |
|
415,800 |
Total Consumer, Cyclical |
|
|
10,049,865 |
Consumer, Non-cyclical - 2.2% |
|
|
|
Mission Veterinary Partners |
|
|
|
9.45%
(1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/27/28 |
1,228,125 |
|
1,210,219 |
PetIQ LLC |
|
|
|
9.84%
(3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/13/28††† |
1,056,889 |
|
993,475 |
Quirch Foods Holdings LLC |
|
|
|
10.24%
(1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 10/27/27 |
956,333 |
|
939,999 |
Women's Care Holdings, Inc. |
|
|
|
10.05%
(6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 01/17/28 |
1,060,511 |
|
935,901 |
Blue Ribbon LLC |
|
|
|
11.43%
(1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 05/08/28 |
1,049,375 |
|
830,318 |
LaserAway Intermediate Holdings II LLC |
|
|
|
11.32%
(3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 10/14/27 |
783,175 |
|
768,490 |
Endo Luxembourg Finance Company I SARL |
|
|
|
14.50%
(Commercial Prime Lending Rate + 6.00%, Rate Floor: 7.75%) due 03/27/28 |
592,500 |
|
432,525 |
Southern Veterinary Partners LLC |
|
|
|
9.45%
(1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/05/27 |
425,845 |
|
424,780 |
Gibson Brands, Inc. |
|
|
|
10.57%
(3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 08/11/28 |
492,500 |
|
409,598 |
Florida Food Products LLC |
|
|
|
10.45%
(1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/18/28 |
440,471 |
|
375,501 |
Zep, Inc. |
|
|
|
9.54%
(3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/12/24 |
395,161 |
|
363,548 |
HAH Group Holding Co. LLC |
|
|
|
10.44%
(1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27 |
255,807 |
|
251,970 |
Total Consumer, Non-cyclical |
|
|
7,936,324 |
Technology - 1.6% |
|
|
|
Polaris Newco LLC |
|
|
|
8.68%
(1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 06/04/26††† |
1,706,100 |
|
1,588,374 |
Sitecore Holding III A/S |
|
|
|
10.94%
(3 Month EURIBOR + 7.00%, Rate Floor: 7.00%) due 03/12/26††† |
EUR 694,653 |
|
748,120 |
11.65%
(3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 03/12/26††† |
572,522 |
|
568,186 |
11.64%
(3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 03/09/26††† |
109,282 |
|
108,455 |
Aston FinCo SARL |
|
|
|
9.96%
(1 Month GBP SONIA + 4.77%, Rate Floor: 4.77%) due 10/09/26††† |
GBP 784,060 |
|
824,396 |
RLDatix |
|
|
|
12.78%
(6 Month Term SOFR + 7.75%, Rate Floor: 7.75%) due 04/27/26††† |
700,000 |
|
685,650 |
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust |
|
SCHEDULE
OF INVESTMENTS (Unaudited) |
August
31, 2023 |
|
|
|
Face
Amount~ |
|
Value |
SENIOR FLOATING RATE INTERESTS††,◊
- 9.3% (continued) |
Technology - 1.6% (continued) |
|
|
|
24-7 Intouch, Inc. |
|
|
|
10.18%
(1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 08/25/25 |
383,946 |
|
$380,106 |
Datix Bidco Ltd. |
|
|
|
11.93%
(6 Month GBP SONIA + 7.75%, Rate Floor: 7.75%) due 04/27/26††† |
GBP 300,000 |
|
372,249 |
Sitecore USA, Inc. |
|
|
|
11.65%
(3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 03/12/26††† |
280,313 |
|
278,190 |
Atlas CC Acquisition Corp. |
|
|
|
9.93%
(3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 05/25/28 |
191,920 |
|
175,703 |
Total Technology |
|
|
5,729,429 |
Industrial - 1.3% |
|
|
|
Dispatch Terra Acquisition LLC |
|
|
|
9.64%
(3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/27/28 |
1,127,000 |
|
1,034,022 |
Arcline FM Holdings LLC |
|
|
|
10.25%
(3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 06/23/28 |
961,485 |
|
948,562 |
CapStone Acquisition Holdings, Inc. |
|
|
|
10.18%
(1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 11/12/27††† |
934,360 |
|
912,490 |
Aegion Corp. |
|
|
|
10.20%
(1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 05/17/28 |
589,499 |
|
583,851 |
Merlin Buyer, Inc. |
|
|
|
9.33%
(1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/14/28 |
576,649 |
|
564,153 |
TK Elevator Midco GmbH |
|
|
|
6.64%
(1 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 01/29/27††† |
EUR 364,287 |
|
372,306 |
Integrated Power Services Holdings, Inc. |
|
|
|
9.95%
(1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 11/22/28††† |
197,170 |
|
191,475 |
ILPEA Parent, Inc. |
|
|
|
9.95%
(1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 06/22/28††† |
134,214 |
|
133,208 |
Total Industrial |
|
|
4,740,067 |
Communications - 0.8% |
|
|
|
FirstDigital Communications LLC |
|
|
|
9.70%
(1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/17/26††† |
1,250,000 |
|
1,213,223 |
Level 3 Financing, Inc. |
|
|
|
7.20%
(1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 03/01/27 |
1,000,000 |
|
946,410 |
Syndigo LLC |
|
|
|
9.93%
(1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 12/15/27 |
931,974 |
|
869,066 |
Total Communications |
|
|
3,028,699 |
Financial - 0.6% |
|
|
|
Citadel Securities, LP |
|
|
|
7.95%
(1 Month Term SOFR + 2.61%, Rate Floor: 2.61%) due 07/29/30 |
989,873 |
|
984,924 |
Eisner Advisory Group |
|
|
|
10.70%
(1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/28/28 |
713,468 |
|
711,684 |
HighTower Holding LLC |
|
|
|
9.35%
(3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/21/28 |
349,016 |
|
344,071 |
Total Financial |
|
|
2,040,679 |
Utilities - 0.0% |
|
|
|
Oregon Clean Energy LLC |
|
|
|
9.09%
(3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/01/26 |
79,639 |
|
78,506 |
Hamilton Projects Acquiror LLC |
|
|
|
9.95%
(1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 06/17/27 |
3,476 |
|
3,442 |
Total Utilities |
|
|
81,948 |
Total Senior Floating Rate Interests |
|
|
(Cost $35,087,988) |
|
33,607,011 |
COLLATERALIZED MORTGAGE OBLIGATIONS††
- 1.0% |
Residential Mortgage-Backed Securities - 0.9% |
|
|
|
Imperial Fund Mortgage Trust |
|
|
|
2022-NQM2,
4.20% (WAC) due 03/25/67◊,2 |
2,003,778 |
|
1,765,127 |
GCAT Trust |
|
|
|
2022-NQM5,
5.71% due 08/25/672,11 |
541,958 |
|
527,189 |
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust |
|
SCHEDULE
OF INVESTMENTS (Unaudited) |
August
31, 2023 |
|
|
|
Face
Amount~ |
|
Value |
COLLATERALIZED MORTGAGE OBLIGATIONS††
- 1.0% (continued) |
Residential Mortgage-Backed Securities - 0.9%
(continued) |
|
|
|
OBX Trust |
|
|
|
2022-NQM8,
6.10% due 09/25/622,11 |
447,838 |
|
$438,860 |
CFMT LLC |
|
|
|
2022-HB9,
3.25% (WAC) due 09/25/37◊,8 |
500,000 |
|
414,077 |
Total Residential Mortgage-Backed Securities |
|
|
3,145,253 |
Military Housing - 0.1% |
|
|
|
Freddie Mac Military Housing Bonds Resecuritization Trust
Certificates |
|
|
|
2015-R1,
0.70% (WAC) due 11/25/55◊,2,12 |
6,810,659 |
|
435,063 |
2015-R1,
5.94% (WAC) due 11/25/52◊,8 |
85,297 |
|
70,563 |
Total Military Housing |
|
|
505,626 |
Total Collateralized Mortgage Obligations |
|
|
(Cost $4,005,208) |
|
3,650,879 |
FOREIGN GOVERNMENT DEBT††
- 0.3% |
Panama Government International Bond |
4.50%
due 01/19/63 |
1,250,000 |
|
891,481 |
Total Foreign Government Debt |
|
|
(Cost $1,242,299) |
|
|
891,481 |
|
Contracts/
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 |
|
18,522 |
Morgan Stanley Capital Services LLC
10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 |
USD |
10,400,000 |
|
17,836 |
Barclays
Bank plc
10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 |
USD |
10,300,000 |
|
17,664 |
Bank
of America, N.A. 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 |
USD |
5,200,000 |
|
8,918 |
Morgan
Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.10 |
USD |
10,400,000 |
|
4,410 |
Barclays
Bank plc
10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20 |
USD |
10,400,000 |
|
4,410 |
Goldman
Sachs International 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20 |
USD |
10,800,000 |
|
4,579 |
Bank
of America, N.A. 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20 |
USD |
5,100,000 |
|
2,162 |
Total OTC Options Purchased |
|
|
(Cost $313,757) |
|
|
78,501 |
|
|
|
|
|
|
|
|
OTC CREDIT DEFAULT SWAPTIONS PURCHASED††,14
- 0.0% |
Put Swaptions on: |
|
|
|
Credit Swaptions |
|
|
|
Barclays
Bank plc
5-Year Credit Default Swap Expiring September 2023 with exercise rate of 0.90% |
USD 9,600,000 |
|
740 |
Total OTC Credit Default Swaptions Purchased |
|
|
(Cost $14,496) |
|
|
740 |
Total Investments - 136.9% |
|
|
(Cost $564,843,925) |
|
$
494,180,922 |
Other Assets & Liabilities, net -
(36.9)% |
(133,116,347) |
Total Net Assets - 100.0% |
|
$ 361,064,575 |
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust |
|
SCHEDULE
OF INVESTMENTS (Unaudited) |
August
31, 2023 |
|
|
Centrally Cleared Credit Default Swap
Agreements Protection Purchased†† |
|
|
Counterparty |
Exchange |
Index |
Protection
Premium Rate |
Payment
Frequency |
Maturity
Date |
Notional
Amount |
Value |
Upfront
Premiums Received |
Unrealized
Depreciation** |
J.P.
Morgan Securities LLC |
ICE |
ITRAXX.EUR.38.V1 |
1.00% |
Quarterly |
12/20/27 |
$4,400,000 |
$(67,780) |
$(35,109) |
$(32,671) |
Forward Foreign Currency Exchange Contracts†† |
|
|
Counterparty |
Currency |
Type |
Quantity |
Contract
Amount |
Settlement
Date |
Unrealized
Appreciation |
JPMorgan Chase Bank, N.A. |
EUR |
Sell |
2,799,000 |
3,069,062 USD |
09/18/23 |
$29,709 |
JPMorgan Chase Bank, N.A. |
GBP |
Sell |
2,924,000 |
3,711,606 USD |
09/18/23 |
7,250 |
JPMorgan Chase Bank, N.A. |
CAD |
Sell |
972,000 |
723,359 USD |
09/18/23 |
3,760 |
|
|
|
|
|
|
$40,719 |
OTC Credit Default Swaptions Purchased |
|
Counterparty/Description |
Buy/Sell
Protection |
Index |
Payment
Frequency |
Protection
Premium Rate |
Expiration
Date |
Exercise
Rate |
Swaption
Notional Amount |
Swaption
Value |
Put |
|
|
|
|
|
|
|
|
Barclays
Bank plc
5-Year Credit Default Swap |
Buy |
CDX.NA.IG.40.V1 |
Quarterly |
1.00% |
09/20/23 |
0.90% |
$9,600,000 |
$740 |
~ |
The face
amount is denominated in U.S. dollars unless otherwise indicated. |
* |
Non-income producing
security. |
** |
Includes cumulative
appreciation (depreciation). |
† |
Value determined based
on Level 1 inputs, unless otherwise noted — See Note 3. |
†† |
Value determined based
on Level 2 inputs, unless otherwise noted — See Note 3. |
††† |
Value determined based
on Level 3 inputs — See Note 3. |
◊ |
Variable rate security.
Rate indicated is the rate effective at August 31, 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 $93,475,455 (cost $103,119,847), or 25.9% 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 |
Special Purpose Acquisition
Company (SPAC). |
5 |
Rate indicated is the
7-day yield as of August 31, 2023. |
6 |
All
or a portion of these securities have been physically segregated in connection with unfunded loan commitments and reverse
repurchase agreements. As of August 31, 2023, the total value of securities segregated was $152,021,950. |
7 |
Zero coupon rate security. |
8 |
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 $6,487,045 (cost
$7,824,895), or 1.8% of total net assets — See Note 6. |
9 |
Perpetual maturity. |
10 |
Security is in default
of interest and/or principal obligations. |
11 |
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 August 31, 2023. See table below for additional step information for each security. |
12 |
Security is an interest-only
strip. |
13 |
Taxable
municipal bond issued as part of the Build America Bond program. |
14 |
Swaptions
— See additional disclosure in the swaptions table above for more information on swaptions. |
15 |
Security
is unsettled at period end and does not have a stated effective rate. |
|
|
|
|
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 Europe Series 38 Index Version 1 |
|
|
LIBOR — London
Interbank Offered Rate |
|
|
plc — Public
Limited Company |
|
|
SARL — Société
à Responsabilité Limitée |
|
|
SOFR — Secured
Overnight Financing Rate |
|
|
SONIA — Sterling
Overnight Index Average |
|
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust |
|
SCHEDULE
OF INVESTMENTS (Unaudited) |
August
31, 2023 |
|
|
|
WAC
— Weighted Average Coupon
CDX.NA.IG.40.V1
— Credit Default Swap North American Investment Grade Series 40 Index Version 1
|
See
Sector Classification in Other Information section. |
|
The following
table summarizes the inputs used to value the Trust’s investments at August 31, 2023 (See Note 3 in the Notes to Schedule of
Investments): |
|
Investments
in Securities (Assets) |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs |
|
Total
|
Common Stocks |
$ 29,363 |
$ — |
$ 25,562 |
|
$ 54,925 |
Preferred Stocks |
— |
8,593,476 |
67,144 |
|
8,660,620 |
Warrants |
4,853 |
— |
3 |
|
4,856 |
Closed-End Funds |
39,406,964 |
— |
— |
|
39,406,964 |
Money Market Funds |
3,159,791 |
— |
— |
|
3,159,791 |
Municipal Bonds |
— |
253,398,301 |
— |
|
253,398,301 |
Corporate Bonds |
— |
108,437,476 |
1,664,544 |
|
110,102,020 |
Asset-Backed Securities |
— |
29,858,212 |
11,306,621 |
|
41,164,833 |
Senior Floating Rate Interests |
— |
19,914,634 |
13,692,377 |
|
33,607,011 |
Collateralized Mortgage Obligations |
— |
3,650,879 |
— |
|
3,650,879 |
Foreign Government Debt |
— |
891,481 |
— |
|
891,481 |
Options Purchased |
— |
78,501 |
— |
|
78,501 |
Credit Default Swaptions Purchased |
— |
740 |
— |
|
740 |
Forward Foreign Currency Exchange Contracts** |
— |
40,719 |
— |
|
40,719 |
Total
Assets |
$
42,600,971 |
$
424,864,419 |
$
26,756,251 |
|
$
494,221,641 |
|
|
|
|
|
|
Investments
in Securities (Liabilities) |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs |
|
Total
|
Credit Default Swap Agreements** |
$ — |
$ 32,671 |
$ — |
|
$ 32,671 |
Unfunded Loan Commitments (Note 5) |
— |
— |
85,508 |
|
85,508 |
Total
Liabilities |
$ — |
$
32,671 |
$
85,508 |
|
$
118,179 |
|
|
|
|
|
|
** This derivative is reported as unrealized
appreciation/depreciation at period end. |
|
Please refer to the detailed Schedule of
Investments for a breakdown of investment type by industry category. |
|
The Trust may hold assets and/or liabilities
in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase
agreements of $135,825,757 are categorized as Level 2 within the disclosure hierarchy — See Note 2. |
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within
Level 3 of the fair value hierarchy:
Category |
Ending
Balance at August 31, 2023 |
Valuation Technique |
Unobservable
Inputs |
Input
Range |
Weighted
Average* |
Assets: |
|
|
|
|
|
Asset-Backed Securities |
$ 8,444,059 |
Yield Analysis |
Yield |
6.6%-7.3% |
7.0% |
Asset-Backed Securities |
2,862,562 |
Option adjusted
spread off prior month end broker quote |
Broker Quote |
— |
— |
Common Stocks |
23,894 |
Enterprise
Value |
Valuation Multiple |
2.5x-8.0x |
3.4x |
Common Stocks |
1,660 |
Model Price |
Liquidation Value |
— |
— |
Common Stocks |
8 |
Third Party
Pricing |
Trade Price |
— |
— |
Corporate Bonds |
1,664,544 |
Option adjusted
spread off prior month end broker quote |
Broker Quote |
— |
— |
Preferred Stocks |
67,144 |
Enterprise
Value |
Valuation Multiple |
4.9x |
— |
Senior Floating Rate Interests |
7,474,702 |
Yield Analysis |
Yield |
10.8%-14.4% |
12.0% |
Senior Floating Rate Interests |
4,256,995 |
Third Party
Pricing |
Broker Quote |
— |
— |
Senior Floating Rate Interests |
1,960,680 |
Model Price |
Purchase Price |
— |
— |
Warrants |
3 |
Model Price |
Liquidation Value |
— |
— |
Total
Assets |
$ 26,756,251 |
|
|
|
|
Liabilities: |
|
|
|
|
|
Unfunded
Loan Commitments |
$ 85,508 |
Model
Price |
Purchase
Price |
— |
— |
*
Inputs are weighted by the fair value of the instruments. |
|
|
|
Significant changes in a
quote, yield, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security.
The Trust’s fair valuation
leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level
3, if such a quote or price cannot be supported with other available market information.
Transfers between Level
2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period
ended August 31, 2023, the Trust had securities with a total value of $887,836 transfer into Level 3 from Level 2 due to a lack
of observable inputs and had securities with a total value of $1,019,013 transfer out of Level 3 into Level 2 due to the availability
of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.
Summary of Fair Value
Level 3 Activity
Following is a reconciliation
of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended August 31, 2023:
| |
Assets | |
| |
Liabilities |
| |
Asset-Backed
Securities | |
Corporate
Bonds | |
Senior
Floating Rate Interests | |
Warrants | |
Common
Stocks | |
Preferred
Stocks | |
Total
Assets | |
Unfunded
Loan Commitments |
Beginning Balance | |
$ | 8,750,965 | | |
$ | 783,421 | | |
$ | 14,301,312 | | |
$ | 2 | | |
$ | 25,554 | | |
$ | 70,186 | | |
$ | 23,931,440 | | |
$ | (98,344 | ) |
Purchases/(Receipts) | |
| 2,729,999 | | |
| 900,000 | | |
| 456,614 | | |
| — | | |
| — | | |
| — | | |
| 4,086,613 | | |
| (45,612 | ) |
(Sales, maturities and paydowns)/Fundings | |
| — | | |
| — | | |
| (924,418 | ) | |
| — | | |
| — | | |
| — | | |
| (924,418 | ) | |
| 30,572 | |
Amortization of premiums/discounts | |
| — | | |
| — | | |
| 57,832 | | |
| — | | |
| — | | |
| — | | |
| 57,832 | | |
| — | |
Total realized gains (losses) included in earnings | |
| — | | |
| — | | |
| (60,802 | ) | |
| — | | |
| — | | |
| — | | |
| (60,802 | ) | |
| 9,709 | |
Total change in unrealized appreciation (depreciation)
included in earnings | |
| (174,343 | ) | |
| (18,877 | ) | |
| (6,984 | ) | |
| 1 | | |
| 8 | | |
| (3,042 | ) | |
| (203,237 | ) | |
| 18,167 | |
Transfers into Level 3 | |
| — | | |
| — | | |
| 887,836 | | |
| — | | |
| — | | |
| — | | |
| 887,836 | | |
| — | |
Transfers out of Level
3 | |
| — | | |
| — | | |
| (1,019,013 | ) | |
| — | | |
| — | | |
| — | | |
| (1,019,013 | ) | |
| — | |
Ending Balance | |
$ | 11,306,621 | | |
$ | 1,664,544 | | |
$ | 13,692,377 | | |
$ | 3 | | |
$ | 25,562 | | |
$ | 67,144 | | |
$ | 26,756,251 | | |
$ | (85,508 | ) |
Net change in unrealized
appreciation (depreciation) for investments in Level 3 securities still held at August 31, 2023 | |
$ | (174,343 | ) | |
$ | (18,877 | ) | |
$ | (6,562 | ) | |
$ | 1 | | |
$ | 8 | | |
$ | (3,042 | ) | |
$ | (202,815 | ) | |
$ | 18,167 | |
Step
Coupon Bonds
The following
table discloses additional information related to step coupon bonds held by the Trust. Certain securities are subject to multiple rate
changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon
bonds held by the Trust are scheduled to increase, except GAIA Aviation Ltd. which is scheduled to decrease.
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust |
|
SCHEDULE
OF INVESTMENTS (Unaudited) |
August
31, 2023 |
|
|
Name |
Coupon Rate at Next
Reset Date |
Next
Rate Reset Date |
GAIA
Aviation Ltd. 2019-1, 3.97% due 12/15/44 |
2.00% |
11/15/26 |
GCAT
Trust 2022-NQM5, 5.71% due 08/25/67 |
6.71% |
10/01/26 |
OBX
Trust 2022-NQM8, 6.10% due 09/25/62 |
7.10% |
10/01/26 |
Affiliated Transactions
Investments representing
5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result
in that company being considered an affiliated issuer.
Transactions
during the period ended August 31, 2023, in which the company is an affiliated issuer, were as follows: |
Security
Name |
Value
05/31/23 |
Additions |
Reductions |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value
08/31/23 |
Shares
08/31/23 |
Common Stocks |
|
|
|
|
|
|
|
BP
Holdco LLC* |
$20,062 |
$– |
$– |
$– |
$– |
$20,062 |
15,619 |
* |
Non-income
producing security. |
NOTES
TO SCHEDULE OF INVESTMENTS (Unaudited) |
August
31, 2023 |
Note 1 – Organization
and Significant Accounting Policies
Organization
Guggenheim Taxable Municipal
Bond & Investment Grade Debt Trust (the “Trust”) was organized as a Delaware statutory trust on June 30, 2010.
The Trust is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended
(the “1940 Act”).
The Trust’s primary
investment objective is to provide current income with a secondary objective of long-term capital appreciation. There can be no assurance
that the Trust will achieve its investment objectives. The Trust’s investment objectives are considered fundamental and may not
be changed without shareholder approval.
For information on the Trust’s
other significant accounting policies, please refer to the Trust’s most recent semi-annual or annual shareholder report.
Significant Accounting
Policies
The Trust operates
as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting
Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant
accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently
followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities,
contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
(a) Valuation of Investments
The Board of Trustees of
the Trust (the “Board”) adopted policies and procedures for the valuation of the Trust's investments (the “Fund
Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940
Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 also defines “readily
available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair
value a security in good faith.
Pursuant to Rule 2a-5, the
Board has designated Guggenheim Funds Investment Advisors, LLC (“GFIA” or the “Adviser”) as the valuation designee
to perform fair valuation determinations for the Trust with respect to all Trust investments and other assets. As the Trust’s valuation
designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed
to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance
of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and
compliance departments (the “Valuation Committee”), in determining the fair value of the Trust's securities and other
assets.
Valuations of the Trust's securities
and other assets are supplied primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures.
The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation
of all assets which have been fair valued. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation
Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service provider.
If the pricing service provider
cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair
valued by the Adviser.
Equity securities listed
or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”)
National Market System will generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the
security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price,
which may not necessarily represent the last sale price.
Open-end investment companies
are valued at their net asset value (“NAV”) as of the close of business, on the valuation date. Exchange-traded funds and
closed-end investment companies are generally valued at the last quoted sale price.
Generally, trading in foreign
securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange ("NYSE").
The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments
quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign
currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks
not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration
certain factors which may include the following factors, among others: the value of the securities traded on other foreign markets, American
Depositary Receipts (“ADR”) trading, closed-end fund trading, foreign currency exchange activity, and the trading prices
of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Adviser is authorized
to use prices and other information supplied by a pricing service provider in valuing foreign securities.
NOTES
TO SCHEDULE OF INVESTMENTS (Unaudited) |
August
31, 2023 |
Commercial paper and discount
notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are
obtained from pricing service providers, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable
quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount
notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost
does not represent the fair value of the applicable asset in which case it will be valued using a pricing service provider.
U.S. Government securities
are valued by pricing service providers, using the last traded fill price, or at the reported bid price at the close of business.
Typically, loans are valued
using information provided by a pricing service provider which uses broker quotes, among other inputs. If the pricing service
provider cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is
valued based on a quote from a broker-dealer or is fair valued by the Adviser.
Repurchase agreements are
valued at amortized cost, provided such amounts approximate market value.
Exchange-traded options
are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. Over-the-counter (“OTC”)
options and options on swaps ("swaptions") are valued using a price provided by a pricing service.
Interest rate swap agreements
entered into by the Trust are valued on the basis of the last sale price on the primary exchange on which the swap is traded. Other swap
agreements entered into by the Trust will generally be valued using an evaluated price provided by a pricing service provider.
Forward foreign currency
exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.
Investments for which market
quotations are not readily available are fair valued as determined in good faith by the Adviser. Valuations in accordance with these
methods are intended to reflect each security’s (or asset’s or liability’s) “fair value". Each such determination
is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors
may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as
anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.
The Trust may acquire an
interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction.
SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements,
greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction
costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC
or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject
to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity
securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions.
Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S.
government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments
are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target
acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination
targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions,
the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable
acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of
a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend
business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination
nears. There is no guarantee that the SPACs in which the Trust invests will complete an acquisition or that any acquisitions that are
completed will be profitable.
NOTES
TO SCHEDULE OF INVESTMENTS (Unaudited) |
August
31, 2023 |
Note 2 – Financial
Instruments and Derivatives
As part of its investment
strategy, the Trust utilizes a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk.
Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to
Schedule of Investments.
Derivatives are instruments
whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies,
commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while
maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs
and to pursue higher investment returns. Derivative instruments may also be used to seek to mitigate certain investment risks, such as
foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better
understand how and why the Trust uses derivative instruments, how these derivative instruments are accounted for and their effects on
the Trust’s financial position and results of operations.
The Trust utilized derivatives
for the following purposes:
Duration: the use
of an instrument to manage the interest rate risk of a portfolio.
Hedge: an investment
made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad
market moves.
Income: the use of
any instrument that distributes cash flows typically based upon some rate of interest.
Index Exposure: the
use of an instrument to obtain exposure to a listed or other type of index.
Options Purchased and
Written
A call option on a security
gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security.
The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security
at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.
The risk in writing a call
option is that the Trust may incur a loss if the market price of the underlying security increases and the option is exercised. The risk
in writing a put option is that the Trust may incur a loss if the market price of the underlying security decreases and the option is
exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities
where the Trust may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, the
Trust may be at risk because of the counterparty’s inability to perform.
NOTES
TO SCHEDULE OF INVESTMENTS (Unaudited) |
August
31, 2023 |
Swap Agreements
A swap is an agreement that
obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified
prices or rates for a specified amount of an underlying asset. When utilizing OTC swaps, the Trust bears the risk of loss of the amount
expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying
asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or
other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared
swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. If the Trust utilizes
centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee
that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap
agreement with the same or another party.
Credit default swaps are
instruments which allow for the full or partial transfer of third-party credit risk, with respect to a particular entity or entities,
from one counterparty to the other. The Trust enters into credit default swaps as a “seller” or “buyer” of protection
primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling
credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated
to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference
obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to
the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying
securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional
amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The
notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit
event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium
adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor
adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the
defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments
and have no further obligations to the Trust if it is selling the credit protection. If the Trust utilizes centrally cleared credit default
swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, the Trust
bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap
agreement counterparty, or in the case of a credit default swap in which the Trust is selling credit protection, the default of a third-party
issuer.
The quoted market prices
and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current
status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had
the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared
to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood
or risk of default or other credit event occurring as defined under the terms of the agreement.
Forward Foreign Currency
Exchange Contracts
A forward foreign currency
exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain
types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts
can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
The market value of a forward
foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Trust may be exposed
to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.
In conjunction with the
use of derivative instruments, the Trust is required to maintain collateral in various forms. Depending on the financial instrument utilized
and the broker involved, the Trust uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount
notes or repurchase agreements allocated to the Trust as collateral.
The Trust has established
counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust
monitors the counterparty credit risk.
NOTES
TO SCHEDULE OF INVESTMENTS (Unaudited) |
August
31, 2023 |
Foreign Investments
There are several risks
associated with exposure to foreign currencies, foreign issuers and emerging markets. The Trust’s indirect and direct exposure
to foreign currencies subjects the Trust to the risk that those currencies will decline in value relative to the U.S. dollar, or in the
case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign
countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the
imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Trust may incur transaction costs
in connection with conversions between various currencies. The Trust may, but is not obligated to, engage in currency hedging transactions,
which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged,
and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated
in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.
The Trust may invest in
securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked
to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer,
political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of
foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve
risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends
from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities
markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more
than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those
that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial
condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than
they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some
countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Trust.
Reverse Repurchase Agreements
The Trust may enter into
reverse repurchase agreements as part of its financial leverage strategy. Under a reverse repurchase agreement, the Trust temporarily
transfers possession of a portfolio instrument to another party, such as a bank or broker-dealer, in return for cash. At the same time,
the Trust agrees to repurchase the instrument at an agreed upon time and price, which reflects an interest payment. Such agreements have
the economic effect of borrowings. The Trust may enter into such agreements to invest the cash acquired at a rate higher than
the cost of the agreement, which would increase earned income. When the Trust enters into a reverse repurchase agreement, any fluctuations
in the market value of either the instruments transferred to another party or the instruments in which the proceeds may be invested would
affect the market value of the Trust’s assets. As a result, such transactions may increase fluctuations in the market value of
the Trust’s assets.
Note 3 – Fair
Value Measurement
In accordance with U.S.
GAAP, fair value is defined as the price that the Trust would receive to sell an investment or pay to transfer a liability in an
orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based
on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding
inputs are summarized below:
Level 1 — unadjusted
quoted prices in active markets for identical assets or liabilities.
Level 2 — significant
other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment
speeds, credit risk, etc.).
Level 3 — significant
unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available,
which may include assumptions.
Rule 2a-5 sets forth a definition
of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP.
Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active
markets for identical investments that the Trust can access at the measurement date, provided that a quotation will not be readily available
if it is not reliable.”
NOTES
TO SCHEDULE OF INVESTMENTS (Unaudited) |
August
31, 2023 |
Securities for which market
quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using
inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors,
such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely
on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the
greatest amount of judgment.
Pricing services are used
to value a majority of the Trust’s investments. When values are not available from a pricing service provider, they will be determined
using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such
as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral,
spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Trust’s assets and liabilities
are categorized as Level 2, as indicated in this report.
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value
the Trust’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to
trade at that price. Although quotes are typically received from established market participants, the Trust may not have the transparency
to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant
changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such
as credit spreads and interest rates.
Certain loans and other securities are valued using a single daily broker quote or a price from a pricing service provider based on a
single daily or monthly broker quote.
The inputs or methodologies
selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in
those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair
valuation are periodically reviewed and subject to change.
Note 4 – Federal
Income Tax Information
The Trust intends to comply
with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), applicable
to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to
relieve the Trust from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal
or state income tax or federal excise tax is required.
Tax positions taken or expected
to be taken in the course of preparing the Trust's tax returns are evaluated to determine whether the tax positions are “more-likely-than-not”
of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded
as a tax benefit or expense in the current year. Management has analyzed the Trust's tax positions taken, or to be taken, on U.S. federal
income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Trust's financial statements.
The Trust's U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period
of three years after they are filed.
At August 31, 2023, the
cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there
was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess
of tax cost over value, were as follows:
Tax
Cost |
Tax
Unrealized
Appreciation |
Tax
Unrealized
Depreciation |
Net
Tax
Unrealized
Appreciation
(Depreciation) |
$564,887,136 |
$10,562,890 |
$(81,261,056) |
$(70,698,166) |
Note 5 – Unfunded
Loan Commitments
Pursuant to the terms of
certain loan agreements, the Trust held unfunded loan commitments as of August 31, 2023. The Trust is obligated to fund these loan commitments
at the borrower’s discretion.
The unfunded loan commitments
as of August 31, 2023, were as follows:
Borrower |
Maturity
Date |
|
Face
Amount* |
Value |
Lightning A |
03/01/37 |
|
$3,425,425 |
$– |
Polaris Newco LLC |
06/04/26 |
|
643,900 |
44,431 |
The Facilities Group |
11/30/27 |
|
45,690 |
915 |
NOTES
TO SCHEDULE OF INVESTMENTS (Unaudited) |
August
31, 2023 |
Thunderbird A |
03/01/37 |
|
$3,476,667 |
– |
TK
Elevator Midco GmbH |
01/29/27 |
|
EUR 635,713 |
40,162 |
|
|
|
|
$85,508 |
* The face amount is denominated in U.S.
dollars unless otherwise indicated. |
EUR - Euro
Note 6– Restricted
Securities
The securities below are
considered illiquid and restricted under guidelines established by the Board:
Restricted
Securities |
Acquisition
Date |
Cost |
Value |
Central Storage Safety Project Trust |
|
|
|
4.82% due
02/01/381 |
02/02/18 |
$7,215,120 |
$5,997,830 |
CFMT LLC |
|
|
|
2022-HB9 3.25% (WAC)
due 09/25/372 |
09/23/22 |
437,261 |
414,077 |
Freddie Mac Military Housing Bonds Resecuritization
Trust Certificates |
|
|
|
2015-R1 5.94% (WAC)
due 11/25/522 |
09/10/19 |
85,297 |
70,563 |
Mirabela Nickel Ltd. |
|
|
|
due
06/24/193 |
12/31/13 |
87,217 |
4,575 |
|
|
$7,824,895 |
$6,487,045 |
1 |
All or
a portion of these securities have been physically segregated in connection with unfunded loan commitments and reverse repurchase
agreements. |
2 |
Variable rate security. Rate
indicated is the rate effective at August 31, 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. |
3 |
Security is in default
of interest and/or principal obligations. |
Note 7 – Market
Risks
The value of, or income
generated by, the investments held by the Trust are subject to the possibility of rapid and unpredictable fluctuation, and loss that
may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences,
including real or perceived changes in prevailing interest rates changes in inflation rates or expectations about inflation rates, adverse
investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased
instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious
diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine
conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of
which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or
other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the
Trust in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and
financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict
and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances,
which may negatively affect the value of the Trust’s investments and performance of the Trust.
OTHER
INFORMATION (Unaudited) |
August
31, 2023 |
Sector
Classification
Information in
the “Schedule of Investments” is categorized by sectors using sector-level classifications defined by Bloomberg Industry
Classification System, a widely recognized industry classification system provider. In the Trust’s registration statement, the
Trust has investment policies relating to concentration in specific industries. For purposes of these investment policies, the Trust
usually classifies industries based on industry-level classifications used by widely recognized industry classification system providers
such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
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