Investment Company Act file number
|
811-22437
|
Guggenheim Taxable Municipal Managed Duration Trust |
(Exact name of registrant as specified in charter)
|
227 West Monroe Street, Chicago, IL 60606
|
||
(Address of principal executive offices) (Zip code)
|
||
Amy J. Lee
227 West Monroe Street, Chicago, IL 60606
|
||
(Name and address of agent for service)
|
Guggenheim Taxable Municipal Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
Shares
|
Value
|
||||
COMMON STOCKS† - 0.1%
|
|||||
Energy - 0.1%
|
|||||
SandRidge Energy, Inc.*
|
9,731
|
$
|
167,568
|
||
Approach Resources, Inc.*,4
|
44,160
|
122,765
|
|||
Total Energy
|
290,333
|
||||
Technology - 0.0%
|
|||||
Aspect Software Parent, Inc.*,†††,1,2,3
|
6,275
|
64,635
|
|||
Aspect Software Parent, Inc.*,†††,2,3
|
2,541
|
26,172
|
|||
Total Technology
|
90,807
|
||||
Consumer, Non-cyclical - 0.0%
|
|||||
Targus Group International Equity, Inc*,†††,1,2,3
|
18,415
|
27,438
|
|||
Communications - 0.0%
|
|||||
Cengage Learning Acquisitions, Inc.*,††
|
3,457
|
23,767
|
|||
Total Common Stocks
|
|||||
(Cost $470,772)
|
432,345
|
MONEY MARKET FUND† - 2.3%
|
|||||
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.87%11
|
9,258,368
|
9,258,368
|
|||
Total Money Market Fund
|
|||||
(Cost $9,258,368)
|
9,258,368
|
Face
|
|||||
Amount
|
|||||
MUNICIPAL BONDS†† - 110.6%
|
|||||
California - 22.9%
|
|||||
Los Angeles Department of
|
|||||
Water & Power Power System Revenue Revenue Bonds, Build America Bonds
|
|||||
7.00% due 07/01/41
|
$ |
10,000,000
|
11,680,300
|
||
7.00% due 07/01/41
|
10,000,000
|
11,305,300
|
|||
Santa Ana Unified School District, California, General Obligation Bonds, Federal Taxable Build America Bonds10
|
|||||
7.10% due 08/01/40
|
7,755,000
|
10,301,354
|
|||
6.80% due 08/01/30
|
2,245,000
|
2,771,857
|
|||
Oakland Unified School District, County of Alameda, California, Taxable General Obligation Bonds, Election of 2006, Qualified School
|
|||||
Construction Bonds, Series 2012B
|
|||||
6.88% due 08/01/334
|
10,000,000
|
11,759,501
|
|||
California, General Obligation Bonds, Various Purpose, Taxable Build America Bonds10
|
|||||
7.70% due 11/01/304
|
10,000,000
|
11,755,200
|
|||
Long Beach Unified School District, California, Qualified School Construction Bonds, Federally Taxable, Election of 2008, General Obligation Bonds
|
|||||
5.91% due 08/01/25
|
7,500,000
|
8,807,925
|
|||
Riverside Community College District General Obligation Unlimited
|
|||||
7.02% due 08/01/404
|
5,000,000
|
5,680,550
|
Face
|
|||||
Amount
|
Value
|
||||
MUNICIPAL BONDS†† - 110.6% (continued)
|
|||||
California - 22.9% (continued)
|
|||||
Metropolitan Water District, Southern California, Water Revenue Bonds, 2010 Authorization, Taxable Build America Bonds10
|
|||||
6.95% due 07/01/40
|
5,000,000
|
5,645,900
|
|||
Sonoma Valley Unified School District General Obligation Unlimited
|
|||||
7.12% due 08/01/284
|
3,330,000
|
3,802,227
|
|||
California Housing Finance Agency Revenue Bonds
|
|||||
3.66% due 02/01/29
|
3,000,000
|
3,089,280
|
|||
Culver City Redevelopment Agency, California, Taxable Tax Allocation Bonds, Culver City Redevelopment Project
|
|||||
8.00% due 11/01/20
|
2,310,000
|
2,408,591
|
|||
Monrovia Unified School District, Los Angeles County, California, Election of 2006 General Obligation Bonds, Build America Bonds,
|
|||||
Federally Taxable10
|
|||||
7.25% due 08/01/284
|
1,025,000
|
1,264,778
|
|||
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 02/01/264
|
1,000,000
|
1,145,780
|
|||
Cypress Elementary School District (Orange County, California), General Obligation Bonds, Direct Pay Qualified School Construction
|
|||||
Bonds, 2008 Election
|
|||||
6.65% due 08/01/254
|
660,000
|
766,781
|
|||
6.05% due 08/01/214
|
340,000
|
369,104
|
|||
Alhambra Unified School District General Obligation Unlimited
|
|||||
6.70% due 02/01/264
|
500,000
|
609,810
|
|||
California State University Revenue Bonds
|
|||||
3.90% due 11/01/47
|
500,000
|
524,620
|
|||
Total California
|
93,688,858
|
||||
Illinois - 10.6%
|
|||||
Northern Illinois University, Auxiliary Facilities System Revenue Bonds, Build America Program, Taxable10
|
|||||
8.15% due 04/01/41
|
5,000,000
|
5,556,300
|
|||
7.95% due 04/01/354
|
4,500,000
|
5,022,135
|
Guggenheim Taxable Municipal Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
Face
Amount |
Value
|
||||
MUNICIPAL BONDS†† - 110.6% (continued)
|
|||||
Illinois - 10.6% (continued)
|
|||||
Chicago, Illinois, Second Lien Wastewater Transmission Revenue Project Bonds, Taxable Build America Bonds10
|
|||||
6.90% due 01/01/404
|
$ |
5,100,000
|
$ |
6,599,145
|
|
Illinois, General Obligation Bonds, Taxable Build America Bonds10
|
|||||
7.35% due 07/01/35
|
5,000,000
|
5,764,900
|
|||
Chicago, Illinois, Board of Education, Unlimited Tax General Obligation Bonds, Dedicated Revenues, Taxable Build America Bonds10
|
|||||
6.52% due 12/01/404
|
5,000,000
|
4,717,850
|
|||
City of Chicago Illinois General Obligation Unlimited
|
|||||
6.26% due 01/01/404
|
2,500,000
|
2,584,500
|
|||
5.43% due 01/01/424
|
2,000,000
|
1,979,080
|
|||
Chicago, Illinois, Second Lien Water Revenue Bonds, Taxable Build America Bonds10
|
|||||
6.74% due 11/01/40
|
2,990,000
|
3,962,318
|
|||
Southwestern Illinois Development Authority Revenue Bonds
|
|||||
7.23% due 10/15/354
|
3,000,000
|
3,318,210
|
|||
Southwestern Illinois, Development Authority, Taxable Local Government, Program Revenue Bonds, Flood Prevention
|
|||||
District Project, Build America Bonds10
|
|||||
7.03% due 04/15/324
|
2,000,000
|
2,206,160
|
|||
State of Illinois General Obligation Unlimited
|
|||||
6.63% due 02/01/35
|
930,000
|
1,026,292
|
|||
6.73% due 04/01/35
|
200,000
|
220,104
|
|||
Chicago Board of Education General Obligation Unlimited, Build America Bonds10
|
|||||
6.14% due 12/01/394
|
195,000
|
182,428
|
|||
Total Illinois
|
43,139,422
|
||||
Washington - 10.1%
|
|||||
Washington State University, Housing and Dining System Revenue Bonds, Taxable Build America Bonds10
|
|||||
7.40% due 04/01/414
|
6,675,000
|
9,836,547
|
|||
7.10% due 04/01/32
|
3,325,000
|
4,499,024
|
|||
Washington State Convention Center Public Facilities District, Lodging Tax Bonds, Taxable Build America Bonds10
|
|||||
6.79% due 07/01/40
|
5,000,000
|
6,566,350
|
|||
Public Hospital District No. 1, King County, Washington, Valley Medical Center, Hospital Facilities Revenue Bonds
|
|||||
8.00% due 06/15/404
|
5,800,000
|
6,431,388
|
Face
|
|||||
Amount
|
Value
|
||||
MUNICIPAL BONDS†† - 110.6% (continued)
|
|||||
Washington - 10.1% (continued)
|
|||||
Central Washington University, System Revenue Bonds, 2010, Taxable Build America Bonds10
|
|||||
6.50% due 05/01/304
|
5,000,000
|
6,002,300
|
|||
City of Anacortes Washington Utility System Revenue Revenue Bonds
|
|||||
6.48% due 12/01/304
|
5,000,000
|
5,502,100
|
|||
City of Auburn Washington Utility System Revenue Revenue Bonds
|
|||||
6.40% due 12/01/304
|
2,000,000
|
2,141,680
|
|||
Port of Seattle Washington Revenue Bonds
|
|||||
3.76% due 05/01/36
|
300,000
|
307,686
|
|||
Total Washington
|
41,287,075
|
||||
Pennsylvania - 6.3%
|
|||||
School District of Philadelphia, Pennsylvania, General Obligation Bonds, Series 2011A, Qualified School Construction Bonds -
|
|||||
(Federally Taxable - Direct Subsidy)
|
|||||
6.00% due 09/01/304
|
10,330,000
|
11,995,403
|
|||
Pittsburgh, Pennsylvania, School District, Taxable Qualified School Construction Bonds
|
|||||
6.85% due 09/01/294
|
6,870,000
|
8,752,311
|
|||
Lebanon Authority, Pennsylvania, Sewer Revenue Bonds, Taxable Build America Bonds10
|
|||||
7.14% due 12/15/354
|
4,865,000
|
5,261,108
|
|||
Total Pennsylvania
|
26,008,822
|
||||
New Jersey - 6.3%
|
|||||
New Jersey Turnpike Authority Revenue Bonds, Build America Bonds10
|
|||||
7.10% due 01/01/41
|
10,000,000
|
14,842,900
|
|||
Camden County Improvement Authority Revenue Bonds, Build America Bonds10
|
|||||
7.75% due 07/01/344
|
8,000,000
|
8,887,840
|
|||
7.85% due 07/01/354
|
2,000,000
|
2,222,080
|
|||
Total New Jersey
|
25,952,820
|
||||
New York - 6.3%
|
|||||
Westchester County Health Care Corporation, Revenue Bonds, Taxable Build America Bonds10
|
|||||
8.57% due 11/01/401,4
|
10,000,000
|
13,402,300
|
Guggenheim Taxable Municipal Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
Face
Amount |
Value
|
||||
MUNICIPAL BONDS†† - 110.6% (continued)
|
|||||
New York - 6.3% (continued)
|
|||||
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Taxable Build America Bonds10
|
|||||
6.55% due 11/15/31
|
$ |
5,000,000
|
$ |
6,705,550
|
|
7.13% due 11/15/30
|
5,000,000
|
5,740,300
|
|||
Total New York
|
25,848,150
|
||||
Michigan - 6.1%
|
|||||
Detroit City School District General Obligation Unlimited, Build America Bonds10
|
|||||
6.85% due 05/01/404
|
5,000,000
|
5,422,400
|
|||
7.75% due 05/01/394
|
2,640,000
|
3,719,284
|
|||
Whitehall District Schools, Muskegon County, Michigan, 2010 School Building and Site Bonds, General Obligation, Unlimited Tax Bonds, Taxable Qualified School Construction Bonds
|
|||||
6.10% due 05/01/264
|
2,500,000
|
2,761,300
|
|||
6.50% due 05/01/294
|
2,000,000
|
2,207,580
|
|||
Fraser Public School District, Macomb County, Michigan, General Obligation Federally Taxable School Construction Bonds, 2011 School Building and Site Bonds
|
|||||
6.05% due 05/01/264
|
3,000,000
|
3,260,910
|
|||
Detroit, Michigan, School District, School Building and Site Bonds, Unlimited Tax General Obligation Bonds, Taxable
|
|||||
Qualified School Construction Bonds
|
|||||
6.65% due 05/01/294
|
2,640,000
|
3,177,134
|
|||
City of Detroit Michigan Sewage Disposal System Revenue Revenue Bonds
|
|||||
1.47% (3 Month LIBOR + 60 bps) due 07/01/325
|
2,000,000
|
1,822,720
|
|||
City of Detroit Michigan Water Supply System Revenue Revenue Bonds
|
|||||
5.00% due 07/01/41
|
1,555,000
|
1,658,050
|
|||
Oakridge, Michigan, Public Schools, Unlimited Tax General Obligation Bonds
|
|||||
6.75% due 05/01/264
|
1,000,000
|
1,085,250
|
Face
Amount |
Value
|
||||
MUNICIPAL BONDS†† - 110.6% (continued)
|
|||||
Michigan - 6.1% (continued)
|
|||||
Comstock Park Public Schools General Obligation Unlimited
|
|||||
6.30% due 05/01/264
|
415,000
|
467,979
|
|||
Total Michigan
|
25,582,607
|
||||
Indiana - 6.1%
|
|||||
Noblesville Multi-School Building Corporation, Hamilton County, Indiana, Taxable Unlimited Ad Valorem Property Tax First
|
|||||
Mortgage Bonds, Build America Bonds10
|
|||||
6.50% due 07/15/30
|
10,000,000
|
11,129,400
|
|||
Evansville-Vanderburgh School Building Corp. Revenue Bonds, Build America Bonds10
|
|||||
6.50% due 01/15/304
|
8,690,000
|
9,649,724
|
|||
County of Knox Indiana Revenue Bonds, Build America Bonds10
|
|||||
5.90% due 04/01/344
|
2,920,000
|
3,138,883
|
|||
Indiana Finance Authority Revenue Bonds
|
|||||
5.50% due 04/01/24
|
1,060,000
|
1,212,969
|
|||
Total Indiana
|
25,130,976
|
||||
Texas - 6.0%
|
|||||
Dallas, Texas, Convention Center Hotel Development Corporation, Hotel Revenue Bonds, Taxable Build America Bonds10
|
|||||
7.09% due 01/01/424
|
10,000,000
|
13,540,900
|
|||
El Paso, Texas, Combination Tax and Revenue Certification of Obligation, Taxable Build America Bonds10
|
|||||
6.70% due 08/15/364
|
10,000,000
|
11,199,800
|
|||
Total Texas
|
24,740,700
|
||||
Florida - 4.0%
|
|||||
County of Miami-Dade Florida Transit System Revenue Bonds, Build America Bonds10
|
|||||
6.91% due 07/01/394
|
10,000,000
|
10,781,300
|
|||
Orlando, Florida, Community Redevelopment Agency, Taxable Tax Increment Revenue Build America Bonds10
|
|||||
7.78% due 09/01/404
|
5,000,000
|
5,641,750
|
|||
Total Florida
|
16,423,050
|
||||
West Virginia - 3.5%
|
|||||
State of West Virginia, Higher Education Policy Commission, Revenue Bonds, Federally Taxable Build America Bonds 201010
|
|||||
7.65% due 04/01/404
|
10,000,000
|
14,333,700
|
Guggenheim Taxable Municipal Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
Face
Amount |
Value
|
||||
MUNICIPAL BONDS†† - 110.6% (continued)
|
|||||
Ohio - 3.2%
|
|||||
American Municipal Power, Inc., Combined Hydroelectric Projects Revenue Bonds, New Clean Renewable Energy Bonds
|
|||||
7.33% due 02/15/284
|
$ |
5,000,000
|
$ |
6,519,799
|
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Qualified School Construction Bonds
|
|||||
6.65% due 12/01/294
|
2,500,000
|
2,790,075
|
|||
Cuyahoga County, Ohio, Hospital Revenue Bonds, The Metrohealth System, Build America Bonds, Taxable10
|
|||||
8.22% due 02/15/404
|
1,950,000
|
2,556,158
|
|||
Toronto City School District, Ohio, Qualified School Construction Bonds General Obligation Bonds
|
|||||
7.00% due 12/01/28
|
1,230,000
|
1,303,751
|
|||
Total Ohio
|
13,169,783
|
||||
Colorado - 2.9%
|
|||||
Colorado, Building Excellent Schools Today, Certificates of Participation, Taxable Build America Bonds10
|
|||||
7.02% due 03/15/314
|
7,500,000
|
8,493,300
|
|||
Colorado, Building Excellent Schools Today, Certificates of Participation, Taxable Qualified School Construction
|
|||||
6.82% due 03/15/284
|
2,500,000
|
3,290,150
|
|||
Total Colorado
|
11,783,450
|
||||
Vermont - 2.6%
|
|||||
Vermont State Colleges, Revenue Bonds, Taxable Build America Bonds10
|
|||||
7.21% due 07/01/404
|
7,500,000
|
8,432,775
|
|||
6.10% due 07/01/254
|
2,155,000
|
2,379,012
|
|||
Total Vermont
|
10,811,787
|
||||
Alabama - 2.6%
|
|||||
Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds10
|
|||||
7.20% due 09/01/384
|
5,000,000
|
5,272,450
|
|||
7.10% due 09/01/354
|
3,000,000
|
3,154,230
|
|||
7.25% due 09/01/404
|
2,000,000
|
2,110,920
|
|||
Total Alabama
|
10,537,600
|
||||
Nevada - 2.5%
|
|||||
Nevada System of Higher Education University, Revenue Bonds, Build America Bonds10
|
|||||
7.90% due 07/01/40
|
5,050,000
|
5,670,847
|
|||
7.60% due 07/01/30
|
1,500,000
|
1,678,185
|
|||
Clark County, Nevada, Airport Revenue Bonds, Build America Bonds10
|
|||||
6.88% due 07/01/424
|
1,425,000
|
1,552,196
|
Face
Amount |
Value
|
||||
MUNICIPAL BONDS†† - 110.6% (continued)
|
|||||
Nevada - 2.5% (continued)
|
|||||
Las Vegas Valley Water District, Nevada, Limited Tax General Obligation Water Bonds, Taxable Build America Bonds10
|
|||||
7.10% due 06/01/394
|
1,200,000
|
1,304,160
|
|||
Total Nevada
|
10,205,388
|
||||
Louisiana - 2.4%
|
|||||
Orleans Parish, School Board of the Parish of Orleans, Louisiana
|
|||||
4.40% due 02/01/214
|
8,000,000
|
8,544,240
|
|||
Tangipahoa Parish Hospital Service District No. 1, Louisiana, Taxable Hospital Revenue Bonds, North Oaks Health
|
|||||
System Project, Build America Bonds10
|
|||||
7.20% due 02/01/424
|
1,055,000
|
1,122,678
|
|||
Total Louisiana
|
9,666,918
|
||||
Mississippi - 1.8%
|
|||||
Medical Center Educational Building Corporation, Taxable Build America Bonds, University of Mississippi Medical Center
|
|||||
Facilities Expansion and Renovation Project
|
|||||
6.84% due 06/01/354
|
5,000,000
|
5,466,200
|
|||
Mississippi, Hospital Equipment and Facilities Authority, Taxable Build America Revenue Bonds, Forrest County General
|
|||||
Hospital Project
|
|||||
7.27% due 01/01/32
|
1,000,000
|
1,077,170
|
|||
7.39% due 01/01/404
|
905,000
|
971,572
|
|||
Total Mississippi
|
7,514,942
|
||||
South Carolina - 1.6%
|
|||||
County of Horry South Carolina Airport Revenue Revenue Bonds, Build America Bonds10
|
|||||
7.33% due 07/01/401,4
|
5,000,000
|
6,571,850
|
|||
Georgia - 1.4%
|
|||||
Georgia Municipal Association, Inc., Certificates of Participation, DeKalb County Public Schools Project
|
|||||
5.21% due 12/01/224
|
5,000,000
|
5,671,500
|
|||
South Dakota - 0.9%
|
|||||
City of Pierre South Dakota Electric Revenue Revenue Bonds
|
|||||
7.50% due 12/15/40
|
3,490,000
|
3,662,232
|
|||
Puerto Rico - 0.5%
|
|||||
Puerto Rico Electric Power Authority Revenue Bonds
|
|||||
5.25% due 07/01/32
|
1,000,000
|
1,058,210
|
|||
1.39% (3 Month LIBOR + 52 bps) due 07/01/291,5
|
950,000
|
769,814
|
|||
Total Puerto Rico
|
1,828,024
|
||||
Total Municipal Bonds
|
|||||
(Cost $384,195,566)
|
453,559,654
|
Guggenheim Taxable Municipal Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
Face
Amount |
Value
|
||||
ASSET-BACKED SECURITIES†† - 6.0%
|
|||||
Collateralized Loan Obligations - 5.7%
|
|||||
Fortress Credit Investments IV Ltd.
|
|||||
2015-4A, 4.80% (3 Month LIBOR + 350 bps) due 07/17/235,6
|
$ |
1,000,000
|
$ |
990,967
|
|
2015-4A, 6.40% (3 Month LIBOR + 510 bps) due 07/17/235,6
|
500,000
|
492,502
|
|||
OCP CLO Ltd.
|
|||||
2014-6A, 6.25% (3 Month LIBOR + 495 bps) due 07/17/265,6
|
1,000,000
|
971,430
|
|||
2014-6A, 4.95% (3 Month LIBOR + 365 bps) due 07/17/265,6
|
250,000
|
250,249
|
|||
2015-9A, 5.00% (3 Month LIBOR + 370 bps) due 07/15/275,6
|
250,000
|
248,141
|
|||
Jamestown CLO VI Ltd.
|
|||||
2015-6A, 6.57% (3 Month LIBOR + 525 bps) due 02/20/275,6
|
1,250,000
|
1,050,045
|
|||
FDF I Ltd.
|
|||||
2015-1A, 7.50% due 11/12/306
|
1,000,000
|
1,000,246
|
|||
Saranac CLO III Ltd.
|
|||||
2014-3A, 4.94% (3 Month LIBOR + 365 bps) due 06/22/255,6
|
1,000,000
|
997,554
|
|||
Betony CLO Ltd.
|
|||||
2015-1A, 6.65% (3 Month LIBOR + 535 bps) due 04/15/275,6
|
1,000,000
|
956,738
|
|||
Catamaran CLO Ltd.
|
|||||
2014-1A, 5.81% (3 Month LIBOR + 450 bps) due 04/20/265,6
|
1,000,000
|
936,497
|
|||
Venture XX CLO Ltd.
|
|||||
2015-20A, 7.60% (3 Month LIBOR + 630 bps) due 04/15/275,6
|
900,000
|
838,147
|
|||
KVK CLO Ltd.
|
|||||
2014-2A, 6.05% (3 Month LIBOR + 475 bps) due 07/15/265,6
|
300,000
|
272,514
|
|||
2013-2A, 4.95% (3 Month LIBOR + 365 bps) due 01/15/265,6
|
250,000
|
249,350
|
|||
2015-1A, 7.07% (3 Month LIBOR + 575 bps) due 05/20/275,6
|
250,000
|
233,769
|
|||
CIFC Funding Ltd.
|
|||||
2013-2A, 5.90% (3 Month LIBOR + 460 bps) due 04/21/255,6
|
500,000
|
495,006
|
|||
2013-2A, 4.90% (3 Month LIBOR + 360 bps) due 04/21/255,6
|
200,000
|
200,808
|
Face
Amount |
Value
|
||||
ASSET-BACKED SECURITIES†† - 6.0% (continued)
|
|||||
Collateralized Loan Obligations - 5.7% (continued)
|
|||||
Cent CLO Ltd.
|
|||||
2014-21A, 4.82% (3 Month LIBOR + 350 bps) due 07/27/265,6
|
600,000
|
596,747
|
|||
Eaton Vance CLO Ltd.
|
|||||
2014-1A, 6.33% (3 Month LIBOR + 503 bps) due 07/15/265,6
|
600,000
|
556,832
|
|||
OHA Credit Partners VIII Ltd.
|
|||||
2013-8A, 5.71% (3 Month LIBOR + 440 bps) due 04/20/255,6
|
275,000
|
270,607
|
|||
2013-8A, 4.81% (3 Month LIBOR + 350 bps) due 04/20/255,6
|
250,000
|
249,987
|
|||
COA Summit CLO Limited
|
|||||
2014-1A, 4.11% (3 Month LIBOR + 280 bps) due 04/20/235,6
|
500,000
|
499,979
|
|||
Saranac CLO II Ltd.
|
|||||
2014-2A, 4.97% (3 Month LIBOR + 365 bps) due 02/20/255,6
|
500,000
|
497,637
|
|||
Ocean Trails CLO V
|
|||||
2014-5A, 6.65% (3 Month LIBOR + 535 bps) due 10/13/265,6
|
500,000
|
492,503
|
|||
Golub Capital Partners CLO Ltd.
|
|||||
2014-18A, 5.31% (3 Month LIBOR + 400 bps) due 04/25/264,5,6
|
250,000
|
245,446
|
|||
2014-21A, 4.61% (3 Month LIBOR + 330 bps) due 10/25/265,6
|
250,000
|
245,427
|
|||
Galaxy XVI CLO Ltd.
|
|||||
2013-16A, 4.66% (3 Month LIBOR + 335 bps) due 11/16/255,6
|
500,000
|
487,306
|
|||
Avery Point IV CLO Ltd.
|
|||||
2014-1A, 5.76% (3 Month LIBOR + 460 bps) due 04/25/265,6
|
500,000
|
470,009
|
|||
NewMark Capital Funding CLO Ltd.
|
|||||
2014-2A, 5.78% (3 Month LIBOR + 480 bps) due 06/30/265,6
|
500,000
|
465,200
|
|||
WhiteHorse X Ltd.
|
|||||
2015-10A, 6.60% (3 Month LIBOR + 530 bps) due 04/17/275,6
|
500,000
|
455,306
|
|||
WhiteHorse VIII Ltd.
|
|||||
2014-1A, 5.86% (3 Month LIBOR + 455 bps) due 05/01/265,6
|
500,000
|
430,229
|
Guggenheim Taxable Municipal Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
Face
Amount |
Value
|
||||
ASSET-BACKED SECURITIES†† - 6.0% (continued)
|
|||||
Collateralized Loan Obligations - 5.7% (continued)
|
|||||
Flatiron CLO Ltd.
|
|||||
2013-1A, 6.65% (3 Month LIBOR + 535 bps) due 01/17/265,6
|
$ |
400,000
|
$ |
346,303
|
|
Regatta IV Funding Ltd.
|
|||||
2014-1A, 6.26% (3 Month LIBOR + 495 bps) due 07/25/265,6
|
300,000
|
292,503
|
|||
TICP CLO I Ltd.
|
|||||
2014-1A, 5.81% (3 Month LIBOR + 450 bps) due 04/26/265,6
|
300,000
|
287,359
|
|||
Pinnacle Park CLO Ltd.
|
|||||
2014-1A, 6.85% (3 Month LIBOR + 555 bps) due 04/15/265,6
|
300,000
|
274,051
|
|||
Octagon Investment Partners XXI Ltd.
|
|||||
2014-1A, 7.91% (3 Month LIBOR + 660 bps) due 11/14/265,6
|
250,000
|
253,125
|
|||
DIVCORE CLO Ltd.
|
|||||
2013-1A, 5.13% (1 Month LIBOR + 390 bps) due 11/15/324,5,6
|
250,000
|
249,880
|
|||
Staniford Street CLO Ltd.
|
|||||
2014-1A, 4.75% (3 Month LIBOR + 350 bps) due 06/15/255,6
|
250,000
|
249,627
|
|||
Cerberus Onshore II CLO LLC
|
|||||
2014-1A, 5.30% (3 Month LIBOR + 400 bps) due 10/15/235,6
|
250,000
|
249,239
|
|||
Monroe Capital CLO Ltd.
|
|||||
2014-1A, 4.86% (3 Month LIBOR + 355 bps) due 10/22/265,6
|
250,000
|
247,957
|
|||
Jamestown CLO IV Ltd.
|
|||||
2014-4A, 4.80% (3 Month LIBOR + 350 bps) due 07/15/265,6
|
250,000
|
245,593
|
|||
Newstar Commercial Loan Funding LLC
|
|||||
2014-1A, 6.06% (3 Month LIBOR + 475 bps) due 04/20/255,6
|
250,000
|
245,024
|
|||
Octagon Investment Partners XX Ltd.
|
|||||
2014-1A, 6.56% (3 Month LIBOR + 525 bps) due 08/12/265,6
|
250,000
|
241,875
|
|||
Jamestown CLO III Ltd.
|
|||||
2013-3A, 5.90% (3 Month LIBOR + 460 bps) due 01/15/265,6
|
250,000
|
240,180
|
Face
Amount |
Value
|
||||
ASSET-BACKED SECURITIES†† - 6.0% (continued)
|
|||||
Collateralized Loan Obligations - 5.7% (continued)
|
|||||
Mountain Hawk II CLO Ltd.
|
|||||
2013-2A, 4.46% (3 Month LIBOR + 315 bps) due 07/22/245,6
|
250,000
|
239,582
|
|||
Adams Mill CLO Ltd.
|
|||||
2014-1A, 6.16% (3 Month LIBOR + 500 bps) due 07/15/265,6
|
250,000
|
238,481
|
|||
Washington Mill CLO Ltd.
|
|||||
2014-1A, 6.16% (3 Month LIBOR + 485 bps) due 04/20/265,6
|
250,000
|
238,004
|
|||
Tuolumne Grove CLO Ltd.
|
|||||
2014-1A, 6.06% (3 Month LIBOR + 475 bps) due 04/25/265,6
|
250,000
|
237,575
|
|||
Harbourview CLO VII Ltd.
|
|||||
2014-7A, 6.45% (3 Month LIBOR + 513 bps) due 11/18/265,6
|
250,000
|
236,398
|
|||
Jamestown CLO V Ltd.
|
|||||
2014-5A, 6.40% (3 Month LIBOR + 510 bps) due 01/17/275,6
|
250,000
|
236,119
|
|||
BNPP IP CLO Ltd.
|
|||||
2014-2A, 6.56% (3 Month LIBOR + 525 bps) due 10/30/255,6
|
250,000
|
235,916
|
|||
Ballyrock CLO LLC
|
|||||
2014-1A, 6.31% (3 Month LIBOR + 500 bps) due 10/20/265,6
|
250,000
|
234,934
|
|||
Avery Point V CLO Ltd.
|
|||||
2014-5A, 6.06% (3 Month LIBOR + 490 bps) due 07/17/265,6
|
250,000
|
232,098
|
|||
Octagon Investment Partners XXII Ltd.
|
|||||
2014-1A, 7.61% (3 Month LIBOR + 630 bps) due 11/25/255,6
|
250,000
|
228,457
|
|||
MP CLO V Ltd.
|
|||||
2014-1A, 7.20% (3 Month LIBOR + 590 bps) due 07/18/265,6
|
250,000
|
227,500
|
|||
AIMCO CLO
|
|||||
2014-AA, 6.41% (3 Month LIBOR + 525 bps) due 07/20/265,6
|
250,000
|
227,170
|
|||
Gallatin CLO VII Ltd.
|
|||||
2014-1A, 5.06% (3 Month LIBOR + 376 bps) due 07/15/234,5,6
|
200,000
|
200,328
|
|||
WhiteHorse VII Ltd.
|
|||||
2013-1A, 6.12% (3 Month LIBOR + 480 bps) due 11/24/255,6
|
200,000
|
194,660
|
Guggenheim Taxable Municipal Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
Face
Amount |
Value
|
||||
ASSET-BACKED SECURITIES†† - 6.0% (continued)
|
|||||
Collateralized Loan Obligations - 5.7% (continued)
|
|||||
Carlyle Global Market Strategies CLO Ltd.
|
|||||
2012-3A, due 10/04/284,5,6,7
|
$ |
250,000
|
$ |
193,534
|
|
Atlas Senior Loan Fund II Ltd.
|
|||||
2012-2A, due 01/30/244,5,6,7
|
250,000
|
144,918
|
|||
West CLO Ltd.
|
|||||
2013-1A, due 11/07/254,5,6,7
|
250,000
|
132,051
|
|||
Great Lakes CLO Ltd.
|
|||||
2012-1A, due 01/15/234,5,7,8
|
250,000
|
114,274
|
|||
Gramercy Park CLO Ltd.
|
|||||
2012-1A, due 07/17/236,7
|
250,000
|
11,355
|
|||
Ares XXV CLO Ltd.
|
|||||
2013-3A, due 01/17/245,6,7
|
250,000
|
3,647
|
|||
Total Collateralized Loan Obligations
|
23,376,895
|
||||
Collateralized Debt Obligations - 0.3%
|
|||||
N-Star REL CDO VIII Ltd.
|
|||||
2006-8A, 1.41% (1 Month LIBOR + 36 bps) due 02/01/414,5,6
|
798,817
|
793,904
|
|||
Highland Park CDO I Ltd.
|
|||||
2006-1A, 1.72% (3 Month LIBOR + 40 bps) due 11/25/515,6
|
120,114
|
113,844
|
|||
Pasadena CDO Ltd.
|
|||||
2002-1A, 2.12% (3 Month LIBOR + 85 bps) due 06/19/375,6
|
92,673
|
91,900
|
|||
Wrightwood Capital Real Estate CDO Ltd.
|
|||||
2005-1A, 1.75% (3 Month LIBOR + 43 bps) due 11/21/405,6
|
78,292
|
77,482
|
|||
SRERS Funding Ltd.
|
|||||
2011-RS, 1.48% (1 Month LIBOR + 25 bps) due 05/09/465,6
|
5,722
|
5,718
|
|||
Diversified Asset Securitization Holdings II, LP
|
|||||
2000-1X, 1.74% (3 Month LIBOR + 49 bps) due 09/15/355
|
4,113
|
4,096
|
|||
Total Collateralized Debt Obligations
|
1,086,944
|
||||
Whole Business - 0.0%
|
|||||
Icon Brand Holdings LLC
|
|||||
2012-1A, 4.23% due 01/25/436
|
165,357
|
157,887
|
Face
Amount |
Value
|
||||
ASSET-BACKED SECURITIES†† - 6.0% (continued)
|
|||||
Transport-Aircraft - 0.0%
|
|||||
Raspro Trust
|
|||||
2005-1A, 1.67% (3 Month LIBOR + 40 bps) due 03/23/244,5,6
|
38,415
|
37,263
|
|||
Total Asset-Backed Securities
|
|||||
(Cost $21,410,048)
|
24,658,989
|
||||
CORPORATE BONDS†† - 4.2%
|
|||||
Consumer, Non-cyclical - 1.3%
|
|||||
Kaiser Foundation Hospitals
|
|||||
4.15% due 05/01/47
|
1,800,000
|
1,936,360
|
|||
Tufts Medical Center, Inc.
|
|||||
7.00% due 01/01/381
|
1,500,000
|
1,754,883
|
|||
Valeant Pharmaceuticals International, Inc.
|
|||||
6.50% due 03/15/226
|
1,000,000
|
1,048,750
|
|||
WEX, Inc.
|
|||||
4.75% due 02/01/236
|
250,000
|
256,563
|
|||
Great Lakes Dredge & Dock Corp.
|
|||||
8.00% due 05/15/226
|
250,000
|
253,750
|
|||
ADT Corp.
|
|||||
6.25% due 10/15/21
|
200,000
|
217,410
|
|||
Bumble Bee Holdings, Inc.
|
|||||
9.00% due 12/15/176
|
100,000
|
100,190
|
|||
KeHE Distributors LLC / KeHE Finance Corp.
|
|||||
7.63% due 08/15/216
|
90,000
|
90,225
|
|||
Total Consumer, Non-cyclical
|
5,658,131
|
||||
Energy - 1.3%
|
|||||
EQT Corp.
|
|||||
8.13% due 06/01/194
|
1,200,000
|
1,317,621
|
|||
4.88% due 11/15/214
|
250,000
|
269,851
|
|||
Comstock Resources, Inc.
|
|||||
10.00% due 03/15/2012
|
1,100,000
|
1,091,750
|
|||
Antero Resources Corp.
|
|||||
5.63% due 06/01/234
|
600,000
|
610,500
|
|||
5.38% due 11/01/214
|
100,000
|
101,750
|
|||
Hess Corp.
|
|||||
8.13% due 02/15/194
|
650,000
|
701,746
|
|||
Husky Energy, Inc.
|
|||||
3.95% due 04/15/224
|
250,000
|
262,833
|
|||
4.00% due 04/15/244
|
195,000
|
200,463
|
|||
Sabine Pass Liquefaction LLC
|
|||||
5.63% due 02/01/21
|
300,000
|
324,780
|
|||
Buckeye Partners, LP
|
|||||
4.35% due 10/15/24
|
250,000
|
260,179
|
|||
Cheniere Corpus Christi Holdings LLC
|
|||||
7.00% due 06/30/24
|
100,000
|
113,750
|
|||
DCP Midstream Operating, LP
|
|||||
5.35% due 03/15/206
|
100,000
|
105,250
|
|||
Schahin II Finance Co. SPV Ltd.
|
|||||
5.88% due 09/25/228,9
|
651,500
|
65,150
|
Guggenheim Taxable Municipal Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
Face
Amount |
Value
|
||||
CORPORATE BONDS†† - 4.2% (continued)
|
|||||
Energy - 1.3% (continued)
|
|||||
FTS International, Inc.
|
|||||
8.75% (3 Month LIBOR + 750 bps) due 06/15/205,6
|
$ |
47,000
|
$ |
47,705
|
|
Total Energy
|
5,473,328
|
||||
Communications - 0.9%
|
|||||
DISH DBS Corp.
|
|||||
5.88% due 11/15/24
|
1,050,000
|
1,132,688
|
|||
Sprint Communications, Inc.
|
|||||
7.00% due 03/01/206
|
900,000
|
985,500
|
|||
9.00% due 11/15/186
|
56,000
|
60,480
|
|||
T-Mobile USA, Inc.
|
|||||
6.00% due 04/15/244
|
500,000
|
531,875
|
|||
MDC Partners, Inc.
|
|||||
6.50% due 05/01/246
|
500,000
|
498,125
|
|||
Zayo Group LLC / Zayo Capital, Inc.
|
|||||
6.38% due 05/15/25
|
100,000
|
107,469
|
|||
CSC Holdings LLC
|
|||||
5.25% due 06/01/24
|
100,000
|
102,625
|
|||
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
|
|||||
7.88% due 05/15/246
|
100,000
|
95,750
|
|||
Total Communications
|
3,514,512
|
||||
Technology - 0.2%
|
|||||
Micron Technology, Inc.
|
|||||
7.50% due 09/15/23
|
550,000
|
609,813
|
|||
Infor US, Inc.
|
|||||
6.50% due 05/15/22
|
200,000
|
204,000
|
|||
Total Technology
|
813,813
|
||||
Industrial - 0.2%
|
|||||
Dynagas LNG Partners Limited Partnership / Dynagas Finance, Inc.
|
|||||
6.25% due 10/30/191
|
800,000
|
792,000
|
|||
Basic Materials - 0.1%
|
|||||
GCP Applied Technologies, Inc.
|
|||||
9.50% due 02/01/236
|
500,000
|
562,500
|
|||
Mirabela Nickel Ltd.
|
|||||
2.38% due 06/24/191
|
96,316
|
4,816
|
|||
Total Basic Materials
|
567,316
|
||||
Financial - 0.1%
|
|||||
FBM Finance, Inc.
|
|||||
8.25% due 08/15/216
|
150,000
|
160,125
|
|||
Jefferies Finance LLC / JFIN Company-Issuer Corp.
|
|||||
7.38% due 04/01/206
|
125,000
|
128,750
|
|||
Total Financial
|
288,875
|
||||
Consumer, Cyclical - 0.1%
|
|||||
WMG Acquisition Corp.
|
|||||
6.75% due 04/15/226
|
200,000
|
210,000
|
|||
Total Corporate Bonds
|
|||||
(Cost $15,963,133)
|
17,317,975
|
||||
SENIOR FLOATING RATE INTERESTS††,5 - 3.1%
|
|||||
Technology - 1.2%
|
|||||
EIG Investors Corp.
|
|||||
5.32% (1 Month LIBOR + 400 bps) due 02/09/23
|
2,480,135
|
2,504,415
|
Face
Amount |
Value
|
||||
SENIOR FLOATING RATE INTERESTS††,5 - 3.1% (continued)
|
|||||
Technology - 1.2% (continued)
|
|||||
TIBCO Software, Inc.
|
|||||
4.74% (1 Month LIBOR + 350
bps) due 12/04/20
|
684,281
|
685,622
|
|||
Advanced Computer Software
|
|||||
6.82% (3 Month LIBOR + 550
bps) due 03/18/22
|
484,705
|
477,434
|
|||
Lytx, Inc.
|
|||||
7.99% (1 Month LIBOR + 675
bps) due 08/31/23
|
473,684
|
461,974
|
|||
Aspect Software, Inc.
|
|||||
11.23% (1 Month LIBOR +
1000 bps) due 05/25/203
|
435,004
|
426,304
|
|||
First Data Corp.
|
|||||
3.74% (1 Month LIBOR + 250
bps) due 04/26/24
|
249,558
|
249,558
|
|||
Ceridian Corp.
|
|||||
4.70% (1 Week LIBOR + 350
bps) due 09/15/20
|
39,567
|
39,501
|
|||
Total Technology
|
4,844,808
|
||||
Consumer, Non-cyclical - 0.6%
|
|||||
PT Intermediate Holdings III LLC
|
|||||
7.54% (6 Month LIBOR + 650
bps) due 06/23/22†††,1,2
|
1,265,438
|
1,265,438
|
|||
Springs Industries, Inc.
|
|||||
7.73% (1 Month LIBOR + 650
bps) due 06/01/21†††,1,2
|
495,000
|
495,000
|
|||
American Tire Distributors, Inc.
|
|||||
5.49% (1 Month LIBOR + 425
bps) due 09/01/21
|
291,143
|
293,146
|
|||
Quorum Business Solutions
|
|||||
6.06% (3 Month LIBOR + 475
bps) due 08/06/211
|
205,088
|
198,935
|
|||
Certara, Inc.
|
|||||
5.32% (3 Month LIBOR + 400
bps) due 08/15/24
|
150,000
|
151,125
|
|||
Targus Group International, Inc.
|
|||||
14.00% (Prime Rate + 1050
bps) due 05/24/16†††,1,2,3
|
213,492
|
–
|
|||
Total Consumer, Non-cyclical
|
2,403,644
|
||||
Consumer, Cyclical - 0.5%
|
|||||
Sears Holdings Corp.
|
|||||
5.74% (1 Month LIBOR + 450
bps) due 06/30/18
|
446,447
|
441,236
|
|||
LA Fitness International LLC
|
|||||
5.49% (1 Month LIBOR + 425
bps) due 07/01/20
|
416,815
|
420,462
|
|||
Accuride Corp.
|
|||||
8.30% (3 Month LIBOR + 700
bps) due 11/17/23
|
318,575
|
323,353
|
|||
Truck Hero, Inc.
|
|||||
5.23% (1 Month LIBOR + 400
bps) due 04/22/24
|
250,000
|
249,688
|
|||
Neiman Marcus Group, Inc.
|
|||||
4.48% (1 Month LIBOR + 325
bps) due 10/25/20
|
241,855
|
177,708
|
|||
MX Holdings US, Inc.
|
|||||
3.99% (1 Month LIBOR + 275
bps) due 08/14/231
|
147,022
|
146,839
|
Guggenheim Taxable Municipal Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
Face
Amount |
Value
|
||||
SENIOR FLOATING RATE INTERESTS††,5 - 3.1% (continued)
|
|||||
Consumer, Cyclical - 0.5% (continued)
|
|||||
Navistar Inc.
|
|||||
5.24% (1 Month LIBOR + 400 bps) due 08/07/20
|
$ |
98,250
|
$ |
98,905
|
|
Total Consumer, Cyclical
|
1,858,191
|
||||
Communications - 0.3%
|
|||||
TVC Albany, Inc.
|
|||||
5.00% (3 Month LIBOR + 400 bps) due 07/26/24
|
500,000
|
497,500
|
|||
Market Track LLC
|
|||||
5.48% (1 Month LIBOR + 425 bps) due 06/05/24
|
250,000
|
248,750
|
|||
Houghton Mifflin Co.
|
|||||
4.24% (1 Month LIBOR + 300 bps) due 05/28/21
|
249,111
|
239,769
|
|||
Mcgraw-Hill Global Education Holdings LLC
|
|||||
5.24% (1 Month LIBOR + 400 bps) due 05/04/22
|
199,748
|
195,941
|
|||
Total Communications
|
1,181,960
|
||||
Industrial - 0.3%
|
|||||
Transdigm, Inc.
|
|||||
4.29% (3 Month LIBOR + 300 bps) due 06/04/21
|
485,000
|
485,553
|
|||
Amber Bidco Foster + Partners
|
|||||
5.23% (1 Month LIBOR + 400 bps) due 06/30/21†††,1,2
|
250,000
|
247,245
|
|||
Imagine Print Solutions LLC
|
|||||
6.05% (3 Month LIBOR + 475 bps) due 06/21/22
|
199,500
|
199,500
|
|||
SI Organization
|
|||||
6.05% (3 Month LIBOR + 475 bps) due 11/22/19
|
170,582
|
171,221
|
|||
NaNa Development Corp.
|
|||||
8.03% (3 Month LIBOR + 675 bps) due 03/15/181
|
45,370
|
44,463
|
|||
Total Industrial
|
1,147,982
|
||||
Financial - 0.1%
|
|||||
Jane Street Group LLC
|
|||||
5.73% (1 Month LIBOR + 450 bps) due 08/25/22
|
400,000
|
403,500
|
Face
|
|||||
Amount
|
Value
|
||||
SENIOR FLOATING RATE INTERESTS††,5 - 3.1% (continued)
|
|||||
Financial - 0.1% (continued)
|
|||||
Integro Parent, Inc.
|
|||||
7.06% (3 Month LIBOR + 575
|
|||||
bps) due 10/28/221
|
106,321
|
105,790
|
|||
Total Financial
|
509,290
|
||||
Utilities - 0.1%
|
|||||
MRP Generation Holding
|
|||||
8.30% (3 Month LIBOR + 700
|
297,750
|
275,419
|
|||
bps) due 10/18/22
|
|||||
Bhi Investments LLC
|
|||||
5.50% (3 Month LIBOR + 450 bps) due
|
200,000
|
198,000
|
|||
08/28/24
|
|||||
Total Utilities
|
473,419
|
||||
Energy - 0.0%
|
|||||
PSS Companies
|
|||||
5.80% (3 Month LIBOR + 450
|
|||||
bps) due 01/28/201
|
193,373
|
168,718
|
|||
Total Senior Floating Rate Interests
|
|||||
(Cost $12,649,284)
|
12,588,012
|
||||
SENIOR FIXED RATE INTERESTS†† - 0.0%
|
|||||
Consumer, Non-cyclical - 0.0%
|
|||||
Targus Group International Equity, Inc.
|
|||||
7.50% due 12/31/19†††,1,2,3
|
91,542
|
91,542
|
|||
Total Senior Fixed Rate Interests
|
|||||
(Cost $96,118)
|
91,542
|
||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 0.0%
|
|||||
Residential Mortgage Backed Securities - 0.0%
|
|||||
Nomura Resecuritization Trust
|
|||||
2012-1R, 1.68% (1 Month LIBOR + 44 bps) due 08/27/474,5,6
|
88,182
|
87,969
|
|||
Total Collateralized Mortgage Obligations
|
|||||
(Cost $85,383)
|
87,969
|
||||
Total Investments - 126.3%
|
|||||
(Cost $444,128,672)
|
$
|
517,994,854
|
|||
Other Assets & Liabilities, net - (26.3)%
|
(107,707,001)
|
||||
Total Net Assets - 100.0%
|
$
|
410,287,853
|
Guggenheim Taxable Municipal Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
*
|
Non-income producing security.
|
|
†
|
Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
|
|
††
|
Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
|
|
†††
|
Value determined based on Level 3 inputs — See Note 3.
|
|
1
|
Illiquid security.
|
|
2
|
Security was fair valued by the Valuation Committee at August 31, 2017. The total market value of fair valued securities amounts to $2,217,470, (cost $2,571,258) or 0.5% of total net assets.
|
|
3
|
Affiliated issuer — See Note 5.
|
|
4
|
All or a portion of these securities have been physically segregated in connection with borrowings, reverse repurchase agreements and unfunded loan commitments. As of August 31, 2017, the total value of securities segregated was $263,987,852.
|
|
5
|
Variable rate security. Rate indicated is rate effective at August 31, 2017.
|
|
6
|
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 $29,232,251 (cost $25,058,574), or 7.1% of total net assets.
|
|
7
|
Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
|
|
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 $179,424 (cost $755,304), or less than 0.1% of total net assets. See Note 7.
|
|
9
|
Security is in default of interest and/or principal obligations.
|
|
10 | Taxable municipal bond issued as part of the Build America Bond Program. | |
11 |
Rate indicated is the 7 day yield as of August 31, 2017.
|
|
12 | Payment-in-kind security. |
The following table summarizes the inputs used to value the Fund's investments at August 31, 2017 (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
|
||||||||||||
Asset Backed Securities
|
$
|
—
|
$
|
24,658,989
|
$
|
—
|
$
|
24,658,989
|
||||||||
Collateralized Mortgage Obligations
|
—
|
87,969
|
—
|
87,969
|
||||||||||||
Common Stocks
|
290,333
|
23,767
|
118,245
|
432,345
|
||||||||||||
Corporate Bonds
|
—
|
17,317,975
|
—
|
17,317,975
|
||||||||||||
Money Market
|
9,258,368
|
—
|
—
|
9,258,368
|
||||||||||||
Municipal Bonds
|
—
|
453,559,654
|
—
|
453,559,654
|
||||||||||||
Senior Fixed Rate Interests
|
—
|
—
|
91,542
|
91,542
|
||||||||||||
Senior Floating Rate Interests
|
—
|
10,580,329
|
2,007,683
|
12,588,012
|
||||||||||||
Total Assets
|
$
|
9,548,701
|
$
|
506,228,683
|
$
|
2,217,470
|
$
|
517,994,854
|
Investments in Securities (Liabilities)
|
Level 1 Quoted Prices
|
Level 2 Significant Observable Inputs
|
Level 3 Significant Unobservable Inputs
|
Total
|
||||||||||||
Interest Rate Swaps
|
$
|
—
|
$
|
418,912
|
$
|
—
|
$
|
418,912
|
||||||||
Unfunded Loan Commitments
|
—
|
—
|
221,849
|
221,849
|
||||||||||||
Total Liabilities
|
$
|
—
|
$
|
418,912
|
$
|
221,849
|
$
|
640,761
|
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
|
For the period ended August 31, 2017, there were no transfers between levels.
|
Guggenheim Taxable Municipal Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
Security Name
|
Value 05/31/17
|
Additions
|
Reductions
|
Realized Gain (Loss)
|
Change in Unrealized
|
Value 08/31/17
|
Shares 08/31/17
|
Investment Income
|
||||||||||||||||||||||||
Aspect Software Parent, Inc.
|
$ |
93,943
|
$ |
–
|
$ |
–
|
$ |
–
|
$ |
(29,308
|
)
|
$ |
64,635
|
6,275
|
$ |
–
|
||||||||||||||||
Aspect Software Parent, Inc.
|
38,040
|
–
|
–
|
–
|
(11,868
|
)
|
26,172
|
2,541
|
–
|
|||||||||||||||||||||||
Aspect Software, Inc.
11.23% (1 Month LIBOR + 1000 bps) due
05/25/20 |
436,698
|
–
|
(2,788
|
)
|
–
|
(7,606
|
)
|
426,304
|
435,004
|
12,443
|
||||||||||||||||||||||
Targus Group International Equity, Inc.
|
27,623
|
–
|
–
|
–
|
(185
|
)
|
27,438
|
18,415
|
–
|
|||||||||||||||||||||||
Targus Group International, Inc. 7.50% due 12/31/19
|
88,167
|
–
|
–
|
–
|
3,375
|
91,542
|
91,542
|
3,437
|
||||||||||||||||||||||||
Targus Group International, Inc. 14.00% (Prime Rate + 1050
bps) due 05/24/16
|
–
|
–
|
–
|
–
|
–
|
–
|
213,492
|
–
|
||||||||||||||||||||||||
$ |
684,471
|
$ |
–
|
$ |
(2,788
|
)
|
$ |
–
|
$ |
(45,592
|
)
|
$ |
636,091
|
$ |
15,880
|
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2017
|
Tax
Cost
|
Tax Unrealized
Gain
|
Tax Unrealized
Loss
|
Net Unrealized
Gain
|
||||||||||||
$
|
444,188,992
|
$
|
75,769,641
|
$
|
(2,382,691
|
)
|
$
|
73,386,950
|
|
The unfunded loan commitments as of August 31, 2017, were as follows:
|
|||||
Borrower
|
Maturity Date
|
Face Amount
|
Value
|
||
Lytx, Inc.
|
08/31/23
|
$26,316
|
$–
|
||
Solera LLC
|
03/03/21
|
2,250,000
|
221,849
|
||
Surgery Center Holdings, Inc.
|
11/16/17
|
500,000
|
–
|
||
$2,776,316
|
$221,849
|
||||
|
Restricted Securities
|
Acquisition Date
|
Cost
|
Value
|
|
Great Lakes CLO Ltd.
|
||||
2012-1A, (WAC) due 1/15/23
|
12/06/12
|
$238,750
|
$114,274
|
|
Schahin II Finance Co. SPV Ltd.
|
||||
5.88% due 9/25/22
|
01/08/14
|
516,554
|
65,150
|
|
$755,304
|
$179,424
|
|||
|
Other Information (Unaudited) |
August 31, 2017
|
(a) |
The registrant's principal executive officer and principal financial officer have evaluated the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) as of a date within 90 days of the filing date of this report and have concluded, based on such evaluation, that the registrant's disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant on this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.
|
(b) |
There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act, as amended) that occurred during the registrant's last fiscal quarter that has materially affected or is reasonably likely to materially affect the registrant's internal control over financial reporting.
|