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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-22437

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

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

Amy J. Lee

227 West Monroe, Chicago, IL 60606
(Name and address of agent for service)

Registrant's telephone number, including area code: (312) 827-0100

Date of fiscal year end: May 31

Date of reporting period: June 1, 2023 - May 31, 2024

 

Item 1. Reports to Stockholders.

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

Guggenheim Funds Annual Report

Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust

   
GuggenheimInvestments.com CEF-GBAB-AR-0524

 

 
 

GUGGENHEIMINVESTMENTS.COM/GBAB

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

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

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

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

• Monthly portfolio overviews and performance analyses

• Announcements, press releases and special notices

• Trust and adviser contact information

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

 
 

   
DEAR SHAREHOLDER (Unaudited) May 31, 2024

 

We thank you for your investment in the Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust (“Trust”). This report covers the Trust’s performance for the 12-month period ended May 31, 2024 (the “Reporting Period”).

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

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

All Trust returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the Reporting Period, the Trust provided a total return based on market price of 9.75% and a total return based on NAV of 6.28%. At the end of the Reporting Period, the Trust’s market price of $16.25 per share represented a premium of 5.31% to its NAV of $15.43 per share.

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

During the Reporting Period, the Trust paid a monthly distribution of $0.12573 per share. The most recent distribution represents an annualized distribution rate of 9.28% based on the Trust’s closing market price of $16.25 per share at the end of the Reporting Period.

The Trust’s distribution rate is not constant and the amount of distributions, when declared by the Trust’s Board of Trustees, is subject to change. There is no guarantee of any future distribution or that the current returns and distribution rate will be maintained. Please see the Distributions to Shareholders & Annualized Distribution Rate table on page 15, and Note 2(g) on page 55 for more information on distributions for the period.

We encourage shareholders to consider the opportunity to reinvest their distributions from the Trust through the Dividend Reinvestment Plan (“DRIP”), which is described on page 93 of this report. When shares trade at a discount to NAV, the DRIP takes advantage of the discount by reinvesting the monthly dividend distribution in common shares of the Trust purchased in the market at a price less than NAV.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 3

 
 
   
DEAR SHAREHOLDER (Unaudited) continued May 31, 2024

 

Conversely, when the market price of the Trust’s common shares is at a premium above NAV, the DRIP reinvests participants’ dividends in newly issued common shares at the greater of NAV per share or 95% of the market price per share. The DRIP provides a cost-effective means to accumulate additional shares and enjoy the benefits of compounding returns over time. The DRIP effectively provides an income averaging technique for shareholders to accumulate a larger number of Trust shares when the market price is depressed than when the price is higher.

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

Sincerely,

Guggenheim Funds Investment Advisors, LLC

Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust

June 30, 2024

 

4 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 

  

   
ECONOMIC AND MARKET OVERVIEW (Unaudited) May 31, 2024

 

In recent quarters, the U.S. economy has demonstrated continued strength as fiscal spending helped defy predictions of a U.S. Federal Reserve (the “Fed”) induced recession. Inflation continues to gradually recede, albeit in fits and starts, leaving the Fed on hold to preserve its monetary policy optionality for now. Our economic outlook has continued to improve as the aggregate economy has not responded to rate hikes in the usual ways, even as higher rates weighed on some sectors and reinforced our outlook for increasing bifurcation across the economy and markets. While factors like fiscal stimulus and immigration have helped prop up the economy, we do not believe they will support the economic cycle indefinitely. Our base case is for a benign slowdown in real gross domestic product (“GDP”) growth although we view risks to this forecast as tilted to the downside, particularly relative to the improved expectations of the market.

Optimistic expectations built into market pricing are the driving force behind the recent easing in financial conditions. The Fed’s own financial conditions gauge suggests little headwind to growth from broad financial conditions. But most of the easing has been driven by narrow gains in equity valuations, leaving the economy vulnerable to a pullback in risk sentiment.

Optimism can also be seen in forecasts of accelerating corporate earnings growth, with the S&P 500 earnings per share expected to grow 12% this year after just 2% growth in 2023. While our baseline view is also relatively constructive on the economy, and anticipated Fed easing later this year is expected to help support the growth outlook, we still view risks as skewed to the downside. Signs of economic bifurcation and more cautious consumers may weigh on growth more than currently anticipated, particularly if softening in labor market indicators continues.

However, even as slower growth or shifts in sentiment create some potential for spread widening, all-in yields remain attractive on a historical basis and are still near decade plus highs. In addition, the Fed’s attention to downside risks suggest to us that any substantial shift in conditions could be met with expectations of greater monetary policy easing and could create a favorable environment for active fixed-income investors.

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

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 5

 
 
   
MANAGEMENT’S DISCUSSION OF  
TRUST PERFORMANCE (Unaudited) May 31, 2024

 

MANAGEMENT TEAM

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

This team includes Anne B. Walsh, CFA, JD, Managing Partner, Chief Investment Officer of GPIM and Portfolio Manager; Steven H. Brown, CFA, Chief Investment Officer, Fixed Income, Senior Managing Director, and Portfolio Manager; Allen Li, CFA, Managing Director and Portfolio Manager; Adam J. Bloch, Managing Director and Portfolio Manager; and Evan L. Serdensky, Managing Director and Portfolio Manager.

Discuss the Trust’s return and return of comparative Indices

All Trust returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the Reporting Period, the Trust provided a total return based on market price of 9.75% and a total return based on NAV of 6.28%. At the end of the Reporting Period, the Trust’s market price of $16.25 per share represented a premium of 5.31% to its NAV of $15.43 per share. At the beginning of the Reporting Period, the Trust’s market price of $16.32 per share represented a premium of 1.94% to its NAV of $16.01 per share.

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

Please refer to the graphs and tables included within the Trust Summary, beginning on page 12 for additional information about the Trust’s performance.

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

   
Index* Total Return
Bloomberg Municipal Bond Index 2.67%
Bloomberg Taxable Municipal Index 2.52%
Bloomberg U.S. Aggregate Bond Index 1.31%
Bloomberg U.S. Corporate High Yield Index 11.24%
Credit Suisse Leveraged Loan Index 13.22%
ICE Bank of America Asset Backed Security Master BBB-AA Index 7.07%
ICE Bank of America Build America Bond Index 0.38%
Standard & Poor’s 500 (“S&P 500”) Index 28.19%
*See page 10 for Index definitions  

 

 

6 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 

   
MANAGEMENT’S DISCUSSION OF  
TRUST PERFORMANCE (Unaudited) continued May 31, 2024

 

Discuss the Trust’s distributions

During the Reporting Period, the Trust paid a monthly distribution of $0.12573 per share. The most recent distribution represents an annualized distribution rate of 9.28% based on the Trust’s closing market price of $16.25 per share at the end of the Reporting Period.

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

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

Please see the Distributions to Shareholders & Annualized Distribution Rate table on page 15, and Note 2(g) on page 55 for more information on distributions for the period.

   
Payable Date Amount
June 30, 2023 $0.12573
July 31, 2023 $0.12573
August 31, 2023 $0.12573
September 29, 2023 $0.12573
October 31, 2023 $0.12573
November 30, 2023 $0.12573
December 29, 2023 $0.12573
January 31, 2024 $0.12573
February 29, 2024 $0.12573
March 29, 2024 $0.12573
April 30, 2024 $0.12573
May 31, 2024 $0.12573
Total $1.50876

 

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

During the Reporting Period, the Trust saw positive performance from income and credit spread tightening. Earned income contributed the most to performance as the Trust continued to prioritize higher-quality credits with attractive income/yield profiles. Credit spreads also added to overall performance as spreads on the Bloomberg Taxable Municipal Bond and Bloomberg U.S. Corporate Investment Grade Bond Indices tightened by 38 basis points and 53 basis points, respectively. Duration was the sole thematic detractor to the Trust. Duration detracted from performance as the

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 7

 
 

MANAGEMENT’S DISCUSSION OF  
TRUST PERFORMANCE (Unaudited) continued May 31, 2024

 

yield curve bear steepened, meaning yields at the long end of the curve rose higher than those at the front end, with yields on 2-year and 10-year Treasurys finishing 47 basis points and 86 basis points higher, respectively.

Discuss the Trust’s Use of Leverage

At the end of the Reporting Period, the Trust’s leverage was approximately 24% of Managed Assets, compared with approximately 26% at the beginning of the Reporting Period.

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

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

Given positive total returns over the Reporting Period, leverage benefited performance.

Investments in Investment Funds (as defined in the Additional Information Regarding the Trust section, which begins on page 95) frequently expose the Trust to an additional layer of financial leverage and the associated risks, such as the magnified effect of any losses.

How did the Trust use derivatives during the Reporting Period?

The Trust had minimal exposure to derivatives during the Reporting Period. The Trust continued to utilize modestly-sized credit default swaps to hedge broader credit markets. These credit hedges detracted from performance given the strong credit market returns during the Reporting Period. Additionally, the Trust continued to hold curve caps and interest rate swaps to hedge against moves lower in the yield curve; those positions were slight detractors during the Reporting Period. Foreign currency forwards used to hedge non-USD exposures also slightly detracted from overall performance.

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

The Reporting Period exhibited a period of unprecedented volatility that has left a wide range of possible outcomes going forward. We believe the next major policy moves are likely to provide strong tailwinds for fixed income. We continue to expect elevated volatility in the economy and markets, as well as a policy response to these conditions. This argues for the importance of diversification in asset allocation remains crucial. The heightened probability of an economic slowdown over the next 6-12 months, as indicated by our models continues to guide our more defensive and conservative positioning within the Trust, prioritizing quality (which takes multiple forms, including focusing on

 

8 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 
   
MANAGEMENT’S DISCUSSION OF  
TRUST PERFORMANCE (Unaudited) continued May 31, 2024

 

industry market leaders, more conservatively positioned balance sheets, stronger credit stipulations, and more creditor-friendly structures) and industries that may be more resilient to economic downturns.

Though the recent tightening of credit spreads has likely pulled forward some of the expected future total return potential of parts of fixed income, we still view the go-forward valuation proposition of fixed income as attractive at current levels and sourceable income levels in high-quality credit as historically high relative to recent history. The Trust’s strategy has remained consistent by upgrading the credit profile and seeking opportunities with strong income generation and capital appreciation potential. We have grown our exposure in high quality sectors, particularly in Agency residential mortgage-backed securities (“RMBS”) and in structured credit investments such as non-Agency RMBS, senior tranches of collateralized loan obligations, and commercial asset-backed securities.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 9

 
 
   
MANAGEMENT’S DISCUSSION OF  
TRUST PERFORMANCE (Unaudited) continued May 31, 2024

 

Index Definitions

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

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

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

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

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

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

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

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

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

 

10 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 
   
MANAGEMENT’S DISCUSSION OF  
TRUST PERFORMANCE (Unaudited) continued May 31, 2024

 

Risks and Other Considerations

The views expressed in this report reflect those of the portfolio managers only through the report period as stated on the cover. These views are subject to change at any time, based on market and other conditions and should not be construed as a recommendation of any kind. The material may also include forward looking statements that involve risk and uncertainty, and there is no guarantee that any predictions will come to pass.

There can be no assurance that the Trust will achieve its investment objectives. The NAV of the Trust will fluctuate with the value of the underlying securities. Risk is inherent in all investing, including the loss of your entire principal. Therefore, before investing you should consider the risks carefully. The Trust is subject to various risk factors, including investment risk, which could result in the loss of the entire principal amount that you invest. Certain of these risk factors are described in the Additional Information Regarding the Trust section, which begins on page 95. Please see the Trust’s Prospectus and Statement of Additional Information (SAI), and guggenheiminvestments.com/gbab for a more detailed description of the risks of investing in the Trust. Shareholders may access the Trust’s Prospectus and SAI on the EDGAR Database on the Securities and Exchange Commission’s website at www.sec.gov.

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

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 11

 
 
   
TRUST SUMMARY (Unaudited) May 31, 2024

 

   
Trust Statistics  
Market Price $16.25
Net Asset Value $15.43
Premium to NAV 5.31%
Net Assets ($000) $382,779

 

Cumulative Trust Performance*

*The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Trust will fluctuate so that an investor’s shares, when sold, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Taxable Municipal Index is an unmanaged index and, unlike the Trust, has no management fees or operating expenses to reduce its reported return. Further, the Bloomberg Taxable Municipal Index is a broad-based index that tracks the performance of investment-grade fixed income securities issued by state and local governments whose income is not exempt from tax, issued generally to finance a project or activity that does not meet certain “public purpose/use” requirements. The Trust does not seek to achieve performance that is comparative to an index.
         
AVERAGE ANNUAL TOTAL RETURNS FOR        
THE PERIOD ENDED MAY 31, 2024        
  One Three Five Ten
  Year Year Year Year
Guggenheim Taxable Municipal Bond & Investment        
Grade Debt Trust        
NAV 6.28% (4.32%) 0.06% 3.25%
Market 9.75% (4.62%) 0.50% 4.65%
Bloomberg Taxable Municipal Index 2.52% (3.39%) 0.35% 2.81%

 

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

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

 

12 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 
   
TRUST SUMMARY (Unaudited) continued May 31, 2024

 

     
Portfolio Breakdown % of Net Assets
Municipal Bonds   68.3%
Corporate Bonds   33.9%
Asset-Backed Securities   14.0%
Senior Floating Rate Interests   9.3%
Preferred Stocks   2.2%
Collateralized Mortgage Obligations   2.0%
Money Market Funds   0.9%
Closed-End Mutual Funds   0.7%
Foreign Government Debt   0.2%
Common Stocks   0.1%
Warrants   0.0%*
Options Purchased   0.0%*
Total Investments   131.6%
Other Assets & Liabilities, net   (31.6%)
Net Assets   100.0%
*Less than 0.1%.    

 

Ten Largest Holdings

% of Net Assets
State of West Virginia, Higher Education Policy Commission, Revenue Bonds,    
Federally Taxable Build America Bonds 2010, 7.65%   3.1%
Dallas, Texas, Convention Center Hotel Development Corporation, Hotel    
Revenue Bonds, Taxable Build America Bonds, 7.09%   2.9%
School District of Philadelphia, Pennsylvania, General Obligation Bonds,    
Series 2011A, Qualified School Construction Bonds - (Federally Taxable - Direct Subsidy), 6.00% 2.8%
Oklahoma Development Finance Authority Revenue Bonds, 5.45%   2.7%
Oakland Unified School District, County of Alameda, California, Taxable    
General Obligation Bonds, Election of 2006, Qualified School Construction    
Bonds, Series 2012B, 6.88%   2.6%
Westchester County Health Care Corporation, Revenue Bonds, Taxable Build    
America Bonds, 8.57%   2.6%
Santa Ana Unified School District, California, General Obligation Bonds,    
Federal Taxable Build America Bonds, 7.10%   2.3%
Evansville-Vanderburgh School Building Corp. Revenue Bonds, 6.50%   2.3%
Pittsburgh, Pennsylvania, School District, Taxable Qualified School    
Construction Bonds, 6.85%   2.0%
Harris County Cultural Education Facilities Finance Corp. Revenue Bonds, 3.34%   1.9%
Top Ten Total   25.2%

 

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

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

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 13

 
 
   
TRUST SUMMARY (Unaudited) continued May 31, 2024

  

   
Portfolio Composition by Quality Rating1  
  % of Total
Rating Investments
Fixed Income Instruments  
AAA 2.7%
AA 28.3%
A 25.6%
BBB 20.7%
BB 7.4%
B 6.9%
CCC 0.6%
CC 0.0%*
NR2 7.0%
Other Instruments 0.8%
Total Investments 100.0%

 

1Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.
2NR (not rated) securities do not necessarily indicate low credit quality.
*Less than 0.1%.

 

14 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 
   
TRUST SUMMARY (Unaudited) continued May 31, 2024

 

Market Price & NAV History

 

Distributions to Shareholders & Annualized Distribution Rate

 

All or a portion of the above distributions is characterized as a return of capital. For the year ended May 31, 2024, 55.2% of the distributions were characterized as ordinary income and 44.8% of the distributions were characterized as return of capital. The final determination of the tax character of the distributions paid by the Trust in 2024 will be reported to shareholders in January 2025.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 15

 
 
   
SCHEDULE OF INVESTMENTS May 31, 2024

 

     
  Shares Value
COMMON STOCKS– 0.1%    
Consumer, Non-cyclical – 0.1%    
Endo, Inc.*,†† 9,759 $ 272,442
Endo, Inc.*,††,1 187 5,220
Total Consumer, Non-cyclical   277,662
Industrial – 0.0%    
BP Holdco LLC*,†††,2 15,619 18,932
YAK BLOCKER 2 LLC*,††† 5,183 9,760
YAK BLOCKER 2 LLC*,††† 4,791 9,021
Targus, Inc.*,††† 17,838 753
Targus, Inc.*,††† 17,838 631
Vector Phoenix Holdings, LP*,††† 15,619 330
Targus, Inc.*,††† 17,838 203
Targus, Inc.*,††† 17,838 2
Total Industrial   39,632
Communications – 0.0%    
Figs, Inc. — Class A* 3,754 19,896
Vacasa, Inc. — Class A* 511 2,351
Total Communications   22,247
Financial – 0.0%    
Finance Co I SARL / Endo US, Inc.*,†††,1 350,000 2,685
Total Common Stocks    
(Cost $406,009)   342,226
PREFERRED STOCKS†† – 2.2%    
Financial – 2.2%    
Equitable Holdings, Inc.    
4.30% 140,000 2,613,800
W R Berkley Corp.    
4.13% due 03/30/61 95,975 1,756,342
Kuvare US Holdings, Inc.    
7.00% due 02/17/51*,3 1,500,000 1,496,250
Goldman Sachs Group, Inc.    
7.50% 1,000,000 1,027,415
PartnerRe Ltd.    
4.88% 46,000 897,460
Selective Insurance Group, Inc.    
4.60% 20,000 365,600
Reinsurance Group of America, Inc.    
7.13% due 10/15/52 750 19,583

 

See notes to financial statements.

 

16 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 
   
SCHEDULE OF INVESTMENTS continued May 31, 2024

 

     
  Shares Value
PREFERRED STOCKS†† – 2.2% (continued)    
Financial – 2.2% (contiued)    
First Republic Bank    
4.25% ††† 31,650 $ 950
4.50% ††† 17,750 532
Total Financial   8,177,932
Total Preferred Stocks    
(Cost $11,303,125)   8,177,932
WARRANTS– 0.0%    
Ginkgo Bioworks Holdings, Inc.    
Expiring 09/16/26* 9,372 375
Pershing Square Tontine Holdings, Ltd.    
Expiring 07/24/25*,†††,5 23,730 3
Pershing Square Holdings, Ltd.    
Expiring 12/31/49*,†††,5 11,865 1
Total Warrants    
(Cost $21,703)   379
CLOSED-END MUTUAL FUNDS– 0.7%    
Nuveen Taxable Municipal Income Fund 180,162 2,700,629
Total Closed-End Mutual Funds    
(Cost $3,847,812)   2,700,629
MONEY MARKET FUNDS– 0.9%    
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.19%6 3,471,866 3,471,866
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 5.19%6 13,849 13,849
Total Money Market Funds    
(Cost $3,485,715)   3,485,715
  Face  
  Amount~  
MUNICIPAL BONDS†† – 68.3%    
California – 10.9%    
Santa Ana Unified School District, California, General Obligation Bonds,    
Federal Taxable Build America Bonds13    
7.10% due 08/01/40 7,785,000 8,943,870
6.80% due 08/01/30 2,245,000 2,446,952
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 10,059,735
California Statewide Communities Development Authority Revenue Bonds    
7.14% due 08/15/477 3,450,000 3,659,204
California Public Finance Authority Revenue Bonds    
3.27% due 10/15/43 4,800,000 3,353,373

 

See notes to financial statements.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 17

 
 
   
SCHEDULE OF INVESTMENTS continued May 31, 2024

 

     
  Face  
  Amount~ Value
MUNICIPAL BONDS†† – 68.3% (continued)    
California – 10.9% (continued)    
Oakland Unified School District/Alameda County General Obligation Unlimited    
3.12% due 08/01/407 2,450,000 $ 1,886,555
Marin Community College District General Obligation Unlimited    
4.03% due 08/01/387 2,000,000 1,774,118
Moreno Valley Unified School District General Obligation Unlimited    
3.82% due 08/01/44 2,000,000 1,618,329
Hillsborough City School District General Obligation Unlimited    
due 09/01/388 1,600,000 731,250
due 09/01/378 1,120,000 543,499
due 09/01/408 500,000 201,944
San Jose Evergreen Community College District General Obligation Unlimited    
3.06% due 09/01/457 1,500,000 1,082,902
Manteca Redevelopment Agency Successor Agency Tax Allocation    
3.21% due 10/01/42 1,400,000 1,042,687
Placentia-Yorba Linda Unified School District (Orange County, California),    
General Obligation Bonds, Federally Taxable Direct-Pay Qualified School    
Construction Bonds, Election of 2008    
5.40% due 02/01/26 1,000,000 1,005,433
Monrovia Unified School District, Los Angeles County, California, Election of 2006    
General Obligation Bonds, Build America Bonds, Federally Taxable13    
7.25% due 08/01/28 805,000 838,311
Norman Y Mineta San Jose International Airport SJC Revenue Bonds    
2.91% due 03/01/35 500,000 403,433
3.27% due 03/01/40 250,000 191,029
3.29% due 03/01/41 70,000 52,708
Alhambra Unified School District General Obligation Unlimited    
6.70% due 02/01/26 500,000 507,650
California State University Revenue Bonds    
3.90% due 11/01/47 500,000 408,687
Cypress School District General Obligation Unlimited    
6.65% due 08/01/25 350,000 352,805
Fremont Unified School District/Alameda County California General Obligation Unlimited    
2.75% due 08/01/41 400,000 286,989
Riverside County Redevelopment Successor Agency Tax Allocation    
3.88% due 10/01/37 250,000 216,306
Coast Community College District General Obligation Unlimited    
2.98% due 08/01/39 250,000 190,655
Total California   41,798,424
Texas – 10.8%    
Dallas, Texas, Convention Center Hotel Development Corporation,    
Hotel Revenue Bonds, Taxable Build America Bonds13    
7.09% due 01/01/42 10,020,000 11,167,166
Harris County Cultural Education Facilities Finance Corp. Revenue Bonds    
3.34% due 11/15/377 8,900,000 7,254,992

 

See notes to financial statements.

 

18 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 

   
SCHEDULE OF INVESTMENTS continued May 31, 2024

 

     
  Face  
  Amount~ Value
MUNICIPAL BONDS†† – 68.3% (continued)    
Texas – 10.8% (continued)    
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds    
3.42% due 09/01/507 8,000,000 $ 5,520,534
Central Texas Regional Mobility Authority Revenue Bonds    
3.29% due 01/01/427 5,250,000 4,036,749
3.27% due 01/01/457 1,150,000 818,644
City of San Antonio Texas Electric & Gas Systems Revenue Bonds    
2.91% due 02/01/48 6,800,000 4,843,188
Dallas/Fort Worth International Airport Revenue Bonds    
2.92% due 11/01/507 6,500,000 4,552,422
City of Garland Texas Electric Utility System Revenue Bonds    
3.15% due 03/01/51 2,400,000 1,649,802
City of Austin Texas Rental Car Special Facility Revenue Bonds    
2.86% due 11/15/42 2,200,000 1,561,560
Total Texas   41,405,057
Washington – 6.0%    
Central Washington University Revenue Bonds    
6.95% due 05/01/407 5,000,000 5,487,239
Central Washington University, System Revenue Bonds, 2010, Taxable Build America Bonds13    
6.50% due 05/01/307 5,000,000 5,213,308
Washington State Convention Center Public Facilities District, Lodging Tax Bonds,    
Taxable Build America Bonds13    
6.79% due 07/01/40 4,600,000 4,916,218
Washington State University, Housing and Dining System Revenue Bonds,    
Taxable Build America Bonds13    
7.10% due 04/01/32 3,325,000 3,560,558
County of Pierce Washington Sewer Revenue Bonds    
2.87% due 08/01/42 4,300,000 3,154,703
King County Public Hospital District No. 2 General Obligation Limited    
3.11% due 12/01/447 1,100,000 773,634
Total Washington   23,105,660
Pennsylvania – 4.8%    
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 10,775,964
Pittsburgh, Pennsylvania, School District, Taxable Qualified School Construction Bonds    
6.85% due 09/01/297 6,895,000 7,483,292
Doylestown Hospital Authority Revenue Bonds    
3.95% due 07/01/24 175,000 174,637
Total Pennsylvania   18,433,893

 

See notes to financial statements.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 19

 
 

   
SCHEDULE OF INVESTMENTS continued May 31, 2024

 

     
  Face  
  Amount~ Value
MUNICIPAL BONDS†† – 68.3% (continued)    
Illinois – 4.5%    
Chicago, Illinois, Second Lien Wastewater Transmission Revenue Project Bonds,    
Taxable Build America Bonds13    
6.90% due 01/01/40 5,100,000 $ 5,571,087
Illinois, General Obligation Bonds, Taxable Build America Bonds13    
7.35% due 07/01/35 4,285,714 4,596,079
Chicago, Illinois, Second Lien Water Revenue Bonds, Taxable Build America Bonds13    
6.74% due 11/01/407 2,990,000 3,255,914
Illinois Housing Development Authority Revenue Bonds    
6.10% due 10/01/49 2,000,000 2,000,400
6.05% due 10/01/44 750,000 751,842
State of Illinois General Obligation Unlimited    
6.63% due 02/01/35 786,923 819,626
6.73% due 04/01/35 169,231 177,105
Chicago Board of Education General Obligation Unlimited    
6.14% due 12/01/39 195,000 186,661
Total Illinois   17,358,714
New York – 4.0%    
Westchester County Health Care Corporation, Revenue Bonds, Taxable Build America Bonds13    
8.57% due 11/01/40 10,010,000 9,952,337
Port Authority of New York & New Jersey Revenue Bonds    
3.14% due 02/15/517 5,000,000 3,625,786
New York City Industrial Development Agency Revenue Bonds    
2.73% due 03/01/347 2,250,000 1,805,022
Total New York   15,383,145
Ohio – 3.7%    
County of Franklin Ohio Revenue Bonds    
2.88% due 11/01/50 8,900,000 5,769,882
American Municipal Power, Inc., Combined Hydroelectric Projects Revenue Bonds,    
New Clean Renewable Energy Bonds    
7.33% due 02/15/287 5,000,000 5,203,929
Madison Local School District, Richland County, Ohio, School Improvement,    
Taxable Qualified School Construction Bonds    
6.65% due 12/01/29 2,500,000 2,503,035
Toronto City School District, Ohio, Qualified School Construction Bonds    
General Obligation Bonds    
7.00% due 12/01/28 670,000 670,920
Total Ohio   14,147,766
Oklahoma – 3.4%    
Oklahoma Development Finance Authority Revenue Bonds    
5.45% due 08/15/28 10,950,000 10,296,069
Tulsa Airports Improvement Trust Revenue Bonds    
3.10% due 06/01/45 3,700,000 2,567,894

 

See notes to financial statements.

 

20 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 
   
SCHEDULE OF INVESTMENTS continued May 31, 2024

 

     
  Face  
  Amount~ Value
MUNICIPAL BONDS†† – 68.3% (continued)    
Oklahoma – 3.4% (continued)    
Oklahoma State University Revenue Bonds    
4.13% due 08/01/48 150,000 $ 123,426
Total Oklahoma   12,987,389
West Virginia – 3.1%    
State of West Virginia, Higher Education Policy Commission, Revenue Bonds,    
Federally Taxable Build America Bonds 201013    
7.65% due 04/01/407 10,000,000 11,801,310
Indiana – 3.0%    
Evansville-Vanderburgh School Building Corp. Revenue Bonds    
6.50% due 01/15/307 8,690,000 8,840,686
County of Knox Indiana Revenue Bonds    
5.90% due 04/01/34 2,920,000 2,796,922
Total Indiana   11,637,608
Michigan – 2.0%    
Detroit City School District General Obligation Unlimited    
7.75% due 05/01/39 2,440,000 2,801,844
Detroit, Michigan, School District, School Building and Site Bonds, Unlimited Tax    
General Obligation Bonds, Taxable Qualified School Construction Bonds    
6.65% due 05/01/297 2,640,000 2,785,542
Fraser Public School District, Macomb County, Michigan, General Obligation    
Federally Taxable School Construction Bonds, 2011 School Building and Site Bonds    
6.05% due 05/01/26 1,010,000 1,010,567
Oakridge, Michigan, Public Schools, Unlimited Tax General Obligation Bonds    
6.75% due 05/01/26 675,000 675,730
Comstock Park Public Schools General Obligation Unlimited    
6.30% due 05/01/26 415,000 415,312
Total Michigan   7,688,995
Colorado – 1.6%    
Colorado Housing and Finance Authority Revenue Bonds    
5.60% due 11/01/43 1,700,000 1,658,157
5.50% due 11/01/39 1,250,000 1,218,038
Colorado, Building Excellent Schools Today, Certificates of Participation,    
Taxable Qualified School Construction    
6.82% due 03/15/28 2,500,000 2,648,859
University of Colorado Revenue Bonds    
2.81% due 06/01/487 920,000 619,892
Total Colorado   6,144,946
South Carolina – 1.5%    
County of Horry South Carolina Airport Revenue Bonds,Build America Bonds13    
7.33% due 07/01/40 7 5,000,000 5,807,757

 

See notes to financial statements.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 21

 
 
   
SCHEDULE OF INVESTMENTS continued May 31, 2024

 

     
  Face  
  Amount~ Value
MUNICIPAL BONDS†† – 68.3% (continued)    
New Jersey – 1.2%    
New Jersey Educational Facilities Authority Revenue Bonds    
3.51% due 07/01/427 3,500,000 $ 2,672,755
New Jersey Turnpike Authority Revenue Bonds    
2.78% due 01/01/407 2,500,000 1,839,964
Total New Jersey   4,512,719
Massachusetts – 1.1%    
Massachusetts Port Authority Revenue Bonds    
2.72% due 07/01/42 3,400,000 2,447,167
2.87% due 07/01/51 750,000 487,778
Massachusetts Development Finance Agency Revenue Bonds    
3.52% due 10/01/46 2,250,000 1,531,490
Total Massachusetts   4,466,435
Alabama – 1.1%    
Auburn University Revenue Bonds    
2.68% due 06/01/507 6,500,000 4,284,956
Mississippi – 0.9%    
Medical Center Educational Building Corp. Revenue Bonds    
2.92% due 06/01/41 4,500,000 3,382,233
New Hampshire – 0.9%    
New Hampshire Business Finance Authority Revenue Bonds    
3.27% due 05/01/517 4,800,000 3,254,122
Virginia – 0.7%    
Virginia Housing Development Authority Revenue Bonds    
5.57% due 10/01/49 1,700,000 1,633,814
5.95% due 10/01/54 1,000,000 991,407
Total Virginia   2,625,221
Maryland – 0.7%    
Maryland Department of Housing & Community Development Revenue Bonds    
6.04% due 09/01/49 2,500,000 2,489,097
Louisiana – 0.5%    
State of Louisiana Gasoline & Fuels Tax Revenue Bonds    
3.05% due 05/01/387 2,500,000 1,993,829
Idaho – 0.5%    
Idaho Housing & Finance Association Revenue Bonds    
5.55% due 07/01/49 2,000,000 1,918,182
District of Columbia – 0.4%    
District of Columbia Revenue Bonds    
6.73% due 09/01/473 1,200,000 1,298,003
Washington Convention & Sports Authority Revenue Bonds    
4.31% due 10/01/40 100,000 89,262
Total District of Columbia   1,387,265

 

See notes to financial statements.

 

22 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 

   
SCHEDULE OF INVESTMENTS continued May 31, 2024

 

     
  Face  
  Amount~ Value
MUNICIPAL BONDS†† – 68.3% (continued)    
Tennessee – 0.3%    
Tennessee Housing Development Agency Revenue Bonds    
5.98% due 07/01/54 500,000 $ 491,102
5.97% due 07/01/54 500,000 490,637
Total Tennessee   981,739
Connecticut – 0.2%    
Connecticut Housing Finance Authority Revenue Bonds    
6.09% due 11/15/49 800,000 804,114
Kentucky – 0.1%    
Kentucky Housing Corp. Revenue Bonds    
5.90% due 01/01/55 500,000 496,349
Iowa – 0.1%    
Iowa Finance Authority Revenue Bonds    
5.92% due 07/01/49 500,000 493,840
Nevada – 0.1%    
Nevada Housing Division Revenue Bonds    
5.84% due 10/01/49 250,000 245,693
Minnesota – 0.1%    
City of State Paul Minnesota Sales & Use Tax Revenue Tax Allocation    
3.89% due 11/01/35 250,000 219,299
Arkansas – 0.1%    
University of Arkansas Revenue Bonds    
3.10% due 12/01/41 250,000 192,959
Total Municipal Bonds    
(Cost $285,979,856)   261,448,716
CORPORATE BONDS†† – 33.9%    
Financial – 14.3%    
Central Storage Safety Project Trust    
4.82% due 02/01/381 6,711,712 5,824,503
Wilton RE Ltd.    
6.00%3,4,9 3,800,000 3,420,115
Blue Owl Finance LLC    
4.38% due 02/15/323,7 2,150,000 1,915,160
Intact Financial Corp.    
5.46% due 09/22/323,7 1,900,000 1,880,651
Ares Finance Company IV LLC    
3.65% due 02/01/523,7 2,650,000 1,822,895
Accident Fund Insurance Company of America    
8.50% due 08/01/323,7 1,750,000 1,706,186
Pershing Square Holdings Ltd.    
3.25% due 10/01/31 2,100,000 1,678,400

 

See notes to financial statements.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 23

 
 
   
SCHEDULE OF INVESTMENTS continued May 31, 2024

 

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 33.9% (continued)    
Financial – 14.3% (continued)    
Maple Grove Funding Trust I    
4.16% due 08/15/513,7 2,500,000 $ 1,674,660
Liberty Mutual Group, Inc.    
4.30% due 02/01/613 2,700,000 1,622,613
Global Atlantic Finance Co.    
4.70% due 10/15/513,4,7 1,450,000 1,311,700
6.75% due 03/15/543 260,000 259,726
Jefferies Finance LLC / JFIN Company-Issuer Corp.    
5.00% due 08/15/283,7 1,500,000 1,378,979
National Life Insurance Co.    
10.50% due 09/15/393 900,000 1,127,774
Stewart Information Services Corp.    
3.60% due 11/15/31 1,350,000 1,120,752
Prudential Financial, Inc.    
5.13% due 03/01/524 1,200,000 1,114,501
United Wholesale Mortgage LLC    
5.50% due 11/15/253 1,100,000 1,090,060
FS KKR Capital Corp.    
3.25% due 07/15/27 1,150,000 1,043,506
Jefferies Financial Group, Inc.    
6.20% due 04/14/34 1,000,000 1,003,846
Nuveen LLC    
5.85% due 04/15/343 1,000,000 1,002,528
Macquarie Bank Ltd.    
3.05% due 03/03/363,4 1,200,000 996,291
Encore Capital Group, Inc.    
9.25% due 04/01/293 500,000 520,347
8.50% due 05/15/303 450,000 450,474
Jane Street Group / JSG Finance, Inc.    
7.13% due 04/30/313 950,000 967,180
JPMorgan Chase & Co.    
5.72% due 09/14/334,7 950,000 960,840
Swiss Re Finance Luxembourg S.A.    
5.00% due 04/02/493,4 1,000,000 960,360
Horace Mann Educators Corp.    
7.25% due 09/15/28 900,000 948,562
Nippon Life Insurance Co.    
5.95% due 04/16/543,4 950,000 945,205
AmFam Holdings, Inc.    
3.83% due 03/11/513,7 1,600,000 942,706
Kennedy-Wilson, Inc.    
5.00% due 03/01/31 1,150,000 914,885
UBS AG NY    
7.95% due 01/09/257 900,000 911,375

 

See notes to financial statements.

 

24 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 

   
SCHEDULE OF INVESTMENTS continued May 31, 2024
     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 33.9% (continued)    
Financial – 14.3% (continued)    
Safehold GL Holdings LLC    
6.10% due 04/01/34 900,000 $ 892,068
NatWest Group plc    
7.47% due 11/10/264,7 850,000 870,524
Corebridge Financial, Inc.    
6.88% due 12/15/524 840,000 845,266
LPL Holdings, Inc.    
4.38% due 05/15/313 650,000 592,174
6.00% due 05/20/34 220,000 220,721
Lincoln National Corp.    
5.85% due 03/15/34 800,000 795,777
Toronto-Dominion Bank    
8.13% due 10/31/824 750,000 777,329
Blue Owl Capital GP LLC    
7.21% due 08/22/43††† 750,000 761,682
Keenan Fort Detrick Energy LLC    
4.17% due 11/15/483 1,000,000 759,336
Standard Chartered plc    
7.78% due 11/16/253,4,7 750,000 756,430
CNO Financial Group, Inc.    
6.45% due 06/15/34 750,000 752,132
Lazard Group LLC    
6.00% due 03/15/31 660,000 665,986
QBE Insurance Group Ltd.    
5.88% 3,4,9 650,000 641,261
Bank of Nova Scotia    
8.63% due 10/27/824 550,000 574,193
Nationstar Mortgage Holdings, Inc.    
5.00% due 02/01/263 560,000 549,446
HUB International Ltd.    
5.63% due 12/01/293 550,000 510,287
Belvoir Land LLC    
5.60% due 12/15/353 500,000 468,224
Dyal Capital Partners III (B) LP    
6.55% due 06/15/44††† 440,000 428,547
MidCap Funding XLVI Trust    
8.82% (1 Month Term SOFR + 3.50%, Rate Floor: 0.00%) due 04/15/27◊,††† 400,000 400,000
OneMain Finance Corp.    
9.00% due 01/15/29 350,000 367,398
Iron Mountain Information Management Services, Inc.    
5.00% due 07/15/323 300,000 270,385
Australia & New Zealand Banking Group Ltd.    
2.57% due 11/25/353,4 200,000 163,390
Total Financial   54,579,336

 

See notes to financial statements.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 25

 
 

   
SCHEDULE OF INVESTMENTS continued May 31, 2024

 

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 33.9% (continued)    
Consumer, Non-cyclical – 4.6%    
Beth Israel Lahey Health, Inc.    
3.08% due 07/01/517 2,500,000 $ 1,575,118
Tufts Medical Center, Inc.    
7.00% due 01/01/38 1,500,000 1,520,775
Post Holdings, Inc.    
4.50% due 09/15/313 1,300,000 1,150,677
Universal Health Services, Inc.    
2.65% due 01/15/327 1,300,000 1,056,671
JBS USA Holding Lux SARL/ JBS USA Food Company/ JBS Lux Co SARL    
5.75% due 04/01/33 1,050,000 1,034,764
Reynolds American, Inc.    
5.70% due 08/15/35 1,050,000 1,029,734
GXO Logistics, Inc.    
6.50% due 05/06/34 1,000,000 1,017,064
Altria Group, Inc.    
3.70% due 02/04/517 1,500,000 1,011,263
HCA, Inc.    
4.63% due 03/15/52 1,200,000 967,296
Amgen, Inc.    
4.40% due 02/22/62 1,200,000 952,285
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.    
4.38% due 02/02/52 1,200,000 888,800
Sotheby’s    
7.38% due 10/15/273 1,000,000 870,447
BCP V Modular Services Finance II plc    
6.13% due 10/30/283 GBP 750,000 867,447
BAT Capital Corp.    
7.08% due 08/02/43 800,000 854,748
AZ Battery Property LLC    
6.73% due 02/20/46††† 680,000 668,803
Baylor College of Medicine    
5.26% due 11/15/46 600,000 561,552
Triton Container International Ltd.    
3.15% due 06/15/313 650,000 537,379
Medline Borrower, LP    
5.25% due 10/01/293 450,000 424,204
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.    
7.00% due 12/31/273 260,000 255,451
Upbound Group, Inc.    
6.38% due 02/15/293 250,000 241,068
OhioHealth Corp.    
2.83% due 11/15/41 300,000 216,497
Total Consumer, Non-cyclical   17,702,043

 

See notes to financial statements.

 

26 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 
   
SCHEDULE OF INVESTMENTS continued May 31, 2024

 

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 33.9% (continued)    
Consumer, Cyclical – 4.0%    
Delta Air Lines, Inc.    
7.00% due 05/01/253,7 4,019,000 $ 4,056,435
United Airlines, Inc.    
4.63% due 04/15/293,7 2,200,000 2,033,463
Warnermedia Holdings, Inc.    
5.14% due 03/15/52 1,150,000 907,820
6.41% due 03/15/26 900,000 899,962
Hyatt Hotels Corp.    
5.75% due 04/23/30 1,100,000 1,118,218
Flutter Treasury Designated Activity Co.    
6.38% due 04/29/293 1,000,000 1,005,109
LKQ Corp.    
6.25% due 06/15/33 950,000 976,209
Air Canada    
4.63% due 08/15/293 CAD 1,050,000 737,585
PetSmart, Inc. / PetSmart Finance Corp.    
4.75% due 02/15/283 600,000 557,222
Evergreen Acqco 1 Limited Partnership / TVI, Inc.    
9.75% due 04/26/283 485,000 514,293
Polaris, Inc.    
6.95% due 03/15/29 450,000 472,038
Wabash National Corp.    
4.50% due 10/15/283 500,000 451,248
Hanesbrands, Inc.    
9.00% due 02/15/313 400,000 408,348
Hasbro, Inc.    
6.05% due 05/14/34 350,000 348,764
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.    
5.00% due 06/01/313 300,000 269,227
Superior Plus Limited Partnership / Superior General Partner, Inc.    
4.50% due 03/15/293 250,000 227,436
Station Casinos LLC    
4.63% due 12/01/313 200,000 175,148
Total Consumer, Cyclical   15,158,525
Industrial – 2.9%    
IP Lending V Ltd.    
5.13% due 04/02/26†††,3 1,200,000 1,149,720
IP Lending X Ltd.    
7.75% due 07/02/29†††,3 1,125,000 1,138,500
Fortune Brands Innovations, Inc.    
4.50% due 03/25/52 1,300,000 1,028,168
Cellnex Finance Company S.A.    
3.88% due 07/07/413 1,250,000 970,159

 

See notes to financial statements.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 27

 
 
   
SCHEDULE OF INVESTMENTS continued May 31, 2024

 

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 33.9% (continued)    
Industrial – 2.9% (continued)    
LBJ Infrastructure Group LLC    
3.80% due 12/31/573 1,500,000 $ 960,167
TD SYNNEX Corp.    
6.10% due 04/12/34 850,000 856,716
Dyal Capital Partners IV    
3.65% due 02/22/41††† 1,000,000 835,921
Boeing Co.    
6.86% due 05/01/543 450,000 456,400
6.53% due 05/01/343 350,000 354,872
GrafTech Global Enterprises, Inc.    
9.88% due 12/15/283,7 1,000,000 754,806
Deuce FinCo plc    
5.50% due 06/15/273 GBP 500,000 603,170
Summit Materials LLC / Summit Materials Finance Corp.    
6.50% due 03/15/273 600,000 597,261
New Enterprise Stone & Lime Company, Inc.    
9.75% due 07/15/283 575,000 588,669
Dyal Capital Partners III (A) LP    
6.55% due 06/15/44††† 560,000 545,423
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc    
4.00% due 09/01/293 400,000 330,231
Total Industrial   11,170,183
Energy – 2.6%    
Occidental Petroleum Corp.    
7.00% due 11/15/27 2,000,000 2,024,828
Valero Energy Corp.    
4.00% due 06/01/527 2,450,000 1,802,924
ITT Holdings LLC    
6.50% due 08/01/293 1,250,000 1,144,133
NuStar Logistics, LP    
6.38% due 10/01/30 1,000,000 996,968
Targa Resources Partners Limited Partnership / Targa Resources Partners Finance Corp.    
4.88% due 02/01/31 1,000,000 949,701
Venture Global LNG, Inc.    
9.88% due 02/01/323 750,000 804,221
Global Partners Limited Partnership / GLP Finance Corp.    
8.25% due 01/15/323 450,000 462,975
Kinder Morgan, Inc.    
5.20% due 06/01/33 400,000 386,121
Parkland Corp.    
4.63% due 05/01/303 300,000 272,675
Buckeye Partners, LP    
4.35% due 10/15/24 250,000 248,286

 

See notes to financial statements.

 

28 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 

   
SCHEDULE OF INVESTMENTS continued May 31, 2024

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 33.9% (continued)    
Energy – 2.6% (continued)    
Greensaif Pipelines Bidco SARL    
6.51% due 02/23/423 200,000 $ 207,071
Viper Energy, Inc.    
7.38% due 11/01/313 200,000 206,581
Venture Global Calcasieu Pass LLC    
6.25% due 01/15/303 200,000 200,481
CVR Energy, Inc.    
5.75% due 02/15/283 125,000 115,366
Total Energy   9,822,331
Communications – 2.5%    
British Telecommunications plc    
4.88% due 11/23/813,4,7 1,700,000 1,524,858
McGraw-Hill Education, Inc.    
8.00% due 08/01/293 850,000 792,438
5.75% due 08/01/283 300,000 279,910
Rogers Communications, Inc.    
4.50% due 03/15/42 1,150,000 971,663
LCPR Senior Secured Financing DAC    
5.13% due 07/15/293 1,150,000 965,384
Charter Communications Operating LLC / Charter Communications Operating Capital    
5.25% due 04/01/53 1,200,000 946,265
Corning, Inc.    
4.38% due 11/15/577 1,200,000 935,174
Altice France S.A.    
5.50% due 10/15/293 900,000 603,787
5.13% due 07/15/293 350,000 234,730
Vodafone Group plc    
5.13% due 06/04/814 1,100,000 808,934
Sunrise FinCo I BV    
4.88% due 07/15/313 700,000 624,820
Level 3 Financing, Inc.    
11.00% due 11/15/293 347,400 356,145
CSC Holdings LLC    
11.25% due 05/15/283 250,000 201,720
Telenet Finance Luxembourg Notes SARL    
5.50% due 03/01/28 200,000 188,728
Total Communications   9,434,556
Utilities – 1.2%    
Brooklyn Union Gas Co.    
6.39% due 09/15/333,7 2,000,000 2,038,466
Alexander Funding Trust II    
7.47% due 07/31/283,7 900,000 945,524
Ohio Edison Co.    
5.50% due 01/15/333,7 950,000 938,706

 

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 29

 
 

   
SCHEDULE OF INVESTMENTS continued May 31, 2024

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 33.9% (continued)    
Utilities – 1.2% (continued)    
NRG Energy, Inc.    
7.00% due 03/15/333 450,000 $ 475,553
Black Hills Corp.    
5.95% due 03/15/28 200,000 203,957
Total Utilities   4,602,206
Technology – 1.0%    
Broadcom, Inc.    
3.19% due 11/15/363 1,300,000 1,020,353
Foundry JV Holdco LLC    
6.40% due 01/25/383 550,000 564,374
5.88% due 01/25/343 400,000 397,929
Oracle Corp.    
3.95% due 03/25/51 1,100,000 810,356
CDW LLC / CDW Finance Corp.    
3.57% due 12/01/31 800,000 690,884
Dye & Durham Ltd.    
8.63% due 04/15/293 310,000 313,871
Central Parent LLC / CDK Global II LLC / CDK Financing Company, Inc.    
8.00% due 06/15/293 200,000 205,330
Total Technology   4,003,097
Basic Materials – 0.8%    
Alcoa Nederland Holding BV    
4.13% due 03/31/293 1,100,000 1,012,448
ArcelorMittal S.A.    
6.55% due 11/29/27 900,000 929,900
SK Invictus Intermediate II SARL    
5.00% due 10/30/293 700,000 621,206
SCIL IV LLC / SCIL USA Holdings LLC    
5.38% due 11/01/263 600,000 576,855
Mirabela Nickel Ltd.    
due 06/24/19†††,1,15 96,316 482
Total Basic Materials   3,140,891
Total Corporate Bonds    
(Cost $142,512,771)   129,613,168
ASSET-BACKED SECURITIES†† – 14.0%    
Collateralized Loan Obligations – 4.0%    
ABPCI Direct Lending Fund IX LLC    
2021-9A BR, 8.09% (3 Month Term SOFR + 2.76%, Rate Floor: 2.50%)    
due 11/18/31◊,3 2,500,000 2,442,490

 

 

30 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 

   
SCHEDULE OF INVESTMENTS continued May 31, 2024

 

     
  Face  
  Amount~ Value
ASSET-BACKED SECURITIES†† – 14.0% (continued)    
Collateralized Loan Obligations – 4.0% (continued)    
Cerberus Loan Funding XLIV LLC    
2024-5A C, 9.30% (3 Month Term SOFR + 4.20%, Rate Floor: 4.20%)    
due 01/15/36◊,3 1,400,000 $ 1,407,668
Cerberus Loan Funding XLII LLC    
2023-3A C, 9.48% (3 Month Term SOFR + 4.15%, Rate Floor: 4.15%)    
due 09/13/35◊,3 1,250,000 1,251,426
Cerberus Loan Funding XLVII LLC    
2024-3A C, due 07/15/36◊,3 1,200,000 1,200,860
Owl Rock CLO I LLC    
2024-1A C, 9.58% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%)    
due 02/20/36◊,3 1,050,000 1,053,830
Cerberus Loan Funding XLV LLC    
2024-1A C, 8.47% (3 Month Term SOFR + 3.15%, Rate Floor: 3.15%)    
due 04/15/36◊,3 1,000,000 1,003,242
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◊,3 1,000,000 1,001,951
Cerberus Loan Funding XLVI, LP    
2024-2A C, 8.36% (3 Month Term SOFR + 3.05%, Rate Floor: 3.05%)    
due 07/15/36◊,3 950,000 949,898
GoldentTree Loan Management US CLO 1 Ltd.    
2024-9A DR, 8.68% (3 Month Term SOFR + 3.35%, Rate Floor: 3.35%)    
due 04/20/37◊,3 800,000 808,184
Carlyle Direct Lending CLO LLC    
2024-1A BR, due 07/15/36◊,3 800,000 800,000
Cerberus Loan Funding XL LLC    
2023-1A C, 9.73% (3 Month Term SOFR + 4.40%, Rate Floor: 4.40%)    
due 03/22/35◊,3 750,000 754,552
KREF Ltd.    
2021-FL2 AS, 6.74% (1 Month Term SOFR + 1.41%, Rate Floor: 1.30%)    
due 02/15/39◊,3 650,000 626,396
Owl Rock CLO XVI    
2024-16A C, 8.62% (3 Month Term SOFR + 3.30%, Rate Floor: 3.30%)    
due 04/20/36◊,3 600,000 604,705
Golub Capital Partners CLO 46M Ltd.    
2024-46A CR, 8.37% (3 Month Term SOFR + 3.05%, Rate Floor: 3.05%)    
due 04/20/37◊,3 500,000 499,959
Madison Park Funding LVIII Ltd.    
2024-58A D, 8.97% (3 Month Term SOFR + 3.65%, Rate Floor: 3.65%)    
due 04/25/37◊,3 400,000 414,285
Ares Direct Lending CLO 1 LLC    
2024-1A B, 7.59% (3 Month Term SOFR + 2.20%, Rate Floor: 2.20%)    
due 04/25/36◊,3 250,000 249,989
WhiteHorse X Ltd.    
2015-10A E, 10.88% (3 Month Term SOFR + 5.56%, Rate Floor: 5.30%)    
due 04/17/27◊,3 173,697 173,676

 

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 31

 
 

   
SCHEDULE OF INVESTMENTS continued May 31, 2024

     
  Face  
  Amount~ Value
ASSET-BACKED SECURITIES†† – 14.0% (continued)    
Collateralized Loan Obligations – 4.0% (continued)    
BNPP IP CLO Ltd.    
2014-2A E, 10.84% (3 Month Term SOFR + 5.51%, Rate Floor: 0.00%)    
due 10/30/25◊,3 289,757 $ 101,160
WhiteHorse VIII Ltd.    
2014-1A E, 10.14% (3 Month Term SOFR + 4.81%, Rate Floor: 0.00%)    
due 05/01/26◊,3 69,076 53,235
Total Collateralized Loan Obligations   15,397,506
Financial – 4.0%    
Thunderbird A    
5.50% due 03/01/37††† 4,550,000 4,138,040
Lightning A    
5.50% due 03/01/37††† 4,550,000 4,138,040
HV Eight LLC    
7.48% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 12/31/27◊,††† EUR 1,502,255 1,612,319
KKR Core Holding Company LLC    
4.00% due 08/12/31††† 1,513,633 1,340,223
Project Onyx I    
8.45% (3 Month Term SOFR + 3.15%, Rate Floor: 3.15%) due 01/26/27◊,††† 1,236,394 1,234,885
Endo Luxembourg Finance Co I SARL / Endo US, Inc.    
due 12/15/4114 1,000,000 1,000,390
Ceamer Finance LLC    
6.92% due 11/15/37††† 893,504 860,328
LVNV Funding LLC    
7.80% due 11/05/28††† 650,000 659,251
Project Onyx II    
8.45% (3 Month Term SOFR + 3.15%, Rate Floor: 3.15%) due 01/26/27◊,††† 373,410 371,221
Total Financial   15,354,697
Infrastructure – 2.0%    
VB-S1 Issuer LLC – VBTEL    
2022-1A, 4.29% due 02/15/523 5,000,000 4,630,573
Hotwire Funding LLC    
2023-1A, 8.84% due 05/20/533 1,900,000 1,876,222
2024-1A, 6.67% due 06/20/543 100,000 100,477
Aligned Data Centers Issuer LLC    
2021-1A, 1.94% due 08/15/463 1,000,000 915,180
Switch ABS Issuer LLC    
2024-1A, 6.28% due 03/25/543 150,000 149,171
Total Infrastructure   7,671,623
Transport-Aircraft – 1.7%    
GAIA Aviation Ltd.    
2019-1, 3.97% due 12/15/443,10 2,286,316 2,080,650
Navigator Aircraft ABS Ltd.    
2021-1, 2.77% due 11/15/463 1,030,506 920,032

 

 

32 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 
   
SCHEDULE OF INVESTMENTS continued May 31, 2024

     
  Face  
  Amount~ Value
ASSET-BACKED SECURITIES†† – 14.0% (continued)    
Transport-Aircraft – 1.7% (continued)    
JOL Air Ltd.    
2019-1, 3.97% due 04/15/443 815,973 $ 758,880
Sprite Ltd.    
2021-1, 3.75% due 11/15/463 795,856 743,544
Start Ltd.    
2018-1, 4.09% due 05/15/433 781,156 734,798
Labrador Aviation Finance Ltd.    
2016-1A, 4.30% due 01/15/423 538,364 492,764
AASET Trust    
2021-2A, 2.80% due 01/15/473 393,381 347,104
Castlelake Aircraft Structured Trust    
2021-1A, 6.66% due 01/15/463 273,234 254,381
Total Transport-Aircraft   6,332,153
Whole Business – 1.0%    
Applebee’s Funding LLC / IHOP Funding LLC    
2019-1A, 4.72% due 06/05/493 990,000 950,536
Subway Funding LLC    
2024-1A, due 07/30/543,14 950,000 950,000
SERVPRO Master Issuer LLC    
2019-1A, 3.88% due 10/25/493 955,000 902,576
2021-1A, 2.39% due 04/25/513 48,500 42,355
Sonic Capital LLC    
2021-1A, 2.64% due 08/20/513 1,168,000 930,654
Total Whole Business   3,776,121
Net Lease – 0.6%    
CARS-DB7, LP    
2023-1A, 6.50% due 09/15/533 991,667 981,754
SVC ABS LLC    
2023-1A, 5.55% due 02/20/533 996,875 931,454
CARS-DB4, LP    
2020-1A, 4.95% due 02/15/503 500,000 425,893
Total Net Lease   2,339,101
Single Family Residence – 0.5%    
FirstKey Homes Trust    
2022-SFR3, 4.50% due 07/17/383 1,000,000 967,648
2020-SFR2, 4.50% due 10/19/373 400,000 381,190
2020-SFR2, 4.00% due 10/19/373 400,000 380,349
2020-SFR2, 3.37% due 10/19/373 250,000 236,415
Total Single Family Residence   1,965,602
Insurance – 0.1%    
CHEST    
7.13% due 03/15/43††† 475,000 478,627

 

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 33

 
 

   
SCHEDULE OF INVESTMENTS continued May 31, 2024

     
  Face  
  Amount~ Value
ASSET-BACKED SECURITIES†† – 14.0% (continued)    
Unsecured Consumer Loans – 0.1%    
Service Experts Issuer LLC    
2024-1A, 6.39% due 11/20/353 350,000 $ 349,610
Total Asset-Backed Securities    
(Cost $54,918,236)   53,665,040
SENIOR FLOATING RATE INTERESTS††,◊ – 9.3%    
Consumer, Cyclical – 2.3%    
FR Refuel LLC    
10.19% (1 Month Term SOFR + 4.75%, Rate Floor: 5.50%) due 11/08/28 1,279,036 1,260,656
Zephyr Bidco Ltd.    
10.70% (1 Month GBP SONIA + 5.50%, Rate Floor: 5.50%) due 07/31/28 GBP 900,000 1,151,912
First Brands Group LLC    
10.59% (3 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27 1,115,500 1,102,549
Alexander Mann    
11.41% (1 Month SOFR + 6.00%, Rate Floor: 6.00%) due 06/29/27 995,000 966,394
MB2 Dental Solutions, LLC    
11.32% (1 Month Term SOFR + 6.00%, Rate Floor: 6.75%) due 01/29/31††† 875,152 873,370
Pacific Bells LLC    
10.06% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28 748,382 748,150
Crash Champions Inc.    
10.08% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 02/06/29 710,000 713,770
Accuride Corp.    
12.20% (1 Month Term SOFR + 1.00%, Rate Floor: 2.00%)    
(in-kind rate was 5.87%) due 05/18/2611 709,487 547,490
The Facilities Group    
11.19% (3 Month Term SOFR + 5.75%, Rate Floor: 6.75%) due 11/30/27††† 493,943 485,033
NFM & J LLC    
11.18% (3 Month Term SOFR + 5.75%, Rate Floor: 6.75%) due 11/30/27††† 485,941 477,175
ImageFIRST Holdings LLC    
9.58% (3 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 04/27/28††† 417,341 417,341
MB2 Dental Solutions, LLC    
13.50% (Commercial Prime Lending Rate + 5.00%, Rate Floor: 5.75%) due 01/29/31††† 8,400 7,396
Total Consumer, Cyclical   8,751,236
Consumer, Non-cyclical – 2.1%    
Mission Veterinary Partners    
9.44% (1 Month Term SOFR + 4.00%, Rate Floor: 4.75%) due 04/27/28 1,218,750 1,217,836
PetIQ LLC    
9.69% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 04/13/28 1,048,800 1,042,245
Women’s Care Holdings, Inc.    
9.93% (3 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 01/17/28 1,052,395 968,645
Quirch Foods Holdings LLC    
10.32% (3 Month Term SOFR + 4.75%, Rate Floor: 5.75%) due 10/27/27 948,976 948,976
Blue Ribbon LLC    
11.57% (3 Month Term SOFR + 6.00%, Rate Floor: 6.75%) due 05/08/28††† 1,006,250 794,938

 

 

34 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 
   
SCHEDULE OF INVESTMENTS continued May 31, 2024

     
  Face  
  Amount~ Value
SENIOR FLOATING RATE INTERESTS††,◊ – 9.3% (continued)    
Consumer, Non-cyclical – 2.1% (continued)    
LaserAway Intermediate Holdings II LLC    
11.33% (3 Month Term SOFR + 5.75%, Rate Floor: 6.50%) due 10/14/27 777,211 $ 772,680
Gibson Brands, Inc.    
10.58% (3 Month Term SOFR + 5.00%, Rate Floor: 5.75%) due 08/11/28 488,750 468,223
Southern Veterinary Partners LLC    
9.08% (1 Month Term SOFR + 3.75%, Rate Floor: 4.75%) due 10/05/27 422,569 422,835
PlayCore    
9.83% (1 Month Term SOFR + 4.50%, Rate Floor: 5.50%) due 02/14/30 400,000 402,000
Florida Food Products LLC    
10.44% (1 Month Term SOFR + 5.00%, Rate Floor: 5.75%) due 10/18/28 437,125 378,660
HAH Group Holding Co. LLC    
10.43% (1 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 10/29/27 253,845 254,480
VC GB Holdings I Corp.    
8.57% (3 Month Term SOFR + 3.00%, Rate Floor: 3.50%) due 07/21/28 250,000 250,000
Total Consumer, Non-cyclical   7,921,518
Technology – 1.7%    
Polaris Newco LLC    
9.01% ((1 Month Term SOFR + 3.50%) and (3 Month Term SOFR + 3.50%),    
Rate Floor: 3.50%) due 06/04/26††† 2,119,700 2,013,193
Sitecore Holding III A/S    
13.30% (6 Month Term SOFR + 7.00%, Rate Floor: 7.50%)    
(in-kind rate was 0.75%) due 03/12/29†††,11 1,018,061 1,008,948
11.55% (6 Month EURIBOR + 7.00%, Rate Floor: 7.00%)    
(in-kind rate was 0.75%) due 03/12/29†††,11 EUR 751,137 807,741
Aston FinCo SARL    
9.97% (1 Month GBP SONIA + 4.77%, Rate Floor: 4.77%) due 10/09/26 GBP 778,090 902,415
Datix Bidco Ltd.    
10.70% (1 Month GBP SONIA + 5.50%, Rate Floor: 5.50%) due 04/30/31††† GBP 472,000 596,744
10.82% (1 Month Term SOFR + 5.50%, Rate Floor: 6.00%) due 04/30/31††† 140,000 138,880
Modena Buyer LLC    
due 04/17/31 550,000 538,081
24-7 Intouch, Inc.    
10.18% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 08/25/25 380,923 369,495
Atlas CC Acquisition Corp.    
9.86% (3 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 05/25/28 190,451 162,693
Total Technology   6,538,190
Industrial – 1.5%    
Inspired Finco Holdings Ltd.    
7.77% (1 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/17/31 EUR 713,217 777,086
due 02/20/31 EUR 286,783 312,465
Dispatch Terra Acquisition LLC    
9.70% (3 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 03/27/28 1,118,375 984,573
Arcline FM Holdings LLC    
10.32% (3 Month Term SOFR + 4.75%, Rate Floor: 5.50%) due 06/23/28 954,145 959,431

 

See notes to financial statements.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 35

 
 

   
SCHEDULE OF INVESTMENTS continued May 31, 2024

     
  Face  
  Amount~ Value
SENIOR FLOATING RATE INTERESTS††,◊ – 9.3% (continued)    
Industrial – 1.5% (continued)    
CapStone Acquisition Holdings, Inc.    
10.18% (1 Month Term SOFR + 4.75%, Rate Floor: 5.75%) due 11/12/27††† 925,928 $ 921,382
Merlin Buyer, Inc.    
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 12/14/28 572,269 568,692
Michael Baker International LLC    
due 12/01/28 400,000 401,000
Merlin Buyer, Inc.    
10.08% (1 Month Term SOFR + 4.75%, Rate Floor: 5.25%) due 12/14/28††† 298,492 298,493
TK Elevator Midco GmbH    
6.73% (1 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 01/29/27††† EUR 189,047 195,811
Integrated Power Services Holdings, Inc.    
9.94% (1 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 11/22/28††† 195,668 194,416
ILPEA Parent, Inc.    
9.94% (1 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 06/22/28††† 96,423 95,941
Integrated Power Services Holdings, Inc.    
9.92% (1 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 11/22/28††† 30,340 30,264
9.94% (1 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 11/22/28††† 28,302 28,160
Total Industrial   5,767,714
Financial – 0.9%    
Eisner Advisory Group    
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 02/22/31 1,000,000 1,009,170
Citadel Securities, LP    
7.58% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 07/29/30 982,572 987,976
Ardonagh Midco 3 plc    
10.04% (6 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 02/16/31††† 915,663 902,419
HighTower Holding LLC    
9.59% (3 Month Term SOFR + 4.00%, Rate Floor: 4.75%) due 04/21/28 346,352 348,084
Tegra118 Wealth Solutions, Inc.    
9.33% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 02/18/27 349,093 332,948
Total Financial   3,580,597
Communications – 0.8%    
FirstDigital Communications LLC    
9.69% (1 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 12/17/26††† 1,243,750 1,213,239
Level 3 Financing, Inc.    
11.88% (1 Month Term SOFR + 6.56%, Rate Floor: 6.56%) due 04/15/30 501,827 484,083
11.88% (1 Month Term SOFR + 6.56%, Rate Floor: 6.56%) due 04/16/29 498,173 482,604
Syndigo LLC    
9.94% (1 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 12/15/27 924,823 915,575
Total Communications   3,095,501
Total Senior Floating Rate Interests    
(Cost $36,260,099)   35,654,755

 

See notes to financial statements.

 

36 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 
   
SCHEDULE OF INVESTMENTS continued May 31, 2024

     
  Face  
  Amount~ Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 2.0%    
Residential Mortgage-Backed Securities – 1.6%    
Imperial Fund Mortgage Trust    
2022-NQM2, 4.20% (WAC) due 03/25/67◊,3 1,884,959 $ 1,722,132
OBX Trust    
2024-NQM5, 6.51% due 12/01/643 750,000 746,725
2022-NQM8, 6.10% due 09/25/623,10 413,720 408,870
2024-NQM6, 6.85% due 02/25/643,10 344,776 346,437
Top Pressure Recovery Turbines    
7.51% due 11/01/69 1,400,000 1,399,300
GCAT Trust    
2022-NQM5, 5.71% due 08/25/673,10 515,547 507,052
CFMT LLC    
2022-HB9, 3.25% (WAC) due 09/25/37◊,1 500,000 448,426
FIGRE Trust    
2024-HE1, 6.17% (WAC) due 03/25/54◊,3 287,752 287,154
LSTAR Securities Investment Ltd.    
2024-1, 8.43% (30 Day Average SOFR + 3.10%, Rate Floor: 3.10%) due 01/01/29◊,3 199,229 197,626
Total Residential Mortgage-Backed Securities   6,063,722
Commercial Mortgage-Backed Securities – 0.3%    
BX Trust    
2024-VLT4, due 07/15/29◊,3 1,150,000 1,147,125
Military Housing – 0.1%    
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates    
2015-R1, 0.70% (WAC) due 11/25/55◊,3,12 6,730,382 418,967
2015-R1, 5.94% (WAC) due 11/25/52◊,1 83,622 73,314
Total Military Housing   492,281
Total Collateralized Mortgage Obligations    
(Cost $7,959,366)   7,703,128
FOREIGN GOVERNMENT DEBT†† – 0.2%    
Panama Government International Bond    
4.50% due 01/19/63 1,250,000 783,208
Total Foreign Government Debt    
(Cost $1,242,353)   783,208
  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 11
Morgan Stanley Capital Services LLC    
10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 USD 10,400,000 11
Barclays Bank plc    
10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 USD 10,300,000 10

 

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 37

 
 

   
SCHEDULE OF INVESTMENTS continued May 31, 2024

     
  Notional  
  Amount Value
OTC OPTIONS PURCHASED†† – 0.0% (continued)    
Bank of America, N.A.    
10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 USD 5,200,000 $ 5
Total OTC Options Purchased    
(Cost $165,968)   37
Total Investments – 131.6%    
(Cost $548,103,013)   $ 503,574,933
Other Assets & Liabilities, net – (31.6)%   (120,795,909)
Total Net Assets – 100.0%   $ 382,779,024

 

Centrally Cleared Credit Default Swap Agreements Protection Purchased††

                   
      Protection         Upfront  
      Premium Payment Maturity Notional   Premiums Unrealized
Counterparty Exchange Index Rate Frequency Date Amount Value Received Depreciation**
J.P. Morgan                  
Securities LLC ICE ITRAXX.EUR.41.V1 1.00% Quarterly 06/20/29 EUR 920,000 $(21,966) $(21,538) $(428)

 

Forward Foreign Currency Exchange Contracts††

             
        Contract Settlement Unrealized
Counterparty Currency Type Quantity Amount Date Depreciation
Morgan Stanley Capital Services LLC EUR Buy 20,000 21,733 USD 06/17/24 $ (19)
Morgan Stanley Capital Services LLC CAD Sell 1,019,000 746,948 USD 06/17/24 (1,314)
Barclays Bank plc EUR Sell 3,161,000 3,424,665 USD 06/17/24 (7,283)
Bank of America, N.A. GBP Sell 3,299,000 4,154,087 USD 06/17/24 (50,732)
            $ (59,348)

 

~The face amount is denominated in U.S. dollars unless otherwise indicated.
*Non-income producing security.
**Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
Value determined based on Level 1 inputs, unless otherwise noted — See Note 6.
††Value determined based on Level 2 inputs, unless otherwise noted — See Note 6.
†††Value determined based on Level 3 inputs — See Note 6.
Variable rate security. Rate indicated is the rate effective at May 31, 2024. 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.
1Security 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 $6,354,630 (cost $7,458,972), or 1.7% of total net assets — See Note 12.

 

38 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 

   
SCHEDULE OF INVESTMENTS continued May 31, 2024

2Affiliated issuer.
3Security 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 $117,908,652 (cost $124,670,493), or 30.8% of total net assets.
4Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
5Special Purpose Acquisition Company (SPAC).
6Rate indicated is the 7-day yield as of May 31, 2024.
7All or a portion of these securities have been physically segregated in connection with borrowings unfunded loan commitments, and reverse repurchase agreements. As of May 31, 2024, the total value of securities segregated was $125,657,447.
8Zero coupon rate security.
9Perpetual maturity.
10Security 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 May 31, 2024. See table below for additional step information for each security.
11Payment-in-kind security.
12Security is an interest-only strip.
13Taxable municipal bond issued as part of the Build America Bond program.
14Security is unsettled at period end and does not have a stated effective rate.
15Security is in default of interest and/or principal obligations.

 

CAD — Canadian Dollar

CMS — Constant Maturity Swap

EUR — Euro EURIBOR — European Interbank Offered Rate

GBP — British Pound ICE — Intercontinental Exchange

ITRAXX.EUR.41.V1 — iTraxx Europe Series 41 Index Version 1

plc — Public Limited Company

SARL — Société à Responsabilité Limitée

SOFR — Secured Overnight Financing Rate

SONIA — Sterling Overnight Index Average

WAC — Weighted Average Coupon

 

See Sector Classification in Other Information section.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 39

 
 
   
SCHEDULE OF INVESTMENTS continued May 31, 2024

 

The following table summarizes the inputs used to value the Trust’s investments at May 31, 2024 (See Note 6 in the Notes to Financial Statements):

         
       
    Level 2 Level 3  
    Significant Significant  
  Level 1 Observable Unobservable  
Investments in Securities (Assets) Quoted Prices Inputs Inputs Total
Common Stocks $ 22,247 $ 277,662 $ 42,317 $ 342,226
Preferred Stocks 8,176,450 1,482 8,177,932
Warrants 375 4 379
Closed-End Mutual Funds 2,700,629 2,700,629
Money Market Funds 3,485,715 3,485,715
Municipal Bonds 261,448,716 261,448,716
Corporate Bonds 123,684,090 5,929,078 129,613,168
Asset-Backed Securities 38,832,106 14,832,934 53,665,040
Senior Floating Rate Interests 24,153,871 11,500,884 35,654,755
Collateralized Mortgage Obligations 7,703,128 7,703,128
Foreign Government Debt 783,208 783,208
Options Purchased 37 37
Total Assets $ 6,208,966 $ 465,059,268 $ 32,306,699 $ 503,574,933
    Level 2 Level 3  
    Significant Significant  
  Level 1 Observable Unobservable  
Investments in Securities (Liabilities) Quoted Prices Inputs Inputs Total
Credit Default Swap Agreements** $ — $ 428 $ — $ 428
Forward Foreign Currency Exchange Contracts** 59,348 59,348
Unfunded Loan Commitments (Note 11) 66,528 66,528
Total Liabilities $ — $ 59,776 $ 66,528 $ 126,304

 

** 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 $119,158,244 are categorized as Level 2 within the disclosure hierarchy — See Note 7.

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:

 

40 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 

   
SCHEDULE OF INVESTMENTS continued May 31, 2024

  

           
  Ending Balance Valuation Unobservable Input Weighted
Category at May 31, 2024 Technique Inputs Range Average*
Assets:          
Asset-Backed Securities $ 10,754,181 Yield Analysis Yield 6.7%-7.7% 7.5%
Asset-Backed Securities 4,078,753 Option adjusted spread Broker Quote
    off prior month end
    broker quote      
Common Stocks 38,043 Enterprise Value Valuation Multiple 2.9x-9.4x 4.0x
Common Stocks 4,274 Model Price Liquidation Value
Corporate Bonds 3,240,376 Option adjusted spread Broker Quote
    off prior month end
    broker quote      
Corporate Bonds 2,688,702 Third Party Pricing Broker Quote
Preferred Stocks 1,482 Third Party Pricing Vendor Price
Senior Floating Rate Interests 5,901,982 Yield Analysis Yield 10.2%-12.8% 11.6%
Senior Floating Rate Interests 3,992,189 Model Price Purchase Price
Senior Floating Rate Interests 1,606,713 Third Party Pricing Broker Quote
Warrants 4 Model Price Liquidation Value
Total Assets $ 32,306,699        
Liabilities:          
Unfunded Loan Commitments $ 66,528 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 year ended May 31, 2024, the Trust had securities with a total value of $2,042,081 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $3,583,976 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.

                 
      Assets         Liabilities
  Asset-   Senior         Unfunded
  Backed Corporate Floating Rate   Common Preferred Total Loan
  Securities Bonds Interests Warrants Stocks Stocks Assets Commitments
Beginning Balance $ 8,750,965 $ 783,421 $ 14,301,312 $ 2 $ 25,554 $ 70,186 $ 23,931,440 $ (98,344)
Purchases/(Receipts) 7,182,090 3,954,400 5,313,493 2,089 16,452,072 (170,935)
(Sales, maturities and                
paydowns)/Fundings (629,520) (6,320,570) (870) (181,244) (7,132,204) 180,037
Amortization of premiums/                
discounts 20 137,980 138,000 4,401
Corporate actions 527,943 527,943
Total realized gains (losses)                
included in earnings (5,920) (144,895) (219) (516,482) (667,516) 28,803
Total change in unrealized                
appreciation (depreciation)                
included in earnings (464,681) 41,517 378,718 2 15,763 627,540 598,859 (10,490)
Transfers into Level 3 1,149,720 890,879 1,482 2,042,081
Transfers out of Level 3 (3,583,976) (3,583,976)
Ending Balance $14,832,934 $ 5,929,078 $ 11,500,884 $ 4 $ 42,317 $ 1,482 $ 32,306,699 $ (66,528)
Net change in unrealized                
appreciation (depreciation)                
for investments in Level 3                
securities still held at                
May 31, 2024 $ (464,681) $ 41,517 $ 41,378 $ 2 $ 15,721 $ — $ (366,063) $ (11,415)

 

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 41

 
 
   
SCHEDULE OF INVESTMENTS continued May 31, 2024

 

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.

     
  Coupon Rate  
  at Next Next Rate
Name Reset Date Reset Date
GAIA Aviation Ltd. 2019-1, 3.97% due 12/15/44 2.00% 10/15/26
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
OBX Trust 2024-NQM6, 6.85% due 02/25/64 7.85% 04/01/28

 

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 year ended May 31, 2024, in which the company is an affiliated issuer, were as follows:

               
          Change in    
        Realized Unrealized    
  Value     Gain Appreciation Value Shares
Security Name 05/31/23 Additions Reductions (Loss) (Depreciation) 05/31/24 05/31/24
Common Stocks              
BP Holdco LLC* $ 20,062 $ — $ — $ — $(1,130) $ 18,932 15,619
* Non-income producing security.            

 

 

42 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 
   
STATEMENT OF ASSETS AND LIABILITIES May 31, 2024

 

ASSETS:  
Investments in unaffiliated issuers, at value (cost $548,097,498) $ 503,556,001
Investments in affiliated issuers, at value (cost $5,515) 18,932
Foreign currency, at value 129,667
Cash 115,883
Segregated cash from broker 39,259
Prepaid expenses 10,402
Receivables:  
Interest 6,298,398
Fund shares sold 170,657
Investments sold 91,172
Dividends 33,520
Tax reclaims 3,497
Variation margin on credit default swap agreements 149
Total assets 510,467,537
LIABILITIES:  
Reverse repurchase agreements (Note 7) 119,158,244
Unfunded loan commitments, at value (Note 11) (commitment fees received $81,072) 66,528
Unamortized upfront premiums received on credit default swap agreements 21,538
Unrealized depreciation on forward foreign currency exchange contracts 59,348
Interest due on borrowings 13,264
Payable for:  
Investments purchased 7,834,032
Investment advisory fees 256,737
Professional fees 122,823
Offering costs 65,781
Protection fees on credit default swap agreements 2,024
Other liabilities 88,194
Total liabilities 127,688,513
NET ASSETS $ 382,779,024
NET ASSETS CONSIST OF:  
Common stock, $0.01 par value per share; unlimited number of shares  
authorized, 24,801,498 shares issued and outstanding $ 248,015
Additional paid-in capital 449,416,346
Total distributable earnings (loss) (66,885,337)
NET ASSETS $ 382,779,024
Shares outstanding ($0.01 par value with unlimited amount authorized) 24,801,498
Net asset value $ 15.43

 

See notes to financial statements.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 43

 
 
   
STATEMENT OF OPERATIONS May 31, 2024
For the Year Ended May 31, 2024  

 

   
INVESTMENT INCOME:  
Interest from securities of unaffiliated issuers $ 29,154,863
Dividends from securities of unaffiliated issuers 2,288,442
Total investment income 31,443,305
EXPENSES:  
Interest expense 7,664,927
Investment advisory fees 2,966,362
Professional fees 413,582
Fund accounting fees 115,352
Administration fees 113,782
Printing fees 84,664
Trustees’ fees and expenses* 63,184
Custodian fees 39,452
Insurance 26,614
Registration and filing fees 23,790
Transfer agent fees 18,387
Miscellaneous 11,236
Total expenses 11,541,332
Net investment income 19,901,973
NET REALIZED AND UNREALIZED GAIN (LOSS):  
Net realized gain (loss) on:  
Investments in unaffiliated issuers (18,736,681)
Swap agreements (104,953)
Options purchased (162,285)
Forward foreign currency exchange contracts 60,405
Foreign currency transactions (149,129)
Net realized loss (19,092,643)
Net change in unrealized appreciation (depreciation) on:  
Investments in unaffiliated issuers 20,945,142
Investments in affiliated issuers (1,130)
Swap agreements 8,989
Options purchased (69,051)
Forward foreign currency exchange contracts (81,295)
Foreign currency translations (2,246)
Net change in unrealized appreciation (depreciation) 20,800,409
Net realized and unrealized gain 1,707,766
Net increase in net assets resulting from operations $ 21,609,739

 

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

See notes to financial statements.

 

44 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 

STATEMENTS OF CHANGES IN NET ASSETS May 31, 2024

     
  Year Ended Year Ended
  May 31, 2024 May 31, 2023
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:    
Net investment income $ 19,901,973 $ 20,548,712
Net realized loss on investments (19,092,643) (3,856,986)
Net change in unrealized appreciation (depreciation)    
on investments 20,800,409 (35,081,283)
Net increase (decrease) in net assets resulting from operations 21,609,739 (18,389,557)
DISTRIBUTIONS:    
Distributions to shareholders (19,705,406) (20,436,420)
Return of capital (16,017,779) (13,351,040)
Total distributions (35,723,185) (33,787,460)
SHAREHOLDER TRANSACTIONS:    
Net proceeds from shares issued through at-the-market offering 27,443,172 17,733,096
Capital contribution from adviser 29,557
Reinvestments of distributions 1,546,954 1,369,554
Common shares offering cost charged to paid-in-capital (67,167) (108,019)
Net increase in net assets resulting from shareholder transactions 28,922,959 19,024,188
Net increase (decrease) in net assets 14,809,513 (33,152,829)
NET ASSETS:    
Beginning of period 367,969,511 401,122,340
End of period $ 382,779,024 $ 367,969,511

 

See notes to financial statements.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 45

 
 
STATEMENT OF CASH FLOWS May 31, 2024
For the Year Ended May 31, 2024  

 

   
Cash Flows from Operating Activities:  
Net increase in net assets resulting from operations $ 21,609,739
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to  
Net Cash Provided by Operating and Investing Activities:  
Net change in unrealized (appreciation) depreciation on investments (20,944,012)
Net change in unrealized (appreciation) depreciation on options purchased 69,051
Net change in unrealized (appreciation) depreciation on forward foreign  
currency exchange contracts 81,295
Net realized loss on investments 18,736,681
Net realized loss on options purchased 162,285
Purchase of long-term investments (97,096,028)
Proceeds from sale of long-term investments 85,976,817
Net purchases of short-term investments (604,598)
Net accretion of bond discount and amortization of bond premium (741,918)
Corporate actions and other payments 319,599
Commitment fees received and repayments of unfunded commitments (13,664)
Increase in interest receivable (521,468)
Decrease in dividends receivable 43,965
Increase investments sold receivable (11,872)
Decrease variation margin on credit default swap agreements receivable 3,254
Increase in prepaid expenses (8,128)
Increase in tax reclaims receivable (5)
Increase in investments purchased payable 7,724,661
Decrease in professional fees payable (28,034)
Decrease in unamortized upfront premiums received on credit default swap agreements (15,678)
Increase in investment advisory fees payable 3,932
Decrease in trustees’ fees and expenses payable* (19,001)
Decrease in protection fees on credit default swap agreements payable (7,513)
Increase in other liabilities 18,537
Net Cash Provided by Operating and Investing Activities $ 14,737,897

 

See notes to financial statements.

 

46 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 
   
STATEMENT OF CASH FLOWS continued May 31, 2024

 

   
Cash Flows From Financing Activities:  
Distributions to common shareholders $ (34,176,231)
Proceeds from the issuance of common shares 27,306,084
Proceeds from reverse repurchase agreements 611,962,192
Payments made on reverse repurchase agreements (619,856,182)
Offering costs in connection with the issuance of common shares (7,108)
Net Cash Used in Financing Activities (14,771,245)
Net decrease in cash (33,348)
Cash at Beginning of Year (including foreign currency)** 318,157
Cash at End of Year (including foreign currency)*** $ 284,809
Supplemental Disclosure of Cash Flow Information:  
Cash paid during the year for interest $ 10,183,604
Supplemental Disclosure of Non Operating Activity: Dividend reinvestment $ 1,546,954

 

*Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
**Includes $104,622 of segregated cash with broker for swap agreements and $57,279 of foreign currency.
***Includes $39,259 of segregated cash with broker for swap agreements and $129,667 of foreign currency.

See notes to financial statements.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 47

 
 
   
FINANCIAL HIGHLIGHTS May 31, 2024

 

The information in this table for the fiscal years ended 2024, 2023, 2022, 2021 and 2020 is derived from the Trust’s financial statements and has been audited by Ernst & Young LLP, independent registered public accounting firm for the Trust. The Trust’s audited financial statements, including the report of Ernst & Young LLP thereon and accompanying notes thereto, are included in this annual report to shareholders for the year ended May 31, 2024.

           
  Year Ended Year Ended Year Ended Year Ended Year Ended
 

May 31,

2024

May 31,

2023

May 31,

2022

May 31,

2021

May 31,

2020

Per Share Data:          
Net asset value, beginning of period $ 16.01 $ 18.35 $ 22.80 $ 22.09 $ 22.71
Income from investment operations:          
Net investment income(a) 0.84 0.92 1.21 1.19 1.27
Net gain (loss) on investments (realized and unrealized) 0.09 (1.75) (4.15) 1.03 (0.38)
Total from investment operations 0.93 (0.83) (2.94) 2.22 0.89
Less distributions from:          
Net investment income (0.83) (0.91) (1.32) (1.38) (1.51)
Capital gains (0.03) (0.13)
Return of capital (0.68) (0.60) (0.16) (0.00)*
Total distributions to shareholders (1.51) (1.51) (1.51) (1.51) (1.51)
Net asset value, end of period $ 15.43 $ 16.01 $ 18.35 $ 22.80 $ 22.09
Market value, end of period $ 16.25 $ 16.32 $ 19.45 $ 24.22 $ 23.20
Total Return(b)          
Net asset value 6.28% (4.39%)(g) (13.81%)(f) 10.30% 3.86%
Market value 9.75% (8.10%) (13.96%) 11.43% 6.03%
Ratios/Supplemental Data:          
Net assets, end of period (in thousands) $ 382,779 $ 367,970 $ 401,122 $ 472,691 $ 414,168
Ratio to average net assets of:          
Total expenses, including interest expense(c),(e) 3.15% 2.63% 1.34% 1.27% 1.65%
Net investment income, including interest expense 5.43% 5.51% 5.52% 5.22% 5.61%
Portfolio turnover rate 17% 10% 36% 33% 25%
Senior Indebtedness          
Total borrowings outstanding (in thousands)(h) $ 119,158 $ 127,052 $ — $ 97,360 $ 10,510
Asset Coverage per $1,000 of indebtedness(d) $ 4,212 $ 3,896 $ — $ 5,855 $ 40,409

 

See notes to financial statements.

 

48 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 

   
FINANCIAL HIGHLIGHTS continued May 31, 2024

 

           
  Year Ended Year Ended Year Ended Year Ended Year Ended
 

May 31,

2019

May 31,

2018

May 31,

2017

May 31,

2016

May 31,

2015

Per Share Data:          
Net asset value, beginning of period $ 22.69 $ 23.30 $ 23.30 $ 23.35 $ 23.26
Income from investment operations:          
Net investment income(a) 1.30 1.48 1.59 1.48 1.48
Net gain (loss) on investments (realized and unrealized) 0.23 (0.58) (0.04) 0.13 0.27
Total from investment operations 1.53 0.90 1.55 1.61 1.75
Less distributions from:          
Net investment income (1.43) (1.35) (1.55) (1.64) (1.48)
Capital gains (0.08) (0.16) (0.02) (0.18)
Return of capital
Total distributions to shareholders (1.51) (1.51) (1.55) (1.66) (1.66)
Net asset value, end of period $ 22.71 $ 22.69 $ 23.30 $ 23.30 $ 23.35
Market value, end of period $ 23.38 $ 21.44 $ 23.23 $ 22.28 $ 21.64
Total Return(b)          
Net asset value 7.11% 3.93% 6.81% 7.25% 7.64%
Market value 16.81% (1.23%) 11.62% 10.95% 7.52%
Ratios/Supplemental Data:          
Net assets, end of period (in thousands) $ 395,716 $ 395,221 $ 405,780 $ 405,820 $ 406,668
Ratio to average net assets of:          
Total expenses, including interest expense(c),(e) 1.68% 1.65% 1.54% 1.38% 1.32%
Net investment income, including interest expense 5.82% 6.42% 6.80% 6.47% 6.26%
Portfolio turnover rate 6% 8% 6% 7% 11%
Senior Indebtedness          
Borrowings - committed facility agreement (in thousands) $ 44,510 $ 44,510 $ 47,509 $ 61,710 $ 35,510
Asset coverage per $1,000 of borrowings(d) $ 9,891 $ 9,879 $ 9,541 $ 7,576 $ 12,452

 

See notes to financial statements.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 49

 
 

   
FINANCIAL HIGHLIGHTS continued May 31, 2024

 

(a)Based on average shares outstanding.
(b)Total return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported either at net asset value (“NAV”) or market price per share. Dividends and distributions are assumed to be reinvested at NAV for NAV returns or the prices obtained under the Trust’s Dividend Reinvestment Plan for market value returns. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized.
(c)Excluding interest expense, the operating expense ratios for the years ended May 31 would be:
2024 2023 2022 2021 2020 2019 2018 2017 2016 2015
1.06% 1.13% 1.04% 1.01% 0.96% 0.95% 0.99% 1.00% 0.99% 1.02%

 

(d)Calculated by subtracting the Trust’s total liabilities (not including the borrowings) from the Trust’s total assets and dividing by the borrowings. effective August 19, 2022, the Trust’s obligations under reverse repurchase agreement transactions are treated as senior securities representing indebtedness for purposes of the 1940 Act. Accordingly, for the years ended May 31, 2024 and May 31, 2023, Asset Coverage is calculated by subtracting the Trust’s total liabilities (not including the borrowings or reverse repurchase agreements) from the Trust’s total assets and dividing by the sum of the borrowings and reverse repurchase agreements.
(e)The ratios of total expenses to average net assets applicable to common shares do not reflect fees and expenses incurred indirectly by the Trust as a result of its investment in shares of other investment companies. If these fees were included in the expense ratios, the expense ratios would increase by 0.34%, 0.31%, 0.20%, 0.26%, 0.32%, 0.00%, 0.00%, 0.00%, 0.00%, and 0.00% for the years ended May 31, 2024, 2023, 2022, 2021, 2020, 2019, 2018, 2017, 2016, and 2015 respectively.
(f)The net increase from payments by affiliates totaling $383,226 relating to an operational issue contributed 0.08% to total return at net asset value for the year ended May 31, 2022.
(g)The net increase from the payment by the Adviser totaling $29,557 relating to an operational issue contributed 0.01% to total return at net asset value for the year ended May 31, 2023.
(h)Effective August 19, 2022, the Trust’s obligations under reverse repurchase agreement transactions are treated as senior securities representing indebtedness for purposes of the 1940 Act.
*Less than (0.01).

See notes to financial statements.

 

50 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 

   
NOTES TO FINANCIAL STATEMENTS May 31, 2024

 

Note 1 – 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.

Note 2 – 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 together 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

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 51

 
 
   
NOTES TO FINANCIAL STATEMENTS continued May 31, 2024

 

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 Nasdaq Stock Market (“NASDAQ”) 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 (“ADRs”) 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.

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 an independent 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.

 

52 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 

   
NOTES TO FINANCIAL STATEMENTS continued May 31, 2024

 

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 provider.

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 are 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 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 analysis. In connection with futures contracts and other derivative instruments, such factors may include obtaining information as to how (a) these contracts and other derivative instruments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative instruments trade in the cash market.

(b) Investment Transactions and Investment Income

Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Discounts or premiums on debt securities purchased are accreted or amortized to interest income using the effective interest method. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities, and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement.

The Trust may receive other income from investments in senior loan interests, including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Trust and included in interest income on the Trust’s Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Trust’s Statement of Operations at the end of the commitment period.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 53

 
 

   
NOTES TO FINANCIAL STATEMENTS continued May 31, 2024

 

(c) Senior Floating Rate Interests and Loan Investments

Senior floating rate interests in which the Trust invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Trust’s Schedule of Investments.

The Trust invests in loans and other similar debt obligations (“obligations”). A portion of the Trust’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Trust may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. Many loans and other similar debt obligations have not featured traditional convenants which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Trust may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Trust is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” under the federal securities laws and, as a result, the Trust may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(d) Interest on When-Issued Securities

The Trust may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Trust on such interests or securities in connection with such transactions prior to the date the Trust actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Trust will generally purchase these securities with the intention of acquiring such securities, it may sell such securities before the settlement date.

(e) Currency Translations

The accounting records of the Trust are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Trust. Foreign investments may also subject the Trust to foreign government exchange restrictions, expropriation, taxation, or other political, social, geopolitical or economic developments, all of which could affect the market and/or credit risk of the investments.

 

54 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 

  

   
NOTES TO FINANCIAL STATEMENTS continued May 31, 2024

 

The Trust does not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.

Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.

(f) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Trust records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

(g) Distributions to Shareholders

The Trust intends to declare and pay monthly distributions to common shareholders. The Trust expects that distributions will generally consist of (i) investment company taxable income taxed as ordinary income, which includes, among other things, short-term capital gain and income from certain hedging and interest rate transactions, (ii) long-term capital gain and (iii) return of capital. Any net realized long-term capital gains are distributed annually to common shareholders. To the extent distributions exceed the amount of the Trust’s earnings and profit available for distribution, the excess will be deemed a return of capital. A return of capital is generally not taxable and would reduce the shareholder’s tax basis in its shares, which would reduce the loss (or increase the gain) on a subsequent taxable disposition by such shareholder of the shares, until such shareholder’s basis reaches zero at which point subsequent return of capital distributions would constitute taxable capital gain to such shareholder. Shareholders receiving a return of capital may be under the impression that they are receiving net investment income or profit when they are not.

Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

(h) Restricted Cash

A portion of cash on hand relates to collateral received by the Trust for swap agreements. This amount is presented on the Trust’s Statement of Assets and Liabilities as segregated cash due from broker.

(i) Swap Agreements

Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.

Upon entering into certain centrally-cleared swap transactions, the Trust is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin

 

GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 55

 
 

   
NOTES TO FINANCIAL STATEMENTS continued May 31, 2024

 

receipts or payments are received or made by the Trust depending on fluctuations in the fair value of the reference entity and are recorded by the Trust as unrealized appreciation or depreciation. When the contract is closed, the Trust records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Upfront payments received or made by the Trust on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by the Trust are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

(j) Options

Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Trust realizes a loss in the amount of the cost of the option. When the Trust enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Trust exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Trust exercises a call option, the cost of the security purchased by the Trust upon exercise increases by the premium originally paid.

When the Trust writes (sells) an option, an amount equal to the premium received is entered in that Trust’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Trust enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).

(k) Indemnifications

Under the Trust’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote.

(l) Special Purpose Acquisition Companies

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)

 

56 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT

 
 
   
NOTES TO FINANCIAL STATEMENTS continued May 31, 2024

 

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.

Note 3 – 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 and risks in excess of amounts recognized on the Trust’s Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 2 of these Notes to Financial Statements.

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 for investment purposes (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, for diversification purposes, to change the duration of the Trust, for leverage 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.

 

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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.

The following table represents the Trust’s use and volume of call/put options purchased on a monthly basis:

     
  Average Notional Amount
Use Call Put
Duration, Hedge, Income $55,050,000 $2,400,000

 

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

 

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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.

The following table represents the Trust’s use and volume of credit default swaps on a monthly basis:

     
  Average Notional Amount
Use Protection Sold Protection Purchased
Hedge $ — $3,566,667

 

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.

 

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The following table represents the Trust’s use and volume of forward foreign currency exchange contracts on a monthly basis:

       
    Average Value  
Use Purchased   Sold
Hedge $12,280   $7,394,501

 

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Trust’s Statement of Assets and Liabilities as of May 31, 2024:

     
Derivative Investment Type Asset Derivatives Liability Derivatives
  Investments in unaffiliated  
Interest rate option contracts issuers, at value
    Unrealized depreciation on forward
Currency forward contracts foreign currency exchange contracts
  Variation margin on credit Unamortized upfront premiums
Credit rate swap agreements default swap agreements received on credit default swap agreements

 

The following tables set forth the fair value of the Trust’s derivative investments categorized by primary risk exposure at May 31, 2024:

       
Asset Derivative Investments Value
  Options Forward  
Swaps Purchased Foreign  
Credit Interest Rate Currency Total Value at
Risk* Risk Exchange Risk May 31, 2024
$ – $ 37 $ — $ 37
Liability Derivative Investments Value
  Options Forward  
Swaps Written Foreign  
Credit Interest Rate Currency Total Value at
Risk* Risk Exchange Risk May 31, 2024
$ 428 $ — $ 59,348 $ 59,776

 

*Includes cumulative appreciation (depreciation) of centrally-cleared derivatives contracts as reported on the Trust’s Schedule of Investments. For centrally-cleared derivatives, variation margin is reported with the Trust’s Statement of Assets and Liabilities.

 

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The following is a summary of the location of derivative investments on the Trust’s Statement of Operations for the year ended May 31, 2024:

   
Derivative Investment Type Location of Gain (Loss) on Derivatives
Credit rate swap agreements Net realized gain (loss) on swap agreements
  Net change in unrealized appreciation
  (depreciation) on swap agreements
Credit/Interest rate options contracts Net realized gain (loss) on options purchased
  Net change in unrealized appreciation (depreciation) on options purchased
Currency forward contracts Net realized gain (loss) on forward foreign
  currency exchange contracts
  Net change in unrealized appreciation
  (depreciation) on forward foreign currency
  exchange contracts

 

The following is a summary of the Trust’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Trust’s Statement of Operations categorized by primary risk exposure for the year ended May 31, 2024:

           
Realized Gain(Loss) on Derivative Investments Recognized on the Statement of Operations  
  Options Options Forward    
  Purchased Purchased Foreign    
Swaps Credit Interest Rate Currency    
Credit Risk Risk Risk Exchange Risk   Total
$ (104,953) $ (14,496) $(147,789) $ 60,405 $ (206,833)

 

Change in Unrealized Appreciation(Depreciation) on Derivative Investments Recognized on the Statement of Operations

         
  Options Options Forward  
  Purchased Purchased Foreign  
Swaps Credit Interest Rate Currency  
Credit Risk Risk Risk Exchange Risk Total
$ 8,989 $ — $ (69,051) $ (81,295) $ (141,357)

 

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 rated/identified as investment grade or better. The Trust monitors the counterparty credit risk.

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

 

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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.

Note 4 – Offsetting

In the normal course of business, the Trust enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Trust to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define its contractual rights and to secure rights that will help the Trust mitigate its counterparty risk, the Trust may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Trust and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement

 

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and comparing that amount to the value of any collateral currently pledged by the Trust and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Trust and cash collateral received from the counterparty, if any, are reported separately on the Trust’s Statement of Assets and Liabilities as segregated cash due to or due from broker/receivable for variation margin, or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Trust from its counterparties are not fully collateralized, contractually or otherwise, the Trust bears the risk of loss from counterparty nonperformance. The Trust attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Trust does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Trust’s Statement of Assets and Liabilities.

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

             
      Net Amount Gross Amounts Not  
    Gross Amounts of Assets Offset in the Statement  
  Gross Offset in the Presented on of Assets and Liabilities  
  Amounts of Statement of the Statement   Cash  
  Recognized Assets and of Assets and Financial Collateral Net
Instrument Assets1 Liabilities Liabilities Instruments Received Amount
Options