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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 Trusts website in an ongoing
effort to provide you with the most current information about how your Trusts 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 Trusts performance for the 12-month period ended
May 31, 2024 (the Reporting Period).
To learn more about the Trusts performance and investment strategy,
we encourage you to read the Economic and Market Overview and the Managements Discussion of Trust Performance, which begin on page
5. There you will find information on Guggenheims investment philosophy, views on the economy and market environment, and information
about the factors that impacted the Trusts performance during the Reporting Period.
The Trusts primary investment objective is to provide current
income with a secondary objective of long-term capital appreciation.
All Trust returns citedwhether based on net asset value (NAV)
or market priceassume 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 Trusts 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 Trusts shares
fluctuates from time to time, and it may be higher or lower than the Trusts 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 Trusts
closing market price of $16.25 per share at the end of the Reporting Period.
The Trusts distribution rate is not constant and the amount
of distributions, when declared by the Trusts 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 Trusts 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 Trusts 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 Feds 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 Feds 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
|
|
MANAGEMENTS 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 Trusts return and return of comparative Indices
All Trust returns citedwhether based on net asset value (NAV)
or market priceassume 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 Trusts 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 Trusts
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 Trusts shares
fluctuates from time to time and maybe higher or lower than the Trusts NAV.
Please refer to the graphs and tables included within the Trust Summary,
beginning on page 12 for additional information about the Trusts 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 & Poors 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
|
|
MANAGEMENTS DISCUSSION OF |
|
TRUST PERFORMANCE (Unaudited) continued |
May 31, 2024 |
Discuss the Trusts 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 Trusts
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 Trusts distribution rate is not constant and the amount of distributions,
when declared by the Trusts 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 Trusts 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
MANAGEMENTS 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 Trusts Use of Leverage
At the end of the Reporting Period, the Trusts 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
|
|
MANAGEMENTS 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 Trusts 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
|
|
MANAGEMENTS 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
Moodys, 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 & Poors 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
|
|
MANAGEMENTS 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 Trusts
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 Trusts Prospectus and SAI on the EDGAR Database on the Securities and Exchange
Commissions 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 investors 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 |
|
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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 investors 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% |
1 | | Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally
ranges from AAA (highest) to D (lowest). All securities except for those labeled NR have been rated by Moodys, Standard
& Poors (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 Moodys and Fitch ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase
and may change thereafter. |
2 | | NR (not rated) securities do not necessarily indicate low credit quality. |
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 |
Sothebys |
|
|
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% |
|
|
Applebees
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 |
Womens
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. |
1 | | Security is a 144A or Section 4(a)(2) security. These securities have been determined
to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2)
illiquid and restricted securities is $6,354,630 (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 |
3 | | Security is a 144A or Section 4(a)(2) security. These securities have been determined
to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a) (2) securities is
$117,908,652 (cost $124,670,493), or 30.8% of total net assets. |
4 | | Security has a fixed rate coupon which will convert to a floating or variable rate coupon
on a future date. |
5 | | Special Purpose Acquisition Company (SPAC). |
6 | | Rate indicated is the 7-day yield as of May 31, 2024. |
7 | | All or a portion of these securities have been physically segregated in connection with
borrowings unfunded loan commitments, and reverse repurchase agreements. As of May 31, 2024, the total value of securities segregated
was $125,657,447. |
8 | | Zero coupon rate security. |
10 | | Security is a step up/down bond. The coupon increases or decreases at regular intervals
until the bond reaches full maturity. Rate indicated is the rate at May 31, 2024. See table below for additional step information for
each security. |
11 | | Payment-in-kind security. |
12 | | Security is an interest-only strip. |
13 | | Taxable municipal bond issued as part of the Build America Bond program. |
14 | | Security is unsettled at period end and does not have a stated effective rate. |
15 | | Security 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 Trusts
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 Trusts 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 investments 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 Trusts financial statements and has been audited by Ernst & Young LLP, independent registered
public accounting firm for the Trust. The Trusts 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 Trusts 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 Trusts total liabilities (not including the borrowings)
from the Trusts total assets and dividing by the borrowings. effective August 19, 2022, the Trusts 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 Trusts total liabilities (not
including the borrowings or reverse repurchase agreements) from the Trusts 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 Trusts obligations under reverse repurchase agreement
transactions are treated as senior securities representing indebtedness for purposes of the 1940 Act. |
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 Trusts 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 Trusts 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 Trusts 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 Trusts 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 Guggenheims investment
management, fund administration, legal and compliance departments (the Valuation Committee), in determining the fair value
of the Trusts securities and other assets.
Valuations of the Trusts 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
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|
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
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|
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 securitys
(or assets or liabilitys) 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 Trusts Statement of Operations. For unfunded loans, commitment fees are included
in realized gain on investments on the Trusts 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
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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 banks 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 Trusts Schedule of
Investments.
The Trust invests in loans and other similar debt obligations (obligations).
A portion of the Trusts 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 borrowers
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
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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 Trusts 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 shareholders 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 shareholders
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 Trusts 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
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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 Trusts 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 Trusts 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 Trusts 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
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|
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 entitys 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 Trusts 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 Trusts 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.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 57
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NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
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 counterpartys inability to perform.
The following table represents the Trusts 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
58 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
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NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
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 entitys 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 Trusts 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.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 59
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NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
The following table represents the Trusts 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 Trusts 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 Trusts
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 Trusts Schedule of Investments. For centrally-cleared derivatives, variation margin is reported with the Trusts
Statement of Assets and Liabilities. |
60 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
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NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
The following is a summary of the location of derivative investments
on the Trusts 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 Trusts realized gain (loss)
and change in unrealized appreciation (depreciation) on derivative investments recognized on the Trusts 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 Trusts 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
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 61
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NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
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 issuers 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
62 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
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NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
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 Trusts 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 Trusts Statement of Assets and Liabilities.
The following tables present derivative financial instruments and
secured financing transactions that are subject to enforceable netting arrangements:
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Net Amount |
Gross Amounts Not |
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Gross Amounts |
of Assets |
Offset in the Statement |
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Gross |
Offset in the |
Presented on |
of Assets and Liabilities |
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Amounts of |
Statement of |
the Statement |
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Cash |
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Recognized |
Assets and |
of Assets and |
Financial |
Collateral |
Net |
Instrument |
Assets1 |
Liabilities |
Liabilities |
Instruments |
Received |
Amount |
Options |
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