•
|
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
|
•
|
Fund and adviser contact information
|
(Unaudited)
|
November 30, 2012
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 3
|
QUESTIONS & ANSWERS (Unaudited)
|
November 30, 2012
|
4 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2012
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 5
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2012
|
6 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2012
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 7
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2012
|
8 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2012
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 9
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2012
|
10 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
QUESTIONS & ANSWERS (Unaudited) continued
|
November 30, 2012
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 11
|
TRUST SUMMARY (Unaudited)
|
November 30, 2012
|
Trust Statistics
|
||||
Share Price
|
$
|
23.25
|
||
Common Share Net Asset Value
|
$
|
23.86
|
||
Premium/Discount to NAV
|
-2.56% | |||
Net Assets Applicable to Common Shares ($000)
|
$
|
415,483
|
Total Returns
|
|||||||
(Inception 10/28/10)
|
Market
|
NAV
|
|||||
Six Month
|
7.01
|
%
|
4.98
|
%
|
|||
One Year
|
18.98
|
%
|
16.11
|
%
|
|||
Since Inception - Average Annual
|
14.61
|
%
|
18.31
|
%
|
% of Municipal
|
|
State/Territory Allocations
|
Bonds
|
California
|
19.9%
|
Illinois
|
11.7%
|
Washington
|
8.7%
|
New Jersey
|
5.7%
|
Indiana
|
5.6%
|
New York
|
5.4%
|
Texas
|
5.3%
|
Ohio
|
4.7%
|
Michigan
|
4.0%
|
Pennsylvania
|
3.9%
|
Florida
|
3.8%
|
West Virginia
|
3.1%
|
Colorado
|
2.8%
|
Alabama
|
2.5%
|
Vermont
|
2.4%
|
Nevada
|
2.4%
|
Louisiana
|
2.2%
|
Mississippi
|
1.7%
|
South Carolina
|
1.3%
|
Georgia
|
1.2%
|
South Dakota
|
0.9%
|
Minnesota
|
0.8%
|
Portfolio composition and holdings are subject to change daily. For more information, please visit www.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.
|
% of Total
|
|
Portfolio Breakdown
|
Net Assets
|
Municipal Bonds
|
109.5%
|
Corporate Bonds
|
9.1%
|
Asset Backed Securities
|
5.7%
|
Term Loans
|
4.8%
|
Preferred Stock
|
1.9%
|
Collateralized Mortgage Obligations
|
0.5%
|
Total Long-Term Investments
|
131.5%
|
Money Market Fund
|
0.4%
|
Total Investments
|
131.9%
|
Assets in excess of Liabilities
|
1.7%
|
Borrowings
|
-13.9%
|
Reverse Repurchase Agreements
|
-19.7%
|
Total Net Assets
|
100.0%
|
12 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited)
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Long-Term Investments – 131.5%
|
|||||||||||
Municipal Bonds – 109.5%
|
|||||||||||
Alabama – 2.8%
|
|||||||||||
$
|
3,000,000
|
Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds, (Assured GTY)(a) (k)
|
AA–
|
7.100%
|
09/01/2035
|
09/01/20 @ 100
|
$
|
3,461,430
|
|||
5,000,000
|
Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds, (Assured GTY)(a) (k)
|
AA–
|
7.200%
|
09/01/2038
|
09/01/20 @ 100
|
5,780,100
|
|||||
2,000,000
|
Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds, (Assured GTY)(a) (k)
|
AA–
|
7.250%
|
09/01/2040
|
09/01/20 @ 100
|
2,315,640
|
|||||
11,557,170
|
|||||||||||
California – 21.8%
|
|||||||||||
500,000
|
Alhambra Unified School District, Elementary Schools Improvement District, Los Angeles County, California, Election of 2008 General Obligation Bonds, Federally Taxable, Series B-1
|
A+
|
6.700%
|
02/01/2026
|
N/A
|
605,555
|
|||||
10,000,000
|
California, General Obligation Bonds, Various Purpose, Taxable Build America Bonds(a)
|
A– |
7.700%
|
11/01/2030
|
11/01/20 @ 100
|
12,277,900
|
|||||
3,000,000
|
Culver City Redevelopment Agency, California, Taxable Tax Allocation Bonds, Culver City Redevelopment Project, Series 2011B(k)
|
A
|
8.000%
|
11/01/2020
|
N/A
|
3,338,640
|
|||||
340,000
|
Cypress Elementary School District (Orange County, California), General Obligation Bonds, Direct Pay Qualified School Construction Bonds, 2008 Election, Series B-2(k)
|
A+
|
6.050%
|
08/01/2021
|
N/A
|
386,730
|
|||||
660,000
|
Cypress Elementary School District (Orange County, California), General Obligation Bonds, Direct Pay Qualified School Construction Bonds, 2008 Election, Series B-2(k)
|
A+
|
6.650%
|
08/01/2025
|
N/A
|
766,300
|
|||||
7,500,000
|
Long Beach Unified School District, California, Qualified School Construction Bonds, Federally Taxable, Election of 2008, General Obligation Bonds, Series B-1(k)
|
AA–
|
5.914%
|
08/01/2025
|
N/A
|
9,478,800
|
|||||
10,000,000
|
Los Angeles, California, Department of Water & Power Revenue, Taxable Build America Bonds(a)
|
AA–
|
7.000%
|
07/01/2041
|
07/01/21 @ 100
|
12,100,100
|
|||||
10,000,000
|
Los Angeles, California, Department of Water & Power Revenue, Taxable Build America Bonds(a)
|
AA
|
7.003%
|
07/01/2041
|
07/01/20 @ 100
|
11,777,400
|
|||||
5,000,000
|
Metropolitan Water District, Southern California, Water Revenue Bonds, 2010 Authorization, Taxable Build America Bonds, Series A(a)
|
AAA
|
6.947%
|
07/01/2040
|
07/01/20 @ 100
|
6,272,650
|
|||||
1,025,000
|
Monrovia Unified School District, Los Angeles County, California, Election of 2006 General Obligation Bonds, Build America Bonds, Federally Taxable, Series C-1(a) (k)
|
A+
|
7.250%
|
08/01/2028
|
N/A
|
1,214,112
|
|||||
8,000,000
|
Oakland Unified School District, County of Alameda, California, Taxable General Obligation Bonds, Election of 2006, Qualified School Construction Bonds, Series 2012B(k)
|
NR
|
6.877%
|
08/01/2033
|
08/01/22 @ 100
|
8,517,840
|
|||||
1,000,000
|
Placentia-Yorba Linda Unified School District (Orange County, California), General Obligation Bonds, Federally Taxable Direct-Pay Qualified School Construction Bonds, Election of 2008, Series E(a) (k)
|
AA–
|
5.400%
|
02/01/2026
|
N/A
|
1,123,600
|
|||||
5,000,000
|
Riverside Community College District, Riverside County, California, Election of 2004 General Obligation Bonds, Taxable Build America Bonds, Series 2010 D-1(a)
|
AA
|
7.021%
|
08/01/2040
|
08/01/20 @ 100
|
5,813,850
|
|||||
2,245,000
|
Santa Ana Unified School District, California, General Obligation Bonds, Federal Taxable Build America Bonds(a)
|
Aa3
|
6.800%
|
08/01/2030
|
N/A
|
2,878,472
|
|||||
7,755,000
|
Santa Ana Unified School District, California, General Obligation Bonds, Federal Taxable Build America Bonds(a)
|
Aa3
|
7.100%
|
08/01/2040
|
N/A
|
10,475,609
|
|||||
3,330,000
|
Sonoma Valley Unified School District, General Obligation, Federally Taxable Bonds(a) (k)
|
AA–
|
7.123%
|
08/01/2028
|
08/01/20 @ 100
|
3,699,863
|
|||||
90,727,421
|
|||||||||||
Colorado – 3.0%
|
|||||||||||
7,500,000
|
Colorado, Building Excellent Schools Today, Certificates of Participation, Taxable Build America Bonds, Series 2010E(a)
|
AA–
|
7.017%
|
03/15/2031
|
03/15/21 @ 100
|
9,294,150
|
|||||
2,500,000
|
Colorado, Building Excellent Schools Today, Certificates of Participation, Taxable Qualified School Construction, Series 2010-D
|
AA–
|
6.817%
|
03/15/2028
|
N/A
|
3,327,300
|
|||||
12,621,450
|
See notes to financial statements.
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 13
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Florida – 4.2%
|
|||||||||||
$
|
10,000,000
|
Miami-Dade County, Florida, Transit Sales Surtax Revenue, Taxable Build America Bonds, Series B(a) (k)
|
AA
|
6.910%
|
07/01/2039
|
07/01/19 @ 100
|
$
|
11,507,100
|
|||
5,000,000
|
Orlando, Florida, Community Redevelopment Agency, Taxable Tax Increment Revenue Build America Bonds, Series 2010B(a) (k)
|
A
|
7.784%
|
09/01/2040
|
09/01/20 @ 100
|
5,743,700
|
|||||
17,250,800
|
|||||||||||
Georgia – 1.3%
|
|||||||||||
5,000,000
|
Georgia Municipal Association, Inc., Certificates of Participation, DeKalb County Public Schools Project, (AGM)(k)
|
AA–
|
5.210%
|
12/01/2022
|
N/A
|
5,489,150
|
|||||
Illinois – 12.8%
|
|||||||||||
5,000,000
|
Chicago, Illinois, Board of Education, Unlimited Tax General Obligation Bonds, Dedicated Revenues, Taxable Build America Bonds, Series 2010D(a)
|
A+
|
6.519%
|
12/01/2040
|
N/A
|
5,762,150
|
|||||
5,100,000
|
Chicago, Illinois, Second Lien Wastewater Transmission Revenue Project Bonds, Taxable Build America Bonds, Series 2010B(a)
|
A+
|
6.900%
|
01/01/2040
|
N/A
|
6,563,394
|
|||||
2,990,000
|
Chicago, Illinois, Second Lien Water Revenue Bonds, Taxable Build America Bonds, Series 2010B(a)
|
AA–
|
6.742%
|
11/01/2040
|
N/A
|
4,132,808
|
|||||
5,000,000
|
Illinois, General Obligation Bonds, Taxable Build America Bonds, Series 2010-5(a)
|
A
|
7.350%
|
07/01/2035
|
N/A
|
6,162,350
|
|||||
7,140,000
|
Northern Illinois Municipal Power Agency, Power Project Taxable Revenue Bonds, Prairie State Project Build America Bonds(a) (k)
|
A2
|
7.620%
|
01/01/2030
|
N/A
|
9,182,040
|
|||||
2,860,000
|
Northern Illinois Municipal Power Agency, Power Project Taxable Revenue Bonds, Prairie State Project Build America Bonds(a) (k)
|
A2
|
7.820%
|
01/01/2040
|
N/A
|
4,087,912
|
|||||
4,500,000
|
Northern Illinois University, Auxiliary Facilities System Revenue Bonds, Build America Program, Taxable, Series 2010, (AGM)(a)
|
Aa3
|
7.947%
|
04/01/2035
|
04/01/20 @ 100
|
5,437,980
|
|||||
5,000,000
|
Northern Illinois University, Auxiliary Facilities System Revenue Bonds, Build America Program, Taxable, Series 2010, (AGM)(a)
|
Aa3
|
8.147%
|
04/01/2041
|
04/01/20 @ 100
|
6,093,400
|
|||||
3,000,000
|
Southwestern Illinois, Development Authority, Taxable Local Government, Program Revenue Bonds, Flood Prevention District Council Project, Recovery Zone Economic Development Bonds, Series 2010C(k)
|
AA
|
7.230%
|
10/15/2035
|
04/15/20 @ 100
|
3,412,440
|
|||||
2,000,000
|
Southwestern Illinois, Development Authority, Taxable Local Government, Program Revenue Bonds, Flood Prevention District Project, Build America Bonds, Series 2010-B(a) (k)
|
AA
|
7.030%
|
04/15/2032
|
04/15/20 @ 100
|
2,181,000
|
|||||
53,015,474
|
|||||||||||
Indiana – 6.2%
|
|||||||||||
8,690,000
|
Evansville-Vanderburgh Independent School Building Corporation, Unlimited Taxable Ad Valorem Property Tax First Mortgage Bonds, Series 2010E
|
AA+
|
6.500%
|
01/15/2030
|
07/15/20 @ 100
|
10,500,040
|
|||||
3,000,000
|
Knox County, Indiana, Good Samaritan Hospital Project, Taxable Economic Development Revenue Bonds, Qualified Energy Conservation Bonds – Direct Payment, Series 2012B(k)
|
A3
|
5.900%
|
04/01/2034
|
N/A
|
3,296,610
|
|||||
10,000,000
|
Noblesville Multi-School Building Corporation, Hamilton County, Indiana, Taxable Unlimited Ad Valorem Property Tax First Mortgage Bonds, Build America Bonds, Series 2010(a)
|
AA+
|
6.500%
|
07/15/2030
|
01/15/21 @ 100
|
11,759,700
|
|||||
25,556,350
|
|||||||||||
Louisiana – 2.4%
|
|||||||||||
8,000,000
|
Orleans Parish. School Board of the Parish of Orleans, Louisiana, (AGM)(k)
|
AA–
|
4.400%
|
02/01/2021
|
N/A
|
8,925,440
|
|||||
1,055,000
|
Tangipahoa Parish Hospital Service District No. 1, Louisiana, Taxable Hospital Revenue Bonds, North Oaks Health System Project, Build America Bonds, Series 2009A, (Assured GTY)(a)
|
AA–
|
7.200%
|
02/01/2042
|
02/01/20 @ 100
|
1,180,587
|
|||||
10,106,027
|
|||||||||||
Michigan – 4.3%
|
|||||||||||
415,000
|
Comstock Park Public Schools, Kent County, Michigan, 2011 School Building and Site Bonds, General Obligation – Unlimited Tax, Federally Taxable – Qualified School Construction Bonds – Direct Payment, Series A(k)
|
AA–
|
6.300%
|
05/01/2026
|
05/01/21 @ 100
|
465,439
|
|||||
690,000
|
Detroit, Michigan, School District, Build America Bonds(a) (k)
|
AA–
|
7.747%
|
05/01/2039
|
N/A
|
872,119
|
See notes to financial statements.
|
14 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Michigan (continued)
|
|||||||||||
$
|
5,000,000
|
Detroit, Michigan, School District, School Building and Site Bonds, Unlimited Tax General Obligation Bonds, Taxable Build America Bonds, Series, Series 2010B(a) (k)
|
AA–
|
6.845%
|
05/01/2040
|
05/01/20 @ 100
|
$
|
5,358,400
|
|||
1,640,000
|
Detroit, Michigan, School District, School Building and Site Bonds, Unlimited Tax General Obligation Bonds, Taxable Qualified School Construction Bonds, Series 2010A(k)
|
AA–
|
6.645%
|
05/01/2029
|
N/A
|
1,935,807
|
|||||
3,000,000
|
Fraser Public School District, Macomb County, Michigan, General Obligation Federally Taxable School Construction Bonds, 2011 School Building and Site Bonds, Series B(k)
|
AA–
|
6.050%
|
05/01/2026
|
05/01/21 @ 100
|
3,361,680
|
|||||
1,000,000
|
Oakridge, Michigan, Public Schools, Unlimited Tax General Obligation Bonds(k)
|
AA–
|
6.750%
|
05/01/2026
|
05/01/20 @ 100
|
1,113,340
|
|||||
2,500,000
|
Whitehall District Schools, Muskegon County, Michigan, 2010 School Building and Site Bonds, General Obligation, Unlimited Tax Bonds, Taxable Qualified School Construction Bonds, Series A(k)
|
AA–
|
6.100%
|
05/01/2026
|
05/01/20 @ 100
|
2,756,875
|
|||||
2,000,000
|
Whitehall District Schools, Muskegon County, Michigan, 2010 School Building and Site Bonds, General Obligation, Unlimited Tax Bonds, Taxable Qualified School Construction Bonds, Series A(k)
|
AA–
|
6.500%
|
05/01/2029
|
05/01/20 @ 100
|
2,202,460
|
|||||
18,066,120
|
|||||||||||
Minnesota – 0.9%
|
|||||||||||
1,660,000
|
St. Paul Housing & Redevelopment Authority, Federally Taxable Revenue Bonds(j) (k)
|
AA
|
7.250%
|
02/01/2035
|
02/01/21 @ 100
|
1,860,927
|
|||||
1,540,000
|
St. Paul Housing & Redevelopment Authority, Federally Taxable Revenue Bonds(j) (k)
|
AA
|
7.500%
|
02/01/2040
|
02/01/21 @ 100
|
1,719,225
|
|||||
3,580,152
|
|||||||||||
Mississippi – 1.8%
|
|||||||||||
5,000,000
|
Medical Center Educational Building Corporation, Taxable Build America Bonds, University of Mississippi Medical Center Facilities Expansion and Renovation Project, Series 2010A(a) (k)
|
AA–
|
6.842%
|
06/01/2035
|
06/01/20 @ 100
|
5,584,250
|
|||||
1,000,000
|
Mississippi, Hospital Equipment and Facilities Authority, Taxable Build America Revenue Bonds, Forrest County General Hospital Project, Series 2010(a) (k)
|
A2
|
7.265%
|
01/01/2032
|
01/01/20 @ 100
|
1,087,780
|
|||||
905,000
|
Mississippi, Hospital Equipment and Facilities Authority, Taxable Build America Revenue Bonds, Forrest County General Hospital Project, Series 2010(a) (k)
|
A2
|
7.390%
|
01/01/2040
|
01/01/20 @ 100
|
974,051
|
|||||
7,646,081
|
|||||||||||
Nevada – 2.6%
|
|||||||||||
1,425,000
|
Clark County, Nevada, Airport Revenue Bonds, Build America Bonds, Series B(a) (k)
|
AA–
|
6.881%
|
07/01/2042
|
07/01/19 @ 100
|
1,631,269
|
|||||
1,200,000
|
Las Vegas Valley Water District, Nevada, Limited Tax General Obligation Water Bonds, Taxable Build America Bonds, Series 2009A(a) (k)
|
AA+
|
7.100%
|
06/01/2039
|
06/01/19 @ 100
|
1,388,028
|
|||||
1,500,000
|
Nevada System of Higher Education University, Revenue Bonds, Build America Bonds(a) (k)
|
AA–
|
7.600%
|
07/01/2030
|
07/01/20 @ 100
|
1,794,030
|
|||||
5,050,000
|
Nevada System of Higher Education University, Revenue Bonds, Build America Bonds(a)
|
AA–
|
7.900%
|
07/01/2040
|
07/01/20 @ 100
|
6,060,757
|
|||||
10,874,084
|
|||||||||||
New Jersey – 6.3%
|
|||||||||||
8,000,000
|
Camden County Improvement Authority, Camden County, New Jersey, Lease Revenue Bonds, Cooper Medical School of Rowan University Project, Series 2010A (k)
|
A+
|
7.747%
|
07/01/2034
|
07/01/20 @ 100
|
9,286,160
|
|||||
2,000,000
|
Camden County Improvement Authority, Camden County, New Jersey, Lease Revenue Bonds, Cooper Medical School of Rowan University Project, Series 2010A (k)
|
A+
|
7.847%
|
07/01/2035
|
07/01/20 @ 100
|
2,320,340
|
|||||
10,000,000
|
New Jersey Turnpike Authority, Turnpike Revenue Bonds, Federally Taxable Issuer Subsidy, Build America Bonds, Series 2010A(a)
|
A+
|
7.102%
|
01/01/2041
|
N/A
|
14,360,300
|
|||||
25,966,800
|
|||||||||||
New York – 5.9%
|
|||||||||||
5,000,000
|
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Taxable Build America Bonds, Series 2010E(a)
|
A
|
7.134%
|
11/15/2030
|
11/15/20 @ 100
|
5,958,450
|
|||||
5,000,000
|
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Taxable Build America Bonds, Series 2010B-1(a)
|
A
|
6.548%
|
11/15/2031
|
N/A
|
6,258,300
|
See notes to financial statements.
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 15
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
New York (continued )
|
|||||||||||
$
|
10,000,000
|
Westchester County Health Care Corporation, Revenue Bonds, Taxable Build America Bonds, Series 2010(a) (k)
|
BBB
|
8.572%
|
11/01/2040
|
N/A
|
$
|
12,258,600
|
|||
24,475,350
|
|||||||||||
Ohio – 5.2%
|
|||||||||||
5,000,000
|
American Municipal Power, Inc., Combined Hydroelectric Projects Revenue Bonds, New Clean Renewable Energy Bonds, Series 2010C(k)
|
A
|
7.334%
|
02/15/2028
|
N/A
|
6,514,850
|
|||||
1,950,000
|
Cuyahoga County, Ohio, Hospital Revenue Bonds, The Metrohealth System, Build America Bonds, Taxable, Series 2009B(a) (k)
|
A–
|
8.223%
|
02/15/2040
|
N/A
|
2,437,831
|
|||||
2,500,000
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Build America Bonds, Series 2010A(a) (k)
|
AA
|
6.900%
|
12/01/2034
|
12/01/20 @ 100
|
2,756,975
|
|||||
2,500,000
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Build America Bonds, Series 2010A(a) (k)
|
AA
|
7.150%
|
12/01/2039
|
12/01/20 @ 100
|
2,742,650
|
|||||
2,500,000
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Build America Bonds, Series 2010A(a) (k)
|
AA
|
7.300%
|
12/01/2043
|
12/01/20 @ 100
|
2,741,250
|
|||||
2,500,000
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Qualified School Construction Bonds, Series 2010B(k)
|
AA
|
6.650%
|
12/01/2029
|
12/01/20 @ 100
|
2,969,150
|
|||||
1,230,000
|
Toronto City School District, Ohio, Qualified School Construction Bonds General Obligation Bonds(k)
|
AA
|
7.000%
|
12/01/2028
|
12/01/20 @ 100
|
1,381,401
|
|||||
21,544,107
|
|||||||||||
Pennsylvania – 4.3%
|
|||||||||||
4,865,000
|
Lebanon, Pennsylvania, Sewer Revenue Bonds, Taxable Build America Bonds, Series B of 2010(a) (k)
|
A+
|
7.140%
|
12/15/2035
|
06/15/20 @ 100
|
5,467,579
|
|||||
7,500,000
|
Pittsburgh, Pennsylvania, School District, Taxable Qualified School Construction Bonds, Series D
|
A
|
6.850%
|
09/01/2029
|
N/A
|
9,487,425
|
|||||
2,500,000
|
School District of Philadelphia, Pennsylvania, General Obligation Bonds, Series 2011A, Qualified School Construction Bonds - (Federally Taxable - Direct Subsidy)(k)
|
A+
|
5.995%
|
09/01/2030
|
N/A
|
2,797,675
|
|||||
17,752,679
|
|||||||||||
South Carolina – 1.4%
|
|||||||||||
5,000,000
|
Horry County, South Carolina, Taxable Airport Revenue Bonds, Recovery Zone Economic Development Bonds, Series 2010B(a) (j) (k)
|
A–
|
7.328%
|
07/01/2040
|
N/A
|
5,972,600
|
|||||
South Dakota – 0.9%
|
|||||||||||
3,490,000
|
Pierre, South Dakota, Taxable Electric Revenue Bonds, Recovery Zone Economic Development Bonds, Series 2010C(a) (k)
|
A2
|
7.500%
|
12/15/2040
|
12/15/19 @ 100
|
3,908,172
|
|||||
Texas – 5.8%
|
|||||||||||
10,000,000
|
Dallas, Texas, Convention Center Hotel Development Corporation, Hotel Revenue Bonds, Taxable Build America Bonds, Series 2009B(a) (k)
|
A+
|
7.088%
|
01/01/2042
|
N/A
|
12,208,200
|
|||||
10,000,000
|
El Paso, Texas, Combination Tax and Revenue Certification of Obligation, Taxable Build America Bonds, Series 2010B(a)
|
AA
|
6.700%
|
08/15/2036
|
08/15/20 @ 100
|
11,820,500
|
|||||
24,028,700
|
|||||||||||
Vermont – 2.6%
|
|||||||||||
2,155,000
|
Vermont State Colleges, Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (k)
|
A+
|
6.101%
|
07/01/2025
|
07/01/20 @ 100
|
2,373,539
|
|||||
7,500,000
|
Vermont State Colleges, Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (k)
|
A+
|
7.211%
|
07/01/2040
|
07/01/20 @ 100
|
8,521,725
|
|||||
10,895,264
|
|||||||||||
Washington – 9.6%
|
|||||||||||
5,000,000
|
Anacortes, Washington, Utility System Improvement Revenue Bonds, Build America Bonds, Series 2010B(a) (k)
|
AA–
|
6.479%
|
12/01/2030
|
12/01/20 @ 100
|
5,688,800
|
|||||
2,000,000
|
Auburn, Washington, Utility System Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (k)
|
AA
|
6.396%
|
12/01/2030
|
12/01/20 @ 100
|
2,315,520
|
See notes to financial statements.
|
16 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Washington (continued)
|
|||||||||||
$
|
5,000,000
|
Central Washington University, System Revenue Bonds, 2010, Taxable Build America Bonds, Series B(a) (k)
|
A1
|
6.500%
|
05/01/2030
|
N/A
|
$
|
5,815,000
|
|||
5,800,000
|
Public Hospital District No. 1, King County, Washington, Valley Medical Center, Hospital Facilities Revenue Bonds, Series 2010B(a) (k)
|
BBB+
|
8.000%
|
06/15/2040
|
06/15/20 @ 100
|
6,574,822
|
|||||
5,000,000
|
Washington State Convention Center Public Facilities District, Lodging Tax Bonds, Taxable Build America Bonds, Series 2010B(a)
|
A+
|
6.790%
|
07/01/2040
|
N/A
|
6,195,800
|
|||||
3,325,000
|
Washington State University, Housing and Dining System Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (k)
|
A+
|
7.099%
|
04/01/2032
|
N/A
|
4,257,197
|
|||||
6,675,000
|
Washington State University, Housing and Dining System Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (k)
|
A+
|
7.399%
|
04/01/2041
|
N/A
|
8,840,770
|
|||||
39,687,909
|
|||||||||||
West Virginia – 3.4%
|
|||||||||||
10,000,000
|
State of West Virginia, Higher Education Policy Commission, Revenue Bonds, Federally Taxable Build America Bonds 2010, Series B(a)
|
A+
|
7.650%
|
04/01/2040
|
N/A
|
14,145,100
|
|||||
Total Municipal Bonds – 109.5%
|
|||||||||||
(Cost $378,852,425)
|
454,866,960
|
||||||||||
Corporate Bonds – 9.1%
|
|||||||||||
Advertising – 0.1%
|
|||||||||||
200,000
|
Sitel, LLC / Sitel Finance Corp.(b) (k)
|
B
|
11.000%
|
08/01/2017
|
08/01/14 @ 106
|
201,000
|
|||||
Airlines – 1.0%
|
|||||||||||
137,276
|
Atlas Air 1999-1 Pass-Through Trust, Series 1999-1, Class A-1(k)
|
NR
|
7.200%
|
07/02/2020
|
N/A
|
137,276
|
|||||
2,092,726
|
Atlas Air 2000-1 Class A Pass Through Trust, Series 2000-1, Class A(k)
|
NR
|
8.707%
|
07/02/2021
|
N/A
|
2,092,726
|
|||||
2,000,000
|
Delta Air Lines 2011-1 Class B Pass-Through Trust, Series 2011-1, Class B(k)
|
BB
|
7.125%
|
04/15/2016
|
N/A
|
2,047,500
|
|||||
160,000
|
Global Aviation Holdings, Inc.(h) (j) (k)
|
NR
|
14.000%
|
08/15/2013
|
01/04/13 @ 111
|
46,800
|
|||||
4,324,302
|
|||||||||||
Building Materials – 0.5%
|
|||||||||||
2,000,000
|
Cemex SAB de CV (Mexico)(b) (k)
|
B–
|
9.000%
|
01/11/2018
|
01/11/15 @ 105
|
2,115,000
|
|||||
Coal – 0.1%
|
|||||||||||
275,000
|
Penn Virginia Resource Partners LP / Penn Virginia Resource Finance Corp.(k)
|
B
|
8.250%
|
04/15/2018
|
04/15/14 @ 104
|
287,375
|
|||||
200,000
|
Penn Virginia Resource Partners, LP / Penn Virginia Resource Finance Corp. II (b) (k)
|
B
|
8.375%
|
06/01/2020
|
06/01/16 @ 104
|
210,000
|
|||||
497,375
|
|||||||||||
Commercial Services – 0.6%
|
|||||||||||
400,000
|
Ceridian Corp.(b) (k)
|
B–
|
8.875%
|
07/15/2019
|
07/15/15 @ 107
|
428,000
|
|||||
2,200,000
|
DynCorp International, Inc.(k)
|
B–
|
10.375%
|
07/01/2017
|
07/01/14 @ 105
|
1,941,500
|
|||||
180,000
|
Rural Metro Corp.(b)
|
CCC+
|
10.125%
|
07/15/2019
|
07/15/15 @ 105
|
170,100
|
|||||
100,000
|
Rural Metro Corp.(b)
|
CCC+
|
10.125%
|
07/15/2019
|
07/15/15 @ 105
|
94,000
|
|||||
2,633,600
|
|||||||||||
Computers – 0.1%
|
|||||||||||
455,000
|
Stream Global Services, Inc.
|
B+
|
11.250%
|
10/01/2014
|
10/01/13 @ 100
|
477,750
|
|||||
Distribution & Wholesale – 0.1%
|
|||||||||||
330,000
|
INTCOMEX, Inc.(k)
|
B–
|
13.250%
|
12/15/2014
|
12/15/13 @ 100
|
335,775
|
|||||
Diversified Financial Services – 0.1%
|
|||||||||||
200,000
|
Jefferies Group, Inc.(k)
|
BBB
|
6.875%
|
04/15/2021
|
N/A
|
221,500
|
|||||
39,000
|
LCP Dakota Fund, Series 2012-6, Class P
|
NR
|
10.000%
|
12/16/2019
|
N/A
|
39,336
|
|||||
140,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.(b) (k)
|
B+
|
9.625%
|
05/01/2019
|
05/01/15 @ 107
|
155,050
|
|||||
415,886
|
See notes to financial statements.
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 17
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Engineering & Construction – 0.6%
|
|||||||||||
$
|
2,266,667
|
Alion Science and Technology Corp.(c) (k)
|
B–
|
12.000%
|
11/01/2014
|
04/01/13 @ 105
|
$
|
2,108,000
|
|||
1,000,000
|
Alion Science and Technology Corp.(k)
|
CCC–
|
10.250%
|
02/01/2015
|
02/01/13 @ 100
|
510,000
|
|||||
2,618,000
|
|||||||||||
Entertainment – 1.2%
|
|||||||||||
1,600,000
|
Diamond Resorts Corp.(k)
|
B–
|
12.000%
|
08/15/2018
|
08/15/14 @ 106
|
1,728,000
|
|||||
1,810,000
|
Lions Gate Entertainment, Inc.(b) (k)
|
B
|
10.250%
|
11/01/2016
|
11/01/13 @ 105
|
2,013,625
|
|||||
1,000,000
|
WMG Acquisition Corp.(k)
|
B–
|
11.500%
|
10/01/2018
|
10/01/14 @ 109
|
1,130,000
|
|||||
100,000
|
Yonkers Racing Corp.(b) (k)
|
B+
|
11.375%
|
07/15/2016
|
07/15/13 @ 106
|
107,750
|
|||||
4,979,375
|
|||||||||||
Food – 0.5%
|
|||||||||||
2,009,000
|
Bumble Bee Acquisition Corp.(b) (k)
|
B
|
9.000%
|
12/15/2017
|
12/15/14 @ 105
|
2,119,495
|
|||||
Health Care Services – 0.4%
|
|||||||||||
750,000
|
Apria Healthcare Group, Inc.(k)
|
BB
|
11.250%
|
11/01/2014
|
11/01/13 @ 100
|
775,313
|
|||||
325,000
|
OnCure Holdings, Inc.(k)
|
Caa3
|
11.750%
|
05/15/2017
|
05/15/14 @ 106
|
167,375
|
|||||
210,000
|
Physiotherapy Associates Holdings, Inc.(b) (k)
|
B
|
11.875%
|
05/01/2019
|
05/01/15 @ 109
|
207,900
|
|||||
423,503
|
Symbion, Inc.(d) (k)
|
CCC+
|
11.000%
|
08/23/2015
|
08/23/13 @ 100
|
436,208
|
|||||
150,000
|
Symbion, Inc.(k)
|
B
|
8.000%
|
06/15/2016
|
06/15/14 @ 104
|
154,500
|
|||||
1,741,296
|
|||||||||||
Internet – 1.1%
|
|||||||||||
4,250,000
|
GXS Worldwide, Inc.(k)
|
B
|
9.750%
|
06/15/2015
|
06/15/13 @ 102
|
4,435,937
|
|||||
120,000
|
Open Solutions, Inc.(b) (k)
|
CCC+
|
9.750%
|
02/01/2015
|
02/01/13 @ 100
|
96,600
|
|||||
100,000
|
Zayo Group LLC / Zayo Capital, Inc.
|
B
|
8.125%
|
01/01/2020
|
07/01/15 @ 104
|
109,250
|
|||||
4,641,787
|
|||||||||||
Leisure Time – 0.0%***
|
|||||||||||
75,000
|
Sabre, Inc.(b)
|
B
|
8.500%
|
05/15/2019
|
05/15/15 @ 106
|
79,313
|
|||||
Lodging – 0.2%
|
|||||||||||
100,000
|
Caesars Entertainment Operating Co., Inc.(b) (k)
|
B
|
8.500%
|
02/15/2020
|
02/15/16 @ 104
|
98,000
|
|||||
900,000
|
Caesars Entertainment Operating Co., Inc.(b) (k)
|
B
|
9.000%
|
02/15/2020
|
02/15/16 @ 105
|
897,750
|
|||||
995,750
|
|||||||||||
Machinery-Diversified – 0.1%
|
|||||||||||
250,000
|
Tempel Steel Co.(b) (k)
|
B
|
12.000%
|
08/15/2016
|
02/15/14 @ 109
|
225,000
|
|||||
Media – 0.1%
|
|||||||||||
520,000
|
Baker & Taylor Acquisitions Corp.(b) (k)
|
CCC
|
15.000%
|
04/01/2017
|
N/A
|
390,000
|
|||||
Mining – 0.2%
|
|||||||||||
260,000
|
Horsehead Holding Corp.(b)
|
B–
|
10.500%
|
06/01/2017
|
06/01/15 @ 105
|
270,400
|
|||||
100,000
|
Kaiser Aluminum Corp.(k)
|
BB–
|
8.250%
|
06/01/2020
|
06/01/16 @ 104
|
109,500
|
|||||
400,000
|
Midwest Vanadium Pty Ltd. (Australia)(b) (k)
|
CCC+
|
11.500%
|
02/15/2018
|
02/15/15 @ 106
|
250,000
|
|||||
629,900
|
|||||||||||
Oil & Gas – 0.2%
|
|||||||||||
100,000
|
EPL Oil & Gas, Inc.(b)
|
B–
|
8.250%
|
02/15/2018
|
02/15/15 @ 104
|
99,250
|
|||||
600,000
|
Midstates Petroleum Co., Inc./ Midstates Petroleum Co. LLC(b)
|
B–
|
10.750%
|
10/01/2020
|
10/01/16 @ 105
|
633,000
|
|||||
732,250
|
|||||||||||
Oil & Gas Services – 0.1%
|
|||||||||||
200,000
|
Exterran Holdings, Inc.(k)
|
BB
|
7.250%
|
12/01/2018
|
12/01/13 @ 105
|
210,000
|
|||||
Packaging & Containers – 0.1%
|
|||||||||||
300,000
|
Pretium Packaging, LLC / Pretium Finance, Inc.(k)
|
B–
|
11.500%
|
04/01/2016
|
04/01/14 @ 106
|
309,750
|
See notes to financial statements.
|
18 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Real Estate Investment Trusts – 0.2%
|
|||||||||||
$
|
750,000
|
Wells Operating Partnership II, LP(k)
|
BBB–
|
5.875%
|
04/01/2018
|
N/A
|
$
|
785,873
|
|||
Retail – 0.4%
|
|||||||||||
100,000
|
Checkers Drive-In Restaurants, Inc.(b)
|
B–
|
11.000%
|
12/01/2017
|
06/01/15 @ 108
|
101,250
|
|||||
880,000
|
GRD Holdings III Corp.(b) (k)
|
B
|
10.750%
|
06/01/2019
|
06/01/15 @ 108
|
899,800
|
|||||
190,000
|
Logan’s Roadhouse, Inc.(k)
|
B–
|
10.750%
|
10/15/2017
|
10/15/13 @ 108
|
178,125
|
|||||
220,000
|
Mastro’s Restaurants, LLC/ RRG Finance Corp.(b) (k)
|
B–
|
15.000%
|
06/01/2017
|
12/01/14 @ 109
|
226,875
|
|||||
190,000
|
Wok Acquisition Corp.(b)
|
CCC+
|
10.250%
|
06/30/2020
|
06/30/16 @ 105
|
199,975
|
|||||
1,606,025
|
|||||||||||
Software – 0.1%
|
|||||||||||
400,000
|
Infor US, Inc.(k)
|
B–
|
11.500%
|
07/15/2018
|
07/15/15 @ 106
|
464,000
|
|||||
Textiles – 0.0%***
|
|||||||||||
150,000
|
Empire Today, LLC / Empire Today Finance Corp.(b) (k)
|
B–
|
11.375%
|
02/01/2017
|
02/01/14 @ 106
|
160,125
|
|||||
Transportation – 0.6%
|
|||||||||||
50,156
|
Atlas Air, Inc.(b) (k)
|
NR
|
8.707%
|
07/02/2021
|
N/A
|
50,156
|
|||||
985,000
|
CEVA Group PLC (United Kingdom)(b) (k)
|
B–
|
8.375%
|
12/01/2017
|
12/01/13 @ 106
|
955,450
|
|||||
1,450,000
|
Marquette Transportation Company/Marquette Transportation Finance Corp.(k)
|
B–
|
10.875%
|
01/15/2017
|
01/15/14 @ 105
|
1,518,875
|
|||||
2,524,481
|
|||||||||||
Trucking & Leasing – 0.4%
|
|||||||||||
1,616,000
|
AWAS Aviation Capital Ltd. (Ireland)(b) (k)
|
BBB
|
7.000%
|
10/17/2016
|
10/18/13 @ 104
|
1,704,880
|
|||||
Total Corporate Bonds – 9.1%
|
|||||||||||
(Cost $37,694,366)
|
37,917,988
|
||||||||||
Asset Backed Securities – 5.7%
|
|||||||||||
Automobile – 0.0%***
|
|||||||||||
44,023
|
Bush Truck Leasing, LLC, Series 2011-AA, Class C(b) (k)
|
NR
|
5.000%
|
09/25/2018
|
N/A
|
43,901
|
|||||
Collateralized Debt Obligation – 1.7%
|
|||||||||||
143,312
|
Diversified Asset Securitization Holdings II LP, Series 1X, Class A1L (Cayman Islands)(e)
|
BBB+ |
0.879%
|
09/15/2035
|
N/A
|
138,058
|
|||||
45,591
|
G-Star Ltd., Series 2003-A, Class A1 (Cayman Islands)(b) (e) (k)
|
BBB–
|
0.946%
|
03/13/2038
|
N/A
|
44,650
|
|||||
242,986
|
Independence I CDO Ltd., Series 1A, Class A (Cayman Islands)(b) (e) (k)
|
BB+
|
0.709%
|
12/30/2030
|
N/A
|
234,008
|
|||||
6,718,135
|
Putnam Structured Product, Series 2003-1A, Class A1LB(b) (e) (k)
|
CCC
|
0.658%
|
10/15/2038
|
N/A
|
6,061,505
|
|||||
639,471
|
Putnam Structured Product CDO, Series 2002-1A, Class A2 (Cayman Islands)(b) (e) (k)
|
CCC+
|
0.889%
|
01/10/2038
|
N/A
|
557,957
|
|||||
200,000
|
Stone Tower CDO Ltd., Series 2004-1A, Class A2L (Cayman Islands)(b) (e) (k)
|
BBB–
|
1.563%
|
01/29/2040
|
N/A
|
180,418
|
|||||
7,216,596
|
|||||||||||
Collateralized Loan Obligation – 2.5%
|
|||||||||||
500,000
|
Alm Loan Funding, Series 2010-3A, Class C(b) (e) (k)
|
BBB
|
4.312%
|
11/20/2020
|
N/A
|
477,658
|
|||||
250,000
|
Atlas Senior Loan Fund II Ltd., Series 2012-2A (Cayman Islands)(b) (l)
|
NR
|
0.000%
|
01/30/2024
|
N/A
|
238,440
|
|||||
100,000
|
BlackRock Senior Income Series Corp., Series 2004-1A (Cayman Islands)(b) (k) (l)
|
NR
|
0.000%
|
09/15/2016
|
N/A
|
53,500
|
|||||
889,201
|
CapitalSource Commercial Loan Trust, Series 2006-2A, Class D(b) (e) (k)
|
B+
|
1.728%
|
09/20/2022
|
N/A
|
868,493
|
|||||
250,000
|
Carlyle Global Market Strategies, Series 2012-3A (Cayman Islands)(b) (l)
|
NR
|
0.000%
|
10/04/2024
|
N/A
|
245,862
|
|||||
250,000
|
Cerberus Offshore Levered I LP, Series 2012-1A, Class C (Cayman Islands)(b) (e)
|
Baa2
|
6.447%
|
11/30/2018
|
N/A
|
251,985
|
|||||
2,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class C (Cayman Islands)(b) (e) (k)
|
A+
|
1.600%
|
07/10/2019
|
N/A
|
1,666,677
|
|||||
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D1 (Cayman Islands)(b) (e) (k)
|
BBB+
|
2.950%
|
07/10/2019
|
N/A
|
878,200
|
|||||
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D2 (Cayman Islands)(b) (e) (k)
|
BBB+
|
8.370%
|
07/10/2019
|
N/A
|
985,603
|
|||||
145,601
|
Colts Trust, Series 2005-2A, Class C (Cayman Islands)(b) (e) (k)
|
AAA
|
1.229%
|
12/20/2018
|
N/A
|
145,931
|
|||||
250,000
|
Colts Trust, Series 2007-1A, Class C (Cayman Islands)(b) (e) (k)
|
AA
|
1.179%
|
03/20/2021
|
N/A
|
205,300
|
|||||
300,000
|
Cratos CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(b) (e) (k)
|
AA–
|
1.411%
|
05/19/2021
|
N/A
|
250,827
|
|||||
550,000
|
Eastland CLO Ltd., Series 2007-1A, Class A2B (Cayman Islands)(b) (e) (k)
|
AA+
|
0.643%
|
05/01/2022
|
N/A
|
453,127
|
See notes to financial statements.
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 19
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Collateralized Loan Obligation (continued)
|
|||||||||||
$
|
250,000
|
Emporia Preferred Funding (Cayman Islands)(b) (e) (k)
|
AA
|
1.293%
|
10/12/2018
|
N/A
|
$
|
223,340
|
|||
250,000
|
Genesis CLO Ltd., Series 2007-2A, Class D (Cayman Islands)(b) (e) (k)
|
BBB
|
4.350%
|
01/10/2016
|
N/A
|
248,294
|
|||||
200,000
|
Katonah IX CLO Ltd., Series 2006-9A, Class A3L (Cayman Islands)(b) (e) (k)
|
BBB+
|
1.035%
|
01/25/2019
|
N/A
|
164,820
|
|||||
500,000
|
KKR CLO Trust, Series 2007-1A, Class D (Cayman Islands)(b) (e) (k)
|
A
|
2.560%
|
05/15/2021
|
N/A
|
459,205
|
|||||
100,000
|
Knightsbridge CLO, Series 2007-1A, Class D (Cayman Islands)(b) (e) (k)
|
BBB
|
5.347%
|
01/11/2022
|
N/A
|
95,020
|
|||||
1,992,806
|
Newstar Trust, Series 2005-1A, Class C(b) (e) (k)
|
B+
|
1.165%
|
07/25/2018
|
N/A
|
1,811,716
|
|||||
312,982
|
Sargas CLO II Ltd., Series 2006-1A, Class E (Cayman Islands)(b) (e) (k)
|
B+
|
4.319%
|
10/20/2018
|
N/A
|
310,832
|
|||||
200,000
|
Summit Lake CLO Ltd., Series 2005-1A, Class C1A(l)
|
NR
|
0.000%
|
02/24/2018
|
N/A
|
121,826
|
|||||
250,000
|
T2 Income Fund CLO Ltd., Series 2007-1A, Class D (Cayman Islands)(b) (e) (k)
|
A+
|
3.090%
|
07/15/2019
|
N/A
|
216,846
|
|||||
10,373,502
|
|||||||||||
Commercial Receivables – 0.1%
|
|||||||||||
400,000
|
Leaf II Receivables Funding, LLC, Series 2010-4, Class D(b) (k)
|
NR
|
5.000%
|
01/20/2019
|
N/A
|
371,080
|
|||||
Credit Card – 0.1%
|
|||||||||||
417,631
|
Citi Holdings Liquidating Unrated Performing Assets, Series 2012-Biz A(b) (l)
|
NR
|
0.000%
|
12/15/2049
|
N/A
|
301,943
|
|||||
Insurance – 0.0%***
|
|||||||||||
94,600
|
Insurance Note Capital Term, Series 2005-1R1A(b) (e) (k)
|
A–
|
0.529%
|
06/09/2033
|
N/A
|
87,372
|
|||||
Media – 0.8%
|
|||||||||||
1,300,000
|
Adams Outdoor Advertising, LP, Series 2010-1, Class B(b) (k)
|
Ba2
|
8.836%
|
12/20/2040
|
N/A
|
1,401,834
|
|||||
1,825,000
|
Adams Outdoor Advertising, LP, Series 2010-1, Class C(b) (k)
|
B3
|
10.756%
|
12/20/2040
|
N/A
|
1,975,358
|
|||||
3,377,192
|
|||||||||||
Other ABS – 0.0%***
|
|||||||||||
19,010
|
Aircraft Certificate Owner Trust, Series 2003-1A, Class D(b) (j) (k)
|
BB
|
6.455%
|
09/20/2022
|
N/A
|
19,295
|
|||||
Timeshare – 0.1%
|
|||||||||||
223,842
|
Silverleaf Finance LLC, Series 2011-A, Class A(b) (k)
|
NR
|
9.000%
|
06/15/2023
|
N/A
|
222,373
|
|||||
Transportation – 0.4%
|
|||||||||||
22,556
|
Castle Trust, Series 2003-1AW, Class A1(b) (e) (k)
|
AA
|
0.958%
|
05/15/2027
|
N/A
|
20,864
|
|||||
178,262
|
Raspro Trust, Series 2005-1A, Class G(b) (e) (k)
|
A
|
0.779%
|
03/23/2024
|
N/A
|
150,631
|
|||||
1,579,670
|
Vega Containervessel PLC, Series 2006-1A, Class A(b) (k)
|
Ba3
|
5.562%
|
02/10/2021
|
N/A
|
1,516,484
|
|||||
1,687,979
|
|||||||||||
Total Asset Backed Securities – 5.7%
|
|||||||||||
(Cost $22,585,412)
|
23,701,233
|
||||||||||
Collateralized Mortgage Obligations – 0.5%
|
|||||||||||
Commercial Mortgage Backed Security – Traditional – 0.5%
|
|||||||||||
2,000,000
|
GS Mortgage Securities Corp. II, Series 2007-EOP, Class H(b) (e) (k)
|
BBB–
|
3.300%
|
03/06/2020
|
N/A
|
2,012,600
|
|||||
Residential Mortgage Backed Security – 0.0%***
|
|||||||||||
92,692
|
Nomura Resecuritization Trust, Series 2012-1R, Class A(b) (e) (k)
|
NR
|
0.651%
|
08/27/2047
|
N/A
|
81,106
|
|||||
Total Collateralized Mortgage Obligations – 0.5%
|
|||||||||||
(Cost $1,896,984)
|
2,093,706
|
||||||||||
Term Loans – 4.8%(f)
|
|||||||||||
Aerospace and Defense – 0.0%***
|
|||||||||||
98,521
|
API Technologies Corp.(j)
|
B
|
8.750%
|
06/27/2016
|
N/A
|
97,043
|
|||||
Automotive – 0.1%
|
|||||||||||
40,000
|
Fleetpride, 2nd Lien
|
CCC+
|
9.250%
|
05/15/2020
|
N/A
|
39,333
|
|||||
19,950
|
Keystone Automotive
|
Caa2
|
9.750%
|
03/30/2016
|
N/A
|
20,150
|
|||||
340,000
|
Navistar, Inc.
|
B+
|
7.000%
|
08/16/2017
|
N/A
|
341,598
|
|||||
401,081
|
See notes to financial statements.
|
20 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Brokerage – 0.0%***
|
|||||||||||
$
|
30,000
|
AmWins Group, Inc., 2nd Lien
|
CCC+
|
9.250%
|
12/07/2019
|
N/A
|
$
|
30,375
|
|||
Consumer Products – 0.1%
|
|||||||||||
345,625
|
Targus Group International, Inc.
|
B
|
11.000%
|
5/24/16
|
N/A
|
349,945
|
|||||
Consumer Services – 0.4%
|
|||||||||||
350,000
|
Endurance International, Lien 1
|
B
|
6.250%
|
11/06/2019
|
N/A
|
349,855
|
|||||
98,750
|
Nab Holdings, LLC, 1st Lien
|
BB+
|
7.000%
|
04/24/2018
|
N/A
|
99,737
|
|||||
885,106
|
Osmose Holdings, Inc.
|
B+
|
6.750%
|
11/26/18
|
N/A
|
889,531
|
|||||
112,394
|
Osmose Holdings, Inc.
|
B+
|
0.500%
|
11/26/2018
|
N/A
|
112,956
|
|||||
30,000
|
Travelport Holdings Ltd.
|
B+
|
4.860%
|
08/21/2015
|
N/A
|
28,554
|
|||||
1,480,633
|
|||||||||||
Diversified Manufacturing – 0.1%
|
|||||||||||
420,000
|
CPM Holdings, 1st Lien
|
B+
|
6.250%
|
08/16/2017
|
N/A
|
424,200
|
|||||
Electric – 0.0%***
|
|||||||||||
100,000
|
Astoria Generating Co. Acquisitions
|
B
|
8.500%
|
10/26/2017
|
N/A
|
100,407
|
|||||
Entertainment – 0.0%***
|
|||||||||||
90,000
|
CKX Entertainment, Inc., 1st Lien
|
B+
|
9.000%
|
06/21/2017
|
N/A
|
78,075
|
|||||
Food – 0.1%
|
|||||||||||
323,000
|
Arctic, 1st Lien
|
B
|
8.500%
|
07/27/2018
|
N/A
|
327,038
|
|||||
Gaming – 0.1%
|
|||||||||||
314,667
|
Rock Ohio Caesar LLC
|
BB–
|
8.500%
|
08/11/2017
|
N/A
|
323,713
|
|||||
Health Care Services – 0.2%
|
|||||||||||
100,000
|
Ardent Medical Services, Lien 1
|
B+
|
6.750%
|
05/19/2018
|
N/A
|
100,834
|
|||||
840,000
|
One Call Medical, Inc., Lein 1
|
B+
|
7.000%
|
08/22/2019
|
N/A
|
844,200
|
|||||
945,034
|
|||||||||||
Insurance – 0.1%
|
|||||||||||
100,000
|
Confie Seguros, Lien 1
|
B–
|
6.500%
|
11/08/2018
|
N/A
|
99,438
|
|||||
200,000
|
Cunningham, Lien 2
|
B3
|
9.250%
|
04/18/2020
|
N/A
|
203,250
|
|||||
302,688
|
|||||||||||
Media – 0.0%***
|
|||||||||||
39,973
|
Univision
|
B+
|
4.460%
|
03/31/2017
|
N/A
|
39,129
|
|||||
Oil Field Services – 0.9%
|
|||||||||||
250,000
|
El Paso/EP Energy
|
BB–
|
5.000%
|
04/24/2018
|
N/A
|
253,021
|
|||||
229,425
|
Equipower Resources 1st Lien Term B Advance
|
BB
|
6.500%
|
12/21/2018
|
N/A
|
231,218
|
|||||
200,000
|
Shelf Drilling, 1st Lien(j)
|
B+
|
7.250%
|
05/31/2018
|
N/A
|
200,000
|
|||||
2,947,500
|
Southern Pacific Resources, 2nd Lien
|
CCC
|
10.750%
|
12/22/2016
|
N/A
|
2,988,765
|
|||||
3,673,004
|
|||||||||||
Other Finance – 0.0%***
|
|||||||||||
100,000
|
Flexera Software, Inc.
|
B
|
11.000%
|
09/30/2018
|
N/A
|
101,437
|
|||||
70,000
|
Homeward Residential Holdings, Inc.
|
B+
|
8.250%
|
08/07/2017
|
N/A
|
70,175
|
|||||
171,612
|
|||||||||||
Other Industrials – 0.2%
|
|||||||||||
349,114
|
Laureate Education, Inc.
|
B
|
5.250%
|
8/15/18
|
N/A
|
347,260
|
|||||
477,094
|
Sirva Worldwide, Inc., 1st Lien(j)
|
B
|
10.750%
|
03/31/2016
|
N/A
|
485,443
|
|||||
832,703
|
|||||||||||
Real Estate Investment Trusts – 0.0%
|
|||||||||||
130,000
|
iStar Financial, Inc. Lien 1
|
BB–
|
7.000%
|
3/15/17
|
N/A
|
134,745
|
See notes to financial statements.
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 21
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Retail – 0.5%
|
|||||||||||
$
|
89,774
|
Container Store, Inc., Lien 1
|
B–
|
6.250%
|
4/3/19
|
N/A
|
$
|
90,168
|
|||
997,500
|
HD Supply Lien 1 Hybrid
|
B+
|
7.250%
|
10/05/2017
|
N/A
|
1,026,961
|
|||||
750,000
|
Party City Holdings, Inc.
|
B
|
5.750%
|
7/23/19
|
N/A
|
758,359
|
|||||
1,875,488
|
|||||||||||
Technology – 1.3%
|
|||||||||||
920,000
|
Ceridian Corp.
|
B–
|
5.960%
|
05/09/2017
|
N/A
|
920,768
|
|||||
400,000
|
IPC Information Systems, Inc.
|
B–
|
7.750%
|
07/31/2017
|
N/A
|
395,000
|
|||||
997,500
|
Magic Newco LLC, 1st Lien
|
B
|
7.250%
|
11/30/2018
|
N/A
|
1,011,215
|
|||||
100,000
|
Magic Newco LLC, 2nd Lien
|
CCC+
|
12.000%
|
06/06/2019
|
N/A
|
102,750
|
|||||
1,650,000
|
Mmodal, Inc.
|
B–
|
6.750%
|
08/15/2019
|
N/A
|
1,637,625
|
|||||
1,140,000
|
Paradigm TLB, 1st Lien
|
B+
|
6.500%
|
7/24/19
|
N/A
|
1,142,565
|
|||||
19,950
|
Sophos, Lien 1
|
B+
|
6.500%
|
05/10/2019
|
N/A
|
20,013
|
|||||
5,229,936
|
|||||||||||
Transportation – 0.2%
|
|||||||||||
600,000
|
Evergreen Tank Solutions, Inc.
|
B–
|
9.500%
|
09/26/2018
|
N/A
|
600,000
|
|||||
51,210
|
Global Aviation Holdings, Inc.(j)
|
NR
|
9.490%
|
12/31/2012
|
N/A
|
51,082
|
|||||
200,000
|
Sabre Corp.
|
B
|
7.250%
|
12/29/2017
|
N/A
|
202,625
|
|||||
853,707
|
|||||||||||
Wireless – 0.4%
|
|||||||||||
987,500
|
Converge One, Lien 1(j)
|
B+
|
8.500%
|
06/08/2017
|
N/A
|
975,156
|
|||||
199,500
|
Wideopenwest Finance LLC, Lien 1
|
B
|
6.250%
|
07/12/2018
|
N/A
|
202,146
|
|||||
498,750
|
Zayo Group LLC
|
B
|
5.250%
|
07/02/2019
|
N/A
|
503,184
|
|||||
1,680,486
|
|||||||||||
Wirelines – 0.1%
|
|||||||||||
498,679
|
Avaya, Inc.
|
B1
|
4.810%
|
10/26/2017
|
N/A
|
438,214
|
|||||
Total Term Loans – 4.8%
|
|||||||||||
(Cost $19,342,685)
|
19,789,256
|
Number
|
|||||||||||
of Shares
|
Description
|
Value
|
|||||||||
Preferred Stocks – 1.9%
|
|||||||||||
Diversified Financial Services – 0.6%
|
|||||||||||
180
|
Ares VII CLO Ltd., Series 2004-8A (Cayman Islands)(b) (k) (l)
|
102,583
|
|||||||||
1,900
|
Falcons Funding Trust I, 8.875%(b) (e) (k)
|
1,977,306
|
|||||||||
475
|
GSC Partners CDO Fund Ltd./GSC Partners CDO Fund Corp. (Cayman Islands)(b) (l)
|
202,923
|
|||||||||
200,000
|
Whitehorse II Ltd. Corp., Series 2005-2A(b) (k)
|
100,000
|
|||||||||
2,382,812
|
|||||||||||
Transportation – 1.3%
|
|||||||||||
200,000
|
Seaspan Corp., Series C (Marshall Islands)(k)
|
NR
|
9.500%
|
–
|
5,510,000
|
||||||
Total Preferred Stocks – 1.9%
|
|||||||||||
(Cost $7,305,900)
|
7,892,812
|
||||||||||
Warrants – 0.0%***
|
|||||||||||
1,550
|
Alion Science and Technology Corp.(g) (i) (j)
|
03/15/2017
|
–
|
||||||||
(Cost $15)
|
|||||||||||
Total Long-Term Investments – 131.5%
|
|||||||||||
(Cost $467,677,787)
|
546,261,955
|
See notes to financial statements.
|
22 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Number
|
||||||
of Shares
|
Description
|
Value
|
||||
Short-Term Investments – 0.4%
|
||||||
Money Market – 0.4%
|
||||||
1,953,512
|
Dreyfus Treasury Prime Cash Management Institutional Shares
|
$
|
1,953,512
|
|||
(Cost $1,953,512)
|
||||||
Total Investments – 131.9%
|
||||||
(Cost $469,631,299)
|
548,215,467
|
|||||
Assets in excess of Liabilities – 1.7%
|
6,707,251
|
|||||
Borrowings – (13.9%)
|
(57,713,936
|
) | ||||
Reverse Repurchase Agreements – (19.7%)
|
(81,725,561
|
) | ||||
Net Assets – 100.0%
|
$
|
415,483,221
|
AGM – Insured by Assured Guaranty Municipal Corporation
|
|
Assured GTY – Insured by Assured Guaranty Corporation
|
|
CDO – Collateralized Debt Obligation
|
|
CLO – Collateralized Loan Obligation
|
|
LLC – Limited Liability Company
|
|
LP – Limited Partnership
|
|
N/A- Not Applicable
|
|
PLC – Public Limited Company
|
|
Pty – Proprietary
|
|
SAB de CV – Publicly Traded Company
|
|
*
|
Ratings shown are per Standard & Poor’s Rating Group, Moody’s Investor Services, Inc. or Fitch Ratings. Securities classified as NR are not rated. (For securities not rated by Standard & Poor’s Rating Group, the rating by Moody’s Investor Services, Inc. is provided. Likewise, for securities not rated by Standard & Poor’s Rating Group and Moody’s Investor Services, Inc., the rating by Fitch Ratings is provided.) All ratings are unaudited. The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Trust or its shares.
|
**
|
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
|
***
|
Less than 0.1%.
|
(a)
|
Taxable municipal bond issued as part of the Build America Bond program.
|
(b)
|
Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2012, these securities amounted to $43,077,611, which represents 10.4% of net assets.
|
(c)
|
The issuer of this security will accrue interest on the secured note at a rate of 12% per annum and will make interest payments as follows: (1) 10% in cash and (2) 2% in-kind shares of the secured note.
|
(d)
|
The issuer of this security may elect to pay interest entirely in cash, entirely by issuing payment-in-kind shares, or pay 50% of the interest in cash and 50% of the interest by issuing payment- in-kind shares.
|
(e)
|
Floating or variable rate coupon. The rate shown is as of November 30, 2012.
|
(f)
|
Term loans held by the Trust have a variable interest rate feature which is periodically adjusted based on an underlying interest rate benchmark. In addition, term loans may include mandatory and/or optional prepayment terms. As a result, the actual maturity dates of the loan may be different than the amounts disclosed in the portfolios of investments. Term loans may be considered restricted in that the Trust may be contractually obligated to secure approval from the Agent Bank and/or Borrower prior to the sale or disposition of loan.
|
(g)
|
Non-income producing security.
|
(h)
|
Non-income producing as security is in default.
|
(i)
|
Security is valued in accordance with Fair Valuation procedures established in good faith by management and approved by the Board of Trustees. The total market value of such securities is $0, representing 0.0% of net assets.
|
(j)
|
Illiquid security.
|
(k) |
All or portion of these securities have been physically segregated in connection with borrowings, reverse repurchase agreements, and unfunded loan commitments. As of November 30, 2012, the total amount segregated was $278,091,823.
|
(l)
|
Security has no stated coupon. However, it is expected to receive residual cash flow payments on deal defined payment dates.
|
See notes to financial statements.
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 23
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
|
November 30, 2012
|
Assets
|
||||
Investments in securities, at value (cost $469,631,299)
|
$
|
548,215,467
|
||
Interest receivable
|
9,550,816
|
|||
Receivable for securities sold
|
153,438
|
|||
Unrealized appreciation on unfunded commitments
|
91
|
|||
Other assets
|
9,722
|
|||
Total assets
|
557,929,534
|
|||
Liabilities
|
||||
Reverse repurchase agreements
|
81,725,561
|
|||
Borrowings
|
57,713,936
|
|||
Payable for securities purchased
|
1,499,445
|
|||
Due to custodian
|
960,638
|
|||
Advisory fee payable
|
271,832
|
|||
Interest due on borrowings
|
93,900
|
|||
Administrative fee payable
|
10,059
|
|||
Accrued expenses and other liabilities
|
170,942
|
|||
Total liabilities
|
142,446,313
|
|||
Net Assets
|
$
|
415,483,221
|
||
Composition of Net Assets
|
||||
Common stock, $.01 par value per share; unlimited number of shares authorized, 17,413,674 shares issued and outstanding
|
$
|
174,137
|
||
Additional paid-in capital
|
331,599,140
|
|||
Accumulated undistributed net investment income
|
3,855,899
|
|||
Accumulated net realized gain on investments
|
1,269,786
|
|||
Accumulated net unrealized appreciation on investments and unfunded commitments
|
78,584,259
|
|||
Net Assets
|
$
|
415,483,221
|
||
Net Asset Value (based on 17,413,674 common shares outstanding)
|
$
|
23.86
|
See notes to financial statements.
|
24 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
STATEMENT OF OPERATIONS For the six months ended November 30, 2012 (Unaudited)
|
November 30, 2012
|
Investment Income
|
|||||||
Interest
|
$
|
16,928,538
|
|||||
Dividends
|
321,812
|
||||||
Total income
|
$
|
17,250,350
|
|||||
Expenses
|
|||||||
Advisory fee
|
1,637,200
|
||||||
Interest expense
|
745,592
|
||||||
Professional fees
|
100,010
|
||||||
Trust accounting
|
64,182
|
||||||
Administrative fee
|
60,985
|
||||||
Trustees’ fees and expenses
|
42,871
|
||||||
Custodian fee
|
49,204
|
||||||
Printing expenses
|
33,842
|
||||||
NYSE listing fee
|
11,895
|
||||||
Insurance expense
|
14,700
|
||||||
Transfer agent fee
|
9,245
|
||||||
Miscellaneous
|
2,513
|
||||||
Total expenses
|
2,772,239
|
||||||
Net investment income
|
14,478,111
|
||||||
Realized and Unrealized Gain (Loss) on Investments and Unfunded Commitments
|
|||||||
Net realized gain on:
|
|||||||
Investments
|
506,952
|
||||||
Net change in unrealized appreciation (depreciation) on:
|
|||||||
Investments
|
5,081,895
|
||||||
Unfunded commitments
|
(123
|
)
|
|||||
Net realized and unrealized gain (loss) on investments and unfunded commitments
|
5,588,724
|
||||||
Net Increase in Net Assets Resulting from Operations
|
$
|
20,066,835
|
See notes to financial statements.
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 25
|
STATEMENT OF CHANGES IN NET ASSETS
|
November 30, 2012
|
For the Six Months
Ended
November 30, 2012
(unaudited)
|
For the Year
Ended
May 31, 2012
|
||||||
Increase in Net Assets from Operations
|
|||||||
Net investment income
|
$
|
14,478,111
|
$
|
27,679,900
|
|||
Net realized gain on investments
|
506,952
|
236,329
|
|||||
Net change in unrealized appreciation on investments and unfunded commitments
|
5,081,772
|
47,505,359
|
|||||
Net increase in net assets resulting from operations
|
20,066,835
|
75,421,588
|
|||||
Distributions to Common Shareholders
|
|||||||
From net investment income
|
(13,643,711
|
)
|
(25,905,292
|
)
|
|||
Capital Share Transactions
|
|||||||
Net proceeds from the issuance of common shares
|
100,013
|
0
|
|||||
Common share offering costs charged to paid-in capital
|
0
|
0
|
|||||
Net increase from capital share transactions
|
100,013
|
0
|
|||||
Total increase in net assets
|
6,523,137
|
49,516,296
|
|||||
Net Assets
|
|||||||
Beginning of period
|
408,960,084
|
359,443,788
|
|||||
End of period (including undistributed net investment income of $3,855,899 and $3,021,499, respectively)
|
$
|
415,483,221
|
$
|
408,960,084
|
See notes to financial statements.
|
26 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
STATEMENT OF CASH FLOWS For the six months ended November 30, 2012 (Unaudited)
|
November 30, 2012
|
Cash Flows from Operating Activities:
|
||||
Net increase in net assets resulting from operations
|
$
|
20,066,835
|
||
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to
|
||||
Net Cash Provided by Operating and Investing Activities:
|
||||
Net unrealized appreciation on investments
|
(5,081,895
|
)
|
||
Net unrealized depreciation on unfunded commitments
|
123
|
|||
Net realized gain on investments
|
(506,952
|
)
|
||
Paydowns received
|
(340,756
|
)
|
||
Net accretion of bond discount and amortization of bond premium
|
(176,040
|
)
|
||
Purchase of long-term investments
|
(24,761,461
|
)
|
||
Proceeds from sale of long-term investments
|
12,295,604
|
|||
Net purchase of short-term investments
|
(1,086,764
|
)
|
||
Corporate actions and other payments
|
(8,593
|
)
|
||
Increase in interest receivable
|
(205,023
|
)
|
||
Increase in receivable for securities sold
|
(153,438
|
)
|
||
Decrease in other assets
|
14,928
|
|||
Decrease in payable for securities purchased
|
(1,597,305
|
)
|
||
Increase in due to custodian
|
960,638
|
|||
Increase in advisory fee payable
|
3,118
|
|||
Increase in interest due on borrowings
|
10,909
|
|||
Decrease in administration fee payable
|
(23
|
)
|
||
Decrease in accrued expenses and other liabilities
|
(26,870
|
)
|
||
Net Cash Used by Operating and Investing Activities
|
(592,965
|
)
|
||
Cash Flows From Financing Activities:
|
||||
Distributions to common shareholders
|
(13,643,711
|
)
|
||
Dividend reinvestments
|
100,013
|
|||
Decrease in reverse repurchase agreements
|
(6,372,854
|
)
|
||
Proceeds from borrowings
|
27,775,936
|
|||
Payments made on borrowings
|
(7,506,000
|
)
|
||
Net Cash Provided by Financing Activities
|
353,384
|
|||
Net decrease in cash
|
(239,581
|
)
|
||
Cash at Beginning of Period
|
239,581
|
|||
Cash at End of Period
|
$
|
—
|
||
Supplemental Disclosure of Cash Flow Information: Cash paid during the period for interest
|
$
|
734,683
|
See notes to financial statements.
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 27
|
FINANCIAL HIGHLIGHTS
|
November 30, 2012
|
Per share operating performance
for a common share outstanding throughout the period
|
For the Six Months
Ended
November 30, 2012
(Unaudited)
|
For the Year
Ended
May 31, 2012
|
For the Period
October 28, 2010*
through
May 31, 2011
|
|||||||
Net asset value, beginning of period
|
$
|
23.49
|
$
|
20.65
|
$
|
19.10
|
(a)
|
|||
Income from investment operations
|
||||||||||
Net investment income (b)
|
0.83
|
1.59
|
0.68
|
|||||||
Net realized and unrealized gain on investments and unfunded commitments
|
0.32
|
2.74
|
1.50
|
|||||||
Total from investment operations
|
1.15
|
4.33
|
2.18
|
|||||||
Common shares’ offering expenses charged to paid-in capital
|
—
|
—
|
(0.04
|
)
|
||||||
Distributions to Common Shareholders
|
||||||||||
From net investment income
|
(0.78
|
)
|
(1.49
|
)
|
(0.59
|
)
|
||||
Net asset value, end of period
|
$
|
23.86
|
$
|
23.49
|
$
|
20.65
|
||||
Market value, end of period
|
$
|
23.25
|
$
|
22.46
|
$
|
19.54
|
||||
Total investment return (c)
|
||||||||||
Net asset value
|
4.98
|
%
|
21.64
|
%
|
11.34
|
%
|
||||
Market value
|
7.01
|
%
|
23.35
|
%
|
0.80
|
%
|
||||
Ratios and supplemental data
|
||||||||||
Net assets, end of period (thousands)
|
$
|
415,483
|
$
|
408,960
|
$
|
359,444
|
||||
Ratios to Average Net Assets applicable to Common Shares:
|
||||||||||
Total expenses, excluding interest expense
|
0.99
|
%(d)
|
1.04
|
%
|
0.91
|
%(d)
|
||||
Total expenses, including interest expense
|
1.35
|
%(d)
|
1.36
|
%
|
1.05
|
%(d)
|
||||
Net investment income, including interest expense
|
7.04
|
%(d)
|
7.33
|
%
|
6.00
|
%(d)
|
||||
Portfolio turnover rate (e)
|
2
|
%
|
7
|
%
|
3
|
%
|
||||
Senior Indebtedness:
|
||||||||||
Total Borrowings outstanding (in thousands)
|
$
|
139,439
|
$
|
125,542
|
$
|
104,906
|
||||
Asset Coverage per $1,000 of indebtedness(f)
|
$
|
3,980
|
$
|
4,258
|
$
|
4,426
|
*
|
Commencement of investment operations.
|
(a)
|
Before deduction of offering expenses charged to capital.
|
(b)
|
Based on average shares outstanding during the period.
|
(c)
|
Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported either at net asset value (“NAV”) or market price per share. Dividends and distributions are assumed to be reinvested at NAV for NAV returns or the prices obtained under the Trust’s Dividend Reinvestment Plan for market value returns. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized.
|
(d)
|
Annualized.
|
(e)
|
Portfolio turnover is not annualized for periods of less than one year.
|
(f)
|
Calculated by subtracting the Trust’s total liabilities (not including borrowings) from the Trust’s total assets and dividing by the total borrowings.
|
See notes to financial statements.
|
28 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)
|
November 30, 2012
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||
(value in $000s)
|
|||||||||||||
Assets:
|
|||||||||||||
Municipal Bonds
|
$
|
—
|
$
|
454,867
|
$
|
—
|
$
|
454,867
|
|||||
Corporate Bonds
|
—
|
37,918
|
—
|
37,918
|
|||||||||
Asset Backed
|
|||||||||||||
Securities
|
—
|
23,701
|
—
|
23,701
|
|||||||||
Collateralized
|
|||||||||||||
Mortgage
|
|||||||||||||
Obligations
|
—
|
2,094
|
—
|
2,094
|
|||||||||
Preferred Stocks
|
7,893
|
—
|
—
|
7,893
|
|||||||||
Term Loans
|
—
|
19,789
|
—
|
19,789
|
|||||||||
Warrants
|
—
|
—
|
—
|
*
|
—
|
||||||||
Money Market
|
1,953
|
—
|
—
|
1,953
|
|||||||||
Unfunded
|
|||||||||||||
Commitments
|
—
|
—
|
*
|
—
|
—
|
||||||||
Total
|
$
|
9,846
|
$
|
538,369
|
$
|
—
|
*
|
$
|
548,215
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 29
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2012
|
Level 3 holdings
|
||||
(value in $000s)
|
||||
Beginning Balance at May 31, 2012:
|
||||
Asset Backed Securities
|
$
|
87
|
||
Warrants
|
–
|
*
|
||
Transfers Out
|
||||
Asset Backed Securities
|
(87
|
)
|
||
Ending Balance at 11/30/12:
|
||||
Warrants
|
–
|
*
|
||
Total Level 3 holdings
|
$
|
–
|
*
|
30 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2012
|
Managed Assets
|
Rate
|
First $200,000,000
|
0.0275%
|
Next $300,000,000
|
0.0200%
|
Next $500,000,000
|
0.0150%
|
Over $1,000,000,000
|
0.0100%
|
Net Tax
|
||||||||
Cost of
|
Unrealized
|
|||||||
Investments
|
Gross Tax
|
Gross Tax
|
Appreciation
|
|||||
for Tax
|
Unrealized
|
Unrealized
|
on
|
|||||
Purposes
|
Appreciation
|
Depreciation
|
Investments
|
|||||
$ |
469,631,299
|
$ |
79,930,979
|
$ |
(1,346,811
|
)
|
$ |
78,584,168
|
Undistributed
|
Accumulated
|
||
Ordinary
|
Long-Term
|
||
Income/
|
Gains/
|
||
(Accumulated
|
(Accumulated
|
||
Ordinary Loss)
|
Capital Loss)
|
||
$ |
3,021,499
|
$ |
762,834
|
Distributions paid from
|
2012
|
|
Ordinary Income
|
$ |
25,905,292
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 31
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2012
|
Six months ended
|
Year ended
|
|||
November 30, 2012
|
May 31, 2012
|
|||
Beginning Shares
|
17,409,470
|
17,409,470
|
||
Shares issued through
|
||||
dividend reinvestment
|
4,204
|
–
|
||
Ending Shares
|
17,413,674
|
17,409,470
|
Range of
|
Range of
|
|||||
Interest
|
Maturity
|
|||||
Counterparty
|
Rates
|
Dates
|
Face Value
|
|||
BNP Paribas
|
0.87%
|
04/16/2014
|
$ |
50,131,742
|
||
Citigroup
|
0.82%-0.85%
|
01/22/2013-02/07/2013
|
7,503,500
|
|||
Royal Bank of Canada
|
0.86-0.97%
|
01/22/2013-02/26/2013
|
24,090,319
|
|||
$ |
81,725,561
|
Unrealized
|
|||||||
Principal
|
Appreciation/
|
||||||
Borrower
|
Amount
|
(Depreciation)
|
|||||
Cequel Communications
|
|||||||
Holdings, LLC
|
$
|
600,000
|
$
|
—
|
|||
Clean Harbor
|
1,000,000
|
—
|
|||||
Constellation Brands, Inc.
|
1,500,000
|
—
|
|||||
Global Aviation
|
14,265
|
(36
|
)
|
||||
Rock Ohio
|
5,333
|
127
|
|||||
Spectrum Brands
|
750,000
|
—
|
|||||
$
|
3,869,598
|
$
|
91
|
32 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2012
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 33
|
SUPPLEMENTAL INFORMATION (Unaudited)
|
November 30, 2012
|
Name, Address*,
Year of Birth and
Position(s) Held
with Registrant
|
Term of Office**
and Length of Time Served
|
Principal Occupations during the
Past Five Years and Other Affiliations
|
Number of
Portfolios in the
Fund Complex***
Overseen by Trustee
|
Other Directorships
Held by Trustee
|
||||
Independent Trustees:
|
||||||||
Randall C. Barnes
Year of Birth: 1951
Trustee
|
Since 2010
|
Private Investor (2001-present). Formerly, Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997), President, Pizza Hut International (1991-1993) and Senior Vice President, Strategic Planning and New Business Development of PepsiCo, Inc. (1987-1990).
|
55
|
None
|
||||
Roman Friedrich III
Year of birth: 1946
Trustee
|
Since 2010
|
Founder and President of Roman Friedrich & Company, a US and Canadian-based business, which provides investment banking to the mining industry (1998-present). Formerly, Senior Managing Director of MLV & Co., LLC, an investment bank and institutional broker-dealer specializing in capital intensive industries such as energy, metals and mining (2010-2011).
|
50
|
Director of First Americas Gold Corp. (2012-present), Zincore Metals, Inc. (2009 – present). Previously, Director of Blue Sky Uranium Corp. (formerly Windstorm Resources Inc.) (April 2011– July 2012), Director of Axiom Gold and Silver Corp. (2011- 2012), Stratagold Corp. (2003-2009); Gateway Gold Corp. (2004-2008) and GFM Resources Ltd. (2005-2010).
|
||||
Robert B. Karn III
Year of Birth: 1942
Trustee
|
Since 2010
|
Consultant (1998-present). Previously, Managing Partner, Financial and Economic Consulting, St. Louis office of Arthur Andersen, LLP (1965-1998).
|
50
|
Director of Peabody Energy Company (2003-present), GP Natural Resource Partners LLC (2002-present).
|
||||
Ronald A. Nyberg
Year of birth: 1953
Trustee
|
Since 2010
|
Partner of Nyberg & Cassioppi, LLC, a law firm specializing in corporate law, estate planning and business transactions (2000 present). Formerly, Executive Vice President, General Counsel and Corporate Secretary of Van Kampen Investments (1982-1999).
|
57
|
None
|
||||
Ronald E. Toupin, Jr. Year of birth: 1958 Trustee
|
Since 2010
|
Portfolio Consultant (2010-present). Formerly, Vice President, Manager and Portfolio Manager of Nuveen Asset Management (1998-1999), Vice President of Nuveen Investment Advisory Corp. (1992-1999), Vice President and Manager of Nuveen Unit Investment Trusts (1991-1999), and Assistant Vice President and Portfolio Manager of Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).
|
54
|
Trustee, Bennett Group of Funds (2011-present).
|
||||
Interested Trustee:
|
||||||||
Donald C. Cacciapaglia†
Year of Birth: 1951
Trustee, Chief
Executive Officer
|
Since 2012
|
Senior Managing Director of Guggenheim Investments; President and Chief Executive Officer of Guggenheim Funds Distributors, LLC and President and Chief Executive Officer of Guggenheim Funds Investment Advisors, LLC (2010 – present); Chief Executive officer of funds in the Fund Complex and President and Chief Executive Officer of funds in the Rydex fund complex (2012-present). Formerly, Chief Operating Officer of Guggenheim Partners Asset Management, LLC (2010 – 2011); Chairman and CEO of Channel Capital Group Inc. and Channel Capital Group LLC (2002-2010); Managing Director of PaineWebber (1996-2002).
|
228
|
Trustee, Rydex Dynamic Funds, Rydex ETF Trust, Rydex Series Funds and Rydex Variable Trust (2012- present); Independent Board Member, Equitrust Life Insurance Company, Guggenheim Life and Annuity Company, and Paragon Life Insurance Company of Indiana. (2011-present).
|
*
|
Address for all Trustees: 2455 Corporate West Drive, Lisle, IL 60532 | |
**
|
After a Trustee’s initial term, each Trustee is expected to serve a three-year term concurrent with the class of Trustees for which he serves: | |
- |
Messrs. Barnes and Cacciapaglia, as Class I Trustees, are expected to stand for election or re-election at the Trust’s annual meeting of shareholders for fiscal year ending May 31, 2014.
|
|
- |
Messrs. Friedrich and Nyberg, as Class II Trustees, are expected to stand for re-election at the Trust’s annual meeting of shareholders for fiscal year ending May 31, 2015.
|
|
- |
Messrs. Karn and Toupin, as Class III Trustees, are expected to stand for re-election at the Trust’s annual meeting of shareholders for fiscal year ending May 31, 2013.
|
|
***
|
The Guggenheim Investments Fund Complex consists of U.S. registered investment companies advised or serviced by Guggenheim Funds Investment Advisors, LLC and/or its affiliates. | |
†
|
Mr. Donald C. Cacciapaglia is an “interested person” (as defined in section 2(a)(19) of the 1940 Act) (“Interested Trustee”) of the Trust because of his position as the President and CEO of the Investment Adviser. |
Officers
|
34 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
SUPPLEMENTAL INFORMATION (Unaudited) continued
|
November 30, 2012
|
Name, Address*, Year of Birth and
|
Term of Office** and
|
Principal Occupations During the Past Five Years and
|
||
Position(s) Held with Registrant
|
Length of Time Served
|
Other Affiliations
|
||
Officers:
|
||||
Kevin M. Robinson
Year of Birth: 1959
Chief Legal Officer
|
Since 2010
|
Senior Managing Director and General Counsel of Guggenheim Funds Investment Advisors, LLC, Guggenheim Funds Distributors, LLC and Guggenheim Funds Services LLC (2007-present). Chief Legal Officer and/or Chief Executive Officer of certain other funds in the Fund Complex. Formerly, Associate General Counsel and Assistant Corporate Secretary of NYSE Euronext, Inc. (2000-2007).
|
||
John Sullivan
Year of Birth: 1955
Chief Accounting Officer,
Chief Financial Officer
Treasurer
|
Since 2010
|
Senior Managing Director of Guggenheim Funds Investment Advisors, LLC and Guggenheim Funds Distributors, LLC (2010-present). Chief Financial Officer, Chief Accounting Officer and Treasurer of certain other funds in the Fund Complex. Formerly, Chief Compliance Officer, Van Kampen Funds (2004-2010).
|
||
Joanna M. Catalucci
Year of birth: 1966
Interim Chief
Compliance Officer
|
Since 2012***
|
Interim Chief Compliance Officer of certain funds in the Fund Complex; and Managing Director of Compliance and Fund Board Relations, Guggenheim Investments (2012-present). Formerly, Chief Compliance Officer & Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; Vice President, Rydex Holdings, LLC; Vice President, Security Benefit Asset Management Holdings, LLC; and Senior Vice President & Chief Compliance Officer, Security Investors, LLC (2010-2012); Security Global Investors, LLC, Senior Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Chief Compliance Officer and Senior Vice President (2010-2011); Rydex Capital Partners I, LLC & Rydex Capital Partners II, LLC, Chief Compliance Officer (2006-2007); and Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Vice President (2001-2006)
|
||
Mark E. Mathiasen
Year of birth: 1978
Secretary
|
Since 2010
|
Director, Associate General Counsel of Guggenheim Funds Services, LLC (2012-present). Secretary of certain other funds in the Fund Complex. Formerly, Vice President; Assistant General Counsel of Guggenheim Funds Services, LLC (2007-2012).
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 35
|
DIVIDEND REINVESTMENT PLAN (Unaudited)
|
November 30, 2012
|
36 | GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
|
TRUST INFORMATION
|
November 30, 2012
|
Board of Trustees
|
Officers
|
Investment Adviser
|
Legal Counsel
|
||||
Randall C. Barnes
Donald C. Cacciapaglia*
Roman Friedrich III
Robert B. Karn III
Ronald A. Nyberg
Ronald E. Toupin, Jr.,
Chairman
|
Donald C. Cacciapaglia
Chief Executive Officer
Kevin M. Robinson
Chief Legal Officer
John Sullivan
Chief Financial Officer,
Chief Accounting Officer
and Treasurer
Joanna M. Catalucci
Interim Chief
Compliance Officer
Mark E. Mathiasen
Secretary
|
and Administrator
Guggenheim Funds
Investment Advisors, LLC
Lisle, Illinois
Investment Sub-Adviser
Guggenheim Partners
Investment
Management, LLC
Santa Monica, California
Accounting Agent and Custodian
The Bank of New York Mellon
New York, New York
|
Skadden, Arps, Slate,
Meagher & Flom LLP
New York, New York
Independent Registered
Public Accounting Firm
Ernst & Young LLP
Chicago, Illinois
|
||||
*
|
Trustee is an “interested person” (as defined in section 2(a)(19) of the 1940 Act) (“Interested Trustee”) of the Trust because of his position as the President and CEO of the Investment Adviser.
|
•
|
If your shares are held in a Brokerage Account, contact your Broker.
|
•
|
If you have physical possession of your shares in certificate form, contact the Trust’s Transfer Agent:
|
Computershare Shareowner Services LLC, 480 Washington Boulevard, Jersey City, NJ 07310; (866) 488-3559
|
GBAB | GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT | 39
|
ABOUT THE TRUST MANAGERS
|
(a)(1)
|
Not applicable
|
(a)(2)
|
Certifications of principal executive officer and principal financial officer pursuant to Rule 30a-2(a) under the Investment Company Act.
|
(a)(3)
|
Not applicable.
|
(b)
|
Certification of principal executive officer and principal financial officer pursuant to Rule 30a-2(b) under the Investment Company Act and Section 906 of the Sarbanes-Oxley Act of 2002.
|