gug58351-ncsr.htm
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 Build America Bonds Managed Duration Trust
(Exact name of registrant as specified in charter)
 
2455 Corporate West Drive, Lisle, IL 60532
(Address of principal executive offices) (Zip code)
 
Amy J. Lee
2455 Corporate West Drive, Lisle, IL 60532
(Name and address of agent for service)
 
Registrant's telephone number, including area code: (630) 505-3700
 
Date of fiscal year end:  May 31
 
Date of reporting period:  June 1, 2013 – November 30, 2013
 
 
 

 
 
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:
 
 
 
 

 
GUGGENHEIMINVESTMENTS.COM/GBAB
... YOUR WINDOW TO THE LATEST, MOST UP-TO-DATE INFORMATION ABOUT THE GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION 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
   
Fund and adviser contact information
 
Guggenheim Partners Investment Management, LLC and Guggenheim Funds Investment Advisors, LLC are continually updating and expanding shareholder information services on the Trust’s website in an ongoing effort to provide you with the most current information about how your Trust’s assets are managed and the results of our efforts. It is just one more small way we are working to keep you better informed about your investment in the Trust.

 
 

 

November 30, 2013
 
DEAR SHAREHOLDER
 
We thank you for your investment in the Guggenheim Build America Bonds Managed Duration Trust (the “Trust”). This report covers the Trust’s performance for the six-month period ended November 30, 2013.
 
All Trust returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the six-month period ended November 30, 2013, the Trust provided a total return based on market price of -11.98% and a total return based on NAV of -4.04%. As of November 30, 2013, the Trust’s market price of $19.19 per share represented a discount of 12.05% to its NAV of $21.82 per share. As of May 31, 2013, the Trust’s market price of $22.70 per share represented a discount of 3.85% to its NAV of $23.61 per share. The market value of the Trust’s shares fluctuates from time to time and it may be higher or lower than the Trust’s NAV. NAV performance data reflects fees and expenses of the Fund.
 
The Fund made a monthly distribution of $0.13817 for each month of the period. The dividend as of November 30, 2013, represents an annualized distribution rate of 8.64% based on the Trust’s closing market price of $19.19 on November 30, 2013.
 
Guggenheim Funds Investment Advisors, LLC (“GFIA” or the “Adviser”) serves as the investment adviser to the Trust. Guggenheim Partners Investment Management, LLC (“GPIM” or the “Sub-Adviser”) serves as the Trust’s investment sub-adviser and is responsible for the management of the Trust’s portfolio of investments. Each of the Adviser and the Sub-Adviser is an affiliate of Guggenheim Partners, LLC (“Guggenheim”), a global diversified financial services firm.
 
We encourage shareholders to consider the opportunity to reinvest their distributions from the Trust through the Dividend Reinvestment Plan (“DRIP”), which is described in detail on page 33 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. Conversely, when the market price of the Trust’s common shares is at a premium above NAV, the DRIP reinvests participants’ dividends in newly-issued common shares at the greater of NAV per share of 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. Since the Trust endeavors to maintain a steady monthly distribution rate, the DRIP effectively provides an income averaging technique, which causes shareholders to accumulate a larger number of Trust shares when the share price is lower than when the price is higher.
 
To learn more about the Trust’s performance and investment strategy for the semiannual period ended November 30, 2013, we encourage you to read the Questions & Answers section of this report, which begins on page 4. We are honored that you have chosen the Guggenheim Build America Bonds Managed Duration Trust as part of your investment portfolio. For the most up-to-date information regarding your investment, please visit the Trust’s website at guggenheiminvestments.com/gbab.
 
Sincerely,
 
 
Donald C. Cacciapaglia
Chief Executive Officer
Guggenheim Build America Bonds Duration Trust
 
December 31, 2013
 
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 3

 
 

 

QUESTIONS & ANSWERS
November 30, 2013
 
Guggenheim Build America Bonds Managed Duration Trust (the “Trust”) is managed by a team of seasoned professionals at Guggenheim Partners Investment Management, LLC (“GPIM” or the “Sub-Adviser”). This team includes B. Scott Minerd, Global Chief Investment Officer; Anne B. Walsh, CFA, JD, Senior Managing Director; and James E. Pass, Senior Managing Director. In the following interview, the investment team discusses the market environment and the Trust’s strategy and performance for the six-month period ended November 30, 2013.
 
What were the most important developments in the Trust over the past six months?
The Trust continues to rank at or near the top of its peer group, generally driven by two factors: The portfolio construction within the Build America Bonds (BABs) segment has been a source of excess performance, with security selection and a lower duration target adding value over the past six months. Additionally, the Trust’s design, investing at least 80% of its Managed assets (net assets plus leverage) (“Managed Assets”) in BABs and up to 20% of its Managed Assets in securities other than BABs, provides an anchor to returns and mitigates the interest rate risk embedded in long-duration bonds. This structure has consistently enabled the portfolio managers to generate both higher absolute returns and lower risk than both peers and benchmarks, resulting in risk-adjusted performance which markedly outperforms competing products and indexes. Although the Trust had negative return for the period, it outperformed its benchmark, the Bank of America Merrill Lynch Build America Bond Index, by 54 basis points.
 
What is the Trust’s investment objective and how is it pursued?
The Trust’s primary investment objective is to provide current income with a secondary objective of long-term capital appreciation. The Trust seeks to achieve its investment objectives by investing primarily in a diversified portfolio of taxable municipal securities known as Build America Bonds or BABs. Under normal market conditions, the Trust invests at least 80% of its Managed Assets in BABs. The Trust may invest up to 20% of its Managed Assets in securities other than BABs, including taxable municipal securities that do not qualify for federal subsidy payments under the American Recovery and Reinvestment Act of 2009 (the “Act”), municipal securities, the interest income from which is exempt from regular federal income tax (sometimes referred to as “tax-exempt municipal securities”), asset-backed securities (“ABS”), senior loans and other income-producing securities.
 
At least 80% of the Trust’s Managed Assets are invested in securities that, at the time of investment, are investment grade quality. The Trust may invest up to 20% of its Managed Assets in securities that, at the time of investment, are below investment grade quality. Securities of below investment grade quality are regarded as having predominantly speculative characteristics with respect to capacity to pay interest and repay principal.
 
The Trust does not invest more than 25% of its Managed Assets in municipal securities in any one state of origin or more than 15% of its Managed Assets in municipal securities that, at the time of investment, are illiquid.
 
BABs are taxable municipal securities that include bonds issued by state and local governments to finance capital projects such as public schools, roads, transportation infrastructure, bridges, ports and public buildings, pursuant to the Act. In contrast to traditional municipal bonds, interest received on BABs is subject to federal income tax and may be subject to state income tax. However, issuers of Direct Payment BABs are eligible to receive a subsidy from the U.S. Treasury of up to 35% of the interest paid on the bonds, allowing such issuers to issue BABs that pay interest rates that are competitive with the rates typically paid by private bond issuers in the taxable fixed-income market.
 
The Sub-Adviser employs investment and trading strategies to seek to maintain the leverage-adjusted duration of the Trust’s portfolio to generally less than 10 years. (Duration is a measure of a bond’s price sensitivity to changes in interest rates, expressed in years. Duration is a weighted average of the times that interest payments and the final return of principal are received. The weights are the amounts of the payments discounted by the yield to maturity of the bond.)
 
In addition, the Sub-Adviser may seek to manage the duration of the Trust’s portfolio through the use of derivative instruments, including U.S. Treasury swaps, credit default swaps, total return swaps and futures contracts, in an attempt to reduce the overall volatility of the Trust’s portfolio to changes in market interest rates. The Sub-Adviser does not currently use such derivative instruments to manage the duration of the Trust’s portfolio but may do so in the future. The Sub-Adviser may seek to manage the Trust’s duration in a flexible and opportunistic manner based primarily on then-current market conditions and interest rate levels. The Trust may incur costs in implementing the duration management strategy, but such strategy will seek to reduce the volatility of the Trust’s portfolio.
 
What were the significant events affecting the economy and market environment over the past six months?
Speculation on the future of quantitative easing dominated financial headlines for much of the period, causing increased interest rate volatility and driving investor demand for shorter duration assets. The yield on the 10-year Treasury note hit a two-year high of 3.0% in early September, about 140 basis points above the lows seen in May.
 
The Federal Reserve (the “Fed”) surprised most market participants on September 18, 2013 with its inaction on what was expected to be the beginning of tapering its $85 billion per month asset purchase program. Given sluggish job growth and malaise in the housing data in recent
 
4 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

 
 

 
QUESTIONS & ANSWERS continued
November 30, 2013
 
months, the Fed announced that it would continue to maintain the pace of purchases until there was significant improvement in the aforementioned areas. Investors that were positioned in longer-duration fixed income assets benefitted as benchmark 10-year U.S. Treasury bond yields declined in the wake of the Fed announcement, closing the third quarter at 2.6%. The soft patch in economic growth added downward pressure to interest rates in the short term, but reacceleration is expected to ultimately push interest rates higher over the long term.
 
The fundamental outlook for the global economy continues to improve. We are seeing a synchronous global economic expansion for the first time since 2007. In Europe, the periphery has struggled through several years of contraction, but lower prices and unit labor costs have led to the start of a recovery. Germany’s economy has been weighed down by the peripheral nations, but overall, Europe has shown signs of expansion from recent manufacturing data. Asian economies, notably China and Japan, have seen substantial monetary accommodation from their respective regimes and look to return to higher levels of growth in the coming years.
 
Here in the United States, we continue to see strong evidence of seasonal strength in the stock market. The data-distorting effects of the October U.S. government shutdown are being flushed from the system, providing a truer reading of what is occurring domestically. Despite a shutdown that lasted far longer than originally anticipated, the U.S. economy held up fairly well, indicating a high degree of underlying strength.
 
At period end, the likelihood of the Fed tapering quantitative easing in December appeared to be remote. However, given strong employment data released in early December, many market participants placed a higher probability of the Fed reducing purchases in the next few meetings. (After the period end, on December 18, 2013, the Fed announced that it would begin to taper in January 2014, reducing monthly asset purchases from $85 billion to $75 billion). Our expectation is interest rates are likely to remain range bound into 2014 before continuing an ascent higher.
 
How did the Trust perform for the six months ended November 30, 2013?
All Trust returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the six-month period ended November 30, 2013, the Trust provided a total return based on market price of -11.98% and a total return based on NAV of -4.04%. As of November 30, 2013, the Trust’s market price of $19.19 per share represented a discount of 12.05% to its NAV of $21.82 per share. As of May 31, 2013, the Trust’s market price of $22.70 per share represented a discount of 3.85% to its NAV of $23.61 per share. The market value of the Trust’s shares fluctuates from time to time and it may be higher or lower than the Trust’s NAV. NAV performance data reflects fees and expenses of the Trust.
 
The Trust made the following monthly distributions per share during the six-month period ended November 30, 2013:
 
Month
Distribution per Share
June 2013
$0.13817
July
$0.13817
August
$0.13817
September
$0.13817
October
$0.13817
November
$0.13817
Total
$0.82902
 
The Trust’s monthly distribution represents an annualized distribution rate of 8.64% based on the Trust’s closing market price of $19.19 on November 30, 2013. The Trust’s distribution rate is not constant and is subject to change based on the performance of the Trust.
 
What factors affected Trust performance during the six-month period ended November 30, 2013?
During the time period ending November 30, 2013, the taxable municipal market faced various macro issues such as the partial shutdown of the federal government, the debt ceiling debate, and taper talk from the Federal Reserve. Like other fixed income asset classes, the taxable municipal market experienced significant volatility but performed better when compared to the tax-exempt municipal market. Towards the end of the period, credit spreads tightened, reflecting the general consensus that the Federal Reserve would not taper until March 2014.
 
The portfolio lost value during the period largely because of the volatile rate environment prompted by speculation over the end of Federal Reserve tapering, and the ongoing effects of the sequestration. Earlier, it appeared sequestration might impose automatic spending cuts in state and local government aid and reduce BABs subsidies. There was also concern that such cuts could lead some issuers to refinance outstanding BABs through an extraordinary redemption provision (ERP). Although certain issues did elect to exercise their ERPs, refunding volume, as the Sub-Adviser expected, was limited and did not materially impact the BABs market during the period.
 
Nonetheless, we expect more issuers to review their BABs and other direct payment indentures for refinancing alternatives as sequestration appears to be here to stay. Although we continue to believe BABs refinancings will be limited, market valuations of certain BABs, Qualified School Construction Bonds (“QSCBs”) and other direct payment bonds will be volatile in the near term.
 
Other factors affecting BABs performance were lack of primary issuance, which creates scarcity that helps support prices. Existing issues also typically carry high dollar prices, which limits activity in the sector.
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 5

 
 

 

QUESTIONS & ANSWERS continued
May 31, 2013
 
Describe how the Trust’s assets are invested.
As of November 30, 2013, approximately 84% of the Trust’s long-term investments were in BABs and QSCBs, which are qualifying investments for purposes of the Trust’s policy of investing at least 80% of its managed assets in BABs. The taxable municipal sector was a detractor from return for the period.
 
The rest of the Trust’s assets, approximately 16% of the Trust’s long-term investments as of November 30, 2013, were invested in non-BABs securities. These include asset-backed securities, bank loans, corporate bonds (including high yield bonds) and other securities, by which we were able to add incremental yield. The non-BABs portion of the portfolio was a contributor to return for the period.
 
The most significant change within non-BABs over the period was a decrease in below-investment-grade corporate debt and in bank loans as some assets were called away for refinancing. The Trust continues to seek new floating rate assets, primarily bank loans.
 
The Trust believes there is sufficient liquidity within non-BABs holdings to manage a decline in the BABs holdings, should a widespread increase in interest rates cause BABs to lose sufficient value to approach the 80% minimum.
 
How did other markets perform in this environment?
The return of the Bank of America Merrill Lynch Build America Bond Index was -4.58% for the six months ended November 30, 2013. The return of the Barclays U.S. Treasury Composite Index, which includes Treasury securities of all maturities, was -0.85% for the same period.
 
The Barclays U.S. Aggregate Bond Index (the “Barclays Aggregate”), which is a proxy for the U.S. investment grade bond market, returned -0.56% for the period, while the Barclays U.S. Corporate High Yield Index returned 2.61%.
 
Reflecting the Federal Reserve’s (“the Fed”) continuing accommodative monetary policy, interest rates on short-term securities remained at their lowest levels in many years; the return of the Barclays 1–3 Month U.S. Treasury Bill Index was 0.02% for the period.
 
What is the Trust’s exposure to bonds associated with Detroit or Puerto Rico?
Following Detroit’s bankruptcy filing in July, Federal courts were deciding if the bankruptcy could proceed. (In December, after the period end, a Federal judge ruled that the bankruptcy could proceed and that the city’s pensions would be treated the same as any other contract in bankruptcy.)
 
Puerto Rico has been coping with a weak economy, a huge debt burden and a constant flow of negative headlines from the financial press and media pundits. This has caused its municipal bonds to fall in value in 2013 as investors feared its financial condition could lead to a default.
 
The Trust owned and purchased bonds that fund the Detroit Public Schools through the Michigan School Bond Qualification and Loan Program (“Program”). These securities are not directly involved in the Detroit’s bankruptcy filing, as, under the Program, the State shall lend to Detroit Public Schools in amounts sufficient to pay debt service. However, the market has been treating them as impaired, which we believe creates investment opportunities for the Trust. The portfolio managers conduct continuous market analysis to ensure these bonds meet the Trust’s investment criteria, and they continue to perform as expected. On the other hand, the Trust does not have any exposure to Puerto Rico municipal credits but may do so in the future, if investment opportunities arise.
 
What is the Trust’s leverage strategy?
Since leverage adds to performance when the cost of leverage is less than the total return generated by investments, the use of leverage detracted from the Trust’s total return during this period. The Trust utilizes leverage (borrowing) as part of its investment strategy, to finance the purchase of additional securities that provide increased income and potentially greater appreciation potential to common shareholders than could be achieved from a portfolio that is not leveraged. Leverage will not exceed 331/3% of the Trust’s Managed Assets.
 
As of November 30, 2013, the Trust’s leverage was approximately 26% of Managed Assets, slightly more than six months ago. The Trust currently employs leverage through reverse repurchase agreements with at least three different counterparties and a credit facility with a major bank. Under the reverse repurchase agreements, securities are transferred to another party, such as a bank or broker-dealer, in return for cash which can be used for additional investments.
 
There is no guarantee that the Trust’s leverage strategy will be successful. The Trust’s use of leverage may cause the Trust’s NAV and market price of common shares to be more volatile and can magnify the effect of any losses.
 
What is the current outlook for the taxable municipal sector that includes Build America Bonds?
Since the 2010 expiration of the BABs and other federally sponsored programs, taxable municipal issuance has reverted back to historical figures – approximately $35 billion per year or roughly 10 percent of total municipal issuance. In 2011 and 2012, taxable issuance was approximately $35 billion and $38 billion, respectively.
 
The primary market has been relatively quiet as 2013 issuance remains on track to total approximately $35 billion, driven primarily by private and public universities, health care institutions and special purpose entities. Although issuance of taxable municipal bonds has been ahead of this pace through most of 2013, we expect a significant decline in activity given the rise in U.S. Treasury yields.
 
6 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

 
 

 
QUESTIONS & ANSWERS continued
November 30, 2013
 
Secondary market activity was dominated by certain maturities of both State of California General Obligation Bonds and New York City General Obligation Bonds. However, the majority of this activity involved bonds with durations of 10 years and longer.
 
Against this backdrop, we continue to focus on revenue bonds, secured by a dedicated revenue stream, high grade general obligation bonds and story bonds rated BBB or better. Health care organizations, higher education institutions and large governmental issuers continue to garner the majority of our attention. In addition, we continue to monitor the market for investment opportunities involving BABs and QRSBs, respectively, as both type of direct payment obligations received negative media attention during the partial shutdown of the Federal government.
 
Index Definitions:
Indices are unmanaged and reflect no expenses. It is not possible to invest directly in an index.
 
The 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 Barclays U.S. Treasury Composite Index includes public obligations of the U.S. Treasury. Treasury bills are excluded by the maturity constraint but are part of a separate Short Treasury Index. In addition, certain special issues, such as state and local government series bonds (SLGs), as well as U.S. Treasury TIPS, are excluded. STRIPS are excluded from the index because their inclusion would result in double-counting. Securities in the index roll up to the U.S. Aggregate, U.S. Universal, and Global Aggregate Indices. The U.S. Treasury Index was launched on January 1, 1973.
 
The Barclays U.S. Aggregate Bond Index represents securities that are U.S. domestic, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities.
 
The Barclays U.S. Corporate High Yield Index is an unmanaged index of below investment grade bonds issued by U.S. corporations.
 
The Barclays 1-3 Month U.S. Treasury Bill Index tracks the performance of U.S. Treasury bills with a remaining maturity of one to three months. U.S. Treasury bills, which are short-term loans to the U.S. government, are full faith-and-credit obligations of the U.S. Treasury and are generally regarded as being free of any risk of default.
 
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 value of the Trust will fluctuate with the value of the underlying securities. Historically, closed-end funds often trade at a discount to their net asset value. There can be no assurance that the Trust will achieve its investment objectives.
 
Please see guggenheiminvestments.com/gbab for a detailed discussion of the Trust’s risks and considerations.
 
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 7

 
 

 
TRUST SUMMARY (Unaudited)
November 30, 2013

Trust Statistics
           
Share Price
       
$
19.19
Common Share Net Asset Value
       
$
21.82
Premium/Discount to NAV
         
-12.05%
Net Assets Applicable to Common Shares ($000)
       
$
379,897
             
Total Returns
           
(Inception 10/28/10)
   
Market
   
NAV
Six Month
   
-11.98%
 
 
-4.04%
One Year
   
-10.94%
 
 
-1.76%
Three Year - Average Annual
   
5.82%
 
 
11.88%
Since Inception - Average Annual
   
5.64%
 
 
11.41%
 
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. The NAV total returns reflect fees and expenses of the Trust. 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 the market conditions and other factors so that an investor’s shares, when sold, may be worth more or less than their original cost.
   
 
% of Municipal
State/Territory Allocations
Bonds
California
22.7%
Illinois
12.3%
Washington
9.5%
Indiana
6.4%
New Jersey
6.2%
Texas
6.1%
New York
5.8%
Ohio
5.2%
Michigan
5.1%
Florida
4.3%
Pennsylvania
4.2%
West Virginia
3.3%
Colorado
3.0%
Alabama
2.9%
Nevada
2.7%
Vermont
2.7%
Louisiana
2.5%
Mississippi
1.9%
South Carolina
1.4%
Georgia
1.3%
South Dakota
1.0%
Minnesota
0.9%
 
Portfolio composition 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.
 
 
 
 
% of Total
 
Portfolio Breakdown
Net Assets
 
Municipal Bonds
111.4%
 
Corporate Bonds
6.7%
 
Asset Backed Securities
5.6%
 
Term Loans
4.9%
 
Preferred Stock
2.0%
 
Collateralized Mortgage Obligations
0.7%
 
Closed-End Fund
0.3%
 
Warrants
0.0%
Common Stock
0.0%
Total Long-Term Investments
131.6%
 
Short-Term Investment
0.2%
 
Total Investments
131.8%
 
Other Assets in excess of Liabilities
2.6%
 
Borrowings
-10.5%
 
Reverse Repurchase Agreements
-23.9%
 
Total Net Assets
100.0%
 
* Less than 0.1%.
   
 
 
Ratings shown are assigned by one or more Nationally Recognized Statistical Credit Rating Organizations (“NRSRO”), such as Standard & Poor’s, Moody’s and Fitch. The ratings are an indication of an issuer’s credit-worthiness and typically range from AAA or Aaa (highest) to D (lowest). When two or more ratings are available, the lower rating is used; when only one is available, that rating is used. The Non-Rated category consists of securities that have not been rated by an NRSRO. U.S. Treasury securities and U.S. Government Agency securities are not rated but deemed to be equivalent to securities rated AA+/Aaa.
 
 
8 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

 
 

 


PORTFOLIO OF INVESTMENTS (Unaudited)
November 30, 2013

 
Principal
               
Optional Call
     
 
Amount
 
Description
 
Rating *
Coupon
 
Maturity
 
Provisions**
 
Value
 
     
Long-Term Investments – 131.6%
                   
     
Municipal Bonds – 111.4%
                   
     
Alabama – 2.9%
                   
$
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
$
3,232,500
 
 
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
 
5,412,250
 
 
2,000,000
 
Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds, (Assured GTY)(a)
 
AA–
7.250%
 
09/01/2040
 
09/01/20 @ 100
 
2,168,100
 
 
500,000
 
Jefferson County, Alabama, Sewer Revenue Warrants, Series 2013-A to Series 2013-F(AGM)
 
AA–
0.000%
 
10/01/2034
 
10/01/23 @ 51
 
133,030
 
                       
10,945,880
 
                           
     
California – 22.7%
                   
 
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(k)
 
A+
6.700%
 
02/01/2026
 
N/A
 
552,140
 
 
10,000,000
 
California, General Obligation Bonds, Various Purpose, Taxable Build
                   
     
America Bonds(a)
 
A
7.700%
 
11/01/2030
 
11/01/20 @ 100
 
11,708,600
 
 
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
 
3,192,750
 
 
340,000
 
Cypress Elementary School District (Orange County, California), General Obligation Bonds, Direct Pay Qualified School Construction Bonds, 2008 Election, Series B– 2(a) (k)
 
AA–
6.050%
 
08/01/2021
 
N/A
 
365,412
 
 
660,000
 
Cypress Elementary School District (Orange County, California), General Obligation Bonds, Direct Pay Qualified School Construction Bonds, 2008 Election, Series B-2(k)   
 
AA–
6.650%
 
08/01/2025
 
N/A
 
709,012
 
 
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
 
8,686,500
 
 
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
 
11,516,900
 
 
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
 
11,153,500
 
 
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
 
5,614,600
 
 
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
 
1,161,807
 
 
10,000,000
 
Oakland Unified School District, County of Alameda, California, Taxable General Obligation Bonds, Election of 2006, Qualified School Construction Bonds, Series 2012B(k) (l)
 
NR
6.877%
 
08/01/2033
 
08/01/22 @ 100
 
9,575,900
 
 
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(k)
 
AA–
5.400%
 
02/01/2026
 
N/A
 
1,024,040
 
 
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
 
5,483,750
 
 
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
 
2,636,191
 
 
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
 
9,251,637
 
 
3,330,000
 
Sonoma Valley Unified School District, General Obligation, Federally Taxable Bonds(k)
 
AA–
7.123%
 
08/01/2028
 
08/01/20 @ 100
 
3,542,221
 
                       
86,174,960
 

See notes to financial statements.
 
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 9

 
 

 

PORTFOLIO OF INVESTMENTS (Unaudited) continued
November 30, 2013

 
Principal
               
Optional Call
     
 
Amount
 
Description
 
Rating *
Coupon
 
Maturity
 
Provisions**
 
Value
 
     
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
$
8,299,350
 
 
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
 
2,965,450
 
                       
11,264,800
 
                           
     
Florida – 4.3%
                   
 
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
 
10,833,000
 
 
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
 
5,445,100
 
                       
16,278,100
 
                           
     
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
 
5,135,900
 
                           
     
Illinois – 12.3%
                   
 
5,000,000
 
Chicago, Illinois, Board of Education, Unlimited Tax General Obligation Bonds, Dedicated Revenues, Taxable Build America Bonds, Series 2010D(a) (k)
 
A+
6.519%
 
12/01/2040
 
N/A
 
4,549,400
 
 
5,100,000
 
Chicago, Illinois, Second Lien Wastewater Transmission Revenue Project Bonds, Taxable Build America Bonds, Series 2010B(a) (k)
 
A+
6.900%
 
01/01/2040
 
N/A
 
5,713,020
 
 
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
 
3,315,342
 
 
5,000,000
 
Illinois, General Obligation Bonds, Taxable Build America Bonds, Series 2010-5(a)
 
A–
7.350%
 
07/01/2035
 
N/A
 
5,444,600
 
 
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
 
8,329,381
 
 
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
 
3,445,299
 
 
4,500,000
 
Northern Illinois University, Auxiliary Facilities System Revenue Bonds, Build America Program, Taxable, Series 2010, (AGM)(a) (k)
 
A2
7.947%
 
04/01/2035
 
04/01/20 @ 100
 
5,084,235
 
 
5,000,000
 
Northern Illinois University, Auxiliary Facilities System Revenue Bonds, Build America Program, Taxable, Series 2010, (AGM)(a)
 
A2
8.147%
 
04/01/2041
 
04/01/20 @ 100
 
5,707,700
 
 
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
 
3,197,670
 
 
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
 
2,055,460
 
                       
46,842,107
 
                           
     
Indiana – 6.4%
                   
 
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
 
9,797,888
 
 
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
 
2,925,960
 
 
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
 
11,577,700
 
                       
24,301,548
 
                           
     
Louisiana – 2.5%
                   
 
8,000,000
 
Orleans Parish, School Board of the Parish of Orleans, Louisiana, (AGM)(k)
 
AA–
4.400%
 
02/01/2021
 
N/A
 
8,413,040
 
 
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
 
1,112,107
 
                       
9,525,147
 

See notes to financial statements.
10 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
 
 
 

 
 
PORTFOLIO OF INVESTMENTS (Unaudited) continued
November 30, 2013

 
Principal
               
Optional Call
     
 
Amount
 
Description
 
Rating *
Coupon
 
Maturity
 
Provisions**
 
Value
 
     
Michigan – 5.1%
                   
$
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, (Q-SBLF)(k)
 
AA–
6.300%
 
05/01/2026
 
05/01/21 @ 100
$
434,795
 
 
2,640,000
 
Detroit, Michigan, School District, Build America Bonds, (Q-SBLF)(a) (k)
 
AA–
7.747%
 
05/01/2039
 
N/A
 
2,753,441
 
 
5,000,000
 
Detroit, Michigan, School District, School Building and Site Bonds,
                   
     
Unlimited Tax General Obligation Bonds, Taxable Build America Bonds,
                   
     
Series 2010B, (Q-SBLF)(a)
 
AA–
6.845%
 
05/01/2040
 
05/01/20 @ 100
 
4,786,100
 
 
2,640,000
 
Detroit, Michigan, School District, School Building and Site Bonds,
                   
     
Unlimited Tax General Obligation Bonds, Taxable Qualified School
                   
     
Construction Bonds, Series 2010A, (Q-SBLF)(k)
 
AA–
6.645%
 
05/01/2029
 
N/A
 
2,586,118
 
 
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, (Q-SBLF)(k)
 
AA–
6.050%
 
05/01/2026
 
05/01/21 @ 100
 
3,138,810
 
 
1,000,000
 
Oakridge, Michigan, Public Schools, Unlimited Tax General Obligation
                   
     
Bonds, (Q-SBLF)(k)
 
AA–
6.750%
 
05/01/2026
 
05/01/20 @ 100
 
1,046,450
 
 
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, (Q-SBLF)(k)
 
AA–
6.100%
 
05/01/2026
 
05/01/20 @ 100
 
2,591,100
 
 
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, (Q-SBLF)(k)
 
AA–
6.500%
 
05/01/2029
 
05/01/20 @ 100
 
2,067,580
 
                       
19,404,394
 
                           
     
Minnesota – 0.9%
                   
 
1,660,000
 
St. Paul Housing & Redevelopment Authority, Federally Taxable Revenue Bonds(k) (l)
 
AA
7.250%
 
02/01/2035
 
02/01/21 @ 100
 
1,741,074
 
 
1,540,000
 
St. Paul Housing & Redevelopment Authority, Federally Taxable Revenue Bonds(k) (l)
 
AA
7.500%
 
02/01/2040
 
02/01/21 @ 100
 
1,614,536
 
                       
3,355,610
 
                           
     
Mississippi – 1.9%
                   
 
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
 
5,237,700
 
 
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
 
1,027,250
 
 
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
 
922,584
 
                       
7,187,534
 
                           
     
Nevada – 2.7%
                   
 
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
 
1,525,349
 
 
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
 
1,304,712
 
 
1,500,000
 
Nevada System of Higher Education University, Revenue Bonds, Build
                   
     
America Bonds(a)
 
AA–
7.600%
 
07/01/2030
 
07/01/20 @ 100
 
1,671,120
 
 
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
 
5,661,454
 
                       
10,162,635
 
                           
     
New Jersey – 6.2%
                   
 
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
 
8,437,440
 
 
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
 
2,116,060
 
 
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
 
13,060,200
 
                       
23,613,700
 

See notes to financial statements.
 
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 11
 
 
 

 
 
PORTFOLIO OF INVESTMENTS (Unaudited) continued
November 30, 2013

 
Principal
               
Optional Call
     
 
Amount
 
Description
 
Rating *
Coupon
 
Maturity
 
Provisions**
 
Value
 
     
New York – 5.8%
                   
$
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
$
5,506,700
 
 
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
 
5,757,150
 
 
10,000,000
 
Westchester County Health Care Corporation, Revenue Bonds, Taxable Build
                   
     
America Bonds, Series 2010(a) (k) (l)
 
BBB
8.572%
 
11/01/2040
 
N/A
 
10,994,400
 
                       
22,258,250
 
                           
     
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
 
5,965,050
 
 
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
 
2,187,179
 
 
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
 
2,585,550
 
 
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
 
2,580,550
 
 
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
 
2,580,125
 
 
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
 
2,665,750
 
 
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
 
1,291,721
 
                       
19,855,925
 
                           
     
Pennsylvania – 4.2%
                   
 
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
 
5,126,542
 
 
7,500,000
 
Pittsburgh, Pennsylvania, School District, Taxable Qualified School Construction
                   
     
Bonds, Series D(k)
 
A
6.850%
 
09/01/2029
 
N/A
 
8,497,800
 
 
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
 
2,491,725
 
                       
16,116,067
 
                           
     
South Carolina – 1.4%
                   
 
5,000,000
 
Horry County, South Carolina, Taxable Airport Revenue Bonds, Recovery Zone
                   
     
Economic Development Bonds, Series 2010B(k) (l)
 
A–
7.328%
 
07/01/2040
 
N/A
 
5,337,600
 
                           
     
South Dakota – 1.0%
                   
 
3,490,000
 
Pierre, South Dakota, Taxable Electric Revenue Bonds, Recovery Zone Economic
                   
     
Development Bonds, Series 2010C(k)
 
A2
7.500%
 
12/15/2040
 
12/15/19 @ 100
 
3,684,917
 
                           
     
Texas – 6.1%
                   
 
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
 
11,564,500
 
 
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
 
11,523,800
 
                       
23,088,300
 
                           
     
Vermont – 2.7%
                   
 
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
 
2,236,631
 
 
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
 
8,000,475
 
                       
10,237,106
 

See notes to financial statements.
12 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
 
 
 

 
 
PORTFOLIO OF INVESTMENTS (Unaudited) continued
November 30, 2013

 
Principal
               
Optional Call
     
 
Amount
 
Description
 
Rating *
Coupon
 
Maturity
 
Provisions**
 
Value
 
     
Washington – 9.5%
                   
$
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
$
5,308,700
 
 
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
 
2,156,140
 
 
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
 
5,221,350
 
 
5,800,000
 
Public Hospital District No. 1, King County, Washington, Valley Medical
                   
     
Center, Hospital Facilities Revenue Bonds, Series 2010B(k)
 
BBB+
8.000%
 
06/15/2040
 
06/15/20 @ 100
 
6,184,424
 
 
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
 
5,432,300
 
 
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
 
3,829,935
 
 
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
 
7,829,708
 
                       
35,962,557
 
                           
     
West Virginia – 3.3%
                   
 
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
 
12,525,300
 
                           
     
Total Municipal Bonds – 111.4%
                   
     
(Cost $383,968,462)
               
423,258,337
 
                           
     
Corporate Bonds – 6.7%
                   
     
Advertising – 0.1%
                   
 
375,000
 
Sitel, LLC / Sitel Finance Corp.(b) (k)
 
B
11.000%
 
08/01/2017
 
08/01/14 @ 106
 
404,062
 
                           
     
Airlines – 1.0%
                   
 
112,939
 
Atlas Air 1999-1 Pass-Through Trust, Series 1999-1, Class A-1(k) (l)
 
NR
7.200%
 
1/2/19
 
N/A
 
120,280
 
 
1,641,422
 
Atlas Air 2000-1 Class A Pass Through Trust, Series 2000-1, Class A(k) (l)
 
NR
8.707%
 
1/2/19
 
N/A
 
1,748,114
 
 
2,000,000
 
Delta Air Lines 2011-1 Class B Pass-Through Trust, Series 2011-1, Class B(k)
 
BB+
7.125%
 
10/15/14
 
N/A
 
2,040,000
 
                       
3,908,394
 
                           
     
Banks – 0.5%
                   
 
1,700,000
 
Barclays PLC (United Kingdom)(d) (h)
 
B+
8.250%
 
 
12/15/18 @ 100
 
1,754,400
 
                           
     
Chemicals – 0.1%
                   
 
350,000
 
TPC Group, Inc.(b) (k)
 
B
8.750%
 
12/15/2020
 
12/15/16 @ 104
 
369,688
 
                           
     
Coal – 0.1%
                   
 
200,000
 
Penn Virginia Resource Partners, LP / Penn Virginia Resource Finance Corp. II(k)
 
B–
8.375%
 
06/01/2020
 
06/01/16 @ 104
 
221,000
 
                           
     
Commercial Services – 0.1%
                   
 
200,000
 
ADT Corp.(b)
 
BB–
6.250%
 
10/15/2021
 
N/A
 
208,750
 
 
2,000
 
RR Donnelley & Sons Co.
 
BB–
6.500%
 
11/15/2023
 
N/A
 
1,995
 
 
60,000
 
ServiceMaster Co.
 
CCC+
7.000%
 
08/15/2020
 
08/15/15 @ 105
 
57,375
 
                       
268,120
 
                           
     
Distribution & Wholesale – 0.2%
                   
 
300,000
 
INTCOMEX, Inc.(k)
 
CCC
13.250%
 
12/15/2014
 
01/03/14 @ 100
 
291,000
 
                           
     
Diversified Financial Services – 0.1%
                   
 
125,000
 
Jefferies Finance, LLC / JFIN Co-Issuer Corp.(b) (k)
 
B+
7.375%
 
04/01/2020
 
04/01/16 @ 106
 
129,531
 
 
200,000
 
Jefferies Group, Inc.(k)
 
BBB
6.875%
 
04/15/2021
 
N/A
 
226,000
 
 
60,000
 
KCG Holdings, Inc.(b)
 
B
8.250%
 
06/15/2018
 
06/15/15 @ 104
 
61,725
 
 
31,200
 
LCP Dakota Fund, Series VI-P(k) (l)
 
NR
10.000%
 
08/17/2015
 
N/A
 
31,200
 
 
140,000
 
Nationstar Mortgage, LLC / Nationstar Capital Corp.(k)
 
B+
9.625%
 
05/01/2019
 
05/01/15 @ 107
 
157,500
 
                       
605,956
 

See notes to financial statements.
 
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 13

 
 

 
PORTFOLIO OF INVESTMENTS (Unaudited) continued
November 30, 2013

 
Principal
               
Optional Call
     
 
Amount
 
Description
 
Rating *
Coupon
 
Maturity
 
Provisions**
 
Value
 
     
Engineering & Construction – 0.6%
                   
$
2,246,576
 
Alion Science and Technology Corp.(c)
 
B–
12.000%
 
11/01/2014
 
04/01/14 @ 100
$
2,297,124
 
                           
     
Entertainment – 0.5%
                   
 
1,600,000
 
Diamond Resorts Corp.(k)
 
B–
12.000%
 
08/15/2018
 
08/15/14 @ 106
 
1,776,000
 
                           
     
Food – 0.0%***
                   
 
100,000
 
KeHE Distributors, LLC / KeHE Finance Corp.(b)
 
B
7.625%
 
08/15/2021
 
08/15/17 @ 104
 
104,500
 
                           
     
Health Care Services – 0.0%***
                   
 
150,000
 
Symbion, Inc.(k)
 
B
8.000%
 
06/15/2016
 
06/15/14 @ 104
 
159,187
 
                           
     
Healthcare-Services – 0.4%
                   
 
1,500,000
 
Tufts Medical Center, Inc.
 
BBB
7.000%
 
01/01/2038
 
N/A
 
1,450,583
 
                           
     
Internet – 0.8%
                   
 
3,000,000
 
GXS Worldwide, Inc.(k)
 
B
9.750%
 
06/15/2015
 
06/15/14 @ 100
 
3,112,800
 
                           
     
Leisure Time – 0.0%
                   
 
75,000
 
Sabre, Inc.(b) (k)
 
B
8.500%
 
05/15/2019
 
05/15/15 @ 106
 
82,969
 
                           
     
Machinery-Diversified – 0.1%
                   
 
250,000
 
Tempel Steel Co.(b) (k)
 
B–
12.000%
 
08/15/2016
 
08/15/14 @ 106
 
241,250
 
                           
     
Media – 0.0%***
                   
 
485,000
 
Baker & Taylor Acquisitions Corp.(b) (k)
 
CCC
15.000%
 
04/01/2017
 
10/01/14 @ 108
 
413,462
 
 
200,000
 
Expo Event Transco, Inc.(b)
 
B–
9.000%
 
06/15/2021
 
06/15/16 @ 105
 
202,500
 
                       
615,962
 
                           
     
Mining – 0.1%
                   
 
400,000
 
Midwest Vanadium Pty. Ltd. (Australia)(b) (k)
 
CCC
11.500%
 
02/15/2018
 
02/15/15 @ 106
 
332,000
 
 
150,000
 
Mirabela Nickel Ltd. (Australia)(b) (k) (l) (m)
 
D
8.750%
 
04/15/2018
 
04/15/15 @ 104
 
36,000
 
                       
368,000
 
                           
     
Oil & Gas – 0.3%
                   
 
750,000
 
Midstates Petroleum Co., Inc. / Midstates Petroleum Co., LLC(k)
 
B–
10.750%
 
10/01/2020
 
10/01/16 @ 105
 
817,500
 
 
200,000
 
Summit Midstream Holdings, LLC / Summit Midstream Finance Corp.(b)
 
B
7.500%
 
07/01/2021
 
07/01/16 @ 106
 
209,000
 
                       
1,026,500
 
                           
     
Oil & Gas Services – 0.1%
                   
 
200,000
 
Exterran Holdings, Inc.(k)
 
BB
7.250%
 
12/01/2018
 
12/01/14 @ 104
 
211,500
 
                           
     
Packaging & Containers – 0.1%
                   
 
300,000
 
Pretium Packaging, LLC / Pretium Finance, Inc.(k)
 
B–
11.500%
 
04/01/2016
 
04/01/14 @ 106
 
320,250
 
                           
     
Pharmaceuticals – 0.0%***
                   
 
180,000
 
Valeant Pharmaceuticals International (Canada)(b)
 
B
6.750%
 
08/15/2018
 
08/15/15 @ 105
 
198,225
 
                           
     
Real Estate Investment Trusts – 0.2%
                   
 
750,000
 
Columbia Property Trust Operating Partnership, LP(k)
 
BBB–
5.875%
 
04/01/2018
 
N/A
 
788,944
 
                           
     
Retail – 0.4%
                   
 
150,000
 
Checkers Drive-In Restaurants, Inc.(b) (k)
 
B–
11.000%
 
12/01/2017
 
06/01/15 @ 108
 
166,875
 
 
980,000
 
GRD Holdings III Corp.(b) (k)
 
B
10.750%
 
06/01/2019
 
06/01/15 @ 108
 
1,068,200
 
 
125,000
 
Wok Acquisition Corp.(b) (k)
 
CCC
10.250%
 
06/30/2020
 
06/30/16 @ 105
 
135,000
 
                       
1,370,075
 
                           
     
Software – 0.2%
                   
 
290,000
 
Aspect Software, Inc.(k)
 
CCC+
10.625%
 
05/15/2017
 
05/15/14 @ 105
 
296,525
 
 
200,000
 
Eagle Midco, Inc.(b) (f)
 
CCC+
9.000%
 
06/15/2018
 
12/15/14 @ 102
 
205,000
 
 
400,000
 
Infor US, Inc.(k)
 
B–
11.500%
 
07/15/2018
 
07/15/15 @ 106
 
462,000
 
                       
963,525
 

See notes to financial statements.
14 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

 
 

 
PORTFOLIO OF INVESTMENTS (Unaudited) continued
November 30, 2013

 
Principal
               
Optional Call
     
 
Amount
 
Description
 
Rating *
Coupon
 
Maturity
 
Provisions**
 
Value
 
     
Textiles – 0.0%***
                   
$
140,000
 
Empire Today, LLC / Empire Today Finance Corp.(b)
 
B–
11.375%
 
02/01/2017
 
02/01/15 @ 103
$
138,950
 
                           
     
Transportation – 0.7%
                   
 
39,340
 
Atlas Air, Inc.(b) (k) (l)
 
NR
8.707%
 
1/2/19
 
N/A
 
41,897
 
 
985,000
 
CEVA Group PLC (United Kingdom)(b) (k)
 
CCC+
8.375%
 
12/01/2017
 
12/01/14 @ 104
 
1,034,250
 
 
1,385,000
 
Marquette Transportation Co., LLC / Marquette Transportation Finance Corp.(k)
 
B–
10.875%
 
01/15/2017
 
01/15/14 @ 105
 
1,468,100
 
                       
2,544,247
 
                           
     
Total Corporate Bonds – 6.7%
                   
     
(Cost $24,662,108)
               
25,593,211
 
                           
     
Asset Backed Securities – 5.6%
                   
     
Automobile – 0.0%***
                   
 
23,331
 
Bush Truck Leasing, LLC, Series 2011-AA, Class C(b) (k)
 
NR
5.000%
 
09/25/2018
 
N/A
 
23,219
 
                           
     
Collateralized Debt Obligation – 1.6%
                   
 
178,600
 
Cedarwoods, Series 2006-1A, Class A1(i)
 
AAA
0.435%
 
07/25/2051
 
N/A
 
144,410
 
 
73,041
 
Diversified Asset Securitization Holdings II LP, Series 1X, Class A1L
                   
     
(Cayman Islands)(d)
 
BBB+
0.744%
 
09/15/2035
 
N/A
 
69,753
 
 
15,750
 
G-Star 2003-3 Ltd., Series 2003-A, Class A1 (Cayman Islands)(b) (d) (k)
 
BBB–
0.816%
 
03/13/2038
 
N/A
 
15,625
 
 
159,679
 
Highland Park CDO I Ltd., Series 2006-1A, Class A1 (Cayman Islands)(b) (d) (k)
 
B+
0.568%
 
11/25/2051
 
N/A
 
138,068
 
 
66,396
 
Independence I CDO Ltd., Series 1A, Class A (Cayman Islands)(b) (d) (k)
 
BB+
0.667%
 
12/30/2030
 
N/A
 
65,791
 
 
1,000,000
 
N-Star REL CDO VIII Ltd.(b) (d) (k)
 
B1
0.529%
 
02/01/2041
 
N/A
 
774,763
 
 
4,110,636
 
Putnam Structured Product, Series 2003-1A, Class A1LB(b) (d) (k)
 
CCC
0.617%
 
10/15/2038
 
N/A
 
3,818,954
 
 
573,308
 
Putnam Structured Product CDO, Series 2002-1A, Class A2 (Cayman
                   
     
Islands)(b) (d) (k)
 
CCC+
0.849%
 
01/10/2038
 
N/A
 
504,542
 
 
754,647
 
SRERS Funding Ltd., Series 2011-RS, Class A1B1 (Cayman Islands)(b) (d)
 
Baa3
0.418%
 
05/09/2046
 
N/A
 
678,982
 
                       
6,210,888
 
                           
     
Collateralized Loan Obligation – 2.1%
                   
 
250,000
 
Ares XXV CLO Ltd., Series 2012-3A (Cayman Islands)(b) (g) (k)
 
NR
0.000%
 
01/17/2024
 
N/A
 
202,050
 
 
250,000
 
ARES XXVI CLO Ltd., Series 2013-1A (Cayman Islands)(b) (g) (i) (k)
 
NR
0.000%
 
04/15/2025
 
N/A
 
195,000
 
 
250,000
 
Atlas Senior Loan Fund II Ltd., Series 2012-2A (Cayman Islands)(b) (g) (i) (k)
 
NR
0.000%
 
01/30/2024
 
N/A
 
223,844
 
 
100,000
 
BlackRock Senior Income Series Corp., Series 2004-1A (Cayman Islands)(b) (g)
 
NR
0.000%
 
09/15/2016
 
N/A
 
9,750
 
 
250,000
 
Carlyle Global Market Strategies CLO 2012-3 Ltd., Series 2012-3A (Cayman
                   
     
Islands)(b) (g) (k)
 
NR
0.000%
 
10/14/2024
 
N/A
 
240,850
 
 
250,000
 
Cerberus Offshore Levered I LP, Series 2012-1A, Class C (Cayman
                   
     
Islands)(b) (d) (k)
 
A3
6.243%
 
11/30/2018
 
N/A
 
249,520
 
 
2,000,000
 
Churchill Financial Cayman Ltd., Series 2007-1A, Class C (Cayman
                   
     
Islands)(b) (d) (k)
 
A+
1.494%
 
07/10/2019
 
N/A
 
1,842,943
 
 
1,000,000
 
Churchill Financial Cayman Ltd., Series 2007-1A, Class D1 (Cayman
                   
     
Islands)(b) (d) (k)
 
BBB+
2.844%
 
07/10/2019
 
N/A
 
904,531
 
 
1,000,000
 
Churchill Financial Cayman Ltd., Series 2007-1A, Class D2 (Cayman
                   
     
Islands)(b) (d) (k)
 
BBB+
8.370%
 
07/10/2019
 
N/A
 
1,008,329
 
 
300,000
 
Cratos CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(b) (d) (k)
 
AA+
1.338%
 
05/19/2021
 
N/A
 
284,244
 
 
250,000
 
Divcore CLO Ltd., Series 2013-1A, Class B(d)
 
Baa3
4.100%
 
11/15/2032
 
N/A
 
249,081
 
 
550,000
 
Eastland CLO Ltd., Series 2007-1A, Class A2B (Cayman Islands)(b) (d) (k)
 
AA+
0.572%
 
05/01/2022
 
N/A
 
506,420
 
 
215,919
 
Emporia Preferred Funding I Corp., Series 2005-1A, Class C (Cayman
                   
     
Islands)(b) (d) (k)
 
AAA
1.194%
 
10/12/2018
 
N/A
 
214,645
 
 
250,000
 
Finn Square CLO Ltd., Series 2012-1A (Cayman Islands)(b) (g)
 
NR
0.000%
 
12/24/23
 
N/A
 
232,850
 
 
250,000
 
Great Lakes CLO 2012-1 Ltd., Series 2012-1A (Cayman Islands)(b) (g) (k)
 
NR
0.000%
 
01/15/2023
 
N/A
 
231,693
 
 
200,000
 
Katonah IX CLO Ltd., Series 2006-9A, Class A3L (Cayman Islands)(b) (d) (k)
 
A+
0.958%
 
01/25/2019
 
N/A
 
186,264
 
 
500,000
 
KKR CLO Trust, Series 2007-1A, Class D (Cayman Islands)(b) (d) (k)
 
A
2.491%
 
05/15/2021
 
N/A
 
479,030
 

See notes to financial statements.
 
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 15


 
 

 
PORTFOLIO OF INVESTMENTS (Unaudited) continued
November 30, 2013

 
Principal
               
Optional Call
     
 
Amount
 
Description
 
Rating *
Coupon
 
Maturity
 
Provisions**
 
Value
 
     
Collateralized Loan Obligation (continued)
                   
$
250,000
 
Newstar Commercial Loan Funding 2013-1, LLC(b) (d)
 
BBB
4.951%
 
09/20/2023
 
N/A
$
250,017
 
 
200,000
 
Summit Lake CLO Ltd., Series 2005-1A, Class C1A(b) (g)
 
NR
0.000%
 
02/24/2018
 
N/A
 
69,798
 
 
250,000
 
T2 Income Fund CLO Ltd., Series 2007-1A, Class D (Cayman
                   
     
Islands)(b) (d) (k)
 
A+
2.994%
 
07/15/2019
 
N/A
 
240,271
 
                       
7,821,130
 
                           
     
Commercial Receivables – 0.0%***
                   
 
3,905
 
Leaf Receivables Funding 5, LLC, Series 2010-4, Class D(b) (k)
 
NR
5.000%
 
01/20/2019
 
12/20/13 @ 100
 
3,864
 
                           
     
Credit Card – 0.1%
                   
 
245,154
 
Credit Card Pass-Through Trust 2012-BIZ, Series 2012-Biz A(b) (g) (h) (k)
 
CCC
0.000%
 
 
N/A
 
200,313
 
                           
     
Insurance – 0.0%***
                   
 
80,650
 
Insurance Note Capital VII, Series 2005-1R1A(b) (d) (k)
 
A–
0.489%
 
06/09/2033
 
N/A
 
75,005
 
                           
     
Media – 0.9%
                   
 
1,300,000
 
Adams Outdoor Advertising, LP, Series 2010-1, Class B(b) (k)
 
BBB
8.836%
 
12/20/2040
 
N/A
 
1,415,394
 
 
1,825,000
 
Adams Outdoor Advertising, LP, Series 2010-1, Class C(b) (k)
 
BB
10.756%
 
12/20/2040
 
N/A
 
2,031,530
 
                       
3,446,924
 
                           
     
Other ABS – 0.5%
                   
 
262,180
 
Aircraft Certificate Owner Trust, Series 2003-1A, Class D(b) (k) (l)
 
BBB
6.455%
 
09/20/2022
 
N/A
 
263,285
 
 
322,249
 
Bristol Bay Funding Ltd., Series 2004-1A, Class A2(b) (d)
 
AA+
1.242%
 
02/01/2016
 
N/A
 
319,027
 
 
1,097,389
 
Gramercy Real Estate CDO 2007-1 Ltd., Class A1(b) (d)
 
B
0.521%
 
08/15/2056
 
N/A
 
866,619
 
 
667,294
 
West Coast Funding Ltd., Series 2006-1A, Class A1A(b) (d)
 
Caa3
0.389%
 
11/02/2041
 
N/A
 
643,581
 
                       
2,092,512
 
                           
     
Transportation – 0.4%
                   
 
11,885
 
Castle Trust, Series 2003-1AW, Class A1(b) (d) (k)
 
AA
0.917%
 
05/15/2027
 
N/A
 
10,815
 
 
159,103
 
Raspro Trust, Series 2005-1A, Class G(b) (d) (k)
 
A
0.645%
 
03/23/2024
 
N/A
 
147,965
 
 
1,278,781
 
Vega Containervessel PLC, Series 2006-1A, Class A(b) (k)
 
Ba3
5.562%
 
02/10/2021
 
N/A
 
1,241,652
 
                       
1,400,432
 
                           
     
Total Asset Backed Securities – 5.6%
                   
     
(Cost $20,268,959)
               
21,274,287
 
                           
     
Collateralized Mortgage Obligations– 0.7%
                   
     
Commercial Mortgage Backed Security – Traditional – 0.5%
                   
 
2,000,000
 
GS Mortgage Securities Corp. II Trust 2007-EOP, Series 2007-EOP,
                   
     
Class H(b) (d) (k)
 
BBB–
3.300%
 
03/06/2020
 
N/A
 
2,005,000
 
                           
     
Residential Mortgage Backed Security – 0.2%
                   
 
781,905
 
Nomura Resecuritization Trust, Series 2012-1R, Class A(b) (d) (k)
 
NR
0.604%
 
08/27/2047
 
N/A
 
719,353
 
                           
     
Total Collateralized Mortgage Obligations – 0.7%
                   
     
(Cost $2,557,904)
               
2,724,353
 
                           
     
Term Loans – 4.9%(e)
                   
     
Aerospace & Defense – 0.2%
                   
 
900,000
 
Nana Development
 
B+
8.000%
 
03/15/2018
 
N/A
 
913,500
 
                           
     
Automotive – 0.1%
                   
 
40,000
 
Fleetpride
 
CCC+
9.250%
 
05/15/2020
 
N/A
 
38,200
 
 
236,111
 
Navistar, Inc.
 
B
5.750%
 
08/17/2017
 
N/A
 
240,391
 
                       
278,591
 
                           
     
Consumer Products – 0.1%
                   
 
330,469
 
Targus Group International, Inc.
 
B
12.000%
 
05/24/2016
 
N/A
 
285,135
 
 
85,583
 
Totes Isotoner Corp.
 
B
7.252%
 
07/07/2017
 
N/A
 
86,118
 
                       
371,253
 

See notes to financial statements.
16 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

 
 

 
PORTFOLIO OF INVESTMENTS (Unaudited) continued
November 30, 2013

 
Principal
               
Optional Call
     
 
Amount
 
Description
 
Rating *
Coupon
 
Maturity
 
Provisions**
 
Value
 
     
Consumer Services – 0.4%
                   
$
96,250
 
Edmentum, Inc.
 
BB–
6.000%
 
05/17/2018
 
N/A
$
96,906
 
 
447,124
 
Endurance International Group
 
B
5.000%
 
11/09/2019
 
N/A
 
450,198
 
 
93,750
 
Nab Holdings First Lien
 
BB+
7.000%
 
04/24/2018
 
N/A
 
94,395
 
 
214,915
 
Patheon, Inc. - 1st Lien
 
B+
7.250%
 
12/14/2018
 
N/A
 
217,602
 
 
182,576
 
Sutherland Global Cayman Tranche
 
BB–
7.250%
 
03/06/2019
 
N/A
 
183,032
 
 
404,275
 
Sutherland Global U.S. Tranche
 
B
7.250%
 
03/06/2019
 
N/A
 
405,286
 
                       
1,447,419
 
                           
     
Diversified Manufacturing – 0.1%
                   
 
415,800
 
CPM Acquisition Corp.
 
B+
6.250%
 
08/29/2017
 
N/A
 
417,879
 
                           
     
Electric – 0.0%***
                   
 
98,750
 
Astoria Generating Co. Acquisitions
 
B
8.500%
 
10/26/2017
 
N/A
 
101,713
 
                           
     
Energy-Alternate Sources – 0.1%
                   
 
150,000
 
Atlas Energy, LP
 
B
6.500%
 
07/31/2019
 
N/A
 
153,750
 
                           
     
Entertainment – 0.0%***
                   
 
73,800
 
CKX Entertainment, Inc.(l)
 
B+
9.000%
 
06/21/2017
 
N/A
 
67,158
 
                           
     
Food & Beverage – 0.0%***
                   
 
35,000
 
Hostess Brands, Inc.
 
B–
6.750%
 
04/09/2020
 
N/A
 
36,116
 
                           
     
Health Care – 0.4%
                   
 
249,375
 
Apria Healthcare
 
BB–
6.750%
 
04/06/2020
 
N/A
 
250,829
 
 
1,120,066
 
Merge Healthcare Inc. (l)
 
CCC
6.000%
 
04/23/2019
 
N/A
 
1,075,263
 
                       
1,326,092
 
                           
     
Insurance – 0.1%
                   
 
100,000
 
Cetera Financial Group, Lien 1
 
B+
6.500%
 
08/07/2019
 
N/A
 
101,000
 
 
222,828
 
Confie Seguros
 
B–
6.500%
 
11/09/2018
 
N/A
 
223,664
 
 
155,909
 
Cunningham
 
B–
9.250%
 
06/10/2020
 
N/A
 
155,714
 
                       
480,378
 
                           
     
Media – 0.1%
                   
 
119,372
 
Cengage Learning Acquisitions, Inc. (Thomson Learning)
 
D
0.000%
 
07/03/2014
 
N/A
 
90,325
 
 
109,446
 
Cengage Learning Acquisitions, Inc. (Thomson Learning)
 
D
0.000%
 
07/31/2017
 
N/A
 
82,996
 
 
223,125
 
Mitel US Holdings First Lien
 
B+
7.000%
 
02/27/2019
 
N/A
 
223,125
 
                       
396,446
 
                           
     
Oil Field Services – 0.3%
                   
 
225,205
 
Equipower Resources Holdings, LLC
 
BB
4.250%
 
12/21/2018
 
N/A
 
226,682
 
 
399,000
 
Ocean RIG ASA
 
B+
5.500%
 
07/15/2016
 
N/A
 
404,654
 
 
99,500
 
Rice Energy
 
CCC+
8.500%
 
10/25/2018
 
N/A
 
101,739
 
 
198,500
 
Shelf Drilling Holdings Ltd.
 
B+
6.250%
 
05/31/2018
 
N/A
 
199,492
 
 
195,500
 
Varel International Energy Funding Corp.
 
B
9.250%
 
07/17/2017
 
N/A
 
200,388
 
                       
1,132,955
 
                           
     
Other Finance – 0.4%
                   
 
917,986
 
Ceridian Corp.
 
B–
4.416%
 
05/09/2017
 
N/A
 
923,838
 
 
199,000
 
First Advantage
 
B
6.250%
 
02/28/2019
 
N/A
 
199,373
 
 
62,617
 
Knight/Getco, 1st Lien
 
BB–
5.750%
 
11/30/2017
 
N/A
 
63,008
 
                       
1,186,219
 
                           
     
Other Financial Institution – 0.5%
                   
 
2,000,000
 
AP Alternative Assets LP (l)
 
BB
6.677%
 
12/21/2015
 
N/A
 
2,005,000
 

See notes to financial statements.
 
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 17
 
 
 

 
 
PORTFOLIO OF INVESTMENTS (Unaudited) continued
November 30, 2013
 
 
Principal
               
Optional Call
     
 
Amount
 
Description
 
Rating *
Coupon
 
Maturity
 
Provisions**
 
Value
 
     
Other Industrials – 0.1%
                   
$
99,500
 
Hunter Fan Company 1st Lien
 
B+
6.500%
 
12/20/2017
 
N/A
$
99,707
 
 
248,750
 
Sirva Worldwide, Inc.
 
B
7.500%
 
03/27/2019
 
N/A
 
254,347
 
                       
354,054
 
                           
     
Retail – 0.3%
                   
 
81,233
 
Container Store, Lien 1
 
B
4.250%
 
04/06/2019
 
N/A
 
81,672
 
 
987,500
 
HD Supply
 
B+
4.500%
 
10/12/2017
 
N/A
 
995,030
 
                       
1,076,702
 
                           
     
Technology – 1.0%
                   
 
99,250
 
Ascensus, Inc.
 
B
8.000%
 
12/21/2018
 
N/A
 
101,235
 
 
297,500
 
Aspect Software, Inc.
 
B
7.000%
 
05/07/2016
 
N/A
 
298,763
 
 
650,000
 
Greenway Medical Tech
 
B+
6.000%
 
11/04/2020
 
N/A
 
650,000
 
 
396,000
 
IPC Information Systems, Inc.
 
B–
7.750%
 
07/31/2017
 
N/A
 
393,772
 
 
100,000
 
Misys PLC 2nd Lien
 
CCC+
12.000%
 
06/12/2019
 
N/A
 
115,375
 
 
987,464
 
Misys PLC First Lien
 
B+
5.000%
 
12/12/2018
 
N/A
 
994,253
 
 
1,128,621
 
Paradigm, Ltd. - First Lien(l)
 
B+
4.750%
 
07/30/2019
 
N/A
 
1,124,863
 
 
19,750
 
Sophos TLB - Lien 1
 
B+
6.500%
 
05/10/2019
 
N/A
 
19,849
 
                       
3,698,110
 
                           
     
Transportation – 0.3%
                   
 
577,500
 
Evergreen Tank Solutions, Inc.
 
B–
9.500%
 
09/28/2018
 
N/A
 
576,056
 
 
119,273
 
Global Aviation Holdings, Inc.(i) (l) (m)
 
NR
10.000%
 
07/13/2017
 
N/A
 
 
 
38,602
 
Global Aviation Holdings, Inc.(i) (l) (m)
 
NR
3.000%
 
02/13/2018
 
N/A
 
 
 
198,004
 
Sabre, Inc.
 
B
5.250%
 
02/19/2019
 
N/A
 
199,598
 
 
399,000
 
US Shipping Corp.
 
B
9.000%
 
04/30/2018
 
N/A
 
410,970
 
 
129,675
 
Travelport Holdings Ltd.
 
B
6.250%
 
06/26/2019
 
N/A
 
132,767
 
 
204,108
 
Travelport Holdings, LTD 2nd Lien
 
CCC+
4.000%
 
12/01/2016
 
N/A
 
208,276
 
                       
1,527,667
 
                           
     
Wireless – 0.1%
                   
 
493,750
 
Zayo Group LLC
 
B
4.500%
 
07/02/2019
 
N/A
 
494,619
 
                           
     
Wirelines – 0.3%
                   
 
691,322
 
Avaya, Inc.
 
B
4.762%
 
10/26/2017
 
N/A
 
663,766
 
 
346,971
 
Avaya, Inc.
 
B
8.000%
 
03/31/2018
 
N/A
 
346,366
 
                       
1,010,132
 
                           
     
Total Term Loans – 4.9%
                   
     
(Cost $18,340,461)
               
18,475,753
 
                           
 
Number
                       
 
of Shares
 
Description
               
Value
 
     
Common Stock – 0.0%***
                   
     
Airlines – 0.0%***
                   
 
6,232
 
Global Aviation Holdings, Inc.(i) (j) (k) (l)
               
1
 
     
(Cost $0)
                   
                           
     
Preferred Stocks – 2.0%
                   
     
Diversified Financial Services – 0.6%
                   
 
1,900
 
Falcons Funding Trust I(b) (d) (k)
               
1,955,931
 
 
475
 
GSC Partners CDO Fund Ltd./GSC Partners CDO Fund Corp.
                   
     
(Cayman Islands)(b) (d)
               
198,121
 
 
200,000
 
WhiteHorse II Ltd., Series 2005-2A (Cayman Islands)(b) (d) (k)
               
112,000
 
                       
2,266,052
 

See notes to financial statements.
18 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

 
 

 

PORTFOLIO OF INVESTMENTS (Unaudited) continued
November 30, 2013

 
Number
                       
 
of Shares
 
Description
               
Value
 
     
Transportation – 1.4%
                   
 
200,000
 
Seaspan Corp., Series C (Marshall Islands)(k)
 
NR
9.500%
 
   
$
5,328,000
 
                           
     
Total Preferred Stocks – 2.0%
                   
     
(Cost $7,201,500)
               
7,594,052
 
                           
     
Close End Fund – 0.3%
                   
 
50,618
 
BlackRock Build America Bond Trust
               
931,877
 
     
(Cost $930,410)
                   
                           
     
Warrants – 0.0%***
                   
     
Engineering & Construction – 0.0%***
                   
 
1,550
 
Alion Science and Technology Corp.(i) (j) (l)
       
03/15/2017
     
 
     
(Cost $16)
                   
                           
     
Total Long-Term Investments – 131.6%
                   
     
(Cost $457,929,820)
               
499,851,871
 
                           
     
Short-Term Investments – 0.2%
                   
                           
 
Principal
               
Optional Call
     
 
Amount
 
Description
 
Rating *
Coupon
 
Maturity
 
Provisions**
 
Value
 
     
Municipal Bond – 0.2%
                   
     
Michigan – 0.2%
                   
$
1,000,000
 
Michigan Finance Authority, State Aid Revenue Notes, School District of the City of Detroit, Series 2013C(k)
 
SP-1
4.375%
 
08/20/2014
 
N/A
 
1,003,560
 
     
(Cost $1,000,000)
                   
                           
     
Total Investments – 131.8%
                   
     
(Cost $458,929,820)
               
500,855,431
 
     
Other Assets in excess of Liabilities – 2.6%
               
9,911,812
 
     
Borrowings – (10.5%)
               
(39,963,936
)
     
Reverse Repurchase Agreements – (23.9%)
               
(90,906,742
)
     
Net Assets – 100.0%
             
$
379,896,565
 
 
AGM – Insured by Assured Guaranty Municipal Corporation
 
ASA – Stock Company
 
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
 
*
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, 2013 these securities amounted to $31,585,282, which represents 8.3% of net assets.
   
(c)
The issuer of this security will accrue interest on the secured note at a rate of 12% annum and will make interest payments as follows: (1) 10% in cash and (2) 2% in-kind shares of the secured note.
   
(d)
Floating or variable rate coupon. The rate shown is as of November 30, 2013.
 
See notes to financial statements.
 
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 19

 
 

 

PORTFOLIO OF INVESTMENTS (Unaudited) continued
November 30, 2013

(e)
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.
   
(f)
Pay-in-kind toggle note.
   
(g)
Security had no stated coupon. However, it is expected to receive residual cash flow payments on deal defined payment dates.
   
(h)
Security is perpetual and, thus does not have a predetermined maturity date.
   
(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 $563,255, representing 0.1% in net assets.
   
(j)
Non-income producing security.
   
(k)
All or a portion of these securities have been physically segregated in connection with borrowings, reverse repurchase agreements, and unfunded loan commitments. As of November 30, 2013, the total amount segregated was $252,928,587.
   
(l)
Illiquid security.
   
(m)
Non-income producing as security is in default.

See notes to financial statements.
20 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

 
 

 

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
November 30, 2013

Assets
       
Investments in securities, at value (cost $458,929,820)
 
$
500,855,431
 
Interest receivable
   
9,180,661
 
Cash
   
1,344,712
 
Receivable for securities sold
   
776,437
 
Other assets
   
21,553
 
Total assets
   
512,178,794
 
Liabilities
       
Reverse repurchase agreements
   
90,906,742
 
Borrowings
   
39,963,936
 
Payable for securities purchased
   
629,813
 
Advisory fee payable
   
250,787
 
Excise tax payable
   
250,000
 
Interest due on borrowings
   
70,773
 
Administrative fee payable
   
9,534
 
Accrued expenses and other liabilities
   
200,644
 
Total liabilities
   
132,282,229
 
Net Assets
 
$
379,896,565
 
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
   
331,422,142
 
Undistributed net investment income
   
4,654,299
 
Accumulated net realized gain on investments
   
1,720,376
 
Net unrealized appreciation on investments and unfunded commitments
   
41,925,611
 
Net Assets
 
$
379,896,565
 
Net Asset Value (based on 17,413,674 common shares outstanding)
 
$
21.82
 

See notes to financial statements.
 
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 21

 
 

 

STATEMENT OF OPERATIONS For the six months ended November 30, 2013 (Unaudited)
November 30, 2013

Investment Income
             
Interest
 
$
17,237,828
       
Total income
       
$
17,237,828
 
Expenses
             
Advisory fee
   
1,546,529
       
Interest expense
   
655,890
       
Excise tax expense
   
250,000
       
Professional fees
   
69,621
       
Trust accounting
   
64,113
       
Administrative fee
   
58,718
       
Trustees’ fees and expenses
   
40,638
       
Custodian fee
   
12,507
       
Printing expenses
   
36,691
       
NYSE listing fee
   
11,895
       
Insurance expense
   
6,954
       
Transfer agent fee
   
9,189
       
Miscellaneous
   
835
       
Total expenses
         
2,763,580
 
Net investment income
         
14,474,248
 
Realized and Unrealized Gain (Loss) on Investments and Unfunded Commitments
             
Net realized loss on:
             
Investments
         
(140,770
)
Net change in unrealized appreciation (depreciation) on:
             
Investments
         
(31,135,679
)
Unfunded commitments
         
3
 
Net realized and unrealized gain (loss) on investments and unfunded commitments
         
(31,276,446
)
Net Decrease in Net Assets Resulting from Operations
       
$
(16,802,198
)

See notes to financial statements.
22 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

 
 

 
 
STATEMENT OF CHANGES IN NET ASSETS
November 30, 2013

               
     
For the Six Months
       
     
Ended
   
For the Year
 
     
November 30, 2013
   
Ended
 
     
(unaudited
)
 
May 31, 2013
 
Increase (Decrease) in Net Assets from Operations
             
Net investment income
 
$
14,474,248
 
$
28,865,070
 
Net realized gain (loss) on investments
   
(140,770
)
 
1,496,339
 
Net change in unrealized appreciation (depreciation) on investments and unfunded commitments
   
(31,135,676
)
 
(441,200
)
Net increase (decrease) in net assets resulting from operations
   
(16,802,198
)
 
29,920,209
 
Distributions to Common Shareholders
             
From net investment income
   
(14,436,284
)
 
(27,845,259
)
Capital Share Transactions
             
Reinvestment of dividends
   
0
   
100,013
 
Net increase from capital share transactions
   
0
   
100,013
 
Total increase (decrease) in net assets
   
(31,238,482
)
 
2,174,963
 
Net Assets
             
Beginning of period
   
411,135,047
   
408,960,084
 
End of period (including undistributed net investment income of $4,654,299 and $4,616,335, respectively)
 
$
379,896,565
 
$
411,135,047
 

See notes to financial statements.
 
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 23

 
 

 

STATEMENT OF CASH FLOWS For the six months ended November 30, 2013 (Unaudited)
November 30, 2013

Cash Flows from Operating Activities:
       
Net decrease in net assets resulting from operations
 
$
(16,802,198
)
Adjustments to Reconcile Net Decrease in Net Assets Resulting from Operations to
       
Net Cash Provided by Operating and Investing Activities:
       
Net depreciation appreciation on investments
   
31,135,679
 
Net unrealized appreciation on unfunded commitments
   
(3
)
Net realized loss on investments
   
140,770
 
Paydowns received
   
(586,850
)
Net accretion of bond discount and amortization of bond premium
   
(170,510
)
Purchase of long-term investments
   
(26,547,069
)
Proceeds from sale of long-term investments
   
27,673,906
 
Net sales of short-term investments
   
174,430
 
Decrease in interest receivable
   
71,577
 
Increase in receivable for securities sold
   
(173,692
)
Increase in other assets
   
(21,553
)
Decrease in payable for securities purchased
   
(205,541
)
Decrease in advisory fee payable
   
(29,645
)
Increase in excise tax payable
   
250,000
 
Decrease in interest due on borrowings
   
(63,723
)
Decrease in administration fee payable
   
(850
)
Decrease in accrued expenses and other liabilities
   
(38,858
)
Net Cash Provided by Operating and Investing Activities
   
14,805,870
 
Cash Flows From Financing Activities:
       
Distributions to common shareholders
   
(14,436,284
)
Increase in reverse repurchase agreements
   
5,128,360
 
Proceeds from borrowings
   
22,500,000
 
Payments made on borrowings
   
(26,750,000
)
Net Cash Used in Financing Activities
   
(13,557,924
)
Net increase in cash
   
1,247,946
 
Cash at Beginning of Period
   
96,766
 
Cash at End of Period
 
$
1,344,712
 
Supplemental Disclosure of Cash Flow Information: Cash paid during the period for interest
 
$
719,613
 

See notes to financial statements.
24 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
 
 
 

 
 
FINANCIAL HIGHLIGHTS
November 30, 2013

    For the Six Months    
 
         
For the Period
 
     
Ended
   
For the Year
   
For the Year
  October 28, 2010*  
Per share operating performance
  November 30, 2013    
Ended
   
Ended
   
through
 
for a common share outstanding throughout the period
   
(unaudited
)
 
May 31, 2013
   
May 31, 2012
   
May 31, 2011
 
Net asset value, beginning of period
 
$
23.61
 
$
23.49
 
$
20.65
 
$
19.10
(a)
Income from investment operations
                         
Net investment income (b)
   
0.83
   
1.63
   
1.59
   
0.68
 
Net realized and unrealized gain (loss) on investments and unfunded commitments
   
(1.79
)
 
0.09
   
2.74
   
1.50
 
Total from investment operations
   
(0.96
)
 
1.72
   
4.33
   
2.18
 
Common shares’ offering expenses charged to paid-in capital
   
   
   
   
(0.04
)
Distributions to Common Shareholders
                         
From net investment income
   
(0.83
)
 
(1.60
)
 
(1.49
)
 
(0.59
)
Net asset value, end of period
 
$
21.82
 
$
23.61
 
$
23.49
 
$
20.65
 
Market value, end of period
 
$
19.19
 
$
22.70
 
$
22.46
 
$
19.54
 
Total investment return (c)
                         
Net asset value
   
-4.04
%
 
7.48
%
 
21.64
%
 
11.34
%
Market value
   
-11.98
%
 
8.27
%
 
23.35
%
 
0.80
%
Ratios and supplemental data
                         
Net assets, end of period (thousands)
 
$
379,897
 
$
411,135
 
$
408,960
 
$
359,444
 
Ratios to Average Net Assets applicable to Common Shares:
                         
Total expenses, excluding interest expense
   
1.09
%(d)
 
1.02
%
 
1.04
%
 
0.91
%(d)
Total expenses, including interest expense
   
1.43
%(d)
 
1.38
%
 
1.36
%
 
1.05
%(d)
Net investment income, including interest expense
   
7.51
%(d)
 
6.90
%
 
7.33
%
 
6.00
%(d)
Portfolio turnover rate (e)
   
5
%
 
12
%
 
7
%
 
3
%
Senior Indebtedness:
                         
Total Borrowings outstanding (in thousands)
 
$
130,871
 
$
129,992
 
$
125,542
 
$
104,906
 
Asset Coverage per $1,000 of indebtedness(f)
 
$
3,903
 
$
4,163
 
$
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.
 
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 25

 
 

 
NOTES TO FINANCIAL STATEMENTS (Unaudited)
November 30, 2013
 
Note 1 – Organization:
Guggenheim Build America Bonds Managed Duration 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 Trust’s primary investment objective is to provide current income with a secondary objective of long-term capital appreciation. There can be no assurance that the Trust will achieve its investment objectives. The Trust’s investment objectives are considered fundamental and may not be changed without shareholder approval.
 
Note 2 – Accounting Policies:
The preparation of the financial statements in accordance with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
 
The following is a summary of significant accounting policies consistently followed by the Trust.
 
(a) Valuation of Investments
The Trust values equity securities at the last reported sale price on the principal exchange or in the principal over-the-counter (“OTC”) market in which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean between the last available bid and ask prices on that day. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. The Trust values debt securities (including municipal securities, asset-backed securities, collateralized mortgage obligations and term loans) at the last available bid price for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality, and type. Short-term securities with remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value.
 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees (“Trustees”). A valuation committee consisting of representatives from investment management, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Trust and convenes monthly, or more frequently as needed. The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, unchanged valuations, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Trust’s Trustees.
 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) fair value. Such fair value is the amount that the Trust might reasonably expect to receive for the security (or asset) upon its current sale. 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: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
 
For fixed income securities, fair valuations may include input from Guggenheim Partners Investment Management, LLC (“GPIM”) utilizing a wide variety of market data including yields or prices of investments of comparable quality, type of issue, coupon, maturity, rating, indications of value from security dealers, evaluations of anticipated cash flows or collateral, spread over Treasuries, and other information and analysis. GPIM also uses third party service providers to model certain securities using cash flow models to represent a fair market value.
 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
 
The Trust values Level 1 securities using readily available market quotations in active markets. Money Market Funds are valued at Net Asset Value. The Trust values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Trust values Level 2 equity securities using independent pricing providers who employ models using various observable market inputs. The fair value estimate for the Level 3 security in the Trust is determined in accordance with the Trust’s valuation procedures described above.
 
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
 
26 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

 
 

 
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
November 30, 2013
 
The following table represents the Trust’s investments carried on the Statement of Assets and Liabilities by caption and by level within the fair value hierarchy as of November 30, 2013.
 
Description
   
Level 1
   
Level 2
   
Level 3
   
Total
 
(value in $000s)
                         
Assets:
                         
Municipal Bonds
 
$
 
$
424,262
 
$
 
$
424,262
 
Corporate Bonds
   
   
25,593
   
   
25,593
 
Asset Backed
                         
Securities:
                         
Automobile
   
   
23
   
   
23
 
Collateralized Debt
                         
Obligations
   
   
6,066
   
145
   
6,211
 
Collateralized Loan
                         
Obligations
   
   
7,402
   
419
   
7,821
 
Commercial Receivables
   
   
4
   
   
4
 
Credit Card
   
   
200
   
   
200
 
Insurance
   
   
75
   
   
75
 
Media
   
   
3,447
   
   
3,447
 
Other ABS
   
   
2,093
   
   
2,093
 
Transportation
   
   
1,400
   
   
1,400
 
Collateralized Mortgage
                         
Obligations
   
   
2,724
   
   
2,724
 
Preferred Stock
   
7,594
   
   
   
7,594
 
Term Loans
   
   
18,476
   
*
 
18,476
 
Common Stock
   
   
   
*
 
*
Closed End Fund
   
932
   
   
   
932
 
Warrants
   
   
   
*
 
*
Total
 
$
8,526
 
$
491,765
 
$
564
 
$
500,855
 
 
*
Market value is less than minimum amount disclosed.
 
The transfers in and out of the valuation levels for the Fund as of the report date when compared to the valuation levels at the end of the previous fiscal year are detailed below:
 
A collateralized loan obligation, Atlas Senior Loan Fund II, LTD. in the amount of $223,844, transferred from Level 2 to Level 3 due to the lack of a timely third-party price.
 
Two term loans, Global Aviation Holdings Inc. in the amount of $0 each, transferred from Level 2 to Level 3 due to liquidity issues of the company and the lack of a third-party price. The following table presents the activity for the Trust’s investments measured at fair value using significant unobservable inputs (Level 3 valuations) for the six months ended November 30, 2013.
 
Level 3 holdings
       
(value in $000s)
       
Beginning Balance at May 31, 2013
       
Warrants
 
$
*
Common Stock
   
*
Collateralized Loan Obligations
   
207
 
Net Purchases
       
Collateralized Debt Obligations
   
154
 
Transfers In
       
Collateralized Loan Obligation
   
224
 
Term Loans
   
*
Realized Gain/Loss
       
Collateralized Debt Obligations
   
3
 
Paydowns Received
       
Collateralized Debt Obligation
   
(13
)
Change in unrealized gain/loss
       
Warrants
   
 
Common Stock
   
 
Collateralized Debt Obligation
   
1
 
Collateralized Loan Obligations
   
(12
)
Ending Balance at November 30, 2013
       
Warrants
   
*
Common Stock
   
*
Collateralized Debt Obligation
   
145
 
Collateralized Loan Obligations
   
419
 
Term Loans
   
*
Total Level 3 holdings
 
$
564
 
 
The following table summarizes valuation techniques and inputs used in determining the fair value of Guggenheim Build America Bonds Managed Duration Trust holdings categorized as Level 3 at November 30, 2013:
 
     
Value as of
   
 
           
Investments,
   
November 30,
   
Valuation
   
Unobservable
   
Unobservable
at value
   
2013
   
Technique
   
Inputs
   
Inputs
Common Stock:
                       
Airlines
 
$
1
   
Model Price
   
Unlisted Security
 
$
0.0001
Warrant:
                       
Engineering
                       
and Construction
   
0
   
Model Price
   
Unlisted Security
   
0.0000
Asset Backed
                       
Securities:
                       
Collateralized
                       
Debt Obligation
   
144,410
   
Third-Party
   
Single Broker
     
           
Pricing Vendor
   
Quote
   
80.8567
Collateralized
                       
Loan Obligation
   
195,000
   
Third-Party
   
Single Broker
     
           
Pricing Vendor
   
Quote
   
78.0000
Collateralized
                       
Loan Obligation
   
223,844
   
Third-Party
   
Single Broker
     
           
Pricing Vendor
   
Quote
   
89.5376
Term Loans:
                       
Transportation
   
0
   
Model Price
   
Unlisted Security
   
0.0000
 
A significant change in unobservable inputs would have the following impact to Level 3 valuations:
 
 
Impact to Value
Impact to Value
Unobservable Input
if Input Increases
if Input Decreases
Unlisted Security
Increases
Decreases
Single Broker Quote
Increases
Decreases

GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 27

 
 

 
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
November 30, 2013
 
(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. Paydown gains and losses on mortgage and asset-backed securities are treated as an adjustment to interest income. For the six-months ended November 30, 2013, the Trust recognized an increase of interest income and a decrease of net realized gain of $586,850. This reclassification is reflected on the Statement of Operations and had no effect on the net asset value of the Trust. 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 over the lives of the respective securities using the effective interest method.
 
(c) Swaps
A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The Trust may enter into swap agreements to manage its exposure to interest rates or to manage the duration of its portfolio. The swaps are valued daily at current market value and any unrealized gain or loss is included in the Statement of Operations. The Trust accrues for the interim payments on swap contracts on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swap contracts on the Statement of Assets and Liabilities. Once the interim payments are settled in cash, the net amount is recorded as realized gain/loss on swaps, in addition to realized gain/loss recorded upon the termination of swap contracts on the Statement of Operations. During the period that the swap agreement is open, the Trust may be subject to risk from the potential inability of the counterparty to meet the terms of the agreement. The swaps involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. During the six months ended November 30, 2013, there were no swaps outstanding.
 
(d) When-Issued and Delayed Delivery Transactions
The Trust may engage in when-issued or delayed delivery transactions. The Trust records when-issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in a market conditions or the failure of counterparties to perform under the contract.
 
(e) Distributions
The Trust declares and pays monthly distributions to common shareholders. Any net realized long-term gains are distributed annually. Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
 
(f) Currency Translation
Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the bid and asked price of the respective exchange rates on the last day of the period. Purchases and sales of investments denominated in foreign currencies are translated at the mean of the bid and asked price of respective exchange rates on the date of the transaction.
 
Foreign exchange gain or loss resulting from holding of a foreign currency, expiration of a currency exchange contract, difference in the exchange rates between the trade date and settlement date of an investment purchased or sold, and the difference between dividends actually received compared to the amount shown in a Trust’s accounting records on the date of receipt are included as net realized gains or losses on foreign currency forwards and currency transactions in the Trust’s Statement of Operations.
 
Foreign exchange gain or loss on assets and liabilities, other than investments, is included in unrealized appreciation (depreciation) on foreign currency transactions. There were no currency gains or losses for the six months ended November 30, 2013.
 
Note 3 – Investment Advisory Agreement, Sub-Advisory Agreement and Other Agreements:
Pursuant to an Investment Advisory Agreement between the Trust and Guggenheim Funds Investment Advisors, LLC (“GFIA” or “the Adviser”), the Adviser furnishes offices, necessary facilities and equipment, provides administrative services, oversees the activities of Guggenheim Partners Investment Management, LLC (“GPIM”), provides personnel including certain officers required for the Trust’s administrative management and compensates the officers and trustees of the Trust who are affiliates of the Adviser. As compensation for these services, the Trust pays the Adviser a fee, payable monthly, in an amount equal to 0.60% of the Trust’s average daily managed assets (net assets applicable to common shareholders plus any assets attributable to financial leverage).
 
Pursuant to a Sub-Advisory Agreement among the Trust, the Adviser and GPIM, GPIM under the supervision of the Trust’s Board of Trustees and the Adviser, provides a continuous investment program for the Trust’s portfolio; provides investment research; makes and executes recommendations for the purchase and sale of securities; and provides certain facilities and personnel, including certain officers required for its administrative management and pays the compensation of all officers and trustees of the Trust who are GPIM ‘s affiliates. As compensation for its services, the Adviser pays GPIM a fee, payable monthly, in an annual amount equal to 0.30% of the Trust’s average daily managed assets.
 
Certain officers of the Trust may also be officers, directors and/or employees of the Adviser or GPIM. The Trust does not compensate its officers who are officers, directors and/or employees of the aforementioned firms.
 
Prior to May 14, 2013 under a separate Fund Administration agreement, the Adviser provided Fund Administration services to the Trust. Effective May 14, 2013, the Trustees approved Rydex Fund Services, LLC (“RFS”) as the Administrator of the Trust. The Adviser previously received and RFS currently receives a fund administration fee payable monthly at the annual rate set forth below as a percentage of the average daily managed assets of the Trust:
 

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%

 
28 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
 
 
 

 
 
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
November 30, 2013
 
There is no impact to the Trust as a result of this change.
 
For purposes of calculating the fees payable under the foregoing agreements, “average daily managed assets” means the average daily value of the Trust’s total assets minus the sum of its accrued liabilities. “Total assets” means all of the Trust’s assets and is not limited to its investment securities. “Accrued liabilities” means all of the Trust’s liabilities other than borrowings for investment purposes.
 
The Bank of New York Mellon (“BNY”) acts as the Trust’s custodian. As custodian, BNY is responsible for the custody of the Trust’s assets. Effective June 1, 2013, the Board of Trustees approved RFS to replace BNY as the accounting agent of the Trust. As accounting agent, RFS is responsible for maintaining the books and records of the Trust’s securities and cash. RFS receives an accounting fee payable monthly at the annual rate set forth below as a percentage of the average daily managed assets of the Trust:

Managed Assets
Rate
First $200,000,000
0.0300%
Next $300,000,000
0.0150%
Next $500,000,000
0.0100%
Over $1,000,000,000
0.0075%
 
Note 4 – Federal Income Taxes:
The Trust intends to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Information on the components of net assets on a tax basis as of November 30, 2013, is as follows:
                     
                 
Net Tax
 
Cost of
               
Unrealized
 
Investments
   
Gross Tax
   
Gross Tax
   
Appreciation
 
for Tax
   
Unrealized
   
Unrealized
   
on
 
Purposes
   
Appreciation
   
Depreciation
   
Investments
 
$                   458,564,828
 
$
43,725,719
 
$
(1,435,116
)
$
42,290,603
 
 
As of May 31, 2013, (the most recent fiscal year end for federal income tax purposes), the components of accumulated earnings/ (losses) (excluding paid-in capital) on a tax basis were as follows:
               
     
Undistributed
   
Accumulated
 
     
Ordinary
   
Long-Term
 
     
Income/
   
Gains/
 
     
(Accumulated
   
(Accumulated
 
     
Ordinary Loss
)
 
Capital Loss
)
   
$
5,136,538
 
$
975,951
 
 
For the year ended May 31, 2013, the tax character of distributions paid to common shareholders as reflected in the statement of changes in net assets was as follows:

Distributions paid from
   
2013
 
Ordinary Income
 
$
27,845,259
 
 
For all open tax years and all major jurisdictions, management of the Trust has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Uncertain tax positions are tax positions taken or expected to be taken in the course of preparing the Trust’s tax returns that would not meet a more-likely-than not threshold of being sustained by the applicable tax authority and would be recorded as a tax expense in the current year. Open tax years are those that are open for examination by taxing authorities (i.e. generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Trust is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
 
Note 5 – Investments in Securities:
For the six months ended November 30, 2013, the cost of purchases and proceeds from sales of investments, excluding short-term securities, were $26,547,069 and $27,673,906, respectively.
 
Note 6 – Capital:
 
Common Shares
In connection with its organization process, the Trust sold 5,240 common shares of beneficial interest to Guggenheim Funds Distributors, LLC, an affiliate of the Adviser, for consideration of $100,084 at a price of $19.10 per share. The Trust has an unlimited amount of common shares, $0.01 par value, authorized and 17,413,674 issued and outstanding. Of this amount, the Trust issued 17,000,000 common shares in its initial public offering. These shares were issued at $19.10 per share after deducting the sales load but before offering expenses incurred by the Trust.
 
In connection with the initial public offering of the Trust’s common shares, the underwriters were granted an option to purchase additional common shares. On December 14, 2010, the underwriters purchased, at a price of $19.10 per common share (after deducting the sales load but before offering expenses incurred by the Trust.), 404,230 common shares of the Trust pursuant to the over-allotment option.
 
Offering costs, equal to $696,169 or $0.04 per share, in connection with the issuance of common shares have been borne by the Trust and were charged to paid-in capital. The Adviser and GPIM paid offering expenses (other than sales load, but including reimbursement of expenses to the underwriters) in excess of $0.04 per common share.
 
Transactions in common shares were as follows:

     
Six Months Ended
   
Year ended
 
     
November 30, 2013
   
May 31, 2013
 
Beginning Shares
   
17,413,674
   
17,409,470
 
Shares issued through
             
dividend reinvestment
   
   
4,204
 
Ending Shares
   
17,413,674
   
17,413,674
 
 
Note 7 – Leverage:
 
Reverse Repurchase Agreements
The Trust may enter into reverse repurchase agreements as part of its financial leverage strategy. Under a reverse repurchase agreement, the Trust temporarily transfers possession of a portfolio instrument to another party, such as a bank or broker-dealer, in return for cash. At the same time, the Trust agrees to repurchase the instrument at an agreed upon time and price, which reflects an interest payment. Such agreements have the
 
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 29

 
 

 
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
November 30, 2013
 
economic effect of borrowings. The Trust may enter into such agreements when it is able to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. When the Trust enters into a reverse repurchase agreement, any fluctuations in the market value of either the instruments transferred to another party or the instruments in which the proceeds may be invested would affect the market value of the Trust’s assets. As a result, such transactions may increase fluctuations in the market value of the Trust’s assets. For the six months ended November 30, 2013, the average daily balance for which reverse repurchase agreements were outstanding amounted to $88,503,520. The weighted average interest rate was 0.71%. As of November 30, 2013, there was $90,906,742 in reverse repurchase agreements outstanding. At November 30, 2013, the Trust had outstanding reverse repurchase agreements with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:

     
Range of
   
Range of
       
     
Interest
   
Maturity
   
Face
 
Counterparty
   
Rates
   
Dates
   
Value
 
BNP Paribas
   
0.78%
 
 
4/16/14
 
$
60,081,742
 
Credit Suisse Securities, LLC
   
0.64%-0.75%
 
 
08/23/2013-01/15/2014
   
4,497,000
 
Royal Bank of Canada
   
0.49%-0.55%
 
 
06/24/2013-02/28/2014
   
26,328,000
 
               
$
90,906,742
 
 
Borrowings
On December 7, 2011, the Trust entered into a $125,000,000 credit facility agreement. The interest rate on the amount borrowed is based on the 1 month LIBOR plus 90 basis points. An unused fee of 25 basis points is charged on the difference between the $125,000,000 and the amount borrowed. At November 30, 2013, there was $39,963,936 outstanding in connection with the Trust’s credit facility. The average daily amount of borrowings on the credit facility during the six months ended was $41,405,457 with a related average interest rate of 1.08%. The maximum amount outstanding during the year ended was $47,713,936. As of November 30, 2013, the total value of securities segregated and pledged as collateral in connection with borrowings was $59,695,129.
 
Note 8 – Loan Commitments
Pursuant to the terms of certain Term Loan agreements, the Trust held unfunded loan commitments of as of May 31, 2013. The Trust is obligated to fund these loan commitments at the borrower’s discretion. The Trust intends to segregate against such contingent obligations by designating cash, liquid assets. As of November 30, 2013, the total amount segregated in connection with reverse repurchase agreements and unfunded commitments was $193,233,458.
 
At November 30, 2013, the Trust had the following unfunded loan commitments which could be extended at the option of the borrower:
 
           
Unrealized
 
     
Principal
   
Appreciation/
 
Borrower
   
Amount
   
(Depreciation
)
Darling International
 
$
4,200,000
 
$
 
   
$
4,200,000
 
$
 
 
Note 9 – Indemnifications:
In the normal course of business, the Trust enters into contracts that contain a variety of representations, which provide general indemnifications. The Trust’s maximum exposure under these arrangements is unknown, as this would require future claims that may be made against the Trust that have not yet occurred. However, the Trust expects the risk of loss to be remote.
 
Note 10 – Subsequent Event:
The Trust evaluated subsequent events through the date the financial statements were available for issue and determined there were no additional material events that would require disclosure in the Trust’s financial statements, except as noted below.
 
On December 2, 2013, the Trust declared a monthly dividend of $0.13817 per common share. The dividend was payable on December 31, 2013, to shareholders of record on December 13, 2013.
 
On January 2, 2014, the Trust declared a monthly dividend of $0.13817 per common share. The dividend is payable on January 31, 2014, to shareholders of record on January 15, 2014.
 
 
30 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT
 
 
 

 

 
SUPPLEMENTAL INFORMATION (Unaudited)
November 30, 2013
 
Federal Income Tax Information
In January 2014, you will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by you in the calendar year 2013.
 
Trustees
The Trustees of the Guggenheim Build America Bonds Managed Duration Trust (the “Trust”) and their principal occupations during the past five years:
 
Name, Address*,
         
Number of
   
Year of Birth and
 
Term of Office**
     
Portfolios in the
   
Position(s) Held
 
and Length
 
Principal Occupations during the Past Five Years and
 
Fund Complex***
 
Other Directorships
with Registrant
 
of Time Served
 
Other Affiliations
 
Overseen by Trustee
 
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).
 
52
 
None.
Roman Friedrich III
Year of birth: 1946
Trustee
 
Since 2010
 
Founder and President of Roman Friedrich & Company, a U.S. 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).
 
48
 
Director of Mercator Minerals Ltd. (September 2013-present), First Americas Gold Corp. (2012-present) and Zincore Metals, Inc. (2009 – present). Previously, Director of Blue Sky Uranium Corp. (formerly, Windstorm Resources Inc.) (2011– 2012); 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). Formerly, Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997).
 
48
 
Director of Peabody Energy Company (2003-present) and 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).
 
54
 
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).
 
51
 
Previously, Trustee, Bennett Group of Funds (2011-September/2013).
                 
Interested Trustee:
               
Donald C. Cacciapaglia†
Year of Birth: 1951
Trustee, Chief
Executive Officer
 
Since 2012
 
Senior Managing Director of Guggenheim Investments (2010-present); Chief Executive Officer of Guggenheim Funds Services, LLC (2012-present); Chief Executive Officer (2012-present) and President (2010-present), Guggenheim Funds Distributors, LLC and Guggenheim Funds Investment Advisors, LLC; Chief Executive Officer of certain funds in the Fund Complex (2012-present); President and Director of SBL Fund, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, and Security Mid Cap Growth Fund (2012-present); President, CEO and Trustee of Rydex Dynamic Funds, Rydex ETF Trust, Rydex Series Funds and Rydex Variable Trust (2012-present); Formerly, Chairman and CEO of Channel Capital Group Inc. and Channel Capital Group LLC (2002-2010).
 
212
 
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 are Class I Trustees. The 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 are Class II Trustees. The 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 are Class III Trustees. The Class III Trustees are expected to stand for re-election at the Trust’s annual meeting of shareholders for fiscal year ending May 31, 2016.
   
***
As of period end. The Guggenheim Investments Fund Complex consists of U.S. registered investment companies advised or serviced by Guggenheim Funds Investment Advisors, LLC, Guggenheim Funds Distributors, 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 Adviser.
 
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 31
 
 
 

 

 
SUPPLEMENTAL INFORMATION (Unaudited) continued
November 30, 2013
 
Officers
The officers of the Guggenheim Build America Bonds Managed Duration Trust who are not trustees, and their principal occupations during the past five years:
 
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:
       
Amy J. Lee
Year of Birth: 1961
Chief Legal Officer
 
Since 2013
 
Managing Director, Guggenheim Investments (2012-present); Senior Vice President & Secretary, Security Investors, LLC (2010-present); Secretary & Chief Compliance Officer, Security Distributors, Inc. (1987-2012); Vice President, Associate General Counsel & Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (1987-2012); Vice President & Secretary, Rydex Series Funds, Rydex ETF Trust, Rydex Dynamic Funds, and Rydex Variable Trust (2008-present). Officer of certain funds in the Fund Complex (2012-present).
John L. Sullivan
Year of Birth: 1955
Chief Financial Officer,
Chief Accounting Officer,
and Treasurer
 
Since 2010
 
Senior Managing Director – Fund Administration, Guggenheim Investments (2010-present). Chief Financial Officer, Chief Accounting Officer and Treasurer of certain funds in the Fund Complex. Formerly, Chief Compliance Officer, Van Kampen Funds (2004-2010). Head of Fund Accounting, Morgan Stanley Investment Management (2002-2004). Chief Financial Officer, Treasurer, Van Kampen Funds (1996-2004).
Joanna M. Catalucci
Year of birth: 1966
Chief Compliance Officer
 
Since 2012
 
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). Chief Compliance Officer of certain funds in the Fund Complex.
Mark E. Mathiasen
Year of birth: 1978
Secretary
 
Since 2010
 
Director, Associate General Counsel of Guggenheim Funds Services, LLC (2007-present). Secretary of certain funds in the Fund Complex.
 
*
Address for all Officers: 2455 Corporate West Drive, Lisle, IL 60532
   
**
Officers serve at the pleasure of the Board of Trustees and until his or her successor is appointed and qualified or until his or her earlier resignation or removal.
 
 
32 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

 
 

 

DIVIDEND REINVESTMENT PLAN (Unaudited)
November 30, 2013
 
Unless the registered owner of common shares elects to receive cash by contacting The Computershare Shareowner Services LLC (the “Plan Administrator”), all dividends declared on common shares of the Trust will be automatically reinvested by the Plan Administrator, administrator for shareholders in the Trust’s Dividend Reinvestment Plan (the “Plan”), in additional common shares of the Trust. Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Plan Administrator prior to the dividend record date; otherwise such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution. Some brokers may automatically elect to receive cash on your behalf and may re-invest that cash in additional common shares of the Trust for you. If you wish for all dividends declared on your common shares of the Trust to be automatically reinvested pursuant to the Plan, please contact your broker.
 
The Plan Administrator will open an account for each common shareholder under the Plan in the same name in which such common shareholder’s common shares are registered. Whenever the Trust declares a dividend or other distribution (together, a “Dividend”) payable in cash, non-participants in the Plan will receive cash and participants in the Plan will receive the equivalent in common shares. The common shares will be acquired by the Plan Administrator for the participants’ accounts, depending upon the circumstances described below, either (i) through receipt of additional unissued but authorized common shares from the Trust (“Newly Issued Common Shares”) or (ii) by purchase of outstanding common shares on the open market (“Open-Market Purchases”) on the New York Stock Exchange or elsewhere. If, on the payment date for any Dividend, the closing market price plus estimated brokerage commission per common share is equal to or greater than the net asset value per common share, the Plan Administrator will invest the Dividend amount in Newly Issued Common Shares on behalf of the participants. The number of Newly Issued Common Shares to be credited to each participant’s account will be determined by dividing the dollar amount of the Dividend by the net asset value per common share on the payment date; provided that, if the net asset value is less than or equal to 95% of the closing market value on the payment date, the dollar amount of the Dividend will be divided by 95% of the closing market price per common share on the payment date. If, on the payment date for any Dividend, the net asset value per common share is greater than the closing market value plus estimated brokerage commission, the Plan Administrator will invest the Dividend amount in common shares acquired on behalf of the participants in Open-Market Purchases.
 
If, before the Plan Administrator has completed its Open-Market Purchases, the market price per common share exceeds the net asset value per common share, the average per common share purchase price paid by the Plan Administrator may exceed the net asset value of the common shares, resulting in the acquisition of fewer common shares than if the Dividend had been paid in Newly Issued Common Shares on the Dividend payment date. Because of the foregoing difficulty with respect to Open-Market Purchases, the Plan provides that if the Plan Administrator is unable to invest the full Dividend amount in Open-Market Purchases during the purchase period or if the market discount shifts to a market premium during the purchase period, the Plan Administrator may cease making Open-Market Purchases and may invest the uninvested portion of the Dividend amount in Newly Issued Common Shares at net asset value per common share at the close of business on the Last Purchase Date provided that, if the net asset value is less than or equal to 95% of the then current market price per common share; the dollar amount of the Dividend will be divided by 95% of the market price on the payment date.
 
The Plan Administrator maintains all shareholders’ accounts in the Plan and furnishes written confirmation of all transactions in the accounts, including information needed by shareholders for tax records. Common shares in the account of each Plan participant will be held by the Plan Administrator on behalf of the Plan participant, and each shareholder proxy will include those shares purchased or received pursuant to the Plan. The Plan Administrator will forward all proxy solicitation materials to participants and vote proxies for shares held under the Plan in accordance with the instruction of the participants.
 
There will be no brokerage charges with respect to common shares issued directly by the Trust. However, each participant will pay a pro rata share of brokerage commission incurred in connection with Open-Market Purchases. The automatic reinvestment of Dividends will not relieve participants of any Federal, state or local income tax that may be payable (or required to be withheld) on such Dividends.
 
The Trust reserves the right to amend or terminate the Plan. There is no direct service charge to participants with regard to purchases in the Plan; however, the Trust reserves the right to amend the Plan to include a service charge payable by the participants.
 
All correspondence or questions concerning the Plan should be directed to the Plan Administrator, Computershare Shareowner Services LLC, P.O. Box 30170, College Station, TX 77842-3170; Attention Shareholder Services Department, Phone Number: 866-488-3559.
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 33
 
 
 

 
 
This Page Intentionally Left Blank.
 
 
 

 
 
TRUST INFORMATION
November 30, 2013

Board of Trustees
Randall C. Barnes
 
Donald C. Cacciapaglia*
 
Roman Friedrich III
 
Robert B. Karn III
 
Ronald A. Nyberg
 
Ronald E. Toupin, Jr.,
Chairperson
 
*   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 Adviser.
Officers
Donald C. Cacciapaglia
Chief Executive Officer
 
Amy J. Lee
Chief Legal Officer
 
John L. Sullivan
Chief Financial Officer,
Chief Accounting Officer
and Treasurer
 
Joanna M. Catalucci
Chief Compliance Officer
 
Mark E. Mathiasen
Secretary
Investment Adviser
Guggenheim Funds
Investment Advisors, LLC
Lisle, Illinois
 
Investment Sub-Adviser
Guggenheim Partners
Investment
Management, LLC
Santa Monica, California
 
Administrator and
Accounting Agent
Rydex Fund
Services, LLC
Rockville, Maryland
 
Custodian
The Bank of New York Mellon
New York, New York
Legal Counsel
Skadden, Arps, Slate,
Meagher & Flom LLP
New York, New York
 
Independent Registered
Public Accounting Firm
Ernst & Young LLP
Chicago, Illinois
 
Privacy Principles of Guggenheim Build America Bonds Managed Duration Trust for Shareholders
The Trust is committed to maintaining the privacy of its shareholders and to safeguarding its non-public personal information. The following information is provided to help you understand what personal information the Trust collects, how we protect that information and why, in certain cases, we may share information with select other parties.
 
Generally, the Trust does not receive any non-public personal information relating to its shareholders, although certain non-public personal information of its shareholders may become available to the Trust. The Trust does not disclose any non-public personal information about its shareholders or former shareholders to anyone except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).
 
The Trust restricts access to non-public personal information about the shareholders to Guggenheim Funds Investment Advisors, LLC employees with a legitimate business need for the information. The Trust maintains physical, electronic and procedural safeguards designed to protect the non-public personal information of its shareholders.
 
Questions concerning your shares of Guggenheim Build America Bonds Managed Duration Trust?
   
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, P.O. Box 30170, College Station, TX 77842-3170; (866) 488-3559
 
This report is sent to shareholders of Guggenheim Build America Bonds Managed Duration Trust for their information. It is not a Prospectus, circular or representation intended for use in the purchase or sale of shares of the Trust or of any securities mentioned in this report.
 
A description of the Trust’s proxy voting policies and procedures related to portfolio securities is available without charge, upon request, by calling the Trust at (866) 392-3004.
 
Information regarding how the Trust voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, is also available, without charge and upon request by calling (866) 392-3004, by visiting the Trust’s website at guggenheiminvestments.com/gbab or by accessing the Trust’s Form N-PX on the U.S. Securities and Exchange Commission’s (SEC) website at www.sec.gov.
 
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trust’s Form N-Q is available on the SEC website at www.sec.gov or the Trust’s website at guggenheiminvestments.com/gbab. The Trust’s Form N-Q may also be viewed and copied at the SEC’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330.
 
Notice to Shareholders
Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the Trust from time to time may purchase shares of its common stock in the open market.
 
GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 35

 
 

 
ABOUT THE TRUST MANAGERS
 
Guggenheim Partners Investment Management, LLC
Guggenheim Partners Investment Management, LLC (“GPIM”) is an indirect subsidiary of Guggenheim Partners, LLC, a diversified financial services firm. The firm provides capital markets services, portfolio and risk management expertise, wealth management, and investment advisory services. Clients of Guggenheim Partners, LLC subsidiaries are an elite mix of individuals, family offices, endowments, foundations, insurance companies and other institutions.
 
Investment Philosophy
GPIM’s investment philosophy is predicated upon the belief that thorough research and independent thought are rewarded with performance that has the potential to outperform benchmark indexes with both lower volatility and lower correlation of returns over time as compared to such benchmark indexes.
 
Investment Process
GPIM’s investment process is a collaborative effort between various groups including the Portfolio Construction Group, which utilize proprietary portfolio construction and risk modeling tools to determine allocation of assets among a variety of sectors, and its Sector Specialists, who are responsible for security selection within these sectors and for implementing securities transactions, including the structuring of certain securities directly with the issuers or with investment banks and dealers involved in the origination of such securities.
 
Guggenheim Funds Distributors, LLC
2455 Corporate West Drive
Lisle, IL 60532
Member FINRA/SIPC
(01/14)
 
NOT FDIC-INSURED l NOT BANK-GUARANTEED l MAY LOSE VALUE

CEF-GBAB-SAR-1113

 
 

 
 
Item 2.  Code of Ethics.
 
Not applicable for a semi-annual reporting period.
 
Item 3.  Audit Committee Financial Expert.
 
Not applicable for a semi-annual reporting period.
 
Item 4.  Principal Accountant Fees and Services.
 
Not applicable for a semi-annual reporting period.
 
Item 5.  Audit Committee of Listed Registrants.
 
Not applicable for a semi-annual reporting period.
 
Item 6.  Schedule of Investments.
 
The Schedule of Investments is included as part of Item 1.
 
 
 

 
 
Item 7.  Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
 
Not applicable for a semi-annual reporting period.
 
Item 8.  Portfolio Managers of Closed-End Management Investment Companies.
 
(a) Not applicable for a semi-annual reporting period.
 
(b) There has been no change, as of the date of filing, in any of the Portfolio Managers identified in response to paragraph (a)(1) of this Item in the registrant’s most recent annual report on Form N-CSR.
 
Item 9.  Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
 
None.
 
Item 10.  Submission of Matters to a Vote of Security Holders.
 
The registrant has not made any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.
 
Item 11.  Controls and Procedures.
 
(a)      The registrant's principal executive officer and principal financial officer have evaluated the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded based on such evaluation, as required by Rule 30a-3(b) under the Investment Company Act, that the registrant's disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
 
(b)      There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
 
Item 12.  Exhibits.
 
(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.
 
 
 

 
 
SIGNATURES
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
(Registrant) Guggenheim Build America Bonds Managed Duration Trust
 
By:        /s/ Donald C. Cacciapaglia                 
 
Name:   Donald C. Cacciapaglia
 
Title:     Chief Executive Officer
 
Date:     February 6, 2014
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
 
By:         /s/ Donald C. Cacciapaglia                
 
Name:    Donald C. Cacciapaglia
 
Title:      Chief Executive Officer
 
Date:      February 6, 2014
 
By:          /s/ John L. Sullivan                          
 
Name:     John L. Sullivan
 
Title:       Chief Financial Officer, Chief Accounting Officer and Treasurer
 
Date:       February 6, 2014