•
|
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
|
May 31, 2015
|
May 31, 2015
|
QUESTIONS & ANSWERS (Unaudited)
|
May 31, 2015
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2015
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2015
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2015
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2015
|
QUESTIONS & ANSWERS (Unaudited) continued
|
May 31, 2015
|
TRUST SUMMARY (Unaudited)
|
May 31, 2015
|
Trust Statistics
|
|
Share Price
|
$21.64
|
Net Asset Value
|
$23.35
|
Discount to NAV
|
-7.32%
|
Net Assets ($000)
|
$406,668
|
AVERAGE ANNUAL TOTAL RETURNS FOR
|
|||
THE PERIOD ENDED MAY 31, 2015
|
|||
Since
|
|||
One
|
Three
|
Inception
|
|
Year
|
Year
|
(10/28/10)
|
|
Guggenheim Build America Bonds Managed Duration Trust
|
|||
NAV
|
7.64%
|
7.09%
|
11.72%
|
Market
|
7.52%
|
6.42%
|
9.21%
|
Holdings Diversification
|
|
(Market Exposure as % of Net Assets)
|
% of Net Assets
|
Investments:
|
|
Municipal Bonds
|
110.2%
|
Asset Backed Securities
|
8.4%
|
Senior Floating Rate Interests
|
4.9%
|
Corporate Bonds
|
3.3%
|
Preferred Stocks
|
1.3%
|
Collateralized Mortgage Obligation
|
0.3%
|
Money Market Fund
|
0.2%
|
Other
|
0.0%*
|
Total Investments
|
128.6%
|
Other Assets & Liabilities, net
|
-28.6%
|
Net Assets
|
100.0%
|
*Less than 0.1%
|
TRUST SUMMARY (Unaudited) continued
|
May 31, 2015
|
Ten Largest Holdings
|
|
(% of Total Net Assets)
|
|
State of West Virginia, Higher Education Policy Commission,
|
|
Revenue Bonds, Federally Taxable Build America Bonds 2010
|
3.6%
|
New Jersey Turnpike Authority, Turnpike Revenue Bonds,
|
|
Federally Taxable Issuer Subsidy, Build America Bonds
|
3.5%
|
Dallas, Texas, Convention Center Hotel Development
|
|
Corporation, Hotel Revenue Bonds, Taxable Build
|
|
America Bonds
|
3.2%
|
California, General Obligation Bonds, Various Purpose,
|
|
Taxable Build America Bonds
|
3.0%
|
Westchester County Health Care Corporation, Revenue
|
|
Bonds, Taxable Build America Bonds
|
3.0%
|
Los Angeles, California, Department of Water & Power
|
|
Revenue, Taxable Build America Bonds
|
2.9%
|
Los Angeles, California, Department of Water & Power
|
|
Revenue, Taxable Build America Bonds
|
2.9%
|
Noblesville Multi-School Building Corporation, Hamilton
|
|
County, Indiana, Taxable Unlimited Ad Valorem Property
|
|
Tax First Mortgage Bonds, Build America Bonds
|
2.9%
|
El Paso, Texas, Combination Tax and Revenue Certification
|
|
of Obligation, Taxable Build America Bonds
|
2.9%
|
Miami-Dade County, Florida, Transit Sales Surtax Revenue,
|
|
Taxable Build America Bonds
|
2.8%
|
Top Ten Total
|
30.7%
|
TRUST SUMMARY (Unaudited) continued
|
May 31, 2015
|
Portfolio Composition by Quality Rating*
|
||
% of Total
|
||
Rating
|
Investments
|
|
Fixed Income Instruments
|
||
AAA
|
1.4 | % |
AA
|
55.8 | % |
A | 27.2 | % |
BBB
|
7.3 | % |
BB
|
2.1 | % |
B | 3.7 | % |
CCC
|
0.6 | % |
CC
|
0.1 | % |
C | 0.0 | %*** |
D | 0.0 | %*** |
NR**
|
1.6 | % |
Other Instruments
|
||
Common Stocks
|
0.0 | %*** |
Short Term Investments
|
0.2 | % |
Total Investments
|
100.0 | % |
*
|
Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.
|
**
|
NR securities do not necessarily indicate low credit quality.
|
*** Less than 0.1%
|
TRUST SUMMARY (Unaudited) continued
|
May 31, 2015
|
PORTFOLIO OF INVESTMENTS
|
May 31, 2015
|
Shares
|
Value
|
|||
COMMON STOCKS† – 0.0%**
|
||||
Communications – 0.0%**
|
||||
Cengage Learning Acquisitions, Inc.*,††
|
3,457
|
$ |
95,068
|
|
Basic Materials – 0.0%**
|
||||
Mirabela Nickel Ltd.*
|
335,401
|
32,054
|
||
Total Common Stocks
|
||||
(Cost $196,350)
|
127,122
|
|||
PREFERRED STOCKS† – 1.3%
|
||||
Communications – 1.3%
|
||||
Seaspan Corp. 9.50%1,6
|
200,000
|
5,220,000
|
||
Financial – 0.0%**
|
||||
WhiteHorse II Ltd. 0.00% due 06/15/17*,††,2,4,6
|
200,000
|
–
|
||
GSC Partners CDO Fund V Ltd. 0.00% due at 11/20/16*,††,2,4
|
475
|
–
|
||
Total Preferred Stocks
|
||||
(Cost $5,019,459)
|
5,220,000
|
|||
WARRANTS††† – 0.0%**
|
||||
Alion Science & Technology Corp. $4.58, 03/15/173,6
|
1,550
|
–
|
||
Total Warrants
|
||||
(Cost $16)
|
–
|
|||
MONEY MARKET FUND† – 0.2%
|
||||
Dreyfus Treasury Prime Cash Management Institutional Shares
|
866,833
|
866,833
|
||
Total Money Market Fund
|
||||
(Cost $866,833)
|
866,833
|
|||
Face
|
||||
Amount
|
Value
|
|||
MUNICIPAL BONDS†† – 110.2%
|
||||
California – 22.7%
|
||||
Los Angeles, California, Department of Water & Power Revenue,
|
||||
Taxable Build America Bonds
|
||||
7.00% due 07/01/417
|
$ |
20,000,000
|
23,707,500
|
|
Santa Ana Unified School District, California, General Obligation
|
||||
Bonds, Federal Taxable Build America Bonds
|
||||
7.10% due 08/01/407
|
7,755,000
|
10,155,173
|
||
6.80% due 08/01/307
|
2,245,000
|
2,800,009
|
||
California, General Obligation Bonds, Various Purpose, Taxable
|
||||
Build America Bonds
|
||||
7.70% due 11/01/307
|
10,000,000
|
12,317,700
|
||
Oakland Unified School District, County of Alameda, California,
|
||||
Taxable General Obligation Bonds, Election of 2006,
|
||||
Qualified School Construction Bonds, Series 2012B
|
||||
6.88% due 08/01/336
|
10,000,000
|
11,053,500
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
MUNICIPAL BONDS†† – 110.2% (continued)
|
||||
California – 22.7% (continued)
|
||||
Long Beach Unified School District, California, Qualified School
|
||||
Construction Bonds, Federally Taxable, Election of 2008,
|
||||
General Obligation Bonds
|
||||
5.91% due 08/01/25
|
$ |
7,500,000
|
$ |
9,031,200
|
Metropolitan Water District, Southern California, Water Revenue
|
||||
Bonds, 2010 Authorization, Taxable Build America Bonds
|
||||
6.95% due 07/01/407
|
5,000,000
|
5,941,300
|
||
Riverside Community College District, Riverside County, California,
|
||||
Election of 2004 General Obligation Bonds, Taxable Build America Bonds
|
||||
7.02% due 08/01/407
|
5,000,000
|
5,918,150
|
||
Sonoma Valley Unified School District, General Obligation,
|
||||
Federally Taxable Bonds
|
||||
7.12% due 08/01/286
|
3,330,000
|
3,824,638
|
||
Culver City Redevelopment Agency, California, Taxable Tax
|
||||
Allocation Bonds, Culver City Redevelopment Project
|
||||
8.00% due 11/01/20
|
3,000,000
|
3,317,940
|
||
Monrovia Unified School District, Los Angeles County, California,
|
||||
Election of 2006 General Obligation Bonds, Build America Bonds,
|
||||
Federally Taxable
|
||||
7.25% due 08/01/286,7
|
1,025,000
|
1,222,784
|
||
Cypress Elementary School District (Orange County, California),
|
||||
General Obligation Bonds, Direct Pay Qualified School
|
||||
Construction Bonds, 2008 Election
|
||||
6.65% due 08/01/256
|
660,000
|
781,717
|
||
6.05% due 08/01/216
|
340,000
|
383,374
|
||
Placentia-Yorba Linda Unified School District (Orange County, California),
|
||||
General Obligation Bonds, Federally Taxable Direct-Pay
|
||||
Qualified School Construction Bonds, Election of 2008
|
||||
5.40% due 02/01/266
|
1,000,000
|
1,150,930
|
||
Alhambra Unified School District, Elementary Schools Improvement
|
||||
District, Los Angeles County, California, Election of 2008 General
|
||||
Obligation Bonds, Federally Taxable
|
||||
6.70% due 02/01/266
|
500,000
|
604,220
|
||
Total California
|
92,210,135
|
|||
Illinois – 11.5%
|
||||
Northern Illinois University, Auxiliary Facilities System Revenue
|
||||
Bonds, Build America Program, Taxable
|
||||
8.15% due 04/01/417
|
5,000,000
|
5,810,900
|
||
7.95% due 04/01/356,7
|
4,500,000
|
5,216,895
|
||
Chicago, Illinois, Second Lien Wastewater Transmission Revenue
|
||||
Project Bonds, Taxable Build America Bonds
|
||||
6.90% due 01/01/407
|
5,100,000
|
6,063,696
|
||
Illinois, General Obligation Bonds, Taxable Build America Bonds
|
||||
7.35% due 07/01/357
|
5,000,000
|
5,481,950
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
MUNICIPAL BONDS†† – 110.2% (continued)
|
||||
Illinois – 11.5% (continued)
|
||||
City of Chicago Illinois General Obligation Unlimited
|
||||
6.26% due 01/01/40
|
$ |
3,575,000
|
$ |
3,199,089
|
5.43% due 01/01/42
|
2,570,000
|
2,165,585
|
||
Chicago, Illinois, Board of Education, Unlimited Tax General
|
||||
Obligation Bonds, Dedicated Revenues, Taxable Build America Bonds
|
||||
6.52% due 12/01/406,7
|
5,000,000
|
4,344,600
|
||
County of Cook Illinois General Obligation Unlimited
|
||||
6.22% due 11/15/346
|
4,210,000
|
4,295,673
|
||
Chicago, Illinois, Second Lien Water Revenue Bonds, Taxable Build America Bonds
|
||||
6.74% due 11/01/406,7
|
2,990,000
|
3,502,187
|
||
Southwestern Illinois, Development Authority, Taxable Local Government,
|
||||
Program Revenue Bonds, Flood Prevention District Council Project,
|
||||
Recovery Zone Economic Development Bonds
|
||||
7.23% due 10/15/356
|
3,000,000
|
3,341,790
|
||
Southwestern Illinois, Development Authority, Taxable Local Government,
|
||||
Program Revenue Bonds, Flood Prevention District Project,
|
||||
Build America Bonds
|
||||
7.03% due 04/15/326,7
|
2,000,000
|
2,215,460
|
||
State of Illinois General Obligation Unlimited
|
||||
6.63% due 02/01/35
|
930,000
|
969,032
|
||
6.73% due 04/01/35
|
200,000
|
210,392
|
||
Total Illinois
|
46,817,249
|
|||
Washington – 10.1%
|
||||
Washington State University, Housing and Dining System Revenue Bonds,
|
||||
Taxable Build America Bonds
|
||||
7.40% due 04/01/417
|
6,675,000
|
9,448,929
|
||
7.10% due 04/01/327
|
3,325,000
|
4,357,812
|
||
Public Hospital District No. 1, King County, Washington, Valley Medical
|
||||
Center, Hospital Facilities Revenue Bonds
|
||||
8.00% due 06/15/406
|
5,800,000
|
6,743,776
|
||
Washington State Convention Center Public Facilities District, Lodging
|
||||
Tax Bonds, Taxable Build America Bonds
|
||||
6.79% due 07/01/407
|
5,000,000
|
6,364,850
|
||
Central Washington University, System Revenue Bonds, 2010, Taxable
|
||||
Build America Bonds
|
||||
6.50% due 05/01/306,7
|
5,000,000
|
6,078,600
|
||
Anacortes, Washington, Utility System Improvement Revenue Bonds,
|
||||
Build America Bonds
|
||||
6.48% due 12/01/307
|
5,000,000
|
5,791,850
|
||
Auburn, Washington, Utility System Revenue Bonds, Taxable Build America Bonds
|
||||
6.40% due 12/01/306,7
|
2,000,000
|
2,218,220
|
||
Total Washington
|
41,004,037
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
MUNICIPAL BONDS†† – 110.2% (continued)
|
||||
New Jersey – 6.4%
|
||||
New Jersey Turnpike Authority, Turnpike Revenue Bonds, Federally
|
||||
Taxable Issuer Subsidy, Build America Bonds
|
||||
7.10% due 01/01/417
|
$ |
10,000,000
|
$ |
14,115,500
|
Camden County Improvement Authority, Camden County, New Jersey,
|
||||
Lease Revenue Bonds, Cooper Medical School of Rowan University Project
|
||||
7.75% due 07/01/346
|
8,000,000
|
9,389,760
|
||
7.85% due 07/01/356
|
2,000,000
|
2,345,500
|
||
Total New Jersey
|
25,850,760
|
|||
Indiana – 6.2%
|
||||
Noblesville Multi-School Building Corporation, Hamilton County, Indiana,
|
||||
Taxable Unlimited Ad Valorem Property Tax First Mortgage Bonds,
|
||||
Build America Bonds
|
||||
6.50% due 07/15/307
|
10,000,000
|
11,713,000
|
||
Evansville-Vanderburgh Independent School Building Corporation,
|
||||
Unlimited Taxable Ad Valorem Property Tax First Mortgage Bonds
|
||||
6.50% due 01/15/306
|
8,690,000
|
10,333,887
|
||
Knox County, Indiana, Good Samaritan Hospital Project, Taxable
|
||||
Economic Development Revenue Bonds, Qualified Energy
|
||||
Conservation Bonds - Direct Payment, Series 2012B
|
||||
5.90% due 04/01/346
|
3,000,000
|
3,244,710
|
||
Total Indiana
|
25,291,597
|
|||
New York – 6.1%
|
||||
Metropolitan Transportation Authority, New York, Transportation
|
||||
Revenue Bonds, Taxable Build America Bonds
|
||||
6.55% due 11/15/317
|
5,000,000
|
6,480,550
|
||
7.13% due 11/15/307
|
5,000,000
|
6,098,450
|
||
Westchester County Health Care Corporation, Revenue Bonds,
|
||||
Taxable Build America Bonds
|
||||
8.57% due 11/01/407
|
10,000,000
|
12,037,100
|
||
Total New York
|
24,616,100
|
|||
Texas – 6.0%
|
||||
Dallas, Texas, Convention Center Hotel Development Corporation,
|
||||
Hotel Revenue Bonds, Taxable Build America Bonds
|
||||
7.08% due 01/01/426,7
|
10,000,000
|
12,877,600
|
||
El Paso, Texas, Combination Tax and Revenue Certification of Obligation,
|
||||
Taxable Build America Bonds
|
||||
6.70% due 08/15/366,7
|
10,000,000
|
11,654,800
|
||
Total Texas
|
24,532,400
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
MUNICIPAL BONDS†† – 110.2% (continued)
|
||||
Michigan – 5.8%
|
||||
Detroit, Michigan, School District, School Building and Site Bonds,
|
||||
Unlimited Tax General Obligation Bonds, Taxable Build America Bonds,
|
||||
6.85% due 05/01/406,7
|
$ |
5,000,000
|
$ |
5,212,601
|
Whitehall District Schools, Muskegon County, Michigan, 2010 School
|
||||
Building and Site Bonds, General Obligation, Unlimited Tax Bonds,
|
||||
Taxable Qualified School Construction Bonds
|
||||
6.10% due 05/01/266
|
2,500,000
|
2,710,550
|
||
6.50% due 05/01/296
|
2,000,000
|
2,165,340
|
||
Fraser Public School District, Macomb County, Michigan, General Obligation
|
||||
Federally Taxable School Construction Bonds, 2011 School
|
||||
Building and Site Bonds
|
||||
6.05% due 05/01/266
|
3,000,000
|
3,366,360
|
||
Detroit City School District General Obligation Unlimited
|
||||
7.74% due 05/01/396
|
2,640,000
|
3,257,100
|
||
Detroit, Michigan, School District, School Building and Site Bonds,
|
||||
Unlimited Tax General Obligation Bonds, Taxable Qualified
|
||||
School Construction Bonds
|
||||
6.65% due 05/01/296
|
2,640,000
|
2,871,026
|
||
City of Detroit Michigan Water Supply System Revenue Revenue Bonds
|
||||
5.00% due 07/01/41
|
1,555,000
|
1,625,410
|
||
Oakridge, Michigan, Public Schools, Unlimited Tax General Obligation Bonds
|
||||
6.75% due 05/01/266
|
1,000,000
|
1,081,090
|
||
Michigan Finance Authority Revenue Bonds
|
||||
5.00% due 07/01/32
|
400,000
|
440,136
|
||
5.00% due 07/01/33
|
200,000
|
219,260
|
||
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
|
||||
6.30% due 05/01/266
|
415,000
|
453,184
|
||
Total Michigan
|
23,402,057
|
|||
Florida – 4.2%
|
||||
Miami-Dade County, Florida, Transit Sales Surtax Revenue,
|
||||
Taxable Build America Bonds
|
||||
6.91% due 07/01/396,7
|
10,000,000
|
11,320,200
|
||
Orlando, Florida, Community Redevelopment Agency, Taxable Tax
|
||||
Increment Revenue Build America Bonds
|
||||
7.78% due 09/01/407
|
5,000,000
|
5,727,100
|
||
Total Florida
|
17,047,300
|
|||
Pennsylvania – 4.2%
|
||||
Pittsburgh, Pennsylvania, School District, Taxable Qualified School
|
||||
Construction Bonds
|
||||
6.85% due 09/01/296
|
6,870,000
|
8,889,986
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
MUNICIPAL BONDS†† – 110.2% (continued)
|
||||
Pennsylvania – 4.2% (continued)
|
||||
Lebanon, Pennsylvania, Sewer Revenue Bonds, Taxable Build America Bonds
|
||||
7.14% due 12/15/356,7
|
$ |
4,865,000
|
$ |
5,557,435
|
School District of Philadelphia, Pennsylvania,
|
||||
General Obligation Bonds,Series 2011A, Qualified School
|
||||
Construction Bonds – (Federally Taxable – Direct Subsidy)
|
||||
6.00% due 09/01/30
|
2,380,000
|
2,526,299
|
||
Total Pennsylvania
|
16,973,720
|
|||
West Virginia – 3.6%
|
||||
State of West Virginia, Higher Education Policy Commission,
|
||||
Revenue Bonds, Federally Taxable Build America Bonds 2010
|
||||
7.65% due 04/01/407
|
10,000,000
|
14,452,700
|
||
Ohio – 3.2%
|
||||
American Municipal Power, Inc., Combined Hydroelectric Projects
|
||||
Revenue Bonds, New Clean Renewable Energy Bonds
|
||||
7.33% due 02/15/28
|
5,000,000
|
6,520,950
|
||
Madison Local School District, Richland County, Ohio, School Improvement,
|
||||
Taxable Qualified School Construction Bonds
|
||||
6.65% due 12/01/296
|
2,500,000
|
2,886,850
|
||
Cuyahoga County, Ohio, Hospital Revenue Bonds, The Metrohealth System,
|
||||
Build America Bonds, Taxable
|
||||
8.22% due 02/15/406,7
|
1,950,000
|
2,394,483
|
||
Toronto City School District, Ohio, Qualified School Construction Bonds
|
||||
General Obligation Bonds
|
||||
7.00% due 12/01/286
|
1,230,000
|
1,338,609
|
||
Total Ohio
|
13,140,892
|
|||
Colorado – 3.0%
|
||||
Colorado, Building Excellent Schools Today, Certificates of Participation,
|
||||
Taxable Build America Bonds
|
||||
7.02% due 03/15/316,7
|
7,500,000
|
8,955,150
|
||
Colorado, Building Excellent Schools Today, Certificates of Participation,
|
||||
Taxable Qualified School Construction
|
||||
6.82% due 03/15/28
|
2,500,000
|
3,150,725
|
||
Total Colorado
|
12,105,875
|
|||
Vermont – 2.7%
|
||||
Vermont State Colleges, Revenue Bonds, Taxable Build America Bonds
|
||||
7.21% due 07/01/406,7
|
7,500,000
|
8,625,150
|
||
6.10% due 07/01/256,7
|
2,155,000
|
2,432,866
|
||
Total Vermont
|
11,058,016
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
MUNICIPAL BONDS†† – 110.2% (continued)
|
||||
Alabama – 2.7%
|
||||
Alabama State University, General Tuition and Fee Revenue Bonds,
|
||||
Taxable Direct-Pay Build America Bonds
|
||||
7.20% due 09/01/387
|
$ |
5,000,000
|
$ |
5,453,600
|
7.10% due 09/01/356,7
|
3,000,000
|
3,258,540
|
||
7.25% due 09/01/406,7
|
2,000,000
|
2,187,900
|
||
Total Alabama
|
10,900,040
|
|||
Nevada – 2.7%
|
||||
Nevada System of Higher Education University, Revenue Bonds,
|
||||
Build America Bonds
|
||||
7.90% due 07/01/407
|
5,050,000
|
6,070,756
|
||
7.60% due 07/01/307
|
1,500,000
|
1,801,035
|
||
Clark County, Nevada, Airport Revenue Bonds, Build America Bonds
|
||||
6.88% due 07/01/426,7
|
1,425,000
|
1,613,072
|
||
Las Vegas Valley Water District, Nevada, Limited Tax General Obligation
|
||||
Water Bonds, Taxable Build America Bonds
|
||||
7.10% due 06/01/396,7
|
1,200,000
|
1,375,728
|
||
Total Nevada
|
10,860,591
|
|||
Louisiana – 2.4%
|
||||
Orleans Parish, School Board of the Parish of Orleans, Louisiana
|
||||
4.40% due 02/01/216
|
8,000,000
|
8,654,480
|
||
Tangipahoa Parish Hospital Service District No. 1, Louisiana, Taxable
|
||||
Hospital Revenue Bonds, North Oaks Health System Project,
|
||||
Build America Bonds
|
||||
7.20% due 02/01/427
|
1,055,000
|
1,129,198
|
||
Total Louisiana
|
9,783,678
|
|||
Mississippi – 1.9%
|
||||
Medical Center Educational Building Corporation, Taxable Build America
|
||||
Bonds, University of Mississippi Medical Center Facilities
|
||||
Expansion and Renovation Project
|
||||
6.84% due 06/01/356,7
|
5,000,000
|
5,827,350
|
||
Mississippi, Hospital Equipment and Facilities Authority, Taxable Build
|
||||
America Revenue Bonds, Forrest County General Hospital Project
|
||||
7.27% due 01/01/327
|
1,000,000
|
1,094,880
|
||
7.39% due 01/01/407
|
905,000
|
987,011
|
||
Total Mississippi
|
7,909,241
|
|||
South Carolina – 1.6%
|
||||
Horry County, South Carolina, Taxable Airport Revenue Bonds, Recovery
|
||||
Zone Economic Development Bonds
|
||||
7.33% due 07/01/406
|
5,000,000
|
6,504,400
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
MUNICIPAL BONDS†† – 110.2% (continued)
|
||||
Georgia – 1.4%
|
||||
Georgia Municipal Association, Inc., Certificates of Participation,
|
||||
DeKalb County Public Schools Project
|
||||
5.21% due 12/01/226
|
$ |
5,000,000
|
$ |
5,596,650
|
South Dakota – 0.9%
|
||||
Pierre, South Dakota, Taxable Electric Revenue Bonds, Recovery Zone
|
||||
Economic Development Bonds
|
||||
7.50% due 12/15/406
|
3,490,000
|
3,781,590
|
||
Minnesota – 0.9%
|
||||
St. Paul Housing & Redevelopment Authority, Federally Taxable Revenue Bonds
|
||||
7.25% due 02/01/356
|
1,660,000
|
1,890,507
|
||
7.50% due 02/01/406
|
1,540,000
|
1,763,978
|
||
Total Minnesota
|
3,654,485
|
|||
Connecticut – 0.1%
|
||||
Town of Hamden Connecticut General Obligation Unlimited
|
||||
5.20% due 08/15/44
|
500,000
|
498,015
|
||
Total Municipal Bonds
|
||||
(Cost $379,227,519)
|
447,991,528
|
|||
ASSET BACKED SECURITIES†† – 8.4%
|
||||
Churchill Financial Cayman Ltd.
|
||||
2007-1A, 1.52% due 07/10/192,4,6
|
2,000,000
|
1,953,001
|
||
2007-1A, 8.37% due 07/10/192,6
|
1,000,000
|
1,006,200
|
||
2007-1A, 2.87% due 07/10/192,4,6
|
1,000,000
|
979,400
|
||
KVK CLO Ltd.
|
||||
2014-3A, 2.36% due 10/15/262,4
|
2,000,000
|
1,988,200
|
||
2014-3A, 3.26% due 10/15/262,4
|
1,000,000
|
987,600
|
||
Putnam Structured Product Funding 2003-1 Ltd.
|
||||
2008-1A, 0.64% due 10/15/382,4,6
|
2,091,472
|
2,014,297
|
||
THL Credit Wind River 2014-2 CLO Ltd.
|
||||
2014-2A, 2.45% due 07/15/262,4
|
1,000,000
|
1,000,000
|
||
2014-2A, 3.45% due 07/15/262,4
|
750,000
|
750,000
|
||
Gramercy Real Estate CDO 2007-1 Ltd.
|
||||
2007-1A, 0.55% due 08/15/562,4
|
1,841,492
|
1,672,259
|
||
N-Star REL CDO VIII Ltd.
|
||||
2006-8A, 0.54% due 02/01/412,4,6
|
1,500,000
|
1,387,950
|
||
KKR Financial CLO 2007-1 Ltd.
|
||||
2007-1A, 5.27% due 05/15/212,4
|
750,000
|
749,400
|
||
2007-1A, 2.52% due 05/15/212,4,6
|
500,000
|
497,350
|
||
Anchorage Capital CLO 2012-1 Ltd.
|
||||
2012-1A, 3.07% due 01/13/252,4,6
|
1,000,000
|
981,000
|
||
Atlas Senior Loan Fund IV Ltd.
|
||||
2014-2A, 2.97% due 02/17/262,4,6
|
1,000,000
|
980,000
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
ASSET BACKED SECURITIES†† – 8.4% (continued)
|
||||
LSTAR Securities Investment Trust
|
||||
2014-1, 3.27% due 09/01/212,4
|
$ |
944,051
|
$ |
947,638
|
SRERS-2011 Funding Ltd.
|
||||
2011-RS, 0.43% due 05/09/462,4
|
893,891
|
856,884
|
||
Vega Containervessel plc
|
||||
2006-1A, 5.56% due 02/10/212,6
|
827,446
|
819,089
|
||
Eastland CLO Ltd.
|
||||
2007-1A, 0.61% due 05/01/222,4,6
|
550,000
|
523,435
|
||
Marathon CLO VII Ltd.
|
||||
2014-7A, 3.77% due 10/28/252,4
|
500,000
|
501,500
|
||
Silver Spring CLO Ltd.
|
||||
2014-1A, 2.32% due 10/15/262,4
|
500,000
|
495,550
|
||
Neuberger Berman CLO XV
|
||||
2013-15A, 3.13% due 10/15/252,4
|
500,000
|
492,900
|
||
MCF CLO I LLC
|
||||
2013-1A, 6.03% due 04/20/232,4
|
500,000
|
465,800
|
||
Highland Park CDO I Ltd.
|
||||
2006-1A, 0.59% due 11/25/512,4,6
|
320,191
|
305,398
|
||
2006-1A, 0.66% due 11/25/512,4
|
250,000
|
159,625
|
||
Gramercy Park CLO Ltd.
|
||||
2014-1AR, 4.32% due 07/17/232,4,6
|
250,000
|
250,000
|
||
2012-1A, due 07/17/232,5
|
250,000
|
205,000
|
||
CIFC Funding 2012-II Ltd.
|
||||
2012-2A, 3.26% due 12/05/242,4
|
400,000
|
400,000
|
||
TICP CLO II Ltd.
|
||||
2014-2A, 3.27% due 07/20/262,4
|
400,000
|
397,560
|
||
CIFC Funding 2012-I Ltd.
|
||||
2014-1AR, 3.34% due 08/14/242,4
|
400,000
|
396,800
|
||
Pasadena CDO Ltd.
|
||||
2002-1A, 1.12% due 06/19/372,4
|
376,909
|
360,174
|
||
Putnam Structured Product CDO 2002-1 Ltd.
|
||||
2002-1A, 0.86% due 01/10/382,4,6
|
370,043
|
345,028
|
||
Cratos CLO Ltd.
|
||||
2007-1A, 1.38% due 05/19/212,4,6
|
300,000
|
294,480
|
||
Regatta V Funding Ltd.
|
||||
2014-1A, 3.43% due 10/25/262,4
|
250,000
|
252,425
|
||
DIVCORE CLO Ltd.
|
||||
2013-1A B, 4.08% due 11/15/326
|
250,000
|
251,175
|
||
Venture XII CLO Ltd.
|
||||
2013-12A, 3.67% due 02/28/242,4
|
250,000
|
250,650
|
||
Blue Hill CLO Ltd.
|
||||
2013-1A, 3.28% due 01/15/262,4
|
250,000
|
250,025
|
||
Oaktree EIF II Series A2 Ltd.
|
||||
2014-A2, 3.47% due 11/17/252,4
|
250,000
|
250,000
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
ASSET BACKED SECURITIES†† – 8.4% (continued)
|
||||
Monroe Capital CLO 2014-1 Ltd.
|
||||
2014-1A, 3.83% due 10/22/262,4
|
$ |
250,000
|
$ |
249,850
|
Race Point V CLO Ltd.
|
||||
2014-5AR, 4.02% due 12/15/222,4
|
250,000
|
249,475
|
||
ALM VII R-2 Ltd.
|
||||
2013-7R2A, 3.72% due 04/24/242,4
|
250,000
|
248,700
|
||
CIFC Funding 2014-II Ltd.
|
||||
2014-2A, 3.13% due 05/24/262,4
|
250,000
|
248,500
|
||
Ocean Trails CLO IV
|
||||
2013-4A, 3.28% due 08/13/252,4
|
250,000
|
247,275
|
||
ALM VII R Ltd.
|
||||
2013-7RA, 3.72% due 04/24/242,4
|
250,000
|
246,750
|
||
Greywolf CLO III Ltd.
|
||||
2014-1A, 3.12% due 04/22/262,4
|
250,000
|
246,350
|
||
Battalion Clo 2007-I Ltd.
|
||||
2007-1A, 2.42% due 07/14/222,4
|
250,000
|
246,200
|
||
Fortress Credit Opportunities V CLO Ltd.
|
||||
2014-5A, 3.82% due 10/15/262,4
|
250,000
|
244,875
|
||
WhiteHorse VIII Ltd.
|
||||
2014-1A, 3.02% due 05/01/262,4
|
250,000
|
244,525
|
||
Black Diamond CLO 2005-2 Delaware Corp.
|
||||
2005-2A, 2.07% due 01/07/182,4
|
250,000
|
243,475
|
||
Golub Capital Partners CLO 21M Ltd.
|
||||
2014-21A, 3.57% due 10/25/262,4
|
250,000
|
243,350
|
||
Mountain Hawk I CLO Ltd.
|
||||
2013-1A, 2.99% due 01/20/242,4
|
250,000
|
243,250
|
||
NewStar Commercial Loan Funding 2013-1 LLC
|
||||
2013-1A, 4.82% due 09/20/232,4
|
250,000
|
243,200
|
||
GoldenTree Loan Opportunities III Ltd.
|
||||
2007-3A, 3.47% due 05/01/222,4
|
250,000
|
243,150
|
||
NewStar Arlington Senior Loan Program LLC
|
||||
2014-1A, 3.57% due 07/25/252,4
|
250,000
|
241,675
|
||
Wrightwood Capital Real Estate CDO 2005-1 Ltd.
|
||||
2005-1A, 0.71% due 11/21/402,4
|
250,000
|
238,600
|
||
Cerberus Onshore II CLO LLC
|
||||
2014-1A, 4.27% due 10/15/232,4
|
250,000
|
238,475
|
||
Rockwall CDO II Ltd.
|
||||
2007-1A, 0.82% due 08/01/242,4
|
250,000
|
233,625
|
||
Golub Capital Partners CLO 18 Ltd.
|
||||
2014-18A, 4.27% due 04/25/262,4,6
|
250,000
|
233,275
|
||
Mountain Hawk II CLO Ltd.
|
||||
2013-2A, 3.42% due 07/22/242,4
|
250,000
|
226,375
|
||
Carlyle Global Market Strategies CLO 2012-3 Ltd.
|
||||
2012-3A, due 10/04/242,5,6
|
250,000
|
204,525
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
ASSET BACKED SECURITIES†† – 8.4% (continued)
|
||||
Gallatin CLO VII 2014-1 Ltd.
|
||||
2014-1A, 4.03% due 07/15/232,4,6
|
$ |
200,000
|
$ |
199,300
|
Regatta Funding Ltd.
|
||||
2007-1X, 3.57% due 06/15/204
|
200,000
|
198,060
|
||
CIFC Funding 2013-II Ltd.
|
||||
2013-2A, 3.87% due 04/21/252,4
|
200,000
|
197,080
|
||
Katonah IX CLO Ltd.
|
||||
2006-9A, 1.00% due 01/25/192,4,6
|
200,000
|
195,520
|
||
CIFC Funding 2007-I Ltd.
|
||||
2007-1A, 1.77% due 05/10/212,4
|
200,000
|
193,420
|
||
Atlas Senior Loan Fund II Ltd.
|
||||
2012-2A, due 01/30/242,5,6
|
250,000
|
193,325
|
||
Cerberus Offshore Levered I, LP
|
||||
2012-1A, 6.27% due 11/30/182,6
|
192,670
|
192,689
|
||
Finn Square CLO Ltd.
|
||||
2012-1A, due 12/24/232,5
|
250,000
|
191,450
|
||
Great Lakes CLO 2012-1 Ltd.
|
||||
2012-1A, due 01/15/232,5,6
|
250,000
|
169,625
|
||
West CLO 2013-1 Ltd.
|
||||
2013-1A, due 11/07/252,5
|
250,000
|
164,075
|
||
ARES XXVI CLO Ltd.
|
||||
2013-1A, due 04/15/252,5,6
|
250,000
|
160,575
|
||
Ares XXV CLO Ltd.
|
||||
2013-3A, due 01/17/242,5,6
|
250,000
|
160,475
|
||
Cedar Woods CRE CDO Ltd.
|
||||
2006-1A, 0.45% due 07/25/51
|
142,808
|
130,341
|
||
Credit Card Pass-Through Trust 2012-BIZ
|
||||
2012-BIZ, due 12/15/49†††,2,5,6
|
105,756
|
92,811
|
||
Raspro Trust
|
||||
2005-1A, 0.67% due 03/23/242,4,6
|
77,786
|
75,939
|
||
Insurance Note Capital VII
|
||||
2005-1R1A, 0.48% due 06/09/332,4,6
|
60,500
|
56,870
|
||
Diversified Asset Securitization Holdings II, LP
|
||||
2000-1X, 0.76% due 09/15/354,6
|
27,343
|
26,916
|
||
Bush Truck Leasing LLC
|
||||
2011-AA, 5.00% due 09/25/182,6
|
21,607
|
19,785
|
||
West Coast Funding Ltd.
|
||||
2006-1A, 0.40% due 11/02/412,4
|
3,975
|
3,975
|
||
BlackRock Senior Income Series Corp.
|
||||
2004-1A, due 09/15/16†††,2,5
|
100,000
|
–
|
||
Total Asset Backed Securities
|
||||
(Cost $33,128,219)
|
34,345,499
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
SENIOR FLOATING RATE INTERESTS††,4 – 4.9%
|
||||
Industrial – 1.3%
|
||||
HD Supply, Inc.
|
||||
4.00% due 06/28/18
|
$ |
941,196
|
$ |
941,903
|
NVA Holdings, Inc.
|
||||
4.75% due 08/14/21
|
597,004
|
597,499
|
||
NaNa Development Corp.
|
||||
8.00% due 03/15/18
|
600,000
|
585,000
|
||
Transdigm, Inc.
|
||||
3.75% due 06/04/21
|
496,250
|
495,292
|
||
Multiplan, Inc.
|
||||
3.75% due 03/19/21
|
443,925
|
442,895
|
||
Hunter Defense Technologies
|
||||
6.50% due 08/04/19
|
390,000
|
390,000
|
||
Goodpack Ltd.
|
||||
4.75% due 09/09/21
|
300,000
|
300,564
|
||
Sabre, Inc.
|
||||
4.00% due 02/19/19
|
294,250
|
294,409
|
||
Element Materials Technology
|
||||
5.25% due 08/06/21
|
272,237
|
272,918
|
||
SIRVA Worldwide, Inc.
|
||||
7.50% due 03/27/19
|
245,000
|
246,225
|
||
Amber Bidco Foster + Partners
|
||||
4.73% due 07/18/21†††,3
|
250,000
|
245,575
|
||
SI Organization
|
||||
5.75% due 11/23/19
|
184,116
|
184,945
|
||
Minimax Viking
|
||||
4.25% due 08/14/20
|
149,250
|
149,250
|
||
Univision Communications, Inc.
|
||||
4.00% due 03/01/20
|
99,222
|
99,051
|
||
Hunter Fan Co.
|
||||
6.55% due 12/20/17
|
88,056
|
87,175
|
||
Total Industrial
|
5,332,701
|
|||
Technology – 0.9%
|
||||
TIBCO Software, Inc.
|
||||
6.50% due 12/04/20
|
698,250
|
698,075
|
||
Greenway Medical Technologies
|
||||
6.00% due 11/04/20
|
641,875
|
641,875
|
||
Aspect Software, Inc.
|
||||
7.25% due 05/07/166
|
558,990
|
554,797
|
||
Advanced Computer Software
|
||||
6.50% due 03/18/22
|
498,750
|
503,738
|
||
EIG Investors Corp.
|
||||
5.00% due 11/09/19
|
440,417
|
438,950
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
SENIOR FLOATING RATE INTERESTS††,4 – 4.9% (continued)
|
||||
Technology – 0.9% (continued)
|
||||
GlobalLogic Holdings, Inc.
|
||||
6.25% due 05/31/19
|
$ |
345,625
|
$ |
345,625
|
Data Device Corp.
|
||||
5.75% due 07/15/20
|
294,375
|
292,903
|
||
Quorum Business Solutions
|
||||
5.75% due 08/07/21
|
219,450
|
218,353
|
||
Wall Street Systems
|
||||
4.50% due 04/30/21
|
214,674
|
215,211
|
||
Total Technology
|
3,909,527
|
|||
Consumer, Non-cyclical – 0.8%
|
||||
Post Holdings
|
||||
3.75% due 06/02/21
|
1,488,750
|
1,483,585
|
||
Albertson's (Safeway) Holdings LLC
|
||||
4.50% due 08/25/21
|
800,000
|
804,568
|
||
Taxware Holdings
|
||||
7.50% due 04/01/22†††,3
|
500,000
|
495,088
|
||
Targus Group International, Inc.
|
||||
14.75% due 05/24/16
|
313,009
|
255,102
|
||
ABG Intermediate Holdings 2 LLC
|
||||
5.50% due 05/27/21
|
99,000
|
99,165
|
||
Hostess Brands
|
||||
6.75% due 04/09/20
|
34,650
|
35,083
|
||
Total Consumer, Non-cyclical
|
3,172,591
|
|||
Communications – 0.6%
|
||||
Cengage Learning Acquisitions, Inc.
|
||||
7.00% due 03/31/20
|
990,000
|
992,297
|
||
Avaya, Inc.
|
||||
6.25% due 04/30/20
|
531,441
|
529,182
|
||
6.50% due 03/31/18
|
290,510
|
290,246
|
||
Zayo Group LLC
|
||||
4.00% due 05/06/21
|
486,258
|
485,538
|
||
Total Communications
|
2,297,263
|
|||
Financial – 0.6%
|
||||
Magic Newco, LLC
|
||||
5.00% due 12/12/18
|
972,521
|
974,952
|
||
12.00% due 06/12/19
|
100,000
|
108,875
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
SENIOR FLOATING RATE INTERESTS††,4 – 4.9% (continued)
|
||||
Financial – 0.6% (continued)
|
||||
Safe-Guard
|
||||
6.25% due 08/19/21
|
$ |
574,143
|
$ |
574,861
|
First Data Corp.
|
||||
3.66% due 03/23/18
|
350,000
|
349,720
|
||
Cunningham Lindsey U.S., Inc.
|
||||
9.25% due 06/10/20
|
155,909
|
151,232
|
||
Expert Global Solutions
|
||||
8.50% due 04/03/18
|
100,000
|
100,000
|
||
8.51% due 04/03/18
|
2,371
|
2,371
|
||
Total Financial
|
2,262,011
|
|||
Consumer, Cyclical – 0.4%
|
||||
Fitness International LLC
|
||||
5.50% due 07/01/20
|
496,250
|
485,084
|
||
Neiman Marcus Group, Inc.
|
||||
4.25% due 10/25/20
|
247,494
|
247,494
|
||
Navistar, Inc.
|
||||
5.75% due 08/17/17
|
236,111
|
236,701
|
||
BJ's Wholesale Club, Inc.
|
||||
4.50% due 09/26/19
|
198,492
|
199,062
|
||
STG-Fairway Acquisitions, Inc.
|
||||
6.25% due 02/28/19
|
196,002
|
194,901
|
||
J. Crew Group, Inc.
|
||||
4.00% due 03/05/21
|
99,248
|
90,203
|
||
Container Store, Inc.
|
||||
4.25% due 04/06/19
|
79,893
|
78,894
|
||
CKX Entertainment, Inc.
|
||||
9.00% due 06/21/17
|
73,800
|
25,830
|
||
Total Consumer, Cyclical
|
1,558,169
|
|||
Bank Loans – 0.3%
|
||||
Ceridian Corp.
|
||||
4.50% due 09/15/20
|
736,913
|
734,614
|
||
American Tire Distributors, Inc.
|
||||
5.25% due 09/01/21
|
297,845
|
300,576
|
||
Total Bank Loans
|
1,035,190
|
|||
Energy – 0.0%**
|
||||
PSS Companies
|
||||
5.50% due 01/28/20
|
197,961
|
150,450
|
||
Total Senior Floating Rate Interests
|
||||
(Cost $19,698,250)
|
19,717,902
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
CORPORATE BONDS†† – 3.3%
|
||||
Basic Materials – 0.8%
|
||||
Yamana Gold, Inc.
|
||||
4.95% due 07/15/24
|
$ |
3,000,000
|
$ |
2,962,679
|
TPC Group, Inc.
|
||||
8.75% due 12/15/202
|
255,000
|
246,713
|
||
Mirabela Nickel Ltd.
|
||||
9.50% due 06/24/19†††,3
|
83,800
|
83,800
|
||
1.00% due 07/31/44†††,3
|
1,899
|
–
|
||
Total Basic Materials
|
3,293,192
|
|||
Consumer, Non-cyclical – 0.5%
|
||||
Tufts Medical Center, Inc.
|
||||
7.00% due 01/01/38
|
1,500,000
|
1,717,655
|
||
ADT Corp.
|
||||
6.25% due 10/15/216
|
200,000
|
214,500
|
||
KeHE Distributors LLC / KeHE Finance Corp.
|
||||
7.62% due 08/15/212
|
100,000
|
106,750
|
||
Bumble Bee Holdings, Inc.
|
||||
9.00% due 12/15/172
|
100,000
|
105,000
|
||
American Seafoods Group LLC / American Seafoods Finance, Inc.
|
||||
10.75% due 05/15/166,8
|
100,000
|
98,750
|
||
Total Consumer, Non-cyclical
|
2,242,655
|
|||
Industrial – 0.5%
|
||||
Atlas Air 2000-1 Class A Pass Through Trust
|
||||
8.71% due 01/02/196
|
756,648
|
773,672
|
||
8.71% due 01/02/196,8
|
18,135
|
18,543
|
||
Dynagas LNG Partners Limited Partnership / Dynagas Finance, Inc.
|
||||
6.25% due 10/30/19
|
800,000
|
720,000
|
||
CEVA Group plc
|
||||
7.00% due 03/01/212
|
300,000
|
297,000
|
||
Tempel Steel Co.
|
||||
12.00% due 08/15/162
|
250,000
|
221,875
|
||
Total Industrial
|
2,031,090
|
|||
Financial – 0.5%
|
||||
SunTrust Banks, Inc.
|
||||
5.62% due 12/29/491,4
|
1,000,000
|
1,015,625
|
||
Columbia Property Trust Operating Partnership LP
|
||||
5.88% due 04/01/18
|
750,000
|
818,618
|
||
Jefferies Finance LLC / JFIN Company-Issuer Corp.
|
||||
7.37% due 04/01/202
|
125,000
|
125,313
|
||
LCP Dakota Fund
|
||||
10.00% due 08/17/156
|
23,400
|
23,400
|
||
Total Financial
|
1,982,956
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
CORPORATE BONDS†† – 3.3% (continued)
|
||||
Consumer, Cyclical – 0.4%
|
||||
GRD Holdings III Corp.
|
||||
10.75% due 06/01/192,6
|
$ |
980,000
|
$ |
1,060,163
|
Checkers Drive-In Restaurants, Inc.
|
||||
11.00% due 12/01/172
|
150,000
|
162,563
|
||
Atlas Air 1999-1 Class A-1 Pass Through Trust
|
||||
7.20% due 07/02/206
|
151,201
|
154,225
|
||
PF Chang's China Bistro, Inc.
|
||||
10.25% due 06/30/202,6
|
125,000
|
128,750
|
||
Total Consumer, Cyclical
|
1,505,701
|
|||
Energy – 0.3%
|
||||
Antero Resources Corp.
|
||||
5.62% due 06/01/232
|
600,000
|
616,199
|
||
Schahin II Finance Company SPV Ltd.
|
||||
5.87% due 09/25/222
|
651,500
|
311,091
|
||
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
|
||||
7.50% due 07/01/21
|
200,000
|
209,000
|
||
Penn Virginia Resource Partners Limited Partnership /
|
||||
Penn Virginia Resource Finance Corp.
|
||||
8.37% due 06/01/20
|
138,000
|
151,483
|
||
FTS International, Inc.
|
||||
7.81% due 06/15/202,4
|
100,000
|
99,957
|
||
Total Energy
|
1,387,730
|
|||
Communications – 0.2%
|
||||
SITEL LLC / Sitel Finance Corp.
|
||||
11.00% due 08/01/172,6
|
500,000
|
515,000
|
||
Avaya, Inc.
|
||||
7.00% due 04/01/192
|
150,000
|
150,000
|
||
Total Communications
|
665,000
|
|||
Technology – 0.1%
|
||||
Eagle Midco, Inc.
|
||||
9.00% due 06/15/182,6
|
200,000
|
204,000
|
||
Aspect Software, Inc.
|
||||
10.62% due 05/15/176
|
205,000
|
184,500
|
||
Total Technology
|
388,500
|
|||
Total Corporate Bonds
|
||||
(Cost $13,340,619)
|
13,496,824
|
|||
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 0.3%
|
||||
ACRE Commercial Mortgage Trust 2014-FL2
|
||||
2014-FL2, 2.68% due 08/15/312,4,6
|
500,000
|
499,128
|
||
Nomura Resecuritization Trust 2012-1R
|
||||
2012-1R, 0.62% due 08/27/472,4,6
|
535,142
|
495,006
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2015
|
Face
|
||||
Amount
|
Value
|
|||
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 0.3% (continued)
|
||||
Structured Asset Mortgage Investments II Trust 2006-AR1
|
||||
2006-AR1, 0.41% due 02/25/364
|
$ |
33,082
|
$ |
28,323
|
Total Collateralized Mortgage Obligations
|
||||
(Cost $1,019,061)
|
1,022,457
|
|||
Total Investments – 128.6%
|
||||
(Cost $452,496,326)
|
$ |
522,788,165
|
||
Other Assets & Liabilities, net – (28.6)%
|
(116,120,460)
|
|||
Total Net Assets – 100.0%
|
$ |
406,667,705
|
*
|
Non-income producing security.
|
|
**
|
Less than 0.1%.
|
|
†
|
Value determined based on Level 1 inputs, unless otherwise noted —See Note 4.
|
|
††
|
Value determined based on Level 2 inputs, unless otherwise noted —See Note 4.
|
|
†††
|
Value determined based on Level 3 inputs —See Note 4.
|
|
1
|
Perpetual maturity.
|
|
2
|
Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $39,083,515 (cost $38,532,615), or 9.6% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
|
|
3
|
Security was fair valued by the Valuation Committee at May 31, 2015. The total market value of fair valued securities amounts to $824,463 (cost $816,004) or 0.2% of total net assets.
|
|
4
|
Variable rate security. Rate indicated is rate effective at May 31, 2015.
|
|
5
|
Security has no stated coupon. However, it is expected to receive residual cashflow payments on deal defined payment dates.
|
|
6
|
All or a portion of these securities have been physically segregated or earmarked in connection with borrowings, reverse repurchase agreements, and unfunded loan commitments. As of May 31, 2015, the total market value of the segregated or earmarked securities was $224,365,156.
|
|
7
|
Taxable municipal bond issued as part of the Build America Bond program.
|
|
8
|
Security is a 144A or Section 4(a)(2) security. These securities are considered illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $117,293 (cost $118,340), or less than 0.1% of total net assets —see Note 12.
|
plc
|
Public Limited Company
|
STATEMENT OF ASSETS AND LIABILITIES
|
May 31, 2015
|
ASSETS:
|
||||
Investments, at value (cost $452,496,326)
|
$ | 522,788,165 | ||
Restricted cash
|
1,352,751 | |||
Cash
|
163,030 | |||
Unrealized appreciation on swap agreements
|
3,681 | |||
Unrealized appreciation on forward foreign currency exchange contracts
|
1,683 | |||
Receivables:
|
||||
Interest
|
8,687,504 | |||
Investments sold
|
497,349 | |||
Other assets
|
4,054 | |||
Total assets
|
533,498,217 | |||
LIABILITIES:
|
||||
Reverse repurchase agreements
|
90,202,417 | |||
Borrowings
|
35,509,544 | |||
Unrealized depreciation on swap agreements
|
456,805 | |||
Interest payable on borrowings
|
42,094 | |||
Unfunded loan commitments, at value (Note 11)
|
— | |||
Payable for:
|
||||
Investment advisory fees
|
269,250 | |||
Investments purchased
|
99,213 | |||
Fund accounting fees
|
25,299 | |||
Administration fees
|
10,122 | |||
Trustee’s fees and expenses*
|
2,060 | |||
Accrued expenses and other liabilities
|
213,708 | |||
Total liabilities
|
126,830,512 | |||
NET ASSETS
|
$ | 406,667,705 | ||
NET ASSETS CONSIST OF:
|
||||
Common Stock, $0.01 par value per share, unlimited number
|
||||
of shares authorized, 17,413,674 shares issued and outstanding
|
$ | 174,137 | ||
Additional paid-in capital
|
330,968,642 | |||
Undistributed net investment income
|
4,387,481 | |||
Accumulated undistributed net realized gain on investments
|
1,297,047 | |||
Net unrealized appreciation on investments
|
69,840,398 | |||
NET ASSETS
|
$ | 406,667,705 | ||
Net asset value
|
$ | 23.35 |
*
|
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
|
STATEMENT OF OPERATIONS
|
May 31, 2015
|
For the Year Ended May 31, 2015
|
INVESTMENT INCOME:
|
||||
Interest
|
$ | 30,301,429 | ||
Dividends
|
866,745 | |||
Total investment income
|
31,168,174 | |||
EXPENSES:
|
||||
Investment advisory fees
|
3,217,764 | |||
Interest expense
|
1,229,669 | |||
Excise tax expense
|
258,686 | |||
Professional fees
|
174,400 | |||
Trustee’s fees and expenses*
|
129,118 | |||
Fund accounting fees
|
125,330 | |||
Administration fees
|
120,444 | |||
Printing fees
|
78,037 | |||
Custodian fees
|
25,323 | |||
Registration and filings
|
23,844 | |||
Transfer agent fees
|
19,958 | |||
Insurance
|
17,395 | |||
Miscellaneous
|
735 | |||
Total expenses
|
5,420,703 | |||
Net investment income
|
25,747,471 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS):
|
||||
Net realized gain (loss) on:
|
||||
Investments
|
2,553,427 | |||
Foreign currency transactions
|
(1,607 | ) | ||
Swap agreements
|
(551,041 | ) | ||
Net realized gain
|
2,000,779 | |||
Net change in unrealized appreciation (depreciation) on:
|
||||
Investments
|
3,204,569 | |||
Foreign currency translations
|
1,683 | |||
Swap agreements
|
(453,124 | ) | ||
Net change in unrealized appreciation (depreciation)
|
2,753,128 | |||
Net realized and unrealized gain
|
4,753,907 | |||
Net increase in net assets resulting from operations
|
$ | 30,501,378 |
*
|
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
|
STATEMENTS OF CHANGES IN NET ASSETS
|
May 31, 2015
|
Year Ended
|
Year ended
|
|||||||
May 31, 2015
|
May 31, 2014
|
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
|
||||||||
Net investment income
|
$ | 25,747,471 | $ | 28,371,160 | ||||
Net realized gain on investments
|
2,000,779 | 379,273 | ||||||
Net change in unrealized appreciation
|
||||||||
(depreciation) on investments
|
2,753,128 | (5,974,017 | ) | |||||
Net increase in net assets resulting from operations
|
30,501,378 | 22,776,416 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM:
|
||||||||
Net investment income
|
(25,757,274 | ) | (27,896,617 | ) | ||||
Capital gains
|
(3,115,294 | ) | (975,951 | ) | ||||
Total distributions to shareholders
|
(28,872,568 | ) | (28,872,568 | ) | ||||
Net increase (decrease) in net assets
|
1,628,810 | (6,096,152 | ) | |||||
NET ASSETS:
|
||||||||
Beginning of period
|
405,038,895 | 411,135,047 | ||||||
End of period
|
$ | 406,667,705 | $ | 405,038,895 | ||||
Undistributed net investment income at end of period
|
$ | 4,387,481 | $ | 5,710,757 |
STATEMENT OF CASH FLOWS
|
May 31, 2015
|
For the Year Ended May 31, 2015
|
Cash Flows from Operating Activities:
|
||||
Net Increase in net assets resulting from operations
|
$ | 30,501,378 | ||
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to
|
||||
Net Cash Provided by Operating and Investing Activities:
|
||||
Net change in unrealized appreciation on investments
|
(3,204,569 | ) | ||
Net change in unrealized appreciation on foreign currency translation
|
(1,683 | ) | ||
Net change in unrealized depreciation on swap agreements
|
453,124 | |||
Net realized gain on investments
|
(2,553,427 | ) | ||
Net realized gain on paydowns received
|
(46,513 | ) | ||
Net accretion of bond discount and amortization of bond premium
|
(651,482 | ) | ||
Purchase of long-term investments
|
(74,817,050 | ) | ||
Proceeds from sale of long-term investments
|
57,769,319 | |||
Paydowns received on mortgage and asset backed securities
|
15,513,483 | |||
Net proceeds of short-term investments
|
4,237,326 | |||
Corporate actions and other payments
|
55,761 | |||
Decrease in interest receivable
|
88,576 | |||
Increase in investments sold receivable
|
(49,496 | ) | ||
Decrease in other assets
|
3,403 | |||
Decrease in investments purchased payable
|
(2,712,844 | ) | ||
Increase in investment advisory fees payable
|
4,604 | |||
Decrease in interest payable on borrowings
|
(24,322 | ) | ||
Increase in administration fees payable
|
119 | |||
Increase in fund accounting fees payable
|
6,498 | |||
Increase in trustee’s fees and expenses payable
|
1,546 | |||
Increase in accrued expenses and other liabilities
|
61,334 | |||
Net Cash Provided by Operating and Investing Activities
|
24,635,085 | |||
Cash Flows From Financing Activities:
|
||||
Distributions to common shareholders
|
(28,872,568 | ) | ||
Decrease in overdraft due to custodian
|
(71,406 | ) | ||
Increase in reverse repurchase agreements
|
1,279,062 | |||
Proceeds from borrowings
|
27,045,608 | |||
Payments made on borrowings
|
(22,500,000 | ) | ||
Net Cash Used in Financing Activities
|
(23,119,304 | ) | ||
Net increase in cash
|
1,515,781 | |||
Cash at Beginning of Period (including restricted cash)
|
– | |||
Cash at End of Period (including restricted cash)
|
$ | 1,515,781 | ||
Supplemental Disclosure of Cash Flow Information: Cash paid during
|
||||
the year for interest
|
$ | 1,253,991 |
FINANCIAL HIGHLIGHTS
|
May 31, 2015
|
For the
|
||||||||||||||||||||
period
|
||||||||||||||||||||
October 28,
|
||||||||||||||||||||
2010
|
||||||||||||||||||||
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
through
|
||||||||||||||||
May 31,
|
May 31,
|
May 31,
|
May 31,
|
May 31,
|
||||||||||||||||
2015
|
2014
|
2013
|
2012
|
2011(a)
|
||||||||||||||||
Per Share Data:
|
||||||||||||||||||||
Net asset value, beginning of period
|
$ | 23.26 | $ | 23.61 | $ | 23.49 | $ | 20.65 | $ | 19.10 | (b) | |||||||||
Income from investment operations:
|
||||||||||||||||||||
Net investment income(c)
|
1.48 | 1.63 | 1.65 | 1.59 | 0.68 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized)
|
0.27 | (0.32 | ) | 0.07 | 2.74 | 1.50 | ||||||||||||||
Total from investment operations
|
1.75 | 1.31 | 1.72 | 4.33 | 2.18 | |||||||||||||||
Common shares’ offering expenses charged to paid-in-capital
|
— | — | — | — | (0.04 | ) | ||||||||||||||
Less distributions from:
|
||||||||||||||||||||
Net investment income
|
(1.48 | ) | (1.60 | ) | (1.60 | ) | (1.49 | ) | (0.59 | ) | ||||||||||
Capital gains
|
(0.18 | ) | (0.06 | ) | — | — | — | |||||||||||||
Total distributions to shareholders
|
(1.66 | ) | (1.66 | ) | (1.60 | ) | (1.49 | ) | (0.59 | ) | ||||||||||
Net asset value, end of period
|
$ | 23.35 | $ | 23.26 | $ | 23.61 | $ | 23.49 | $ | 20.65 | ||||||||||
Market Value, end of period
|
$ | 21.64 | $ | 21.69 | $ | 22.70 | $ | 22.46 | $ | 19.54 | ||||||||||
Total Return(c)
|
||||||||||||||||||||
Net asset value
|
7.64 | % | 6.15 | % | 7.48 | % | 21.64 | % | 11.34 | % | ||||||||||
Market value
|
7.52 | % | 3.54 | % | 8.27 | % | 23.35 | % | 0.80 | % | ||||||||||
Ratios/Supplemental Data:
|
||||||||||||||||||||
Net assets, end of period (in thousands)
|
$ | 406,668 | $ | 405,039 | $ | 411,135 | $ | 408,960 | $ | 359,444 | ||||||||||
Ratio to average net assets of:
|
||||||||||||||||||||
Total expenses, including interest expense(g)(h)
|
1.32 | % | 1.35 | % | 1.38 | % | 1.36 | % | 1.05 | % | ||||||||||
Net investment income, including interest expense(h)
|
6.26 | % | 7.37 | % | 6.99 | % | 7.33 | % | 6.00 | % | ||||||||||
Portfolio turnover rate(e)
|
11 | % | 10 | % | 12 | % | 7 | % | 3 | % |
FINANCIAL HIGHLIGHTS continued
|
May 31, 2015
|
For the
|
||||||||||||||||||||
period
|
||||||||||||||||||||
October 28,
|
||||||||||||||||||||
2010
|
||||||||||||||||||||
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
through
|
||||||||||||||||
May 31,
|
May 31,
|
May 31,
|
May 31,
|
May 31,
|
||||||||||||||||
2015
|
2014
|
2013
|
2012
|
2011(a)
|
||||||||||||||||
Senior Indebtedness
|
||||||||||||||||||||
Total Borrowings outstanding (in thousands)
|
$ | 125,712 | $ | 119,887 | $ | 129,992 | $ | 125,542 | $ | 104,906 | ||||||||||
Asset Coverage per $1,000 of indebtedness(f)
|
$ | 4,235 | $ | 4,379 | $ | 4,163 | $ | 4,258 | $ | 4,426 |
(a)
|
Since commencement of operations: October 28, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
|
(b)
|
Before deduction of offering expenses charged to capital.
|
(c)
|
Based on average shares outstanding.
|
(d)
|
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.
|
(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 asset and dividing by the total borrowings.
|
(g)
|
Excluding interest expense, the operating expense ratio for the periods would be:
|
May 31, |
May 31,
|
May 31,
|
May 31,
|
May 31,
|
||
|
2015 |
2014
|
2013
|
2012
|
2011
|
|
|
1.02% |
1.02%
|
1.02%
|
1.04%
|
0.91%(h)
|
(h)
|
Annualized.
|
NOTES TO FINANCIAL STATEMENTS
|
May 31, 2015
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2015
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2015
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2015
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2015
|
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%
|
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%
|
Minimum annual charge
|
$50,000
|
Certain out-of-pocket charges
|
Varies
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2015
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Assets
|
||||||||||||||||
Municipal Bonds
|
$ | – | $ | 447,991,528 | $ | – | $ | 447,991,528 | ||||||||
Asset Backed Securities
|
– | 34,252,688 | 92,811 | 34,345,499 | ||||||||||||
Senior Floating Rate Interests
|
– | 18,977,239 | 740,663 | 19,717,902 | ||||||||||||
Corporate Bonds
|
– | 13,413,024 | 83,800 | 13,496,824 | ||||||||||||
Preferred Stocks
|
5,220,000 | – | – | 5,220,000 | ||||||||||||
Collateralized Mortgage Obligations
|
– | 1,022,457 | – | 1,022,457 | ||||||||||||
Money Market Fund
|
866,833 | – | – | 866,833 | ||||||||||||
Common Stocks
|
32,054 | 95,068 | – | 127,122 | ||||||||||||
Warrants
|
– | – | – | – | ||||||||||||
Swap agreements
|
– | 3,681 | – | 3,681 | ||||||||||||
Forward Foreign Currency Exchange Contracts
|
– | 1,683 | – | 1,683 | ||||||||||||
Total Assets
|
$ | 6,118,887 | $ | 515,757,368 | $ | 917,274 | $ | 522,793,529 | ||||||||
Liabilities
|
||||||||||||||||
Swap agreements
|
$ | – | $ | 456,805 | $ | – | $ | 456,805 | ||||||||
Total Liabilities
|
$ | – | $ | 456,805 | $ | – | $ | 456,805 |
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2015
|
Ending Balance as
|
Valuation
|
Unobservable
|
||
Category
|
of 5/31/15
|
Technique
|
Input
|
|
Senior Floating
|
$740,663
|
Enterprise Value
|
Valuation
|
|
Rate Interests
|
Multiple*
|
|||
Asset Backed Securities
|
92,811
|
Option adjusted spread off the
|
Indicative
|
|
month end broker quote
|
Quote
|
|||
over the 3 month LIBOR
|
||||
Corporate Bonds
|
83,800
|
Enterprise Value
|
Valuation
|
|
Multiple*
|
||||
* Valuation multiples utilized ranged from 2.8 to 10.5.
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2015
|
LEVEL 3 – Fair value measurement using significant unobservable inputs
|
||||||||||||||||||||
Senior
|
||||||||||||||||||||
Asset Backed
|
Floating Rate
|
Corporate
|
Common
|
|||||||||||||||||
Securities
|
Interests
|
Bonds
|
Stocks
|
Total
|
||||||||||||||||
Assets:
|
||||||||||||||||||||
Beginning
|
||||||||||||||||||||
Balance
|
$ | 4,193,112 | $ | 2,005,000 | $ | – | $ | 1 | $ | 6,198,113 | ||||||||||
Paydowns
|
||||||||||||||||||||
Received
|
(1,476,819 | ) | (2,000,000 | ) | – | – | (3,476,819 | ) | ||||||||||||
Realized
|
||||||||||||||||||||
Gain/Loss
|
23,998 | 37,640 | – | – | 61,638 | |||||||||||||||
Change in
|
||||||||||||||||||||
Unrealized
|
||||||||||||||||||||
Gain/Loss
|
20,892 | (41,977 | ) | 8,484 | (1 | ) | (12,602 | ) | ||||||||||||
Purchases
|
– | 740,000 | 75,316 | – | 815,316 | |||||||||||||||
Transfers into
|
||||||||||||||||||||
Level 3
|
– | – | – | – | – | |||||||||||||||
Transfers out
|
||||||||||||||||||||
of Level 3
|
(2,668,372 | ) | – | – | – | (2,668,372 | ) | |||||||||||||
Ending Balance
|
$ | 92,811 | $ | 740,663 | $ | 83,800 | $ | – | $ | 917,274 |
Accumulated
|
||
Additional
|
Undistributed Net
|
Accumulated
|
Paid-in Capital
|
Investment Income
|
Net Realized Gain
|
$(258,684)
|
$(1,313,473)
|
$1,572,157
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2015
|
Cost of
|
Gross Tax
|
Gross Tax
|
Net Tax
|
Investments
|
Unrealized
|
Unrealized
|
Unrealized
|
for Tax Purposes
|
Appreciation
|
Depreciation
|
Appreciation
|
$451,730,445
|
$72,800,327
|
$(1,742,607)
|
$71,057,720
|
Undistributed
|
Accumulated
|
Unrealized
|
Ordinary Income
|
Long-Term Gains
|
Appreciation
|
$4,786,305
|
$ –
|
$70,738,621
|
Distributions paid from:
|
2015
|
2014
|
||||||
Ordinary Income
|
$ | 26,849,752 | $ | 27,896,617 | ||||
Long-Term Capital Gain
|
2,022,816 | 975,951 | ||||||
$ | 28,872,568 | $ | 28,872,568 |
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2015
|
Pay
|
Receive
|
Unrealized
|
|||
Termination
|
Notional
|
Fixed
|
Floating
|
Appreciation
|
|
Counterparty
|
Date
|
Amount ($000)
|
Rate
|
Rate
|
(Depreciation)
|
Bank of America
|
10/16/2019
|
$ 57,000
|
1.6440%
|
3 Month LIBOR
|
$ (456,805)
|
Bank of America
|
10/17/2019
|
$ 25,000
|
1.4605%
|
3 Month LIBOR
|
3,681
|
$ (453,124)
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2015
|
Settlement
|
Settlement
|
Value at
|
Net Unrealized
|
|||
Contracts to Sell
|
Counterparty
|
Date
|
Value
|
5/31/15
|
Appreciation
|
|
AUD
|
47,000
|
|||||
for USD
|
37,609
|
The Bank of New York Mellon
|
6/5/2015
|
$ 37,609
|
$ 35,926
|
$ 1,683
|
Net unrealized appreciation on forward foreign currency exchange contracts
|
$ 1,683
|
Statement of Assets and Liabilities
|
||||||||||
Presentation of Fair Values of Derivative Instruments:
|
||||||||||
Asset Derivatives
|
Liability Derivatives
|
|||||||||
Statement of Assets
|
Statement of Assets
|
|||||||||
Primary Risk Exposure
|
and Liabilities Location
|
Fair Value
|
and Liabilities Location
|
Fair Value
|
||||||
Foreign Exchange Risk
|
Unrealized appreciation
|
$ | 1,683 | N/A | $ | – | ||||
on forward foreign
|
||||||||||
currency exchange contracts
|
||||||||||
Interest Rate Risk
|
Unrealized appreciation
|
3,681 |
Unrealized depreciation
|
|||||||
on swap agreements
|
on swap agreements
|
456,805 | ||||||||
Total
|
$ | 5,364 | $ | 456,805 |
Effect of Derivative Instruments on the Statement of Operations:
|
||||||||||||
Amount of Net Realized Loss on Derivatives
|
||||||||||||
Primary Risk
|
Foreign Currency
|
Swap
|
||||||||||
Exposure
|
Transactions
|
Agreements
|
Total
|
|||||||||
Foreign Exchange Risk
|
$ | (1,607 | ) | $ | – | $ | (1,607 | ) | ||||
Interest Rate Risk
|
– | (551,041 | ) | (551,041 | ) | |||||||
Total
|
$ | (1,607 | ) | $ | (551,041 | ) | $ | (552,648 | ) | |||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives
|
||||||||||||
Primary Risk
|
Foreign Currency
|
Swap
|
||||||||||
Exposure
|
Translations
|
Agreements
|
Total
|
|||||||||
Foreign Exchange Risk
|
$ | 1,683 | $ | – | $ | 1,683 | ||||||
Interest Rate Risk
|
– | (453,124 | ) | (453,124 | ) | |||||||
Total
|
$ | 1,683 | $ | (453,124 | ) | $ | (451,441 | ) |
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2015
|
Average Settlement Value Purchased
|
$22,740
|
Average Settlement Value Sold
|
29,428
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2015
|
Net Amounts of
|
|||||
Gross Amounts
|
Liabilities
|
Gross Amounts Not
|
|||
Offset in the
|
Presented in
|
Offset in the Statement
|
|||
Gross Amounts
|
the Statement
|
the Statement
|
of Assets & Liabilities
|
||
of Recognized
|
of Assets &
|
of Assets &
|
Financial
|
Net
|
|
Investment Type
|
Assets
|
Liabilities
|
Liabilities
|
Instruments
|
Amount
|
Forward Foreign Currency
|
|||||
Exchange Contracts
|
$1,683
|
$ –
|
$1,683
|
$ –
|
$1,683
|
Net Amounts of
|
|||||
Gross Amounts
|
Liabilities
|
Gross Amounts Not
|
|||
Offset in the
|
Presented in
|
Offset in the Statement
|
|||
Gross Amounts
|
the Statement
|
the Statement
|
of Assets & Liabilities
|
||
of Recognized
|
of Assets &
|
of Assets &
|
Financial
|
Net
|
|
Investment Type
|
Liabilities
|
Liabilities
|
Liabilities
|
Instruments
|
Amount
|
Reverse Repurchase
|
|||||
Agreement
|
$90,202,417
|
$ –
|
$90,202,417
|
$90,202,417
|
$ –
|
Year Ended
|
Year Ended
|
|
May 31, 2015
|
May 31, 2014
|
|
Beginning Shares
|
17,413,674
|
17,413,674
|
Shares issued through dividend reinvestment
|
–
|
–
|
Ending shares
|
17,413,674
|
17,413,674
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2015
|
Face
|
|||
Counterparty
|
Interest Rates
|
Maturity Dates
|
Value
|
BNP Paribas
|
0.77%
|
5/8/2016
|
$ 51,581,742
|
RBC Capital Markets
|
0.00%-0.70%
|
6/4/2015-8/12/2015
|
34,106,238
|
Credit Suisse
|
0.75%
|
06/10/2015
|
4,447,312
|
Citi
|
0.00%
|
N/A
|
67,125
|
$ 90,202,417
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2015
|
Maturity
|
Face
|
||
Borrower
|
Date
|
Amount
|
Value
|
Rite Aid Corporation
|
08/10/2015
|
$ 3,000,000
|
$ –
|
SS&C Technologies, Inc.
|
02/27/2016
|
$ 2,000,000
|
$ –
|
Restricted Securities
|
Acquisition Date
|
Cost
|
Value
|
American Seafoods Group LLC/
|
07/31/14
|
$ 100,020
|
$ 98,750
|
American Seafoods Finance, Inc.
|
|||
10.75% due 05/15/16
|
|||
Atlas Air 2000-1 Class A
|
10/06/11
|
18,320
|
18,543
|
Pass Through Trust
|
|||
8.71% due 01/02/19
|
|||
$ 118,340
|
$ 117,293
|
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
|
May 31, 2015
|
SUPPLEMENTAL INFORMATION (Unaudited)
|
May 31, 2015
|
% Qualifying
|
|||
% Qualifying Interest
|
Short-Term Capital Gain
|
||
85.91%
|
100.00%
|
In January 2016, 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 2015.
|
||||||
Results of Shareholder Votes
|
||||||
The Annual Meeting of Shareholders of the Trust was held on April 29, 2015. Shareholders voted on the election of Trustees.
|
||||||
With regards to the election of the following Trustees by shareholders of the Trust:
|
# of Shares in Favor
|
# of Shares Against
|
# of Shares Abstain
|
||
Jerry B. Farley
|
14,196,219
|
195,937
|
147,367
|
|
Roman Friedrich III
|
14,116,388
|
274,662
|
148,473
|
|
Ronald A. Nyberg
|
14,207,226
|
185,072
|
147,225
|
The other Trustees of the Trust not up for election in 2015 were Randall C. Barnes, Donald C. Cacciapaglia, Donald A. Chubb, Jr., Robert B. Karn III, Maynard F. Oliverius, and Ronald E. Toupin, Jr.
|
|||||
Trustees
|
|||||
The Trustees of the Guggenheim Build America Bonds Managed Duration Trust and their principal business occupations during the past five years:
|
Number of
|
|||||
Position(s) |
Term of Office
|
Portfolios in
|
|||
Name, Address*
|
Held with |
and Length of
|
Fund Complex
|
Other Directorships
|
|
and Year of Birth
|
Trust |
Time Served**
|
Principal Occupation(s) During Past Five Years
|
Overseen
|
Held by Trustees
|
Independent Trustees:
|
|||||
Randall C. Barnes
|
Trustee |
Since 2010
|
Current: Private Investor (2001-present).
|
91
|
Current: Trustee, Purpose
|
(1951)
|
Investments Funds (2014-present).
|
||||
Former: Senior Vice President and Treasurer, PepsiCo, Inc.
|
|||||
(1993-1997); President, Pizza Hut International (1991-1993);
|
|||||
Senior Vice President, Strategic Planning and New Business
|
|||||
Development, PepsiCo, Inc. (1987-1990).
|
|||||
Donald A.
|
Trustee |
Since 2014
|
Current: Business broker and manager of commercial
|
87
|
Current: Midland Care, Inc.
|
Chubb, Jr.
|
real estate, Griffith & Blair, Inc. (1997-present).
|
(2011-present).
|
|||
(1946 )
|
SUPPLEMENTAL INFORMATION (Unaudited) continued
|
May 31, 2015
|
Number of
|
|||||
Position(s)
|
Term of Office
|
Portfolios in
|
|||
Name, Address*
|
Held with
|
and Length of
|
Fund Complex
|
Other Directorships
|
|
and Year of Birth
|
Trust
|
Time Served**
|
Principal Occupation(s) During Past Five Years
|
Overseen
|
Held by Trustees
|
Independent Trustees continued:
|
|||||
Jerry B. Farley
|
Trustee
|
Since 2014
|
Current: President, Washburn University (1997-present).
|
87
|
Current: Westar Energy, Inc. (2004-
|
(1946)
|
present); CoreFirst Bank & Trust
|
||||
(2000-present).
|
|||||
Roman Friedrich III
|
Trustee and
|
Since 2010
|
Current: Founder and President, Roman Friedrich
|
87
|
Current: Zincore Metals, Inc.
|
(1946)
|
Chairman of
|
& Company (1998-present).
|
(2009-present).
|
||
the Contracts
|
|||||
Review
|
Former: Senior Managing Director, MLV & Co. LLC (2010-2011).
|
Former: Mercator Minerals Ltd.
|
|||
Committee
|
(2013-2014); First Americas Gold
|
||||
Corp. (2012-2014); Blue Sky
|
|||||
Uranium Corp. (2011-2012); Axiom
|
|||||
Gold and Silver Corp. (2011-2012);
|
|||||
Stratagold Corp. (2003-2009); GFM).
|
|||||
Resources Ltd. (2005-2010 | |||||
Robert B. Karn III
|
Trustee and
|
Since 2010
|
Current: Consultant (1998-present).
|
87
|
Current: Peabody Energy Company
|
(1942)
|
Chairman of
|
(2003-present); GP Natural
|
|||
the Audit
|
Former: Arthur Andersen (1965-1997) and Managing Partner,
|
Resource Partners, LLC (2002-
|
|||
Committee
|
Financial and Economic Consulting, St. Louis office (1987-1997).
|
present). | |||
Ronald A. Nyberg
|
Trustee and
|
Since 2010
|
Current: Partner, Nyberg & Cassioppi, LLC (2000-present).
|
93
|
Current: Edward-Elmhurst
|
(1953)
|
Chairman of
|
Healthcare System (2012-present).
|
|||
the Nominating
|
Former: Executive Vice President, General Counsel, and
|
||||
and Governance
|
Corporate Secretary, Van Kampen Investments (1982-1999).
|
||||
Committee
|
|||||
Maynard F.
|
Trustee
|
Since 2014
|
Current: Retired.
|
87
|
Current: Fort Hays State University
|
Oliverius
|
Foundation (1999-present);
|
||||
(1943)
|
Former: President and CEO, Stormont-Vail HealthCare (1996-
|
Stormont-Vail Foundation (2013-
|
|||
2012). |
present); University of Minnesota
|
||||
HealthCare Alumni Association
|
|||||
Foundation (2009-present).
|
SUPPLEMENTAL INFORMATION (Unaudited) continued
|
May 31, 2015
|
Number of
|
|||||
Position(s)
|
Term of Office
|
Portfolios in
|
|||
Name, Address*
|
Held with
|
and Length of
|
Fund Complex
|
Other Directorships
|
|
and Year of Birth
|
Trust
|
Time Served**
|
Principal Occupation(s) During Past Five Years
|
Overseen
|
Held by Trustees
|
Independent Trustees continued:
|
|||||
Ronald E.
|
Trustee and
|
Since 2010
|
Current: Portfolio Consultant (2010-present).
|
90
|
Former: Bennett Group of Funds
|
Toupin, Jr.
|
Chairman of
|
(2011-2013).
|
|||
(1958)
|
the Board
|
Former: Vice President, Manager and Portfolio Manager,
|
|||
Nuveen Asset Management (1998-1999); Vice President, Nuveen
|
|||||
Investment Advisory Corp. (1992-1999); Vice President and
|
|||||
Manager, Nuveen Unit Investment Trusts (1991-1999); and
|
|||||
Assistant Vice President and Portfolio Manager, Nuveen Unit
|
|||||
Investment Trusts (1988-1999), each of John Nuveen & Co., Inc.
|
|||||
(1982-1999). | |||||
Interested Trustee:
|
|||||
Donald C.
|
President,
|
Since 2012
|
Current: President and CEO, certain other funds in the Fund
|
221
|
Current: Clear Spring Life Insurance
|
Cacciapaglia***
|
Chief Executive
|
Complex (2012-present); Vice Chairman, Guggenheim
|
Company (2015-present);
|
||
(1951)
|
Officer
|
Investments (2010-present). | Guggenheim Partners Japan, Ltd. | ||
and Trustee
|
(2014-present); Delaware Life
|
||||
Former: Chairman and CEO, Channel Capital Group, Inc. (2002-
|
(2013-present); Guggenheim Life
|
||||
2010). |
and Annuity Company (2011-
|
||||
present); Paragon Life Insurance
|
|||||
Company of Indiana (2011-present).
|
*
|
The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, IL 60606.
|
**
|
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. Karn, Oliverius and Toupin, are Class III Trustees. The Class III Trustees are expected to stand for re-election at the Trust’s annual meeting of share-holders for fiscal year ending May 31, 2016.
|
|
—Messrs. Barnes, Cacciapaglia and Chubb are Class I Trustees. The Class I Trustees are expected to stand for re-election at the Trust’s annual meeting of shareholders for fiscal year ending May 31, 2017.
|
|
—Messrs. Farley, 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 share-holders for fiscal year ending May 31, 2018.
|
|
***
|
This Trustee is deemed to be an "interested person" of the Trust under the 1940 Act by reason of his position with the Trusts' Adviser and/or the parent of the Adviser.
|
SUPPLEMENTAL INFORMATION (Unaudited) continued
|
May 31, 2015
|
Position(s)
|
Term of Office
|
||
Name, Address*
|
held with
|
and Length of
|
|
and Year of Birth
|
the Trust
|
Time Served**
|
Principal Occupations During Past Five Years
|
Officers:
|
|||
Joseph M. Arruda
|
Assistant
|
Since 2014
|
Current: Assistant Treasurer, certain other funds in the Fund Complex (2006-present); Vice President, Security Investors, LLC
|
(1966)
|
Treasurer
|
(2010-present); CFO and Manager, Guggenheim Specialized Products, LLC (2009-present).
|
|
Former: Vice President, Security Global Investors, LLC (2010-2011); Vice President, Rydex Advisors, LLC (2010); Vice President,
|
|||
Rydex Advisors II, LLC (2010).
|
|||
William H.
|
Vice President
|
Since 2014
|
Current: Vice President, certain other funds in the Fund Complex (2006-present); Managing Director, Guggenheim Funds
|
Belden, III
|
Investment Advisors, LLC (2005-present).
|
||
(1965)
|
|||
Former: Vice President of Management, Northern Trust Global Investments (1999-2005).
|
|||
Joanna M.
|
Chief
|
Since 2012
|
Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Managing Director, Guggenheim Investments
|
Catalucci
|
Compliance
|
(2012-present).
|
|
(1966) |
Officer
|
||
Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President &
|
|||
Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice
|
|||
President, Rydex Advisors, LLC and certain affiliates (2010-2011).
|
|||
Mark J. Furjanic
|
Assistant
|
Since 2008
|
Current: Vice President, Guggenheim Investments (2005-present); Assistant Treasurer, certain other funds in the Fund Complex
|
(1959)
|
Treasurer
|
(2008-present). | |
Former: Senior Manager, Ernst & Young LLP (1999-2005).
|
|||
James M. Howley
|
Assistant
|
Since 2006
|
Current: Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex
|
(1972)
|
Treasurer
|
(2006-present). | |
Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004).
|
|||
Amy J. Lee
|
Chief Legal
|
Since 2012
|
Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim
|
(1961)
|
Officer
|
Investments (2012-present).
|
|
Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance
|
|||
Company and Security Benefit Corporation (2004-2012).
|
SUPPLEMENTAL INFORMATION (Unaudited) continued
|
May 31, 2015
|
Position(s)
|
Term of Office
|
||
Name, Address*
|
held with
|
and Length of
|
|
and Year of Birth
|
the Trust
|
Time Served**
|
Principal Occupations During Past Five Years
|
Officers continued:
|
|||
Mark E. Mathiasen
|
Secretary
|
Since 2010
|
Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments
|
(1978)
|
(2007-present).
|
||
Michael P. Megaris
|
Assistant
|
Since 2014
|
Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Senior Associate, Guggenheim Investments
|
(1984)
|
Secretary
|
(2012-present).
|
|
Former: J.D., University of Kansas School of Law (2009-2012).
|
|||
Kimberly J. Scott
|
Assistant
|
Since 2012
|
Current: Vice President, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex
|
(1974)
|
Treasurer
|
(2012-present).
|
|
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund
|
|||
Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund
|
|||
Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
|
|||
Bryan Stone
|
Vice President
|
Since 2014
|
Current: Vice President, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2013-
|
(1979)
|
present). | ||
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
|
|||
John L. Sullivan
|
Chief Financial
|
Since 2010
|
Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing
|
(1955)
|
Officer, Chief
|
Director, Guggenheim Investments (2010-present).
|
|
Accounting Officer
|
|||
and Treasurer
|
Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing
|
||
Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and
|
|||
Treasurer, Van Kampen Funds (1996-2004).
|
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, IL 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. The date reflects the commencement date upon which the officer held any officer position with the Trust. |
DIVIDEND REINVESTMENT PLAN (Unaudited)
|
May 31, 2015
|
DIVIDEND REINVESTMENT PLAN (Unaudited) continued
|
May 31, 2015
|
APPROVAL OF ADVISORY AGREEMENTS – GUGGENHEIM BUILD
|
|
AMERICA BONDS MANAGED DURATION TRUST (GBAB)
|
May 31, 2015
|
APPROVAL OF ADVISORY AGREEMENTS – GUGGENHEIM BUILD
|
|
AMERICA BONDS MANAGED DURATION TRUST (GBAB) continued
|
May 31, 2015
|
APPROVAL OF ADVISORY AGREEMENTS – GUGGENHEIM BUILD
|
|
AMERICA BONDS MANAGED DURATION TRUST (GBAB) continued
|
May 31, 2015
|
APPROVAL OF ADVISORY AGREEMENTS – GUGGENHEIM BUILD
|
|
AMERICA BONDS MANAGED DURATION TRUST (GBAB) continued
|
May 31, 2015
|
APPROVAL OF ADVISORY AGREEMENTS – GUGGENHEIM BUILD
|
|
AMERICA BONDS MANAGED DURATION TRUST (GBAB) continued
|
May 31, 2015
|
APPROVAL OF ADVISORY AGREEMENTS – GUGGENHEIM BUILD
|
|
AMERICA BONDS MANAGED DURATION TRUST (GBAB) continued
|
May 31, 2015
|
APPROVAL OF ADVISORY AGREEMENTS – GUGGENHEIM BUILD
|
|
AMERICA BONDS MANAGED DURATION TRUST (GBAB) continued
|
May 31, 2015
|
TRUST INFORMATION
|
May 31, 2015
|
Board of Trustees
Randall C. Barnes
Donald C. Cacciapaglia*
Donald A. Chubb, Jr.
Jerry B. Farley
Roman Friedrich III
Robert B. Karn III
Ronald A. Nyberg
Maynard F. Oliverius
Ronald E. Toupin, Jr.,
Chairman
* Trustee is an “interested person” (as defined
in section 2(a)(19) of the 1940 Act)
(“Interested Trustee”) of the Trust because of
his position as the President and CEO of the
Investment Adviser and the Sub-Adviser.
Principal Executive Officers
Donald C. Cacciapaglia
President and Chief Executive Officer
Joanna M. Catalucci
Chief Compliance Officer
Amy J. Lee
Chief Legal Officer
Mark E. Mathiasen
Secretary
John L. Sullivan
Chief Financial Officer,
Chief Accounting Officer
and Treasurer
|
Investment Adviser
Guggenheim Funds
Investment Advisors, LLC
Chicago, IL
Investment Sub-Adviser
Guggenheim Partners Investment
Management, LLC
Santa Monica, CA
Accounting Agent and Administrator
Rydex Fund Services, LLC
Rockville, MD
Custodian
The Bank of New York Mellon Corp.
New York, NY
Legal Counsel
Skadden, Arps, Slate, Meagher
& Flom LLP
New York, NY
Independent Registered Public
Accounting Firm
Ernst & Young LLP
McLean, VA
|
FUND INFORMATION continued
|
May 31, 2015
|
• 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
|
ABOUT THE FUND MANAGERS
|
(a)
|
The categories of services to be reviewed and considered for pre-approval include the following:
|
·
|
Annual financial statement audits
|
·
|
Seed audits (related to new product filings, as required)
|
·
|
SEC and regulatory filings and consents
|
·
|
Accounting consultations
|
·
|
Fund merger/reorganization support services
|
·
|
Other accounting related matters
|
·
|
Agreed upon procedures reports
|
·
|
Attestation reports
|
·
|
Other internal control reports
|
·
|
Tax compliance services related to the filing of amendments:
|
o
|
Federal, state and local income tax compliance
|
o
|
Sales and use tax compliance
|
·
|
Timely RIC qualification reviews
|
·
|
Tax distribution analysis and planning
|
·
|
Tax authority examination services
|
·
|
Tax appeals support services
|
·
|
Accounting methods studies
|
·
|
Fund merger support services
|
·
|
Tax compliance, planning and advice services and related projects
|
(b)
|
The Committee has pre-approved those services, which fall into one of the categories of services listed under 2(a) above and for which the estimated fees are less than $25,000.
|
(c)
|
For services with estimated fees of $25,000 or more, but less than $50,000, the Chair is hereby authorized to pre-approve such services on behalf of the Committee.
|
(d)
|
For services with estimated fees of $50,000 or more, such services require pre-approval by the Committee.
|
(e)
|
The independent auditors or the Chief Accounting Officer of the Trust (or an officer of the Trust who reports to the Chief Accounting Officer) shall report to the Committee at each of its regular quarterly meetings all audit, audit-related and permissible non-audit services initiated since the last such report (unless the services were contained in the initial audit plan, as previously presented to, and approved by, the Committee). The report shall include a general description of the services and projected fees, and the means by which such services were approved by the Committee (including the particular category listed above under which pre-approval was obtained).
|
(a)
|
The Chair or any member of the Committee may grant the pre-approval for non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations and financial reporting of the Trust for which the estimated fees are less than $25,000. All such delegated pre-
|
|
approvals shall be presented to the Committee no later than the next Committee meeting.
|
(b)
|
For non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations and financial reporting of the Trust for which the estimated fees are $25,000 or more, such services require pre-approval by the Committee.
|
(a)
|
The Audit Committee was established as a separately designated standing audit committee in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The Audit Committee of the registrant is composed of: Randall C. Barnes; Ronald A. Nyberg; Ronald E. Toupin, Jr.; Robert B. Karn III; Donald A. Chubb; Jerry B. Farley; Maynard F. Oliverius; and Roman Friedrich III.
|
(b)
|
Not applicable.
|
Name
|
Since
|
Professional Experience During the Last Five Years
|
Scott Minerd - CIO
|
2007
|
Guggenheim Partners Investment Management, LLC.: CIO – 2005–Present; Guggenheim Partners, LLC: Managing Partner – Insurance Advisory – 1998–Present.
|
Anne Walsh, CFA, FLMI – Senior Managing Director and Assistant CIO
|
2007
|
Guggenheim Partners Investment Management, LLC.: Senior Managing Director and Assistant Chief Investment Officer – 2007–Present.
|
James E. Pass – Senior Managing Director, Municipals
|
2010
|
Guggenheim Partners Investment Management, LLC.: Senior Managing Director, Municipals – 2009–Present.
|
Type of Account
|
Number of
Accounts |
Total Assets in the
Accounts |
Number of Accounts In Which the Advisory Fee is Based on Performance
|
Total Assets in the Accounts In Which the Advisory Fee is Based on Performance
|
Registered investment companies
|
29
|
$11,041,360,102
|
0
|
|
Other pooled investment vehicles
|
69
|
$19,853,291,453
|
29
|
$11,613,866,732
|
Other accounts
|
147
|
$119,043,805,588
|
10
|
$1,091,860,715
|
Type of Account
|
Number of
Accounts |
Total Assets in the
Accounts |
Number of Accounts In Which the Advisory Fee is Based on Performance
|
Total Assets in the Accounts In Which the Advisory Fee is Based on Performance
|
Registered investment companies
|
23
|
$11,931,742,342
|
0
|
$0
|
Other pooled investment vehicles
|
2
|
$3,880,698,720
|
2
|
$3,880,698,720
|
Other accounts
|
29
|
$88,958,054,962
|
1
|
$340,727,688
|
Type of Account
|
Number of
Accounts
|
Total Assets in the Accounts
|
Number of Accounts In Which the Advisory Fee is Based on Performance
|
Total Assets in the Accounts In Which the Advisory Fee is Based on Performance
|
Registered investment companies
|
2
|
$583,590,391
|
0
|
$0
|
Other pooled investment vehicles
|
0
|
$0
|
0
|
$0
|
Other accounts
|
2
|
$213,541,249
|
0
|
$0
|
Name of Portfolio Manager
|
Dollar Amount of Equity
Securities in Fund
|
|
Scott Minerd
Anne Walsh
James Pass
|
None
$100,001-$500,000
$10,001 - $100,000
|