Investment Company Act file number
|
811-22437
|
Guggenheim Build America Bonds Managed Duration Trust
|
|
(Exact name of registrant as specified in charter)
|
|
227 West Monroe Street, Chicago, IL 60606
|
|
(Address of principal executive offices) (Zip code)
|
|
Amy J. Lee | |
227 West Monroe Street, Chicago, IL 60606
|
|
(Name and address of agent for service)
|
Guggenheim Build America Bonds Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2015
|
Shares
|
Value
|
||||
COMMON STOCKS†† - 0.0%**
|
|||||
Communications - 0.0%**
|
|||||
Cengage Learning Acquisitions, Inc.*
|
3,457
|
$
|
90,315
|
||
Basic Materials - 0.0%**
|
|||||
Mirabela Nickel Ltd.*
|
335,401
|
19,807
|
|||
Total Common Stocks
|
|||||
(Cost $196,350)
|
110,122
|
||||
PREFERRED STOCKS† - 1.2%
|
|||||
Industrial - 1.2%
|
|||||
Seaspan Corp.
|
|||||
9.50%1,2
|
200,000
|
4,976,000
|
|||
Financial - 0.0%**
|
|||||
WhiteHorse II Ltd.
|
|||||
due 06/15/17*,†††,2,3,4,5,6
|
200,000
|
20
|
|||
GSC Partners CDO Fund V Ltd.
|
|||||
due 11/20/16*,†††,3,4,5,6
|
475
|
–
|
|||
Total Financial
|
20
|
||||
Total Preferred Stocks
|
|||||
(Cost $5,020,709)
|
4,976,020
|
||||
Face
|
|||||
Amount
|
Value
|
||||
MONEY MARKET FUND† - 0.3%
|
|||||
Dreyfus Treasury Prime Cash Management Institutional Shares
|
$
|
1,052,170
|
1,052,170
|
||
Total Money Market Fund
|
|||||
(Cost $1,052,170)
|
1,052,170
|
||||
Face
|
|||||
Amount
|
Value
|
||||
MUNICIPAL BONDS†† - 111.0%
|
|||||
California - 23.0%
|
|||||
Los Angeles, California, Department of Water & Power Revenue, Taxable Build America Bonds7
|
|||||
7.00% due 07/01/41
|
10,000,000
|
11,876,300
|
|||
7.00% due 07/01/41
|
10,000,000
|
11,649,100
|
|||
Santa Ana Unified School District, California, General Obligation Bonds, Federal Taxable Build America Bonds7
|
|||||
7.10% due 08/01/40
|
7,755,000
|
10,064,284
|
|||
6.80% due 08/01/30
|
2,245,000
|
2,752,774
|
|||
California, General Obligation Bonds, Various Purpose, Taxable Build America Bonds7
|
|||||
7.70% due 11/01/30
|
10,000,000
|
12,137,401
|
|||
Oakland Unified School District, County of Alameda, California, Taxable General Obligation Bonds, Election of 2006,
Qualified School Construction Bonds, Series 2012B |
|||||
6.88% due 08/01/332
|
10,000,000
|
10,925,300
|
Face
Amount
|
Value
|
||||
MUNICIPAL BONDS†† - 111.0% (continued)
|
|||||
California - 23.0% (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
|
$ |
8,981,250
|
|
Riverside Community College District, Riverside County, California, Election of 2004 General Obligation Bonds, Taxable Build America Bonds7
|
|||||
7.02% due 08/01/40
|
5,000,000
|
5,827,500
|
|||
Metropolitan Water District, Southern California, Water Revenue Bonds, 2010 Authorization, Taxable Build America Bonds7
|
|||||
6.95% due 07/01/40
|
5,000,000
|
5,795,400
|
|||
Sonoma Valley Unified School District, General Obligation, Federally Taxable Bonds
|
|||||
7.12% due 08/01/282
|
3,330,000
|
3,783,679
|
|||
Culver City Redevelopment Agency, California, Taxable Tax Allocation Bonds, Culver City Redevelopment Project
|
|||||
8.00% due 11/01/20
|
3,000,000
|
3,296,970
|
|||
Monrovia Unified School District, Los Angeles County, California, Election of 2006 General Obligation Bonds, Build America Bonds, Federally Taxable7
|
|||||
7.25% due 08/01/282
|
1,025,000
|
1,208,260
|
|||
Cypress Elementary School District (Orange County, California), General Obligation Bonds, Direct Pay Qualified School Construction Bonds, 2008 Election
|
|||||
6.65% due 08/01/252
|
660,000
|
777,836
|
|||
6.05% due 08/01/212
|
340,000
|
381,701
|
|||
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 02/01/262
|
1,000,000
|
1,139,640
|
Guggenheim Build America Bonds Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2015
|
Face
Amount
|
Value
|
||||
MUNICIPAL BONDS†† - 111.0% (continued)
|
|||||
California - 23.0% (continued)
|
|||||
Alhambra Unified School District, Elementary Schools Improvement District, Los Angeles County, California, Election of 2008 General Obligation Bonds, Federally Taxable
|
|||||
6.70% due 02/01/262
|
$ |
500,000
|
$ |
598,140
|
|
Total California
|
91,195,535
|
||||
Illinois - 11.5%
|
|||||
Northern Illinois University, Auxiliary Facilities System Revenue Bonds, Build America Program, Taxable7
|
|||||
8.15% due 04/01/41
|
5,000,000
|
5,752,700
|
|||
7.95% due 04/01/352
|
4,500,000
|
5,148,945
|
|||
Chicago, Illinois, Second Lien Wastewater Transmission Revenue Project Bonds, Taxable Build America Bonds7
|
|||||
6.90% due 01/01/40
|
5,100,000
|
5,728,320
|
|||
Illinois, General Obligation Bonds, Taxable Build America Bonds7
|
|||||
7.35% due 07/01/35
|
5,000,000
|
5,360,150
|
|||
City of Chicago Illinois General Obligation Unlimited
|
|||||
6.26% due 01/01/40
|
3,575,000
|
2,907,119
|
|||
5.43% due 01/01/42
|
2,570,000
|
2,070,957
|
|||
Chicago, Illinois, Board of Education, Unlimited Tax General Obligation Bonds, Dedicated Revenues, Taxable Build America Bonds7
|
|||||
6.52% due 12/01/402
|
5,000,000
|
4,460,700
|
|||
County of Cook Illinois General Obligation Unlimited
|
|||||
6.23% due 11/15/342
|
4,210,000
|
4,343,500
|
|||
Southwestern Illinois, Development Authority, Taxable Local Government, Program Revenue Bonds, Flood Prevention District Council Project, Recovery Zone Economic Development Bonds
|
|||||
7.23% due 10/15/352
|
3,000,000
|
3,372,990
|
|||
Chicago, Illinois, Second Lien Water Revenue Bonds, Taxable Build America Bonds7
|
|||||
6.74% due 11/01/402
|
2,990,000
|
3,365,544
|
|||
Southwestern Illinois, Development Authority, Taxable Local Government, Program Revenue Bonds, Flood Prevention District Project, Build America Bonds7
|
|||||
7.03% due 04/15/322
|
2,000,000
|
2,167,140
|
Face
Amount
|
Value
|
||||
MUNICIPAL BONDS†† - 111.0% (continued)
|
|||||
Illinois - 11.5% (continued)
|
|||||
State of Illinois General Obligation Unlimited
|
|||||
6.63% due 02/01/35
|
$ |
930,000
|
$ |
957,193
|
|
6.73% due 04/01/35
|
200,000
|
207,018
|
|||
Total Illinois
|
45,842,276
|
||||
Washington - 10.1%
|
|||||
Washington State University, Housing and Dining System Revenue Bonds, Taxable Build America Bonds7
|
|||||
7.40% due 04/01/41
|
6,675,000
|
9,324,642
|
|||
7.10% due 04/01/32
|
3,325,000
|
4,278,776
|
|||
Public Hospital District No. 1, King County, Washington, Valley Medical Center, Hospital Facilities Revenue Bonds
|
|||||
8.00% due 06/15/402
|
5,800,000
|
6,772,602
|
|||
Washington State Convention Center Public Facilities District, Lodging Tax Bonds, Taxable Build America Bonds7
|
|||||
6.79% due 07/01/40
|
5,000,000
|
6,109,700
|
|||
Central Washington University, System Revenue Bonds, 2010, Taxable Build America Bonds7
|
|||||
6.50% due 05/01/302
|
5,000,000
|
5,980,700
|
|||
Anacortes, Washington, Utility System Improvement Revenue Bonds, Build America Bonds7
|
|||||
6.48% due 12/01/30
|
5,000,000
|
5,719,450
|
|||
Auburn, Washington, Utility System Revenue Bonds, Taxable Build America Bonds7
|
|||||
6.40% due 12/01/302
|
2,000,000
|
2,194,260
|
|||
Total Washington
|
40,380,130
|
||||
New Jersey - 6.3%
|
|||||
New Jersey Turnpike Authority Revenue Bonds
|
|||||
7.10% due 01/01/41
|
10,000,000
|
13,427,300
|
|||
Camden County Improvement Authority, Camden County, New Jersey, Lease Revenue Bonds, Cooper Medical School of Rowan University Project
|
|||||
7.75% due 07/01/342
|
8,000,000
|
9,254,480
|
|||
7.85% due 07/01/352
|
2,000,000
|
2,313,760
|
|||
Total New Jersey
|
24,995,540
|
||||
Indiana - 6.2%
|
|||||
Noblesville Multi-School Building Corporation, Hamilton County, Indiana, Taxable Unlimited Ad Valorem Property Tax First Mortgage Bonds, Build America Bonds7
|
|||||
6.50% due 07/15/30
|
10,000,000
|
11,562,200
|
Guggenheim Build America Bonds Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2015
|
Face
Amount
|
Value
|
||||
MUNICIPAL BONDS†† - 111.0% (continued)
|
|||||
Indiana - 6.2% (continued)
|
|||||
Evansville-Vanderburgh Independent School Building Corporation, Unlimited Taxable Ad Valorem Property Tax First Mortgage Bonds
|
|||||
6.50% due 01/15/302
|
$ |
8,690,000
|
$ |
10,192,675
|
|
Knox County, Indiana, Good Samaritan Hospital Project, Taxable Economic Development Revenue Bonds, Qualified Energy Conservation Bonds - Direct Payment, Series 2012B
|
|||||
5.90% due 04/01/342
|
2,920,000
|
3,088,250
|
|||
Total Indiana
|
24,843,125
|
||||
Texas - 6.1%
|
|||||
Dallas, Texas, Convention Center Hotel Development Corporation, Hotel Revenue Bonds, Taxable Build America Bonds7
|
|||||
7.09% due 01/01/422
|
10,000,000
|
12,754,200
|
|||
El Paso, Texas, Combination Tax and Revenue Certification of Obligation, Taxable Build America Bonds7
|
|||||
6.70% due 08/15/362
|
10,000,000
|
11,526,900
|
|||
Total Texas
|
24,281,100
|
||||
New York - 6.1%
|
|||||
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Taxable Build America Bonds7
|
|||||
6.55% due 11/15/31
|
5,000,000
|
6,262,300
|
|||
7.13% due 11/15/30
|
5,000,000
|
6,010,800
|
|||
Westchester County Health Care Corporation, Revenue Bonds, Taxable Build America Bonds7
|
|||||
8.57% due 11/01/40
|
10,000,000
|
11,949,600
|
|||
Total New York
|
24,222,700
|
||||
Michigan - 5.7%
|
|||||
Detroit, Michigan, School District, School Building and Site Bonds, Unlimited Tax General Obligation Bonds, Taxable Build America Bonds,7
|
|||||
6.85% due 05/01/402
|
5,000,000
|
5,190,349
|
|||
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 05/01/262
|
2,500,000
|
2,690,775
|
|||
6.50% due 05/01/292
|
2,000,000
|
2,142,900
|
Face
Amount
|
Value
|
||||
MUNICIPAL BONDS†† - 111.0% (continued)
|
|||||
Michigan - 5.7% (continued)
|
|||||
Fraser Public School District, Macomb County, Michigan, General Obligation Federally Taxable School Construction Bonds, 2011 School Building and Site Bonds
|
|||||
6.05% due 05/01/262
|
$ |
3,000,000
|
$ |
3,337,680
|
|
Detroit City School District General Obligation Unlimited
|
|||||
7.75% due 05/01/392
|
2,640,000
|
3,263,727
|
|||
Detroit, Michigan, School District, School Building and Site Bonds, Unlimited Tax General Obligation Bonds, Taxable Qualified School Construction Bonds
|
|||||
6.65% due 05/01/292
|
2,640,000
|
2,824,061
|
|||
City of Detroit Michigan Water Supply System Revenue Revenue Bonds
|
|||||
5.00% due 07/01/41
|
1,555,000
|
1,626,872
|
|||
Oakridge, Michigan, Public Schools, Unlimited Tax General Obligation Bonds
|
|||||
6.75% due 05/01/262
|
1,000,000
|
1,073,450
|
|||
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 05/01/262
|
415,000
|
449,798
|
|||
Total Michigan
|
22,599,612
|
||||
Florida - 4.2%
|
|||||
County of Miami-Dade Florida Transit System Revenue Bonds
|
|||||
6.91% due 07/01/392
|
10,000,000
|
11,203,900
|
|||
Orlando, Florida, Community Redevelopment Agency, Taxable Tax Increment Revenue Build America Bonds7
|
|||||
7.78% due 09/01/40
|
5,000,000
|
5,682,200
|
|||
Total Florida
|
16,886,100
|
||||
Pennsylvania - 4.2%
|
|||||
Pittsburgh, Pennsylvania, School District, Taxable Qualified School Construction Bonds
|
|||||
6.85% due 09/01/292
|
6,870,000
|
8,720,160
|
|||
Lebanon, Pennsylvania, Sewer Revenue Bonds, Taxable Build America Bonds7
|
|||||
7.14% due 12/15/352
|
4,865,000
|
5,487,185
|
Guggenheim Build America Bonds Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2015
|
Face
Amount
|
Value
|
||||
MUNICIPAL BONDS†† - 111.0% (continued)
|
|||||
Pennsylvania - 4.2% (continued)
|
|||||
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
|
$ |
2,447,092
|
|
Total Pennsylvania
|
16,654,437
|
||||
West Virginia - 3.6%
|
|||||
State of West Virginia, Higher Education Policy Commission, Revenue Bonds, Federally Taxable Build America Bonds 20107
|
|||||
7.65% due 04/01/40
|
10,000,000
|
14,316,000
|
|||
Ohio - 3.3%
|
|||||
American Municipal Power, Inc., Combined Hydroelectric Projects Revenue Bonds, New Clean Renewable Energy Bonds
|
|||||
7.33% due 02/15/28
|
5,000,000
|
6,385,749
|
|||
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Qualified School Construction Bonds
|
|||||
6.65% due 12/01/292
|
2,500,000
|
2,918,600
|
|||
Cuyahoga County, Ohio, Hospital Revenue Bonds, The Metrohealth System, Build America Bonds, Taxable7
|
|||||
8.22% due 02/15/402
|
1,950,000
|
2,376,095
|
|||
Toronto City School District, Ohio, Qualified School Construction Bonds General Obligation Bonds
|
|||||
7.00% due 12/01/28
|
1,230,000
|
1,327,084
|
|||
Total Ohio
|
13,007,528
|
||||
Colorado - 3.0%
|
|||||
Colorado, Building Excellent Schools Today, Certificates of Participation, Taxable Build America Bonds7
|
|||||
7.02% due 03/15/312
|
7,500,000
|
8,928,150
|
Face
Amount
|
Value
|
||||
MUNICIPAL BONDS†† - 111.0% (continued)
|
|||||
Colorado - 3.0% (continued)
|
|||||
Colorado, Building Excellent Schools Today, Certificates of Participation, Taxable Qualified School Construction
|
|||||
6.82% due 03/15/28
|
$ |
2,500,000
|
$ |
3,107,750
|
|
Total Colorado
|
12,035,900
|
||||
Vermont - 2.8%
|
|||||
Vermont State Colleges, Revenue Bonds, Taxable Build America Bonds7
|
|||||
7.21% due 07/01/402
|
7,500,000
|
8,552,925
|
|||
6.10% due 07/01/252
|
2,155,000
|
2,418,039
|
|||
Total Vermont
|
10,970,964
|
||||
Alabama - 2.7%
|
|||||
Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds7
|
|||||
7.20% due 09/01/382
|
5,000,000
|
5,405,250
|
|||
7.10% due 09/01/352
|
3,000,000
|
3,224,700
|
|||
7.25% due 09/01/402
|
2,000,000
|
2,174,660
|
|||
Total Alabama
|
10,804,610
|
||||
Nevada - 2.7%
|
|||||
Nevada System of Higher Education University, Revenue Bonds, Build America Bonds7
|
|||||
7.90% due 07/01/40
|
5,050,000
|
6,009,348
|
|||
7.60% due 07/01/30
|
1,500,000
|
1,776,180
|
|||
Clark County, Nevada, Airport Revenue Bonds, Build America Bonds7
|
|||||
6.88% due 07/01/422
|
1,425,000
|
1,613,585
|
|||
Las Vegas Valley Water District, Nevada, Limited Tax General Obligation Water Bonds, Taxable Build America Bonds7
|
|||||
7.10% due 06/01/392
|
1,200,000
|
1,363,920
|
|||
Total Nevada
|
10,763,033
|
||||
Louisiana - 2.4%
|
|||||
Orleans Parish, School Board of the Parish of Orleans, Louisiana
|
|||||
4.40% due 02/01/212
|
8,000,000
|
8,632,880
|
|||
Tangipahoa Parish Hospital Service District No. 1, Louisiana, Taxable Hospital Revenue Bonds, North Oaks Health System Project, Build America Bonds7
|
|||||
7.20% due 02/01/422
|
1,055,000
|
1,121,412
|
|||
Total Louisiana
|
9,754,292
|
||||
Mississippi - 2.0%
|
|||||
Medical Center Educational Building Corporation, Taxable Build America Bonds, University of Mississippi Medical Center Facilities Expansion and Renovation Project7
|
|||||
6.84% due 06/01/352
|
5,000,000
|
5,748,050
|
Guggenheim Build America Bonds Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2015
|
Face
Amount
|
Value
|
||||
MUNICIPAL BONDS†† - 111.0% (continued)
|
|||||
Mississippi - 2.0% (continued)
|
|||||
Mississippi, Hospital Equipment and Facilities Authority, Taxable Build America Revenue Bonds, Forrest County General Hospital Project7
|
|||||
7.27% due 01/01/32
|
$ |
1,000,000
|
$ |
1,083,640
|
|
7.39% due 01/01/40
|
905,000
|
980,730
|
|||
Total Mississippi
|
7,812,420
|
||||
South Carolina - 1.6%
|
|||||
Horry County, South Carolina, Taxable Airport Revenue Bonds, Recovery Zone Economic Development Bonds
|
|||||
7.33% due 07/01/402
|
5,000,000
|
6,448,150
|
|||
Georgia - 1.4%
|
|||||
Georgia Municipal Association, Inc., Certificates of Participation, DeKalb County Public Schools Project
|
|||||
5.21% due 12/01/222
|
5,000,000
|
5,566,450
|
|||
South Dakota - 0.9%
|
|||||
Pierre, South Dakota, Taxable Electric Revenue Bonds, Recovery Zone Economic Development Bonds
|
|||||
7.50% due 12/15/40
|
3,490,000
|
3,758,486
|
|||
Minnesota - 0.9%
|
|||||
St. Paul Housing & Redevelopment Authority, Federally Taxable Revenue Bonds
|
|||||
7.25% due 02/01/352
|
1,660,000
|
1,867,018
|
|||
7.50% due 02/01/402
|
1,540,000
|
1,750,472
|
|||
Total Minnesota
|
3,617,490
|
||||
Puerto Rico - 0.3%
|
|||||
Puerto Rico Electric Power Authority Revenue Bonds
|
|||||
5.25% due 07/01/32
|
1,000,000
|
855,120
|
|||
0.71% due 07/01/293
|
400,000
|
277,960
|
|||
Total Puerto Rico
|
1,133,080
|
||||
Total Municipal Bonds
|
|||||
(Cost $379,123,629)
|
441,888,958
|
||||
ASSET BACKED SECURITIES†† - 8.0%
|
|||||
Collateralized Loan Obligations - 6.0%
|
|||||
Churchill Financial Cayman Ltd.
|
|||||
2007-1A, 1.53% due 07/10/192,3,6
|
2,000,000
|
1,962,981
|
|||
2007-1A, 8.37% due 07/10/192,6
|
1,000,000
|
1,005,266
|
|||
2007-1A, 2.88% due 07/10/192,3,6
|
1,000,000
|
988,489
|
|||
KVK CLO Ltd.
|
|||||
2014-3A, 2.39% due 10/15/263,6
|
2,000,000
|
1,964,740
|
|||
2014-3A, 3.29% due 10/15/263,6
|
1,000,000
|
955,304
|
Face
Amount
|
Value
|
||||
ASSET BACKED SECURITIES†† - 8.0% (continued)
|
|||||
Collateralized Loan Obligations - 6.0% (continued)
|
|||||
THL Credit Wind River 2014-2 CLO Ltd.
|
|||||
2014-2A, 2.49% due 07/15/263,6
|
$ |
1,000,000
|
$ |
991,392
|
|
2014-2A, 3.49% due 07/15/263,6
|
750,000
|
736,539
|
|||
KKR Financial CLO 2007-1 Ltd.
|
|||||
2007-1A, 5.32% due 05/15/213,6
|
750,000
|
756,445
|
|||
2007-1A, 2.57% due 05/15/212,3,6
|
500,000
|
497,067
|
|||
Anchorage Capital CLO 2012-1 Ltd.
|
|||||
2012-1A, 2.80% due 01/13/252,3,6
|
1,000,000
|
986,836
|
|||
Atlas Senior Loan Fund IV Ltd.
|
|||||
2014-2A, 3.02% due 02/17/262,3,6
|
1,000,000
|
969,260
|
|||
Eastland CLO Ltd.
|
|||||
2007-1A, 0.63% due 05/01/222,3,6
|
550,000
|
525,160
|
|||
Marathon CLO VII Ltd.
|
|||||
2014-7A, 3.79% due 10/28/253,6
|
500,000
|
495,500
|
|||
Neuberger Berman CLO XV
|
|||||
2013-15A, 3.14% due 10/15/253,6
|
500,000
|
489,531
|
|||
Silver Spring CLO Ltd.
|
|||||
2014-1A, 2.34% due 10/15/263,6
|
500,000
|
484,363
|
|||
MCF CLO I LLC
|
|||||
2013-1A, 6.04% due 04/20/233,6
|
500,000
|
465,729
|
|||
Gramercy Park CLO Ltd.
|
|||||
2014-1AR, 4.32% due 07/17/232,3,6
|
250,000
|
249,995
|
|||
2012-1A, due 07/17/235,6
|
250,000
|
197,909
|
|||
CIFC Funding 2012-I Ltd.
|
|||||
2014-1AR, 3.37% due 08/14/243,6
|
400,000
|
396,660
|
|||
TICP CLO II Ltd.
|
|||||
2014-2A, 3.28% due 07/20/263,6
|
400,000
|
392,754
|
|||
Cratos CLO Ltd.
|
|||||
2007-1A, 1.43% due 05/19/212,3,6
|
300,000
|
294,783
|
|||
Regatta V Funding Ltd.
|
|||||
2014-1A, 3.45% due 10/25/263,6
|
250,000
|
251,844
|
|||
Monroe Capital CLO 2014-1 Ltd.
|
|||||
2014-1A, 3.85% due 10/22/263,6
|
250,000
|
249,849
|
|||
Race Point V CLO Ltd.
|
|||||
2014-5AR, 4.03% due 12/15/223,6
|
250,000
|
249,489
|
Guggenheim Build America Bonds Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2015
|
Face
Amount
|
Value
|
||||
ASSET BACKED SECURITIES†† - 8.0% (continued)
|
|||||
Collateralized Loan Obligations - 6.0% (continued)
|
|||||
Venture XII CLO Ltd.
|
|||||
2013-12A, 3.83% due 02/28/243,6
|
$ |
250,000
|
$ |
248,108
|
|
ALM VII R-2 Ltd.
|
|||||
2013-7R2A, 3.74% due 04/24/243,6
|
250,000
|
246,035
|
|||
CIFC Funding 2014-II Ltd.
|
|||||
2014-2A, 3.18% due 05/26/263,6
|
250,000
|
245,928
|
|||
Oaktree EIF II Series A2 Ltd.
|
|||||
2014-A2, 3.52% due 11/17/253,6
|
250,000
|
245,699
|
|||
Fortress Credit Opportunities V CLO Ltd.
|
|||||
2014-5A, 3.83% due 10/15/263,6
|
250,000
|
245,155
|
|||
Battalion Clo 2007-I Ltd.
|
|||||
2007-1A, 2.42% due 07/14/223,6
|
250,000
|
245,117
|
|||
Blue Hill CLO Ltd.
|
|||||
2013-1A, 3.28% due 01/15/263,6
|
250,000
|
244,829
|
|||
Ocean Trails CLO IV
|
|||||
2013-4A, 3.31% due 08/13/253,6
|
250,000
|
244,753
|
|||
Black Diamond CLO 2005-2 Delaware Corp.
|
|||||
2005-2A, 2.08% due 01/07/183,6
|
250,000
|
244,605
|
|||
ALM VII R Ltd.
|
|||||
2013-7RA, 3.74% due 04/24/243,6
|
250,000
|
243,854
|
|||
Golub Capital Partners CLO 21M Ltd.
|
|||||
2014-21A, 3.59% due 10/25/263,6
|
250,000
|
243,561
|
|||
NewStar Commercial Loan Funding 2013-1 LLC
|
|||||
2013-1A, 4.83% due 09/20/233,6
|
250,000
|
243,496
|
|||
Greywolf CLO III Ltd.
|
|||||
2014-1A, 3.14% due 04/22/263,6
|
250,000
|
243,463
|
|||
NewStar Arlington Senior Loan Program LLC
|
|||||
2014-1A, 3.59% due 07/25/253,6
|
250,000
|
241,826
|
|||
GoldenTree Loan Opportunities III Ltd.
|
|||||
2007-3A, 3.50% due 05/01/223,6
|
250,000
|
241,759
|
|||
Cerberus Onshore II CLO LLC
|
|||||
2014-1A, 4.29% due 10/15/233,6
|
250,000
|
239,467
|
|||
Golub Capital Partners CLO 18 Ltd.
|
|||||
2014-18A, 4.30% due 04/25/262,3,6
|
250,000
|
238,456
|
Face
Amount
|
Value
|
||||
ASSET BACKED SECURITIES†† - 8.0% (continued)
|
|||||
Collateralized Loan Obligations - 6.0% (continued)
|
|||||
Mountain Hawk I CLO Ltd.
|
|||||
2013-1A, 3.00% due 01/20/243,6
|
$ |
250,000
|
$ |
237,983
|
|
WhiteHorse VIII Ltd.
|
|||||
2014-1A, 3.04% due 05/01/263,6
|
250,000
|
234,219
|
|||
Rockwall CDO II Ltd.
|
|||||
2007-1A, 0.85% due 08/01/243,6
|
250,000
|
232,276
|
|||
Mountain Hawk II CLO Ltd.
|
|||||
2013-2A, 3.44% due 07/22/243,6
|
250,000
|
219,551
|
|||
Regatta Funding Ltd.
|
|||||
2007-1X, 3.58% due 06/15/203
|
200,000
|
199,888
|
|||
Gallatin CLO VII 2014-1 Ltd.
|
|||||
2014-1A, 4.04% due 07/15/232,3,6
|
200,000
|
195,997
|
|||
Katonah IX CLO Ltd.
|
|||||
2006-9A, 1.02% due 01/25/192,3,6
|
200,000
|
195,663
|
|||
CIFC Funding 2007-I Ltd.
|
|||||
2007-1A, 1.81% due 05/10/213,6
|
200,000
|
193,104
|
|||
CIFC Funding 2013-II Ltd.
|
|||||
2013-2A, 3.88% due 04/21/253,6
|
200,000
|
189,924
|
|||
Carlyle Global Market Strategies CLO 2012-3 Ltd.
|
|||||
2012-3A, due 10/04/242,5,6
|
250,000
|
185,731
|
|||
Finn Square CLO Ltd.
|
|||||
2012-1A, due 12/24/235,6
|
250,000
|
183,858
|
|||
Atlas Senior Loan Fund II Ltd.
|
|||||
2012-2A, due 01/30/242,5,6
|
250,000
|
180,526
|
|||
Great Lakes CLO 2012-1 Ltd.
|
|||||
2012-1A, due 01/15/232,5,6
|
250,000
|
164,913
|
|||
ARES XXV CLO Ltd.
|
|||||
2013-3A, due 01/17/242,5,6
|
250,000
|
139,777
|
|||
ARES XXVI CLO Ltd.
|
|||||
2013-1A, due 04/15/252,5,6
|
250,000
|
135,842
|
|||
West CLO 2013-1 Ltd.
|
|||||
2013-1A, due 11/07/255,6
|
250,000
|
129,285
|
Guggenheim Build America Bonds Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2015
|
Face
Amount
|
Value
|
||||
ASSET BACKED SECURITIES†† - 8.0% (continued)
|
|||||
Collateralized Loan Obligations - 6.0% (continued)
|
|||||
BlackRock Senior Income Series Corp.
|
|||||
2004-1A, due 09/15/16†††,2,4,5,6
|
$ |
100,000
|
$ |
–
|
|
Total Collateralized Loan Obligations
|
23,722,533
|
||||
Collateralized Debt Obligations - 2.0%
|
|||||
Putnam Structured Product Funding 2003-1 Ltd.
|
|||||
2008-1A, 0.65% due 10/15/382,3,6
|
1,931,941
|
1,870,179
|
|||
Gramercy Real Estate CDO 2007-1 Ltd.
|
|||||
2007-1A, 0.60% due 08/15/563,6
|
1,824,044
|
1,675,478
|
|||
N-Star REL CDO VIII Ltd.
|
|||||
2006-8A, 0.55% due 02/01/412,3,6
|
1,500,000
|
1,386,072
|
|||
SRERS-2011 Funding Ltd.
|
|||||
2011-RS, 0.44% due 05/09/463,6
|
784,909
|
758,373
|
|||
ACRE Commercial Mortgage Trust
|
|||||
2014-FL2, 2.68% due 08/15/312,3,6
|
500,000
|
497,227
|
|||
Highland Park CDO I Ltd.
|
|||||
2006-1A, 0.66% due 11/25/512,3,6
|
292,240
|
278,152
|
|||
2006-1A, 0.73% due 11/25/513,6
|
250,000
|
169,612
|
|||
Putnam Structured Product CDO 2002-1 Ltd.
|
|||||
2002-1A, 0.87% due 01/10/382,3,6
|
370,043
|
346,900
|
|||
Pasadena CDO Ltd.
|
|||||
2002-1A, 1.13% due 06/19/373,6
|
338,953
|
328,578
|
|||
DIVCORE CLO Ltd.
|
|||||
2013-1A B, 4.09% due 11/15/322
|
250,000
|
249,375
|
|||
Wrightwood Capital Real Estate CDO 2005-1 Ltd.
|
|||||
2005-1A, 0.76% due 11/21/403,6
|
250,000
|
236,884
|
|||
Diversified Asset Securitization Holdings II, LP
|
|||||
2000-1X, 0.78% due 09/15/353
|
24,496
|
24,001
|
|||
Total Collateralized Debt Obligations
|
7,820,831
|
||||
Transportation - 0.0%**
|
|||||
Raspro Trust
|
|||||
2005-1A, 0.68% due 03/23/242,3,6
|
72,254
|
70,809
|
Face
Amount
|
Value
|
||||
ASSET BACKED SECURITIES†† - 8.0% (continued)
|
|||||
Transportation - 0.0%** (continued)
|
|||||
Bush Truck Leasing LLC
|
|||||
2011-AA, 5.00% due 09/25/182,6
|
$ |
21,607
|
$ |
20,180
|
|
Total Transportation
|
90,989
|
||||
Credit Cards - 0.0%**
|
|||||
Credit Card Pass-Through Trust
|
|||||
2012-BIZ, 0.00% due 12/15/491,2,6
|
96,395
|
79,189
|
|||
Total Credit Cards
|
79,189
|
||||
Insurance - 0.0%**
|
|||||
Insurance Note Capital VII
|
|||||
2005-1R1A, 0.48% due 06/09/332,3,6
|
56,400
|
53,016
|
|||
Total Asset Backed Securities
|
|||||
(Cost $30,845,370)
|
31,766,558
|
||||
SENIOR FLOATING RATE INTERESTS††,3 - 4.3%
|
|||||
Industrial - 1.0%
|
|||||
NVA Holdings, Inc.
|
|||||
4.75% due 08/14/21
|
595,511
|
594,768
|
|||
NaNa Development Corp.
|
|||||
8.00% due 03/15/18
|
550,000
|
525,250
|
|||
Transdigm, Inc.
|
|||||
3.75% due 06/04/21
|
495,000
|
489,431
|
|||
Multiplan, Inc.
|
|||||
3.75% due 03/31/21
|
418,224
|
412,670
|
|||
Hunter Defense Technologies
|
|||||
6.50% due 08/05/19†††,4
|
385,000
|
377,441
|
|||
Sabre, Inc.
|
|||||
4.00% due 02/19/19
|
293,497
|
292,816
|
|||
Data Device Corp.
|
|||||
7.00% due 07/15/20
|
292,500
|
290,306
|
|||
Goodpack Ltd.
|
|||||
4.75% due 09/09/21
|
299,250
|
289,524
|
|||
Element Materials Technology
|
|||||
5.00% due 08/06/21
|
271,553
|
271,213
|
|||
Amber Bidco Foster + Partners
|
|||||
4.28% due 06/30/21†††,4
|
250,000
|
245,805
|
|||
SIRVA Worldwide, Inc.
|
|||||
7.50% due 03/27/19
|
237,282
|
236,095
|
|||
SI Organization
|
|||||
5.75% due 11/22/19
|
176,475
|
175,868
|
|||
Hunter Fan Co.
|
|||||
6.50% due 12/20/17
|
87,831
|
86,953
|
|||
Total Industrial
|
4,288,140
|
||||
Technology - 1.0%
|
|||||
TIBCO Software, Inc.
|
|||||
6.50% due 12/04/20
|
696,500
|
694,542
|
|||
Greenway Medical Technologies
|
|||||
6.00% due 11/04/20
|
640,250
|
633,848
|
|||
Aspect Software, Inc.
|
|||||
7.25% due 05/09/16
|
557,253
|
551,218
|
|||
Advanced Computer Software
|
|||||
6.50% due 03/18/22
|
497,500
|
496,256
|
|||
EIG Investors Corp.
|
|||||
5.00% due 11/08/19
|
439,299
|
438,201
|
|||
First Data Corp.
|
|||||
3.70% due 03/23/18
|
350,000
|
347,085
|
Guggenheim Build America Bonds Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2015
|
Face
Amount
|
Value
|
||||
SENIOR FLOATING RATE INTERESTS††,3 - 4.3% (continued)
|
|||||
Technology - 1.0% (continued)
|
|||||
GlobalLogic Holdings, Inc.
|
|||||
6.25% due 05/31/19
|
$ |
344,094
|
$ |
343,234
|
|
Quorum Business Solutions
|
|||||
5.75% due 08/06/21
|
218,900
|
217,258
|
|||
Wall Street Systems
|
|||||
4.50% due 04/30/21
|
209,239
|
208,281
|
|||
Total Technology
|
3,929,923
|
||||
Consumer, Non-cyclical - 0.7%
|
|||||
Albertson's (Safeway) Holdings LLC
|
|||||
5.50% due 08/25/21
|
798,000
|
797,801
|
|||
American Seafoods Group LLC / American Seafoods Finance, Inc.
|
|||||
6.00% due 08/19/21
|
500,000
|
497,500
|
|||
Taxware Holdings
|
|||||
7.50% due 04/01/22†††,4
|
500,000
|
495,253
|
|||
Post Holdings
|
|||||
3.75% due 06/02/21
|
353,135
|
352,400
|
|||
American Tire Distributors, Inc.
|
|||||
5.25% due 09/24/21
|
297,100
|
297,843
|
|||
Targus Group International, Inc.
|
|||||
14.75% due 05/24/16
|
313,889
|
241,961
|
|||
ABG Intermediate Holdings 2 LLC
|
|||||
5.50% due 05/27/21
|
98,750
|
98,338
|
|||
Total Consumer, Non-cyclical
|
2,781,096
|
||||
Communications - 0.6%
|
|||||
Cengage Learning Acquisitions, Inc.
|
|||||
7.00% due 03/31/20
|
990,000
|
987,684
|
|||
Avaya, Inc.
|
|||||
6.50% due 03/30/18
|
529,867
|
454,170
|
|||
6.25% due 05/29/20
|
290,510
|
271,264
|
|||
Zayo Group LLC
|
|||||
3.75% due 05/06/21
|
485,042
|
481,933
|
|||
Univision Communications, Inc.
|
|||||
4.00% due 03/01/20
|
98,959
|
98,199
|
|||
Total Communications
|
2,293,250
|
||||
Consumer, Cyclical - 0.5%
|
|||||
Ceridian Corp.
|
|||||
4.50% due 09/15/20
|
716,066
|
689,034
|
|||
Fitness International LLC
|
|||||
5.50% due 07/01/20
|
495,000
|
471,488
|
|||
Neiman Marcus Group, Inc.
|
|||||
4.25% due 10/25/20
|
246,867
|
243,979
|
|||
BJ's Wholesale Club, Inc.
|
|||||
4.50% due 09/26/19
|
198,161
|
197,263
|
|||
Minimax Viking
|
|||||
4.00% due 08/14/20
|
149,250
|
148,784
|
|||
Container Store, Inc.
|
|||||
4.25% due 04/06/19
|
79,670
|
78,674
|
|||
J. Crew Group, Inc.
|
|||||
4.00% due 03/05/21
|
98,997
|
76,641
|
Face
Amount
|
Value
|
||||
SENIOR FLOATING RATE INTERESTS††,3 - 4.3% (continued)
|
|||||
Consumer, Cyclical - 0.5% (continued)
|
|||||
CKX Entertainment, Inc.
|
|||||
11.00% due 06/21/17†††
|
$ |
73,800
|
$ |
32,472
|
|
Total Consumer, Cyclical
|
1,938,335
|
||||
Financial - 0.5%
|
|||||
Magic Newco, LLC
|
|||||
5.00% due 12/12/18
|
970,024
|
969,616
|
|||
12.00% due 06/12/19
|
100,000
|
108,550
|
|||
Safe-Guard
|
|||||
6.25% due 08/19/21
|
552,643
|
553,334
|
|||
Cunningham Lindsey U.S., Inc.
|
|||||
9.25% due 06/10/20
|
155,909
|
140,318
|
|||
Expert Global Solutions
|
|||||
8.50% due 04/03/18
|
102,371
|
101,732
|
|||
Total Financial
|
1,873,550
|
||||
Energy - 0.0%**
|
|||||
PSS Companies
|
|||||
5.50% due 01/28/20
|
197,451
|
161,910
|
|||
Total Senior Floating Rate Interests
|
|||||
(Cost $17,494,710)
|
17,266,204
|
||||
CORPORATE BONDS†† - 2.6%
|
|||||
Basic Materials - 0.6%
|
|||||
Yamana Gold, Inc.
|
|||||
4.95% due 07/15/24
|
3,000,000
|
2,701,097
|
|||
TPC Group, Inc.
|
|||||
8.75% due 12/15/206
|
238,000
|
213,010
|
|||
Mirabela Nickel Ltd.
|
|||||
9.50% due 06/24/19†††,4
|
87,781
|
63,729
|
|||
1.00% due 09/10/44†††,4
|
1,899
|
–
|
|||
Total Basic Materials
|
2,977,836
|
||||
Consumer, Non-cyclical - 0.6%
|
|||||
Tufts Medical Center, Inc.
|
|||||
7.00% due 01/01/38
|
1,500,000
|
1,696,761
|
|||
ADT Corp.
|
|||||
6.25% due 10/15/212
|
200,000
|
206,500
|
|||
KeHE Distributors LLC / KeHE Finance Corp.
|
|||||
7.63% due 08/15/216
|
100,000
|
106,000
|
|||
Bumble Bee Holdings, Inc.
|
|||||
9.00% due 12/15/176
|
100,000
|
102,850
|
|||
American Seafoods Group LLC / American Seafoods Finance, Inc.
|
|||||
10.75% due 05/15/168
|
100,000
|
100,000
|
|||
Total Consumer, Non-cyclical
|
2,212,111
|
||||
Financial - 0.5%
|
|||||
SunTrust Banks, Inc.
|
|||||
5.63% due 12/31/491,3
|
1,000,000
|
1,002,500
|
|||
Columbia Property Trust Operating Partnership LP
|
|||||
5.88% due 04/01/18
|
750,000
|
811,866
|
Guggenheim Build America Bonds Managed Duration Trust
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
August 31, 2015
|
Face
Amount
|
Value
|
||||
CORPORATE BONDS†† - 2.6% (continued)
|
|||||
Financial - 0.5% (continued)
|
|||||
Jefferies Finance LLC / JFIN Company-Issuer Corp.
|
|||||
7.38% due 04/01/206
|
$ |
125,000
|
$ |
122,213
|
|
Total Financial
|
1,936,579
|
||||
Energy - 0.3%
|
|||||
Antero Resources Corp.
|
|||||
5.63% due 06/01/236
|
600,000
|
545,999
|
|||
5.38% due 11/01/21
|
100,000
|
92,000
|
|||
Schahin II Finance Company SPV Ltd.
|
|||||
5.88% due 09/25/226
|
651,500
|
212,552
|
|||
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
|
|||||
7.50% due 07/01/21
|
200,000
|
200,000
|
|||
FTS International, Inc.
|
|||||
7.78% due 06/15/203,6
|
100,000
|
75,488
|
|||
Total Energy
|
1,126,039
|
||||
Industrial - 0.3%
|
|||||
Dynagas LNG Partners Limited Partnership / Dynagas Finance, Inc.
|
|||||
6.25% due 10/30/19
|
800,000
|
680,000
|
|||
Tempel Steel Co.
|
|||||
12.00% due 08/15/166
|
250,000
|
228,750
|
|||
CEVA Group plc
|
|||||
7.00% due 03/19/216
|
225,000
|
208,125
|
|||
Total Industrial
|
1,116,875
|
||||
Communications - 0.2%
|
|||||
SITEL LLC / Sitel Finance Corp.
|
|||||
11.00% due 08/01/172,6
|
500,000
|
515,625
|
|||
Avaya, Inc.
|
|||||
7.00% due 04/01/196
|
150,000
|
134,625
|
|||
Total Communications
|
650,250
|
||||
Consumer, Cyclical - 0.1%
|
|||||
Checkers Drive-In Restaurants, Inc.
|
|||||
11.00% due 12/01/176
|
150,000
|
160,875
|
Face
|
|||||
Amount
|
Value
|
||||
CORPORATE BONDS†† - 2.6% (continued)
|
|||||
Consumer, Cyclical - 0.1% (continued)
|
|||||
PF Chang's China Bistro, Inc.
|
|||||
10.25% due 06/30/202,6
|
$ |
125,000
|
$
|
125,000
|
|
Atlas Air 1999-1 Class A-1 Pass Through Trust
|
|||||
7.20% due 01/02/192
|
31,548
|
32,022
|
|||
Total Consumer, Cyclical
|
317,897
|
||||
Technology - 0.0%**
|
|||||
Aspect Software, Inc.
|
|||||
10.63% due 05/15/172
|
180,000
|
158,850
|
|||
Total Corporate Bonds
|
|||||
(Cost $11,075,800)
|
10,496,437
|
||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 0.4%
|
|||||
Residential Mortgage Backed Securities - 0.4%
|
|||||
LSTAR Securities Investment Trust
|
|||||
2014-1, 3.28% due 09/01/213,6
|
924,778
|
924,500
|
|||
Nomura Resecuritization Trust
|
|||||
2012-1R, 0.77% due 08/27/472,3,6
|
482,709
|
455,098
|
|||
Structured Asset Mortgage Investments II Trust 2006-AR1
|
|||||
2006-AR1, 0.43% due 02/25/363
|
32,390
|
27,829
|
|||
Total Residential Mortgage Backed Securities
|
1,407,427
|
||||
Total Collateralized Mortgage Obligation
|
|||||
(Cost $1,396,272)
|
1,407,427
|
||||
Total Investments - 127.8%
|
|||||
(Cost $446,205,010)
|
$
|
508,963,896
|
|||
Other Assets & Liabilities, net - (27.8)%
|
(110,664,907)
|
||||
Total Net Assets - 100.0%
|
|
$
|
398,298,989
|
*
|
Non-income producing security.
|
**
|
Less than 0.1%
|
†
|
Value determined based on Level 1 inputs, unless otherwise noted —See Note 2.
|
††
|
Value determined based on Level 2 inputs, unless otherwise noted —See Note 2.
|
†††
|
Value determined based on Level 3 inputs —See Note 2.
|
1
|
Perpetual maturity.
|
2
|
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 August 31, 2015, the total market value of the segregated or earmarked securities was $221,075,602.
|
3
|
Variable rate security. Rate indicated is rate effective at August 31, 2015.
|
4
|
Security was fair valued by the Valuation Committee at August 31, 2015. The total market value of fair valued securities amounts to $1,182,248, (cost $1,523,221) or 0.3% of total net assets.
|
5
|
Security has no stated coupon. However, it is expected to receive residual cashflow payments on deal defined payment dates.
|
6
|
Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $35,424,024 (cost $35,561,795), or 8.9% of total net assets. These securities have been determined to be liquid under guildelines established by the Board of Trustees.
|
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 $100,000 (cost $100,011), or less than 0.1% of total net assets-see Note 6.
|
plc
|
Public Limited Company
|
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
|
1.
|
Significant Accounting Policies
|
2.
|
Fair Value Measurement
|
Level 1
|
Level 2
|
Level 3
|
|
|||||||||||||
Investments
|
Investments
|
Investments
|
||||||||||||||
In Securities
|
In Securities
|
In Securities
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Municipal Bonds
|
$ | - | $ | 441,888,958 | $ | - | $ | 441,888,958 | ||||||||
Asset Backed Securities
|
- | 31,766,558 | - | 31,766,558 | ||||||||||||
Senior Floating Rate Interests
|
- | 16,115,233 | 1,150,971 | 17,266,204 | ||||||||||||
Corporate Bonds
|
- | 10,432,708 | 63,729 | 10,496,437 | ||||||||||||
Preferred Stocks
|
4,976,000 | - | 20 | 4,976,020 | ||||||||||||
Collateralized Mortgage Obligations
|
- | 1,407,427 | - | 1,407,427 | ||||||||||||
Money Market Fund
|
1,052,170 | - | - | 1,052,170 | ||||||||||||
Common Stocks
|
- | 110,122 | - | 110,122 | ||||||||||||
Forward Foreign Currency Exchange Contracts
|
- | 705 | - | 705 | ||||||||||||
Total Assets
|
$ | 6,028,170 | $ | 501,721,711 | $ | 1,214,720 | $ | 508,964,601 | ||||||||
Liabilities
|
||||||||||||||||
Swap Agreements
|
$ | - | $ | 439,587 | $ | - | $ | 439,587 | ||||||||
Total Liabilities
|
$ | - | $ | 439,587 | $ | - | $ | 439,587 |
Category
|
Ending Balance at 8/31/15
|
Valuation Technique
|
Unobservable Inputs
|
Senior Floating Rate Interests
|
$1,118,499
|
Enterprise Value
|
Valuation Multiple*
|
Senior Floating Rate Interests
|
32,472
|
Option adjusted spread off the month
end broker quote over the 3 month LIBOR
|
Indicative Quote
|
Corporate Bonds
|
63,729
|
Model Price
|
Market Yield
|
Asset
Backed
Securities
|
Senior
Floating Rate
Interests
|
Corporate
Bonds
|
Preferred
Stocks
|
Total
|
||||||||||||||||
Assets:
|
||||||||||||||||||||
Beginning Balance
|
$ | 92,811 | $ | 740,663 | $ | 83,800 | $ | - | $ | 917,274 | ||||||||||
Paydowns received
|
(10,416 | ) | - | - | - | (10,416 | ) | |||||||||||||
Change in Unrealized Gain/Loss
|
(3,206 | ) | 395 | (24,052 | ) | - | (26,863 | ) | ||||||||||||
Purchases
|
- | - | 3,981 | - | 3,981 | |||||||||||||||
Transfers into Level 3
|
- | 409,913 | - | 20 | 409,933 | |||||||||||||||
Transfers out of Level 3
|
(79,189 | ) | - | - | - | (79,189 | ) | |||||||||||||
Ending Balance
|
$ | - | $ | 1,150,971 | $ | 63,729 | $ | 20 | $ | 1,214,720 |
3.
|
Federal Income Taxes
|
Cost of
Investments for
Tax Purposes
|
Gross Tax
Unrealized
Appreciation
|
Gross Tax
Unrealized
Depreciation
|
Net Tax Unrealized
Appreciation
|
$445,439,129
|
$66,783,899
|
$(3,259,132)
|
$63,524,767
|
4.
|
Swaps
|
Counterparty
|
Termination Date
|
Notional Amount ($000)
|
Pay Fixed Rate
|
Receive Floating Rate
|
Unrealized Depreciation
|
Bank of America
|
10/16/2019
|
$ 57,000
|
1.6440%
|
3 Month LIBOR
|
$ (434,833)
|
Bank of America
|
10/17/2019
|
$ 25,000
|
1.4605%
|
3 Month LIBOR
|
(4,754)
|
$ (439,587)
|
5.
|
Forward Foreign Currency Exchange Contracts
|
Contracts to Sell
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value as of 8/31/15
|
Net Unrealized
Appreciation
|
||
AUD
|
30,500
|
||||||
for USD
|
22,397
|
The Bank of New York Mellon
|
9/9/2015
|
$ 22,397
|
$21,692
|
$ 705
|
|
Total unrealized appreciation for forward foreign currency exchange contracts
|
$705
|
6.
|
Restricted Securities
|
Restricted Securities
|
Acquisition Date
|
Cost
|
Value
|
American Seafoods Group LLC / American Seafoods Finance, Inc.
10.75% due 05/15/16
|
07/31/14
|
$100,011
|
$100,000
|
|
(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 of 1940, as amended) as of a date within 90 days of the filing date of this report and have concluded, based on such evaluation, 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 on this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
|
|
(b)
|
There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act, as amended) that occurred during the registrant’s last fiscal quarter that has materially affected or is reasonably likely to materially affect the registrant’s internal control over financial reporting.
|