|
Investment Company Act file number
|
811-22437
|
|
GBAB Guggenheim Build America Bonds Managed Duration Trust
|
|||||||||
|
Portfolio of Investments
|
|||||||||
|
August 31, 2013 (unaudited)
|
|||||||||
|
Optional
|
|||||||||
|
Principal
|
Call
|
||||||||
|
Amount
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||
|
Long-Term Investments - 131.6%
|
|||||||||
|
Municipal Bonds - 111.2%
|
|||||||||
|
Alabama - 2.8%
|
|||||||||
|
3,000,000
|
Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds, (Assured GTY)(a) (m)
|
AA-
|
7.100%
|
09/01/2035
|
09/01/20 @ 100
|
3,238,110
|
|||
|
5,000,000
|
Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds, (Assured GTY)(a) (m)
|
AA-
|
7.200%
|
09/01/2038
|
09/01/20 @ 100
|
5,416,350
|
|||
|
2,000,000
|
Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds, (Assured GTY)(a) (m)
|
AA-
|
7.250%
|
09/01/2040
|
09/01/20 @ 100
|
2,169,840
|
|||
|
|
10,824,300
|
||||||||
|
|
|
||||||||
|
|
California - 22.6%
|
|
|||||||
|
500,000
|
Alhambra Unified School District, Elementary Schools Improvement District, Los Angeles County, California, Election of 2008 General Obligation Bonds, Federally Taxable, Series B-1(m)
|
A+
|
6.700%
|
02/01/2026
|
N/A
|
549,590
|
|||
|
10,000,000
|
California, General Obligation Bonds, Various Purpose, Taxable Build America Bonds(a)
|
A
|
7.700%
|
11/01/2030
|
11/01/20 @ 100
|
11,570,400
|
|||
|
3,000,000
|
Culver City Redevelopment Agency, California, Taxable Tax Allocation Bonds, Culver City Redevelopment Project, Series 2011B(m)
|
A
|
8.000%
|
11/01/2020
|
N/A
|
3,169,710
|
|||
|
340,000
|
Cypress Elementary School District (Orange County, California), General Obligation Bonds, Direct Pay Qualified School Construction Bonds, 2008 Election, Series B-2(m)
|
AA-
|
6.050%
|
08/01/2021
|
N/A
|
361,671
|
|||
|
660,000
|
Cypress Elementary School District (Orange County, California), General Obligation Bonds, Direct Pay Qualified School Construction Bonds, 2008 Election, Series B-2(m)
|
AA-
|
6.650%
|
08/01/2025
|
N/A
|
703,514
|
|||
|
7,500,000
|
Long Beach Unified School District, California, Qualified School Construction Bonds, Federally Taxable, Election of 2008, General Obligation Bonds, Series B-1(m)
|
AA-
|
5.914%
|
08/01/2025
|
N/A
|
8,627,025
|
|||
|
10,000,000
|
Los Angeles, California, Department of Water & Power Revenue, Taxable Build America Bonds(a)
|
AA-
|
7.000%
|
07/01/2041
|
07/01/21 @ 100
|
11,522,500
|
|||
|
10,000,000
|
Los Angeles, California, Department of Water & Power Revenue, Taxable Build America Bonds(a)
|
AA
|
7.003%
|
07/01/2041
|
07/01/20 @ 100
|
10,977,300
|
|||
|
5,000,000
|
Metropolitan Water District, Southern California, Water Revenue Bonds, 2010 Authorization, Taxable Build America Bonds, Series A(a)
|
AAA
|
6.947%
|
07/01/2040
|
07/01/20 @ 100
|
5,662,550
|
|||
|
1,025,000
|
Monrovia Unified School District, Los Angeles County, California, Election of 2006 General Obligation Bonds, Build America Bonds, Federally Taxable, Series C-1(a) (m)
|
A+
|
7.250%
|
08/01/2028
|
N/A
|
1,168,766
|
|||
|
10,000,000
|
Oakland Unified School District, County of Alameda, California, Taxable General Obligation Bonds, Election of 2006, Qualified School Construction Bonds, Series 2012B(l) (m)
|
NR
|
6.877%
|
08/01/2033
|
08/01/22 @ 100
|
9,558,700
|
|||
|
1,000,000
|
Placentia-Yorba Linda Unified School District (Orange County, California), General Obligation Bonds, Federally Taxable Direct-Pay Qualified School Construction Bonds, Election of 2008, Series E(m)
|
AA-
|
5.400%
|
02/01/2026
|
N/A
|
1,017,980
|
|||
|
5,000,000
|
Riverside Community College District, Riverside County, California, Election of 2004 General Obligation Bonds, Taxable Build America Bonds, Series 2010 D-1(a)
|
AA
|
7.021%
|
08/01/2040
|
08/01/20 @ 100
|
5,489,900
|
|||
|
2,245,000
|
Santa Ana Unified School District, California, General Obligation Bonds, Federal Taxable Build America Bonds(a)
|
Aa3
|
6.800%
|
08/01/2030
|
N/A
|
2,575,374
|
|||
|
7,755,000
|
Santa Ana Unified School District, California, General Obligation Bonds, Federal Taxable Build America Bonds(a)
|
Aa3
|
7.100%
|
08/01/2040
|
N/A
|
9,224,728
|
|||
|
3,330,000
|
Sonoma Valley Unified School District, General Obligation, Federally Taxable Bonds(a) (m)
|
AA-
|
7.123%
|
08/01/2028
|
08/01/20 @ 100
|
3,544,985
|
|||
|
|
85,724,693
|
||||||||
|
|
|
||||||||
|
|
Colorado - 2.9%
|
|
|||||||
|
7,500,000
|
Colorado, Building Excellent Schools Today, Certificates of Participation, Taxable Build America Bonds, Series 2010E(a)
|
AA-
|
7.017%
|
03/15/2031
|
03/15/21 @ 100
|
8,262,675
|
|||
|
2,500,000
|
Colorado, Building Excellent Schools Today, Certificates of Participation, Taxable Qualified School Construction, Series 2010-D
|
AA-
|
6.817%
|
03/15/2028
|
N/A
|
2,965,475
|
|||
|
|
11,228,150
|
||||||||
|
|
|
||||||||
|
|
Florida - 4.3%
|
|
|||||||
|
10,000,000
|
Miami-Dade County, Florida, Transit Sales Surtax Revenue, Taxable Build America Bonds, Series B(a) (m)
|
AA
|
6.910%
|
07/01/2039
|
07/01/19 @ 100
|
10,849,000
|
|||
|
5,000,000
|
Orlando, Florida, Community Redevelopment Agency, Taxable Tax Increment Revenue Build America Bonds, Series 2010B(a) (m)
|
A
|
7.784%
|
09/01/2040
|
09/01/20 @ 100
|
5,339,450
|
|||
|
|
16,188,450
|
||||||||
|
|
|
||||||||
|
|
Georgia - 1.3%
|
|
|||||||
|
5,000,000
|
Georgia Municipal Association, Inc., Certificates of Participation, DeKalb County Public Schools Project, (AGM)(m)
|
AA-
|
5.210%
|
12/01/2022
|
N/A
|
5,067,850
|
|||
|
|
|
||||||||
|
|
Illinois - 12.3%
|
|
|||||||
|
5,000,000
|
Chicago, Illinois, Board of Education, Unlimited Tax General Obligation Bonds, Dedicated Revenues, Taxable Build America Bonds, Series 2010D(a) (m)
|
A+
|
6.519%
|
12/01/2040
|
N/A
|
5,044,150
|
|||
|
5,100,000
|
Chicago, Illinois, Second Lien Wastewater Transmission Revenue Project Bonds, Taxable Build America Bonds, Series 2010B(a)
|
A+
|
6.900%
|
01/01/2040
|
N/A
|
5,914,266
|
|||
|
2,990,000
|
Chicago, Illinois, Second Lien Water Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (m)
|
AA-
|
6.742%
|
11/01/2040
|
N/A
|
3,346,079
|
|||
|
5,000,000
|
Illinois, General Obligation Bonds, Taxable Build America Bonds, Series 2010-5(a)
|
A-
|
7.350%
|
07/01/2035
|
N/A
|
5,275,550
|
|||
|
7,140,000
|
Northern Illinois Municipal Power Agency, Power Project Taxable Revenue Bonds, Prairie State Project Build America Bonds(a) (m)
|
A2
|
7.620%
|
01/01/2030
|
N/A
|
7,868,709
|
|||
|
2,860,000
|
Northern Illinois Municipal Power Agency, Power Project Taxable Revenue Bonds, Prairie State Project Build America Bonds(a)
|
A2
|
7.820%
|
01/01/2040
|
N/A
|
3,131,814
|
|||
|
4,500,000
|
Northern Illinois University, Auxiliary Facilities System Revenue Bonds, Build America Program, Taxable, Series 2010, (AGM)(a) (m)
|
A2
|
7.947%
|
04/01/2035
|
04/01/20 @ 100
|
5,101,020
|
|||
|
5,000,000
|
Northern Illinois University, Auxiliary Facilities System Revenue Bonds, Build America Program, Taxable, Series 2010, (AGM) (a)
|
A2
|
8.147%
|
04/01/2041
|
04/01/20 @ 100
|
5,722,350
|
|||
|
3,000,000
|
Southwestern Illinois, Development Authority, Taxable Local Government, Program Revenue Bonds, Flood Prevention District Council Project, Recovery Zone Economic Development Bonds, Series 2010C(m)
|
AA
|
7.230%
|
10/15/2035
|
04/15/20 @ 100
|
3,202,410
|
|||
|
2,000,000
|
Southwestern Illinois, Development Authority, Taxable Local Government, Program Revenue Bonds, Flood Prevention District Project, Build America Bonds, Series 2010-B(a) (m)
|
AA
|
7.030%
|
04/15/2032
|
04/15/20 @ 100
|
2,054,040
|
|||
|
|
46,660,388
|
||||||||
|
|
|
||||||||
|
|
Indiana - 6.5%
|
|
|||||||
|
8,690,000
|
Evansville-Vanderburgh Independent School Building Corporation, Unlimited Taxable Ad Valorem Property Tax First Mortgage Bonds, Series 2010E
|
AA+
|
6.500%
|
01/15/2030
|
07/15/20 @ 100
|
10,035,125
|
|||
|
3,000,000
|
Knox County, Indiana, Good Samaritan Hospital Project, Taxable Economic Development Revenue Bonds, Qualified Energy Conservation Bonds - Direct Payment, Series 2012B(m)
|
A3
|
5.900%
|
04/01/2034
|
N/A
|
2,915,400
|
|||
|
10,000,000
|
Noblesville Multi-School Building Corporation, Hamilton County, Indiana, Taxable Unlimited Ad Valorem Property Tax First Mortgage Bonds, Build America Bonds, Series 2010(a)
|
AA+
|
6.500%
|
07/15/2030
|
01/15/21 @ 100
|
11,618,400
|
|||
|
|
24,568,925
|
||||||||
|
|
|
||||||||
|
|
Louisiana - 2.5%
|
|
|||||||
|
8,000,000
|
Orleans Parish, School Board of the Parish of Orleans, Louisiana, (AGM)(m)
|
AA-
|
4.400%
|
02/01/2021
|
N/A
|
8,309,520
|
|||
|
1,055,000
|
Tangipahoa Parish Hospital Service District No. 1, Louisiana, Taxable Hospital Revenue Bonds, North Oaks Health System Project, Build America Bonds, Series 2009A, (Assured GTY)(a)
|
AA-
|
7.200%
|
02/01/2042
|
02/01/20 @ 100
|
1,112,350
|
|||
|
|
9,421,870
|
||||||||
|
|
|
||||||||
|
|
Michigan - 4.9%
|
|
|||||||
|
415,000
|
Comstock Park Public Schools, Kent County, Michigan, 2011 School Building and Site Bonds, General Obligation - Unlimited Tax, Federally Taxable - Qualified School Construction Bonds - Direct Payment, Series A(m)
|
AA-
|
6.300%
|
05/01/2026
|
05/01/21 @ 100
|
433,484
|
|||
|
2,640,000
|
Detroit, Michigan, School District, Build America Bonds(a) (m)
|
AA-
|
7.747%
|
05/01/2039
|
N/A
|
2,731,291
|
|||
|
5,000,000
|
Detroit, Michigan, School District, School Building and Site Bonds, Unlimited Tax General Obligation Bonds, Taxable Build America Bonds,, Series 2010B(a)
|
AA-
|
6.845%
|
05/01/2040
|
05/01/20 @ 100
|
5,070,250
|
|||
|
1,640,000
|
Detroit, Michigan, School District, School Building and Site Bonds, Unlimited Tax General Obligation Bonds, Taxable Qualified School Construction Bonds, Series 2010A(m)
|
AA-
|
6.645%
|
05/01/2029
|
N/A
|
1,619,549
|
|||
|
3,000,000
|
Fraser Public School District, Macomb County, Michigan, General Obligation Federally Taxable School Construction Bonds, 2011 School Building and Site Bonds, Series B(m)
|
AA-
|
6.050%
|
05/01/2026
|
05/01/21 @ 100
|
3,129,150
|
|||
|
1,000,000
|
Oakridge, Michigan, Public Schools, Unlimited Tax General Obligation Bonds(m)
|
AA-
|
6.750%
|
05/01/2026
|
05/01/20 @ 100
|
1,044,010
|
|||
|
2,500,000
|
Whitehall District Schools, Muskegon County, Michigan, 2010 School Building and Site Bonds, General Obligation, Unlimited Tax Bonds, Taxable Qualified School Construction Bonds, Series A(m)
|
AA-
|
6.100%
|
05/01/2026
|
05/01/20 @ 100
|
2,584,150
|
|||
|
2,000,000
|
Whitehall District Schools, Muskegon County, Michigan, 2010 School Building and Site Bonds, General Obligation, Unlimited Tax Bonds, Taxable Qualified School Construction Bonds, Series A(m)
|
AA-
|
6.500%
|
05/01/2029
|
05/01/20 @ 100
|
2,068,620
|
|||
|
|
18,680,504
|
||||||||
|
|
|
||||||||
|
|
Minnesota - 0.9%
|
|
|||||||
|
1,660,000
|
St. Paul Housing & Redevelopment Authority, Federally Taxable Revenue Bonds(l) (m)
|
AA
|
7.250%
|
02/01/2035
|
02/01/21 @ 100
|
1,742,386
|
|||
|
1,540,000
|
St. Paul Housing & Redevelopment Authority, Federally Taxable Revenue Bonds(l) (m)
|
AA
|
7.500%
|
02/01/2040
|
02/01/21 @ 100
|
1,613,904
|
|||
|
|
3,356,290
|
||||||||
|
|
|
||||||||
|
|
Mississippi - 1.9%
|
|
|||||||
|
5,000,000
|
Medical Center Educational Building Corporation, Taxable Build America Bonds, University of Mississippi Medical Center Facilities Expansion and Renovation Project, Series 2010A(a) (m)
|
AA-
|
6.842%
|
06/01/2035
|
06/01/20 @ 100
|
5,241,850
|
|||
|
1,000,000
|
Mississippi, Hospital Equipment and Facilities Authority, Taxable Build America Revenue Bonds, Forrest County General Hospital Project, Series 2010(a) (m)
|
A2
|
7.265%
|
01/01/2032
|
01/01/20 @ 100
|
1,026,560
|
|||
|
905,000
|
Mississippi, Hospital Equipment and Facilities Authority, Taxable Build America Revenue Bonds, Forrest County General Hospital Project, Series 2010(a) (m)
|
A2
|
7.390%
|
01/01/2040
|
01/01/20 @ 100
|
921,752
|
|||
|
|
7,190,162
|
||||||||
|
|
|
||||||||
|
|
Nevada - 2.7%
|
|
|||||||
|
1,425,000
|
Clark County, Nevada, Airport Revenue Bonds, Build America Bonds, Series B(a) (m)
|
AA-
|
6.881%
|
07/01/2042
|
07/01/19 @ 100
|
1,539,926
|
|||
|
1,200,000
|
Las Vegas Valley Water District, Nevada, Limited Tax General Obligation Water Bonds, Taxable Build America Bonds, Series 2009A(a) (m)
|
AA+
|
7.100%
|
06/01/2039
|
06/01/19 @ 100
|
1,306,824
|
|||
|
1,500,000
|
Nevada System of Higher Education University, Revenue Bonds, Build America Bonds(a)
|
AA-
|
7.600%
|
07/01/2030
|
07/01/20 @ 100
|
1,675,515
|
|||
|
5,050,000
|
Nevada System of Higher Education University, Revenue Bonds, Build America Bonds(a) (m)
|
AA-
|
7.900%
|
07/01/2040
|
07/01/20 @ 100
|
5,671,150
|
|||
|
|
10,193,415
|
||||||||
|
|
|
||||||||
|
|
New Jersey - 6.1%
|
|
|||||||
|
8,000,000
|
Camden County Improvement Authority, Camden County, New Jersey, Lease Revenue Bonds, Cooper Medical School of Rowan University Project, Series 2010A(m)
|
A+
|
7.747%
|
07/01/2034
|
07/01/20 @ 100
|
8,461,440
|
|||
|
2,000,000
|
Camden County Improvement Authority, Camden County, New Jersey, Lease Revenue Bonds, Cooper Medical School of Rowan University Project, Series 2010A(m)
|
A+
|
7.847%
|
07/01/2035
|
07/01/20 @ 100
|
2,121,680
|
|||
|
10,000,000
|
New Jersey Turnpike Authority, Turnpike Revenue Bonds, Federally Taxable Issuer Subsidy, Build America Bonds, Series 2010A(a)
|
A+
|
7.102%
|
01/01/2041
|
N/A
|
12,505,600
|
|||
|
|
23,088,720
|
||||||||
|
|
|
||||||||
|
|
New York - 5.9%
|
|
|||||||
|
5,000,000
|
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Taxable Build America Bonds, Series 2010E(a)
|
A
|
7.134%
|
11/15/2030
|
11/15/20 @ 100
|
5,703,950
|
|||
|
5,000,000
|
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Taxable Build America Bonds, Series 2010B-1(a)
|
A
|
6.548%
|
11/15/2031
|
N/A
|
5,734,350
|
|||
|
10,000,000
|
Westchester County Health Care Corporation, Revenue Bonds, Taxable Build America Bonds, Series 2010(a) (l) (m)
|
BBB
|
8.572%
|
11/01/2040
|
N/A
|
10,963,000
|
|||
|
|
22,401,300
|
||||||||
|
|
|
||||||||
|
|
Ohio - 5.2%
|
|
|||||||
|
5,000,000
|
American Municipal Power, Inc., Combined Hydroelectric Projects Revenue Bonds, New Clean Renewable Energy Bonds, Series 2010C(m)
|
A
|
7.334%
|
02/15/2028
|
N/A
|
5,778,350
|
|||
|
1,950,000
|
Cuyahoga County, Ohio, Hospital Revenue Bonds, The Metrohealth System, Build America Bonds, Taxable, Series 2009B(a) (m)
|
A-
|
8.223%
|
02/15/2040
|
N/A
|
2,180,939
|
|||
|
2,500,000
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Build America Bonds, Series 2010A(a) (m)
|
AA
|
6.900%
|
12/01/2034
|
12/01/20 @ 100
|
2,583,300
|
|||
|
2,500,000
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Build America Bonds, Series 2010A(a) (m)
|
AA
|
7.150%
|
12/01/2039
|
12/01/20 @ 100
|
2,578,175
|
|||
|
2,500,000
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Build America Bonds, Series 2010A(a) (m)
|
AA
|
7.300%
|
12/01/2043
|
12/01/20 @ 100
|
2,577,725
|
|||
|
2,500,000
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Qualified School Construction Bonds, Series 2010B(m)
|
AA
|
6.650%
|
12/01/2029
|
12/01/20 @ 100
|
2,664,325
|
|||
|
1,230,000
|
Toronto City School District, Ohio, Qualified School Construction Bonds General Obligation Bonds(m)
|
AA
|
7.000%
|
12/01/2028
|
12/01/20 @ 100
|
1,291,881
|
|||
|
|
19,654,695
|
||||||||
|
|
|
||||||||
|
|
Pennsylvania - 4.3%
|
|
|||||||
|
4,865,000
|
Lebanon, Pennsylvania, Sewer Revenue Bonds, Taxable Build America Bonds, Series B of 2010(a) (m)
|
A+
|
7.140%
|
12/15/2035
|
06/15/20 @ 100
|
5,131,456
|
|||
|
7,500,000
|
Pittsburgh, Pennsylvania, School District, Taxable Qualified School Construction Bonds, Series D(m)
|
A
|
6.850%
|
09/01/2029
|
N/A
|
8,499,900
|
|||
|
2,500,000
|
School District of Philadelphia, Pennsylvania, General Obligation Bonds, Series 2011A, Qualified School Construction Bonds - (Federally Taxable - Direct Subsidy)(m)
|
A+
|
5.995%
|
09/01/2030
|
N/A
|
2,577,075
|
|||
|
|
16,208,431
|
||||||||
|
|
|
||||||||
|
|
South Carolina - 1.4%
|
|
|||||||
|
5,000,000
|
Horry County, South Carolina, Taxable Airport Revenue Bonds, Recovery Zone Economic Development Bonds, Series 2010B(l) (m)
|
A-
|
7.328%
|
07/01/2040
|
N/A
|
5,321,150
|
|||
|
|
|
||||||||
|
|
South Dakota - 1.0%
|
|
|||||||
|
3,490,000
|
Pierre, South Dakota, Taxable Electric Revenue Bonds, Recovery Zone Economic Development Bonds, Series 2010C(m)
|
A2
|
7.500%
|
12/15/2040
|
12/15/19 @ 100
|
3,685,615
|
|||
|
|
|
||||||||
|
|
Texas - 6.1%
|
|
|||||||
|
10,000,000
|
Dallas, Texas, Convention Center Hotel Development Corporation, Hotel Revenue Bonds, Taxable Build America Bonds, Series 2009B(a) (m)
|
A+
|
7.088%
|
01/01/2042
|
N/A
|
11,491,800
|
|||
|
10,000,000
|
El Paso, Texas, Combination Tax and Revenue Certification of Obligation, Taxable Build America Bonds, Series 2010B(a)
|
AA
|
6.700%
|
08/15/2036
|
08/15/20 @ 100
|
11,573,400
|
|||
|
|
23,065,200
|
||||||||
|
|
|
||||||||
|
|
Vermont - 2.7%
|
|
|||||||
|
2,155,000
|
Vermont State Colleges, Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (m)
|
A+
|
6.101%
|
07/01/2025
|
07/01/20 @ 100
|
2,224,262
|
|||
|
7,500,000
|
Vermont State Colleges, Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (m)
|
A+
|
7.211%
|
07/01/2040
|
07/01/20 @ 100
|
8,002,650
|
|||
|
|
10,226,912
|
||||||||
|
|
|
||||||||
|
|
Washington - 9.5%
|
|
|||||||
|
5,000,000
|
Anacortes, Washington, Utility System Improvement Revenue Bonds, Build America Bonds, Series 2010B(a) (m)
|
AA-
|
6.479%
|
12/01/2030
|
12/01/20 @ 100
|
5,314,200
|
|||
|
2,000,000
|
Auburn, Washington, Utility System Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (m)
|
AA
|
6.396%
|
12/01/2030
|
12/01/20 @ 100
|
2,159,340
|
|||
|
5,000,000
|
Central Washington University, System Revenue Bonds, 2010, Taxable Build America Bonds, Series B(a) (m)
|
A1
|
6.500%
|
05/01/2030
|
N/A
|
5,217,850
|
|||
|
5,800,000
|
Public Hospital District No. 1, King County, Washington, Valley Medical Center, Hospital Facilities Revenue Bonds, Series 2010B(m)
|
BBB+
|
8.000%
|
06/15/2040
|
06/15/20 @ 100
|
6,185,700
|
|||
|
5,000,000
|
Washington State Convention Center Public Facilities District, Lodging Tax Bonds, Taxable Build America Bonds, Series 2010B(a)
|
A+
|
6.790%
|
07/01/2040
|
N/A
|
5,529,500
|
|||
|
3,325,000
|
Washington State University, Housing and Dining System Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (m)
|
A+
|
7.099%
|
04/01/2032
|
N/A
|
3,823,251
|
|||
|
6,675,000
|
Washington State University, Housing and Dining System Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (m)
|
A+
|
7.399%
|
04/01/2041
|
N/A
|
7,806,947
|
|||
|
|
36,036,788
|
||||||||
|
|
|
||||||||
|
|
West Virginia - 3.3%
|
|
|||||||
|
10,000,000
|
State of West Virginia, Higher Education Policy Commission, Revenue Bonds, Federally Taxable Build America Bonds 2010, Series B(a)
|
A+
|
7.650%
|
04/01/2040
|
N/A
|
12,494,600
|
|||
|
|
|
||||||||
|
|
Wyoming - 0.1%
|
|
|||||||
|
500,000
|
Sweetwater County, Wyoming, Hospital Revenue Refunding Bonds (Memorial Hospital Project), Series 2013A(l) (m)
|
BBB
|
5.000%
|
09/01/2030
|
09/01/23 @ 100
|
480,085
|
|||
|
|
|
||||||||
|
|
Total Municipal Bonds - 111.2%
|
|
|||||||
|
|
(Cost $383,404,617)
|
421,768,493
|
|||||||
|
|
|
||||||||
|
|
Corporate Bonds - 6.9%
|
|
|||||||
|
|
Advertising - 0.1%
|
|
|||||||
|
375,000
|
Sitel, LLC / Sitel Finance Corp.(b) (m)
|
B
|
11.000%
|
08/01/2017
|
08/01/14 @ 106
|
397,500
|
|||
|
|
|
||||||||
|
|
Airlines - 1.1%
|
|
|||||||
|
122,463
|
Atlas Air 1999-1 Pass-Through Trust, Series 1999-1, Class A-1(l) (m)
|
NR
|
7.200%
|
01/02/2019
|
N/A
|
129,199
|
|||
|
1,811,762
|
Atlas Air 2000-1 Class A Pass Through Trust, Series 2000-1, Class A(l) (m)
|
NR
|
8.707%
|
01/02/2019
|
N/A
|
1,924,997
|
|||
|
2,000,000
|
Delta Air Lines 2011-1 Class B Pass-Through Trust, Series 2011-1, Class B(m)
|
BB+
|
7.125%
|
10/15/2014
|
N/A
|
2,035,000
|
|||
|
|
4,089,196
|
||||||||
|
|
|
||||||||
|
|
Chemicals - 0.1%
|
|
|||||||
|
350,000
|
TPC Group, Inc.(b) (m)
|
B
|
8.750%
|
12/15/2020
|
12/15/16 @ 104
|
357,000
|
|||
|
|
|
||||||||
|
|
Commercial Services - 0.0% ***
|
|
|||||||
|
100,000
|
ServiceMaster Co.
|
CCC+
|
7.000%
|
08/15/2020
|
08/15/15 @ 105
|
91,500
|
|||
|
|
|
||||||||
|
|
Computers - 0.0% ***
|
|
|||||||
|
30,000
|
Stream Global Services, Inc.
|
B+
|
11.250%
|
10/01/2014
|
10/15/13 @ 100
|
30,037
|
|||
|
|
|
||||||||
|
|
Distribution & Wholesale - 0.1%
|
|
|||||||
|
300,000
|
INTCOMEX, Inc.(m)
|
CCC
|
13.250%
|
12/15/2014
|
12/15/13 @ 100
|
292,500
|
|||
|
|
|
||||||||
|
|
Diversified Financial Services - 0.2%
|
|
|||||||
|
125,000
|
Jefferies Finance, LLC / JFIN Co.-Issuer Corp.(b) (m)
|
B+
|
7.375%
|
04/01/2020
|
04/01/16 @ 106
|
123,750
|
|||
|
200,000
|
Jefferies Group, Inc.(m)
|
BBB
|
6.875%
|
04/15/2021
|
N/A
|
222,323
|
|||
|
200,000
|
KCG Holdings, Inc.(b)
|
B
|
8.250%
|
06/15/2018
|
06/15/15 @ 104
|
196,500
|
|||
|
31,200
|
LCP Dakota Fund(l) (m)
|
NR
|
10.000%
|
08/17/2015
|
N/A
|
31,200
|
|||
|
140,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.(m)
|
B+
|
9.625%
|
05/01/2019
|
05/01/15 @ 107
|
156,800
|
|||
|
|
730,573
|
||||||||
|
|
|
||||||||
|
|
Engineering & Construction - 0.6%
|
|
|||||||
|
2,224,334
|
Alion Science and Technology Corp.(c)
|
B-
|
12.000%
|
11/01/2014
|
04/01/14 @ 100
|
2,257,699
|
|||
|
|
|
||||||||
|
|
Entertainment - 0.7%
|
|
|||||||
|
1,600,000
|
Diamond Resorts Corp.(m)
|
B-
|
12.000%
|
08/15/2018
|
08/15/14 @ 106
|
1,776,000
|
|||
|
870,000
|
WMG Acquisition Corp.
|
B
|
11.500%
|
10/01/2018
|
10/01/14 @ 109
|
1,002,675
|
|||
|
65,000
|
Yonkers Racing Corp.(b) (m)
|
B+
|
11.375%
|
07/15/2016
|
07/15/14 @ 103
|
68,819
|
|||
|
|
2,847,494
|
||||||||
|
|
|
||||||||
|
|
Food - 0.0% ***
|
|
|||||||
|
100,000
|
KeHE Distributors, LLC / KeHE Finance Corp.(b)
|
B
|
7.625%
|
08/15/2021
|
08/15/17 @ 104
|
101,625
|
|||
|
|
|
||||||||
|
|
Health Care Services - 0.1%
|
|
|||||||
|
325,000
|
OnCure Holdings, Inc.(g) (m)
|
NR
|
11.750%
|
05/15/2017
|
05/15/14 @ 106
|
156,000
|
|||
|
211,503
|
Symbion, Inc.(h) (m)
|
CCC+
|
11.750%
|
08/23/2015
|
10/15/13 @ 100
|
208,859
|
|||
|
150,000
|
Symbion, Inc.(m)
|
B
|
8.000%
|
06/15/2016
|
06/15/14 @ 104
|
157,500
|
|||
|
|
522,359
|
||||||||
|
|
|
||||||||
|
|
Healthcare-Services - 0.4%
|
|
|||||||
|
1,500,000
|
Tufts Medical Center, Inc.
|
BBB
|
7.000%
|
01/01/2038
|
N/A
|
1,468,305
|
|||
|
|
|
||||||||
|
|
Internet - 0.8%
|
|
|||||||
|
3,000,000
|
GXS Worldwide, Inc.(m)
|
B
|
9.750%
|
06/15/2015
|
06/15/14 @ 100
|
3,086,250
|
|||
|
|
|
||||||||
|
|
Leisure Time - 0.0% ***
|
|
|||||||
|
75,000
|
Sabre, Inc.(b) (m)
|
B
|
8.500%
|
05/15/2019
|
05/15/15 @ 106
|
80,813
|
|||
|
|
|
||||||||
|
|
Lodging - 0.2%
|
|
|||||||
|
70,000
|
Caesars Entertainment Operating Co., Inc.(m)
|
B-
|
8.500%
|
02/15/2020
|
02/15/16 @ 104
|
66,850
|
|||
|
565,000
|
Caesars Entertainment Operating Co., Inc.(m)
|
B-
|
9.000%
|
02/15/2020
|
02/15/16 @ 105
|
542,400
|
|||
|
|
609,250
|
||||||||
|
|
|
||||||||
|
|
Machinery-Diversified - 0.1%
|
|
|||||||
|
250,000
|
Tempel Steel Co.(b) (m)
|
B-
|
12.000%
|
08/15/2016
|
02/15/14 @ 109
|
238,125
|
|||
|
|
|
||||||||
|
|
Media - 0.2%
|
|
|||||||
|
520,000
|
Baker & Taylor Acquisitions Corp.(b) (m)
|
CCC
|
15.000%
|
04/01/2017
|
10/01/14 @ 108
|
405,600
|
|||
|
200,000
|
Expo Event Transco, Inc.(b)
|
Caa2
|
9.000%
|
06/15/2021
|
06/15/16 @ 105
|
197,000
|
|||
|
|
602,600
|
||||||||
|
|
|
||||||||
|
|
Mining - 0.1%
|
|
|||||||
|
30,000
|
Horsehead Holding Corp.(b)
|
B-
|
10.500%
|
06/01/2017
|
06/01/15 @ 105
|
32,100
|
|||
|
400,000
|
Midwest Vanadium Pty Ltd. (Australia)(b) (m)
|
CCC
|
11.500%
|
02/15/2018
|
02/15/15 @ 106
|
288,000
|
|||
|
150,000
|
Mirabela Nickel Ltd. (Australia)(b) (l) (m)
|
B-
|
8.750%
|
04/15/2018
|
04/15/15 @ 104
|
104,250
|
|||
|
|
424,350
|
||||||||
|
|
|
||||||||
|
|
Oil & Gas - 0.2%
|
|
|||||||
|
600,000
|
Midstates Petroleum Co., Inc. / Midstates Petroleum Co. LLC(b) (m)
|
B-
|
10.750%
|
10/01/2020
|
10/01/16 @ 105
|
609,000
|
|||
|
200,000
|
Summit Midstream Holdings, LLC / Summit Midstream Finance Corp.(b)
|
B
|
7.500%
|
07/01/2021
|
07/01/16 @ 106
|
203,000
|
|||
|
|
812,000
|
||||||||
|
|
|
||||||||
|
|
Oil & Gas Services - 0.1%
|
|
|||||||
|
200,000
|
Exterran Holdings, Inc.(m)
|
BB
|
7.250%
|
12/01/2018
|
12/01/13 @ 105
|
212,000
|
|||
|
|
|
||||||||
|
|
Packaging & Containers - 0.1%
|
|
|||||||
|
300,000
|
Pretium Packaging, LLC / Pretium Finance, Inc.(m)
|
B-
|
11.500%
|
04/01/2016
|
04/01/14 @ 106
|
321,000
|
|||
|
|
|
||||||||
|
|
Pharmaceuticals - 0.0% ***
|
|
|||||||
|
180,000
|
VPII Escrow Corp. (Canada)(b)
|
B
|
6.750%
|
08/15/2018
|
08/15/15 @ 105
|
190,575
|
|||
|
|
|
||||||||
|
|
Pipelines - 0.2%
|
|
|||||||
|
275,000
|
Penn Virginia Resource Partners, LP / Penn Virginia Resource Finance Corp. I(m)
|
B-
|
8.250%
|
04/15/2018
|
04/15/14 @ 104
|
284,625
|
|||
|
200,000
|
Penn Virginia Resource Partners, LP / Penn Virginia Resource Finance Corp. II(m)
|
B-
|
8.375%
|
06/01/2020
|
06/01/16 @ 104
|
208,000
|
|||
|
|
492,625
|
||||||||
|
|
Real Estate Investment Trusts - 0.2%
|
|
|||||||
|
750,000
|
Columbia Property Trust Operating Partnership, LP(m)
|
BBB-
|
5.875%
|
04/01/2018
|
N/A
|
781,857
|
|||
|
|
|
||||||||
|
|
Retail - 0.4%
|
|
|||||||
|
150,000
|
Checkers Drive-In Restaurants, Inc.(b) (m)
|
B-
|
11.000%
|
12/01/2017
|
06/01/15 @ 108
|
160,500
|
|||
|
980,000
|
GRD Holdings III Corp.(b) (m)
|
B
|
10.750%
|
06/01/2019
|
06/01/15 @ 108
|
1,043,700
|
|||
|
125,000
|
Wok Acquisition Corp.(b) (m)
|
CCC
|
10.250%
|
06/30/2020
|
06/30/16 @ 105
|
138,750
|
|||
|
|
1,342,950
|
||||||||
|
|
|
||||||||
|
|
Software - 0.2%
|
|
|||||||
|
290,000
|
Aspect Software, Inc.(m)
|
CCC+
|
10.625%
|
05/15/2017
|
05/15/14 @ 105
|
290,725
|
|||
|
200,000
|
Eagle Midco, Inc.(b) (h)
|
CCC+
|
9.000%
|
06/15/2018
|
12/15/14 @ 102
|
200,000
|
|||
|
400,000
|
Infor US, Inc.(m)
|
B-
|
11.500%
|
07/15/2018
|
07/15/15 @ 106
|
464,000
|
|||
|
|
954,725
|
||||||||
|
|
|
||||||||
|
|
Textiles - 0.0% ***
|
|
|||||||
|
140,000
|
Empire Today, LLC / Empire Today Finance Corp.(b)
|
B
|
11.375%
|
02/01/2017
|
02/01/14 @ 106
|
104,300
|
|||
|
|
|
||||||||
|
|
Transportation - 0.7%
|
|
|||||||
|
43,422
|
Atlas Air, Inc.(b) (l) (m)
|
NR
|
8.707%
|
01/02/2019
|
N/A
|
46,136
|
|||
|
985,000
|
CEVA Group PLC (United Kingdom)(b) (m)
|
CCC+
|
8.375%
|
12/01/2017
|
12/01/13 @ 106
|
982,538
|
|||
|
1,450,000
|
Marquette Transportation Co. / Marquette Transportation Finance Corp.(m)
|
B-
|
10.875%
|
01/15/2017
|
01/15/14 @ 105
|
1,544,250
|
|||
|
|
2,572,924
|
||||||||
|
|
|
||||||||
|
|
Total Corporate Bonds - 6.9%
|
|
|||||||
|
|
(Cost $25,464,628)
|
26,012,132
|
|||||||
|
|
|
||||||||
|
|
Asset Backed Securities - 5.8%
|
|
|||||||
|
|
Automobile - 0.0% ***
|
|
|||||||
|
26,438
|
Bush Truck Leasing, LLC, Series 2011-AA, Class C(b) (m)
|
NR
|
5.000%
|
09/25/2018
|
N/A
|
26,308
|
|||
|
|
|
||||||||
|
|
Collateralized Debt Obligation - 1.7%
|
|
|||||||
|
182,403
|
Cedarwoods, Series 2006-1A, Class A1(b)
|
B
|
0.454%
|
07/25/2051
|
N/A
|
146,762
|
|||
|
87,569
|
Diversified Asset Securitization Holdings II LP, Series 1X, Class A1L (Cayman Islands)(d)
|
BBB+
|
0.763%
|
09/15/2035
|
N/A
|
84,394
|
|||
|
20,764
|
G-Star 2003-3 Ltd., Series 2003-3A, Class A1 (Cayman Islands)(b) (d) (m)
|
BBB-
|
0.842%
|
03/13/2038
|
N/A
|
20,509
|
|||
|
184,544
|
Highland Park CDO Ltd., Series 2006-1A, Class A1 (Cayman Islands)(b) (d) (m)
|
B+
|
0.592%
|
11/25/2051
|
N/A
|
155,585
|
|||
|
149,568
|
Independence I CDO Ltd., Series 1A, Class A (Cayman Islands)(b) (d) (m)
|
BB+
|
0.682%
|
12/30/2030
|
N/A
|
147,199
|
|||
|
1,000,000
|
N-Star REL CDO VIII Ltd., Series 2006-8A, Class A2(b) (d) (k) (m)
|
B1
|
0.542%
|
02/01/2041
|
N/A
|
760,650
|
|||
|
4,655,366
|
Putnam Structured Product, Series 2003-1A, Class A1LB(b) (d) (m)
|
CCC
|
0.634%
|
10/15/2038
|
N/A
|
4,338,522
|
|||
|
625,686
|
Putnam Structured Product CDO, Series 2002-1A, Class A2 (Cayman Islands)(b) (d) (m)
|
CCC+
|
0.862%
|
01/10/2038
|
N/A
|
575,055
|
|||
|
|
6,228,676
|
||||||||
|
|
|
||||||||
|
|
Collateralized Loan Obligation - 2.5%
|
|
|||||||
|
250,000
|
Ares XXV CLO Ltd., Series 2012-3A (Cayman Islands)(b) (i)
|
NR
|
0.000%
|
01/17/2024
|
N/A
|
204,997
|
|||
|
250,000
|
ARES XXVI CLO Ltd., Series 2013-1A (Cayman Islands)(b) (i) (k) (m)
|
NR
|
0.000%
|
04/15/2025
|
N/A
|
206,320
|
|||
|
250,000
|
Atlas Senior Loan Fund II Ltd., Series 2012-2A (Cayman Islands)(b) (i) (m)
|
NR
|
0.000%
|
01/30/2024
|
N/A
|
226,022
|
|||
|
100,000
|
BlackRock Senior Income Series Corp., Series 2004-1A (Cayman Islands)(b) (i)
|
NR
|
0.000%
|
09/15/2016
|
N/A
|
2,000
|
|||
|
250,000
|
Carlyle Global Market Strategies CLO 2012-3 Ltd., Series 2012-3A (Cayman Islands)(b) (i)
|
NR
|
0.000%
|
10/14/2024
|
N/A
|
213,540
|
|||
|
250,000
|
Cerberus Offshore Levered I LP, Series 2012-1A, Class C (Cayman Islands)(b) (d) (m)
|
Baa2
|
6.268%
|
11/30/2018
|
N/A
|
250,057
|
|||
|
2,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class C (Cayman Islands)(b) (d) (m)
|
A+
|
1.519%
|
07/10/2019
|
N/A
|
1,796,065
|
|||
|
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D1 (Cayman Islands)(b) (d) (m)
|
BBB+
|
2.869%
|
07/10/2019
|
N/A
|
961,370
|
|||
|
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D2 (Cayman Islands)(b) (m)
|
BBB+
|
8.370%
|
07/10/2019
|
N/A
|
1,004,433
|
|||
|
300,000
|
Cratos CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(b) (d) (m)
|
AA+
|
1.363%
|
05/19/2021
|
N/A
|
278,135
|
|||
|
550,000
|
Eastland CLO Ltd., Series 2007-1A, Class A2B (Cayman Islands)(b) (d) (m)
|
AA+
|
0.595%
|
05/01/2022
|
N/A
|
499,982
|
|||
|
250,000
|
Emporia Preferred Funding I Corp., Series 2005-1A, Class C (Cayman Islands)(b) (d) (m)
|
AAA
|
1.219%
|
10/12/2018
|
N/A
|
244,601
|
|||
|
250,000
|
Finn Square CLO Ltd., Series 2012-1A (Cayman Islands)(b) (i)
|
NR
|
0.000%
|
12/24/2023
|
N/A
|
222,780
|
|||
|
250,000
|
Great Lakes CLO 2012-1 Ltd., Series 2012-1A (Cayman Islands)(b) (i)
|
NR
|
0.000%
|
01/15/2023
|
N/A
|
253,383
|
|||
|
200,000
|
Katonah IX CLO Ltd., Series 2006-9A, Class A3L (Cayman Islands)(b) (d) (m)
|
A-
|
0.986%
|
01/25/2019
|
N/A
|
180,510
|
|||
|
500,000
|
KKR CLO Trust, Series 2007-1A, Class D (Cayman Islands)(b) (d) (m)
|
A
|
2.514%
|
05/15/2021
|
N/A
|
470,363
|
|||
|
100,000
|
Knightsbridge CLO Ltd., Series 2007-1A, Class D (Cayman Islands)(b) (d) (m)
|
BBB
|
5.269%
|
01/11/2022
|
N/A
|
100,016
|
|||
|
1,992,806
|
Newstar Trust, Series 2005-1A, Class C(b) (d) (m)
|
B+
|
1.116%
|
07/25/2018
|
N/A
|
1,954,309
|
|||
|
250,000
|
Newstar Trust, Series 2013-1A, Class D(b) (d)
|
BBB
|
4.814%
|
09/20/2023
|
N/A
|
250,467
|
|||
|
200,000
|
Summit Lake CLO Ltd., Series 2005-1A, Class C1A(b) (i)
|
NR
|
0.000%
|
02/24/2018
|
N/A
|
80,824
|
|||
|
250,000
|
T2 Income Fund CLO Ltd., Series 2007-1A, Class D (Cayman Islands)(b) (d) (m)
|
A+
|
3.018%
|
07/15/2019
|
N/A
|
233,147
|
|||
|
|
9,633,321
|
||||||||
|
|
|
||||||||
|
|
Commercial Receivables - 0.1%
|
|
|||||||
|
296,209
|
Leaf Receivables Funding 5, LLC, Series 2010-4, Class D(b) (m)
|
NR
|
5.000%
|
01/20/2019
|
09/20/13 @ 100
|
291,351
|
|||
|
|
|
||||||||
|
|
Credit Card - 0.1%
|
|
|||||||
|
280,806
|
Credit Card Pass-Through Trust 2012-BIZ, Series 2012-Biz, Class A(b) (i) (j) (m)
|
NR
|
0.000%
|
-
|
N/A
|
213,882
|
|||
|
|
|
||||||||
|
|
Insurance - 0.0% ***
|
|
|||||||
|
84,700
|
Insurance Note Capital VII, Series 2005-1R1A(b) (d) (m)
|
A-
|
0.502%
|
06/09/2033
|
N/A
|
78,780
|
|||
|
|
|
||||||||
|
|
Media - 0.9%
|
|
|||||||
|
1,300,000
|
Adams Outdoor Advertising, LP, Series 2010-1, Class B(b) (m)
|
Ba2
|
8.836%
|
12/20/2040
|
N/A
|
1,403,909
|
|||
|
1,825,000
|
Adams Outdoor Advertising, LP, Series 2010-1, Class C(b) (m)
|
B3
|
10.756%
|
12/20/2040
|
N/A
|
2,017,841
|
|||
|
|
3,421,750
|
||||||||
|
|
|
||||||||
|
|
Other ABS - 0.1%
|
|
|||||||
|
485,914
|
Aircraft Certificate Owner Trust, Series 2003-1A, Class D(b) (l) (m)
|
BBB-
|
6.455%
|
09/20/2022
|
N/A
|
488,893
|
|||
|
|
|
||||||||
|
|
Transportation - 0.4%
|
|
|||||||
|
15,562
|
Castle Trust, Series 2003-1AW, Class A1(b) (d) (m)
|
AA
|
0.934%
|
05/15/2027
|
N/A
|
14,161
|
|||
|
177,050
|
Raspro Trust, Series 2005-1A, Class G(b) (d) (m)
|
A
|
0.672%
|
03/23/2024
|
N/A
|
163,663
|
|||
|
1,354,003
|
Vega Containervessel PLC, Series 2006-1A, Class A(b) (m)
|
Ba3
|
5.562%
|
02/10/2021
|
N/A
|
1,313,383
|
|||
|
|
1,491,207
|
||||||||
|
|
|
||||||||
|
|
Total Asset Backed Securities - 5.8%
|
|
|||||||
|
|
(Cost $20,646,892)
|
21,874,168
|
|||||||
|
|
|
||||||||
|
|
Collateralized Mortgage Obligations - 0.5%
|
|
|||||||
|
|
Commercial Mortgage Backed Security - Traditional - 0.5%
|
|
|||||||
|
2,000,000
|
GS Mortgage Securities Corp. II Trust 2007-EOP, Series 2007-EOP, Class H(b) (d) (m)
|
BBB-
|
3.300%
|
03/06/2020
|
N/A
|
2,008,930
|
|||
|
|
|
||||||||
|
|
Residential Mortgage Backed Security - 0.0%***
|
|
|||||||
|
81,996
|
Nomura Resecuritization Trust, Series 2012-1R, Class A(b) (d) (m)
|
NR
|
0.624%
|
08/27/2047
|
N/A
|
75,436
|
|||
|
|
|
||||||||
|
|
Total Collateralized Mortgage Obligations - 0.5%
|
|
|||||||
|
|
(Cost $1,905,792)
|
2,084,366
|
|||||||
|
|
|
||||||||
|
|
Term Loans - 5.2%(e)
|
|
|||||||
|
|
Aerospace & Defense - 0.3%
|
|
|||||||
|
950,000
|
Nana Development
|
B+
|
8.000%
|
03/15/2018
|
N/A
|
941,687
|
|||
|
|
|
||||||||
|
|
Automotive - 0.1%
|
|
|||||||
|
40,000
|
Fleetpride
|
CCC+
|
9.250%
|
05/15/2020
|
N/A
|
37,900
|
|||
|
236,111
|
Navistar, Inc.
|
B+
|
5.750%
|
08/17/2017
|
N/A
|
240,243
|
|||
|
|
278,143
|
||||||||
|
|
|
||||||||
|
|
Consumer Products - 0.1%
|
|
|||||||
|
333,793
|
Targus Group International, Inc.
|
B
|
11.000%
|
05/24/2016
|
N/A
|
318,773
|
|||
|
100,000
|
Totes Isotoner Corp.
|
B
|
7.254%
|
07/07/2017
|
N/A
|
100,531
|
|||
|
|
419,304
|
||||||||
|
|
|
||||||||
|
|
Consumer Services - 0.5%
|
|
|||||||
|
97,500
|
Edmentum, Inc.
|
BB-
|
6.000%
|
05/17/2018
|
N/A
|
97,744
|
|||
|
448,250
|
Endurance International Group
|
B
|
6.250%
|
11/09/2019
|
N/A
|
453,853
|
|||
|
94,650
|
Nab Holdings First Lien
|
BB+
|
7.000%
|
04/24/2018
|
N/A
|
95,360
|
|||
|
215,457
|
Patheon, Inc. - 1st Lien
|
B+
|
7.250%
|
12/14/2018
|
N/A
|
217,747
|
|||
|
138,250
|
Sutherland Global Cayman Tranche
|
B
|
7.250%
|
03/06/2019
|
N/A
|
138,596
|
|||
|
306,125
|
Sutherland Global U.S. Tranche
|
B
|
7.250%
|
03/06/2019
|
N/A
|
306,890
|
|||
|
200,000
|
Travelport Holdings Ltd.
|
CCC+
|
4.000%
|
12/01/2016
|
N/A
|
200,563
|
|||
|
130,000
|
Travelport Holdings Ltd.
|
B
|
6.250%
|
06/26/2019
|
N/A
|
131,657
|
|||
|
|
1,642,410
|
||||||||
|
|
|
||||||||
|
|
Diversified Manufacturing - 0.1%
|
|
|||||||
|
416,850
|
CPM Acquisition Corp.
|
B+
|
6.250%
|
08/29/2017
|
N/A
|
419,197
|
|||
|
|
|
||||||||
|
|
Electric - 0.0% ***
|
|
|||||||
|
100,000
|
Astoria Generating Co. Acquisitions
|
B
|
8.500%
|
10/26/2017
|
N/A
|
103,625
|
|||
|
|
|
||||||||
|
|
Energy-Alternate Sources - 0.0% ***
|
|
|||||||
|
150,000
|
Atlas Energy, LP
|
B
|
6.500%
|
07/31/2019
|
N/A
|
151,967
|
|||
|
|
|
||||||||
|
|
Entertainment - 0.0% ***
|
|
|||||||
|
73,800
|
CKX Entertainment, Inc.(l)
|
B+
|
9.000%
|
06/21/2017
|
N/A
|
66,789
|
|||
|
|
|
||||||||
|
|
Food & Beverage - 0.0% ***
|
|
|||||||
|
35,000
|
Hostess Brands, Inc.
|
B-
|
6.750%
|
04/09/2020
|
N/A
|
35,962
|
|||
|
|
|
||||||||
|
|
Health Care - 0.6%
|
|
|||||||
|
249,375
|
Apria Healthcare
|
BB-
|
6.750%
|
04/01/2020
|
N/A
|
251,710
|
|||
|
1,150,000
|
Merge Healthcare Inc.
|
B+
|
6.000%
|
04/23/2019
|
N/A
|
1,158,625
|
|||
|
833,700
|
One Call Medical, Inc.
|
B+
|
5.500%
|
08/19/2019
|
N/A
|
839,432
|
|||
|
|
2,249,767
|
||||||||
|
|
|
||||||||
|
|
Insurance - 0.1%
|
|
|||||||
|
100,000
|
Cetera Financial Group, I, Lien 1
|
B
|
6.500%
|
08/07/2019
|
N/A
|
99,500
|
|||
|
123,141
|
Confie Seguros
|
B-
|
6.500%
|
11/09/2018
|
N/A
|
123,757
|
|||
|
155,909
|
Cunningham
|
B-
|
9.250%
|
06/10/2020
|
N/A
|
155,909
|
|||
|
|
379,166
|
||||||||
|
|
|
||||||||
|
|
Lodging - 0.0% ***
|
|
|||||||
|
39,919
|
Caesars Entertainment Operating Co., Inc.
|
B-
|
5.434%
|
01/28/2018
|
N/A
|
35,994
|
|||
|
|
|
||||||||
|
|
Media - 0.1%
|
|
|||||||
|
119,372
|
Cengage Learning Acquisitions, Inc. (Thomson Learning)
|
D
|
0.000%
|
07/03/2014
|
N/A
|
85,201
|
|||
|
109,208
|
Cengage Learning Acquisitions, Inc. (Thomson Learning)
|
D
|
0.000%
|
07/31/2017
|
N/A
|
78,516
|
|||
|
248,750
|
Mitel US Holdings First Lien
|
B+
|
7.000%
|
02/27/2019
|
N/A
|
249,994
|
|||
|
|
413,711
|
||||||||
|
|
|
||||||||
|
|
Oil Field Services - 0.3%
|
|
|||||||
|
225,205
|
Equipower Resources Holdings, LLC
|
BB
|
4.250%
|
12/21/2018
|
N/A
|
226,636
|
|||
|
400,000
|
Ocean RIG ASA
|
B+
|
5.500%
|
07/15/2016
|
N/A
|
404,000
|
|||
|
99,750
|
Rice Energy
|
CCC+
|
8.500%
|
10/25/2018
|
N/A
|
98,254
|
|||
|
199,000
|
Shelf Drilling Holdings Ltd.(l)
|
B+
|
6.250%
|
05/31/2018
|
N/A
|
199,995
|
|||
|
197,000
|
Varel International Energy Funding Corp.
|
B
|
9.250%
|
07/17/2017
|
N/A
|
201,433
|
|||
|
|
1,130,318
|
||||||||
|
|
|
||||||||
|
|
Other Finance - 0.6%
|
|
|||||||
|
2,000,000
|
AP Alternative Assets LP(l)
|
BB
|
6.684%
|
12/21/2015
|
N/A
|
2,005,000
|
|||
|
199,500
|
First Advantage
|
B
|
6.250%
|
02/28/2019
|
N/A
|
199,750
|
|||
|
100,000
|
Knight/Getco, 1st Lien
|
BB-
|
5.750%
|
11/30/2017
|
N/A
|
99,876
|
|||
|
93,525
|
Oncure Holdings, Inc.(l)
|
B-
|
8.000%
|
12/14/2013
|
N/A
|
91,655
|
|||
|
|
2,396,281
|
||||||||
|
|
|
||||||||
|
|
|
||||||||
|
|
Other Industrials - 0.1%
|
|
|||||||
|
99,750
|
Hunter Fan Company 1st Lien
|
B+
|
6.500%
|
12/20/2017
|
N/A
|
100,041
|
|||
|
249,375
|
Sirva Worldwide, Inc.
|
B
|
7.500%
|
03/27/2019
|
N/A
|
249,998
|
|||
|
|
350,039
|
||||||||
|
|
|
||||||||
|
|
Real Estate Investment Trusts - 0.0% ***
|
|
|||||||
|
126,884
|
iStar Financial, Inc., Lein 1
|
BB-
|
7.000%
|
03/19/2017
|
N/A
|
130,902
|
|||
|
|
|
||||||||
|
|
Retail - 0.3%
|
|
|||||||
|
89,100
|
Container Store, Lien 1
|
B-
|
5.500%
|
04/06/2019
|
N/A
|
89,880
|
|||
|
990,000
|
HD Supply
|
B+
|
4.500%
|
10/12/2017
|
N/A
|
995,252
|
|||
|
|
1,085,132
|
||||||||
|
|
|
||||||||
|
|
Technology - 1.3%
|
|
|||||||
|
99,500
|
Ascensus, Inc.
|
B
|
8.000%
|
12/21/2018
|
N/A
|
101,366
|
|||
|
200,000
|
Aspect Software, Inc.
|
B
|
7.000%
|
05/07/2016
|
N/A
|
201,248
|
|||
|
917,986
|
Ceridian Corp.
|
B-
|
4.434%
|
08/14/2015
|
N/A
|
919,230
|
|||
|
397,000
|
IPC Information Systems, Inc.
|
B-
|
7.750%
|
07/31/2017
|
N/A
|
385,586
|
|||
|
69,497
|
Mirion Technologies
|
B
|
5.750%
|
03/30/2018
|
N/A
|
69,497
|
|||
|
100,000
|
Misys PLC 2nd Lien
|
CCC+
|
12.000%
|
06/12/2019
|
N/A
|
114,916
|
|||
|
992,500
|
Misys PLC First Lien
|
B+
|
5.000%
|
12/12/2018
|
N/A
|
999,696
|
|||
|
890,629
|
Mmodal, Inc.
|
B+
|
7.500%
|
08/17/2019
|
N/A
|
878,753
|
|||
|
1,131,464
|
Paradigm, Ltd. - First Lien
|
B+
|
4.750%
|
07/30/2019
|
N/A
|
1,131,113
|
|||
|
139,000
|
Red Prairie 1st Lien
|
B+
|
6.750%
|
12/21/2018
|
N/A
|
140,699
|
|||
|
19,800
|
Sophos TLB - Lien 1
|
B+
|
6.500%
|
05/10/2019
|
N/A
|
19,899
|
|||
|
|
4,962,003
|
||||||||
|
|
|
||||||||
|
|
Transportation - 0.3%
|
|
|||||||
|
585,000
|
Evergreen Tank Solutions, Inc.
|
B-
|
9.500%
|
09/28/2018
|
N/A
|
583,538
|
|||
|
119,273
|
Global Aviaition Holdings, Inc.(l)
|
NR
|
10.000%
|
07/13/2017
|
N/A
|
83,491
|
|||
|
38,307
|
Global Aviaition Holdings, Inc.(l)
|
NR
|
3.000%
|
02/13/2018
|
N/A
|
3,831
|
|||
|
198,503
|
Sabre, Inc.
|
B
|
5.250%
|
02/19/2019
|
N/A
|
200,771
|
|||
|
400,000
|
US Shipping Corp.
|
B
|
9.000%
|
04/30/2018
|
N/A
|
409,000
|
|||
|
|
1,280,631
|
||||||||
|
|
|
||||||||
|
|
Wireless - 0.1%
|
|
|||||||
|
495,000
|
Zayo Group LLC
|
B
|
4.500%
|
07/02/2019
|
N/A
|
497,475
|
|||
|
|
|
||||||||
|
|
Wirelines - 0.3%
|
|
|||||||
|
693,334
|
Avaya, Inc.
|
B
|
4.762%
|
10/26/2017
|
N/A
|
619,432
|
|||
|
347,981
|
Avaya, Inc.
|
B
|
8.000%
|
03/31/2018
|
N/A
|
330,037
|
|||
|
|
949,469
|
||||||||
|
|
|
||||||||
|
|
Total Term Loans - 5.2%
|
|
|||||||
|
|
(Cost $19,697,375)
|
19,919,972
|
|||||||
|
|
|
||||||||
|
Number
|
|
||||||||
|
of Shares
|
Description
|
Value
|
|||||||
|
|
Common Stock - 0.0%***
|
|
|||||||
|
|
Airlines - 0.0%***
|
|
|||||||
|
6,232
|
Global Aviation Holdings, Inc., Class A(k) (m)
|
1
|
|||||||
|
|
(Cost $0)
|
|
|||||||
|
|
|
||||||||
|
|
Preferred Stocks - 2.0%
|
|
|||||||
|
|
Diversified Financial Services - 0.6%
|
|
|||||||
|
1,900
|
Falcons Funding Trust I(b) (d) (m)
|
1,960,087
|
|||||||
|
475
|
GSC Partners CDO Fund Ltd./GSC Partners CDO Fund Corp. (Cayman Islands)(b) (i) (d)
|
199,334
|
|||||||
|
200,000
|
Whitehorse II Ltd., Series 2005-2A (Cayman Islands)(b) (d) (m)
|
108,000
|
|||||||
|
|
2,267,421
|
||||||||
|
|
|
||||||||
|
|
Transportation - 1.4%
|
|
|||||||
|
200,000
|
Seaspan Corp., Series C (Marshall Islands)(m)
|
NR
|
9.500%
|
-
|
5,300,000
|
||||
|
|
|
||||||||
|
|
Total Preferred Stocks - 2.0%
|
|
|||||||
|
|
(Cost $7,201,500)
|
7,567,421
|
|||||||
|
|
|
||||||||
|
|
Warrants - 0.0%***
|
|
|||||||
|
|
Engineering & Construction - 0.0% ***
|
|
|||||||
|
1,550
|
Alion Science and Technology Corp.(k) (l) (n)
|
03/15/2017
|
-
|
||||||
|
|
(Cost $15)
|
|
|||||||
|
|
|
||||||||
|
|
Total Long-Term Investments - 131.6%
|
|
|||||||
|
|
(Cost $458,330,180)
|
499,226,553
|
|||||||
|
Short-Term Investments - 0.3%
|
|||||||||
|
Principal
|
Optional
|
||||||||
|
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Call Provision**
|
Value
|
|||
|
|
Municipal Bond - 0.3%
|
|
|||||||
|
|
Michigan - 0.3%
|
|
|||||||
|
1,000,000
|
Michigan Finance Authority, State Aid Revenue Notes, School District of the City of Detroit, Series 2013C
|
SP-1
|
4.375%
|
08/20/2014
|
N/A
|
1,004,850
|
|||
|
|
(Cost $1,000,000)
|
|
|||||||
|
|
|
||||||||
|
Total Investments - 131.9%
|
|
||||||||
|
(Cost $459,320,820)
|
500,231,403
|
||||||||
|
Other Assets in excess of Liabilities - 2.5%
|
9,360,318
|
||||||||
|
Borrowings - (11.3%)
|
(42,713,936)
|
||||||||
|
Reverse Repurchase Agreements - (23.1%)
|
(87,744,742)
|
||||||||
|
Net Assets - 100.0%
|
379,133,043
|
||||||||
|
AGM – Insured by Assured Guaranty Municipal Corporation
|
|||||||||
|
Assured GTY - Insured by Assured Guaranty Corporation
|
|||||||||
|
ASA - Stock Company
|
|||||||||
|
CDO - Collateralized Debt Obligation
|
|||||||||
|
CLO - Collateralized Loan Obligation
|
|||||||||
|
LLC - Limited Liability Company
|
|||||||||
|
LP - Limited Partnership
|
|||||||||
|
N/A- Not Applicable
|
|||||||||
|
PLC - Public Limited Company
|
|||||||||
|
Pty - Proprietary
|
|||||||||
|
*
|
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings. Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided. Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.) All ratings are unaudited. The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Trust or its shares.
|
||||||||
|
**
|
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
|
||||||||
|
***
|
Less than 0.1%
|
||||||||
|
(a)
|
Taxable municipal bond issued as part of the Build America Bond program.
|
||||||||
|
(b)
|
Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2013 these securities amounted to $32,411,142, which represents 8.5% of net assets.
|
||||||||
|
(c)
|
The issuer of this security will accrue interest on the secured note at a rate of 12% annum and will make interest payments as follows: (1) 10% in cash and (2) 2% in-kind shares of the secured note.
|
||||||||
|
(d)
|
Floating or variable rate coupon. The rate shown is as of August 31, 2013.
|
||||||||
|
(e)
|
Term loans held by the Trust have a variable interest rate feature which is periodically adjusted based on an underlying interest rate benchmark. In addition, term loans may include mandatory and/or optional prepayment terms. As a result, the actual maturity dates of the loan may be different than the amounts disclosed in the portfolios of investments. Term loans may be considered restricted in that the Trust may be contractually obligated to secure approval from the Agent Bank and/or Borrower prior to the sale or disposition of loan.
|
||||||||
|
(f)
|
Floating or variable rate coupon. The rate shown is as of August 31, 2013.
|
||||||||
|
(g)
|
Non-income producing as security is in default.
|
||||||||
|
(h)
|
Pay-in-kind toggle notes.
|
||||||||
|
(i)
|
Security has no stated coupon. However, it is expected to receive residual cash flow payments on deal defined payment dates.
|
||||||||
|
(j)
|
Security is perpetual and, thus does not have a predetermined maturity date
|
||||||||
|
(k)
|
Security is valued in accordance with Fair Valuation procedures established in good faith by management and approved by the Board of Trustees. The total market value of such securities is $966,971, representing 0.3% of net assets.
|
||||||||
|
(l)
|
Illiquid Security
|
||||||||
|
(m)
|
All or a portion of these securities have been physically segregated in connection with borrowings, reverse repurchase agreements, and unfunded loan commitments. As of August 31, 2013, the total amount segregated was $258,596,598.
|
||||||||
| (n) | Non-income producing security. | ||||||||
|
See previously submitted notes to financial statements for the period ended May 31, 2013.
|
|||||||||
|
Country Allocation^
|
|||
|
United States
|
96.2%
|
||
|
Cayman Islands
|
2.4%
|
||
|
Marshall Islands
|
1.1%
|
||
|
United Kingdom
|
0.2%
|
||
|
Australia
|
0.1%
|
||
|
Canada
|
0.0%
|
^^
|
|
|
^Subject to change daily. Based on long-term investments.
|
|||
|
^^ Less than 0.1%.
|
|||
|
At August 31, 2013, the Trust had the following unfunded loan commitments which
|
|||||||
|
could be extended at the option of the borrower:
|
|||||||
|
Borrower
|
Principal Amount
|
Unrealized Appreciation/(Depreciation)
|
|||||
|
Activision Blizzard
|
$ | 2,000,000 | $ | - | |||
|
Dole Food Company, Inc.
|
400,000 | - | |||||
|
Nielsen Finance LLC
|
9,750,000 | - | |||||
| $ | - | ||||||
|
At August 31, 2013 (unaudited), the cost and related gross unrealized appreciation and depreciation on investments for
|
|||||||||
|
tax purposes are as follows:
|
|||||||||
|
Cost of Investments for Tax Purposes
|
Gross Tax Unrealized Appreciation
|
Gross Tax Unrealized Depreciation
|
Net Tax Unrealized Appreciation on Investments
|
||||||||||
| $ | 458,955,828 | $ | 42,424,147 | $ | (1,148,572 | ) | $ | 41,275,575 | |||||
|
The Trust values equity securities at the last reported sale price on the
|
||||||
|
principal exchange or in the principal over-the-counter (“OTC”) market in
|
||||||
|
which such securities are traded, as of the close of regular trading on the New
|
||||||
|
York Stock Exchange (“NYSE”) on the day the securities are being valued or, if
|
||||||
|
there are no sales, at the mean between the last available bid and asked prices
|
||||||
|
on that day. Securities traded on NASDAQ are valued at the NASDAQ Official
|
||||||
|
Closing Price. The Trust values debt securities (including municipal securities,
|
||||||
|
asset-backed securities, collateralized mortgage obligations and term loans)
|
||||||
|
at the last available bid price for such securities or, if such prices are not
|
||||||
|
available, at prices for securities of comparable maturity, quality, and type.
|
||||||
|
Short-term securities with remaining maturities of 60 days or less are valued
|
||||||
|
at amortized cost, which approximates fair value.
|
||||||
|
For those securities where quotations or prices are not available, the
|
||||||
|
valuations are determined in accordance with procedures established in good
|
||||||
|
faith by management and approved by the Board of Trustees (“Trustees”). A
|
||||||
|
valuation committee consisting of representatives from investment management,
|
||||||
|
fund administration, legal and compliance is responsible for the oversight of the
|
||||||
|
valuation process of the Trust and convenes monthly, or more frequently as
|
||||||
|
needed. The valuation committee reviews monthly Level 3 fair valued securities
|
||||||
|
methodology, price overrides, broker quoted securities, price source changes,
|
||||||
|
illiquid securities, unchanged valuations, halted securities, price challenges,
|
||||||
|
fair valued securities sold and back testing trade prices in relation to prior day
|
||||||
|
closing prices. On a quarterly basis, the valuations and methodologies of all
|
||||||
|
Level 3 fair valued securities are presented to the Trust’s Trustees.
|
||||||
|
Valuations in accordance with these procedures are intended to reflect each
|
||||||
|
security’s (or asset’s) fair value. Such fair value is the amount that the Trust
|
||||||
|
might reasonably expect to receive for the security (or asset) upon its current
|
||||||
|
sale. Each such determination is based on a consideration of all relevant
|
||||||
|
factors, which are likely to vary from one pricing context to another. Examples
|
||||||
|
of such factors may include, but are not limited to: (i) the type of security, (ii)
|
||||||
|
the initial cost of the security, (iii) the existence of any contractual restrictions
|
||||||
|
on the security’s disposition, (iv) the price and extent of public trading in
|
||||||
|
similar securities of the issuer or of comparable companies, (v) quotations or
|
||||||
|
evaluated prices from broker-dealers and/or pricing services, (vi) information
|
||||||
|
obtained from the issuer, analysts, and/or the appropriate stock exchange (for
|
||||||
|
exchange traded securities), (vii) an analysis of the company’s financial
|
||||||
|
statements, and (viii) an evaluation of the forces that influence the issuer and
|
||||||
|
the market(s) in which the security is purchased and sold (e.g. the existence of
|
||||||
|
pending merger activity, public offerings or tender offers that might affect the
|
||||||
|
value of the security).
|
||||||
|
For fixed income securities, fair valuations may include input from
|
||||||
|
Guggenheim Partners Investment Management, LLC (“GPIM”) utilizing a
|
||||||
|
wide variety of market data including yields or prices of investments of
|
||||||
|
comparable quality, type of issue, coupon, maturity, rating, indications of
|
||||||
|
value from security dealers, evaluations of anticipated cash flows or
|
||||||
|
collateral, spread over Treasuries, and other information and analysis.
|
||||||
|
GPIM also uses third party service providers to model certain securities
|
||||||
|
using cash flow models to represent a fair market value.
|
||||||
|
There are three different categories for valuations. Level 1 valuations are those
|
||||||
|
based upon quoted prices in active markets. Level 2 valuations are those
|
||||||
|
based upon quoted prices in inactive markets or based upon significant
|
||||||
|
observable inputs (e.g. yield curves; benchmark interest rates; indices). Level
|
||||||
|
3 valuations are those based upon unobservable inputs (e.g. discounted cash
|
||||||
|
flow analysis; non-market based methods used to determine fair valuation).
|
||||||
|
The Trust values Level 1 securities using readily available market quotations
|
||||||
|
in active markets. Money Market Funds are valued at Net Asset Value. The
|
||||||
|
Trust values Level 2 fixed income securities using independent pricing
|
||||||
|
providers who employ matrix pricing models utilizing market prices, broker
|
||||||
|
quotes and prices of securities with comparable maturities and qualities.
|
||||||
|
The Trust values Level 2 equity securities using independent pricing
|
||||||
|
providers who employ models using various observable market inputs. The
|
||||||
|
fair value estimate for the Level 3 security in the Trust is determined in
|
||||||
|
accordance with the Trust’s valuation procedures described above.
|
||||||
|
Transfers between valuation levels, if any, are in comparison to the
|
||||||
|
valuation levels at the end of the previous fiscal year, and are effective as of
|
||||||
|
the beginning of the period.
|
||||||
|
The following table represents the Trust’s investments carried on the
|
||||||
|
Statement of Assets and Liabilities by caption and by level within the fair
|
||||||
|
value hierarchy as of August 31, 2013.
|
||||||
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
(value in $000s)
|
||||||||||||||||
|
Assets:
|
||||||||||||||||
|
Municipal Bonds
|
$ | - | $ | 422,773 | $ | - | $ | 422,773 | ||||||||
|
Corporate Bonds
|
- | 26,012 | - | 26,012 | ||||||||||||
|
Asset Backed Securities:
|
||||||||||||||||
|
Automobile
|
- | 26 | - | 26 | ||||||||||||
|
Collateralized Debt Obligations
|
- | 5,468 | 761 | 6,229 | ||||||||||||
|
Collateralized Loan Obligations
|
- | 9,427 | 206 | 9,633 | ||||||||||||
|
Commercial Receivables
|
- | 291 | - | 291 | ||||||||||||
|
Credit Card
|
- | 214 | - | 214 | ||||||||||||
|
Insurance
|
- | 79 | - | 79 | ||||||||||||
|
Media
|
- | 3,422 | - | 3,422 | ||||||||||||
|
Other ABS
|
- | 489 | - | 489 | ||||||||||||
|
Transportation
|
- | 1,491 | - | 1,491 | ||||||||||||
|
Collateralized Mortgage Obligations
|
- | 2,085 | - | 2,085 | ||||||||||||
|
Preferred Stock:
|
||||||||||||||||
|
Diversified Financial Services
|
2,068 | 199 | - | 2,267 | ||||||||||||
|
Transportation
|
5,300 | - | - | 5,300 | ||||||||||||
|
Term Loans
|
- | 19,920 | - | 19,920 | ||||||||||||
|
Common Stock
|
- | - | - | * | - | * | ||||||||||
|
Warrants
|
- | - | - | * | - | * | ||||||||||
|
Unfunded Commitments
|
- | - | * | - | - | * | ||||||||||
|
Total
|
$ | 7,368 | $ | 491,896 | $ | 967 | $ | 500,231 | ||||||||
|
* Market value is less than minimum amount disclosed.
|
||||||||||||||||
|
The following table presents the activity for the Fund's investments measured at fair value using significant unobservable
|
|||||||||
|
inputs (Level 3 valuations) for the period ended August 31, 2013.
|
|||||||||
|
Level 3 holdings
|
|||
|
(value in $000s)
|
|||
|
Beginning Balance at May 31, 2013
|
|||
|
Warrants
|
$ |
-
|
*
|
|
Comon Stock
|
-
|
*
|
|
|
Collateralized Loan Obligations
|
207
|
||
|
Net Purchases
|
|||
|
Asset Backed Securities
|
761
|
||
|
Change in unrealized gain/loss
|
|||
|
Warrants
|
-
|
||
|
Comon Stock
|
-
|
||
|
Collateralized Loan Obligations
|
(1)
|
||
|
Ending Balance at August 31, 2013
|
|||
|
Warrants
|
-
|
*
|
|
|
Common Stock
|
-
|
*
|
|
|
Collaterilized Loan Obligation
|
206
|
||
|
Asset Backed Securities
|
761
|
||
|
Total Level 3 holdings
|
$ |
967
|
|
|
* Market value is less than minimum amount disclosed.
|
|||
|
The following table summarizes valuation techniques and inputs used in determining the fair value
|
|||||||||
|
of Guggenheim Build America Bonds Managed Duration Trust holdings categorized as Level 3 at
|
|||||||||
|
August 31, 2013:
|
|||||||||
|
Investments, at value
|
Value as of August 31, 2013
|
Valuation Technique
|
Unobservable Inputs
|
Unobservable Inputs
|
||||
|
Common Stock:
|
||||||||
|
Airlines
|
$ 1
|
Model Price
|
Unlisted Security
|
$0.0001
|
||||
|
Warrant:
|
||||||||
|
Engineering and Construction
|
-
|
Model Price
|
Unlisted Security
|
0.0000
|
||||
|
Asset Backed Securities:
|
||||||||
|
Collateralized Debt Obligation
|
760,650
|
Third-Party Pricing Vendor
|
Single Broker Quote
|
76.0650
|
||||
|
Collateralized Loan Obligation
|
206,320
|
Third-Party Pricing Vendor
|
Single Broker Quote
|
82.0000
|
||||
|
A significant change in unobservable inputs would have the following impact to Level 3 valuations:
|
|||
|
Unobservable Input
|
Impact to Value if Input
Increases
|
Impact to Value if Input
Decreases
|
|
|
Unlisted Security
|
Increases
|
Decreases
|
|
|
Single Broker Quote
|
Increases
|
Decreases
|
|
|
|
(a)
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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.
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(b)
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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.
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