gug60244-nq.htm
 
 
UNITED STATES
 
SECURITIES AND EXCHANGE COMMISSION
 
Washington, DC  20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
 
 
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)

Registrant’s telephone number, including area code:  (312) 827-0100
Date of fiscal year end: May 31
Date of reporting period: May 31, 2014 – August 31, 2014


Item 1.  Schedule of Investments.
Attached hereto.
 
 
 
 
 

 
   
Guggenheim Build America Bonds Managed Duration Trust 
  
SCHEDULE OF INVESTMENTS (Unaudited) 
August 31, 2014 
 
     
 
Shares 
Value 
COMMON STOCKS† - 0.0% 
    
Communications - 0.0% 
    
Cengage Learning 
    
Acquisitions, Inc.* 
3,457 
$109,759 
Basic Materials - 0.0% 
    
Mirabela Nickel Ltd.* 
335,401 
28,192 
Consumer, Cyclical - 0.0% 
    
Global Aviation Holdings, Inc. — 
    
Class A*,1,9 
6,232 
1 
Total Common Stocks 
    
(Cost $196,350) 
  
137,952 
PREFERRED STOCKS† - 1.8% 
  
Seaspan Corp. 
    
9.50% ,9 
200,000 
5,404,000 
Falcons Funding Trust I 
    
8.88% 2,3,4,9 
1,900 
1,967,213 
WhiteHorse II Ltd. 
    
0.00% due 06/15/17*,2,4,9 
200,000 
4,000 
GSC Partners CDO Fund Limited / GSC Partners CDO Fund Corp. 
0.00% due 11/20/16*,2,4 
475 
2,047 
Total Preferred Stocks 
    
(Cost $7,201,500) 
  
7,377,260 
WARRANTS††† - 0.0% 
    
Alion Science & Technology 
    
Corp. 
    
03/15/17,1 
1,550 
– 
Total Warrants 
    
(Cost $16) 
  
0 
MUNICIPAL BONDS†† - 111.5% 
  
California - 22.2% 
    
Los Angeles, California, 
    
Department of Water & Power 
    
Revenue, Taxable Build 
    
America Bonds 
    
7.00% due 07/01/4110 
10,000,000 
11,897,199 
7.00% due 07/01/4110 
10,000,000 
11,637,500 
Santa Ana Unified School 
    
District, California, General 
    
Obligation Bonds, Federal 
    
Taxable Build America Bonds 
    
7.10% due 08/01/4010 
7,755,000 
10,122,912 
6.80% due 08/01/3010 
2,245,000 
2,819,945 
California, General Obligation 
    
Bonds, Various Purpose, 
    
Taxable Build America Bonds 
    
7.70% due 11/01/3010 
10,000,000 
12,502,499 
Oakland Unified School 
    
District, County of Alameda, 
    
California, Taxable General 
    
Obligation Bonds, Election of 
    
2006, Qualified School 
    
Construction Bonds, Series 
    
2012B 
    
6.88% due 08/01/339 
10,000,000 
10,451,900 
Long Beach Unified School 
    
District, California, Qualified 
    
School Construction Bonds, 
    
Federally Taxable, Election of 
    
2008, General Obligation 
    
Bonds 
    
5.91% due 08/01/259 
7,500,000 
9,041,775 
Metropolitan Water District, 
    
Southern California, Water 
    
Revenue Bonds, 2010 
    
Authorization, Taxable Build 
    
America Bonds 
    
6.95% due 07/01/4010 
5,000,000 
5,989,600 
Riverside Community College 
    
District, Riverside County, 
    
California, Election of 2004 
    
General Obligation Bonds, 
    
Taxable Build America Bonds 
    
7.02% due 08/01/4010 
5,000,000 
5,731,350 
Sonoma Valley Unified School 
    
District, General Obligation, 
    
Federally Taxable Bonds 
    
7.12% due 08/01/289 
3,330,000 
3,867,995 
Culver City Redevelopment 
    
Agency, California, Taxable Tax 
    
Allocation Bonds, Culver City 
    
Redevelopment Project 
    
8.00% due 11/01/209 
3,000,000 
3,361,500 
Monrovia Unified School 
    
District, Los Angeles County, 
    
California, Election of 2006 
    
General Obligation Bonds, 
    
Build America Bonds, Federally 
    
Taxable 
    
7.25% due 08/01/289,10 
1,025,000 
1,227,161 
Cypress Elementary School 
    
District (Orange County, 
    
California), General Obligation 
    
Bonds, Direct Pay Qualified 
    
School Construction Bonds, 
    
2008 Election 
    
6.65% due 08/01/259 
660,000 
739,820 
6.05% due 08/01/219,10 
340,000 
371,498 
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 02/01/269 
1,000,000 
1,087,900 
 
 
 
 
 

   
Guggenheim Build America Bonds Managed Duration Trust 
  
SCHEDULE OF INVESTMENTS (Unaudited) 
August 31, 2014 
 
     
 
Face 
  
 
Amount 
Value 
MUNICIPAL BONDS†† - 111.5% (continued) 
  
California - 22.2% 
    
(continued) 
    
Alhambra Unified School 
    
District, Elementary Schools 
    
Improvement District, Los 
    
Angeles County, California, 
    
Election of 2008 General 
    
Obligation Bonds, Federally 
    
Taxable 
    
6.70% due 02/01/269 
$500,000 
$583,140 
Inland Valley Development 
    
Agency Tax Allocation 
    
5.50% due 03/01/33 
500,000 
523,515 
Total California 
  
91,957,209 
Illinois - 13.8% 
    
Northern Illinois Municipal 
    
Power Agency, Power Project 
    
Taxable Revenue Bonds, 
    
Prairie State Project Build 
    
America Bonds 
    
7.62% due 01/01/309,10 
7,140,000 
9,042,167 
7.82% due 01/01/409,10 
2,860,000 
3,906,331 
Northern Illinois University, 
    
Auxiliary Facilities System 
    
Revenue Bonds, Build America 
    
Program, Taxable 
    
8.15% due 04/01/4110 
5,000,000 
5,928,350 
7.95% due 04/01/359,10 
4,500,000 
5,312,160 
Chicago, Illinois, Second Lien 
    
Wastewater Transmission 
    
Revenue Project Bonds, 
    
Taxable Build America Bonds 
    
6.90% due 01/01/4010 
5,100,000 
6,518,463 
Illinois, General Obligation 
    
Bonds, Taxable Build America 
    
Bonds 
    
7.35% due 07/01/3510 
5,000,000 
5,849,150 
Chicago, Illinois, Board of 
    
Education, Unlimited Tax 
    
General Obligation Bonds, 
    
Dedicated Revenues, Taxable 
    
Build America Bonds 
    
6.52% due 12/01/409,10 
5,000,000 
5,046,500 
County of Cook Illinois General 
    
Obligation Unlimited 
    
6.23% due 11/15/349,10 
4,210,000 
4,924,437 
Chicago, Illinois, Second Lien 
    
Water Revenue Bonds, Taxable 
    
Build America Bonds 
    
6.74% due 11/01/409,10 
2,990,000 
3,925,003 
Southwestern Illinois, 
    
Development Authority, 
    
Taxable Local Government, 
    
Program Revenue Bonds, 
    
Flood Prevention District 
    
Council Project, Recovery Zone 
    
Economic Development Bonds 
    
7.23% due 10/15/359 
3,000,000 
3,380,970 
Southwestern Illinois, 
    
Development Authority, 
    
Taxable Local Government, 
    
Program Revenue Bonds, 
    
Flood Prevention District 
    
Project, Build America Bonds 
    
7.03% due 04/15/329,10 
2,000,000 
2,236,480 
State of Illinois General 
    
Obligation Unlimited 
    
6.63% due 02/01/35 
930,000 
1,035,602 
6.73% due 04/01/35 
200,000 
224,774 
Total Illinois 
  
57,330,387 
Washington - 9.9% 
    
Washington State University, 
    
Housing and Dining System 
    
Revenue Bonds, Taxable Build 
    
America Bonds 
    
7.40% due 04/01/419,10 
6,675,000 
9,415,955 
7.10% due 04/01/329,10 
3,325,000 
4,384,744 
Public Hospital District No. 1, 
    
King County, Washington, 
    
Valley Medical Center, Hospital 
    
Facilities Revenue Bonds 
    
8.00% due 06/15/409 
5,800,000 
6,590,250 
Central Washington University, 
    
System Revenue Bonds, 2010, 
    
Taxable Build America Bonds 
    
6.50% due 05/01/309,10 
5,000,000 
6,248,550 
Washington State Convention 
    
Center Public Facilities District, 
    
Lodging Tax Bonds, Taxable 
    
Build America Bonds 
    
6.79% due 07/01/4010 
5,000,000 
6,212,500 
Anacortes, Washington, Utility 
    
System Improvement Revenue 
    
Bonds, Build America Bonds 
    
6.48% due 12/01/309,10 
5,000,000 
5,873,900 
Auburn, Washington, Utility 
    
System Revenue Bonds, 
    
Taxable Build America Bonds 
    
6.40% due 12/01/309,10 
2,000,000 
2,237,380 
Total Washington 
  
40,963,279 
New Jersey - 6.3% 
    
New Jersey Turnpike Authority, 
    
Turnpike Revenue Bonds, 
    
Federally Taxable Issuer 
    
Subsidy, Build America Bonds 
    
7.10% due 01/01/4110 
10,000,000 
14,382,000 
 
 
 
 
 
 
 

   
Guggenheim Build America Bonds Managed Duration Trust 
  
SCHEDULE OF INVESTMENTS (Unaudited) 
August 31, 2014 
 
     
 
Face 
  
 
Amount 
Value 
MUNICIPAL BONDS†† - 111.5% (continued) 
  
New Jersey - 6.3% 
    
(continued) 
    
Camden County Improvement 
    
Authority, Camden County, 
    
New Jersey, Lease Revenue 
    
Bonds, Cooper Medical School 
    
of Rowan University Project 
    
7.75% due 07/01/349,10 
$8,000,000 
$9,560,480 
7.85% due 07/01/359,10 
2,000,000 
2,388,940 
Total New Jersey 
  
26,331,420 
Indiana - 6.2% 
    
Noblesville Multi-School 
    
Building Corporation, Hamilton 
    
County, Indiana, Taxable 
    
Unlimited Ad Valorem Property 
    
Tax First Mortgage Bonds, 
    
Build America Bonds 
    
6.50% due 07/15/3010 
10,000,000 
11,869,600 
Evansville-Vanderburgh 
    
Independent School Building 
    
Corporation, Unlimited Taxable 
    
Ad Valorem Property Tax First 
    
Mortgage Bonds 
    
6.50% due 01/15/309 
8,690,000 
10,515,856 
Knox County, Indiana, Good 
    
Samaritan Hospital Project, 
    
Taxable Economic 
    
Development Revenue Bonds, 
    
Qualified Energy Conservation 
    
Bonds - Direct Payment, Series 
    
2012B 
    
5.90% due 04/01/349 
3,000,000 
3,259,440 
Total Indiana 
  
25,644,896 
New York - 6.2% 
    
Metropolitan Transportation 
    
Authority, New York, 
    
Transportation Revenue 
    
Bonds, Taxable Build America 
    
Bonds 
    
6.55% due 11/15/3110 
5,000,000 
6,541,700 
7.13% due 11/15/3010 
5,000,000 
5,927,100 
Westchester County Health 
    
Care Corporation, Revenue 
    
Bonds, Taxable Build America 
    
Bonds 
    
8.57% due 11/01/409,10 
10,000,000 
11,974,500 
Port Auth NY & NJ-182, 5.31% 
    
- 2046 
    
5.31% due 08/01/46 
1,000,000 
1,100,100 
Total New York 
  
25,543,400 
Michigan - 6.2% 
    
Detroit, Michigan, School 
    
District, School Building and 
    
Site Bonds, Unlimited Tax 
    
General Obligation Bonds, 
    
Taxable Build America Bonds, 
    
6.85% due 05/01/409,10 
5,000,000 
5,310,250 
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 05/01/269 
2,500,000 
2,717,625 
6.50% due 05/01/299 
2,000,000 
2,179,340 
Fraser Public School District, 
    
Macomb County, Michigan, 
    
General Obligation Federally 
    
Taxable School Construction 
    
Bonds, 2011 School Building 
    
and Site Bonds 
    
6.05% due 05/01/269 
3,000,000 
3,376,440 
Detroit City School District 
    
General Obligation Unlimited 
    
7.75% due 05/01/399,10 
2,640,000 
3,314,520 
Detroit, Michigan, School 
    
District, School Building and 
    
Site Bonds, Unlimited Tax 
    
General Obligation Bonds, 
    
Taxable Qualified School 
    
Construction Bonds 
    
6.65% due 05/01/299 
2,640,000 
3,004,584 
Michigan Finance Authority 
    
Revenue Bonds 
    
5.00% due 07/01/31 
600,600 
648,462 
5.00% due 07/01/44 
500,000 
522,070 
5.00% due 07/01/32 
400,400 
430,286 
5.00% due 07/01/33 
200,200 
214,472 
Oakridge, Michigan, Public 
    
Schools, Unlimited Tax General 
    
Obligation Bonds 
    
6.75% due 05/01/269 
1,000,000 
1,083,470 
City of Detroit Michigan Water 
    
Supply System Revenue 
    
Revenue Bonds 
    
5.00% due 07/01/41 
1,055,000 
1,078,790 
City of Detroit Michigan 
    
General Obligation Unlimited 
    
3.50% due 10/07/162,9 
1,000,000 
1,000,000 
 
 
 
 
   
Guggenheim Build America Bonds Managed Duration Trust 
  
SCHEDULE OF INVESTMENTS (Unaudited) 
August 31, 2014 
 
     
 
Face 
  
 
Amount 
Value 
MUNICIPAL BONDS†† - 111.5% (continued) 
  
Michigan - 6.2% 
    
(continued) 
    
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 05/01/269 
$415,000 
$453,255 
Total Michigan 
  
25,333,564 
Texas - 6.0% 
    
Dallas, Texas, Convention 
    
Center Hotel Development 
    
Corporation, Hotel Revenue 
    
Bonds, Taxable Build America 
    
Bonds 
    
7.09% due 01/01/429,10 
10,000,000 
12,995,100 
El Paso, Texas, Combination 
    
Tax and Revenue Certification 
    
of Obligation, Taxable Build 
    
America Bonds 
    
6.70% due 08/15/369,10 
10,000,000 
11,844,800 
Total Texas 
  
24,839,900 
Pennsylvania - 4.2% 
    
Pittsburgh, Pennsylvania, 
    
School District, Taxable 
    
Qualified School Construction 
    
Bonds 
    
6.85% due 09/01/299 
6,870,000 
8,940,755 
Lebanon, Pennsylvania, Sewer 
    
Revenue Bonds, Taxable Build 
    
America Bonds 
    
7.14% due 12/15/359,10 
4,865,000 
5,644,714 
School District of Philadelphia, 
    
Pennsylvania, General 
    
Obligation Bonds, Series 
    
2011A, Qualified School 
    
Construction Bonds - (Federally 
    
Taxable - Direct Subsidy) 
    
6.00% due 09/01/309 
2,500,000 
2,683,025 
Total Pennsylvania 
  
17,268,494 
Florida - 4.1% 
    
Miami-Dade County, Florida, 
    
Transit Sales Surtax Revenue, 
    
Taxable Build America Bonds 
    
6.91% due 07/01/399,10 
10,000,000 
11,308,600 
Orlando, Florida, Community 
    
Redevelopment Agency, 
    
Taxable Tax Increment 
    
Revenue Build America Bonds 
    
7.78% due 09/01/409,10 
5,000,000 
5,829,000 
Total Florida 
  
17,137,600 
West Virginia - 3.5% 
    
State of West Virginia, Higher 
    
Education Policy Commission, 
    
Revenue Bonds, Federally 
    
Taxable Build America Bonds 
    
2010 
    
7.65% due 04/01/4010 
10,000,000 
14,438,200 
Ohio - 3.1% 
    
American Municipal Power, 
    
Inc., Combined Hydroelectric 
    
Projects Revenue Bonds, New 
    
Clean Renewable Energy 
    
Bonds 
    
7.33% due 02/15/289 
5,000,000 
6,384,750 
Madison Local School District, 
    
Richland County, Ohio, School 
    
Improvement, Taxable 
    
Qualified School Construction 
    
Bonds 
    
6.65% due 12/01/299 
2,500,000 
2,896,500 
Cuyahoga County, Ohio, 
    
Hospital Revenue Bonds, The 
    
Metrohealth System, Build 
    
America Bonds, Taxable 
    
8.22% due 02/15/409,10 
1,950,000 
2,376,075 
Toronto City School District, 
    
Ohio, Qualified School 
    
Construction Bonds General 
    
Obligation Bonds 
    
7.00% due 12/01/289 
1,230,000 
1,342,963 
Total Ohio 
  
13,000,288 
Colorado - 2.9% 
    
Colorado, Building Excellent 
    
Schools Today, Certificates of 
    
Participation, Taxable Build 
    
America Bonds 
    
7.02% due 03/15/319,10 
7,500,000 
8,706,300 
 
 
 
 
 
 
 

   
Guggenheim Build America Bonds Managed Duration Trust 
  
SCHEDULE OF INVESTMENTS (Unaudited) 
August 31, 2014 
 
     
 
Face 
  
 
Amount 
Value 
MUNICIPAL BONDS†† - 111.5% (continued) 
  
Colorado - 2.9% 
    
(continued) 
    
Colorado, Building Excellent 
    
Schools Today, Certificates of 
    
Participation, Taxable Qualified 
    
School Construction 
    
6.82% due 03/15/28 
$2,500,000 
$3,158,600 
Total Colorado 
  
11,864,900 
Vermont - 2.7% 
    
Vermont State Colleges, 
    
Revenue Bonds, Taxable Build 
    
America Bonds 
    
7.21% due 07/01/409,10 
7,500,000 
8,734,575 
6.10% due 07/01/259,10 
2,155,000 
2,457,368 
Total Vermont 
  
11,191,943 
Alabama - 2.6% 
    
Alabama State University, 
    
General Tuition and Fee 
    
Revenue Bonds, Taxable 
    
Direct-Pay Build America 
    
Bonds 
    
7.20% due 09/01/389,10 
5,000,000 
5,482,600 
7.10% due 09/01/359,10 
3,000,000 
3,283,170 
7.25% due 09/01/409,10 
2,000,000 
2,198,120 
Total Alabama 
  
10,963,890 
Nevada - 2.5% 
    
Nevada System of Higher 
    
Education University, Revenue 
    
Bonds, Build America Bonds 
    
7.90% due 07/01/4010 
5,050,000 
5,841,486 
7.60% due 07/01/3010 
1,500,000 
1,722,300 
Clark County, Nevada, Airport 
    
Revenue Bonds, Build America 
    
Bonds 
    
6.88% due 07/01/429,10 
1,425,000 
1,576,948 
Las Vegas Valley Water 
    
District, Nevada, Limited Tax 
    
General Obligation Water 
    
Bonds, Taxable Build America 
    
Bonds 
    
7.10% due 06/01/399,10 
1,200,000 
1,337,892 
Total Nevada 
  
10,478,626 
Louisiana - 2.3% 
    
Orleans Parish, School Board 
    
of the Parish of Orleans, 
    
Louisiana 
    
4.40% due 02/01/219 
8,000,000 
8,541,440 
Tangipahoa Parish Hospital 
    
Service District No. 1, 
    
Louisiana, Taxable Hospital 
    
Revenue Bonds, North Oaks 
    
Health System Project, Build 
    
America Bonds 
    
7.20% due 02/01/4210 
1,055,000 
1,133,935 
Total Louisiana 
  
9,675,375 
Mississippi - 1.9% 
    
Medical Center Educational 
    
Building Corporation, Taxable 
    
Build America Bonds, 
    
University of Mississippi 
    
Medical Center Facilities 
    
Expansion and Renovation 
    
Project 
    
6.84% due 06/01/359,10 
5,000,000 
5,776,550 
Mississippi, Hospital 
    
Equipment and Facilities 
    
Authority, Taxable Build 
    
America Revenue Bonds, 
    
Forrest County General 
    
Hospital Project 
    
7.27% due 01/01/329,10 
1,000,000 
1,060,720 
7.39% due 01/01/409,10 
905,000 
957,019 
Total Mississippi 
  
7,794,289 
South Carolina - 1.6% 
    
Horry County, South Carolina, 
    
Taxable Airport Revenue 
    
Bonds, Recovery Zone 
    
Economic Development Bonds 
    
7.33% due 07/01/409 
5,000,000 
6,501,550 
Georgia - 1.3% 
    
Georgia Municipal Association, 
    
Inc., Certificates of 
    
Participation, DeKalb County 
    
Public Schools Project 
    
5.21% due 12/01/229 
5,000,000 
5,566,650 
South Dakota - 0.9% 
    
Pierre, South Dakota, Taxable 
    
Electric Revenue Bonds, 
    
Recovery Zone Economic 
    
Development Bonds 
    
7.50% due 12/15/409 
3,490,000 
3,808,079 
 
 
 
 
 
 
 

   
Guggenheim Build America Bonds Managed Duration Trust 
  
SCHEDULE OF INVESTMENTS (Unaudited) 
August 31, 2014 
 
     
 
Face 
  
 
Amount 
Value 
MUNICIPAL BONDS†† - 111.5% (continued) 
  
Minnesota - 0.8% 
    
St. Paul Housing & 
    
Redevelopment Authority, 
    
Federally Taxable Revenue 
    
Bonds 
    
7.25% due 02/01/359 
$1,660,000 
$1,807,275 
7.50% due 02/01/409 
1,540,000 
1,682,404 
Total Minnesota 
  
3,489,679 
District of Columbia - 
    
0.3% 
    
District of Columbia Water & 
    
Sewer Authority Revenue 
    
Bonds 
    
4.81% due 10/01/149 
1,200,000 
1,286,964 
Total Municipal Bonds 
    
(Cost $387,936,236) 
  
462,410,582 
ASSET BACKED SECURITIES†† - 8.1% 
  
Churchill Financial Cayman Ltd. 
  
2007-1A, 1.48% due 
    
07/10/192,4,9 
2,000,000 
1,893,800 
2007-1A, 8.37% due 
    
07/10/194,9 
1,000,000 
1,007,200 
2007-1A, 2.83% due 
    
07/10/192,4,9 
1,000,000 
937,000 
Adams Outdoor Advertising, LP 
  
2010-1, 10.76% due 
    
12/20/404,9 
1,825,000 
1,996,982 
2010-1, 8.84% due 
    
12/20/404,9 
1,300,000 
1,395,554 
Putnam Structured Product 
    
2008-1A, 0.61% due 
    
10/15/382,4 
3,120,421 
2,977,505 
KVK CLO Ltd. 
    
2014-3A, 2.33% due 
    
10/15/262,4 
2,000,000 
1,936,800 
2014-3A, 3.23% due 
    
10/15/262,4 
1,000,000 
971,000 
THL Credit Wind River 2014-2 CLO Ltd. 
  
2014-2A, 2.39% due 
    
07/15/262,4 
1,000,000 
983,300 
2014-2A, 3.39% due 
    
07/15/262,4 
750,000 
736,800 
Gramercy Real Estate CDO 2007-1 Ltd. 
  
2007-1A, 0.51% due 
    
08/15/562,4,9 
1,896,054 
1,654,307 
N-Star REL CDO VIII Ltd. 
    
2006-8A, 0.52% due 
    
02/01/412,4,9 
1,500,000 
1,366,950 
Vega Containervessel plc 
    
2006-1A, 5.56% due 
    
02/10/214,9 
1,053,113 
1,037,317 
SRERS Funding Ltd. 
    
2011-RS, 0.41% due 
    
05/09/462,4 
1,055,518 
995,881 
Anchorage Capital CLO 2012-1 Ltd. 
  
2012-1A, 3.03% due 
    
01/13/252,4,9 
1,000,000 
984,300 
Atlas Senior Loan Fund IV Ltd. 
    
2014-2A, 2.93% due 
    
02/17/262,4 
1,000,000 
958,000 
Eastland CLO Ltd. 
    
2007-1A, 0.57% due 
    
05/01/222,4,9 
550,000 
522,115 
Silver Spring CLO Ltd. 
    
2014-1A, 2.32% due 
    
10/15/262,4 
500,000 
493,200 
T2 Income Fund CLO Ltd. 
    
2007-1A, 2.98% due 
    
07/15/192,4,9 
500,000 
492,700 
KKR Financial CLO 2007-1 Ltd. 
  
2007-1A, 2.48% due 
    
05/15/212,4,9 
500,000 
489,550 
Neuberger Berman CLO XV 
    
2013-15A, 3.08% due 
    
10/15/252,4 
500,000 
484,350 
MCF CLO I LLC 
    
2013-1A, 5.98% due 
    
04/20/232,4 
500,000 
467,350 
Putnam Structured Product CDO 2002-1 Ltd. 
  
2002-1A, 0.83% due 
    
01/10/382,4,9 
447,124 
409,118 
CIFC Funding Ltd. 
    
2014-1AR, 3.31% due 
    
08/14/242,4 
400,000 
397,920 
CIFC Funding 2012-II Ltd. 
    
2012-2A, 3.23% due 
    
12/05/242,4 
400,000 
396,080 
TICP CLO II Ltd. 
    
2014-2A, 3.23% due 
    
07/20/262,4 
400,000 
390,200 
West Coast Funding Ltd. 
    
2006-1A, 0.38% due 
    
11/02/412,4 
349,731 
342,562 
Cratos CLO Ltd. 
    
2007-1A, 1.33% due 
    
05/19/212,4,9 
300,000 
287,640 
Cerberus Offshore Levered I, LP 
  
2012-1A, 6.23% due 
    
11/30/182,4,9 
250,000 
250,150 
DIVCORE CLO Ltd. 
    
2013-1A B, 4.05% due 
    
11/15/322,9 
250,000 
250,150 
Race Point V CLO Ltd. 
    
2014-5AR, 3.98% due 
    
12/15/222,4 
250,000 
249,400 
Gramercy Park CLO Ltd. 
    
2014-1AR, 4.28% due 
    
07/17/232,4 
250,000 
248,300 
Newstar Commercial Loan Funding 2013-1 LLC 
  
2013-1A, 4.78% due 
    
09/20/232,4 
250,000 
245,450 
Ocean Trails CLO IV 
    
2013-4A, 3.23% due 
    
08/13/252,4 
250,000 
244,650 
 
 
 
 
 
 
 

   
Guggenheim Build America Bonds Managed Duration Trust 
  
SCHEDULE OF INVESTMENTS (Unaudited) 
August 31, 2014 
 
     
 
Face 
  
 
Amount 
Value 
ASSET BACKED SECURITIES†† - 8.1% (continued) 
CIFC Funding 2014-II Ltd. 
    
2014-2A, 3.10% due 
    
05/24/262,4 
$250,000 
$243,950 
NewStar Arlington Senior Loan Program LLC 
  
2014-1A, 3.53% due 
    
07/25/252,4 
250,000 
243,500 
ING IM CLO 2011-1 Ltd. 
    
2011-1A, 3.53% due 
    
06/22/212,4 
250,000 
242,375 
Monroe Capital CLO 2014-1 Ltd. 
    
2014-1A, 3.78% due 
    
10/22/262,4 
250,000 
240,900 
Golub Capital Partners CLO 18 Ltd. 
  
2014-18A, 4.23% due 
    
04/25/262,4,9 
250,000 
240,750 
WhiteHorse VIII Ltd. 
    
2014-1A, 2.99% due 
    
05/01/262,4 
250,000 
240,500 
Black Diamond CLO 2005-2 Delaware Corp. 
  
2005-2A, 2.03% due 
    
01/07/182,4 
250,000 
239,900 
Battalion Clo 2007-I Ltd. 
    
2007-1A, 2.38% due 
    
07/14/222,4 
250,000 
236,950 
Cerberus Onshore II CLO LLC 
    
2014-1A, 4.23% due 
    
10/15/232,4
250,000 
235,875 
Atlas Senior Loan Fund II Ltd. 
    
2012-2A, 0.00% due 
    
01/30/244,5 
250,000 
232,575 
Carlyle Global Market Strategies CLO 2012-3 Ltd. 
  
2012-3A, 0.00% due 
    
10/04/244,5,9 
250,000 
231,925 
Wrightwood Capital Real Estate CDO 2005-1 Ltd. 
  
2005-1A, 0.66% due 
    
11/21/402,4 
250,000 
228,575 
Rockwall CDO II Ltd. 
    
2007-1A, 0.79% due 
    
08/01/242,4 
250,000 
222,050 
Finn Square CLO Ltd. 
    
2012-1A, 0.00% due 
    
12/24/234,5 
250,000 
216,925 
Great Lakes CLO 2012-1 Ltd. 
    
2012-1A, 0.00% due 
    
01/15/234,5,9 
250,000 
213,450 
Gallatin CLO VII 2014-1 Ltd. 
    
2014-1A, 3.92% due 
    
07/15/232,4,9 
200,000 
193,580 
Ares XXV CLO Ltd. 
    
2013-3A, 0.00% due 
    
01/17/244,5,9 
250,000 
193,350 
Katonah IX CLO Ltd. 
    
2006-9A, 0.95% due 
    
01/25/192,4,9 
200,000 
190,900 
CIFC Funding 2007-I Ltd. 
    
2007-1A, 1.73% due 
    
05/10/212,4 
200,000 
190,000 
ARES XXVI CLO Ltd. 
    
2013-1A, 0.00% due 
    
04/15/254,5,9 
250,000 
187,825 
Cedar Woods CRE CDO Ltd. 
    
2006-1A, 0.42% due 
    
07/25/514 
164,602 
139,599 
CHLPA Credit Card Pass-Through Trust 
  
2012-BIZ, 0.00% due 
    
12/15/494,5,9 
161,316 
139,312 
Highland Park CDO I Ltd. 
    
2006-1A, 0.56% due 
    
11/25/512,4 
115,046 
109,029 
Raspro Trust 
    
2005-1A, 0.63% due 
    
03/23/242,4,9 
102,877 
101,077 
Insurance Note Capital VII 
    
2005-1R1A, 0.48% due 
    
06/09/332,4,9 
70,600 
66,717 
Diversified Asset Securitization Holdings II, LP 
  
2000-1X, 0.72% due 
    
09/15/352 
39,838 
39,009 
LCP Dakota Fund 
    
VI-P, 10.00% due 08/17/159 
23,400 
23,400 
Bush Truck Leasing LLC 
    
2011-AA, 5.00% due 
    
09/25/184,9 
21,607 
18,460 
BlackRock Senior Income Series Corp. 
  
2004-1A, 0.00% due 
    
09/15/164,5,9 
100,000 
10 
Total Asset Backed Securities 
    
(Cost $32,360,811) 
  
33,596,049 
SENIOR FLOATING RATE INTERESTS†† - 5.8% 
Bank Loans - 3.1% 
    
Post Holdings 
    
3.75% due 06/02/21 
1,500,000 
1,498,694 
Ceridian Corp. 
    
4.50% due 05/09/17 
1,447,002 
1,444,896 
Charter Communications Inc. 
    
4.25% due 08/12/215 
1,000,000 
1,005,629 
Magic Newco, LLC 
    
5.00% due 12/12/18 
982,509 
985,319 
HD Supply, Inc. 
    
4.00% due 06/28/18 
980,000 
974,610 
Paradigm Ltd 
    
4.75% due 07/30/19 
870,604 
867,122 
NVA Holdings, Inc. 
    
4.75% due 08/14/21 
600,000 
601,500 
Multiplan, Inc. 
    
4.00% due 03/19/21 
500,000 
496,625 
Transdigm, Inc. 
    
3.75% due 06/04/21 
500,000 
496,460 
Zayo Group LLC 
    
4.00% due 07/02/19 
490,004 
487,892 
 
 
 
 
 

   
Guggenheim Build America Bonds Managed Duration Trust 
  
SCHEDULE OF INVESTMENTS (Unaudited) 
August 31, 2014 
 
     
 
Face 
  
 
Amount 
Value 
SENIOR FLOATING RATE INTERESTS†† - 5.8% 
(continued) 
    
Bank Loans - 3.1% (continued) 
  
First Data Corp. 
    
3.66% due 03/23/18 
$350,000 
$346,063 
Aspect Software, Inc. 
    
7.25% due 05/07/16 
300,000 
299,625 
Goodpack Ltd. 
    
4.75% due 08/05/215 
300,000 
299,064 
Quorum Business Solutions 
    
5.75% due 08/07/21 
300,000 
298,500 
Neiman Marcus Group, Inc. 
    
4.25% due 10/25/20 
249,373 
247,311 
Amber Bidco Foster + Partners 
    
4.62% due 07/18/211 
250,000 
245,000 
Wall Street Systems 
    
4.50% due 04/30/21 
239,130 
237,935 
Travelport Holdings Ltd. 
    
4.00% due 12/01/16 
208,622 
208,622 
Terraform Power, Inc 
    
4.75% due 07/23/19 
200,000 
200,000 
Element Materials Technology 
    
5.25% due 08/06/21 
200,000 
200,000 
BJ's Wholesale Club, Inc. 
    
4.50% due 09/26/19 
200,000 
198,844 
Atlas Energy LP 
    
6.50% due 07/31/19 
148,875 
150,364 
Dave & Buster's, Inc. 
    
4.50% due 07/25/20 
150,000 
149,588 
Sutherland Global Services, 
    
Inc. 
    
7.25% due 03/06/19 
148,101 
148,101 
Momentive Performance 
    
4.00% due 04/15/15 
100,000 
99,875 
Expert Global Solutions 
    
8.50% due 04/03/18 
100,000 
99,833 
Sabre, Inc. 
    
4.00% due 02/19/19 
100,000 
99,500 
Univision Communications Inc. 
    
4.00% due 03/01/20 
100,000 
99,325 
J Crew Group, Inc. 
    
4.00% due 03/05/21 
100,000 
97,979 
Hunter Fan Co. 
    
6.50% due 12/20/17 
88,729 
88,508 
Container Store, Inc. 
    
4.25% due 04/06/19 
80,563 
79,707 
American Energy Marcellus 
    
5.25% due 07/09/20 
70,000 
70,058 
Total Bank Loans 
  
12,822,549 
Industrial - 0.7% 
    
NaNa Development Corp. 
    
8.00% due 03/15/18 
750,000 
738,750 
Sutherland Global Services, 
    
Inc. 
    
7.25% due 03/06/19 
416,179 
416,179 
CPM Acquisition Corp. 
    
6.25% due 08/29/17 
397,101 
397,431 
Hunter Defense Technologies 
    
6.50% due 08/04/19 
400,000 
396,000 
SIRVA Worldwide, Inc. 
    
7.50% due 03/27/19 
246,875 
251,812 
Sabre, Inc. 
    
4.00% due 02/19/19 
196,508 
195,525 
SI Organization 
    
5.75% due 11/23/19 
176,636 
177,298 
Minimax Viking 
    
4.50% due 08/14/20 
150,000 
149,937 
Travelport Holdings Ltd. 
    
6.25% due 06/26/19 
22,994 
23,338 
Global Aviation Holdings, Inc. 
    
3.00% due 02/13/187 
38,996 
– 
10.00% due 07/13/177 
119,273 
– 
Total Industrial 
  
2,746,270 
Technology - 0.5% 
    
Greenway Medical 
    
Technologies 
    
6.00% due 11/04/20 
646,750 
645,134 
EIG Investors Corp. 
    
5.00% due 11/09/19 
443,770 
443,770 
GlobalLogic Holdings, Inc. 
    
6.25% due 05/31/19 
348,250 
334,320 
Data Device Corp. 
    
5.75% due 07/15/20 
300,000 
299,625 
Aspect Software, Inc. 
    
7.25% due 05/07/16 
276,043 
275,698 
Total Technology 
  
1,998,547 
Communications - 0.5% 
    
Cengage Learning 
    
Acquisitions, Inc. 
    
7.00% due 03/31/20 
997,500 
1,003,524 
Avaya, Inc. 
    
4.66% due 10/26/17 
536,163 
519,408 
6.50% due 03/31/18 
443,359 
444,468 
Total Communications 
  
1,967,400 
Consumer, Non-cyclical - 0.3% 
  
Alberton's Safeway 
    
5.50% due 08/11/21 
800,000 
801,663 
Targus Group International, 
    
Inc. 
    
12.00% due 05/24/16 
319,551 
264,429 
Mitel Networks Corp. 
    
5.25% due 01/31/20 
137,065 
137,194 
ABG Intermediate Holdings 2 
    
LLC 
    
5.50% due 05/27/21 
99,750 
99,501 
Hostess Brands 
    
6.75% due 04/09/20 
34,913 
35,785 
Total Consumer, Non- 
    
cyclical 
  
1,338,572 
Consumer, Cyclical - 0.3% 
    
Fitness International LLC 
    
5.50% due 07/01/20 
500,000 
497,915 
American Tire Distributors, Inc. 
    
5.75% due 06/01/18 
299,345 
299,345 
 
 
 
 
 

   
Guggenheim Build America Bonds Managed Duration Trust 
  
SCHEDULE OF INVESTMENTS (Unaudited) 
August 31, 2014 
 
     
 
Face 
  
 
Amount 
Value 
SENIOR FLOATING RATE INTERESTS†† - 5.8% 
(continued) 
    
Consumer, Cyclical - 0.3% (continued) 
  
Navistar, Inc. 
    
5.75% due 08/17/17 
$236,111 
$238,078 
STG-Fairway Acquisitions, Inc. 
    
6.25% due 02/28/19 
197,501 
196,020 
CKX Entertainment, Inc. 
    
9.00% due 06/21/17 
73,800 
65,313 
Fleetpride Corp. 
    
9.25% due 05/15/20 
16,000 
15,650 
Total Consumer, Cyclical 
  
1,312,321 
Financial - 0.3% 
    
Safe-Guard 
    
6.25% due 08/19/21 
600,000 
596,999 
Expert Global Solutions 
    
8.50% due 04/03/18 
195,396 
195,070 
Cunningham Lindsey U.S., Inc. 
    
9.25% due 06/10/20 
155,909 
155,568 
Magic Newco, LLC 
    
12.00% due 06/12/19 
100,000 
113,125 
Total Financial 
  
1,060,762 
Utilities - 0.1% 
    
Expro Holdings UK 3 Ltd. 
    
5.75% due 08/12/21 
400,000 
400,668 
Astoria Generating Company 
    
Acquisitions LLC 
    
8.50% due 10/26/17 
90,273 
92,530 
Total Utilities 
  
493,198 
Energy - 0.0% 
    
PSS Companies 
    
5.50% due 01/28/20 
199,490 
198,493 
Transportation - 0.0% 
    
Travelport Holdings Ltd. 
    
9.50% due 01/31/16 
100,000 
101,846 
Total Senior Floating Rate Interests 
  
(Cost $24,022,249) 
  
24,039,958 
CORPORATE BONDS†† - 3.8% 
  
Industrial - 1.1% 
    
Tufts Medical Center, Inc. 
    
7.00% due 01/01/38 
1,500,000 
1,676,441 
Atlas Air 2000-1 Class A Pass 
    
Through Trust 
    
8.71% due 07/02/219 
1,312,519 
1,391,270 
Alion Science & Technology 
    
Corp. 
    
12.00% due 11/01/146,8,9 
911,191 
920,941 
Tempel Steel Co. 
    
12.00% due 08/15/164,9 
250,000 
251,875 
Atlas Air 1999-1 Class A-1 
    
Pass Through Trust 
    
7.20% due 01/02/199 
93,066 
97,836 
Atlas Air, Inc. 
    
8.71% due 01/02/199 
31,457 
33,344 
Total Industrial 
  
4,371,707 
Basic Materials - 0.8% 
    
Yamana Gold, Inc. 
    
4.95% due 07/15/24 
3,000,000 
3,066,747 
TPC Group, Inc. 
    
8.75% due 12/15/204,9 
265,000 
292,163 
Mirabela Nickel Ltd. 
    
9.50% due 05/20/191 
80,000 
80,000 
Total Basic Materials 
  
3,438,910 
Industrials - 0.5% 
    
Delta Air Lines 2011-1 Class B 
    
Pass Through Trust 
    
7.13% due 10/15/144,9 
2,000,000 
2,015,000 
Consumer, Cyclical - 
    
0.3% 
    
GRD Holdings III Corp. 
    
10.75% due 06/01/194,9 
980,000 
1,080,450 
Checkers Drive-In Restaurants, 
    
Inc. 
    
11.00% due 12/01/174,9 
150,000 
166,500 
PF Chang's China Bistro, Inc. 
    
10.25% due 06/30/204,9 
125,000 
128,125 
Total Consumer, Cyclical 
  
1,375,075 
Consumer, Non-cyclical - 
    
0.3% 
    
JBS USA LLC / JBS USA 
    
Finance, Inc. 
    
5.88% due 07/15/244 
500,000 
500,000 
ADT Corp. 
    
6.25% due 10/15/219 
200,000 
211,500 
Symbion, Inc. 
    
8.00% due 06/15/169 
150,000 
156,188 
KeHE Distributors LLC / KeHE 
    
Finance Corp. 
    
7.63% due 08/15/214 
100,000 
107,500 
American Seafoods Group LLC 
    
/ American Seafoods Finance, 
    
Inc. 
    
10.75% due 05/15/164,9 
100,000 
100,000 
Total Consumer, Non-cyclical 
  
1,075,188 
Technology - 0.2% 
    
Infor US, Inc. 
    
11.50% due 07/15/189 
400,000 
448,500 
Aspect Software, Inc. 
    
10.63% due 05/15/179 
290,000 
295,800 
Eagle Midco, Inc. 
    
9.00% due 06/15/184,9 
200,000 
205,500 
Total Technology 
  
949,800 
Financial Institutions - 
    
0.2% 
    
Columbia Property Trust 
    
Operating Partnership LP 
    
5.88% due 04/01/189 
750,000 
791,954 
Communications - 0.2% 
    
SITEL LLC / Sitel Finance Corp. 
    
11.00% due 08/01/174,9 
500,000 
522,500 
 
 
 
 
 

   
Guggenheim Build America Bonds Managed Duration Trust 
  
SCHEDULE OF INVESTMENTS (Unaudited) 
August 31, 2014 
 
     
 
Face 
  
 
Amount 
Value 
CORPORATE BONDS†† - 3.8% (continued) 
  
Communications - 0.2% 
    
(continued) 
    
Avaya, Inc. 
    
7.00% due 04/01/194 
$150,000 
$149,250 
Total Communications 
  
671,750 
Financial - 0.1% 
    
Schahin II Finance Company 
    
SPV Ltd. 
    
5.88% due 09/25/224 
464,333 
452,725 
Jefferies Finance LLC / JFIN 
    
Company-Issuer Corp. 
    
7.38% due 04/01/204,9 
125,000 
130,625 
Total Financial 
  
583,350 
Energy - 0.1% 
    
Summit Midstream Holdings 
    
LLC / Summit Midstream 
    
Finance Corp. 
    
7.50% due 07/01/21 
200,000 
220,000 
Penn Virginia Resource 
    
Partners, LP / Penn Virginia 
    
Resource Finance Corp. 
    
8.38% due 06/01/209 
138,000 
153,525 
Jones Energy Holdings LLC / 
    
Jones Energy Finance Corp. 
    
6.75% due 04/01/224 
100,000 
105,500 
Midstates Petroleum Co., Inc. / 
    
Midstates Petroleum Co., LLC 
    
10.75% due 10/01/209 
85,000 
94,031 
Total Energy 
  
573,056 
Total Corporate Bonds 
    
(Cost $15,111,505) 
  
15,845,790 
COLLATERALIZED MORTGAGE OBLIGATION†† - 
0.3% 
    
Nomura Resecuritization Trust 
    
2012-1R,0.60% due 
    
      08/27/472,4,9 
663,636 
613,863 
ACRE Commercial Mortgage 
    
Trust 2014-FL2 
    
2.65% due 08/15/312,4,9 
500,000 
500,021 
Structured Asset Mortgage Investments II Trust 
2006-AR1,0.39% due 
    
02/25/362 
35,783 
30,632 
Total Collateralized Mortgage Obligation 
  
(Cost $1,137,936) 
  
1,144,516 
Total Investments - 131.3% 
    
(Cost $467,966,603) 
  
$ 544,552,107 
Other Assets & Liabilities, net - (31.3)% 
(129,770,307) 
Total Net Assets - 100.0% 
  
$ 414,781,800 
 
*     
Non-income producing security.
†     
Value determined based on Level 1 inputs — See Note 3.
††     
Value determined based on Level 2 inputs — See Note 3.
†††     
Value determined based on Level 3 inputs — See Note 3.
1     
Security was fair valued by the Valuation Committee at August 31, 2014. The total market value of fair valued securities amounts to $325,001, (cost $0) or 0.1% of total net assets.
2     
Variable rate security. Rate indicated is rate effective at August 31, 2014.
3     
Perpetual maturity.
4     
Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $45,538,839 (cost $44,264,093), or 11.0% 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     
Payment-in-kind.
7     
Security is in default of interest and/or principal obligations.
8     
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.
9     
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, 2014, the total amount segregated was $296,692,733.
10     
Taxable municipal bond issued as part of the Build America Bond program.
   
plc
Public Limited Company
 
 
At August 31, 2014, the Fund had the following unfunded loan commitments which could be extended at the option of the borrower:
 
Borrower†† 
Expiration Date
  
Principal Amount
    
Unrealized Depreciation
  
SI Organization
11/23/2019
   $ 23,364     $ (5)  
 
 
 

 
 
 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)        
                                            
For information on the Guggenheim Build America Bonds Managed Duration Trust’s (the “Fund”) policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semiannual or annual shareholder report.

1.  
Significant Accounting Policies
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles ("U.S. GAAP") and are consistently followed by the Fund. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. All time references are based on Eastern Time.

The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities or other assets.

Valuations of the Fund’s securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed and will review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used by, and valuations provided by, the pricing services.

Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on such day, the security is valued at the mean of the most recent bid and asked prices on such day.

Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker/dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition and repurchase agreements are valued at amortized cost, which approximates market value.

Typically loans are valued using information provided by an independent third party pricing service which uses broker quotes. If the pricing service cannot or does not provide a valuation for a particular loan or such valuation is deemed unreliable, such loan is fair valued by the Valuation Committee.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the NYSE. The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as World Equity Benchmark Securities. In addition, under the Valuation Procedures, the Valuation Committee and the Guggenheim Funds Investment Advisors, LLC (“GFIA or the “Adviser”) are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Investments for which market quotations are not readily available are fair valued as determined in good faith by the Adviser, subject to review by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value.” 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).

2.  
Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3— significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

The following tables summarize the inputs used to value the Fund’s investments at August 31, 2014:
 
 
 
Level 1
Investments
In Securities
  
Level 2
Investments
In Securities
  
Level 3
Investments
In Securities
  
Total
  
Assets
                
Corporate Bonds
 $ -   $ 15,765,790   $ 80,000   $ 15,845,790  
Asset Backed Securities
   -     33,596,049     -     33,596,049  
Collateralized Mortgage Obligations
   -     1,144,516     -     1,144,516  
Senior Floating Rate Interests
   -     23,794,958     245,000     24,039,958  
Municipal Bonds
   -     462,410,582     -     462,410,582  
Common Stocks
   137,951     -     1     137,952  
Preferred Stocks
   7,373,260     4,000     -     7,377,260  
Warrant
   -     -     - *    -  
Total Assets
 $ 7,511,211   $ 536,715,895   $ 325,001   $ 544,552,107  
Liabilities
                        
Unfunded Commitments
 $ -   $ 5   $ -   $ 5  
*Market value is less than minimum amount disclosed.

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined under the valuation policies that have been reviewed and approved by the Board of Trustees. In any event, values are determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information and analysis.

Indicative quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may be also used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although indicative quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations.

Certain fixed income securities are valued by obtaining a monthly indicative quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
 
 
 
 
 
 
 

 
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

Category
Ending Balance at  8/31/14
Valuation Technique
Unobservable Inputs
Corporate Bonds
$80,000
Monthly Model Price
Trade Price
Senior Floating Rate Interests
245,000
Monthly Model Price
Trade Price

Any remaining level 3 securities held by the Trust and excluded from the table above were not considered material to the Trust.
 
Significant changes in an indicative quote or trade price would generally result in significant changes in the fair value of the security.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current period.

At August 31, 2014, the Trust had securities with a total value of $3,821,167 transfer from Level 3 to Level 2. These transfers were due to the availability of a vendor price.

Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended August 31, 2014:

Assets:
    
Beginning Balance
 $ 6,198,113  
Purchases
   325,000  
Sales
   (2,000,000 )
Paydowns received
   (386,514 )
Total change in unrealized gains or losses included in earnings
   9,569  
Transfers out of Level 3   (3,821,167 )
Ending Balance
 $ 325,001  

3.  
Federal Income Taxes
At August 31, 2014, 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
(Depreciation)
$467,318,049
$77,369,340
$(135,282)
 $77,234,058

 
 
 
 
 
Item 2.   Controls and Procedures.

(a)
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act 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.

Item 3.  Exhibits.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act, as amended (17 CFR 270.30a-2(a)) is attached hereto.
 
 
 
 
 
 
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Guggenheim Build America Bonds Managed Duration Trust

By:   /s/ Donald C. Cacciapaglia 
Donald C. Cacciapaglia
Chief Executive Officer

Date: October 30, 2014


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:  /s/ Donald C. Cacciapaglia
Donald C. Cacciapaglia
Chief Executive Officer

Date: October 30, 2014




By: /s/ John L. Sullivan
John L. Sullivan
Chief Financial Officer, Chief Accounting Officer and Treasurer
 
Date: October 30, 2014