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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED
SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company
Act file number 811-22437
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust
(Exact name of registrant as specified in charter)
227 West
Monroe, Chicago, IL, 60606
(Address of principal executive offices) (Zip code)
Amy J. Lee
227 West
Monroe, 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: June 1, 2023 - May 31, 2024
Item 1. Reports to Stockholders.
The registrant's annual report transmitted
to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”),
is as follows:
![](https://www.sec.gov/Archives/edgar/data/1495825/000182126824000179/image_011.gif)
Guggenheim Funds Annual Report
Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust
|
|
GuggenheimInvestments.com |
CEF-GBAB-AR-0524 |
GUGGENHEIMINVESTMENTS.COM/GBAB
... YOUR LINK TO THE LATEST, MOST UP-TO-DATE INFORMATION ABOUT THE
GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST
The shareholder report you are reading right now is just the beginning
of the story.
Online at guggenheiminvestments.com/gbab, you will find:
Daily, weekly and monthly data on share prices, net asset values,
distributions and more
Monthly portfolio overviews and performance analyses
Announcements, press releases and special notices
Trust and adviser contact information
Guggenheim Partners Investment Management, LLC and Guggenheim Funds
Investment Advisors, LLC are continually updating and expanding shareholder information services on the Trusts website in an ongoing
effort to provide you with the most current information about how your Trusts assets are managed and the results of our efforts. It
is just one more small way we are working to keep you better informed about your investment in the Trust.
|
|
DEAR SHAREHOLDER (Unaudited) |
May 31, 2024 |
We thank you for your investment in the Guggenheim Taxable Municipal
Bond & Investment Grade Debt Trust (Trust). This report covers the Trusts performance for the 12-month period ended
May 31, 2024 (the Reporting Period).
To learn more about the Trusts performance and investment strategy,
we encourage you to read the Economic and Market Overview and the Managements Discussion of Trust Performance, which begin on page
5. There you will find information on Guggenheims investment philosophy, views on the economy and market environment, and information
about the factors that impacted the Trusts performance during the Reporting Period.
The Trusts primary investment objective is to provide current
income with a secondary objective of long-term capital appreciation.
All Trust returns citedwhether based on net asset value (NAV)
or market priceassume the reinvestment of all distributions. For the Reporting Period, the Trust provided a total return based on
market price of 9.75% and a total return based on NAV of 6.28%. At the end of the Reporting Period, the Trusts market price of $16.25
per share represented a premium of 5.31% to its NAV of $15.43 per share.
Past performance is not a guarantee of future results. All NAV returns
include the deduction of management fees, operating expenses, and all other Trust expenses. The market price of the Trusts shares
fluctuates from time to time, and it may be higher or lower than the Trusts NAV.
During the Reporting Period, the Trust paid a monthly distribution
of $0.12573 per share. The most recent distribution represents an annualized distribution rate of 9.28% based on the Trusts
closing market price of $16.25 per share at the end of the Reporting Period.
The Trusts distribution rate is not constant and the amount
of distributions, when declared by the Trusts Board of Trustees, is subject to change. There is no guarantee of any future distribution
or that the current returns and distribution rate will be maintained. Please see the Distributions to Shareholders & Annualized Distribution
Rate table on page 15, and Note 2(g) on page 55 for more information on distributions for the period.
We encourage shareholders to consider the opportunity to reinvest
their distributions from the Trust through the Dividend Reinvestment Plan (DRIP), which is described on page 93 of this report.
When shares trade at a discount to NAV, the DRIP takes advantage of the discount by reinvesting the monthly dividend distribution in common
shares of the Trust purchased in the market at a price less than NAV.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 3
|
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DEAR SHAREHOLDER (Unaudited) continued |
May 31, 2024 |
Conversely, when the market price of the Trusts common shares
is at a premium above NAV, the DRIP reinvests participants dividends in newly issued common shares at the greater of NAV per share
or 95% of the market price per share. The DRIP provides a cost-effective means to accumulate additional shares and enjoy the benefits of
compounding returns over time. The DRIP effectively provides an income averaging technique for shareholders to accumulate a larger number
of Trust shares when the market price is depressed than when the price is higher.
We appreciate your investment and look forward to serving your investment
needs in the future. For the most up-to-date information on your investment, please visit the Trusts website at guggenheiminvestments.com/gbab.
Sincerely,
Guggenheim Funds Investment Advisors, LLC
Guggenheim Taxable Municipal Bond & Investment Grade
Debt Trust
June 30, 2024
4 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND & INVESTMENT
GRADE DEBT TRUST ANNUAL REPORT
|
|
ECONOMIC AND MARKET OVERVIEW (Unaudited) |
May 31, 2024 |
In recent quarters, the U.S. economy has demonstrated continued strength
as fiscal spending helped defy predictions of a U.S. Federal Reserve (the Fed) induced recession. Inflation continues to gradually
recede, albeit in fits and starts, leaving the Fed on hold to preserve its monetary policy optionality for now. Our economic outlook has
continued to improve as the aggregate economy has not responded to rate hikes in the usual ways, even as higher rates weighed on some
sectors and reinforced our outlook for increasing bifurcation across the economy and markets. While factors like fiscal stimulus and immigration
have helped prop up the economy, we do not believe they will support the economic cycle indefinitely. Our base case is for a benign slowdown
in real gross domestic product (GDP) growth although we view risks to this forecast as tilted to the downside, particularly
relative to the improved expectations of the market.
Optimistic expectations built into market pricing are the driving
force behind the recent easing in financial conditions. The Feds own financial conditions gauge suggests little headwind to growth
from broad financial conditions. But most of the easing has been driven by narrow gains in equity valuations, leaving the economy vulnerable
to a pullback in risk sentiment.
Optimism can also be seen in forecasts of accelerating corporate earnings
growth, with the S&P 500 earnings per share expected to grow 12% this year after just 2% growth in 2023. While our baseline view is
also relatively constructive on the economy, and anticipated Fed easing later this year is expected to help support the growth outlook,
we still view risks as skewed to the downside. Signs of economic bifurcation and more cautious consumers may weigh on growth more than
currently anticipated, particularly if softening in labor market indicators continues.
However, even as slower growth or shifts in sentiment create some
potential for spread widening, all-in yields remain attractive on a historical basis and are still near decade plus highs. In addition,
the Feds attention to downside risks suggest to us that any substantial shift in conditions could be met with expectations of greater
monetary policy easing and could create a favorable environment for active fixed-income investors.
The opinions and forecasts expressed may not actually come to pass.
This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation
of any specific security or strategy.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 5
|
|
MANAGEMENTS DISCUSSION OF |
|
TRUST PERFORMANCE (Unaudited) |
May 31, 2024 |
MANAGEMENT TEAM
Guggenheim Funds Investment Advisors, LLC serves as the investment
adviser to Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust (Trust). The Trust is managed by a team of
seasoned professionals at Guggenheim Partners Investment Management, LLC (GPIM).
This team includes Anne B. Walsh, CFA, JD, Managing Partner, Chief
Investment Officer of GPIM and Portfolio Manager; Steven H. Brown, CFA, Chief Investment Officer, Fixed Income, Senior Managing Director,
and Portfolio Manager; Allen Li, CFA, Managing Director and Portfolio Manager; Adam J. Bloch, Managing Director and Portfolio Manager;
and Evan L. Serdensky, Managing Director and Portfolio Manager.
Discuss the Trusts return and return of comparative Indices
All Trust returns citedwhether based on net asset value (NAV)
or market priceassume the reinvestment of all distributions. For the Reporting Period, the Trust provided a total return based on
market price of 9.75% and a total return based on NAV of 6.28%. At the end of the Reporting Period, the Trusts market price of $16.25
per share represented a premium of 5.31% to its NAV of $15.43 per share. At the beginning of the Reporting Period, the Trusts
market price of $16.32 per share represented a premium of 1.94% to its NAV of $16.01 per share.
Past performance is not a guarantee of future results. All NAV returns
include the deduction of management fees, operating expenses, and all other Trust expenses. The market value of the Trusts shares
fluctuates from time to time and maybe higher or lower than the Trusts NAV.
Please refer to the graphs and tables included within the Trust Summary,
beginning on page 12 for additional information about the Trusts performance.
The returns for the Reporting Period of indices tracking performance
of the asset classes to which the Trust allocates the largest of its investments were:
|
|
Index* |
Total Return |
Bloomberg Municipal Bond Index |
2.67% |
Bloomberg Taxable Municipal Index |
2.52% |
Bloomberg U.S. Aggregate Bond Index |
1.31% |
Bloomberg U.S. Corporate High Yield Index |
11.24% |
Credit Suisse Leveraged Loan Index |
13.22% |
ICE Bank of America Asset Backed Security Master BBB-AA Index |
7.07% |
ICE Bank of America Build America Bond Index |
0.38% |
Standard & Poors 500 (S&P 500) Index |
28.19% |
*See page 10 for Index definitions |
|
6 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
MANAGEMENTS DISCUSSION OF |
|
TRUST PERFORMANCE (Unaudited) continued |
May 31, 2024 |
Discuss the Trusts distributions
During the Reporting Period, the Trust paid a monthly distribution
of $0.12573 per share. The most recent distribution represents an annualized distribution rate of 9.28% based on the Trusts
closing market price of $16.25 per share at the end of the Reporting Period.
The distributions paid consisted of (i) investment company taxable
income taxed as ordinary income, which includes, among other things, short-term capital gain and income from certain hedging and interest
rate transactions, and (ii) return of capital.
There is no guarantee of any future distribution or that the current
returns and distribution rate will be maintained. The Trusts distribution rate is not constant and the amount of distributions,
when declared by the Trusts Board of Trustees, is subject to change.
Please see the Distributions to Shareholders & Annualized Distribution
Rate table on page 15, and Note 2(g) on page 55 for more information on distributions for the period.
|
|
Payable Date |
Amount |
June 30, 2023 |
$0.12573 |
July 31, 2023 |
$0.12573 |
August 31, 2023 |
$0.12573 |
September 29, 2023 |
$0.12573 |
October 31, 2023 |
$0.12573 |
November 30, 2023 |
$0.12573 |
December 29, 2023 |
$0.12573 |
January 31, 2024 |
$0.12573 |
February 29, 2024 |
$0.12573 |
March 29, 2024 |
$0.12573 |
April 30, 2024 |
$0.12573 |
May 31, 2024 |
$0.12573 |
Total |
$1.50876 |
What factors contributed or detracted from the Trusts Performance
during the Reporting Period?
During the Reporting Period, the Trust saw positive performance from
income and credit spread tightening. Earned income contributed the most to performance as the Trust continued to prioritize higher-quality
credits with attractive income/yield profiles. Credit spreads also added to overall performance as spreads on the Bloomberg Taxable Municipal
Bond and Bloomberg U.S. Corporate Investment Grade Bond Indices tightened by 38 basis points and 53 basis points, respectively. Duration
was the sole thematic detractor to the Trust. Duration detracted from performance as the
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 7
MANAGEMENTS DISCUSSION OF |
|
TRUST PERFORMANCE (Unaudited) continued |
May 31, 2024 |
yield curve bear steepened, meaning yields at the long end of the
curve rose higher than those at the front end, with yields on 2-year and 10-year Treasurys finishing 47 basis points and 86 basis points
higher, respectively.
Discuss the Trusts Use of Leverage
At the end of the Reporting Period, the Trusts leverage was
approximately 24% of Managed Assets, compared with approximately 26% at the beginning of the Reporting Period.
The Trust currently employs financial leverage through reverse repurchase
agreements with seven counterparties.
One purpose of leverage is to fund the purchase of additional securities
that may provide increased income and potentially greater appreciation to common shareholders than could be achieved from an unlevered
portfolio. Leverage may result in greater NAV volatility and entails more downside risk than an unleveraged portfolio.
Given positive total returns over the Reporting Period, leverage benefited
performance.
Investments in Investment Funds (as defined in the Additional Information
Regarding the Trust section, which begins on page 95) frequently expose the Trust to an additional layer of financial leverage and the
associated risks, such as the magnified effect of any losses.
How did the Trust use derivatives during the Reporting Period?
The Trust had minimal exposure to derivatives during the Reporting
Period. The Trust continued to utilize modestly-sized credit default swaps to hedge broader credit markets. These credit hedges detracted
from performance given the strong credit market returns during the Reporting Period. Additionally, the Trust continued to hold curve caps
and interest rate swaps to hedge against moves lower in the yield curve; those positions were slight detractors during the Reporting Period.
Foreign currency forwards used to hedge non-USD exposures also slightly detracted from overall performance.
How was the Trust positioned at the end of the Reporting Period?
The Reporting Period exhibited a period of unprecedented volatility
that has left a wide range of possible outcomes going forward. We believe the next major policy moves are likely to provide strong tailwinds
for fixed income. We continue to expect elevated volatility in the economy and markets, as well as a policy response to these conditions.
This argues for the importance of diversification in asset allocation remains crucial. The heightened probability of an economic slowdown
over the next 6-12 months, as indicated by our models continues to guide our more defensive and conservative positioning within the Trust,
prioritizing quality (which takes multiple forms, including focusing on
8 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
MANAGEMENTS DISCUSSION OF |
|
TRUST PERFORMANCE (Unaudited) continued |
May 31, 2024 |
industry market leaders, more conservatively positioned balance sheets,
stronger credit stipulations, and more creditor-friendly structures) and industries that may be more resilient to economic downturns.
Though the recent tightening of credit spreads has likely pulled forward
some of the expected future total return potential of parts of fixed income, we still view the go-forward valuation proposition of fixed
income as attractive at current levels and sourceable income levels in high-quality credit as historically high relative to recent history.
The Trusts strategy has remained consistent by upgrading the credit profile and seeking opportunities with strong income generation
and capital appreciation potential. We have grown our exposure in high quality sectors, particularly in Agency residential mortgage-backed
securities (RMBS) and in structured credit investments such as non-Agency RMBS, senior tranches of collateralized loan obligations,
and commercial asset-backed securities.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 9
|
|
MANAGEMENTS DISCUSSION OF |
|
TRUST PERFORMANCE (Unaudited) continued |
May 31, 2024 |
Index Definitions
Indices are unmanaged and reflect no expenses. It is not possible
to invest directly in an index.
The Bloomberg Municipal Bond Index is considered representative
of the broad market for investment grade, tax-exempt municipal bonds with a maturity of at least one year.
The Bloomberg Taxable Municipal Index tracks performance of
investment-grade fixed income securities issued by state and local governments whose income is not exempt from tax, issued generally to
finance a project or activity that does not meet certain public purpose/use requirements.
The Bloomberg U.S. Aggregate Bond Index is a broad-based flagship
benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related
and corporate securities, mortgage-backed securities or MBS (agency fixed-rate and hybrid adjustable-rate mortgage, or ARM,
pass-throughs), ABS, and commercial mortgage-backed securities (CMBS) (agency and non-agency).
The Bloomberg U.S. Corporate High Yield Index measures the
U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of
Moodys, Fitch, and S&P is Ba1/BB +/BB + or below.
The Credit Suisse Leveraged Loan Index is an index designed
to mirror the investable universe of the U.S.-dollar-denominated leveraged loan market.
The ICE Bank of America Asset Backed Security Master BBB-AA Index
is a subset of the ICE Bank of America U.S. Fixed Rate Asset Backed Securities Index including all securities rated AA1 through BBB3,
inclusive.
The ICE Bank of America Build America Bond Index is designed
to track the performance of U.S. dollar-denominated Build America Bonds publicly issued by U.S. states and territories, and their political
subdivisions, in the U.S. market.
The Standard & Poors 500 (S&P 500)
Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all
major industries and is considered a representation of U.S. stock market.
10 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
MANAGEMENTS DISCUSSION OF |
|
TRUST PERFORMANCE (Unaudited) continued |
May 31, 2024 |
Risks and Other Considerations
The views expressed in this report reflect those of the portfolio
managers only through the report period as stated on the cover. These views are subject to change at any time, based on market and other
conditions and should not be construed as a recommendation of any kind. The material may also include forward looking statements that
involve risk and uncertainty, and there is no guarantee that any predictions will come to pass.
There can be no assurance that the Trust will achieve its investment
objectives. The NAV of the Trust will fluctuate with the value of the underlying securities. Risk is inherent in all investing, including
the loss of your entire principal. Therefore, before investing you should consider the risks carefully. The Trust is subject to various
risk factors, including investment risk, which could result in the loss of the entire principal amount that you invest. Certain of these
risk factors are described in the Additional Information Regarding the Trust section, which begins on page 95. Please see the Trusts
Prospectus and Statement of Additional Information (SAI), and guggenheiminvestments.com/gbab for a more detailed description of the risks
of investing in the Trust. Shareholders may access the Trusts Prospectus and SAI on the EDGAR Database on the Securities and Exchange
Commissions website at www.sec.gov.
This material is not intended as a recommendation or as investment
advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary
capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation
of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended
to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional
regarding your specific situation.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 11
|
|
TRUST SUMMARY (Unaudited) |
May 31, 2024 |
|
|
Trust Statistics |
|
Market Price |
$16.25 |
Net Asset Value |
$15.43 |
Premium to NAV |
5.31% |
Net Assets ($000) |
$382,779 |
Cumulative Trust Performance*
![](https://www.sec.gov/Archives/edgar/data/1495825/000182126824000179/image_012.gif)
* | | The performance data above represents past performance that is not predictive of future results.
The investment return and principal value of an investment in the Trust will fluctuate so that an investors shares, when sold,
may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends
and capital gains and do not reflect the effect of taxes. The Bloomberg Taxable Municipal Index is an unmanaged index and, unlike the
Trust, has no management fees or operating expenses to reduce its reported return. Further, the Bloomberg Taxable Municipal Index is
a broad-based index that tracks the performance of investment-grade fixed income securities issued by state and local governments whose
income is not exempt from tax, issued generally to finance a project or activity that does not meet certain public purpose/use
requirements. The Trust does not seek to achieve performance that is comparative to an index. |
|
|
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|
|
AVERAGE ANNUAL TOTAL RETURNS FOR |
|
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|
|
THE PERIOD ENDED MAY 31, 2024 |
|
|
|
|
|
One |
Three |
Five |
Ten |
|
Year |
Year |
Year |
Year |
Guggenheim Taxable Municipal Bond & Investment |
|
|
|
|
Grade Debt Trust |
|
|
|
|
NAV |
6.28% |
(4.32%) |
0.06% |
3.25% |
Market |
9.75% |
(4.62%) |
0.50% |
4.65% |
Bloomberg Taxable Municipal Index |
2.52% |
(3.39%) |
0.35% |
2.81% |
Performance data quoted represents past performance, which is no guarantee
of future results and current performance may be lower or higher than the figures shown. All NAV returns include the deduction of management
fees, operating expenses and all other Trust expenses. The deduction of taxes that a shareholder would pay on Trust distributions or the
sale of Trust shares is not reflected in the total returns. For the most recent month-end performance figures, please visit guggenheiminvestments.com/gbab.
The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that
an investors shares, when sold, may be worth more or less than their original cost.
The referenced index is an unmanaged index and not available for direct
investment. Index performance does not reflect transaction costs, fees or expenses.
12 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
TRUST SUMMARY (Unaudited) continued |
May 31, 2024 |
|
|
|
Portfolio Breakdown |
% of Net Assets |
Municipal Bonds |
|
68.3% |
Corporate Bonds |
|
33.9% |
Asset-Backed Securities |
|
14.0% |
Senior Floating Rate Interests |
|
9.3% |
Preferred Stocks |
|
2.2% |
Collateralized Mortgage Obligations |
|
2.0% |
Money Market Funds |
|
0.9% |
Closed-End Mutual Funds |
|
0.7% |
Foreign Government Debt |
|
0.2% |
Common Stocks |
|
0.1% |
Warrants |
|
0.0%* |
Options Purchased |
|
0.0%* |
Total Investments |
|
131.6% |
Other Assets & Liabilities, net |
|
(31.6%) |
Net Assets |
|
100.0% |
*Less than 0.1%. |
|
|
Ten
Largest Holdings |
%
of Net Assets |
State
of West Virginia, Higher Education Policy Commission, Revenue Bonds, |
|
|
Federally
Taxable Build America Bonds 2010, 7.65% |
|
3.1% |
Dallas, Texas,
Convention Center Hotel Development Corporation, Hotel |
|
|
Revenue Bonds,
Taxable Build America Bonds, 7.09% |
|
2.9% |
School District
of Philadelphia, Pennsylvania, General Obligation Bonds, |
|
|
Series
2011A, Qualified School Construction Bonds - (Federally Taxable - Direct Subsidy), 6.00% |
2.8% |
Oklahoma Development
Finance Authority Revenue Bonds, 5.45% |
|
2.7% |
Oakland Unified
School District, County of Alameda, California, Taxable |
|
|
General Obligation
Bonds, Election of 2006, Qualified School Construction |
|
|
Bonds, Series
2012B, 6.88% |
|
2.6% |
Westchester
County Health Care Corporation, Revenue Bonds, Taxable Build |
|
|
America Bonds,
8.57% |
|
2.6% |
Santa Ana
Unified School District, California, General Obligation Bonds, |
|
|
Federal Taxable
Build America Bonds, 7.10% |
|
2.3% |
Evansville-Vanderburgh School
Building Corp. Revenue Bonds, 6.50% |
|
2.3% |
Pittsburgh, Pennsylvania, School
District, Taxable Qualified School |
|
|
Construction
Bonds, 6.85% |
|
2.0% |
Harris
County Cultural Education Facilities Finance Corp. Revenue Bonds, 3.34% |
|
1.9% |
Top
Ten Total |
|
25.2% |
Ten Largest Holdings excludes any temporary cash or derivative
investments.
Portfolio breakdown and holdings are subject to change daily. For
more information, please visit guggenheiminvestments.com/gbab. The above summaries are provided for informational purposes only and should
not be viewed as recommendations. Past performance does not guarantee future results.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 13
|
|
TRUST SUMMARY (Unaudited) continued |
May 31, 2024 |
|
|
Portfolio Composition by Quality Rating1 |
|
|
% of Total |
Rating |
Investments |
Fixed Income Instruments |
|
AAA |
2.7% |
AA |
28.3% |
A |
25.6% |
BBB |
20.7% |
BB |
7.4% |
B |
6.9% |
CCC |
0.6% |
CC |
0.0%* |
NR2 |
7.0% |
Other Instruments |
0.8% |
Total Investments |
100.0% |
1 | | Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally
ranges from AAA (highest) to D (lowest). All securities except for those labeled NR have been rated by Moodys, Standard
& Poors (S&P), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO).
For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments
has converted Moodys and Fitch ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase
and may change thereafter. |
2 | | NR (not rated) securities do not necessarily indicate low credit quality. |
14 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
TRUST SUMMARY (Unaudited) continued |
May 31, 2024 |
Market Price & NAV History
![](https://www.sec.gov/Archives/edgar/data/1495825/000182126824000179/image_013.gif)
Distributions to Shareholders & Annualized Distribution Rate
![](https://www.sec.gov/Archives/edgar/data/1495825/000182126824000179/image_014.gif)
All or a portion of the above distributions is characterized as
a return of capital. For the year ended May 31, 2024, 55.2% of the distributions were characterized as ordinary income and 44.8% of the
distributions were characterized as return of capital. The final determination of the tax character of the distributions paid by the Trust
in 2024 will be reported to shareholders in January 2025.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 15
|
|
SCHEDULE OF INVESTMENTS |
May 31, 2024 |
|
|
|
|
Shares |
Value |
COMMON
STOCKS 0.1% |
|
|
Consumer,
Non-cyclical 0.1% |
|
|
Endo, Inc.*, |
9,759 |
$ 272,442 |
Endo,
Inc.*,,1 |
187 |
5,220 |
Total
Consumer, Non-cyclical |
|
277,662 |
Industrial
0.0% |
|
|
BP Holdco
LLC*,,2 |
15,619 |
18,932 |
YAK BLOCKER
2 LLC*, |
5,183 |
9,760 |
YAK BLOCKER
2 LLC*, |
4,791 |
9,021 |
Targus, Inc.*, |
17,838 |
753 |
Targus, Inc.*, |
17,838 |
631 |
Vector Phoenix
Holdings, LP*, |
15,619 |
330 |
Targus, Inc.*, |
17,838 |
203 |
Targus,
Inc.*, |
17,838 |
2 |
Total
Industrial |
|
39,632 |
Communications
0.0% |
|
|
Figs, Inc.
Class A* |
3,754 |
19,896 |
Vacasa,
Inc. Class A* |
511 |
2,351 |
Total
Communications |
|
22,247 |
Financial
0.0% |
|
|
Finance
Co I SARL / Endo US, Inc.*,,1 |
350,000 |
2,685 |
Total Common
Stocks |
|
|
(Cost
$406,009) |
|
342,226 |
PREFERRED
STOCKS 2.2% |
|
|
Financial 2.2% |
|
|
Equitable
Holdings, Inc. |
|
|
4.30% |
140,000 |
2,613,800 |
W R Berkley
Corp. |
|
|
4.13% due
03/30/61 |
95,975 |
1,756,342 |
Kuvare US
Holdings, Inc. |
|
|
7.00% due
02/17/51*,3 |
1,500,000 |
1,496,250 |
Goldman Sachs
Group, Inc. |
|
|
7.50% |
1,000,000 |
1,027,415 |
PartnerRe
Ltd. |
|
|
4.88% |
46,000 |
897,460 |
Selective
Insurance Group, Inc. |
|
|
4.60% |
20,000 |
365,600 |
Reinsurance
Group of America, Inc. |
|
|
7.13% due
10/15/52 |
750 |
19,583 |
See notes to financial statements.
16 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Shares |
Value |
PREFERRED
STOCKS 2.2% (continued) |
|
|
Financial 2.2% (contiued) |
|
|
First Republic
Bank |
|
|
4.25% |
31,650 |
$ 950 |
4.50%
|
17,750 |
532 |
Total
Financial |
|
8,177,932 |
Total Preferred
Stocks |
|
|
(Cost
$11,303,125) |
|
8,177,932 |
WARRANTS
0.0% |
|
|
Ginkgo Bioworks
Holdings, Inc. |
|
|
Expiring
09/16/26* |
9,372 |
375 |
Pershing Square
Tontine Holdings, Ltd. |
|
|
Expiring
07/24/25*,,5 |
23,730 |
3 |
Pershing Square
Holdings, Ltd. |
|
|
Expiring
12/31/49*,,5 |
11,865 |
1 |
Total Warrants |
|
|
(Cost
$21,703) |
|
379 |
CLOSED-END
MUTUAL FUNDS 0.7% |
|
|
Nuveen
Taxable Municipal Income Fund |
180,162 |
2,700,629 |
Total Closed-End
Mutual Funds |
|
|
(Cost
$3,847,812) |
|
2,700,629 |
MONEY MARKET
FUNDS 0.9% |
|
|
Dreyfus Treasury
Securities Cash Management Fund Institutional Shares, 5.19%6 |
3,471,866 |
3,471,866 |
Dreyfus
Treasury Obligations Cash Management Fund Institutional Shares, 5.19%6 |
13,849 |
13,849 |
Total Money
Market Funds |
|
|
(Cost
$3,485,715) |
|
3,485,715 |
|
Face |
|
|
Amount~ |
|
MUNICIPAL
BONDS 68.3% |
|
|
California
10.9% |
|
|
Santa Ana
Unified School District, California, General Obligation Bonds, |
|
|
Federal Taxable
Build America Bonds13 |
|
|
7.10% due
08/01/40 |
7,785,000 |
8,943,870 |
6.80% due
08/01/30 |
2,245,000 |
2,446,952 |
Oakland Unified
School District, County of Alameda, California, Taxable General |
|
|
Obligation
Bonds, Election of 2006, Qualified School Construction |
|
|
Bonds, Series
2012B |
|
|
6.88% due
08/01/33 |
10,000,000 |
10,059,735 |
California
Statewide Communities Development Authority Revenue Bonds |
|
|
7.14% due
08/15/477 |
3,450,000 |
3,659,204 |
California
Public Finance Authority Revenue Bonds |
|
|
3.27% due
10/15/43 |
4,800,000 |
3,353,373 |
See notes to financial statements.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND
& INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 17
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
MUNICIPAL
BONDS 68.3% (continued) |
|
|
California 10.9% (continued) |
|
|
Oakland Unified
School District/Alameda County General Obligation Unlimited |
|
|
3.12%
due 08/01/407 |
2,450,000 |
$ 1,886,555 |
Marin Community
College District General Obligation Unlimited |
|
|
4.03%
due 08/01/387 |
2,000,000 |
1,774,118 |
Moreno Valley
Unified School District General Obligation Unlimited |
|
|
3.82%
due 08/01/44 |
2,000,000 |
1,618,329 |
Hillsborough
City School District General Obligation Unlimited |
|
|
due 09/01/388 |
1,600,000 |
731,250 |
due 09/01/378 |
1,120,000 |
543,499 |
due 09/01/408 |
500,000 |
201,944 |
San Jose Evergreen
Community College District General Obligation Unlimited |
|
|
3.06% due
09/01/457 |
1,500,000 |
1,082,902 |
Manteca Redevelopment
Agency Successor Agency Tax Allocation |
|
|
3.21%
due 10/01/42 |
1,400,000 |
1,042,687 |
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 02/01/26 |
1,000,000 |
1,005,433 |
Monrovia Unified
School District, Los Angeles County, California, Election of 2006 |
|
|
General
Obligation Bonds, Build America Bonds, Federally Taxable13 |
|
|
7.25% due
08/01/28 |
805,000 |
838,311 |
Norman Y Mineta
San Jose International Airport SJC Revenue Bonds |
|
|
2.91% due
03/01/35 |
500,000 |
403,433 |
3.27% due
03/01/40 |
250,000 |
191,029 |
3.29% due
03/01/41 |
70,000 |
52,708 |
Alhambra Unified
School District General Obligation Unlimited |
|
|
6.70% due
02/01/26 |
500,000 |
507,650 |
California
State University Revenue Bonds |
|
|
3.90% due
11/01/47 |
500,000 |
408,687 |
Cypress School
District General Obligation Unlimited |
|
|
6.65% due
08/01/25 |
350,000 |
352,805 |
Fremont Unified
School District/Alameda County California General Obligation Unlimited |
|
|
2.75% due
08/01/41 |
400,000 |
286,989 |
Riverside
County Redevelopment Successor Agency Tax Allocation |
|
|
3.88% due
10/01/37 |
250,000 |
216,306 |
Coast Community
College District General Obligation Unlimited |
|
|
2.98%
due 08/01/39 |
250,000 |
190,655 |
Total
California |
|
41,798,424 |
Texas
10.8% |
|
|
Dallas, Texas,
Convention Center Hotel Development Corporation, |
|
|
Hotel
Revenue Bonds, Taxable Build America Bonds13 |
|
|
7.09% due
01/01/42 |
10,020,000 |
11,167,166 |
Harris County
Cultural Education Facilities Finance Corp. Revenue Bonds |
|
|
3.34% due
11/15/377 |
8,900,000 |
7,254,992 |
See notes to financial statements.
18 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
MUNICIPAL
BONDS 68.3% (continued) |
|
|
Texas 10.8% (continued) |
|
|
Tarrant County
Cultural Education Facilities Finance Corp. Revenue Bonds |
|
|
3.42%
due 09/01/507 |
8,000,000 |
$ 5,520,534 |
Central Texas
Regional Mobility Authority Revenue Bonds |
|
|
3.29%
due 01/01/427 |
5,250,000 |
4,036,749 |
3.27%
due 01/01/457 |
1,150,000 |
818,644 |
City of San
Antonio Texas Electric & Gas Systems Revenue Bonds |
|
|
2.91%
due 02/01/48 |
6,800,000 |
4,843,188 |
Dallas/Fort
Worth International Airport Revenue Bonds |
|
|
2.92%
due 11/01/507 |
6,500,000 |
4,552,422 |
City of Garland
Texas Electric Utility System Revenue Bonds |
|
|
3.15%
due 03/01/51 |
2,400,000 |
1,649,802 |
City of Austin
Texas Rental Car Special Facility Revenue Bonds |
|
|
2.86%
due 11/15/42 |
2,200,000 |
1,561,560 |
Total
Texas |
|
41,405,057 |
Washington
6.0% |
|
|
Central Washington
University Revenue Bonds |
|
|
6.95%
due 05/01/407 |
5,000,000 |
5,487,239 |
Central Washington
University, System Revenue Bonds, 2010, Taxable Build America Bonds13 |
|
|
6.50% due
05/01/307 |
5,000,000 |
5,213,308 |
Washington
State Convention Center Public Facilities District, Lodging Tax Bonds, |
|
|
Taxable
Build America Bonds13 |
|
|
6.79% due
07/01/40 |
4,600,000 |
4,916,218 |
Washington
State University, Housing and Dining System Revenue Bonds, |
|
|
Taxable Build
America Bonds13 |
|
|
7.10% due
04/01/32 |
3,325,000 |
3,560,558 |
County of
Pierce Washington Sewer Revenue Bonds |
|
|
2.87% due
08/01/42 |
4,300,000 |
3,154,703 |
King County
Public Hospital District No. 2 General Obligation Limited |
|
|
3.11%
due 12/01/447 |
1,100,000 |
773,634 |
Total
Washington |
|
23,105,660 |
Pennsylvania
4.8% |
|
|
School District
of Philadelphia, Pennsylvania, General Obligation Bonds, Series 2011A, |
|
|
Qualified
School Construction Bonds (Federally Taxable Direct Subsidy) |
|
|
6.00%
due 09/01/30 |
10,330,000 |
10,775,964 |
Pittsburgh,
Pennsylvania, School District, Taxable Qualified School Construction Bonds |
|
|
6.85%
due 09/01/297 |
6,895,000 |
7,483,292 |
Doylestown
Hospital Authority Revenue Bonds |
|
|
3.95%
due 07/01/24 |
175,000 |
174,637 |
Total
Pennsylvania |
|
18,433,893 |
See notes to financial statements.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND
& INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 19
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
MUNICIPAL
BONDS 68.3% (continued) |
|
|
Illinois 4.5% |
|
|
Chicago, Illinois,
Second Lien Wastewater Transmission Revenue Project Bonds, |
|
|
Taxable
Build America Bonds13 |
|
|
6.90% due
01/01/40 |
5,100,000 |
$ 5,571,087 |
Illinois,
General Obligation Bonds, Taxable Build America Bonds13 |
|
|
7.35% due
07/01/35 |
4,285,714 |
4,596,079 |
Chicago, Illinois,
Second Lien Water Revenue Bonds, Taxable Build America Bonds13 |
|
|
6.74% due
11/01/407 |
2,990,000 |
3,255,914 |
Illinois Housing
Development Authority Revenue Bonds |
|
|
6.10%
due 10/01/49 |
2,000,000 |
2,000,400 |
6.05%
due 10/01/44 |
750,000 |
751,842 |
State of Illinois
General Obligation Unlimited |
|
|
6.63%
due 02/01/35 |
786,923 |
819,626 |
6.73%
due 04/01/35 |
169,231 |
177,105 |
Chicago Board
of Education General Obligation Unlimited |
|
|
6.14%
due 12/01/39 |
195,000 |
186,661 |
Total
Illinois |
|
17,358,714 |
New York
4.0% |
|
|
Westchester
County Health Care Corporation, Revenue Bonds, Taxable Build America Bonds13 |
|
|
8.57% due
11/01/40 |
10,010,000 |
9,952,337 |
Port Authority
of New York & New Jersey Revenue Bonds |
|
|
3.14% due
02/15/517 |
5,000,000 |
3,625,786 |
New York City
Industrial Development Agency Revenue Bonds |
|
|
2.73%
due 03/01/347 |
2,250,000 |
1,805,022 |
Total
New York |
|
15,383,145 |
Ohio
3.7% |
|
|
County of
Franklin Ohio Revenue Bonds |
|
|
2.88%
due 11/01/50 |
8,900,000 |
5,769,882 |
American Municipal
Power, Inc., Combined Hydroelectric Projects Revenue Bonds, |
|
|
New Clean
Renewable Energy Bonds |
|
|
7.33%
due 02/15/287 |
5,000,000 |
5,203,929 |
Madison Local
School District, Richland County, Ohio, School Improvement, |
|
|
Taxable
Qualified School Construction Bonds |
|
|
6.65%
due 12/01/29 |
2,500,000 |
2,503,035 |
Toronto City
School District, Ohio, Qualified School Construction Bonds |
|
|
General
Obligation Bonds |
|
|
7.00%
due 12/01/28 |
670,000 |
670,920 |
Total
Ohio |
|
14,147,766 |
Oklahoma
3.4% |
|
|
Oklahoma Development
Finance Authority Revenue Bonds |
|
|
5.45%
due 08/15/28 |
10,950,000 |
10,296,069 |
Tulsa Airports
Improvement Trust Revenue Bonds |
|
|
3.10%
due 06/01/45 |
3,700,000 |
2,567,894 |
See notes to financial statements.
20 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
MUNICIPAL
BONDS 68.3% (continued) |
|
|
Oklahoma 3.4% (continued) |
|
|
Oklahoma State
University Revenue Bonds |
|
|
4.13%
due 08/01/48 |
150,000 |
$
123,426 |
Total
Oklahoma |
|
12,987,389 |
West Virginia
3.1% |
|
|
State of West
Virginia, Higher Education Policy Commission, Revenue Bonds, |
|
|
Federally
Taxable Build America Bonds 201013 |
|
|
7.65%
due 04/01/407 |
10,000,000 |
11,801,310 |
Indiana
3.0% |
|
|
Evansville-Vanderburgh
School Building Corp. Revenue Bonds |
|
|
6.50%
due 01/15/307 |
8,690,000 |
8,840,686 |
County of
Knox Indiana Revenue Bonds |
|
|
5.90%
due 04/01/34 |
2,920,000 |
2,796,922 |
Total
Indiana |
|
11,637,608 |
Michigan
2.0% |
|
|
Detroit City
School District General Obligation Unlimited |
|
|
7.75%
due 05/01/39 |
2,440,000 |
2,801,844 |
Detroit, Michigan,
School District, School Building and Site Bonds, Unlimited Tax |
|
|
General
Obligation Bonds, Taxable Qualified School Construction Bonds |
|
|
6.65%
due 05/01/297 |
2,640,000 |
2,785,542 |
Fraser Public
School District, Macomb County, Michigan, General Obligation |
|
|
Federally
Taxable School Construction Bonds, 2011 School Building and Site Bonds |
|
|
6.05%
due 05/01/26 |
1,010,000 |
1,010,567 |
Oakridge,
Michigan, Public Schools, Unlimited Tax General Obligation Bonds |
|
|
6.75%
due 05/01/26 |
675,000 |
675,730 |
Comstock Park
Public Schools General Obligation Unlimited |
|
|
6.30%
due 05/01/26 |
415,000 |
415,312 |
Total
Michigan |
|
7,688,995 |
Colorado
1.6% |
|
|
Colorado Housing
and Finance Authority Revenue Bonds |
|
|
5.60%
due 11/01/43 |
1,700,000 |
1,658,157 |
5.50%
due 11/01/39 |
1,250,000 |
1,218,038 |
Colorado,
Building Excellent Schools Today, Certificates of Participation, |
|
|
Taxable Qualified
School Construction |
|
|
6.82% due
03/15/28 |
2,500,000 |
2,648,859 |
University
of Colorado Revenue Bonds |
|
|
2.81%
due 06/01/487 |
920,000 |
619,892 |
Total
Colorado |
|
6,144,946 |
South Carolina
1.5% |
|
|
County of
Horry South Carolina Airport Revenue Bonds,Build America Bonds13 |
|
|
7.33%
due 07/01/40 7 |
5,000,000 |
5,807,757 |
See notes to financial statements.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND
& INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 21
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
MUNICIPAL
BONDS 68.3% (continued) |
|
|
New Jersey 1.2% |
|
|
New Jersey
Educational Facilities Authority Revenue Bonds |
|
|
3.51%
due 07/01/427 |
3,500,000 |
$ 2,672,755 |
New Jersey
Turnpike Authority Revenue Bonds |
|
|
2.78%
due 01/01/407 |
2,500,000 |
1,839,964 |
Total
New Jersey |
|
4,512,719 |
Massachusetts
1.1% |
|
|
Massachusetts
Port Authority Revenue Bonds |
|
|
2.72%
due 07/01/42 |
3,400,000 |
2,447,167 |
2.87%
due 07/01/51 |
750,000 |
487,778 |
Massachusetts
Development Finance Agency Revenue Bonds |
|
|
3.52%
due 10/01/46 |
2,250,000 |
1,531,490 |
Total
Massachusetts |
|
4,466,435 |
Alabama
1.1% |
|
|
Auburn University
Revenue Bonds |
|
|
2.68%
due 06/01/507 |
6,500,000 |
4,284,956 |
Mississippi
0.9% |
|
|
Medical Center
Educational Building Corp. Revenue Bonds |
|
|
2.92%
due 06/01/41 |
4,500,000 |
3,382,233 |
New Hampshire
0.9% |
|
|
New Hampshire
Business Finance Authority Revenue Bonds |
|
|
3.27%
due 05/01/517 |
4,800,000 |
3,254,122 |
Virginia
0.7% |
|
|
Virginia Housing
Development Authority Revenue Bonds |
|
|
5.57%
due 10/01/49 |
1,700,000 |
1,633,814 |
5.95%
due 10/01/54 |
1,000,000 |
991,407 |
Total
Virginia |
|
2,625,221 |
Maryland
0.7% |
|
|
Maryland Department
of Housing & Community Development Revenue Bonds |
|
|
6.04%
due 09/01/49 |
2,500,000 |
2,489,097 |
Louisiana
0.5% |
|
|
State of Louisiana
Gasoline & Fuels Tax Revenue Bonds |
|
|
3.05%
due 05/01/387 |
2,500,000 |
1,993,829 |
Idaho
0.5% |
|
|
Idaho Housing
& Finance Association Revenue Bonds |
|
|
5.55%
due 07/01/49 |
2,000,000 |
1,918,182 |
District
of Columbia 0.4% |
|
|
District of
Columbia Revenue Bonds |
|
|
6.73%
due 09/01/473 |
1,200,000 |
1,298,003 |
Washington
Convention & Sports Authority Revenue Bonds |
|
|
4.31%
due 10/01/40 |
100,000 |
89,262 |
Total
District of Columbia |
|
1,387,265 |
See notes to financial statements.
22 l GBAB l GUGGENHEIM TAXABLE
MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
MUNICIPAL
BONDS 68.3% (continued) |
|
|
Tennessee 0.3% |
|
|
Tennessee
Housing Development Agency Revenue Bonds |
|
|
5.98%
due 07/01/54 |
500,000 |
$ 491,102 |
5.97%
due 07/01/54 |
500,000 |
490,637 |
Total
Tennessee |
|
981,739 |
Connecticut
0.2% |
|
|
Connecticut
Housing Finance Authority Revenue Bonds |
|
|
6.09%
due 11/15/49 |
800,000 |
804,114 |
Kentucky
0.1% |
|
|
Kentucky Housing
Corp. Revenue Bonds |
|
|
5.90%
due 01/01/55 |
500,000 |
496,349 |
Iowa
0.1% |
|
|
Iowa Finance
Authority Revenue Bonds |
|
|
5.92%
due 07/01/49 |
500,000 |
493,840 |
Nevada
0.1% |
|
|
Nevada Housing
Division Revenue Bonds |
|
|
5.84%
due 10/01/49 |
250,000 |
245,693 |
Minnesota
0.1% |
|
|
City of State
Paul Minnesota Sales & Use Tax Revenue Tax Allocation |
|
|
3.89%
due 11/01/35 |
250,000 |
219,299 |
Arkansas
0.1% |
|
|
University
of Arkansas Revenue Bonds |
|
|
3.10%
due 12/01/41 |
250,000 |
192,959 |
Total Municipal
Bonds |
|
|
(Cost
$285,979,856) |
|
261,448,716 |
CORPORATE
BONDS 33.9% |
|
|
Financial 14.3% |
|
|
Central Storage
Safety Project Trust |
|
|
4.82%
due 02/01/381 |
6,711,712 |
5,824,503 |
Wilton RE
Ltd. |
|
|
6.00%3,4,9 |
3,800,000 |
3,420,115 |
Blue Owl Finance
LLC |
|
|
4.38% due
02/15/323,7 |
2,150,000 |
1,915,160 |
Intact Financial Corp. |
|
|
5.46%
due 09/22/323,7 |
1,900,000 |
1,880,651 |
Ares Finance Company IV LLC |
|
|
3.65%
due 02/01/523,7 |
2,650,000 |
1,822,895 |
Accident Fund Insurance Company
of America |
|
|
8.50%
due 08/01/323,7 |
1,750,000 |
1,706,186 |
Pershing Square Holdings Ltd. |
|
|
3.25%
due 10/01/31 |
2,100,000 |
1,678,400 |
See notes to financial statements.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND
& INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 23
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
CORPORATE
BONDS 33.9% (continued) |
|
|
Financial 14.3% (continued) |
|
|
Maple Grove
Funding Trust I |
|
|
4.16%
due 08/15/513,7 |
2,500,000 |
$ 1,674,660 |
Liberty Mutual Group, Inc. |
|
|
4.30%
due 02/01/613 |
2,700,000 |
1,622,613 |
Global Atlantic
Finance Co. |
|
|
4.70%
due 10/15/513,4,7 |
1,450,000 |
1,311,700 |
6.75% due
03/15/543 |
260,000 |
259,726 |
Jefferies Finance
LLC / JFIN Company-Issuer Corp. |
|
|
5.00%
due 08/15/283,7 |
1,500,000 |
1,378,979 |
National Life Insurance Co. |
|
|
10.50%
due 09/15/393 |
900,000 |
1,127,774 |
Stewart Information
Services Corp. |
|
|
3.60%
due 11/15/31 |
1,350,000 |
1,120,752 |
Prudential
Financial, Inc. |
|
|
5.13%
due 03/01/524 |
1,200,000 |
1,114,501 |
United Wholesale
Mortgage LLC |
|
|
5.50%
due 11/15/253 |
1,100,000 |
1,090,060 |
FS KKR Capital
Corp. |
|
|
3.25%
due 07/15/27 |
1,150,000 |
1,043,506 |
Jefferies Financial
Group, Inc. |
|
|
6.20%
due 04/14/34 |
1,000,000 |
1,003,846 |
Nuveen LLC |
|
|
5.85%
due 04/15/343 |
1,000,000 |
1,002,528 |
Macquarie
Bank Ltd. |
|
|
3.05%
due 03/03/363,4 |
1,200,000 |
996,291 |
Encore Capital Group, Inc. |
|
|
9.25%
due 04/01/293 |
500,000 |
520,347 |
8.50%
due 05/15/303 |
450,000 |
450,474 |
Jane Street
Group / JSG Finance, Inc. |
|
|
7.13%
due 04/30/313 |
950,000 |
967,180 |
JPMorgan Chase
& Co. |
|
|
5.72%
due 09/14/334,7 |
950,000 |
960,840 |
Swiss Re Finance Luxembourg
S.A. |
|
|
5.00%
due 04/02/493,4 |
1,000,000 |
960,360 |
Horace Mann Educators Corp. |
|
|
7.25%
due 09/15/28 |
900,000 |
948,562 |
Nippon Life Insurance Co. |
|
|
5.95%
due 04/16/543,4 |
950,000 |
945,205 |
AmFam Holdings, Inc. |
|
|
3.83%
due 03/11/513,7 |
1,600,000 |
942,706 |
Kennedy-Wilson, Inc. |
|
|
5.00%
due 03/01/31 |
1,150,000 |
914,885 |
UBS AG NY |
|
|
7.95%
due 01/09/257 |
900,000 |
911,375 |
See notes to financial statements.
24 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
CORPORATE
BONDS 33.9% (continued) |
|
|
Financial
14.3% (continued) |
|
|
Safehold GL
Holdings LLC |
|
|
6.10% due
04/01/34 |
900,000 |
$ 892,068 |
NatWest Group
plc |
|
|
7.47% due
11/10/264,7 |
850,000 |
870,524 |
Corebridge
Financial, Inc. |
|
|
6.88%
due 12/15/524 |
840,000 |
845,266 |
LPL Holdings,
Inc. |
|
|
4.38% due
05/15/313 |
650,000 |
592,174 |
6.00% due
05/20/34 |
220,000 |
220,721 |
Lincoln National
Corp. |
|
|
5.85% due
03/15/34 |
800,000 |
795,777 |
Toronto-Dominion
Bank |
|
|
8.13% due
10/31/824 |
750,000 |
777,329 |
Blue Owl Capital
GP LLC |
|
|
7.21% due
08/22/43 |
750,000 |
761,682 |
Keenan Fort
Detrick Energy LLC |
|
|
4.17%
due 11/15/483 |
1,000,000 |
759,336 |
Standard Chartered
plc |
|
|
7.78% due
11/16/253,4,7 |
750,000 |
756,430 |
CNO Financial Group, Inc. |
|
|
6.45%
due 06/15/34 |
750,000 |
752,132 |
Lazard Group LLC |
|
|
6.00%
due 03/15/31 |
660,000 |
665,986 |
QBE Insurance Group Ltd. |
|
|
5.88%
3,4,9 |
650,000 |
641,261 |
Bank of Nova
Scotia |
|
|
8.63% due
10/27/824 |
550,000 |
574,193 |
Nationstar
Mortgage Holdings, Inc. |
|
|
5.00% due
02/01/263 |
560,000 |
549,446 |
HUB International
Ltd. |
|
|
5.63% due
12/01/293 |
550,000 |
510,287 |
Belvoir Land
LLC |
|
|
5.60% due
12/15/353 |
500,000 |
468,224 |
Dyal Capital
Partners III (B) LP |
|
|
6.55% due
06/15/44 |
440,000 |
428,547 |
MidCap Funding
XLVI Trust |
|
|
8.82%
(1 Month Term SOFR + 3.50%, Rate Floor: 0.00%) due 04/15/27◊, |
400,000 |
400,000 |
OneMain Finance
Corp. |
|
|
9.00% due
01/15/29 |
350,000 |
367,398 |
Iron Mountain
Information Management Services, Inc. |
|
|
5.00% due
07/15/323 |
300,000 |
270,385 |
Australia
& New Zealand Banking Group Ltd. |
|
|
2.57%
due 11/25/353,4 |
200,000 |
163,390 |
Total
Financial |
|
54,579,336 |
See notes to financial statements.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 25
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
CORPORATE
BONDS 33.9% (continued) |
|
|
Consumer, Non-cyclical
4.6% |
|
|
Beth Israel
Lahey Health, Inc. |
|
|
3.08%
due 07/01/517 |
2,500,000 |
$ 1,575,118 |
Tufts Medical
Center, Inc. |
|
|
7.00%
due 01/01/38 |
1,500,000 |
1,520,775 |
Post Holdings,
Inc. |
|
|
4.50%
due 09/15/313 |
1,300,000 |
1,150,677 |
Universal
Health Services, Inc. |
|
|
2.65%
due 01/15/327 |
1,300,000 |
1,056,671 |
JBS USA Holding
Lux SARL/ JBS USA Food Company/ JBS Lux Co SARL |
|
|
5.75%
due 04/01/33 |
1,050,000 |
1,034,764 |
Reynolds American,
Inc. |
|
|
5.70%
due 08/15/35 |
1,050,000 |
1,029,734 |
GXO Logistics,
Inc. |
|
|
6.50%
due 05/06/34 |
1,000,000 |
1,017,064 |
Altria Group,
Inc. |
|
|
3.70%
due 02/04/517 |
1,500,000 |
1,011,263 |
HCA, Inc. |
|
|
4.63%
due 03/15/52 |
1,200,000 |
967,296 |
Amgen, Inc. |
|
|
4.40%
due 02/22/62 |
1,200,000 |
952,285 |
JBS USA LUX
S.A. / JBS USA Food Company / JBS USA Finance, Inc. |
|
|
4.38%
due 02/02/52 |
1,200,000 |
888,800 |
Sothebys |
|
|
7.38%
due 10/15/273 |
1,000,000 |
870,447 |
BCP V Modular
Services Finance II plc |
|
|
6.13%
due 10/30/283 |
GBP 750,000 |
867,447 |
BAT Capital
Corp. |
|
|
7.08%
due 08/02/43 |
800,000 |
854,748 |
AZ Battery
Property LLC |
|
|
6.73%
due 02/20/46 |
680,000 |
668,803 |
Baylor College
of Medicine |
|
|
5.26%
due 11/15/46 |
600,000 |
561,552 |
Triton Container
International Ltd. |
|
|
3.15%
due 06/15/313 |
650,000 |
537,379 |
Medline Borrower,
LP |
|
|
5.25%
due 10/01/293 |
450,000 |
424,204 |
Kronos Acquisition
Holdings, Inc. / KIK Custom Products, Inc. |
|
|
7.00%
due 12/31/273 |
260,000 |
255,451 |
Upbound Group,
Inc. |
|
|
6.38%
due 02/15/293 |
250,000 |
241,068 |
OhioHealth
Corp. |
|
|
2.83%
due 11/15/41 |
300,000 |
216,497 |
Total
Consumer, Non-cyclical |
|
17,702,043 |
See notes to financial statements.
26 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
CORPORATE
BONDS 33.9% (continued) |
|
|
Consumer,
Cyclical 4.0% |
|
|
Delta Air
Lines, Inc. |
|
|
7.00% due
05/01/253,7 |
4,019,000 |
$ 4,056,435 |
United Airlines,
Inc. |
|
|
4.63%
due 04/15/293,7 |
2,200,000 |
2,033,463 |
Warnermedia
Holdings, Inc. |
|
|
5.14%
due 03/15/52 |
1,150,000 |
907,820 |
6.41%
due 03/15/26 |
900,000 |
899,962 |
Hyatt Hotels
Corp. |
|
|
5.75%
due 04/23/30 |
1,100,000 |
1,118,218 |
Flutter Treasury
Designated Activity Co. |
|
|
6.38%
due 04/29/293 |
1,000,000 |
1,005,109 |
LKQ Corp. |
|
|
6.25% due
06/15/33 |
950,000 |
976,209 |
Air Canada |
|
|
4.63% due
08/15/293 |
CAD 1,050,000 |
737,585 |
PetSmart,
Inc. / PetSmart Finance Corp. |
|
|
4.75% due
02/15/283 |
600,000 |
557,222 |
Evergreen
Acqco 1 Limited Partnership / TVI, Inc. |
|
|
9.75% due
04/26/283 |
485,000 |
514,293 |
Polaris, Inc. |
|
|
6.95% due
03/15/29 |
450,000 |
472,038 |
Wabash National
Corp. |
|
|
4.50% due
10/15/283 |
500,000 |
451,248 |
Hanesbrands,
Inc. |
|
|
9.00% due
02/15/313 |
400,000 |
408,348 |
Hasbro, Inc. |
|
|
6.05% due
05/14/34 |
350,000 |
348,764 |
Suburban Propane
Partners Limited Partnership/Suburban Energy Finance Corp. |
|
|
5.00% due
06/01/313 |
300,000 |
269,227 |
Superior Plus
Limited Partnership / Superior General Partner, Inc. |
|
|
4.50% due
03/15/293 |
250,000 |
227,436 |
Station Casinos
LLC |
|
|
4.63%
due 12/01/313 |
200,000 |
175,148 |
Total
Consumer, Cyclical |
|
15,158,525 |
Industrial
2.9% |
|
|
IP Lending
V Ltd. |
|
|
5.13% due
04/02/26,3 |
1,200,000 |
1,149,720 |
IP Lending X Ltd. |
|
|
7.75%
due 07/02/29,3 |
1,125,000 |
1,138,500 |
Fortune Brands Innovations,
Inc. |
|
|
4.50%
due 03/25/52 |
1,300,000 |
1,028,168 |
Cellnex Finance Company S.A. |
|
|
3.88%
due 07/07/413 |
1,250,000 |
970,159 |
See notes to financial statements.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 27
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
CORPORATE
BONDS 33.9% (continued) |
|
|
Industrial 2.9% (continued) |
|
|
LBJ Infrastructure
Group LLC |
|
|
3.80%
due 12/31/573 |
1,500,000 |
$ 960,167 |
TD SYNNEX
Corp. |
|
|
6.10%
due 04/12/34 |
850,000 |
856,716 |
Dyal Capital
Partners IV |
|
|
3.65%
due 02/22/41 |
1,000,000 |
835,921 |
Boeing Co. |
|
|
6.86%
due 05/01/543 |
450,000 |
456,400 |
6.53%
due 05/01/343 |
350,000 |
354,872 |
GrafTech Global
Enterprises, Inc. |
|
|
9.88%
due 12/15/283,7 |
1,000,000 |
754,806 |
Deuce FinCo plc |
|
|
5.50%
due 06/15/273 |
GBP 500,000 |
603,170 |
Summit Materials
LLC / Summit Materials Finance Corp. |
|
|
6.50%
due 03/15/273 |
600,000 |
597,261 |
New Enterprise
Stone & Lime Company, Inc. |
|
|
9.75%
due 07/15/283 |
575,000 |
588,669 |
Dyal Capital
Partners III (A) LP |
|
|
6.55%
due 06/15/44 |
560,000 |
545,423 |
Ardagh Metal
Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc |
|
|
4.00%
due 09/01/293 |
400,000 |
330,231 |
Total
Industrial |
|
11,170,183 |
Energy
2.6% |
|
|
Occidental
Petroleum Corp. |
|
|
7.00%
due 11/15/27 |
2,000,000 |
2,024,828 |
Valero Energy
Corp. |
|
|
4.00%
due 06/01/527 |
2,450,000 |
1,802,924 |
ITT Holdings
LLC |
|
|
6.50%
due 08/01/293 |
1,250,000 |
1,144,133 |
NuStar Logistics,
LP |
|
|
6.38%
due 10/01/30 |
1,000,000 |
996,968 |
Targa Resources
Partners Limited Partnership / Targa Resources Partners Finance Corp. |
|
|
4.88%
due 02/01/31 |
1,000,000 |
949,701 |
Venture Global
LNG, Inc. |
|
|
9.88%
due 02/01/323 |
750,000 |
804,221 |
Global Partners
Limited Partnership / GLP Finance Corp. |
|
|
8.25%
due 01/15/323 |
450,000 |
462,975 |
Kinder Morgan,
Inc. |
|
|
5.20%
due 06/01/33 |
400,000 |
386,121 |
Parkland Corp. |
|
|
4.63%
due 05/01/303 |
300,000 |
272,675 |
Buckeye Partners,
LP |
|
|
4.35%
due 10/15/24 |
250,000 |
248,286 |
See notes to financial statements.
28 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
CORPORATE
BONDS 33.9% (continued) |
|
|
Energy
2.6% (continued) |
|
|
Greensaif
Pipelines Bidco SARL |
|
|
6.51% due
02/23/423 |
200,000 |
$ 207,071 |
Viper Energy,
Inc. |
|
|
7.38% due
11/01/313 |
200,000 |
206,581 |
Venture Global
Calcasieu Pass LLC |
|
|
6.25% due
01/15/303 |
200,000 |
200,481 |
CVR Energy,
Inc. |
|
|
5.75%
due 02/15/283 |
125,000 |
115,366 |
Total
Energy |
|
9,822,331 |
Communications
2.5% |
|
|
British Telecommunications
plc |
|
|
4.88% due
11/23/813,4,7 |
1,700,000 |
1,524,858 |
McGraw-Hill Education, Inc. |
|
|
8.00%
due 08/01/293 |
850,000 |
792,438 |
5.75% due
08/01/283 |
300,000 |
279,910 |
Rogers Communications,
Inc. |
|
|
4.50% due
03/15/42 |
1,150,000 |
971,663 |
LCPR Senior
Secured Financing DAC |
|
|
5.13% due
07/15/293 |
1,150,000 |
965,384 |
Charter Communications
Operating LLC / Charter Communications Operating Capital |
|
|
5.25% due
04/01/53 |
1,200,000 |
946,265 |
Corning, Inc. |
|
|
4.38% due
11/15/577 |
1,200,000 |
935,174 |
Altice France
S.A. |
|
|
5.50% due
10/15/293 |
900,000 |
603,787 |
5.13% due
07/15/293 |
350,000 |
234,730 |
Vodafone Group
plc |
|
|
5.13% due
06/04/814 |
1,100,000 |
808,934 |
Sunrise FinCo
I BV |
|
|
4.88% due
07/15/313 |
700,000 |
624,820 |
Level 3 Financing,
Inc. |
|
|
11.00% due
11/15/293 |
347,400 |
356,145 |
CSC Holdings
LLC |
|
|
11.25%
due 05/15/283 |
250,000 |
201,720 |
Telenet Finance
Luxembourg Notes SARL |
|
|
5.50%
due 03/01/28 |
200,000 |
188,728 |
Total
Communications |
|
9,434,556 |
Utilities
1.2% |
|
|
Brooklyn Union
Gas Co. |
|
|
6.39% due
09/15/333,7 |
2,000,000 |
2,038,466 |
Alexander
Funding Trust II |
|
|
7.47%
due 07/31/283,7 |
900,000 |
945,524 |
Ohio Edison
Co. |
|
|
5.50%
due 01/15/333,7 |
950,000 |
938,706 |
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND
& INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 29
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
CORPORATE
BONDS 33.9% (continued) |
|
|
Utilities
1.2% (continued) |
|
|
NRG Energy,
Inc. |
|
|
7.00% due
03/15/333 |
450,000 |
$ 475,553 |
Black Hills
Corp. |
|
|
5.95%
due 03/15/28 |
200,000 |
203,957 |
Total
Utilities |
|
4,602,206 |
Technology
1.0% |
|
|
Broadcom,
Inc. |
|
|
3.19% due
11/15/363 |
1,300,000 |
1,020,353 |
Foundry JV
Holdco LLC |
|
|
6.40% due
01/25/383 |
550,000 |
564,374 |
5.88% due
01/25/343 |
400,000 |
397,929 |
Oracle Corp. |
|
|
3.95% due
03/25/51 |
1,100,000 |
810,356 |
CDW LLC /
CDW Finance Corp. |
|
|
3.57% due
12/01/31 |
800,000 |
690,884 |
Dye &
Durham Ltd. |
|
|
8.63% due
04/15/293 |
310,000 |
313,871 |
Central Parent
LLC / CDK Global II LLC / CDK Financing Company, Inc. |
|
|
8.00%
due 06/15/293 |
200,000 |
205,330 |
Total
Technology |
|
4,003,097 |
Basic Materials
0.8% |
|
|
Alcoa Nederland
Holding BV |
|
|
4.13% due
03/31/293 |
1,100,000 |
1,012,448 |
ArcelorMittal
S.A. |
|
|
6.55% due
11/29/27 |
900,000 |
929,900 |
SK Invictus
Intermediate II SARL |
|
|
5.00% due
10/30/293 |
700,000 |
621,206 |
SCIL IV LLC
/ SCIL USA Holdings LLC |
|
|
5.38% due
11/01/263 |
600,000 |
576,855 |
Mirabela Nickel
Ltd. |
|
|
due
06/24/19,1,15 |
96,316 |
482 |
Total
Basic Materials |
|
3,140,891 |
Total Corporate
Bonds |
|
|
(Cost
$142,512,771) |
|
129,613,168 |
ASSET-BACKED
SECURITIES 14.0% |
|
|
Collateralized Loan Obligations
4.0% |
|
|
ABPCI Direct
Lending Fund IX LLC |
|
|
2021-9A BR,
8.09% (3 Month Term SOFR + 2.76%, Rate Floor: 2.50%) |
|
|
due 11/18/31◊,3 |
2,500,000 |
2,442,490 |
30 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
ASSET-BACKED
SECURITIES 14.0% (continued) |
|
|
Collateralized Loan Obligations
4.0% (continued) |
|
|
Cerberus Loan
Funding XLIV LLC |
|
|
2024-5A C,
9.30% (3 Month Term SOFR + 4.20%, Rate Floor: 4.20%) |
|
|
due 01/15/36◊,3 |
1,400,000 |
$ 1,407,668 |
Cerberus Loan
Funding XLII LLC |
|
|
2023-3A C,
9.48% (3 Month Term SOFR + 4.15%, Rate Floor: 4.15%) |
|
|
due 09/13/35◊,3 |
1,250,000 |
1,251,426 |
Cerberus Loan
Funding XLVII LLC |
|
|
2024-3A C,
due 07/15/36◊,3 |
1,200,000 |
1,200,860 |
Owl Rock CLO
I LLC |
|
|
2024-1A C,
9.58% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) |
|
|
due 02/20/36◊,3 |
1,050,000 |
1,053,830 |
Cerberus Loan
Funding XLV LLC |
|
|
2024-1A C,
8.47% (3 Month Term SOFR + 3.15%, Rate Floor: 3.15%) |
|
|
due 04/15/36◊,3 |
1,000,000 |
1,003,242 |
ABPCI Direct
Lending Fund CLO II LLC |
|
|
2021-1A CR,
8.74% (3 Month Term SOFR + 3.41%, Rate Floor: 3.15%) |
|
|
due 04/20/32◊,3 |
1,000,000 |
1,001,951 |
Cerberus Loan
Funding XLVI, LP |
|
|
2024-2A C,
8.36% (3 Month Term SOFR + 3.05%, Rate Floor: 3.05%) |
|
|
due 07/15/36◊,3 |
950,000 |
949,898 |
GoldentTree
Loan Management US CLO 1 Ltd. |
|
|
2024-9A DR,
8.68% (3 Month Term SOFR + 3.35%, Rate Floor: 3.35%) |
|
|
due 04/20/37◊,3 |
800,000 |
808,184 |
Carlyle Direct
Lending CLO LLC |
|
|
2024-1A BR,
due 07/15/36◊,3 |
800,000 |
800,000 |
Cerberus Loan
Funding XL LLC |
|
|
2023-1A C,
9.73% (3 Month Term SOFR + 4.40%, Rate Floor: 4.40%) |
|
|
due 03/22/35◊,3 |
750,000 |
754,552 |
KREF Ltd. |
|
|
2021-FL2
AS, 6.74% (1 Month Term SOFR + 1.41%, Rate Floor: 1.30%) |
|
|
due 02/15/39◊,3 |
650,000 |
626,396 |
Owl Rock CLO
XVI |
|
|
2024-16A
C, 8.62% (3 Month Term SOFR + 3.30%, Rate Floor: 3.30%) |
|
|
due 04/20/36◊,3 |
600,000 |
604,705 |
Golub Capital
Partners CLO 46M Ltd. |
|
|
2024-46A
CR, 8.37% (3 Month Term SOFR + 3.05%, Rate Floor: 3.05%) |
|
|
due 04/20/37◊,3 |
500,000 |
499,959 |
Madison Park
Funding LVIII Ltd. |
|
|
2024-58A
D, 8.97% (3 Month Term SOFR + 3.65%, Rate Floor: 3.65%) |
|
|
due 04/25/37◊,3 |
400,000 |
414,285 |
Ares Direct
Lending CLO 1 LLC |
|
|
2024-1A B,
7.59% (3 Month Term SOFR + 2.20%, Rate Floor: 2.20%) |
|
|
due 04/25/36◊,3 |
250,000 |
249,989 |
WhiteHorse
X Ltd. |
|
|
2015-10A
E, 10.88% (3 Month Term SOFR + 5.56%, Rate Floor: 5.30%) |
|
|
due 04/17/27◊,3 |
173,697 |
173,676 |
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND
& INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 31
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
ASSET-BACKED
SECURITIES 14.0% (continued) |
|
|
Collateralized Loan Obligations
4.0% (continued) |
|
|
BNPP IP CLO
Ltd. |
|
|
2014-2A E,
10.84% (3 Month Term SOFR + 5.51%, Rate Floor: 0.00%) |
|
|
due 10/30/25◊,3 |
289,757 |
$ 101,160 |
WhiteHorse
VIII Ltd. |
|
|
2014-1A E,
10.14% (3 Month Term SOFR + 4.81%, Rate Floor: 0.00%) |
|
|
due
05/01/26◊,3 |
69,076 |
53,235 |
Total
Collateralized Loan Obligations |
|
15,397,506 |
Financial
4.0% |
|
|
Thunderbird
A |
|
|
5.50% due
03/01/37 |
4,550,000 |
4,138,040 |
Lightning
A |
|
|
5.50% due
03/01/37 |
4,550,000 |
4,138,040 |
HV Eight LLC |
|
|
7.48% (3
Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 12/31/27◊, |
EUR 1,502,255 |
1,612,319 |
KKR Core Holding
Company LLC |
|
|
4.00% due
08/12/31 |
1,513,633 |
1,340,223 |
Project Onyx
I |
|
|
8.45% (3
Month Term SOFR + 3.15%, Rate Floor: 3.15%) due 01/26/27◊, |
1,236,394 |
1,234,885 |
Endo Luxembourg
Finance Co I SARL / Endo US, Inc. |
|
|
due 12/15/4114 |
1,000,000 |
1,000,390 |
Ceamer Finance
LLC |
|
|
6.92% due
11/15/37 |
893,504 |
860,328 |
LVNV Funding
LLC |
|
|
7.80% due
11/05/28 |
650,000 |
659,251 |
Project Onyx
II |
|
|
8.45%
(3 Month Term SOFR + 3.15%, Rate Floor: 3.15%) due 01/26/27◊, |
373,410 |
371,221 |
Total
Financial |
|
15,354,697 |
Infrastructure
2.0% |
|
|
VB-S1 Issuer
LLC VBTEL |
|
|
2022-1A,
4.29% due 02/15/523 |
5,000,000 |
4,630,573 |
Hotwire Funding
LLC |
|
|
2023-1A,
8.84% due 05/20/533 |
1,900,000 |
1,876,222 |
2024-1A,
6.67% due 06/20/543 |
100,000 |
100,477 |
Aligned Data
Centers Issuer LLC |
|
|
2021-1A,
1.94% due 08/15/463 |
1,000,000 |
915,180 |
Switch ABS
Issuer LLC |
|
|
2024-1A,
6.28% due 03/25/543 |
150,000 |
149,171 |
Total
Infrastructure |
|
7,671,623 |
Transport-Aircraft
1.7% |
|
|
GAIA Aviation
Ltd. |
|
|
2019-1, 3.97%
due 12/15/443,10 |
2,286,316 |
2,080,650 |
Navigator
Aircraft ABS Ltd. |
|
|
2021-1, 2.77%
due 11/15/463 |
1,030,506 |
920,032 |
32 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
ASSET-BACKED
SECURITIES 14.0% (continued) |
|
|
Transport-Aircraft
1.7% (continued) |
|
|
JOL Air Ltd. |
|
|
2019-1, 3.97%
due 04/15/443 |
815,973 |
$ 758,880 |
Sprite Ltd. |
|
|
2021-1, 3.75%
due 11/15/463 |
795,856 |
743,544 |
Start Ltd. |
|
|
2018-1, 4.09%
due 05/15/433 |
781,156 |
734,798 |
Labrador Aviation
Finance Ltd. |
|
|
2016-1A,
4.30% due 01/15/423 |
538,364 |
492,764 |
AASET Trust |
|
|
2021-2A,
2.80% due 01/15/473 |
393,381 |
347,104 |
Castlelake
Aircraft Structured Trust |
|
|
2021-1A,
6.66% due 01/15/463 |
273,234 |
254,381 |
Total
Transport-Aircraft |
|
6,332,153 |
Whole Business
1.0% |
|
|
Applebees
Funding LLC / IHOP Funding LLC |
|
|
2019-1A,
4.72% due 06/05/493 |
990,000 |
950,536 |
Subway Funding
LLC |
|
|
2024-1A,
due 07/30/543,14 |
950,000 |
950,000 |
SERVPRO Master
Issuer LLC |
|
|
2019-1A,
3.88% due 10/25/493 |
955,000 |
902,576 |
2021-1A,
2.39% due 04/25/513 |
48,500 |
42,355 |
Sonic Capital
LLC |
|
|
2021-1A,
2.64% due 08/20/513 |
1,168,000 |
930,654 |
Total
Whole Business |
|
3,776,121 |
Net Lease
0.6% |
|
|
CARS-DB7,
LP |
|
|
2023-1A,
6.50% due 09/15/533 |
991,667 |
981,754 |
SVC ABS LLC |
|
|
2023-1A,
5.55% due 02/20/533 |
996,875 |
931,454 |
CARS-DB4,
LP |
|
|
2020-1A,
4.95% due 02/15/503 |
500,000 |
425,893 |
Total
Net Lease |
|
2,339,101 |
Single
Family Residence 0.5% |
|
|
FirstKey Homes
Trust |
|
|
2022-SFR3,
4.50% due 07/17/383 |
1,000,000 |
967,648 |
2020-SFR2,
4.50% due 10/19/373 |
400,000 |
381,190 |
2020-SFR2,
4.00% due 10/19/373 |
400,000 |
380,349 |
2020-SFR2,
3.37% due 10/19/373 |
250,000 |
236,415 |
Total
Single Family Residence |
|
1,965,602 |
Insurance
0.1% |
|
|
CHEST |
|
|
7.13%
due 03/15/43 |
475,000 |
478,627 |
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND
& INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 33
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
ASSET-BACKED
SECURITIES 14.0% (continued) |
|
|
Unsecured Consumer Loans
0.1% |
|
|
Service Experts
Issuer LLC |
|
|
2024-1A,
6.39% due 11/20/353 |
350,000 |
$
349,610 |
Total Asset-Backed
Securities |
|
|
(Cost
$54,918,236) |
|
53,665,040 |
SENIOR
FLOATING RATE INTERESTS,◊ 9.3% |
|
|
Consumer,
Cyclical 2.3% |
|
|
FR Refuel
LLC |
|
|
10.19% (1
Month Term SOFR + 4.75%, Rate Floor: 5.50%) due 11/08/28 |
1,279,036 |
1,260,656 |
Zephyr Bidco
Ltd. |
|
|
10.70% (1
Month GBP SONIA + 5.50%, Rate Floor: 5.50%) due 07/31/28 |
GBP 900,000 |
1,151,912 |
First Brands
Group LLC |
|
|
10.59% (3
Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27 |
1,115,500 |
1,102,549 |
Alexander
Mann |
|
|
11.41% (1
Month SOFR + 6.00%, Rate Floor: 6.00%) due 06/29/27 |
995,000 |
966,394 |
MB2 Dental
Solutions, LLC |
|
|
11.32% (1
Month Term SOFR + 6.00%, Rate Floor: 6.75%) due 01/29/31 |
875,152 |
873,370 |
Pacific Bells
LLC |
|
|
10.06% (3
Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28 |
748,382 |
748,150 |
Crash Champions
Inc. |
|
|
10.08% (3
Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 02/06/29 |
710,000 |
713,770 |
Accuride Corp. |
|
|
12.20% (1
Month Term SOFR + 1.00%, Rate Floor: 2.00%) |
|
|
(in-kind
rate was 5.87%) due 05/18/2611 |
709,487 |
547,490 |
The Facilities
Group |
|
|
11.19% (3
Month Term SOFR + 5.75%, Rate Floor: 6.75%) due 11/30/27 |
493,943 |
485,033 |
NFM &
J LLC |
|
|
11.18% (3
Month Term SOFR + 5.75%, Rate Floor: 6.75%) due 11/30/27 |
485,941 |
477,175 |
ImageFIRST
Holdings LLC |
|
|
9.58% (3
Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 04/27/28 |
417,341 |
417,341 |
MB2 Dental
Solutions, LLC |
|
|
13.50%
(Commercial Prime Lending Rate + 5.00%, Rate Floor: 5.75%) due 01/29/31 |
8,400 |
7,396 |
Total
Consumer, Cyclical |
|
8,751,236 |
Consumer,
Non-cyclical 2.1% |
|
|
Mission Veterinary
Partners |
|
|
9.44% (1
Month Term SOFR + 4.00%, Rate Floor: 4.75%) due 04/27/28 |
1,218,750 |
1,217,836 |
PetIQ LLC |
|
|
9.69% (1
Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 04/13/28 |
1,048,800 |
1,042,245 |
Womens
Care Holdings, Inc. |
|
|
9.93% (3
Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 01/17/28 |
1,052,395 |
968,645 |
Quirch Foods
Holdings LLC |
|
|
10.32% (3
Month Term SOFR + 4.75%, Rate Floor: 5.75%) due 10/27/27 |
948,976 |
948,976 |
Blue Ribbon
LLC |
|
|
11.57% (3
Month Term SOFR + 6.00%, Rate Floor: 6.75%) due 05/08/28 |
1,006,250 |
794,938 |
34 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
SENIOR
FLOATING RATE INTERESTS,◊ 9.3% (continued) |
|
|
Consumer,
Non-cyclical 2.1% (continued) |
|
|
LaserAway
Intermediate Holdings II LLC |
|
|
11.33%
(3 Month Term SOFR + 5.75%, Rate Floor: 6.50%) due 10/14/27 |
777,211 |
$ 772,680 |
Gibson Brands,
Inc. |
|
|
10.58%
(3 Month Term SOFR + 5.00%, Rate Floor: 5.75%) due 08/11/28 |
488,750 |
468,223 |
Southern Veterinary
Partners LLC |
|
|
9.08%
(1 Month Term SOFR + 3.75%, Rate Floor: 4.75%) due 10/05/27 |
422,569 |
422,835 |
PlayCore |
|
|
9.83%
(1 Month Term SOFR + 4.50%, Rate Floor: 5.50%) due 02/14/30 |
400,000 |
402,000 |
Florida Food
Products LLC |
|
|
10.44%
(1 Month Term SOFR + 5.00%, Rate Floor: 5.75%) due 10/18/28 |
437,125 |
378,660 |
HAH Group
Holding Co. LLC |
|
|
10.43%
(1 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 10/29/27 |
253,845 |
254,480 |
VC GB Holdings
I Corp. |
|
|
8.57%
(3 Month Term SOFR + 3.00%, Rate Floor: 3.50%) due 07/21/28 |
250,000 |
250,000 |
Total
Consumer, Non-cyclical |
|
7,921,518 |
Technology
1.7% |
|
|
Polaris Newco
LLC |
|
|
9.01%
((1 Month Term SOFR + 3.50%) and (3 Month Term SOFR + 3.50%), |
|
|
Rate Floor:
3.50%) due 06/04/26 |
2,119,700 |
2,013,193 |
Sitecore Holding
III A/S |
|
|
13.30% (6
Month Term SOFR + 7.00%, Rate Floor: 7.50%) |
|
|
(in-kind
rate was 0.75%) due 03/12/29,11 |
1,018,061 |
1,008,948 |
11.55%
(6 Month EURIBOR + 7.00%, Rate Floor: 7.00%) |
|
|
(in-kind
rate was 0.75%) due 03/12/29,11 |
EUR 751,137 |
807,741 |
Aston FinCo SARL |
|
|
9.97%
(1 Month GBP SONIA + 4.77%, Rate Floor: 4.77%) due 10/09/26 |
GBP 778,090 |
902,415 |
Datix Bidco Ltd. |
|
|
10.70%
(1 Month GBP SONIA + 5.50%, Rate Floor: 5.50%) due 04/30/31 |
GBP 472,000 |
596,744 |
10.82% (1
Month Term SOFR + 5.50%, Rate Floor: 6.00%) due 04/30/31 |
140,000 |
138,880 |
Modena Buyer
LLC |
|
|
due 04/17/31 |
550,000 |
538,081 |
24-7 Intouch,
Inc. |
|
|
10.18%
(1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 08/25/25 |
380,923 |
369,495 |
Atlas CC Acquisition
Corp. |
|
|
9.86%
(3 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 05/25/28 |
190,451 |
162,693 |
Total
Technology |
|
6,538,190 |
Industrial
1.5% |
|
|
Inspired Finco
Holdings Ltd. |
|
|
7.77%
(1 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/17/31 |
EUR 713,217 |
777,086 |
due 02/20/31 |
EUR 286,783 |
312,465 |
Dispatch Terra
Acquisition LLC |
|
|
9.70%
(3 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 03/27/28 |
1,118,375 |
984,573 |
Arcline FM
Holdings LLC |
|
|
10.32%
(3 Month Term SOFR + 4.75%, Rate Floor: 5.50%) due 06/23/28 |
954,145 |
959,431 |
See notes to financial statements.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND
& INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 35
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
SENIOR FLOATING RATE INTERESTS,◊
9.3% (continued) |
|
|
Industrial
1.5% (continued) |
|
|
CapStone Acquisition Holdings,
Inc. |
|
|
10.18%
(1 Month Term SOFR + 4.75%, Rate Floor: 5.75%) due 11/12/27 |
925,928 |
$ 921,382 |
Merlin Buyer, Inc. |
|
|
9.33%
(1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 12/14/28 |
572,269 |
568,692 |
Michael Baker International
LLC |
|
|
due 12/01/28 |
400,000 |
401,000 |
Merlin Buyer, Inc. |
|
|
10.08%
(1 Month Term SOFR + 4.75%, Rate Floor: 5.25%) due 12/14/28 |
298,492 |
298,493 |
TK Elevator Midco GmbH |
|
|
6.73%
(1 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 01/29/27 |
EUR 189,047 |
195,811 |
Integrated
Power Services Holdings, Inc. |
|
|
9.94% (1
Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 11/22/28 |
195,668 |
194,416 |
ILPEA Parent, Inc. |
|
|
9.94%
(1 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 06/22/28 |
96,423 |
95,941 |
Integrated Power Services Holdings,
Inc. |
|
|
9.92%
(1 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 11/22/28 |
30,340 |
30,264 |
9.94%
(1 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 11/22/28 |
28,302 |
28,160 |
Total
Industrial |
|
5,767,714 |
Financial 0.9% |
|
|
Eisner Advisory Group |
|
|
9.33%
(1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 02/22/31 |
1,000,000 |
1,009,170 |
Citadel Securities, LP |
|
|
7.58%
(1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 07/29/30 |
982,572 |
987,976 |
Ardonagh Midco 3 plc |
|
|
10.04%
(6 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 02/16/31 |
915,663 |
902,419 |
HighTower Holding LLC |
|
|
9.59%
(3 Month Term SOFR + 4.00%, Rate Floor: 4.75%) due 04/21/28 |
346,352 |
348,084 |
Tegra118 Wealth Solutions, Inc. |
|
|
9.33%
(3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 02/18/27 |
349,093 |
332,948 |
Total
Financial |
|
3,580,597 |
Communications 0.8% |
|
|
FirstDigital Communications
LLC |
|
|
9.69%
(1 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 12/17/26 |
1,243,750 |
1,213,239 |
Level 3 Financing, Inc. |
|
|
11.88%
(1 Month Term SOFR + 6.56%, Rate Floor: 6.56%) due 04/15/30 |
501,827 |
484,083 |
11.88%
(1 Month Term SOFR + 6.56%, Rate Floor: 6.56%) due 04/16/29 |
498,173 |
482,604 |
Syndigo LLC |
|
|
9.94%
(1 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 12/15/27 |
924,823 |
915,575 |
Total
Communications |
|
3,095,501 |
Total Senior Floating Rate
Interests |
|
|
(Cost
$36,260,099) |
|
35,654,755 |
See notes to financial statements.
36 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Face |
|
|
Amount~ |
Value |
COLLATERALIZED
MORTGAGE OBLIGATIONS 2.0% |
|
|
Residential
Mortgage-Backed Securities 1.6% |
|
|
Imperial Fund
Mortgage Trust |
|
|
2022-NQM2,
4.20% (WAC) due 03/25/67◊,3 |
1,884,959 |
$ 1,722,132 |
OBX Trust |
|
|
2024-NQM5,
6.51% due 12/01/643 |
750,000 |
746,725 |
2022-NQM8,
6.10% due 09/25/623,10 |
413,720 |
408,870 |
2024-NQM6,
6.85% due 02/25/643,10 |
344,776 |
346,437 |
Top Pressure
Recovery Turbines |
|
|
7.51% due
11/01/69 |
1,400,000 |
1,399,300 |
GCAT Trust |
|
|
2022-NQM5,
5.71% due 08/25/673,10 |
515,547 |
507,052 |
CFMT LLC |
|
|
2022-HB9,
3.25% (WAC) due 09/25/37◊,1 |
500,000 |
448,426 |
FIGRE Trust |
|
|
2024-HE1,
6.17% (WAC) due 03/25/54◊,3 |
287,752 |
287,154 |
LSTAR Securities
Investment Ltd. |
|
|
2024-1,
8.43% (30 Day Average SOFR + 3.10%, Rate Floor: 3.10%) due 01/01/29◊,3 |
199,229 |
197,626 |
Total
Residential Mortgage-Backed Securities |
|
6,063,722 |
Commercial
Mortgage-Backed Securities 0.3% |
|
|
BX Trust |
|
|
2024-VLT4,
due 07/15/29◊,3 |
1,150,000 |
1,147,125 |
Military
Housing 0.1% |
|
|
Freddie Mac
Military Housing Bonds Resecuritization Trust Certificates |
|
|
2015-R1,
0.70% (WAC) due 11/25/55◊,3,12 |
6,730,382 |
418,967 |
2015-R1,
5.94% (WAC) due 11/25/52◊,1 |
83,622 |
73,314 |
Total
Military Housing |
|
492,281 |
Total Collateralized
Mortgage Obligations |
|
|
(Cost
$7,959,366) |
|
7,703,128 |
FOREIGN
GOVERNMENT DEBT 0.2% |
|
|
Panama Government
International Bond |
|
|
4.50%
due 01/19/63 |
1,250,000 |
783,208 |
Total Foreign
Government Debt |
|
|
(Cost
$1,242,353) |
|
783,208 |
|
Notional |
|
|
Value |
|
OTC OPTIONS
PURCHASED 0.0% |
|
|
Call Options on: |
|
|
Interest Rate Options |
|
|
Goldman Sachs
International |
|
|
10Y-2Y SOFR
CMS CAP Expiring June 2024 with strike price of $0.10 |
USD 10,800,000 |
11 |
Morgan Stanley
Capital Services LLC |
|
|
10Y-2Y SOFR
CMS CAP Expiring June 2024 with strike price of $0.10 |
USD 10,400,000 |
11 |
Barclays Bank
plc |
|
|
10Y-2Y SOFR
CMS CAP Expiring June 2024 with strike price of $0.10 |
USD 10,300,000 |
10 |
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND
& INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 37
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
Notional |
|
|
Amount |
Value |
OTC OPTIONS PURCHASED
0.0% (continued) |
|
|
Bank of America, N.A. |
|
|
10Y-2Y
SOFR CMS CAP Expiring June 2024 with strike price of $0.10 |
USD
5,200,000 |
$
5 |
Total OTC Options Purchased |
|
|
(Cost
$165,968) |
|
37 |
Total Investments
131.6% |
|
|
(Cost
$548,103,013) |
|
$
503,574,933 |
Other
Assets & Liabilities, net (31.6)% |
|
(120,795,909) |
Total
Net Assets 100.0% |
|
$
382,779,024 |
Centrally Cleared Credit Default Swap Agreements Protection Purchased††
|
|
|
|
|
|
|
|
|
|
|
|
|
Protection |
|
|
|
|
Upfront |
|
|
|
|
Premium |
Payment |
Maturity |
Notional |
|
Premiums |
Unrealized |
Counterparty |
Exchange |
Index |
Rate |
Frequency |
Date |
Amount |
Value |
Received |
Depreciation** |
J.P. Morgan |
|
|
|
|
|
|
|
|
|
Securities LLC |
ICE |
ITRAXX.EUR.41.V1 |
1.00% |
Quarterly |
06/20/29 |
EUR 920,000 |
$(21,966) |
$(21,538) |
$(428) |
Forward Foreign Currency Exchange Contracts††
|
|
|
|
|
|
|
|
|
|
|
Contract |
Settlement |
Unrealized |
Counterparty |
Currency |
Type |
Quantity |
Amount |
Date |
Depreciation |
Morgan Stanley Capital Services LLC EUR |
Buy |
20,000 |
21,733 USD |
06/17/24 |
$ (19) |
Morgan Stanley Capital Services LLC CAD |
Sell |
1,019,000 |
746,948 USD |
06/17/24 |
(1,314) |
Barclays Bank plc |
EUR |
Sell |
3,161,000 |
3,424,665 USD |
06/17/24 |
(7,283) |
Bank of America, N.A. |
GBP |
Sell |
3,299,000 |
4,154,087 USD |
06/17/24 |
(50,732) |
|
|
|
|
|
|
$ (59,348) |
~ | | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | | Non-income producing security. |
** | | Includes cumulative appreciation (depreciation). Variation margin is reported within the
Statement of Assets and Liabilities. |
| | Value determined based on Level 1 inputs, unless otherwise noted See Note 6. |
†† | | Value determined based on Level 2 inputs, unless otherwise noted See Note
6. |
††† | | Value determined based on Level 3 inputs See Note 6. |
◊ | | Variable rate security. Rate indicated is the rate effective at May 31, 2024. In some instances,
the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position
may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective
rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
1 | | Security is a 144A or Section 4(a)(2) security. These securities have been determined
to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2)
illiquid and restricted securities is $6,354,630 (cost $7,458,972), or 1.7% of total net assets See Note 12. |
38 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
3 | | Security is a 144A or Section 4(a)(2) security. These securities have been determined
to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a) (2) securities is
$117,908,652 (cost $124,670,493), or 30.8% of total net assets. |
4 | | Security has a fixed rate coupon which will convert to a floating or variable rate coupon
on a future date. |
5 | | Special Purpose Acquisition Company (SPAC). |
6 | | Rate indicated is the 7-day yield as of May 31, 2024. |
7 | | All or a portion of these securities have been physically segregated in connection with
borrowings unfunded loan commitments, and reverse repurchase agreements. As of May 31, 2024, the total value of securities segregated
was $125,657,447. |
8 | | Zero coupon rate security. |
10 | | Security is a step up/down bond. The coupon increases or decreases at regular intervals
until the bond reaches full maturity. Rate indicated is the rate at May 31, 2024. See table below for additional step information for
each security. |
11 | | Payment-in-kind security. |
12 | | Security is an interest-only strip. |
13 | | Taxable municipal bond issued as part of the Build America Bond program. |
14 | | Security is unsettled at period end and does not have a stated effective rate. |
15 | | Security is in default of interest and/or principal obligations. |
CAD Canadian Dollar
CMS Constant Maturity Swap
EUR Euro EURIBOR European Interbank Offered
Rate
GBP
British Pound ICE Intercontinental Exchange
ITRAXX.EUR.41.V1 iTraxx Europe Series 41 Index Version 1
plc Public Limited
Company
SARL Société à Responsabilité Limitée
SOFR Secured Overnight Financing Rate
SONIA
Sterling Overnight Index Average
WAC Weighted Average Coupon
See Sector Classification in Other Information section.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 39
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
The following table summarizes the inputs used to value the Trusts
investments at May 31, 2024 (See Note 6 in the Notes to Financial Statements):
|
|
|
|
|
|
|
|
|
|
|
|
Level 2 |
Level 3 |
|
|
|
Significant |
Significant |
|
|
Level 1 |
Observable |
Unobservable |
|
Investments in Securities (Assets) |
Quoted Prices |
Inputs |
Inputs |
Total |
Common Stocks |
$ 22,247 |
$ 277,662 |
$ 42,317 |
$ 342,226 |
Preferred Stocks |
|
8,176,450 |
1,482 |
8,177,932 |
Warrants |
375 |
|
4 |
379 |
Closed-End Mutual Funds |
2,700,629 |
|
|
2,700,629 |
Money Market Funds |
3,485,715 |
|
|
3,485,715 |
Municipal Bonds |
|
261,448,716 |
|
261,448,716 |
Corporate Bonds |
|
123,684,090 |
5,929,078 |
129,613,168 |
Asset-Backed Securities |
|
38,832,106 |
14,832,934 |
53,665,040 |
Senior Floating Rate Interests |
|
24,153,871 |
11,500,884 |
35,654,755 |
Collateralized Mortgage Obligations |
|
7,703,128 |
|
7,703,128 |
Foreign Government Debt |
|
783,208 |
|
783,208 |
Options Purchased |
|
37 |
|
37 |
Total Assets |
$ 6,208,966 |
$ 465,059,268 |
$ 32,306,699 |
$ 503,574,933 |
|
|
Level 2 |
Level 3 |
|
|
|
Significant |
Significant |
|
|
Level 1 |
Observable |
Unobservable |
|
Investments in Securities (Liabilities) |
Quoted Prices |
Inputs |
Inputs |
Total |
Credit Default Swap Agreements** |
$ |
$ 428 |
$ |
$ 428 |
Forward Foreign Currency Exchange Contracts** |
|
59,348 |
|
59,348 |
Unfunded Loan Commitments (Note 11) |
|
|
66,528 |
66,528 |
Total Liabilities |
$ |
$ 59,776 |
$ 66,528 |
$ 126,304 |
**
This derivative is reported as unrealized appreciation/depreciation at period end.
Please refer to the detailed Schedule of Investments for a breakdown
of investment type by industry category.
The Trust may hold assets and/or liabilities in which the fair value
approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $119,158,244
are categorized as Level 2 within the disclosure hierarchy See Note 7.
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:
40 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
|
|
|
|
|
|
|
Ending Balance |
Valuation |
Unobservable |
Input |
Weighted |
Category |
at May 31, 2024 |
Technique |
Inputs |
Range |
Average* |
Assets: |
|
|
|
|
|
Asset-Backed Securities |
$ 10,754,181 |
Yield Analysis |
Yield |
6.7%-7.7% |
7.5% |
Asset-Backed Securities |
4,078,753 |
Option adjusted spread |
Broker Quote |
|
|
|
|
off prior month end |
|
|
broker quote |
|
|
|
Common Stocks |
38,043 |
Enterprise Value |
Valuation Multiple |
2.9x-9.4x |
4.0x |
Common Stocks |
4,274 |
Model Price |
Liquidation Value |
|
|
Corporate Bonds |
3,240,376 |
Option adjusted spread |
Broker Quote |
|
|
|
|
off prior month end |
|
|
broker quote |
|
|
|
Corporate Bonds |
2,688,702 |
Third Party Pricing |
Broker Quote |
|
|
Preferred Stocks |
1,482 |
Third Party Pricing |
Vendor Price |
|
|
Senior Floating Rate Interests |
5,901,982 |
Yield Analysis |
Yield 10.2%-12.8% |
11.6% |
Senior Floating Rate Interests |
3,992,189 |
Model Price |
Purchase Price |
|
|
Senior Floating Rate Interests |
1,606,713 |
Third Party Pricing |
Broker Quote |
|
|
Warrants |
4 |
Model Price |
Liquidation Value |
|
|
Total Assets |
$ 32,306,699 |
|
|
|
|
Liabilities: |
|
|
|
|
|
Unfunded Loan Commitments |
$ 66,528 |
Model Price |
Purchase Price |
|
|
* Inputs are weighted by the fair value of the instruments.
Significant changes in a quote, yield, liquidation value or valuation
multiple would generally result in significant changes in the fair value of the security.
The Trusts fair valuation leveling guidelines classify a single
daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be
supported with other available market information.
Transfers between Level 2 and Level 3 may occur as markets fluctuate
and/or the availability of data used in an investments valuation changes. For the year ended May 31, 2024, the Trust had securities
with a total value of $2,042,081 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total
value of $3,583,976 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided
by a third-party pricing service which utilizes significant observable inputs.
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
Liabilities |
|
Asset- |
|
Senior |
|
|
|
|
Unfunded |
|
Backed |
Corporate |
Floating Rate |
|
Common |
Preferred |
Total |
Loan |
|
Securities |
Bonds |
Interests |
Warrants |
Stocks |
Stocks |
Assets |
Commitments |
Beginning Balance |
$ 8,750,965 |
$ 783,421 |
$ 14,301,312 |
$ 2 |
$ 25,554 |
$ 70,186 |
$ 23,931,440 |
$ (98,344) |
Purchases/(Receipts) |
7,182,090 |
3,954,400 |
5,313,493 |
|
2,089 |
|
16,452,072 |
(170,935) |
(Sales, maturities and |
|
|
|
|
|
|
|
|
paydowns)/Fundings |
(629,520) |
|
(6,320,570) |
|
(870) |
(181,244) |
(7,132,204) |
180,037 |
Amortization of premiums/ |
|
|
|
|
|
|
|
|
discounts |
|
20 |
137,980 |
|
|
|
138,000 |
4,401 |
Corporate actions |
|
|
527,943 |
|
|
|
527,943 |
|
Total realized gains (losses) |
|
|
|
|
|
|
|
|
included in earnings |
(5,920) |
|
(144,895) |
|
(219) |
(516,482) |
(667,516) |
28,803 |
Total change in unrealized |
|
|
|
|
|
|
|
|
appreciation (depreciation) |
|
|
|
|
|
|
|
|
included in earnings |
(464,681) |
41,517 |
378,718 |
2 |
15,763 |
627,540 |
598,859 |
(10,490) |
Transfers into Level 3 |
|
1,149,720 |
890,879 |
|
|
1,482 |
2,042,081 |
|
Transfers out of Level 3 |
|
|
(3,583,976) |
|
|
|
(3,583,976) |
|
Ending Balance |
$14,832,934 |
$ 5,929,078 |
$ 11,500,884 |
$ 4 |
$ 42,317 |
$ 1,482 |
$ 32,306,699 |
$ (66,528) |
Net change in unrealized |
|
|
|
|
|
|
|
|
appreciation (depreciation) |
|
|
|
|
|
|
|
|
for investments in Level 3 |
|
|
|
|
|
|
|
|
securities still held at |
|
|
|
|
|
|
|
|
May 31, 2024 |
$ (464,681) |
$ 41,517 |
$ 41,378 |
$ 2 |
$ 15,721 |
$ |
$ (366,063) |
$ (11,415) |
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 41
|
|
SCHEDULE OF INVESTMENTS continued |
May 31, 2024 |
Step Coupon Bonds
The following table discloses additional information related to step
coupon bonds held by the Trust . Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range
of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Trust are scheduled to increase, except
GAIA Aviation Ltd. which is scheduled to decrease.
|
|
|
|
Coupon Rate |
|
|
at Next |
Next Rate |
Name |
Reset Date |
Reset Date |
GAIA Aviation Ltd. 2019-1, 3.97% due 12/15/44 |
2.00% |
10/15/26 |
GCAT Trust 2022-NQM5, 5.71% due 08/25/67 |
6.71% |
10/01/26 |
OBX Trust 2022-NQM8, 6.10% due 09/25/62 |
7.10% |
10/01/26 |
OBX Trust 2024-NQM6, 6.85% due 02/25/64 |
7.85% |
04/01/28 |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares
of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated
issuer.
Transactions during the year ended May 31, 2024, in which the company
is an affiliated issuer, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in |
|
|
|
|
|
|
Realized |
Unrealized |
|
|
|
Value |
|
|
Gain |
Appreciation |
Value |
Shares |
Security Name |
05/31/23 |
Additions |
Reductions |
(Loss) |
(Depreciation) |
05/31/24 |
05/31/24 |
Common Stocks |
|
|
|
|
|
|
|
BP Holdco LLC* |
$ 20,062 |
$ |
$ |
$ |
$(1,130) |
$ 18,932 |
15,619 |
* Non-income producing security. |
|
|
|
|
|
|
42 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
STATEMENT OF ASSETS AND LIABILITIES |
May 31, 2024 |
ASSETS: |
|
Investments in unaffiliated issuers, at value (cost $548,097,498) |
$ 503,556,001 |
Investments in affiliated issuers, at value (cost $5,515) |
18,932 |
Foreign currency, at value |
129,667 |
Cash |
115,883 |
Segregated cash from broker |
39,259 |
Prepaid expenses |
10,402 |
Receivables: |
|
Interest |
6,298,398 |
Fund shares sold |
170,657 |
Investments sold |
91,172 |
Dividends |
33,520 |
Tax reclaims |
3,497 |
Variation margin on credit default swap agreements |
149 |
Total assets |
510,467,537 |
LIABILITIES: |
|
Reverse repurchase agreements (Note 7) |
119,158,244 |
Unfunded loan commitments, at value (Note 11) (commitment fees received $81,072) |
66,528 |
Unamortized upfront premiums received on credit default swap agreements |
21,538 |
Unrealized depreciation on forward foreign currency exchange contracts |
59,348 |
Interest due on borrowings |
13,264 |
Payable for: |
|
Investments purchased |
7,834,032 |
Investment advisory fees |
256,737 |
Professional fees |
122,823 |
Offering costs |
65,781 |
Protection fees on credit default swap agreements |
2,024 |
Other liabilities |
88,194 |
Total liabilities |
127,688,513 |
NET ASSETS |
$ 382,779,024 |
NET ASSETS CONSIST OF: |
|
Common stock, $0.01 par value per share; unlimited number of shares |
|
authorized, 24,801,498 shares issued and outstanding |
$ 248,015 |
Additional paid-in capital |
449,416,346 |
Total distributable earnings (loss) |
(66,885,337) |
NET ASSETS |
$ 382,779,024 |
Shares outstanding ($0.01 par value with unlimited amount authorized) |
24,801,498 |
Net asset value |
$ 15.43 |
See notes to financial statements.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND
& INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 43
|
|
STATEMENT OF OPERATIONS |
May 31, 2024 |
For the Year Ended May 31, 2024 |
|
|
|
INVESTMENT INCOME: |
|
Interest from securities of unaffiliated issuers |
$ 29,154,863 |
Dividends from securities of unaffiliated issuers |
2,288,442 |
Total investment income |
31,443,305 |
EXPENSES: |
|
Interest expense |
7,664,927 |
Investment advisory fees |
2,966,362 |
Professional fees |
413,582 |
Fund accounting fees |
115,352 |
Administration fees |
113,782 |
Printing fees |
84,664 |
Trustees fees and expenses* |
63,184 |
Custodian fees |
39,452 |
Insurance |
26,614 |
Registration and filing fees |
23,790 |
Transfer agent fees |
18,387 |
Miscellaneous |
11,236 |
Total expenses |
11,541,332 |
Net investment income |
19,901,973 |
NET REALIZED AND UNREALIZED GAIN (LOSS): |
|
Net realized gain (loss) on: |
|
Investments in unaffiliated issuers |
(18,736,681) |
Swap agreements |
(104,953) |
Options purchased |
(162,285) |
Forward foreign currency exchange contracts |
60,405 |
Foreign currency transactions |
(149,129) |
Net realized loss |
(19,092,643) |
Net change in unrealized appreciation (depreciation) on: |
|
Investments in unaffiliated issuers |
20,945,142 |
Investments in affiliated issuers |
(1,130) |
Swap agreements |
8,989 |
Options purchased |
(69,051) |
Forward foreign currency exchange contracts |
(81,295) |
Foreign currency translations |
(2,246) |
Net change in unrealized appreciation (depreciation) |
20,800,409 |
Net realized and unrealized gain |
1,707,766 |
Net increase in net assets resulting from operations |
$ 21,609,739 |
* Relates to Trustees not deemed interested persons within
the meaning of Section 2(a)(19) of the 1940 Act.
See notes to financial statements.
44 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
STATEMENTS
OF CHANGES IN NET ASSETS |
May 31, 2024 |
|
|
|
|
Year Ended |
Year Ended |
|
May 31, 2024 |
May 31, 2023 |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
Net investment income |
$ 19,901,973 |
$ 20,548,712 |
Net realized loss on investments |
(19,092,643) |
(3,856,986) |
Net change in unrealized appreciation (depreciation) |
|
|
on investments |
20,800,409 |
(35,081,283) |
Net increase (decrease) in net assets resulting from operations |
21,609,739 |
(18,389,557) |
DISTRIBUTIONS: |
|
|
Distributions to shareholders |
(19,705,406) |
(20,436,420) |
Return of capital |
(16,017,779) |
(13,351,040) |
Total distributions |
(35,723,185) |
(33,787,460) |
SHAREHOLDER TRANSACTIONS: |
|
|
Net proceeds from shares issued through at-the-market offering |
27,443,172 |
17,733,096 |
Capital contribution from adviser |
|
29,557 |
Reinvestments of distributions |
1,546,954 |
1,369,554 |
Common shares offering cost charged to paid-in-capital |
(67,167) |
(108,019) |
Net increase in net assets resulting from shareholder transactions |
28,922,959 |
19,024,188 |
Net increase (decrease) in net assets |
14,809,513 |
(33,152,829) |
NET ASSETS: |
|
|
Beginning of period |
367,969,511 |
401,122,340 |
End of period |
$ 382,779,024 |
$ 367,969,511 |
See notes to financial statements.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND
& INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 45
STATEMENT OF CASH FLOWS |
May 31, 2024 |
For the Year Ended May 31, 2024 |
|
|
|
Cash Flows from Operating Activities: |
|
Net increase in net assets resulting from operations |
$ 21,609,739 |
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to |
|
Net Cash Provided by Operating and Investing Activities: |
|
Net change in unrealized (appreciation) depreciation on investments |
(20,944,012) |
Net change in unrealized (appreciation) depreciation on options purchased |
69,051 |
Net change in unrealized (appreciation) depreciation on forward foreign |
|
currency exchange contracts |
81,295 |
Net realized loss on investments |
18,736,681 |
Net realized loss on options purchased |
162,285 |
Purchase of long-term investments |
(97,096,028) |
Proceeds from sale of long-term investments |
85,976,817 |
Net purchases of short-term investments |
(604,598) |
Net accretion of bond discount and amortization of bond premium |
(741,918) |
Corporate actions and other payments |
319,599 |
Commitment fees received and repayments of unfunded commitments |
(13,664) |
Increase in interest receivable |
(521,468) |
Decrease in dividends receivable |
43,965 |
Increase investments sold receivable |
(11,872) |
Decrease variation margin on credit default swap agreements receivable |
3,254 |
Increase in prepaid expenses |
(8,128) |
Increase in tax reclaims receivable |
(5) |
Increase in investments purchased payable |
7,724,661 |
Decrease in professional fees payable |
(28,034) |
Decrease in unamortized upfront premiums received on credit default swap agreements |
(15,678) |
Increase in investment advisory fees payable |
3,932 |
Decrease in trustees fees and expenses payable* |
(19,001) |
Decrease in protection fees on credit default swap agreements payable |
(7,513) |
Increase in other liabilities |
18,537 |
Net Cash Provided by Operating and Investing Activities |
$ 14,737,897 |
See notes to financial statements.
46 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
STATEMENT OF CASH FLOWS continued |
May 31, 2024 |
|
|
Cash Flows From Financing Activities: |
|
Distributions to common shareholders |
$ (34,176,231) |
Proceeds from the issuance of common shares |
27,306,084 |
Proceeds from reverse repurchase agreements |
611,962,192 |
Payments made on reverse repurchase agreements |
(619,856,182) |
Offering costs in connection with the issuance of common shares |
(7,108) |
Net Cash Used in Financing Activities |
(14,771,245) |
Net decrease in cash |
(33,348) |
Cash at Beginning of Year (including foreign currency)** |
318,157 |
Cash at End of Year (including foreign currency)*** |
$ 284,809 |
Supplemental Disclosure of Cash Flow Information: |
|
Cash paid during the year for interest |
$ 10,183,604 |
Supplemental Disclosure of Non Operating Activity: Dividend reinvestment |
$ 1,546,954 |
* | | Relates to Trustees not deemed interested persons within the meaning of Section
2(a)(19) of the 1940 Act. |
** | | Includes $104,622 of segregated cash with broker for swap agreements and $57,279
of foreign currency. |
*** | | Includes $39,259 of segregated cash with broker for swap agreements and $129,667
of foreign currency. |
See notes to financial statements.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND
& INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 47
|
|
FINANCIAL HIGHLIGHTS |
May 31, 2024 |
The information in this table for the fiscal years ended 2024, 2023,
2022, 2021 and 2020 is derived from the Trusts financial statements and has been audited by Ernst & Young LLP, independent registered
public accounting firm for the Trust. The Trusts audited financial statements, including the report of Ernst & Young LLP thereon
and accompanying notes thereto, are included in this annual report to shareholders for the year ended May 31, 2024.
|
|
|
|
|
|
|
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|
May 31,
2024 |
May 31,
2023 |
May 31,
2022 |
May 31,
2021 |
May 31,
2020 |
Per Share
Data: |
|
|
|
|
|
Net
asset value, beginning of period |
$
16.01 |
$
18.35 |
$
22.80 |
$
22.09 |
$
22.71 |
Income from
investment operations: |
|
|
|
|
|
Net investment
income(a) |
0.84 |
0.92 |
1.21 |
1.19 |
1.27 |
Net
gain (loss) on investments (realized and unrealized) |
0.09 |
(1.75) |
(4.15) |
1.03 |
(0.38) |
Total
from investment operations |
0.93 |
(0.83) |
(2.94) |
2.22 |
0.89 |
Less distributions from: |
|
|
|
|
|
Net investment income |
(0.83) |
(0.91) |
(1.32) |
(1.38) |
(1.51) |
Capital gains |
|
|
(0.03) |
(0.13) |
|
Return
of capital |
(0.68) |
(0.60) |
(0.16) |
(0.00)* |
|
Total
distributions to shareholders |
(1.51) |
(1.51) |
(1.51) |
(1.51) |
(1.51) |
Net
asset value, end of period |
$
15.43 |
$
16.01 |
$
18.35 |
$
22.80 |
$
22.09 |
Market
value, end of period |
$
16.25 |
$
16.32 |
$
19.45 |
$
24.22 |
$
23.20 |
Total Return(b) |
|
|
|
|
|
Net asset
value |
6.28% |
(4.39%)(g) |
(13.81%)(f) |
10.30% |
3.86% |
Market value |
9.75% |
(8.10%) |
(13.96%) |
11.43% |
6.03% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (in thousands) |
$
382,779 |
$
367,970 |
$
401,122 |
$
472,691 |
$
414,168 |
Ratio to
average net assets of: |
|
|
|
|
|
Total expenses,
including interest expense(c),(e) |
3.15% |
2.63% |
1.34% |
1.27% |
1.65% |
Net
investment income, including interest expense |
5.43% |
5.51% |
5.52% |
5.22% |
5.61% |
Portfolio
turnover rate |
17% |
10% |
36% |
33% |
25% |
Senior
Indebtedness |
|
|
|
|
|
Total borrowings
outstanding (in thousands)(h) |
$ 119,158 |
$ 127,052 |
$ |
$ 97,360 |
$ 10,510 |
Asset Coverage
per $1,000 of indebtedness(d) |
$ 4,212 |
$ 3,896 |
$ |
$ 5,855 |
$ 40,409 |
See notes to financial statements.
48 l GBAB l GUGGENHEIM TAXABLE
MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
FINANCIAL HIGHLIGHTS continued |
May 31, 2024 |
|
|
|
|
|
|
|
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|
May 31,
2019 |
May 31,
2018 |
May 31,
2017 |
May 31,
2016 |
May 31,
2015 |
Per Share
Data: |
|
|
|
|
|
Net
asset value, beginning of period |
$
22.69 |
$
23.30 |
$
23.30 |
$
23.35 |
$
23.26 |
Income from
investment operations: |
|
|
|
|
|
Net investment
income(a) |
1.30 |
1.48 |
1.59 |
1.48 |
1.48 |
Net
gain (loss) on investments (realized and unrealized) |
0.23 |
(0.58) |
(0.04) |
0.13 |
0.27 |
Total
from investment operations |
1.53 |
0.90 |
1.55 |
1.61 |
1.75 |
Less distributions
from: |
|
|
|
|
|
Net investment
income |
(1.43) |
(1.35) |
(1.55) |
(1.64) |
(1.48) |
Capital gains |
(0.08) |
(0.16) |
|
(0.02) |
(0.18) |
Return
of capital |
|
|
|
|
|
Total
distributions to shareholders |
(1.51) |
(1.51) |
(1.55) |
(1.66) |
(1.66) |
Net
asset value, end of period |
$
22.71 |
$
22.69 |
$
23.30 |
$
23.30 |
$
23.35 |
Market
value, end of period |
$
23.38 |
$
21.44 |
$
23.23 |
$
22.28 |
$
21.64 |
Total Return(b) |
|
|
|
|
|
Net asset
value |
7.11% |
3.93% |
6.81% |
7.25% |
7.64% |
Market value |
16.81% |
(1.23%) |
11.62% |
10.95% |
7.52% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (in thousands) |
$
395,716 |
$
395,221 |
$
405,780 |
$
405,820 |
$
406,668 |
Ratio to
average net assets of: |
|
|
|
|
|
Total expenses,
including interest expense(c),(e) |
1.68% |
1.65% |
1.54% |
1.38% |
1.32% |
Net
investment income, including interest expense |
5.82% |
6.42% |
6.80% |
6.47% |
6.26% |
Portfolio
turnover rate |
6% |
8% |
6% |
7% |
11% |
Senior Indebtedness |
|
|
|
|
|
Borrowings - committed facility
agreement (in thousands) |
$ 44,510 |
$ 44,510 |
$ 47,509 |
$ 61,710 |
$ 35,510 |
Asset coverage per $1,000
of borrowings(d) |
$ 9,891 |
$ 9,879 |
$ 9,541 |
$ 7,576 |
$ 12,452 |
See notes to financial statements.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 49
|
|
FINANCIAL HIGHLIGHTS continued |
May 31, 2024 |
(a) | | Based on average shares outstanding. |
(b) | | Total return is calculated assuming a purchase of a common share at the beginning of the
period and a sale on the last day of the period reported either at net asset value (NAV) or market price per share. Dividends
and distributions are assumed to be reinvested at NAV for NAV returns or the prices obtained under the Trusts Dividend Reinvestment
Plan for market value returns. Total investment return does not reflect brokerage commissions. A return calculated for a period of less
than one year is not annualized. |
(c) | | Excluding interest expense, the operating expense ratios for the years ended May 31 would
be: |
2024 |
2023 |
2022 |
2021 |
2020 |
2019 |
2018 |
2017 |
2016 |
2015 |
1.06% |
1.13% |
1.04% |
1.01% |
0.96% |
0.95% |
0.99% |
1.00% |
0.99% |
1.02% |
(d) | | Calculated by subtracting the Trusts total liabilities (not including the borrowings)
from the Trusts total assets and dividing by the borrowings. effective August 19, 2022, the Trusts obligations under reverse
repurchase agreement transactions are treated as senior securities representing indebtedness for purposes of the 1940 Act. Accordingly,
for the years ended May 31, 2024 and May 31, 2023, Asset Coverage is calculated by subtracting the Trusts total liabilities (not
including the borrowings or reverse repurchase agreements) from the Trusts total assets and dividing by the sum of the borrowings
and reverse repurchase agreements. |
(e) | | The ratios of total expenses to average net assets applicable to common shares do not reflect
fees and expenses incurred indirectly by the Trust as a result of its investment in shares of other investment companies. If these fees
were included in the expense ratios, the expense ratios would increase by 0.34%, 0.31%, 0.20%, 0.26%, 0.32%, 0.00%, 0.00%, 0.00%, 0.00%,
and 0.00% for the years ended May 31, 2024, 2023, 2022, 2021, 2020, 2019, 2018, 2017, 2016, and 2015 respectively. |
(f) | | The net increase from payments by affiliates totaling $383,226 relating to an operational
issue contributed 0.08% to total return at net asset value for the year ended May 31, 2022. |
(g) | | The net increase from the payment by the Adviser totaling $29,557 relating to an operational
issue contributed 0.01% to total return at net asset value for the year ended May 31, 2023. |
(h) | | Effective August 19, 2022, the Trusts obligations under reverse repurchase agreement
transactions are treated as senior securities representing indebtedness for purposes of the 1940 Act. |
See notes to financial statements.
50 l GBAB l GUGGENHEIM TAXABLE
MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS |
May 31, 2024 |
Note 1 Organization
Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust
(the Trust) was organized as a Delaware statutory trust on June 30, 2010. The Trust is registered as a diversified, closed-end
management investment company under the Investment Company Act of 1940, as amended (the 1940 Act).
The Trusts primary investment objective is to provide current
income with a secondary objective of long-term capital appreciation. There can be no assurance that the Trust will achieve its investment
objectives. The Trusts investment objectives are considered fundamental and may not be changed without shareholder approval.
Note 2 Significant Accounting Policies
The Trust operates as an investment company and, accordingly, follows
the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards
Codification Topic 946 Financial Services Investment Companies.
The following significant accounting policies are in conformity with
U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by the Trust. This requires management
to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date
of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ
from these estimates. All time references are based on Eastern Time.
(a) Valuation of Investments
The Board of Trustees of the Trust (the Board) adopted
policies and procedures for the valuation of the Trusts investments (the Fund Valuation Procedures). The U.S. Securities
and Exchange Commission (the SEC) adopted Rule 2a-5 under the 1940 Act (Rule 2a-5) which establishes requirements
for determining fair value in good faith. Rule 2a-5 also defines readily available market quotations for purposes of the 1940
Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated Guggenheim Funds Investment
Advisors, LLC (GFIA or the Adviser) as the valuation designee to perform fair valuation determinations for the
Trust with respect to all Trust investments and other assets. As the Trusts valuation designee pursuant to Rule 2a-5, the Adviser
has adopted separate procedures (the Valuation Designee Procedures and together with the Fund Valuation Procedures, the Valuation
Procedures) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role
as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheims investment
management, fund administration, legal and compliance departments (the Valuation Committee), in determining the fair value
of the Trusts securities and other assets.
Valuations of the Trusts securities and other assets are supplied
primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the
assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have
been fair valued. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly
reviews the
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 51
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|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
appropriateness of the inputs, methods, models and assumptions employed
by the pricing service provider.
If the pricing service provider cannot or does not provide a valuation
for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.
Equity securities listed or traded on a recognized U.S. securities
exchange or the Nasdaq Stock Market (NASDAQ) will generally be valued on the basis of the last sale price on the primary U.S.
exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the
NASDAQ official closing price, which may not necessarily represent the last sale price.
Open-end investment companies are valued at their net asset value
(NAV) as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are generally
valued at the last quoted sale price.
Generally, trading in foreign securities markets is
substantially completed each day at various times prior to the close of the New York Stock Exchange (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 currencies 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 Adviser
will determine the current value of such foreign securities by taking into consideration certain factors which may include the
following factors, among others: the value of the securities traded on other foreign markets, American Depositary Receipts
(ADRs) trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial
products that are tied to foreign securities. In addition, under the Valuation Procedures, the Adviser is authorized to use prices
and other information supplied by a pricing service provider in valuing foreign securities.
Commercial paper and discount notes with a maturity of greater than
60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from pricing service providers,
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. Commercial paper and discount notes with a maturity of 60 days or
less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of
the applicable asset in which case it will be valued using an independent pricing service provider.
U.S. Government securities are valued by pricing service providers,
using the last traded fill price, or at the reported bid price at the close of business.
Typically, loans are valued using information provided by a pricing
service provider which uses broker quotes, among other inputs. If the pricing service provider cannot or does not provide a valuation
for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair
valued by the Adviser.
Repurchase agreements are valued at amortized cost, provided such
amounts approximate market value.
52 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
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|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
Exchange-traded options are valued at the mean of the bid and ask
prices on the principal exchange on which they are traded. Over-the-counter (OTC) options and options on swaps (swaptions)
are valued using a price provided by a pricing service provider.
Interest rate swap agreements entered into by the Trust are valued
on the basis of the last sale price on the primary exchange on which the swap is traded. Other swap agreements entered into by the Trust
are generally be valued using an evaluated price provided by a pricing service provider.
Forward foreign currency exchange contracts are valued daily based
on the applicable exchange rate of the underlying currency.
Investments for which market quotations are not readily available
are fair valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each securitys
(or assets or liabilitys) 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: market prices;
sale 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 U.S. Treasury securities, and other information
analysis. In connection with futures contracts and other derivative instruments, such factors may include obtaining information as to
how (a) these contracts and other derivative instruments trade in the futures or other derivative markets, respectively, and (b) the securities
underlying these contracts and other derivative instruments trade in the cash market.
(b) Investment Transactions and Investment Income
Investment transactions are accounted for on the trade date. Realized
gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding
taxes on the ex-dividend date and interest income is recorded on an accrual basis. Discounts or premiums on debt securities purchased
are accreted or amortized to interest income using the effective interest method. Interest income also includes paydown gains and losses
on mortgage-backed and asset-backed securities, and senior and subordinated loans. Amendment fees are earned as compensation for evaluating
and accepting changes to the original loan agreement.
The Trust may receive other income from investments in senior loan
interests, including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received
by the Trust and included in interest income on the Trusts Statement of Operations. For unfunded loans, commitment fees are included
in realized gain on investments on the Trusts Statement of Operations at the end of the commitment period.
Income from residual collateralized loan obligations is recognized
using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated
periodically and a revised yield is calculated prospectively.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 53
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|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
(c) Senior Floating Rate Interests and Loan Investments
Senior floating rate interests in which the Trust invests generally
pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending
rates are generally (i) the lending rate offered by one or more major European banks, (ii) the prime rate offered by one or more major United
States banks, or (iii) the banks certificate of deposit rate. Senior floating rate interests often require prepayments from excess
cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As
a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Trusts Schedule of
Investments.
The Trust invests in loans and other similar debt obligations (obligations).
A portion of the Trusts investments in these obligations is sometimes referred to as covenant lite loans or obligations
(covenant lite obligations), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints
on borrowers than certain other types of obligations. The Trust may also obtain exposure to covenant lite obligations through investment
in securitization vehicles and other structured products. Many loans and other similar debt obligations have not featured traditional
convenants which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrowers
operations or assets or (ii) providing certain rights to lenders. The Trust may have fewer rights with respect to covenant lite obligations,
including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in
(or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations.
The Trust is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be
considered securities under the federal securities laws and, as a result, the Trust may not be entitled to rely on the anti-fraud
protections under the federal securities laws and instead may have to resort to state law and direct claims.
(d) Interest on When-Issued Securities
The Trust may purchase and sell interests in securities on a when-issued
and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Trust on such interests or
securities in connection with such transactions prior to the date the Trust actually takes delivery of such interests or securities. These
transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade
date purchase price. Although the Trust will generally purchase these securities with the intention of acquiring such securities, it may
sell such securities before the settlement date.
(e) Currency Translations
The accounting records of the Trust are maintained in U.S. dollars.
All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases
and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing
on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly
affect the value of the investments and earnings of the Trust. Foreign investments may also subject the Trust to foreign government exchange
restrictions, expropriation, taxation, or other political, social, geopolitical or economic developments, all of which could affect the
market and/or credit risk of the investments.
54 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
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|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
The Trust does not isolate that portion of the results of operations
resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of
securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.
Reported net realized foreign exchange gains and losses arise from
sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net
unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities
at the fiscal period end, resulting from changes in exchange rates.
(f) Forward Foreign Currency Exchange Contracts
The change in value of a forward foreign currency exchange contract
is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Trust records a
realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
(g) Distributions to Shareholders
The Trust intends to declare and pay monthly distributions to common
shareholders. The Trust expects that distributions will generally consist of (i) investment company taxable income taxed as ordinary income,
which includes, among other things, short-term capital gain and income from certain hedging and interest rate transactions, (ii) long-term
capital gain and (iii) return of capital. Any net realized long-term capital gains are distributed annually to common shareholders. To
the extent distributions exceed the amount of the Trusts earnings and profit available for distribution, the excess will be deemed
a return of capital. A return of capital is generally not taxable and would reduce the shareholders tax basis in its shares, which
would reduce the loss (or increase the gain) on a subsequent taxable disposition by such shareholder of the shares, until such shareholders
basis reaches zero at which point subsequent return of capital distributions would constitute taxable capital gain to such shareholder.
Shareholders receiving a return of capital may be under the impression that they are receiving net investment income or profit when they
are not.
Distributions to shareholders are recorded on the ex-dividend date.
The amount and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S.
GAAP.
(h) Restricted Cash
A portion of cash on hand relates to collateral received by the
Trust for swap agreements. This amount is presented on the Trusts Statement of Assets and Liabilities as segregated cash due
from broker.
(i) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any,
is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement
are recognized as realized gains or losses.
Upon entering into certain centrally-cleared swap transactions, the
Trust is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 55
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NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
receipts or payments are received or made by the Trust depending on
fluctuations in the fair value of the reference entity and are recorded by the Trust as unrealized appreciation or depreciation. When
the contract is closed, the Trust records a realized gain or loss equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed.
Upfront payments received or made by the Trust on credit default swap
agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid
by the Trust are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract
are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
(j) Options
Upon the purchase of an option, the premium paid is recorded as an
investment, the value of which is marked-to-market daily. If a purchased option expires, the Trust realizes a loss in the amount of the
cost of the option. When the Trust enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds
from the closing sale transaction are greater or less than the cost of the option. If the Trust exercises a put option, it realizes a
gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid.
When the Trust exercises a call option, the cost of the security purchased by the Trust upon exercise increases by the premium originally
paid.
When the Trust writes (sells) an option, an amount equal to the premium
received is entered in that Trusts accounting records as an asset and equivalent liability. The amount of the liability is subsequently
marked-to-market to reflect the current value of the option written. When a written option expires, or if the Trust enters into a closing
purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the
option was sold).
(k) Indemnifications
Under the Trusts organizational documents, its Trustees and
Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout
the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties which provide
general indemnifications. The Trusts maximum exposure under these arrangements is unknown, as this would involve future claims that
may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk
of loss to be remote.
(l) Special Purpose Acquisition Companies
The Trust may acquire an interest in a special purpose acquisition
company (SPAC) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks
as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about
the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically
subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights
to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly
traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or
interests therein)
56 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
via merger, combination, acquisition or other similar transactions.
Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S.
government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments
are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target
acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets.
Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the
value of their securities is particularly dependent on the ability of the entitys management to identify and complete a profitable
acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC
can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business
combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination
nears. There is no guarantee that the SPACs in which the Trust invests will complete an acquisition or that any acquisitions that are
completed will be profitable.
Note 3 Derivatives
As part of its investment strategy, the Trust utilizes a variety of
derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized
on the Trusts Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant
Accounting Policies in Note 2 of these Notes to Financial Statements.
Derivatives are instruments whose values depend on, or are derived
from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments
may be used for investment purposes (including to maintain cash reserves while maintaining exposure to certain other assets), for risk
management (hedging) purposes, for diversification purposes, to change the duration of the Trust, for leverage purposes, to facilitate
trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to seek to mitigate
certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures
to enable investors to better understand how and why the Trust uses derivative instruments, how these derivative instruments are accounted
for and their effects on the Trusts financial position and results of operations.
The Trust utilized derivatives for the following purposes:
Duration: the use of an instrument to manage the interest rate
risk of a portfolio.
Hedge: an investment made in order to reduce the risk of adverse
price movements in a security, by taking an offsetting position to protect against broad market moves.
Income: the use of any instrument that distributes cash flows
typically based upon some rate of interest.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 57
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NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
Options Purchased and Written
A call option on a security gives the purchaser of the option the
right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right
to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk
associated with purchasing options is limited to the premium originally paid.
The risk in writing a call option is that the Trust may incur a
loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that
the Trust may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there
may be an imperfect correlation between the movement in prices of options and the underlying securities where the Trust may not be
able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, the Trust may be at risk
because of the counterpartys inability to perform.
The following table represents the Trusts use and volume of
call/put options purchased on a monthly basis:
|
|
|
|
Average Notional Amount |
Use |
Call |
Put |
Duration, Hedge, Income |
$55,050,000 |
$2,400,000 |
Swap Agreements
A swap is an agreement that obligates two parties to exchange a series
of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount
of an underlying asset. When utilizing OTC swaps, the Trust bears the risk of loss of the amount expected to be received under a swap
agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain
standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such
as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated
through a central clearinghouse, much like exchange-traded futures contracts. If the Trust utilizes centrally-cleared swaps, the exchange
bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could
eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Credit default swaps are instruments which allow for the full or partial
transfer of third-party credit risk, with respect to a particular entity or entities, from one counterparty to the other. The Trust enters
into credit default swaps as a seller or buyer of protection primarily to gain or reduce exposure to the investment
grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect
to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments
over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event
occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to
the notional amount of the swap and
58 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
take delivery of the referenced obligation or underlying securities
comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of
the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount
reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs.
The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to
the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment
will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted
index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no
further obligations to the Trust if it is selling the credit protection. If the Trust utilizes centrally cleared credit default swaps,
the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, the Trust bears
the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement
counterparty, or in the case of a credit default swap in which the Trust is selling credit protection, the default of a third-party issuer.
The quoted market prices and resulting market values for credit default
swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent
the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold
as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration
of the referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined
under the terms of the agreement.
The following table represents the Trusts use and volume of
credit default swaps on a monthly basis:
|
|
|
|
Average Notional Amount |
Use |
Protection Sold |
Protection Purchased |
Hedge |
$ |
$3,566,667 |
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between
two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in
an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure
to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
The market value of a forward foreign currency exchange contract changes
with fluctuations in foreign currency exchange rates. Furthermore, the Trust may be exposed to risk if the counterparties cannot meet
the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 59
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NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
The following table represents the Trusts use and volume of
forward foreign currency exchange contracts on a monthly basis:
|
|
|
|
|
|
Average Value |
|
Use |
Purchased |
|
Sold |
Hedge |
$12,280 |
|
$7,394,501 |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments
on the Trusts Statement of Assets and Liabilities as of May 31, 2024:
|
|
|
Derivative Investment Type |
Asset Derivatives |
Liability Derivatives |
|
Investments in unaffiliated |
|
Interest rate option contracts |
issuers, at value |
|
|
|
Unrealized depreciation on forward |
Currency forward contracts |
|
foreign currency exchange contracts |
|
Variation margin on credit |
Unamortized upfront premiums |
Credit rate swap agreements |
default swap agreements |
received on credit default swap agreements |
The following tables set forth the fair value of the Trusts
derivative investments categorized by primary risk exposure at May 31, 2024:
|
|
|
|
Asset Derivative Investments Value |
|
Options |
Forward |
|
Swaps |
Purchased |
Foreign |
|
Credit |
Interest Rate |
Currency |
Total Value at |
Risk* |
Risk |
Exchange Risk |
May 31, 2024 |
$ |
$ 37 |
$ |
$ 37 |
Liability Derivative Investments Value |
|
Options |
Forward |
|
Swaps |
Written |
Foreign |
|
Credit |
Interest Rate |
Currency |
Total Value at |
Risk* |
Risk |
Exchange Risk |
May 31, 2024 |
$ 428 |
$ |
$ 59,348 |
$ 59,776 |
* | | Includes cumulative appreciation (depreciation) of centrally-cleared derivatives contracts
as reported on the Trusts Schedule of Investments. For centrally-cleared derivatives, variation margin is reported with the Trusts
Statement of Assets and Liabilities. |
60 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
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NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
The following is a summary of the location of derivative investments
on the Trusts Statement of Operations for the year ended May 31, 2024:
|
|
Derivative Investment Type |
Location of Gain (Loss) on Derivatives |
Credit rate swap agreements |
Net realized gain (loss) on swap agreements |
|
Net change in unrealized appreciation |
|
(depreciation) on swap agreements |
Credit/Interest rate options contracts |
Net realized gain (loss) on options purchased |
|
Net change in unrealized appreciation (depreciation) on options purchased |
Currency forward contracts |
Net realized gain (loss) on forward foreign |
|
currency exchange contracts |
|
Net change in unrealized appreciation |
|
(depreciation) on forward foreign currency |
|
exchange contracts |
The following is a summary of the Trusts realized gain (loss)
and change in unrealized appreciation (depreciation) on derivative investments recognized on the Trusts Statement of Operations
categorized by primary risk exposure for the year ended May 31, 2024:
|
|
|
|
|
|
Realized Gain(Loss) on Derivative Investments Recognized on the Statement of Operations |
|
|
Options |
Options |
Forward |
|
|
|
Purchased |
Purchased |
Foreign |
|
|
Swaps |
Credit |
Interest Rate |
Currency |
|
|
Credit Risk |
Risk |
Risk |
Exchange Risk |
|
Total |
$ (104,953) |
$ (14,496) |
$(147,789) |
$ 60,405 |
$ (206,833) |
Change in Unrealized Appreciation(Depreciation) on Derivative Investments
Recognized on the Statement of Operations
|
|
|
|
|
|
Options |
Options |
Forward |
|
|
Purchased |
Purchased |
Foreign |
|
Swaps |
Credit |
Interest Rate |
Currency |
|
Credit Risk |
Risk |
Risk |
Exchange Risk |
Total |
$ 8,989 |
$ |
$ (69,051) |
$ (81,295) |
$ (141,357) |
In conjunction with the use of derivative instruments, the Trust is
required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Trust uses
margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated
to the Trust as collateral.
The Trust has established counterparty credit guidelines and enters
into transactions only with financial institutions rated/identified as investment grade or better. The Trust monitors the counterparty
credit risk.
Foreign Investments
There are several risks associated with exposure to foreign currencies,
foreign issuers and emerging markets. The Trusts indirect and direct exposure to foreign currencies subjects the Trust to the risk
that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will
decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods
of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 61
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
developments in the U.S. or abroad. In addition, the Trust may incur
transaction costs in connection with conversions between various currencies. The Trust may, but is not obligated to, engage in currency
hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may
be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of
securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S.
dollar.
The Trust may invest in securities of foreign companies directly,
or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers.
Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or
economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial
instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing
in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly
when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume
and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets.
Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuers financial condition and operations. Transaction costs and costs
associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments
levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered
portion will reduce the income received by the Trust.
Note 4 Offsetting
In the normal course of business, the Trust enters into transactions
subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows
the Trust to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based
on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit
event upon merger or additional termination event.
In order to better define its contractual rights and to secure rights
that will help the Trust mitigate its counterparty risk, the Trust may enter into an International Swaps and Derivatives Association,
Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivative contract counterparties. An ISDA Master
Agreement is a bilateral agreement between the Trust and a counterparty that governs OTC derivatives, including foreign exchange contracts,
and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination
event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting)
or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral
requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement
62 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
and comparing that amount to the value of any collateral currently
pledged by the Trust and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations
of the Trust and cash collateral received from the counterparty, if any, are reported separately on the Trusts Statement of Assets
and Liabilities as segregated cash due to or due from broker/receivable for variation margin, or payable for swap settlement/variation
margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000)
before a transfer is required to be made. To the extent amounts due to the Trust from its counterparties are not fully collateralized,
contractually or otherwise, the Trust bears the risk of loss from counterparty nonperformance. The Trust attempts to mitigate counterparty
risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability
of those counterparties.
For financial reporting purposes, the Trust does not offset derivative
assets and derivative liabilities that are subject to netting arrangements in the Trusts Statement of Assets and Liabilities.
The following tables present derivative financial instruments and
secured financing transactions that are subject to enforceable netting arrangements:
|
|
|
|
|
|
|
|
|
|
Net Amount |
Gross Amounts Not |
|
|
|
Gross Amounts |
of Assets |
Offset in the Statement |
|
|
Gross |
Offset in the |
Presented on |
of Assets and Liabilities |
|
|
Amounts of |
Statement of |
the Statement |
|
Cash |
|
|
Recognized |
Assets and |
of Assets and |
Financial |
Collateral |
Net |
Instrument |
Assets1 |
Liabilities |
Liabilities |
Instruments |
Received |
Amount |
Options |
|
|
|
|
|
|
purchased |
$37 |
$ |
$37 |
$ |
$ |
$37 |
|
|
|
|
|
|
|
|
|
|
Net Amount |
Gross Amounts Not |
|
|
|
Gross Amounts |
of Liabilities |
Offset in the Statement |
|
|
Gross |
Offset in the |
Presented on |
of Assets and Liabilities |
|
|
Amounts of |
Statement of |
the Statement |
|
Cash |
|
|
Recognized |
Assets and |
of Assets and |
Financial |
Collateral |
Net |
Instrument |
Liabilities1 |
Liabilities |
Liabilities |
Instruments |
Pledged |
Amount |
Forward foreign |
|
|
|
|
|
|
currency |
|
|
|
|
|
|
exchange |
|
|
|
|
|
|
contracts |
$ 59,348 |
$ |
$ 59,348 |
$ |
$ |
$ 59,348 |
Reverse |
|
|
|
|
|
|
repurchase |
|
|
|
|
|
|
agreements |
$ 119,158,244 |
$ |
$ 119,158,244 |
$ (119,158,244) |
$ |
$ |
1 Exchange-traded or centrally-cleared derivatives are
excluded from these reported amounts.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 63
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
The Trust has the right to offset deposits against any related derivative
liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives.
The following table presents deposits held by others in connection
with derivative investments as of May 31, 2024.
|
|
|
|
Counterparty |
Asset Type |
Cash Pledged |
Cash Received |
J.P. Morgan Securities LLC |
Credit default |
$ 39,259 |
$ |
|
swap agreements |
|
|
Note 5 Fees and Other Transactions with Affiliates
Pursuant to an Investment Advisory Agreement between the Trust and
the Adviser, the Adviser furnishes office facilities and equipment, and provides administrative services on behalf of the Trust, and oversees
the activities of Guggenheim Partners Investment Management, LLC (GPIM or the Sub-Adviser). The Adviser provides
all services through the medium of any directors, officers or employees of the Adviser or its affiliates as the Adviser deems appropriate
in order to fulfill its obligations. As compensation for these services, the Trust pays the Adviser a fee, payable monthly, at an annual
rate equal to 0.60% of the Trusts average daily Managed Assets (as defined in this report).
Pursuant to an Investment Sub-Advisory Agreement among the Trust,
the Adviser and GPIM, GPIM, under the oversight and supervision of the Trusts Board and the Adviser, manages the investment of the
assets of the Trust in accordance with its investment objectives and policies, places orders to purchase and sell securities on behalf
of the Trust, and, at the request of the Adviser, consults with the Adviser as to the overall management of the assets of the Trust and
its investment policies and practices. As compensation for its services, the Adviser pays GPIM a fee, payable monthly, at an annual rate
equal to 0.30% of the Trusts average daily Managed Assets.
For purposes of calculating the fees payable under the foregoing agreements,
Managed Assets means the total assets of the Trust, including the assets attributable to the proceeds from financial leverage,
including the issuance of senior securities represented by indebtedness (including through borrowing from financial institutions or issuance
of debt securities, including notes or commercial paper), the issuance of preferred shares, the effective leverage of certain portfolio
transactions such as reverse repurchase agreements, dollar rolls and inverse floating rate securities, or any other form of financial
leverage, minus liabilities, other than liabilities related to any financial leverage.
If the Trust invests in a fund that is advised by the Adviser or an
adviser affiliated with the Adviser, the Trusts Adviser has agreed to waive Trust fees to the extent necessary to offset the proportionate
share of any management fee paid by the Trust with respect to its investment in such fund. Fee waivers will be calculated at the Trust
level without regard to any expense cap, if any, in effect for the Trust. Fees waived under this arrangement are not subject to reimbursement.
For the year ended May 31, 2024, there were no such fees waived.
Certain officers and trustees of the Trust may also be officers, directors
and/or employees of the Adviser or GPIM. The Trust does not compensate its officers who are officers, directors and/or employees of the aforementioned
firms.
GFIA pays operating expenses on behalf of the Trust, such as audit
and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis.
64 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
On November 11, 2022, the Trust received a one-time payment from the
Adviser for $29,557 relating to an operational issue. This amount is included in Capital contribution from adviser on the Statements
of Changes in Net Assets and the impact of this amount to total return at NAV is included within the Financial Highlights.
MUFG Investor Services (US), LLC (MUIS) acts as the Trusts
administrator and accounting agent. As administrator and accounting agent, MUIS maintains the books and records of the Trusts securities
and cash. The Bank of New York Mellon Corp. (BNY) acts as the Trusts custodian. As custodian, BNY is responsible for
the custody of the Trusts assets. For providing the aforementioned services, MUIS and BNY are entitled to receive a monthly fee
equal to an annual percentage of the Trusts average daily Managed Assets and certain out of pocket expenses.
Note 6 Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that
the Trust would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at
the measurement date. 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 unadjusted 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.
Rule 2a-5 sets forth a definition of readily available market
quotations, which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that a market quotation
is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the Trust
can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.
Securities for
which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security
priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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.
Pricing service providers are used to value a majority of the Trusts
investments. When values are not available from a pricing service provider, they will be 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 U.S. Treasury securities, and other information
and analysis. A significant portion of the Trusts assets and liabilities are categorized as Level 2, as indicated in this report.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 65
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
Quotes from broker-dealers, adjusted for fluctuations in criteria
such as credit spreads and interest rates, may also be used to value the Trusts 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 quotes are typically received from
established market participants, the Trust may not have the transparency to view the underlying inputs which support the market quotations.
Significant changes in a quote would generally result in significant changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly
quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
Certain loans and other securities are valued using a single daily
broker quote or a price from a pricing service provider based on a single daily or monthly broker quote.
The inputs or methodologies selected and applied for valuing securities
or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness
and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to
change.
Note 7 Reverse Repurchase Agreements
The Trust may enter into reverse repurchase agreements as part of
its financial leverage strategy. Under a reverse repurchase agreement, the Trust temporarily transfers possession of a portfolio instrument
to another party, such as a bank or broker-dealer, in return for cash. At the same time, the Trust agrees to repurchase the instrument
at an agreed upon time and price, which reflects an interest payment. Such agreements have the economic effect of borrowings. The Trust
may enter into such agreements to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned
income. When the Trust enters into a reverse repurchase agreement, any fluctuations in the market value of either the instruments transferred
to another party or the instruments in which the proceeds may be invested would affect the market value of the Trusts assets. As
a result, such transactions may increase fluctuations in the market value of the Trusts assets. For the year ended May 31, 2024,
the average daily balance for which reverse repurchase agreements were outstanding amounted to $127,837,757. The weighted average
interest rate was 5.80%. As of May 31, 2024 there was $119,158,244 (inclusive of interest payable) in reverse repurchase agreements
outstanding.
As of May 31, 2024, the Trust had outstanding reverse repurchase agreements
with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:
|
|
|
|
Counterparty |
Interest Rate(s) |
Maturity Date(s) |
Face Value |
Barclays Capital, Inc. |
4.50% - 5.70%* |
Open Maturity |
$ 12,581,178 |
BMO Capital Markets Corp. |
5.55%* |
Open Maturity |
2,684,644 |
BofA Securities, Inc. |
5.45% - 5.57%* |
Open Maturity |
7,456,831 |
Canadian Imperial Bank of Commerce |
5.61%* |
Open Maturity |
3,733,235 |
Goldman Sachs & Co. LLC |
5.55%* |
Open Maturity |
1,188,268 |
RBC Capital Markets LLC |
5.55% - 5.70%* |
Open Maturity |
55,457,789 |
TD Securities (USA) LLC |
5.63% |
06/20/24 |
36,056,299 |
Total |
|
|
$ 119,158,244 |
* The rate is adjusted periodically by the counterparty, subject to
approval by the Adviser, and is not based upon a set of reference rate and spread. Rate indicated is the rate effective at May 31, 2024.
66 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
The following is a summary of the remaining contractual maturities
of the reverse repurchase agreements outstanding as of May 31, 2024, aggregated by asset class of the related collateral pledged by the
Trust:
|
|
|
|
|
|
|
Up to |
|
Greater than |
Overnight and |
|
|
30
days |
31-90
days |
90
days |
Continuous |
Total |
Corporate
Bonds |
$ |
$ |
$ |
$31,479,378 |
$31,479,378 |
Municipal
Bonds |
36,056,299 |
|
|
51,622,567 |
87,678,866 |
Total
reverse repurchase agreements |
$36,056,299 |
$ |
$ |
$83,101,945 |
$119,158,244 |
Gross amount of recognized liabilities |
|
|
|
|
|
for
reverse repurchase agreements |
$36,056,299 |
$ |
$ |
$83,101,945 |
$119,158,244 |
Note 8 Borrowings
The Trust has entered into a $100,000,000 credit facility agreement
with an approved lender. Under the most recent amended terms, the interest rate on the amount borrowed is based on the SOFR plus 95 basis
points, and an unused commitment fee of 25 basis points is charged on the difference between the amount available to borrow under the credit
agreement and the actual amount borrowed. As of May 31, 2024, there was $0 outstanding in connection with the Trusts credit
facility. The Trust did not have any borrowings on the credit facility during the year ended May 31, 2024. As of May 31, 2024, the total
value of securities segregated and pledged as collateral in connection with borrowings was $59,714.
The credit facility agreement governing the loan facility includes
usual and customary covenants. These covenants impose on the Trust asset coverage requirements, collateral requirements, investment strategy
requirements, and certain financial obligations. These covenants place limits or restrictions on the Trusts ability to (i) enter
into additional indebtedness with a party other than the counterparty, (ii) change its fundamental investment policy, or (iii) pledge
to any other party, other than to the counterparty, securities owned or held by the Trust over which the counterparty has a lien. In addition,
the Trust is required to deliver financial information to the counterparty within established deadlines, maintain an asset coverage ratio
(as defined in Section 18(g) of the 1940 Act) greater than 300%, comply with the rules of the stock exchange on which its shares are listed,
and maintain its classification as a closed-end management investment company as defined in the 1940 Act.
There is no guarantee that the Trusts leverage strategy will
be successful. The Trusts use of leverage may cause the Trusts NAV and market price of common shares to be more volatile and
can magnify the effect of any losses.
Note 9 Federal Income Tax Information
The Trust intends to comply with the provisions of Subchapter M of
the Internal Revenue Code of 1986, as amended (the Internal Revenue Code), applicable to regulated investment companies and
will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Trust from all, or substantially
all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing
the Trusts tax returns are evaluated to determine whether the tax positions are more-likely-than-not of being sustained
by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 67
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
would be recorded as a tax benefit or expense in the current year.
Management has analyzed the Trusts tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years,
and has concluded that no provision for income tax is required in the Trusts financial statements. The Trusts U.S. federal
income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three years after they
are filed.
The tax character of distributions paid during the year ended May
31, 2024 was as follows:
|
|
|
|
|
Long-Term |
|
|
Ordinary Income |
Capital Gain |
Return of Capital |
Total Distributions |
$19,705,406 |
$ |
$16,017,779 |
$35,723,185 |
The tax character of distributions paid during the year ended May
31, 2023 was as follows:
|
|
|
|
|
Long-Term |
|
|
Ordinary Income |
Capital Gain |
Return of Capital |
Total Distributions |
$20,436,420 |
$ |
$13,351,040 |
$33,787,460 |
Note: For U.S. federal income tax purposes, short-term capital gain
distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of May 31,
2024 were as follows:
|
|
|
|
|
Undistributed |
Undistributed |
Net Unrealized |
Accumulated |
|
Ordinary |
Long-Term |
Appreciation |
Capital and |
|
Income |
Capital Gain |
(Depreciation) |
Other Losses |
Total |
$ |
$ |
$(44,544,291) |
$(22,341,046) |
$(66,885,337) |
For U.S. federal income tax purposes, capital loss carryforwards represent
realized losses of the Trust that may be carried forward and applied against future capital gains. The Trust is permitted to carry forward
capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital
losses. As of May 31, 2024, capital loss carryforwards for the Trust were as follows:
|
|
|
|
|
Total |
|
Unlimited |
Capital Loss |
|
Short-Term |
Long-Term |
Carryforward |
|
$(125,319) |
$(22,215,727) |
$(22,341,046) |
Net investment income and net realized gains (losses) may differ for
financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments
in swap agreements, paydown reclasses, foreign currency gains and losses, return of capital distributions, losses deferred due to wash
sales, and debt to equity adjustments. Additional differences may result from the mark-to-market of certain derivatives. To
the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings
(Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or
NAV per share.
68 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
The following adjustments were made on the Statement of Assets and
Liabilities as of May 31, 2024 for permanent book/tax differences:
|
|
|
Total |
Paid In |
Distributable |
Capital |
Earnings/(Loss) |
$(156,799) |
$156,799 |
At May 31, 2024, the cost of investments for U.S. federal income tax
purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the
aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:
|
|
|
|
|
|
|
Net Tax Unrealized |
|
Tax Unrealized |
Tax Unrealized |
Appreciation/ |
Tax Cost |
Appreciation |
Depreciation |
(Depreciation) |
$548,131,658 |
$11,093,369 |
$(55,650,522) |
$(44,557,153) |
Note 10 Securities Transactions
For the year ended May 31, 2024, the cost of purchases and proceeds
from sales of investment securities, excluding short-term investments and derivatives, were as follows $97,096,028 and $85,976,817
respectively.
The Trust is permitted to purchase or sell securities from or to certain
affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that
any purchase or sale of securities by the Trust from or to another fund or portfolio that is or could be considered an affiliate by virtue
of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7
of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price. For the year ended
May 31, 2024, the Trust did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.
Note 11 Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Trust held unfunded
loan commitments as of May 31, 2024. The Trust is obligated to fund these loan commitments at the borrowers discretion. The Trust
reserves against such contingent obligations by designating cash, liquid securities, illiquid securities, and liquid term loans as a reserve.
As of May 31, 2024, the total amount segregated in connection with unfunded loan commitments and reverse repurchase agreements was $125,597,733.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 69
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
The unfunded loan commitments as of May 31, 2024, were as follows:
|
|
|
|
Borrower |
Maturity Date |
Face Amount* |
Value |
Ardonagh Midco 3 plc |
02/16/25 |
84,337 |
$ 1,265 |
Datix Bidco Ltd. |
04/30/31 |
140,000 |
|
Integrated Power Services Holdings, Inc. |
11/22/28 |
241,358 |
604 |
Lightning A |
03/01/37 |
2,450,000 |
|
MB2 Dental Solutions, LLC |
01/29/31 |
536,448 |
13,116 |
Polaris Newco LLC |
06/04/26 |
230,300 |
11,572 |
RLDatix |
04/30/30 |
123,500 |
|
Thunderbird A |
03/01/37 |
2,450,000 |
|
TK Elevator Midco GmbH |
01/29/27 |
EUR 810,953 |
39,971 |
|
|
|
$ 66,528 |
* The face amount is denominated in U.S. dollars unless otherwise indicated. |
|
|
EUR - Euro |
|
|
|
Note 12 Restricted Securities
The securities below are considered illiquid and restricted under
guidelines established by the Board:
|
|
|
|
Restricted Securities |
Acquisition Date |
Cost |
Value |
Central Storage Safety Project Trust |
|
|
|
4.82% due 02/01/38 |
02/02/18 |
$ 6,836,519 |
$ 5,824,503 |
CFMT LLC |
|
|
|
2022-HB9 3.25% (WAC) due 09/25/371 |
09/23/22 |
447,136 |
448,426 |
Finance Co I SARL / Endo US, Inc.* |
04/23/24 |
2,090 |
2,685 |
Endo, Inc.* |
04/23/24 |
2,388 |
5,220 |
Freddie Mac Military Housing Bonds Resecuritization |
|
|
|
Trust Certificates 2015-R1, 5.94% (WAC) |
|
|
|
due 11/25/521 |
09/10/19 |
83,622 |
73,314 |
Mirabela Nickel Ltd. |
|
|
|
due 06/24/192 |
12/31/13 |
87,217 |
482 |
|
|
$ 7,458,972 |
$ 6,354,630 |
* | | Non-income producing security. |
1 | | Variable rate security. Rate indicated is the rate effective at May 31, 2024. In some instances,
the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position
may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective
rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted
average. |
2 | | Security is in default of interest and/or principal obligations. |
70 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
Note 13 Capital
Common Shares
The Trust has an unlimited amount of common shares, $0.01 par
value, authorized and 24,801,498 shares issued and outstanding as of May 31, 2024.
|
|
|
Transactions in common shares were as follows: |
|
|
|
Year Ended |
Year Ended |
|
May 31, 2024 |
May 31, 2023 |
Beginning shares |
22,979,362 |
21,864,166 |
Shares issued through at-the-market offering |
1,721,855 |
1,032,599 |
Shares issued through dividend reinvestment |
100,281 |
82,597 |
Ending shares |
24,801,498 |
22,979,362 |
On April 12, 2023, the Trusts current shelf registration allowing
for delayed or continuous offering of additional shares became effective. The shelf registration statement allows for the issuance of up
to $150,000,000 of common shares. On April 12, 2023, the Trust entered into an at-the-market sales agreement with Cantor Fitzgerald
& Co. to offer and sell common shares having an aggregated initial offering price of up to $150,000,000, from time to time, through
Cantor Fitzgerald & Co. as agent for the Trust.
As of May 31, 2024, up to $119,559,447 remained available under
the at-the-market sales agreement. For the year ended May 31, 2024, the Trust paid $7,108 for offering costs associated with the at-the-market offering, and will be responsible for additional offering costs in the future of up to 0.60% of the offering price of common shares
sold pursuant to the shelf registration statement.
A portion of the proceeds of the foregoing offering is usually used
to pay distributions and may be a return of capital. If the Trust does not conduct such offering, it may not be able to maintain distributions
at historical levels. There is no guarantee that the Trust will sell all of the common shares available for sale under its shelf registration
statement or that there will be any sales of common shares thereunder and, from time to time, the Trust may be unable to sell its common
shares under its shelf registration statement.
Note 14 Market Risks
The value of, or income generated by, the investments held by the
Trust are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors
include, among others, developments affecting individual companies, issuers or particular industries, or from broader influences, including
real or perceived changes in prevailing interest rates (which may change at any time based on changes in monetary policies and various
market and other economic conditions), changes in inflation rates or expectations about inflation rates, adverse investor confidence or
sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general
uncertainty, environmental or man-made disasters, governmental actions, public health emergencies (such as the spread of infectious diseases,
pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the escalated conflict in the Middle
East and the ongoing Russia-Ukraine
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 71
|
|
NOTES TO FINANCIAL STATEMENTS continued |
May 31, 2024 |
conflict and its collateral economic and other effects, including,
but not limited to, sanctions and other international trade barriers) or ratings downgrades, and other similar types of events, each of
which may be temporary or last for extended periods. different sectors, industries and security types may react differently to such developments.
Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country, geographic region or
industry could adversely affect the value, yield and return of the investments held by the Trust in a different country, geographic region,
economy, industry or market because of the increasingly interconnected global economies and financial markets. The duration and extent
of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future,
cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value
of the Trusts investments and performance of the Trust.
Note 15 Subsequent Events
The Trust evaluated subsequent events through the date the financial
statements are issued and determined there were no material events that would require adjustment to or disclosure in the Trusts
financial statements.
72 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
REPORT OF INDEPENDENT REGISTERED |
|
PUBLIC ACCOUNTING FIRM |
May 31, 2024 |
To the Shareholders and the Board of Trustees of Guggenheim Taxable
Municipal Bond & Investment Grade Debt Trust
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities
of Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust (the Trust), including the schedule of investments,
as of May 31, 2024, and the related statements of operations and cash flows for the year then ended, the statements of changes in net
assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended
and the related notes (collectively referred to as the financial statements). In our opinion, the financial statements present
fairly, in all material respects, the financial position of Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust at May
31, 2024, the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two
years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S.
generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trusts
management. Our responsibility is to express an opinion on the Trusts financial statements based on our audits. We are a public
accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to
be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations
of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the
PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we
engaged to perform, an audit of the Trusts internal control over financial reporting. As part of our audits, we are required
to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the
effectiveness of the Trusts internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of
material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those
risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of May 31, 2024, by correspondence with the custodian,
broker and paying agents; when replies were not received from brokers or paying agents, we performed other auditing procedures.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 73
|
|
REPORT OF INDEPENDENT REGISTERED |
|
PUBLIC ACCOUNTING FIRM continued |
May 31, 2024 |
Our audits also included evaluating the accounting principles used
and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that
our audits provide a reasonable basis for our opinion.
![](https://www.sec.gov/Archives/edgar/data/1495825/000182126824000179/image_015.gif)
We have served as the auditor of one
or more Guggenheim investment companies since 1979.
Tysons, Virginia
July 26, 2024
74 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
OTHER INFORMATION (Unaudited) |
May 31, 2024 |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue
Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2025, shareholders will be advised on IRS Form 1099 DIV
or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2024.
The Trusts
investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions
paid during the fiscal year ended May 31, 2024, the Trust had the corresponding percentages qualify for the reduced tax rate pursuant
to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified
dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during
the fiscal year ended May 31, 2024, the Trust had the corresponding percentage qualify as interest related dividends as permitted by IRC
Section 871(k)(1) . See the qualified interest income column in the table below.
|
|
|
Qualified |
Dividend |
Qualified |
Dividend |
Received |
Interest |
Income |
Deduction |
Income |
1.64% |
1.35% |
69.92% |
Results of Shareholder Votes
The Annual Meeting of Shareholders of the Trust was held on April
4, 2024. Common shareholders voted on the election of Trustees. With regards to the election of the following Trustees by shareholders
of the Trust:
|
|
|
|
|
# of Shares in Favor |
# of Shares Against |
# of Shares Abstain |
Thomas F. Lydon, Jr. |
18,205,108 |
238,771 |
115,837 |
Ronald A. Nyberg |
18,212,526 |
241,410 |
105,780 |
The other Trustees of the Trust not up for election in 2024 are Randall
C. Barnes, Angela Brock-Kyle, Sandra G. Sponem, Ronald E. Toupin, Jr. and Amy J. Lee.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 75
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
Senior Securities
The following table sets forth information about the Trusts
outstanding senior securities as of the end of each fiscal year for the last ten fiscal years. The outstanding senior securities include
borrowings from certain financial institutions (Borrowings) and, effective August 19, 2022, reverse repurchase agreement transactions.
The information in this table for the fiscal years ended 2024, 2023, 2022, 2021, and 2020 has been audited by Ernst & Young LLP, independent
registered public accounting firm. The Trusts audited financial statements, including the report of Ernst & Young LLP thereon
and accompanying notes thereto, are included in this annual report to shareholders for the year ended May 31, 2024.
|
|
|
|
|
|
Total Principal |
Asset Coverage |
Fiscal Year Ended |
Title of Security |
Amount Outstanding(1) |
Per $1,000 of Principal Amount |
May 31, 2024 |
Reverse Repurchase Agreements |
$119,158,244 |
$4,212 |
May 31, 2023 |
Borrowings; Reverse Repurchase
Agreements |
$127,052,234 |
$3,896 |
May 31, 2022 |
Borrowings |
$0 |
$0 |
May 31, 2021 |
Borrowings |
$97,359,544 |
$5,855 |
May 31, 2020 |
Borrowings |
$10,509,544 |
$40,409 |
May 31, 2019 |
Borrowings |
$44,509,544 |
$9,891 |
May 31, 2018 |
Borrowings |
$44,509,544 |
$9,879 |
May 31, 2017 |
Borrowings |
$47,509,544 |
$9,541 |
May 31, 2016 |
Borrowings |
$61,709,544 |
$7,576 |
May 31, 2015 |
Borrowings |
$35,509,544 |
$12,452 |
(1) | | Principal amount outstanding represents the principal amount as of the end of the relevant
fiscal year/period owed by the Trust to lenders or counterparties under arrangements or reverse repurchase agreements in place at the
time. |
Prior to August 19, 2022, as a result of the Trust having earmarked
or segregated cash or liquid securities to collateralize reverse repurchase agreement transactions or otherwise having covered the transactions,
in accordance with releases and interpretive letters issued by the SEC, the Trust did not treat its obligations under such transactions
as senior securities representing indebtedness for purposes of the 1940 Act. Accordingly, this table does not reflect reverse repurchase
agreement transactions for periods prior to August 19, 2022. Effective August 19, 2022, the Trusts obligations under reverse repurchase
agreement transactions are treated as senior securities representing indebtedness for purposes of the 1940 Act.
Summary of Trust Expenses
The following table contains information about the costs and expenses
that Common Shareholders will bear directly or indirectly. The table is based on the capital structure of the Trust as of May 31, 2024.
The purpose of the table and the example below is to help you understand the fees and expenses that you, as a holder of Common Shares,
would bear directly or indirectly. The following table should not be considered a representation of the Trusts future expenses.
Actual expenses may be greater or less than shown. The following table shows estimated Trust expenses as a percentage of average net assets
attributable to Common Shares and not as a percentage of Managed Assets.
76 l GBAB l GUGGENHEIM TAXABLE
MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
|
|
|
May 31, 2024 |
Common Shareholder Transaction Expenses |
|
Sales load paid by you (as a percentage of offering price)(1) |
% |
Offering expenses borne by the Trust (as a percentage of offering price)(1)(2) |
0.60% |
Dividend Reinvestment Plan fees(3) |
None |
|
As a Percentage of |
|
Net Assets Attributable |
|
to Common Shares(4) |
Annual Expenses |
|
Management Fees(5) |
0.79% |
Acquired Fund Fees and Expenses(6) |
0.34% |
Interest expense(7) |
1.82% |
Other expenses(8) |
0.25% |
Total annual expenses(9) |
3.20% |
(1) | | In connection with an offering of Common Shares, a supplement to the Trusts prospectus
(Prospectus Supplement) will set forth any applicable sales load and the estimated offering expenses borne by the Trust. |
(2) | | The Adviser has incurred on behalf of the Trust all costs associated with the Trusts
registration statement and any offerings pursuant to such registration statement. The Trust has agreed, in connection with offerings
under the Trusts registration statement, to reimburse the Adviser for offering expenses incurred by the Adviser on the Trusts
behalf in an amount up to the lesser of the Trusts actual offering costs or 0.60% of the total offering price of the Common Shares
sold in such offering. |
(3) | | Common Shareholders will pay brokerage charges if they direct the Plan Agent to sell Common
Shares held in a dividend reinvestment account. |
(4) | | Based upon average net assets applicable to Common Shares during the fiscal year ended May
31, 2024. |
(5) | | The Trust pays the Adviser a monthly fee in arrears at an annual rate equal to 0.60% of the
Trusts average daily Managed Assets. The fee shown is based upon outstanding leverage employed through (i) the issuance of senior
securities representing indebtedness, including through borrowing from financial institutions or issuance of debt securities, including
notes or commercial paper, (ii) engaging in reverse repurchase agreements, dollar rolls and economically similar transactions, (iii)
investments in inverse floating rate securities, which have the economic effect of leverage, and (iv) the issuance of preferred shares
(collectively Financial Leverage) of 23.74% of the Trusts Managed Assets. If Financial Leverage of more than 23.74%
of the Trusts Managed Assets is used, the management fees shown would be higher. |
(6) | | Acquired Fund Fees and Expenses are estimated based on the fees and expenses borne by the
Trust as an investor in other investment companies during the fiscal year ended May 31, 2024. |
(7) | | Includes interest payments on borrowed funds and interest expense on reverse repurchase agreements.
Interest payments on borrowed funds is estimated based upon the Trusts outstanding Borrowings as of May 31, 2024, which included
Borrowings under the Trusts committed facility agreement in an amount equal to 0% of the Trusts Managed Assets, at an average
interest rate of 0%. Interest expenses on reverse repurchase agreements is estimated based on the Trusts outstanding reverse repurchase
agreements as of May 31, 2024, which included leverage in the form of reverse repurchase agreements in an amount equal to 23.74% of the
Trusts Managed Assets, at a weighted average interest rate cost to the Trust of 5.63%. The actual amount of interest payments and
expenses by the Trust will vary over time in accordance with the amount of Borrowings and reverse repurchase agreements and variations
in market interest rates. |
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 77
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
(8) | | Other expenses are estimated based upon those incurred during the fiscal year ended May 31,
2024. |
(9) | | The Total Annual Expenses in this fee table may not correlate to the expense ratios in the
Trusts financial highlights and financial statements because the financial highlights and financial statements reflect only the
operating expenses of the Trust and do not include Acquired Fund Fees and Expenses, which are fees and expenses incurred indirectly by
the Trust through its investments in certain underlying investment companies. |
Example
As required by relevant Securities and Exchange Commission regulations,
the following example illustrates the expenses that you would pay on a $1,000 investment in Common Shares, assuming (1) Total
annual expenses of 3.20% of net assets attributable to Common Shares and (2) a 5% annual return*:
|
|
|
|
|
|
1 Year |
3 Years |
5 Years |
10 Years |
Total Annual Expenses paid by Common Shareholders(1) |
$32 |
$99 |
$167 |
$350 |
* | | The example should not be considered a representation of future expenses or returns. Actual
expenses may be higher or lower than those assumed and shown. Moreover, the Trusts actual rate of return may be higher or lower
than the hypothetical 5% return shown in the example. The example assumes that all dividends and distributions are reinvested at net
asset value. |
(1) | | The example does not include sales loads or estimated offering costs which, if reflected,
would result in higher expenses. In connection with an offering of Common Shares, the Prospectus Supplement will set forth any applicable
sales load and the estimated offering expenses borne by the Trust. |
Market and Net Asset Value Information
The Trusts currently outstanding Common Shares are listed on
the NYSE. The Trusts Common Shares commenced trading on the NYSE on October 28, 2010.
The Common Shares have traded both at a premium and at a discount
in relation to the Trusts net asset value per share. Although the Common Shares recently have traded at a premium to net asset value,
there can be no assurance that this will continue nor that the Common Shares will not trade at a discount in the future. Shares of closed-end
investment companies frequently trade at a discount to net asset value. The sale of Common Shares by the Trust (or the perception that
such sales may occur) may have an adverse effect on prices of Common Shares in the secondary market. An increase in the number of Common
Shares available may put downward pressure on the market price for Common Shares.
The following table sets forth, for each of the periods indicated,
the high and low closing market prices for the Common Shares on the NYSE, the net asset value per Common Share and the premium or discount
to net asset value per Common Share at which the Common Shares were trading. Net asset value is generally determined on each Tuesday that
the NYSE is open for business and the last business day of each calendar month.
78 l GBAB l GUGGENHEIM TAXABLE
MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
|
|
|
|
|
|
|
|
|
|
Net Asset Value |
|
|
|
|
|
per Common Share |
Premium/(Discount) |
|
|
|
on Date of Market |
on Date of Market |
|
Market Price |
Price High and Low(1) |
Price High and Low(2) |
Fiscal Quarter Ended |
High |
Low |
High |
Low |
High |
Low |
May 31, 2024 |
$17.11 |
$15.58 |
$15.86 |
$15.21 |
7.88% |
2.43% |
February 29, 2024 |
$17.00 |
$15.86 |
$16.11 |
$15.40 |
5.52% |
2.99% |
November 30, 2023 |
$15.70 |
$14.35 |
$15.33 |
$14.25 |
2.41% |
0.70% |
August 31, 2023 |
$16.89 |
$14.82 |
$15.86 |
$15.16 |
6.49% |
(2.24)% |
May 31, 2023 |
$17.23 |
$15.89 |
$16.14 |
$15.74 |
6.75% |
0.95% |
February 28, 2023 |
$17.73 |
$15.51 |
$16.63 |
$15.93 |
6.61% |
(2.64)% |
November 30, 2022 |
$17.59 |
$14.91 |
$17.10 |
$15.64 |
2.87% |
(4.67)% |
August 31, 2022 |
$19.29 |
$17.01 |
$18.29 |
$17.36 |
5.47% |
(2.02)% |
May 31, 2022 |
$21.16 |
$18.06 |
$21.51 |
$18.18 |
(1.63)% |
(0.66)% |
(1) | | Based on the Trusts computations. |
(2) | | Calculated based on the information presented. Percentages are rounded. |
The reported sale price, net asset value per Common Share and percentage
premium to net asset value per Common Share as of May 31, 2024 was $16.25, $15.43 and 5.31%, respectively. The Trust cannot predict
whether its Common Shares will trade in the future at a premium to or discount from net asset value, or the level of any premium or discount.
Shares of closed-end investment companies frequently trade at a discount from net asset value. As of May 31, 2024, 24,801,498 Common Shares
of the Trust were outstanding.
Unresolved Staff Comments
The Trust believes that there are no material unresolved written comments,
received 180 days or more before May 31, 2024, from the staff of the Securities and Exchange Commission regarding any of its periodic or
current reports under the Securities Exchange Act or the Investment Company Act of 1940 or its registration statement.
Delaware Statutory Trust Act-Control Share Acquisition
Under Delaware law applicable to the Trust as of August 1, 2022, if
a shareholder acquires direct or indirect ownership or power to direct the voting of shares of the Trust in an amount that equals or exceeds
certain percentage thresholds specified under Delaware law (beginning at 10% or more of shares of the Trust), the shareholders ability
to vote certain of these shares may be limited.
Sector Classification
Information in the Schedule of Investments is categorized
by sectors using sector-level classifications used by Bloomberg Industry Classification System, a widely recognized industry classification
system provider. In the Trusts registration statement, the Trust has investment policies relating to concentration in specific industries.
For purposes of these investment policies, the Trust usually classifies industries based on industry-level classifications used by widely
recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards
and Barclays Global Classification Scheme.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 79
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
Trustees
The Trustees of the Guggenheim Taxable Municipal Bond & Investment
Grade Debt Trust and their principal occupations during the past five years:
|
|
|
|
|
|
|
|
|
|
Number
of |
|
|
Position(s) |
Term of
Office |
|
Portfolios
in |
|
Name, Address* |
Held
with |
and
Length of |
|
Fund Complex |
Other
Directorships |
and
Year of Birth |
Trust |
Time
Served** |
Principal
Occupation(s) During Past Five Years |
Overseen |
Held
by Trustees*** |
Independent
Trustees: |
|
|
|
|
Randall C. Barnes |
Trustee and |
Since 2010 |
Current:
Private Investor (2001-present). |
153 |
Current: Advent
Convertible and Income |
(1951) |
Chair of the |
(Trustee) |
|
|
Fund (2005-present);
Purpose |
|
Valuation |
|
Former:
Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); |
|
Investments
Funds (2013-present). |
|
Oversight |
Since 2020 |
President,
Pizza Hut International (1991-1993); Senior Vice President, Strategic |
|
|
|
Committee |
(Chair of
the |
Planning
and New Business Development, PepsiCo, Inc. (1987-1990). |
|
Former: Guggenheim
Energy & Income |
|
|
Valuation |
|
|
Fund (2015-2023);
Fiduciary/Claymore |
|
|
Oversight |
|
|
Energy Infrastructure
Fund (2004-2022); |
|
|
Committee) |
|
|
Guggenheim
Enhanced Equity Income |
|
|
|
|
|
Fund (2005-2021); Guggenheim
Credit |
|
|
|
|
|
Allocation
Fund (2013-2021). |
Angela
Brock-Kyle |
Trustee |
Since 2019 |
Current: Founder and Chief Executive
Officer, B.O.A.R.D.S. (consulting firm) |
152 |
Current: Bowhead
Insurance GP, LLC |
(1959) |
|
|
(2013-present);
Member, Board of Directors, Mutual Fund Directors Forum |
|
(2020-present);
Hunt Companies, Inc. |
|
|
|
(2022-present). |
|
(2019-present). |
|
|
|
Former:
Senior Leader, TIAA (financial services firm) (1987-2012). |
|
Former: Guggenheim
Energy & Income |
|
|
|
|
|
Fund (2019-2023);
Fiduciary/Claymore |
|
|
|
|
|
Energy Infrastructure
Fund (2019-2022); |
|
|
|
|
|
Guggenheim
Enhanced Equity Income |
|
|
|
|
|
Fund (2019-2021);
Guggenheim Credit |
|
|
|
|
|
Allocation
Fund (2019-2021); Infinity |
|
|
|
|
|
Property
& Casualty Corp. (2014-2018). |
80 l GBAB l GUGGENHEIM TAXABLE
MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
|
|
|
|
|
|
|
|
|
|
Number
of |
|
|
Position(s) |
Term
of Office |
|
Portfolios
in |
|
Name, Address* |
Held
with |
and
Length of |
|
Fund Complex |
Other
Directorships |
and
Year of Birth |
Trust |
Time
Served** |
Principal
Occupation(s) During Past Five Years |
Overseen |
Held
by Trustees*** |
Independent
Trustees: |
|
|
|
|
Thomas F. Lydon, Jr. |
Trustee and |
Since 2019 |
Current:
President, Global Trends Investments (registered investment adviser) |
152 |
Current:
US Global Investors, Inc. |
(1960) |
Chair of the |
(Trustee) |
(1996-present); CEO, Lydon Media
(2016-present). |
|
(GROW) (1995-present); The 2023
ETF |
|
Contracts |
|
|
|
Series
Trust (4) (2023-present); The 2023 |
|
Review |
Since 2020 |
Former:
Vice Chairman, VettaFi, a wholly owned subsidiary of The TMX |
|
ETF Series
Trust II (1) (2023-present). |
|
Committee |
(Chair
of the |
Group (financial
advisor content, research, index and digital distribution |
|
|
|
|
Contracts |
provider)
(2022-2024); Chief Executive Officer, ETF Flows, LLC (financial |
|
Former:
Guggenheim Energy & Income |
|
|
Review |
advisor
education and research provider) (2019-2023); Director, GDX |
|
Fund (2019-2023);
Fiduciary/Claymore |
|
|
Committee) |
Index Partners,
LLC (index provider) (2021-2023). |
|
Energy
Infrastructure Fund (2019-2022); |
|
|
|
|
|
Guggenheim
Enhanced Equity Income |
|
|
|
|
|
Fund (2019-2021);
Guggenheim Credit |
|
|
|
|
|
Allocation
Fund (2019-2021); Harvest |
|
|
|
|
|
Volatility
Edge Trust (3) (2017-2019). |
Ronald
A. Nyberg |
Trustee and |
Since 2010 |
Current:
Of Counsel (formerly Partner), Momkus LLP (law firm) (2016-present). |
153 |
Current:
Advent Convertible and Income |
(1953) |
Chair of the |
|
|
|
Fund (2003-present);
PPM Funds (2) |
|
Nominating |
|
Former:
Partner, Nyberg & Cassioppi, LLC (law firm) (2000-2016); |
|
(2018-present);
Endeavor Health |
|
and |
|
Executive
Vice President, General Counsel, and Corporate Secretary, |
|
(2012-present). |
|
Governance |
|
Van Kampen
Investments (1982-1999). |
|
|
|
Committee |
|
|
|
Former:
Guggenheim Energy & Income |
|
|
|
|
|
Fund (2015-2023);
Fiduciary/Claymore |
|
|
|
|
|
Energy
Infrastructure Fund (2004-2022); |
|
|
|
|
|
Guggenheim
Enhanced Equity Income |
|
|
|
|
|
Fund (2005-2021);
Guggenheim Credit |
|
|
|
|
|
Allocation
Fund (2013-2021); Western |
|
|
|
|
|
Asset Inflation-Linked
Opportunities & |
|
|
|
|
|
Income
Fund (2004-2020); Western Asset |
|
|
|
|
|
Inflation-Linked
Income Fund |
|
|
|
|
|
(2003-2020). |
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 81
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
|
|
|
|
|
|
|
|
|
|
Number
of |
|
|
Position(s) |
Term of
Office |
|
Portfolios
in |
|
Name, Address* |
Held
with |
and
Length of |
|
Fund Complex |
Other
Directorships |
and
Year of Birth |
Trust |
Time
Served** |
Principal
Occupation(s) During Past Five Years |
Overseen |
Held
by Trustees*** |
Independent
Trustees: |
|
|
|
|
Sandra G. Sponem |
Trustee and |
Since 2019 |
Current: Retired. |
153 |
Current: SPDR
Series Trust (81) |
(1958) |
Chair of the |
(Trustee) |
|
|
(2018-present);
SPDR Index Shares |
|
Audit |
|
Former: Senior
Vice President and Chief Financial Officer, M.A. |
|
Funds (30)
(2018-present); SSGA Active |
|
Committee |
Since 2020 |
Mortenson-Companies,
Inc. (construction and real estate |
|
Trust (14)
(2018-present). |
|
|
(Chair of
the |
development
company) (2007-2017). |
|
|
|
|
Audit |
|
|
Former: Guggenheim
Energy & Income |
|
|
Committee) |
|
|
Fund (2019-2023);
Fiduciary/Claymore |
|
|
|
|
|
Energy Infrastructure Fund (2019-2022); |
|
|
|
|
|
Guggenheim
Enhanced Equity Income |
|
|
|
|
|
Fund (2019-2021);
Guggenheim Credit |
|
|
|
|
|
Allocation
Fund (2019-2021); SSGA |
|
|
|
|
|
Master
Trust (1) (2018-2020). |
Ronald
E. Toupin, Jr. |
Trustee, |
Since 2010 |
Current: Portfolio
Consultant (2010-present); Member, Governing Council, |
152 |
Former: Guggenheim
Energy & Income |
(1958) |
Chair of the |
|
Independent
Directors Council (2013-present); Governor, Board of Governors, |
|
Fund (2015-2023);
Fiduciary/Claymore |
|
Board and |
|
Investment
Company Institute (2018-present). |
|
Energy Infrastructure
Fund (2004-2022); |
|
Chair of the |
|
|
|
Guggenheim
Enhanced Equity Income |
|
Executive |
|
Former:
Member, Executive Committee, Independent Directors Council |
|
Fund (2005-2021);
Guggenheim Credit |
|
Committee |
|
(2016-2018);
Vice President, Manager and Portfolio Manager, Nuveen Asset |
|
Allocation
Fund (2013-2021); Western |
|
|
|
Management
(1998-1999); Vice President, Nuveen Investment Advisory Corp. |
|
Asset Inflation-Linked
Opportunities & |
|
|
|
(1992-1999); Vice President
and Manager, Nuveen Unit Investment Trusts |
|
Income Fund
(2004-2020); Western Asset |
|
|
|
(1991-1999); and Assistant Vice
President and Portfolio Manager, Nuveen Unit |
|
Inflation-Linked
Income Fund |
|
|
|
Investment Trusts (1988-1999),
each of John Nuveen & Co., Inc. (registered |
|
(2003-2020). |
|
|
|
broker
dealer) (1982-1999). |
|
|
82 l GBAB l GUGGENHEIM TAXABLE
MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
|
|
|
|
|
|
|
|
|
|
Number
of |
|
|
Position(s) |
Term of
Office |
|
Portfolios
in |
|
Name, Address* |
Held
with |
and
Length of |
|
Fund Complex |
Other
Directorships |
and
Year of Birth |
Trust |
Time
Served** |
Principal
Occupation(s) During Past Five Years |
Overseen |
Held
by Trustees*** |
Interested
Trustee: |
|
|
|
|
|
Amy J. Lee**** |
Trustee, |
Since 2018 |
Current: Interested
Trustee, certain other funds in the Fund Complex |
152 |
Former: Guggenheim
Energy & Income |
(1961) |
Vice |
(Trustee) |
(2018-present);
Chief Legal Officer, certain other funds in the Fund Complex |
|
Fund (2018-2023);
Fiduciary/Claymore |
|
President |
|
(2014-present);
Vice President, certain other funds in the Fund Complex |
|
Energy Infrastructure
Fund (2018-2022); |
|
and Chief |
Since 2014 |
(2007-present);
Senior Managing Director, Guggenheim Investments (2012-present). |
Guggenheim
Enhanced Equity Income |
|
Legal Officer |
(Chief Legal |
|
|
Fund (2018-2021); Guggenheim
Credit |
|
|
Officer) |
Former: President and/or Chief
Executive Officer, certain funds in the Fund |
|
Allocation
Fund (2018-2021). |
|
|
|
Complex (2017-2019);
Vice President, Associate General Counsel and Assistant |
|
|
|
|
Since 2012 |
Secretary,
Security Benefit Life Insurance Company and Security Benefit |
|
|
|
|
(Vice |
Corporation
(2004-2012). |
|
|
|
|
President) |
|
|
|
* | | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street,
Chicago, Illinois 60606. |
** | | Each Trustee elected shall hold office until his or her successor shall have been elected
and shall have qualified. After a Trustees initial term, each Trustee is expected to serve a three year term concurrent with the
class of Trustees for which he or she serves. |
- | | Messrs. Lydon, Jr. and Nyberg are Class II Trustees. Class II Trustees are expected to
stand for re-election at the Trusts annual meeting of shareholders for the fiscal year ended May 31, 2027. |
- | | Mr. Toupin, Jr. and Mses. Lee and Sponem are Class III Trustees. Class III Trustees are
expected to stand for re-election at the Trusts annual meeting of shareholders for the fiscal year ended May 31, 2025. |
- | | Mr. Barnes and Ms. Brock-Kyle are Class I Trustees. Class I Trustees are expected to stand
for re-election at the Trusts annual meeting of shareholders for the fiscal year ended May 31, 2026. |
*** | | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim
Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggen-heim Strategic Opportunities Fund, Guggenheim Active Allocation Fund, Rydex
Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board
of Trustees of Advent Convertible & Income Fund. |
**** | | This Trustee is deemed to be an interested person of the Trust under the 1940
Act by reason of her position with the Trusts Adviser and/or the parent of the Adviser. |
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 83
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
Officers
The Officers of the Guggenheim Taxable Municipal Bond & Investments
Grade Debt Trust, who are not Trustees, and their principal occupations during the past five years:
|
|
|
|
|
Position(s) |
Term of
Office |
|
Name, Address* |
Held
with |
and
Length of |
Principal Occupation(s) |
and
Year of Birth |
Trust |
Time
Served** |
During
Past Five Years |
Brian E. Binder |
President |
Since 2018 |
Current:
President, Mutual Funds Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds
in |
(1972) |
and Chief |
|
the Fund
Complex (2018-present); President, Mutual Funds Boards, and Senior Managing Director, Guggenheim Funds Investment Advisors, |
|
Executive |
|
LLC and
Security Investors, LLC (2018-present); Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, |
|
Officer |
|
Guggenheim
Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). |
|
|
|
Former:
Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and President, |
|
|
|
Deutsche
Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, |
|
|
|
Chairman
of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
Joanna
M. Catalucci |
Chief |
Since 2012 |
Current:
Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments |
(1966) |
Compliance |
|
(2014-present). |
|
Officer |
|
|
|
|
|
Former:
AML Officer, certain other funds in the Fund Complex (2016-2017); Chief Compliance Officer and Secretary certain other funds in the |
|
|
|
Fund Complex
(2008-2012); Senior Vice President and Chief Compliance Officer, Security Investor, LLC and certain affiliates (2010-2012); Chief |
|
|
|
Compliance
Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). |
James M.
Howley |
Chief Financial |
Since 2022 |
Current:
Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain |
(1972) |
Officer, Chief |
|
other funds
in the Fund Complex (2022-present). |
|
Accounting |
|
|
|
Officer and |
|
Former:
Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); Manager, Mutual Fund Administration of Van Kampen |
|
Treasurer |
|
Investments,
Inc. (1996-2004). |
Mark E.
Mathiasen |
Secretary |
Since 2010 |
Current:
Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
(1978) |
|
|
|
Glenn McWhinnie |
Assistant |
Since 2016 |
Current:
Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
(1969) |
Treasurer |
|
|
Michael
P. Megaris |
Assistant |
Since 2014 |
Current:
Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments |
(1984) |
Secretary |
|
(2012-present). |
84 l GBAB l GUGGENHEIM TAXABLE
MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
OTHER INFORMATION (Unaudited) continued |
May 31, 2024 |
|
|
|
|
|
Position(s) |
Term of
Office |
|
Name, Address* |
Held
with |
and
Length of |
Principal Occupation(s) |
and
Year of Birth |
Trust |
Time
Served** |
During
Past Five Years |
Kimberly J. Scott |
Assistant |
Since 2012 |
Current:
Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). |
(1974) |
Treasurer |
|
|
|
|
|
Former:
Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen |
|
|
|
Investments,
Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, |
|
|
|
Inc./Morgan
Stanley Investment Management (2005-2009). |
Jon Szafran |
Assistant |
Since 2017 |
Current:
Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). |
(1989) |
Treasurer |
|
|
|
|
|
Former:
Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) |
|
|
|
Inc. (HGINA),
(2017); Senior Analyst of US Fund Administration, HGINA (20142017); Senior Associate of Fund Administration, Cortland |
|
|
|
Capital
Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* The business address of each officer is c/o Guggenheim Investments,
227 West Monroe Street, Chicago, Illinois 60606.
** Each officer serves an indefinite term, until his or her successor
is duly elected and qualified.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 85
|
|
REPORT OF THE GUGGENHEIM TAXABLE MUNICIPAL BOND & |
|
INVESTMENT GRADE DEBT TRUST (GBAB) BOARD OF TRUSTEES |
May 31, 2024 |
The Board of Trustees of Guggenheim Taxable Municipal Bond & Investment
Grade Debt Trust (the Fund), including the Independent Trustees, unanimously approved the renewal of the investment management
agreement (the Investment Advisory Agreement) between the Fund and Guggenheim Funds Investment Advisors, LLC (GFIA
or the Adviser) and the investment sub-advisory agreement by and among the Fund, the Adviser and Guggenheim Partners Investment
Management, LLC (GPIM or the Sub-Adviser) (the Sub-Advisory Agreement and together with the Investment
Advisory Agreement, the Agreements).
GFIA and GPIM are each an indirect subsidiary of Guggenheim Partners,
LLC, a privately-held, global investment and advisory firm (Guggenheim Partners). Guggenheim Partners, GFIA, GPIM and their
affiliates may be referred to herein collectively as Guggenheim. Guggenheim Investments refers to the global asset
management and investment advisory division of Guggenheim Partners and includes GFIA, GPIM, Security Investors, LLC and other affiliated
investment management businesses of Guggenheim Partners.
At meetings held in person on April 16, 2024 (the April Meeting)
and on May 20-21, 2024 (the May Meeting), the Contracts Review Committee of the Board (the Committee), consisting
solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements. As part of its
review process, the Committee was represented by independent legal counsel to the Independent Trustees (Independent Legal Counsel),
from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed
and discussed with the Committee various key aspects of the Trustees legal responsibilities relating to the proposed renewal of
the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent
Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout
the year regarding performance and operating results of the Fund, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network
LLC (FUSE), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed
specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the FUSE reports is to present
the subject funds relative position regarding fees, expenses and total return performance, with comparisons to a peer group of funds
identified by Guggenheim, based on a methodology reviewed by the Board.
In addition, Guggenheim provided materials and data in response to
formal requests for information sent by Independent Legal Counsel on behalf of the Committee. Guggenheim also made a presentation at the
April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which
Guggenheim provided (collectively with the foregoing reports and materials, the Contract Review Materials). The Committee
considered the Contract Review Materials in the context of its accumulated experience governing the Fund and other funds in the Guggenheim
fund complex and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including
those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of the
Fund to recommend that the Board approve the renewal of the Agreements for an additional annual
86 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
REPORT OF THE GUGGENHEIM TAXABLE MUNICIPAL BOND & |
|
INVESTMENT GRADE DEBT TRUST (GBAB) BOARD OF TRUSTEES continued |
May 31, 2024 |
term. Following its review of the Committees recommendation,
the Board approved the renewal of the Agreements for the Fund for a one-year period ending August 1, 2025 at a meeting held on May 20-21,
2024 (the May Board Meeting and together with the May Meeting, the May Meetings) and determined to adopt the Committees
considerations and conclusions, which follow.
Investment Advisory Agreement
Nature, Extent and Quality of Services Provided by the Adviser:
With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee noted that, although the
Adviser delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and the Sub-Adviser
are part of the Guggenheim organization. Further, the Committee took into account Guggenheims explanation that investment advisory-related
services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser
on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.1
As a result, in evaluating the services provided to the Fund, the Committee did not separately consider the contributions under
the Investment Advisory Agreement and the Sub-Advisory Agreement.
The Committee also considered the secondary market support services
provided by Guggenheim to the Fund and noted the materials describing the activities of Guggenheims dedicated Closed-End Fund Team,
including with respect to communication with financial advisors, data dissemination and relationship management. In addition, the Committee
considered the qualifications, experience and skills of key personnel performing services for the Fund, including those personnel providing
compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other
information, including Guggenheims resources and related efforts to retain, attract and motivate capable personnel to serve the Fund.
In evaluating Guggenheims resources and capabilities, the Committee considered Guggenheims commitment to focusing on, and
investing resources in support of, funds in the Guggenheim fund complex, including the Fund. The Committee also considered the acceptability
of the terms of the Investment Advisory Agreement, including the scope of services required to be performed by the Adviser.
The Committees review of the services provided by Guggenheim
to the Fund included consideration of Guggenheims investment processes and resulting performance, portfolio oversight and risk management,
and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by
Guggenheim in sponsoring and providing services to the Fund, including regulatory, operational, legal and entrepreneurial risks. The Committee
considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance
personnel regarding Guggenheims adherence to regulatory requirements. The Committee also considered the regular reports the Board
receives from the Funds Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under
the Investment Company Act of 1940, as amended. In connection with the Committees evaluation of the overall package of services
provided by Guggenheim, the Committee considered Guggenheims administrative services, including its role in supervising, monitoring,
coordinating and evaluating the various services provided by the fund administrator, custodian and other service providers to the Fund.
The Committee evaluated the Office of Chief
1 | | Consequently, except where the context indicates otherwise, references to Adviser
or Sub-Adviser should be understood as referring to Guggenheim Investments generally and the services it provides under the
Agreements. |
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 87
|
|
REPORT OF THE GUGGENHEIM TAXABLE MUNICIPAL BOND & |
|
INVESTMENT GRADE DEBT TRUST (GBAB) BOARD OF TRUSTEES continued |
May 31, 2024 |
Financial Officer (the OCFO), which oversees the fund administration,
accounting and transfer agency services provided to funds in the Guggenheim fund complex, including the OCFOs resources, personnel
and services provided.
With respect to Guggenheims resources and the ability of the
Adviser to carry out its responsibilities under the Investment Advisory Agreement, the Chief Financial Officer of Guggenheim Investments
reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment
Management Holdings, LLC (GPIMH), and the various entities comprising Guggenheim Investments, and provided the audited consolidated
financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.) Based on the
foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other
considerations, including the Committees knowledge of how the Adviser performs its duties obtained through Board meetings, discussions
and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Fund in such capacity
and may reasonably be expected to continue to provide a high quality of services under the Investment Advisory Agreement with respect
to the Fund.
Investment Performance: The Committee received data showing,
among other things, the Funds total return on a net asset value (NAV) and market price basis for the ten-year, five-year,
three-year, one-year and three-month periods ended December 31, 2023, as well as total return based on NAV since inception. The Committee
also received certain performance information as of March 31, 2024. The Committee compared the Funds performance to a peer group
of closed-end funds identified by Guggenheim (the peer group) and, for NAV returns, performance versus the Funds benchmark
for the same time periods. The Committee noted that the Advisers peer group selection methodology for the Fund starts with the entire
U.S.-listed taxable closed-end fund universe, excluding term funds, and excludes funds that: (i) generally invest less than 50% in taxable
municipal securities, including Build America Bonds; and (ii) generally employ less than 20% financial leverage. The Committee
also considered that the peer group, with three constituent funds, including the Fund, is consistent with the peer group used for purposes
of the Funds quarterly performance reporting, but that the small size of the group limited the usefulness of the comparisons. In
assessing the Funds performance, the Committee considered that the Board receives regular reporting from Guggenheim regarding performance
and evaluates performance throughout the year.
In addition, the Committee took into account Guggenheims belief
that there is no single optimal performance metric, nor is there a single optimal time period over which to evaluate performance and that
a thorough understanding of performance comes from analyzing measures of returns, risk and risk-adjusted returns, as well as evaluating
strategies both relative to their market benchmarks and to peer groups of competing strategies. Thus, the Committee also reviewed and
considered the additional performance and risk metrics provided by Guggenheim for the since-inception, five-year, three-year and one-year
periods ended December 31, 2023, including the Funds standard deviation, tracking error, beta, Sharpe ratio, information ratio and
alpha compared to the benchmark, with the Funds risk metrics ranked against its peer group. In assessing the foregoing, the Committee
considered that, as of December 31, 2023, the Funds absolute returns have exceeded those of the benchmark since inception and for
the one-year time period, but underperformance in 2022 led to underperformance for the five-year and three-year time periods. The Committee
also noted
88 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
|
|
REPORT OF THE GUGGENHEIM TAXABLE MUNICIPAL BOND & |
|
INVESTMENT GRADE DEBT TRUST (GBAB) BOARD OF TRUSTEES continued |
May 31, 2024 |
Guggenheims statement that, as of December 31, 2023, the Funds
risk metrics have been superior to those of peers across trailing since-inception, five-year and one-year time periods and in-line with
those of peers for the trailing three-year time period.
The Committee also considered the Funds structure and form of
leverage, and, among other information related to leverage, the cost of the leverage and the aggregate leverage outstanding as of December
31, 2023, as well as net yield on leverage assets and net impact on common assets due to leverage for the one-year period ended December
31, 2023 and annualized for the three-year and since-inception periods ended December 31, 2023.
Based on the foregoing, and based on other information received (both
oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the Funds
performance was acceptable.
Comparative Fees, Costs of Services Provided and the Benefits Realized
by the Adviser from Its Relationship with the Fund: The Committee compared the Funds contractual advisory fee (which includes
the sub-advisory fee paid to the Sub-Adviser) as a percentage of average managed assets for the latest fiscal year,2 and the
Funds net effective management fee3 and total net expense ratio, in each case as a percentage of average net assets for
the latest fiscal year, to the peer group and noted the Funds percentile rankings in this regard. The Committee also reviewed the
average and median advisory fees (based on average net assets) and expense ratios, including expense ratio components (e.g., transfer
agency fees, administration fees and other operating expenses), of the peer group. In addition, the Committee considered information regarding
Guggenheims process for evaluating the competitiveness of the Funds fees and expenses, noting Guggenheims statement
that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii)
give consideration to resource support requirements; and (iii) ensure the Fund is able to deliver on shareholder return expectations.
The Committee observed that, although the Funds contractual
advisory fee based on average managed assets and total net expense ratio (excluding interest expense) based on average net assets were
the highest of its peer group, its net effective management fee based on average net assets was at the median of its peer group. The Committee
also noted that the peer group consists of only three funds, including the Fund and two peers from two large fund families, which limits
its usefulness for comparison.
As part of its evaluation of the Funds advisory fee, the Committee
considered how such fee compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar
investment strategies, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection,
the Committee considered, among other things, Guggenheims representations about the significant differences between managing registered
funds as compared to other types of accounts and differences between managing a closed-end fund as compared to an open-end fund. The Committee
also considered Guggenheims explanation that lower fees are charged in certain instances due to various other factors, including
2 | | Contractual advisory fee rankings represent the percentile ranking of the Funds contractual
advisory fee relative to peers assuming that the contractual advisory fee for each fund in the peer group is calculated on the basis
of the Funds average managed assets. |
3 | | The net effective management fee for the Fund represents the combined effective
advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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the scope of contract, type of investors, fee structure, applicable
legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheims
discussion of the regulatory, operational, legal and entrepreneurial risks involved with the Fund as compared to other types of accounts.
The Committee concluded that the information it received demonstrated that the aggregate services provided to, and the specific circumstances
of, the Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment
strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar
investment strategies to support the difference in fees.
With respect to the costs of services provided and benefits realized
by Guggenheim Investments from its relationship with the Fund, the Committee reviewed a profitability analysis and data from management
setting forth the average assets under management for the twelve months ended December 31, 2023, gross revenues received, and expenses
incurred directly or through allocations, by Guggenheim Investments, earnings and the operating margin/profitability rate, including variance
information relative to the foregoing amounts as of December 31, 2022 and December 31, 2021. In addition, the Chief Financial Officer of
Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed
in producing the profitability analysis. In the course of its review of Guggenheim Investments profitability, the Committee took
into account the methods used by Guggenheim Investments to determine expenses and profit and the representation by the Chief Financial
Officer of Guggenheim Investments that such methods provided a reasonable basis for determining the profitability of the Adviser with respect
to the Fund. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability
to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to the Adviser
because of its relationship with the Fund and noted Guggenheims statement that it does not believe the Adviser derives any such
fall-out benefits. In this regard, the Committee noted Guggenheims statement that, although it does not consider such
benefits to be fall-out benefits, the Adviser may benefit from certain economies of scale and synergies, such as enhanced visibility of
the Adviser, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the
Fund.
Based on the foregoing, and based on other information received (both
oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the comparative
fees and the benefits realized by the Adviser from its relationship with the Fund were appropriate and that the Advisers profitability
from its relationship with the Fund was not unreasonable.
Economies of Scale: The Committee received and considered information
regarding whether there have been economies of scale with respect to the management of the Fund as the Funds assets grow, whether
the Fund has appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies
of scale. The Committee considered whether economies of scale in the provision of services to the Fund were being passed along to and
shared with the shareholders. The Committee considered that advisory fee breakpoints generally are not relevant given the structural nature
of closed-end funds, which, though able to conduct additional
90 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
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share offerings periodically, do not continuously offer new shares and
thus, do not experience daily inflows and outflows of capital. In addition, the Committee took into account Guggenheims belief that
given the relative size of the Fund, breakpoints are not appropriate at this time. The Committee also considered the additional shares
offered by the Fund through secondary offerings in the past and considered that to the extent the Funds assets increase over time
(whether through additional periodic offerings or internal growth from asset appreciation), the Fund and its shareholders should realize
economies of scale as certain expenses, such as Fund fixed costs, become a smaller percentage of overall assets.
Based on the foregoing, and based on other information received (both
oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the Funds
advisory fee was reasonable.
Sub-Advisory Agreement
Nature, Extent and Quality of Services Provided by the Sub-Adviser:
As noted above, because both the Adviser and the Sub-Adviser for the Fund GFIA and GPIM, respectively are part of Guggenheim
Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal
entities, the Committee did not separately evaluate the services provided under the Investment Advisory Agreement and the Sub-Advisory
Agreement. Therefore, the Committee considered the qualifications, experience and skills of the Funds portfolio management team
in connection with the Committees evaluation of Guggenheims investment professionals under the Investment Advisory Agreement.
With respect to Guggenheims resources and the Sub-Advisers ability to carry out its responsibilities under the Sub-Advisory
Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to
be performed by the Sub-Adviser.
Investment Performance: The Committee considered the returns
of the Fund under its evaluation of the Investment Advisory Agreement.
Comparative Fees, Costs of Services Provided and the Benefits Realized
by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate
of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not
impact the fees paid by the Fund and that the Sub-Advisers revenues were included in the calculation of Guggenheim Investments
profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate
for the Fund was reasonable.
Economies of Scale: The Committee recognized that, because
the Sub-Advisers fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context
of the Committees consideration of the Investment Advisory Agreement, which was separately considered. (See Investment Advisory
Agreement Economies of Scale above.)
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
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Overall Conclusions
The Committee concluded that the investment advisory fees are fair
and reasonable in light of the extent and quality of the services provided and other benefits received and that the renewal of the Agreements
is in the best interest of the Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee
member, in the exercise of their informed business judgment, may afford different weights to different factors.
Following its review of the Committees analysis and determinations,
the Board adopted the considerations and conclusions of the Committee and determined to approve the renewal of the Agreements.
92 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
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DIVIDEND REINVESTMENT PLAN (Unaudited) |
May 31, 2024 |
Unless the registered owner of common shares elects to receive cash
by contacting Computershare Trust Company, N.A. (the Plan Administrator), all dividends declared on common shares of the Trust
will be automatically reinvested by the Plan Administrator for shareholders in the Trusts Dividend Reinvestment Plan (the Plan),
in additional common shares of the Trust. Participation in the Plan is completely voluntary and may be terminated or resumed at any time
without penalty by notice if received and processed by the Plan Administrator prior to the dividend record date; otherwise such termination
or resumption will be effective with respect to any subsequently declared dividend or other distribution. Some brokers may automatically
elect to receive cash on your behalf and may re-invest that cash in additional common shares of the Trust for you. If you wish for all
dividends declared on your common shares of the Trust to be automatically reinvested pursuant to the Plan, please contact your broker.
The Plan Administrator will open an account for each common shareholder
under the Plan in the same name in which such common shareholders common shares are registered. Whenever the Trust declares a dividend
or other distribution (together, a Dividend) payable in cash, nonparticipants in the Plan will receive cash and participants
in the Plan will receive the equivalent in common shares. The common shares will be acquired by the Plan Administrator for the participants
accounts, depending upon the circumstances described below, either (i) through receipt of additional unissued but authorized common shares
from the Trust (Newly Issued Common Shares) or (ii) by purchase of outstanding common shares on the open market (Open-Market
Purchases) on the New York Stock Exchange or elsewhere. If, on the payment date for any Dividend, the closing market price plus
estimated brokerage commission per common share is equal to or greater than the net asset value per common share, the Plan Administrator
will invest the Dividend amount in Newly Issued Common Shares on behalf of the participants. The number of Newly Issued Common Shares
to be credited to each participants account will be determined by dividing the dollar amount of the Dividend by the net asset value
per common share on the payment date; provided that, if the net asset value is less than or equal to 95% of the closing market value on
the payment date, the dollar amount of the Dividend will be divided by 95% of the closing market price per common share on the payment
date. If, on the payment date for any Dividend, the net asset value per common share is greater than the closing market value plus estimated
brokerage commission, the Plan Administrator will invest the Dividend amount in common shares acquired on behalf of the participants in
Open-Market Purchases.
For federal income tax purposes, the Trust generally would be able
to claim a deduction for distributions to shareholders with respect to the common shares issued at up to a 5-percent discount from the
closing market value pursuant to the Plan.
If, before the Plan Administrator has completed its Open-Market Purchases,
the market price per common share exceeds the net asset value per common share, the average per common share purchase price paid by the
Plan Administrator may exceed the net asset value of the common shares, resulting in the acquisition of fewer common shares than if the
Dividend had been paid in Newly Issued Common Shares on the Dividend payment date. Because of the foregoing difficulty with respect to Open-Market
Purchases, the Plan provides that if the Plan Administrator is unable to invest the full Dividend amount in Open-Market Purchases during
the purchase period or if the market discount shifts to a market premium during the purchase period, the Plan Administrator may cease
making Open-Market Purchases and may invest the uninvested portion of the Dividend
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
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amount in Newly Issued Common Shares at net asset value per common
share at the close of business on the Last Purchase Date provided that, if the net asset value is less than or equal to 95% of the then
current market price per common share; the dollar amount of the Dividend will be divided by 95% of the market price on the payment date.
The Plan Administrator maintains all shareholders accounts in
the Plan and furnishes written confirmation of all transactions in the accounts, including information needed by shareholders for tax
records. Common shares in the account of each Plan participant will be held by the Plan Administrator on behalf of the Plan participant,
and each shareholder proxy will include those shares purchased or received pursuant to the Plan. The Plan Administrator will forward all
proxy solicitation materials to participants and vote proxies for shares held under the Plan in accordance with the instruction of the
participants.
There will be no brokerage charges with respect to common shares issued
directly by the Trust. However, each participant will pay a pro rata share of brokerage commission incurred in connection with Open-Market
Purchases. The automatic reinvestment of Dividends will not relieve participants of any Federal, state or local income tax that may be
payable (or required to be withheld) on such Dividends.
The Trust reserves the right to amend or terminate the Plan. There
is no direct service charge to participants with regard to purchases in the Plan; however, the Trust reserves the right to amend the Plan
to include a service charge payable by the participants. All correspondence or questions concerning the Plan should be directed to the
Plan Administrator, Computershare Trust Company, N.A., P.O. Box 30170 College Station, TX 77842-3170: Attention: Shareholder Services
Department, Phone Number: (866) 488-3559 or online at www.computershare.com/investor.
94 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
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ADDITIONAL INFORMATION REGARDING |
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THE TRUST (Unaudited) |
May 31, 2024 |
CHANGES OCCURRING DURING THE FISCAL YEAR ENDED MAY 31, 2024
The following information in this annual report is a summary of
certain changes during the most recent fiscal year. This information may not reflect all of the changes that have occurred since you purchased
shares of the Trust.
INVESTMENT OBJECTIVES
The Trusts primary investment objective is to provide current
income with a secondary objective of long-term capital appreciation. There can be no assurance that the Trusts investment objectives
will be achieved. The Trusts investment objectives are considered fundamental and may not be changed without the approval of the
holders of the Trusts common shares of beneficial interest (Common Shares).
PRINCIPAL INVESTMENT STRATEGIES
The Trust seeks to achieve its investment objectives by investing
primarily in a diversified portfolio of taxable municipal securities, including Build America Bonds (BABs), and other investment
grade, income generating debt securities, including debt instruments issued by non-profit entities (such as entities related to healthcare,
higher education and housing), municipal conduits, project finance corporations, and tax-exempt municipal securities.
PORTFOLIO COMPOSITION
Under normal market conditions:
| | The Trust invests at least 80% of its net assets, plus the amount of any borrowings for investment
purposes, in taxable municipal securities, including BABs, and other investment grade, income generating debt securities, including debt
instruments issued by non-profit entities (such as entities related to healthcare, higher education and housing), municipal conduits,
project finance corporations, and tax-exempt municipal securities. |
| | The Trust will not invest more than 25% of its Managed Assets in municipal securities of
any one state of origin. |
| | The Trust will invest at least 50% of its Managed Assets in taxable municipal securities.
For purposes of such 50% investment policy, taxable municipal securities means taxable municipal bonds. |
Unless otherwise required by applicable law, regulation or stated
herein, percentage limitations described above are as of the time of investment by the Trust and could thereafter be exceeded as a result
of market value fluctuations of the Trusts portfolio.
Credit Quality
Under normal market conditions, the Trust invests at least 80% of
its Managed Assets in securities that, at the time of investment, are investment grade quality. A security is considered investment grade
quality if, at the time of investment, it is rated within the four highest letter grades by at least one of the nationally recognized
statistical rating organizations (NRSROs) (that is Baa3 or better by Moodys Investors Service, Inc. (Moodys)
or BBB- or better by Standard & Poors Ratings Services (S&P) or Fitch Ratings (Fitch)) that rate
such security, even if it is rated lower by another, or if it is unrated by any NRSRO but judged to be of comparable quality by the Adviser.
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
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Under normal market conditions, the Trust may invest up to 20% of
its Managed Assets in securities that, at the time of investment, are rated below investment grade (that is below Baa3 by Moodys
or below BBB- by S&P or Fitch) or are unrated by any NRSRO but judged to be of comparable quality by the Adviser. If NRSROs assign
different ratings to the same security, the Trust will use the highest rating for purposes of determining the securitys credit quality.
Securities of below investment grade quality are regarded as having predominately speculative characteristics with respect to capacity
to pay interest and repay principal, and are commonly referred to as junk bonds.
Duration Management Strategy
Duration is a measure of the price volatility of a security
as a result of changes in market rates of interest, based on the weighted average timing of a securitys expected principal and interest
payments. There is no limit on the remaining maturity or duration of any individual security in which the Trust may invest, nor will the
Trusts portfolio be managed to any duration benchmark prior to taking into account the duration management strategy discussed herein.
The Trust intends to employ investment and trading strategies to
seek to maintain the leverage-adjusted portfolio duration to generally less than 15 years. The Adviser may seek to manage the
duration of the Trusts portfolio through the use of derivative instruments, including U.S. treasury swaps, credit default
swaps, total return swaps and futures contracts to seek to reduce the overall volatility of the Trusts portfolio to changes in
market interest rates. For example, the Adviser may seek to manage the overall duration through the combination of the sale of
interest-rate swaps on the long end of the yield curve (for example a transaction in which the Trust would pay a fixed interest rate
on a 30 year swap transaction) with the purchase of an interest-rate swap on the intermediate portion of the yield curve (for
example a transaction in which the Trust would receive a fixed interest rate on a ten year swap transaction). In addition, the Trust
may invest in short-duration fixed-income securities, which may help to decrease the overall duration of the Trusts portfolio
while also potentially adding incremental yield. The Adviser may seek to manage the Trusts duration in a flexible and
opportunistic manner based primarily on then current market conditions and interest rate levels. The Trust may incur costs in
implementing the duration management strategy, but such strategy will seek to reduce the volatility of the Trusts portfolio.
There can be no assurance that the Advisers duration management strategy will be successful at any given time in managing the
duration of the Trusts portfolio or helping the Trust to achieve its investment objectives.
Investment Funds
As an alternative to holding investments directly, the Trust may also
obtain investment exposure to securities in which it may invest directly by investing up to 20% of its Managed Assets in other investment
companies, including U.S. registered investment companies and/or other U.S. or foreign pooled investment vehicles (collectively, Investment
Funds). Investment Funds do not include structured finance investments, such as asset-backed securities (ABS). To the
extent that the Trust invests in Investment Funds that invest at least 80% of their total assets in taxable municipal securities and other
investment grade, income generating debt securities, including debt instruments issued by non-profit entities (such as entities related
to healthcare, higher education and housing), municipal conduits, project finance corporations, and tax-exempt municipal securities, such
investment will be counted for purposes of the Trusts policy of investing at least 80% of its Managed Assets in taxable municipal
securities and other investment grade, income generating debt securities. Investments in other Investment Funds (which may be managed
by the
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Investment Adviser, Sub-Adviser and/or their affiliates) involve operating
expenses and fees at the Investment Funds level that are in addition to the expenses and fees borne by the Trust and are borne indirectly
by holders of Common Shares (Common Shareholders).
Synthetic Investments
As an alternative to holding investments directly, the Trust may also
obtain investment exposure to investments in which the Trust may invest directly through the use of derivative instruments (including,
but not limited to, swaps, options, forwards, notional principal contracts or financial instruments) to seek to replicate, modify or replace
the economic attributes associated with an investment in which the Trust may invest directly. To the extent that the Trust obtains indirect
investment exposure through the use of the foregoing derivative instruments to investments with economic characteristics similar to taxable
municipal securities and other investment grade, income generating debt securities, including debt instruments issued by non-profit entities
(such as entities related to healthcare, higher education and housing), municipal conduits, project finance corporations, and tax-exempt
municipal securities, such investments will be counted for purposes of the Trusts 80% investment policy. The Trust has not adopted
any percentage limitation with respect to the overall percentage of investment exposure to taxable municipal securities and other investment
grade, income generating debt securities, including debt instruments issued by non-profit entities (such as entities related to healthcare,
higher education and housing), municipal conduits, project finance corporations, and tax-exempt municipal securities that the Trust may
obtain through the use of derivative instruments.
Strategic Transactions
In addition to those derivatives transactions utilized in connection
with the Trusts duration management strategy, the Trust may, but is not required to, use various portfolio strategies, including
derivatives transactions involving interest rate and foreign currency transactions, swaps, options and futures (Strategic Transactions),
to seek to earn income, facilitate portfolio management and mitigate risks. In the course of pursuing Strategic Transactions, the Trust
may purchase and sell exchange-listed and over-the-counter put and call options on securities, instruments or equity and fixed-income
indices, purchase and sell futures contracts and options thereon, and enter into swap, cap, floor or collar transactions. In addition,
Strategic Transactions may also include new techniques, instruments or strategies that are developed or permitted as regulatory changes
occur. Successful use of Strategic Transactions depends on the Advisers ability to predict correctly market movements, which cannot
be assured. Losses on Strategic Transactions may reduce the Trusts net asset value and its ability to pay distributions if they
are not offset by gains on portfolio positions being hedged.
Structured Finance Investments
The Trust may invest in structured finance investments, which are
fixed income and other debt securities (Income Securities) typically issued by special purpose vehicles that hold income-producing
securities (e.g., mortgage loans, consumer debt payment obligations and other receivables) and other financial assets. Structured finance
investments are tailored, or packaged, to meet certain financial goals of investors. Typically, these investments provide investors with
capital protection, income generation and/or the opportunity to generate capital growth. GPIM believes that structured finance investments
may provide attractive risk-adjusted returns, frequent sector
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rotation opportunities and prospects
for adding value through security selection. Structured finance investments primarily include (among others):
Mortgage-Related Securities. Mortgage-related
securities are a form of derivative collateralized by pools of commercial or residential mortgages. Pools of mortgage loans are assembled
as securities for sale to investors by various governmental, government-related and private organizations. These securities may include
complex instruments such as collateralized mortgage obligations (CMOs), real estate investment trusts (REITs)
(including debt and preferred stock issued by REITs), and other real estate-related securities. The mortgage-related securities in which
the Trust may invest include those with fixed, floating or variable interest rates, those with interest rates that change based on multiples
of changes in a specified index of interest rates, and those with interest rates that change inversely to changes in interest rates, as
well as those that do not bear interest. The Trust may invest in residential and commercial mortgage-related securities issued by governmental
entities and private issuers, including subordinated mortgage-related securities. The underlying assets of certain mortgage-related securities
may be subject to prepayments, which shorten the weighted average maturity and may lower the return of such securities, and extension,
which lengthens expected maturity as payments on principal may occur at a slower rate or later than expected.
Asset-Backed Securities. ABS
are a form of structured debt obligation. ABS are payment claims that are securitized in the form of negotiable paper that is issued by
a financing company (generally called a special purpose vehicle). Collateral assets are brought into a pool according to specific diversification
rules. A special purpose vehicle is founded for the purpose of securitizing these payment claims and the assets of the special purpose
vehicle are the diversified pool of collateral assets. The special purpose vehicle issues marketable securities that are intended to represent
a lower level of risk than an underlying collateral asset individually, due to the diversification in the pool. The redemption of the
securities issued by the special purpose vehicle takes place out of the cash flow generated by the collected assets. A special purpose
vehicle may issue multiple securities with different priorities to the cash flows generated and the collateral assets. The collateral for
ABS may include, among other assets, home equity loans, automobile and credit card receivables, boat loans, computer leases, airplane
leases, mobile home loans, recreational vehicle loans and hospital account receivables. The Trust may invest in these and other types
of ABS that may be developed in the future. There is the possibility that recoveries on the underlying collateral may not, in some cases,
be available or may be insufficient to support payments on these securities.
Collateralized Debt Obligations. A
collateralized debt obligation (CDO) is an asset-backed security whose underlying collateral is typically a portfolio of bonds,
bank loans, other structured finance securities and/or synthetic instruments. Where the underlying collateral is a portfolio of bonds,
a CDO is referred to as a collateralized bond obligation (CBO). Where the underlying collateral is a portfolio of bank loans,
a CDO is referred to as a collateralized loan obligation (CLO). Investors in CBOs and CLOs bear the credit risk of the underlying
collateral.
Multiple tranches of securities are issued by the CLO, offering investors
various maturity and credit risk characteristics. Tranches are categorized as senior, mezzanine, and subordinated/equity, according to
their degree of risk. If there are defaults or the CLOs collateral otherwise underperforms, scheduled payments to senior tranches
take precedence over those of mezzanine tranches, and scheduled payments to mezzanine tranches take precedence over those to subordinated/equity
98 l GBAB l GUGGENHEIM TAXABLE MUNICIPAL
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tranches. This prioritization of the cash flows from a pool of securities
among the several tranches of the CLO is a key feature of the CLO structure. If there are funds remaining after each tranche of debt receives
its contractual interest rate and the CLO meets or exceeds required collateral coverage levels (or other similar covenants), the remaining
funds may be paid to the subordinated (or residual) tranche (often referred to as the equity tranche). CLOs are subject to
the same risk of prepayment and extension described with respect to certain mortgage-related and ABS.
The Trust may invest in senior, rated tranches as well as mezzanine
and subordinated tranches of CLOs. Investment in the subordinated tranche is subject to special risks. The subordinated tranche does not
receive ratings and is considered the riskiest portion of the capital structure of a CLO because it bears the bulk of defaults from the
loans in the CLO and serves to protect the other, more senior tranches from default in all but the most severe circumstances.
Risk-Linked Securities. Risk-linked
securities (RLS) are a form of derivative issued by insurance companies and insurance-related special purpose vehicles that
apply securitization techniques to catastrophic property and casualty damages. RLS are typically debt obligations for which the return
of principal and the payment of interest are contingent on the non-occurrence of a pre-defined trigger event. Depending on
the specific terms and structure of the RLS, this trigger could be the result of a hurricane, earthquake or some other catastrophic event.
Other Investment Practices
The Trust may engage in certain investment transactions described
herein. The Trust may enter into forward commitments for the purchase or sale of securities. The Trust may enter into transactions on
a when issued or delayed delivery basis, in excess of customary settlement periods for the type of security involved.
The Trust may lend portfolio securities to securities broker-dealers or financial institutions and enter into short sales and repurchase
agreements. The Trust may, without limitation, seek to obtain market exposure to the securities in which it primarily invests by entering
into a series of purchase and sale contracts or by using similar investment techniques (such as buy backs or dollar rolls).
These policies may be changed by the Board of Trustees of the Trust
(the Board of Trustees). If the Trusts policy with respect to investing at least 80% of its Managed Assets in taxable
municipal securities and other investment grade, income generating debt securities, including debt instruments issued by non-profit entities
(such as entities related to healthcare, higher education and housing), municipal conduits, project finance corporations, and tax-exempt
municipal securities changes, the Trust will provide shareholders at least 60 days prior notice before implementation of the change.
USE OF LEVERAGE
The Trust may employ leverage through: (i) the issuance of senior
securities representing indebtedness, including through borrowing from financial institutions or issuance of debt securities, including
notes or commercial paper (collectively, Indebtedness), (ii) engaging in reverse repurchase agreements, dollar rolls and economically
similar transactions, (iii) investments in inverse floating rate securities, which have the economic effect of leverage, and (iv) the issuance
of preferred shares (Preferred Shares) (collectively, Financial Leverage). The Trust has no present
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intention to issue Preferred Shares. The Trust may utilize leverage
up to the limits imposed by the Investment Company Act of 1940 (the 1940 Act).
Under the 1940 Act, the Trust may not incur Indebtedness if, immediately
after incurring such Indebtedness, the Trust would have asset coverage (as defined in the 1940 Act) of less than 300% (i.e., for every
dollar of Indebtedness outstanding, the Trust is required to have at least three dollars of assets). Under the 1940 Act, the Trust may
not issue Preferred Shares if, immediately after issuance, the Trust would have asset coverage (as defined in the 1940 Act) of less than
200% (i.e., for every dollar of Indebtedness plus Preferred Shares outstanding, the Trust is required to have at least two dollars of
assets). The Trust may also borrow in excess of such limit for temporary purposes such as the settlement of transactions. However, under
current market conditions, the Trust currently expects to utilize Financial Leverage through Indebtedness and/or reverse repurchase agreements,
such that the aggregate amount of Financial Leverage is not expected to exceed 33 1/3% of the Trusts Managed Assets (including the
proceeds of such Financial Leverage) (or 50% of net assets). The Trust has entered a committed facility agreement with Société
Générale S.A., pursuant to which the Trust may borrow up to $100 million. As of May 31, 2024, there was approximately
$0 in borrowings outstanding under the committed facility agreement, representing approximately 0% of the Trusts Managed Assets
as of such date, and there was approximately $119,158,244 in reverse repurchase agreements outstanding, representing approximately
23.7% of the Trusts Managed Assets as of such date.
Although the use of Financial Leverage by the Trust may create an
opportunity for increased total return for the Common Shares, it also results in additional risks and can magnify the effect of any losses.
Financial Leverage involves risks and special considerations for shareholders, including the likelihood of greater volatility of net asset
value and market price of, and dividends on, the Common Shares. To the extent the Trust increases its amount of Financial Leverage outstanding,
it will be more exposed to these risks. The cost of Financial Leverage, including the portion of the investment advisory fee attributable
to the assets purchased with the proceeds of Financial Leverage, is borne by Common Shareholders, which may result in a reduction of net
asset value of the Common Shares. To the extent the Trust increases its amount of Financial Leverage outstanding, the Trusts annual
expenses as a percentage of net assets attributable to Common Shares will increase.
The Trust may enter into reverse repurchase agreements with the same
parties with whom it may enter into repurchase agreements (as described below). Under a reverse repurchase agreement, the Trust would
sell securities or other assets and agree to repurchase them at a particular price at a future date. Reverse repurchase agreements involve
the risks that the interest income earned on the investment of the proceeds will be less than the interest expense and Trust expenses
associated with the repurchase agreement, that the market value of the securities or other assets sold by the Trust may decline below
the price at which the Trust is obligated to repurchase such securities and that the securities may not be returned to the Trust. There
is no assurance that reverse repurchase agreements can be successfully employed. In connection with reverse repurchase agreements, the
Trust will also be subject to counterparty risk with respect to the purchaser of the securities. In the event of the insolvency of the
counterparty to a reverse repurchase agreement, recovery of the securities or other assets sold by the Trust may be delayed. The counterpartys
insolvency may result in a loss equal to the amount by which the value of the securities or other assets sold by the Trust exceeds the
repurchase price payable by the Trust; if the value of the purchased securities or
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other assets increases during such a delay, that loss may also be
increased. When the Trust enters into a reverse repurchase agreement, any fluctuations in the market value of either the securities or
other assets transferred to another party or the securities or other assets in which the proceeds may be invested would affect the market
value of the Trusts assets. As a result, such transactions may increase fluctuations in the NAV of the Common Shares.
The Trusts use of leverage through reverse repurchase agreements,
dollar rolls and economically similar transactions will be included when calculating the Trusts Financial Leverage and therefore
will be limited by the Trusts maximum overall Financial Leverage levels approved by the Board of Trustees, if any, and may be further
limited by the applicable requirements of the Securities and Exchange Commission (the SEC) discussed herein.
In addition, the Trust may engage in certain derivatives transactions
that have economic characteristics similar to leverage. Subject to Rule 18f-4, the Trusts obligations under such transactions will
not be considered indebtedness for purposes of the 1940 Act but the Trusts use of such transactions may be limited by the applicable
requirements of the SEC.
The Adviser anticipates that the use of Financial Leverage may result
in higher total return to the Common Shareholders over time; however, there can be no assurance that the Advisers expectations will
be realized or that a leveraging strategy will be successful in any particular time period. Use of Financial Leverage creates an opportunity
for increased income and capital appreciation but, at the same time, creates special risks. The costs associated with the issuance of
Financial Leverage will be borne by Common Shareholders, which will result in a reduction of net asset value of the Common Shares. The
fee paid to the Adviser will be calculated on the basis of the Trusts Managed Assets, including proceeds from Financial Leverage,
so the fees paid to the Adviser will be higher when Financial Leverage is utilized.
Common Shareholders bear the portion of the investment advisory fee
attributable to the assets purchased with the proceeds of Financial Leverage, which means that Common Shareholders effectively bear the
entire advisory fee. If applicable, the maximum level of and types of Financial Leverage used by the Trust will be approved by the Board
of Trustees. There can be no assurance that a leveraging strategy will be utilized or, if utilized, will be successful.
Investments in Investment Funds frequently expose the Trust to an
additional layer of Financial Leverage, and thus, increase the Trusts exposure to leverage risks.
TEMPORARY INVESTMENTS
At any time when a temporary posture is believed by GPIM to be warranted
(a temporary period), the Trust may, without limitation, hold cash or invest its assets in money market instruments and repurchase
agreements in respect of those investments. The Trust may not achieve its investment objectives during a temporary period or be able to
sustain its historical distribution levels.
PRINCIPAL RISKS OF THE TRUST
Investment in the Trust involves special risk considerations, which
are summarized below. The Trust is designed as a long-term investment and not as a trading vehicle. The Trust is not intended to be a
complete investment program. The Trusts performance and the
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value of its investments will vary in response to changes in interest
rates, inflation and other market and economic factors, among others.
The fact that a particular risk below is not specifically identified
as being heightened under current conditions does not mean that the risk is not greater than under normal conditions.
Not a Complete Investment Program
An investment in the Common Shares of the Trust should not be considered
a complete investment program. The Trust is intended for long-term investors seeking current income and capital appreciation. An investment
in the Trust is not meant to provide a vehicle for those who wish to play short-term swings in the market. Each Common Shareholder should
take into account the Trusts investment objectives as well as the Common Shareholders other investments when considering an
investment in the Trust. Before making an investment decision, a prospective investor should consider (i) the suitability of this investment
with respect to his or her investment objectives and personal situation and (ii) factors such as his or her personal net worth, income,
age, risk tolerance and liquidity needs.
Investment and Market Risk
An investment in the Common Shares is subject to investment risk,
including the possible loss of the entire principal amount that you invest. During periods of adverse economic, financial, market, geopolitical,
labor and public health conditions, the risks associated with an investment in Common Shares may be heightened.
An investment in the Common Shares represents an indirect investment
in the securities owned by the Trust. The value of, or income generated by, the investments held by the Trust are subject to the possibility
of rapid and unpredictable fluctuation, and loss. These fluctuations may occur frequently and in large amounts. These movements may result
from factors affecting individual companies or issuers or particular industries, or from broader influences, including real or perceived
changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates, adverse investor confidence or
sentiment, changing economic, political (including geopolitical), social or financial market conditions, tariffs and trade disruptions,
recession, changes in currency rates, increased instability or general uncertainty, extreme weather, natural/environmental or man-made
disasters, cyber attacks, terrorism, governmental or quasi-governmental actions, public health emergencies (such as the spread of infectious
diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the escalated conflict in
the Middle East and the ongoing Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings
downgrades, and other similar types of events, each of which may be temporary or last for extended periods. For example, the risks of
a borrowers default or bankruptcy or non-payment of scheduled interest or principal payments from senior floating rate interests
held by the Trust are especially acute under these conditions. Furthermore, interest rates may change and bond yields may fall as a result
of types of events, including responses by governmental entities to such events, which would magnify the Trusts fixed-income instruments
susceptibility to interest rate risk and diminish their yield and performance. Moreover, the Trusts investments in ABS are subject
to many of the same risks that are applicable to investments in securities generally, including interest rate risk, credit risk, foreign
currency risk, below investment grade securities risk, leverage risk,
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prepayment and extension risks and regulatory risk, which would be
elevated under the foregoing circumstances.
Moreover, changing economic, political, social, geopolitical or
financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the
investments held by the Trust in a different country or geographic region and economies, markets and issuers generally because of
the increasingly interconnected global economies and financial markets. As a result, there is an increased risk that geopolitical
and other events will disrupt economies and markets globally. For example, local or regional armed conflicts have led to significant
sanctions by the United States, Europe and other countries against certain countries (as well as persons and companies connected
with certain countries) and led to indirect adverse regional and global market, economic and other effects. It is difficult to
accurately predict or foresee when events or conditions affecting the U.S. or global financial markets, economies, and issuers may
occur, the effects of such events or conditions, potential escalations or expansions of these events, possible retaliations in
response to sanctions or similar actions and the duration or ultimate impact of those events. There is an increased likelihood that
these types of events or conditions can, sometimes rapidly and unpredictably, result in a variety of adverse developments and
circumstances, such as reduced liquidity, supply chain disruptions and market volatility, as well as increased general uncertainty
and broad ramifications for markets, economies, issuers, businesses in many sectors and societies globally. In addition, adverse
changes in one sector or industry or with respect to a particular company could negatively impact companies in other sectors or
industries or increase market volatility as a result of the interconnected nature of economies and markets and thus negatively
affect the Trusts performance. For example, developments in the banking or financial services sectors (or one or more
companies operating in these sectors) could adversely impact a wide range of companies and issuers. These types of adverse
developments could negatively affect the Trusts performance or operations.
Different sectors, industries and security types
may react differently to such developments and, when the market performs well, there is no assurance that the Trusts
investments will increase in value along with the broader markets and the Trusts investments may underperform general
securities markets or other investments. Periods of market stress and volatility of financial markets, including potentially extreme
stress and volatility caused by the events described above or similar circumstances, can expose the Trust to greater market risk
than normal, possibly resulting in greatly reduced liquidity, increased volatility and valuation risks, and longer than usual trade
settlement periods. The fewer the number of issuers in which the Trust invests and/or the greater the use of leverage, the greater
the potential volatility in the Trusts portfolio. GPIM potentially could be prevented from considering, managing and executing
investment decisions at an advantageous time or price or at all as a result of any domestic or global market or other disruptions,
particularly disruptions causing heightened market volatility and reduced market liquidity, which have also resulted in impediments
to the normal functioning of workforces, including personnel and systems of the Trusts service providers and market
intermediaries. The Trusts investments may decline in value or otherwise be adversely affected due to general market
conditions that are not specifically related to a particular issuer, such as real or perceived economic conditions, changes in
interest or currency rates or changes in investor sentiment or market outlook generally.
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The domestic political environment, as well as political and diplomatic
events within the United States and abroad, such as the U.S. budget and deficit reduction plan and foreign policy tensions with foreign
nations, including embargoes, tariffs, sanctions and other similar developments, have in the past resulted, and may in the future result,
in developments that present additional risks to the Trusts investments and operations. For example, additional and/or prolonged
U.S. federal government shutdowns or foreign policy tensions may affect investor and consumer confidence and may adversely impact financial
markets and the broader economy, perhaps suddenly and to a significant degree. Any market, economic and other disruption could also prevent
the Trust from executing its investment strategies and processes in a timely manner. Changes or disruptions in market conditions also
may lead to increased regulation of the Trust and the instruments in which the Trust may invest, which may, in turn, affect the Trusts
ability to pursue its investment objective and the Trusts performance. At any point in time, your Common Shares may be worth less
than your original investment, even after including the reinvestment of Trust dividends and distributions.
Management Risk
The Trust is subject to management risk because it has an actively
managed portfolio. GPIM will apply investment techniques and risk analysis in making investment decisions for the Trust, but there can
be no guarantee that these will produce the desired results. The Trusts allocation of its investments across various asset classes
and sectors may vary significantly over time based on GPIMs analysis and judgment. As a result, the particular risks most relevant
to an investment in the Trust, as well as the overall risk profile of the Trusts portfolio, may vary over time. The ability of the
Trust to achieve its investment objective depends, in part, on GPIMs investment decisions and the ability of GPIM to allocate effectively the Trusts assets among multiple investment strategies, Investment Funds and investments and asset classes. There can be
no assurance that the actual allocations will be effective in achieving the Trusts investment objective or that an investment strategy
or Investment Fund or investment will achieve its particular investment objective.
Municipal Securities Risk
Municipal securities are subject to a variety of risks generally associated
with investments in debt instruments, including credit, interest rate, prepayment, liquidity, and valuation risks as well as risks specific
municipal securities, and can be more volatile than other investments. Taxable municipal securities are subject to similar risks as tax-exempt
municipal securities. The ability of issuers of municipal securities to pay their obligations can be adversely affected by, among other
developments or events, (i) unfavorable legislative, tax, political or other developments or events, including extreme weather conditions,
natural or man-made disasters and public health conditions, (ii) changes in the economic and fiscal conditions of issuers of municipal
securities or the federal government (in cases where it provides financial support to such issuers), and (iii) litigations involving such
issuers. In addition, the values of, and income generated by, municipal securities may fully or partially depend on a specific revenue
or tax source, such as the taxing authority or revenue of a local government, the credit of a private issuer, or the current or anticipated
revenues from a specific project. Developments adversely affecting such sources, such as economic, social or public health conditions,
would negatively impact the cash flows of such sources and, in turn, municipal securities fully or partially backed by such sources. Moreover,
the income, value and/ or risk of municipal securities is often correlated to specific project or other revenue sources (such as taxes),
which can be negatively affected by, among other things, demographic trends, such
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as population shifts or changing tastes and values, or increasing
vacancies or declining rents or property values resulting from legal, cultural, technological, global or local economic developments,
as well as reduced demand for properties, revenues or goods or services.
To the extent the Trust invests a substantial portion of its assets
in municipal securities issued by issuers in a particular state, municipality or project, the Trust will be particularly sensitive to
developments and events adversely affecting such state or municipality or with respect to a particular project. Certain sectors of the
municipal bond market have special risks that can affect them more significantly than the market as a whole. Because many municipal instruments
are issued to finance similar projects (such as education, health care, transportation and utilities), conditions in these industries
can significantly affect the overall municipal market. Also, municipal securities backed by current or anticipated revenues from a specific
project or assets can be negatively affected by the discontinuance of taxation or reduction of revenue supporting the project or assets.
Municipal securities that are insured may be adversely affected by
developments relevant to that particular insurer, or more general developments relevant to the market as a whole. The Trusts vulnerability
to potential losses associated with such developments may be reduced through investment in municipal securities that feature credit enhancements
(such as bond insurance). Although insurance may reduce the credit risk of a municipal security, it does not protect against fluctuations
in the value of the Trusts shares caused by market changes. It is important to note that, although insurance may increase the credit
safety of investments held by the Trust, it decreases the Trusts yield as the Trust may pay for the insurance directly or indirectly.
In addition, while the obligation of a municipal bond insurance company to pay a claim extends over the life of an insured bond, there
is no assurance that insurers will meet their claims. A higher-than-anticipated default rate on municipal bonds (or other insurance the
insurer provides) could strain the insurers loss reserves and adversely affect its ability to pay claims to bondholders.
Municipal securities can be difficult to value and be less liquid than
other investments, which may affect performance. Additionally, the amount of publicly available information about certain municipal securities
and their risks is generally less than that for corporate equities or bonds, and the investment performance of the Trusts municipal
securities investments, and their risks, may therefore be more dependent on the analytical abilities of the Adviser than its investment
in certain other securities. Information related to municipal securities and their risks may be provided by the municipality itself, which
may not always be accurate. The secondary market for municipal securities, particularly below investment grade municipal securities, also
tends to be less well-developed or liquid than many other securities markets, which may adversely affect the Trusts ability to sell
such securities at prices approximating those at which the Trust may currently value them.
Investments in municipal securities are subject to risks associated
with the financial health of the issuers of such securities or the revenue associated with underlying projects or other sources. For example,
social, political, economic, market or public health conditions can, and have at times, significantly stressed the financial resources
of many municipalities and other issuers of municipal securities, which may adversely affect their ability to meet their financial obligations
and the value or liquidity of the Trusts investments in municipal securities. A number of municipal issuers, in the past, have defaulted
on obligations, been downgraded or commenced insolvency proceedings. Financial difficulties of issuers of municipal securities may occur
in the future and the financial condition of such issuers may decline quickly. The ability of municipal issuers to make timely
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payments of interest and principal may be diminished during general
economic downturns and as governmental cost burdens are reallocated among federal, state and local governments. The taxing power of any
governmental entity may be limited by provisions of state constitutions or laws and an entitys credit will depend on many factors,
including the entitys tax base, the extent to which the entity relies on federal or state aid and other factors which are beyond
the entitys control. In addition, laws enacted or that may be enacted in the future by governmental authorities could extend the
time for payment of principal and/or interest, or impose other constraints on enforcement of such obligations or on the ability of municipalities
to levy taxes.
Moreover, as a result of economic, market and other factors, there
could be reduced tax or other revenue available to issuers of municipal securities and, in turn, increased budgetary and financial pressure
on the municipality and other issuers of municipal securities, which could increase the risks associated with municipal securities of
such issuer. As a result, the Trusts investments in municipal obligations or other securities may be subject to heightened risks
relating to the occurrence of such developments. Issuers of municipal securities might seek protection under bankruptcy laws. In the event
of bankruptcy of such an issuer, holders of municipal securities could experience delays in collecting principal and interest and such
holders may not be able to collect all principal and interest to which they are entitled. Legislative developments may result in changes
to the laws relating to municipal bankruptcies, which may adversely affect the Trusts investments in municipal securities.
When-Issued and Delayed Delivery Transactions Risk
Securities purchased on a when-issued or delayed delivery basis may
expose the Trust to counterparty risk of default as well as the risk that securities may experience fluctuations in value prior to their
actual delivery. The Trust generally will not accrue income with respect to a when-issued or delayed delivery security prior to its stated
delivery date. Purchasing securities on a when-issued or delayed delivery basis can involve the additional risk that the price or yield
available in the market when the delivery takes place may not be as favorable as that obtained in the transaction itself.
Debt Instruments Risk
The value of the Trusts investments in debt instruments (including
bonds issued by non-profit entities, municipal conduits and project finance corporations) depends on the continuing ability of the debt
issuers to meet their obligations for the payment of interest and principal when due. The ability of debt issuers to make timely payments
of interest and principal can be affected by a variety of developments and changes in legal, political, economic and other conditions.
For example, litigation, legislation or other political events, local business or economic conditions or the bankruptcy of an issuer could
have a significant effect on the ability of the issuer to make timely payments of principal and/or interest.
Investments in debt instruments present certain risks, including credit,
interest rate, liquidity and prepayment risks. Issuers that rely directly or indirectly on government funding mechanisms or non¬profit
statutes, may be negatively affected by actions of the government, including reductions in government spending, increases in tax rates,
and changes in fiscal policy.
The value of a debt instrument may decline for many reasons that directly
relate to the issuer, such as a change in the demand for the issuers goods or services, or a decline in the issuers
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performance, earnings or assets. In addition, changes in the financial
condition of an individual issuer can affect the overall market for such instruments.
Municipal Conduit Bond Risk
Municipal conduit bonds, also referred to as private activity bonds
or industrial revenue bonds, are bonds issued by state and local governments or other entities for the purpose of financing the projects
of certain private enterprises. Unlike municipal bonds, municipal conduit bonds are not backed by the full faith, credit or general taxing
power of the issuing governmental entity. Rather, issuances of municipal conduit bonds are backed solely by revenues of the private enterprise
involved. Municipal conduit bonds are therefore subject to heightened credit risk, as the private enterprise involved can have a different
credit profile than the issuing governmental entity. Municipal conduit bonds may be negatively impacted by conditions affecting either
the general credit of the private enterprise or the project itself. Factors such as competitive pricing, construction delays, or lack
of demand for the project could cause project revenues to fall short of projections, and defaults could occur. Municipal conduit bonds
tend to have longer terms and thus are more susceptible to interest rate risk.
Corporate Bond Risk
Corporate bonds are debt obligations issued by corporations and other
business entities. Corporate bonds may be either secured or unsecured. Collateral used for secured debt includes real property, machinery,
equipment, accounts receivable, stocks, bonds or notes. If a bond is unsecured, it is known as a debenture. Bondholders, as creditors,
have a prior legal claim over common and preferred stockholders as to both income and assets of the corporation for the principal and
interest due them and may have a prior claim over other creditors if liens or mortgages are involved. Interest on corporate bonds may
be fixed or floating, or the bonds may be zero coupons. Interest on corporate bonds is typically paid semi-annually and is fully taxable
to the bondholder. Corporate bonds contain elements of both interest-rate risk and credit risk and are subject to the risks associated
with Income Securities, among other risks. The market value of a corporate bond generally is expected to rise and fall inversely with
interest rates and be affected by the credit rating of the corporation, the corporations performance and perceptions of the corporation
in the marketplace. Depending on the nature of the seniority provisions, a senior corporate bond may be junior to other credit securities
of the issuer. The market value of a corporate bond may be affected by factors directly related to the issuer, such as investors
perceptions of the creditworthiness of the issuer, the issuers financial performance, perceptions of the issuer in the market place,
performance of management of the issuer, the issuers capital structure and use of financial leverage and demand for the issuers
goods and services. There is a risk that the issuers of corporate bonds may not be able to meet their obligations on interest or principal
payments at the time called for by an instrument or at all. Corporate bonds of below investment grade quality are often high risk and
have speculative characteristics and may be particularly susceptible to adverse issuer-specific developments and other developments.
Project Finance Risk
Project finance is a type of financing commonly used for infrastructure,
industry, and public service projects. In a project finance arrangement, the cash flow generated by the project is used to repay lenders
while the projects assets, rights and interest are held as secondary collateral. Investors
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involved in project finance face heightened technology risk, operational
risk, and market risk because the cash flow generated by the project, rather than the revenues of the company behind the project, will
repay investors. In addition, because of the project-specific nature of such arrangements, the Trust face the risk of loss of investment
if the company behind the project determines not to complete it.
Risks of Investing in Debt Issued by Non-Profit Institutions
Investing in debt issued by non-profit institutions, including foundations,
museums, cultural institutions, colleges, universities, hospitals and healthcare systems, involves different risks than investing in municipal
bonds. Many non-profit entities are tax-exempt under Section 501(c)(3) of the Internal Revenue Code of 1986, as amended (the Code)
and risk losing their tax-exempt status if they do not comply with the requirements of that section. There is a risk that Congress or
the IRS could pass new laws or regulations changing the requirements for tax-exempt status, which could result in a non-profit institution
losing such status. Additionally, non-profit institutions that receive federal and state appropriations face the risk of a decrease in
or loss of such appropriations.
Hospitals and healthcare systems are highly regulated at the federal
and state levels and face burdensome state licensing requirements. There is a risk that a state could refuse to renew a hospitals
license or that the passage of new laws or regulations, especially changes to Medicare or Medicaid reimbursement, could inhibit a hospital
from growing its revenues. Hospitals and healthcare systems also face risks related to increased competition from other health care providers;
increased costs of inpatient and outpatient care; and increased pressures from managed care organizations, insurers, and patients to cut
the costs of medical care.
There is a risk that non-profit institutions relying on philanthropy
and donations to maintain their operations will receive less funding during economic downturns or other periods of adverse market, economic
or political conditions.
Taxable Municipal Securities Risk
While interest earned on municipal securities is generally not subject
to federal tax, any interest earned on taxable municipal securities is fully taxable at the federal level and may be subject to tax at
the state level. Additionally, litigation, legislation or other political events, local business or economic conditions or the bankruptcy
of the issuer could have a significant effect on the ability of an issuer of municipal securities to make payments of principal and/or
interest. Political changes and uncertainties in the municipal market related to taxation, legislative changes or the rights of municipal
security holders can significantly affect municipal securities. Because many securities are issued to finance similar projects, especially
those relating to education, health care, transportation and utilities, conditions in those sectors can affect the overall municipal market.
In addition, changes in the financial condition of an individual municipal issuer can affect the overall municipal market.
Build America Bonds Risk
BABs were an alternative form of financing to state and local governments
whose primary means for accessing the capital markets had been through issuance of tax-free municipal bonds. The BABs market is smaller
and less diverse than the broader municipal securities market. In addition, because the relevant provisions of the American Recovery and
Reinvestment Act of 2009 were not extended,
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bonds issued after December 31, 2010 cannot qualify as BABs. It is
uncertain whether Congress will renew the program to permit issuance of new BABs. As a result, the number of available BABs is limited,
which may negatively affect the value of the BABs. In addition, there can be no assurance that BABs will be actively traded. It is difficult
to predict the extent to which a market for such bonds will continue, meaning that BABs may experience greater illiquidity than other
municipal obligations. Because issuers of direct payment BABs held in the Trusts portfolio receive reimbursement from the U.S. Treasury
with respect to interest payments on bonds, there is a risk that those municipal issuers will not receive timely payment from the U.S.
Treasury and may remain obligated to pay the full interest due on direct payment BABs held by the Trust. Under the sequestration process
under the Budget Control Act of 2011, automatic spending cuts that became effective on March 1, 2013 reduced the federal subsidy for BABs
and other subsidized taxable municipal bonds. In addition, pursuant to the requirements of the Balanced Budget and Emergency Deficit Control
Act of 1985, as amended, refund payments issued to and refund offset transactions for BABS are subject to sequestration. The subsidy payments
were reduced by 6.6% in 2018, 6.2% in 2019, 5.9% in 2020 and 5.7% between 2021 and 2030. Furthermore, it is possible that a municipal
issuer may fail to comply with the requirements to receive the direct pay subsidy or that a future Congress may further reduce or terminate
the subsidy altogether. In addition, the Code contains a general offset rule (the IRS Offset Rule) which allows for the possibility
that subsidy payments to be received by issuers of BABs may be subject to offset against amounts owed by them to the federal government.
Moreover, the Internal Revenue Service (the IRS) may audit the agencies issuing BABs and such audits may, among other things,
examine the price at which BABs are initially sold to investors. If the IRS concludes that a BAB was mispriced based on its audit, it
could disallow all or a portion of the interest subsidy received by the issuer of the BAB. The IRS Offset Rule and the disallowance of
any interest subsidy as a result of an IRS audit could potentially adversely affect a BABs issuers credit rating, and adversely affect the issuers ability to repay or refinance BABs. This, in turn, could adversely affect the ratings and value of the BABs held
by the Trust and the Trusts net asset value. The IRS has withheld subsidies from several states and municipalities.
BABs involve similar risks as traditional municipal bonds, including
credit, interest rate and market risk. Because certain states were heavy issuers of BABs, the Trust may have a greater exposure to the
economic or other factors affecting such states than a more diversified national municipal bond fund. BABs may be subject to greater reinvestment
risk, as BABs with attractive above-market purchase yields mature or are called.
Income Risk
The income investors receive from the Trust is based primarily or
in part on the interest it earns from its investments in Income Securities, which can vary widely over the short- and long-term. If prevailing
market interest rates drop, investors income from the Trust could drop as well. The Trusts income could also be affected adversely
when prevailing short-term interest rates increase and the Trust is utilizing leverage, although this risk may be mitigated to the extent
the Trust invests in floating-rate obligations, or when an issuer defaults, among other adverse developments.
Income Securities Risk
In addition to the risks discussed above, Income Securities (notably
the value and income of such investments), including high-yield bonds, are subject to certain risks, including:
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Issuer Risk. The
value of Income Securities may decline for a number of reasons which directly relate to the issuer, such as management performance, the
issuers overall level of debt, reduced demand for the issuers goods and services, historical and projected earnings, and the
value of its assets.
Spread Risk. Spread
risk is the risk that the market price can change due to broad based movements in spreads. The difference (or spread) between
the yield of a security and the yield of a benchmark measures the additional interest paid. As the spread on a security widens (or increases),
the price (or value) of the security falls. Spread widening may occur, among other reasons, as a result of market concerns over the stability
of the market, excess supply, general credit concerns in other markets, security- or market-specific credit concerns, or general reductions
in risk tolerance.
Credit Risk. The
Trust could lose money if the issuer or guarantor of a debt instrument, a counterparty to a derivatives transaction or other transaction
(such as a repurchase agreement or a loan of portfolio securities or other instruments) or other obligor to the Trust is unable or unwilling,
or perceived (whether by market participants, rating agencies, pricing services or otherwise) to be unable or unwilling, to pay interest
or repay principal on time or defaults or otherwise fails to meet its obligations. This risk is heightened in market environments where
interest rates are changing, notably when rates are rising or when refinancing obligations becomes more challenging. If an issuer fails
to pay interest, the Trusts income would likely be reduced, and if an issuer fails to repay principal, the value of the instrument
and income generated by the instrument likely would fall and the Trust could lose money, including potentially the entire value of the
investment. This risk is especially acute with respect to below investment grade debt instruments (commonly referred to as high-yield
or junk bonds) and unrated high risk debt instruments, whose issuers are particularly susceptible to fail to meet principal
or interest obligations.
Also, the issuer, guarantor or counterparty may suffer adverse changes
in its financial condition, the value of its assets, prospective earnings, demands for its goods and services or be adversely affected
by economic, political or social conditions that could lower the credit quality (or the markets perception of the credit quality)
of the issuer or instrument, guarantor or counterparty, leading to greater volatility in the price of the instrument and in shares of
the Trust. Although credit quality rating may not accurately reflect the true credit risk of an instrument, credit quality (and credit
risks) may change over time and a change in the credit quality rating of an instrument or an issuer can have a rapid, adverse effect on
the instruments value, price volatility and liquidity and make it more difficult for the Trust to sell at an advantageous price or
time. The risk of the occurrence of these types of events is heightened in market environments where interest rates are changing, notably
when rates are rising. In addition, under adverse market or economic conditions, an increasing number of issuers may be unprofitable,
have little cash on hand and/or are unable to pay the interest owed on their debt obligations and the number of such issuers may increase
if demand for their goods and services falls, borrowing costs rise due to governmental action or inaction or other reasons.
The degree of credit risk depends on the particular instrument, the
adequacy or lack of collateral or credit enhancements and the financial condition of the issuer, guarantor (including the guarantor of
the collateral or credit enhancements, if any) or counterparty, which are often reflected in its credit quality, and may change over time.
A credit quality rating is a measure of the issuers expected ability to make all required interest and principal payments in a timely
manner. An issuer with the highest credit rating has a very strong capacity with respect to making all payments. An issuer
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with the second-highest credit rating has a strong capacity to make
all payments, but the degree of safety is somewhat less. An issuer with the lowest credit quality rating may be in default or have extremely
poor prospects of making timely payment of interest and principal. Credit ratings assigned by rating agencies are based on a number of
factors and subjective judgments and therefore do not necessarily represent an issuers actual financial condition or the volatility
and liquidity of the security. Although higher-rated securities generally present lower credit risk as compared to lower-rated or unrated
securities, an issuer with a high credit rating may in fact be exposed to heightened levels of credit or liquidity risk. Credit ratings
(or average credit risk of the portfolio) may not be an accurate assessment of liquidity or credit risk and do not reflect market risk.
If an issuer, guarantor or counterparty declares bankruptcy or is
declared bankrupt, the Trust would be adversely affected in its ability to receive principal or interest owed or otherwise to enforce the
financial obligations of the other party. The Trust may be subject to increased costs associated with the bankruptcy process and experience
losses as a result of the deterioration of the financial condition of the issuer, guarantor or counterparty. The risks to the Trust related
to such bankruptcies are elevated during periods of adverse markets, economic and similar developments.
Interest Rate Risk. Fixed-income
and other debt instruments are subject to the possibility that interest rates could change (or are expected to change). Changes in interest
rates (or the expectation of such changes), including changes in reference rates used in fixed-income and other debt instruments (such
as Term SOFR), may adversely affect the Trusts investments in these instruments, such as the value or liquidity of, and income generated
by, the investments or increase risks associated with such investments, such as credit or default risks. In addition, changes in interest
rates, including rates that fall below zero, can have unpredictable effects on markets and can adversely affect the Trusts yield,
income and performance. Generally, when interest rates increase, the values of fixed-income and other debt instruments decline and when
interest rates decrease, the values of fixed-income and other debt instruments rise. Changes in interest rates also adversely affect the
yield generated by certain Income Securities or result in the issuance of lower yielding Income Securities.
The impact of interest rate changes on a fixed-income or other debt
instrument depends on several factors, notably the instruments duration. The value of a debt instrument with a longer duration will
generally be more sensitive to interest rate changes than a similar instrument with a shorter duration. Similarly, the longer the average
duration (whether positive or negative) of these instruments held by the Trust or to which the Trust is exposed (i.e., the longer the
average portfolio duration of the Trust), the more the Trusts NAV will likely fluctuate in response to interest rate changes. Duration
is a measure used to determine the sensitivity of a securitys price to changes in interest rates that incorporates a securitys
yield, coupon, final maturity and call features, among other characteristics. For example, the NAV per share of a bond fund with an average
duration of eight years would be expected to fall approximately 8% if interest rates rose by one percentage point.
However, measures such as duration may not accurately reflect the
true interest rate sensitivity of instruments held by the Trust and, in turn, the Trusts susceptibility to changes in interest rates.
Certain fixed-income and debt instruments are subject to the risk that the issuer may exercise its right to redeem (or call) the instrument
earlier than anticipated. Although an issuer may call an instrument for a variety of reasons, if an issuer does so during a time of declining
interest rates, the Trust might have to reinvest the proceeds in an investment offering a lower yield or other less
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favorable features, and therefore might not benefit from any increase
in value as a result of declining interest rates. Interest only or principal only securities and inverse floaters are particularly sensitive
to changes in interest rates, which may impact the income generated by the security, its value and other features of the security.
Instruments with variable or floating interest rates generally are
less sensitive to interest rate changes, but may decline in value if their interest rates do not rise as much or as fast as interest rates
in general. Conversely, in a decreasing interest rate environment, these instruments will generally not increase in value and the Trusts
investment in instruments with floating interest rates may prevent the Trust from taking full advantage of decreasing interest rates in
a timely manner. In addition, the income received from such instruments will likely be adversely affected by a decrease in interest rates.
Adjustable rate securities also react to interest rate changes in
a similar manner as fixed-rate securities but generally to a lesser degree depending on the characteristics of the security, in particular
its reset terms (i.e., the index chosen, frequency of reset and reset caps or floors). During periods of rising interest rates, because
changes in interest rates on adjustable rate securities may lag behind changes in market rates, the value of such securities may decline
until their interest rates reset to market rates. These securities also may be subject to limits on the maximum increase in interest rates.
During periods of declining interest rates, because the interest rates on adjustable rate securities generally reset downward, their market
value is unlikely to rise to the same extent as the value of comparable fixed rate securities. These securities may not be subject to
limits on downward adjustments of interest rates.
During periods of rising interest rates, issuers of debt instruments
or ABS may pay principal later or more slowly than expected, which may reduce the value of the Trusts investment in such securities
and may prevent the Trust from receiving higher interest rates on proceeds reinvested in other instruments. During periods of falling
interest rates, issuers of debt securities or ABS may pay off debts more quickly or earlier than expected, which could cause the Trust to
be unable to recoup the full amount of its initial investment and/or cause the Trust to reinvest proceeds or matured, traded or called
securities in lower-yielding securities, thereby reducing the Trusts yield or otherwise adversely impacting the Trust.
Certain debt instruments, such as instruments with a negative duration
or inverse instruments, are also subject to interest rate risk, although such instruments generally react differently to changes in interest
rates than instruments with positive durations. The Trusts investments in these instruments also may be adversely affected by changes
in interest rates. For example, the values of instruments with negative durations, such as inverse floaters, generally decrease if interest
rates decline. Certain fixed-income and debt instruments, including inverse floaters, interest only securities and principal only securities
are especially sensitive to interest rate changes, which may affect the income flows these securities generate as well as their values.
The U.S. Federal Reserve (Federal Reserve) has increased
interest rates at significant levels over recent periods. It is difficult to predict how long, and whether the Federal Reserves current
stance on interest rates will persist and the impact these actions will have on the economy and the Trusts investments and the markets
where they trade. Such actions may have unforeseen consequences and materially affect economic and market conditions, the Trusts
investments and the Trusts
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performance. The Federal Reserves monetary policy is subject
to change at any time and potentially frequently based on a variety of market and economic conditions.
The Trusts use of leverage will tend to increase the Trusts
interest rate risk. The Trust may utilize certain strategies, including taking positions in futures or interest rate swaps, for the purpose
of seeking to reduce the interest rate sensitivity of credit securities held by the Trust or any leverage being employed by the Trust
and seeking to decrease the Trusts exposure to interest rate risk. The Trust is not required to hedge its exposure to interest rate
risk and may choose not to do so. In addition, there is no assurance that any attempts by the Trust to seek to reduce interest rate risk
will be successful or that any hedges that the Trust may establish will perfectly correlate with movements in interest rates.
Current Fixed-Income and Debt
Market Conditions. Fixed-income and
debt market conditions are highly unpredictable, and some parts of the market are subject to dislocations. In response to the inflation
rates in recent periods, governmental authorities have implemented significant fiscal and monetary policy changes, including increasing
interest rates and implementation of quantitative tightening. These actions present heightened risks, particularly to fixed-income and
debt instruments, and such risks could be even further heightened if these actions are ineffective in achieving their desired outcomes
or are quickly reversed. It is difficult to accurately predict changes in the Federal Reserves monetary policies and the effect of
any such changes or policies. Certain economic conditions and market environments will expose fixed-income and debt instruments to heightened
volatility and reduced liquidity, which can impact the Trusts investments and may negatively impact the Trusts characteristics,
which in turn would impact performance. To the extent the Trust invests in derivatives tied to fixed-income or related markets, the Trust
can be more substantially exposed to these risks than if it did not invest in such derivatives. The liquidity levels of the Trusts
portfolio may also be affected and the Trust could be required to sell holdings at disadvantageous times or prices.
Reinvestment Risk. Reinvestment
risk is the risk that income from the Trusts portfolio will decline if the Trust invests the proceeds from matured, traded or called
Income Securities at interest rates that are below the Trust portfolios current earnings rate. A decline in income could affect the
Common Shares market price or the overall return of the Trust. These or similar conditions may also occur in the future.
Extension Risk. Certain
debt instruments, including MBS and ABS, are subject to the risk that payments on principal may occur at a slower rate or later than expected.
In this event, the expected maturity could lengthen as short or intermediate-term instruments become longer-term instruments, which would
make the investment more sensitive to changes in interest rates. The likelihood that payments on principal will occur at a slower rate
or later than expected is heightened in market environments where interest rates are higher or rising. In addition, the Trusts investment
may sharply decrease in value and the Trusts income from the investment may quickly decline. These types of instruments are particularly
subject to extension risk, and offer less potential for gains, during periods of rising interest rates. In addition, the Trust may be delayed
in its ability to reinvest income or proceeds from these instruments in potentially higher yielding investments, which would adversely
affect the Trust to the extent its investments are in lower interest rate debt instruments. Thus, changes in interest rates may cause volatility
in the value of and income received from these types of debt instruments.
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Prepayment Risk. Certain
debt instruments, including loans and mortgage and ABS, and, to a lesser extent variable or floating rate investments, are subject to
the risk that payments on principal may occur more quickly or earlier than expected (or an investment is converted or redeemed prior to
maturity). These types of instruments are particularly subject to prepayment risk, and offer less potential for gains, during periods of
declining interest rates. For example, an issuer may exercise its right to redeem outstanding debt securities prior to their maturity
(known as a call) or otherwise pay principal earlier than expected for a number of reasons (e.g., declining interest rates,
changes in credit spreads and improvements in the issuers credit quality). If an issuer calls or prepays a security
in which the Trust has invested, the Trust may not recoup the full amount of its initial investment and may be required to reinvest in
generally lower-yielding securities, securities with greater credit risks or securities with other, less favorable features or terms than
the security in which the Trust initially invested, thus potentially reducing the Trusts yield. Income Securities frequently have
call features that allow the issuer to repurchase the security prior to its stated maturity. Loans and mortgage- and other ABS are particularly
subject to prepayment risk, and offer less potential for gains, during periods of declining interest rates (or narrower spreads) as issuers
of higher interest rate debt instruments pay off debts earlier than expected. In addition, the Trust may lose any premiums paid to acquire
the investment. Other factors, such as excess cash flows, may also contribute to prepayment risk. Thus, changes in interest rates may
cause volatility in the value of and income received from these types of debt instruments.
Variable or floating rate investments may be less vulnerable to prepayment
risk. Most floating rate loans and fixed-income securities allow for prepayment of principal without penalty. Accordingly, the potential
for the value of a floating rate loan or security to increase in response to interest rate declines is limited. Corporate loans or fixed-income
securities purchased to replace a prepaid corporate loan or security may have lower yields than the yield on the prepaid corporate loan
or security.
Valuation of Certain Income
Securities Risk. GPIM may use the fair
value method to value investments if market quotations for them are not readily available or are deemed unreliable, or if events occurring
after the close of a securities market and before the Trust values its assets would materially affect net asset value. Because the secondary
markets for certain investments may be limited, they may be particularly difficult to value. Where market quotations are not readily available,
valuation may require more research than for more liquid investments. In addition, elements of judgment may play a greater role in valuation
in such cases than for investments with a more active secondary market because there is less reliable objective data available. A security
that is fair valued may be valued at a price higher or lower than the value determined by other funds using their own fair valuation procedures.
Prices obtained by the Trust upon the sale of such securities may not equal the value at which the Trust carried the investment on its
books, which would adversely affect the net asset value of the Trust.
Duration Management Risk
The Trusts managers expect to employ investment and trading
strategies to seek to maintain the leverage-adjusted duration of the Trusts portfolio at generally less than 15 years. Such strategies
include, among others, security selection and the use of financial products. Financial products may include US treasury swaps, total return
swaps and futures contracts, among others. The Trust seeks
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to invest in instruments that provide the Trust with protection against
interest rate volatility while providing income to the Trust. Duration is a measure of a bonds price sensitivity to changes in interest
rates, expressed in years. Duration is a weighted average of the times that interest payments and the final return of principal are received.
The weights are the amounts of the payments discounted by the yield to maturity of the bond.
Financial Leverage and Leveraged Transactions Risks
Although the use of Financial Leverage and leveraged transactions
by the Trust may create an opportunity for increased after-tax total return for the Common Shares, it also results in additional risks
and can magnify the effect of any losses. If the income and gains earned on securities purchased with Financial Leverage and leveraged
transaction proceeds are greater than the cost of Financial Leverage and leveraged transactions, the Trusts return will be greater
than if Financial Leverage and leveraged transactions had not been used. Conversely, if the income or gains from the securities purchased
with such proceeds does not cover the cost of Financial Leverage and leveraged transactions, the return to the Trust will be less than
if Financial Leverage and leveraged transactions had not been used. There can be no assurance that a leveraging strategy will be implemented
or that it will be implemented or that it will be successful during any period during which it is employed.
Financial Leverage and leveraged transactions involve risks and special
considerations for shareholders, including the likelihood of greater volatility of NAV and market price of, and dividends on, the Common
Shares than a comparable portfolio without leverage; the risk that fluctuations in interest rates on borrowings and short-term debt or
in the dividend rates on any preferred shares (if any) that the Trust must pay will reduce the return to the Common Shareholders; and
the effect of Financial Leverage and leveraged transactions in a declining market, which is likely to cause a greater decline in the NAV
of the Common Shares than if the Trust were not leveraged, which may result in a greater decline in the market price of the Common Shares.
Because the fees received by the Adviser and Sub-Adviser are based
on the Managed Assets of the Trust (including the proceeds of any Financial Leverage), the Adviser and Sub-Adviser has a financial incentive
for the Trust to utilize Financial Leverage, which may create a conflict of interest between the Adviser and Sub-Adviser on the one hand
and the Common Shareholders on the other. Common Shareholders bear a portion of the investment advisory fee attributable to the assets
purchased with the proceeds of Financial Leverage, which means that Common Shareholders effectively bear the entire advisory fee.
It is also possible that the Trust will be required to sell assets,
possibly at a loss, in order to redeem or meet payment obligations on any leverage. Such a sale would reduce the Trusts net asset
value and also make it difficult for the net asset value to recover. The Trust in its best judgment nevertheless may determine to continue
to use Financial Leverage if it expects that the benefits to the Trusts shareholders of maintaining the leveraged position will
outweigh the current reduced return.
Indebtedness may subject the Trust to covenants in credit
agreements relating to asset coverage and portfolio composition requirements. Indebtedness by the Trust also may subject the Trust
to certain restrictions on investments imposed by guidelines of one or more rating agencies, which may issue ratings for such
indebtedness. Such guidelines may impose asset coverage or portfolio composition requirements that are more stringent than those
imposed by the 1940 Act. It is not anticipated that
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these covenants or guidelines will impede the Adviser or GPIM from
managing the Trusts portfolio in accordance with the Trusts investment objectives and policies.
The Trust may enter into reverse repurchase agreements with the same
parties with whom it may enter into repurchase agreements (as described below). Under a reverse repurchase agreement, the Trust would
sell securities or other assets and agree to repurchase them at a particular price at a future date. Reverse repurchase agreements involve
the risks that the interest income earned on the investment of the proceeds will be less than the interest expense and Trust expenses
associated with the repurchase agreement, that the market value of the securities or other assets sold by the Trust may decline below
the price at which the Trust is obligated to repurchase such securities and that the securities may not be returned to the Trust. There
is no assurance that reverse repurchase agreements can be successfully employed. In connection with reverse repurchase agreements, the
Trust will also be subject to counterparty risk with respect to the purchaser of the securities.
In the event of the insolvency of the counterparty to a reverse repurchase
agreement, recovery of the securities or other assets sold by the Trust may be delayed. The counterpartys insolvency may result
in a loss equal to the amount by which the value of the securities or other assets sold by the Trust exceeds the repurchase price payable
by the Trust; if the value of the purchased securities or other assets increases during such a delay, that loss may also be increased.
When the Trust enters into a reverse repurchase agreement, any fluctuations in the market value of either the securities or other assets
transferred to another party or the securities or other assets in which the proceeds may be invested would affect the market value of the
Trusts assets. As a result, such transactions may increase fluctuations in the NAV of the Common Shares.
The Trusts use of leverage through reverse repurchase agreements,
dollar rolls and economically similar transactions will be included when calculating the Trusts Financial Leverage and therefore
will be limited by the Trusts maximum overall Financial Leverage levels approved by the Board of Trustees and may be further limited
by the applicable requirements of the SEC discussed herein.
In addition, the Trust may engage in certain derivatives transactions
that have economic characteristics similar to leverage. The Trusts obligations under such transactions will not be considered indebtedness
for purposes of the 1940 Act but the Trusts use of such transactions may be limited by the applicable requirements of the SEC. The
Trusts obligations under reverse repurchase agreements, dollar roll transactions, and derivatives transactions may have economic
characteristics similar to leverage.
The Trust may have Financial Leverage and leveraged transactions outstanding
during a short-term period during which such Financial Leverage and leveraged transactions may not be beneficial to the Trust if GPIM
believes that the long-term benefits to Common Shareholders of such Financial Leverage and leveraged transactions would outweigh the costs
and portfolio disruptions associated with redeeming and reissuing or closing out and reopening such Financial Leverage and leveraged transactions.
However, there can be no assurance that GPIMs judgment in weighing such costs and benefits will be correct.
Economic and market events have at times caused severe market volatility
and liquidity strains in the credit markets. The terms of the Trusts credit facility include a variable interest rate. Accordingly,
during periods when interest rates or the applicable reference rate for the credit facility rise or there are dislocations in the credit
markets, the Trusts leverage costs may increase and there is a risk that
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the Trust may not be able to renew or replace existing leverage on
favorable terms or at all. If the cost of leverage is no longer favorable, or if the Trust is otherwise required to reduce its leverage,
the Trust may not be able to maintain distributions on Common Shares at historical levels and Common Shareholders will bear any costs
associated with selling portfolio securities. The cost of leverage and the risks highlighted above are heightened during periods of rising
interest rates.
The Trusts total Financial Leverage and leveraged transactions
may vary significantly over time. To the extent the Trust increases its amount of Financial Leverage and leveraged transactions outstanding,
it will be more exposed to associated risks.
Investments in Investment Funds and certain other pooled and structured
finance vehicles, such as collateralized loan obligations, frequently expose the Trust to an additional layer of financial leverage and,
thus, increase the Trusts exposure to leverage risk. From time to time, the Trust may invest a significant portion of its assets
in Investment Funds that employ leverage.
The Trust is required to trade derivatives and other transactions
that create future payment or delivery obligations (except reverse repurchase agreements and similar financing transactions) subject to
value-at-risk (VaR) leverage limits and derivatives risk management program and reporting requirements. Generally, these requirements
apply unless a fund satisfies a limited derivatives users exception that is included in Rule 18f-4. When the Trust trades
reverse repurchase agreements or similar financing transactions, including certain tender option bonds, it needs to aggregate the amount
of indebtedness associated with the reverse repurchase agreements or similar financing transactions with the aggregate amount of any other
senior securities representing indebtedness when calculating the Trusts asset coverage ratio or treat all such transactions as derivatives
transactions. Reverse repurchase agreements or similar financing transactions aggregated with other indebtedness do not need to be included
in the calculation of whether a fund satisfies the limited derivatives users exception, but for funds subject to the VaR testing requirement,
reverse repurchase agreements and similar financing transactions must be included for purposes of such testing whether treated as derivatives
transactions or not. The SEC also provided guidance regarding the use of securities lending collateral that may limit the Trusts
securities lending activities. In addition, the Trust is permitted to invest in a security on a when-issued or forward-settling basis,
or with a non-standard settlement cycle, and the transaction will be deemed not to involve a senior security, provided that (i) the Trust
intends to physically settle the transaction and (ii) the transaction will settle within 35 days of its trade date (the Delayed-Settlement
Securities Provision). The Trust may otherwise engage in such transactions that do not meet the conditions of the Delayed-Settlement
Securities Provision so long as the Trust treats any such transaction as a derivatives transaction for purposes of compliance
with the rule. Furthermore, under the rule, the Trust is permitted to enter into an unfunded commitment agreement, and such unfunded commitment
agreement will not be subject to the asset coverage requirements under the 1940 Act, if the Trust reasonably believes, at the time it
enters into such agreement, that it will have sufficient cash and cash equivalents to meet its obligations with respect to all such agreements
as they come due. These requirements may limit the ability of the Trust to use derivatives, reverse repurchase agreements and similar
financing transactions, and the other relevant transactions as part of its investment strategies. These requirements may increase the
cost of the Trusts investments and cost of doing business, which could adversely affect investors.
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The Adviser has filed with the National Futures Association a notice
of eligibility claiming an exclusion from the definition of commodity pool operator (CPO) under CFTC Rule 4.5
under the Commodity Exchange Act, as amended (the CEA), with respect to the Trusts operation. Accordingly, the Adviser
with respect to the Trust is not subject to registration or regulation as a CPO. Changes to the Trusts investment strategies or
investments may cause the Adviser with respect to the Trust to lose the benefits of the exclusion under CFTC Rule 4.5 under the CEA and
may trigger additional CFTC regulation as a CPO. If the Trust becomes subject to CFTC regulation, the Trust or the Adviser may incur additional
expenses.
Inflation/Deflation Risk
Inflation risk is the risk that the intrinsic value of assets or income
from investments will be worth less in the future as inflation decreases the purchasing power and value of money. As inflation increases,
the real value of the Common Shares and distributions can decline. Inflation rates may change frequently and significantly as a result
of various factors, including unexpected shifts in the domestic or global economy and changes in monetary or economic policies (or expectations
that these policies may change), and the Trusts investments may not keep pace with inflation, which would adversely affect the Trust.
The market price of debt instruments generally falls as inflation increases because the purchasing power of the future income and repaid
principal is expected to be worth less when received by the Trust. The risk of inflation is greater for debt instruments with longer maturities
and especially those that pay a fixed rather than variable interest rate. Inflation has reached historically high levels in recent periods,
and the Federal Reserve has increased interest rates significantly to seek to reduce it. In addition, during any periods of rising inflation,
the dividend rates or borrowing costs associated with the Trusts use of Financial Leverage would likely increase, which would tend
to further reduce returns to Common Shareholders. Deflation risk is the risk that prices throughout the economy decline over timethe
opposite of inflation. Deflation may have an adverse effect on the creditworthiness of issuers and may make issuer default more likely,
which may result in a decline in the value of the Trusts portfolio.
Insurance Risk
The Trust may purchase municipal securities that are secured by insurance,
bank credit agreements or escrow accounts. The credit quality of the companies that provide such credit enhancements will affect the value
of those securities. Certain significant providers of insurance for municipal securities have in the past incurred significant losses
as a result of exposure to sub-prime mortgages and other lower credit quality investments that experienced recent defaults or otherwise
suffered extreme credit deterioration. As a result, such losses reduced the insurers capital and called into question their continued
ability to perform their obligations under such insurance if they are called upon to do so in the future. While an insured municipal security
will typically be deemed to have the rating of its insurer, if the insurer of a municipal security suffers a downgrade in its credit rating
or the market discounts the value of the insurance provided by the insurer, the rating of the underlying municipal security will be more
relevant and the value of the municipal security would more closely, if not entirely, reflect such rating. In such a case, the value of
insurance associated with a municipal security would decline and may not add any value. The insurance feature of a municipal security
normally provides that it guarantees the full payment of principal and interest when due through the life of an insured obligation, but
does not guarantee the market value of the insured obligation or the
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net asset value of the Common Shares attributable to such insured
obligation. There is no assurance that insurers will meet their claims.
Below-Investment Grade Securities Risk
The Trust may invest in Income Securities rated below-investment grade
or, if unrated, determined by GPIM to be of comparable credit quality, which are commonly referred to as high-yield or junk
bonds. Investment in securities of below-investment grade quality involves substantial risk of loss, the risk of which is particularly
acute under adverse economic conditions. Income Securities of below investment grade quality are predominantly speculative with respect
to the issuers continuing capacity to pay interest and repay principal when due and therefore involve a greater risk of default
or decline in market value or income due to adverse economic and issuer-specific developments compared to investment grade bonds. Securities
of below-investment grade quality are often issued by companies without long track records of earnings or sales or by companies with lesser
credit profiles and may be more volatile than higher-rated securities of similar maturity.
Securities of below-investment grade quality generally involve a greater
risk of default or decline in market value or income due to adverse economic and issuer-specific developments, such as operating results
and outlook and to real or perceived adverse economic and competitive industry conditions. Generally, the risks associated with below-investment
grade securities are heightened during times of weakening economic conditions or rising interest rates (particularly for issuers that
are highly leveraged). If the Trust is unable to sell an investment at its desired time, the Trust may miss other investment opportunities
while it holds investments it would prefer to sell, which could adversely affect the Trusts performance. In addition, the liquidity
of any Trust investment may change significantly over time as a result of market, economic, trading, issuer-specific and other factors.
Accordingly, the performance of the Trust and a shareholders investment in the Trust may be adversely affected if an issuer is unable
to pay interest and repay principal, either on time or at all. Issuers of below-investment grade securities are not perceived to be as
strong financially as those with higher credit ratings. These issuers are more vulnerable to financial setbacks and recessions and other
adverse economic developments than more creditworthy issuers, which may impair their ability to make interest and principal payments.
Income Securities of below-investment grade quality display increased price sensitivity to changing interest rates and to a deteriorating
economic environment. The market values, total return and yield for securities of below investment grade quality tend to be more volatile
than the market values, total return and yield for higher-quality securities. Securities of below investment grade quality tend to be
less liquid than investment grade debt securities and therefore more difficult to value accurately and sell at an advantageous price or
time and may involve greater transactions costs and wider bid/ask spreads, than higher-quality securities. Additionally, issuers of below-investment
grade securities may have the right to call or redeem the issue prior to its maturity, which could result in the Trust having
to reinvest in other below-investment grade or other securities at a lower interest rate or with other less favorable terms. This may
be more likely during a declining interest rate environment. To the extent that a secondary market does exist for certain below-investment
grade securities, the market for them may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement
periods. Because of the substantial risks associated with investments in below-investment grade securities, you could have an increased
risk of losing money on your investment in Common Shares, both in the short-term and the long-term. To the extent that the Trust invests
in securities that have not been rated by a nationally recognized statistical rating organization, the Trusts ability to achieve
its investment
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objectives will be more dependent on GPIMs credit analysis than
would be the case when the Trust invests in rated securities.
Investment in lower-medium and lower-rated debt securities may involve
greater investment risk and the success of such investment is highly dependent on GPIMs credit analysis. The value of securities
of below-investment grade quality is particularly vulnerable to changes in interest rates and a real or perceived economic downturn or
higher interest rates could cause a decline in prices of such securities by lessening the ability of issuers to make principal and interest
payments. These securities may not be listed on an exchange and are often thinly traded or subject to irregular trading and can be more
difficult to sell and value accurately than higher-quality securities because there tends to be less public information available about
these securities. Because objective pricing data may be less available, judgment may play a greater role in the valuation process. In
addition, the entire below-investment grade market can experience sudden and sharp price swings due to a variety of factors, including
changes in economic forecasts, stock market activity, large or sustained sales by major investors, a high-profile default, or a change
in the markets perception regarding below-investment grade securities. Adverse conditions could make it difficult at times for the
Trust to sell certain securities or could result in lower prices than those used in calculating the Trusts NAV. During periods of
deteriorating economic conditions, such as recessions or periods of rising unemployment, or changing interest rates (notably increases),
below-investment grade securities are particularly susceptible to credit and default risk as delinquencies, non-payment rates and losses
could increase, and such increases could be sudden and significant. An economic downturn or individual corporate developments could adversely
affect the market for these investments and reduce the Trusts ability to sell these investments at an advantageous time or price.
These or similar types of developments could cause below-investment grade securities to lose significant market value, including before
a default occurs.
Repurchase Agreement Risk
The Trust may enter into bilateral and tri-party repurchase agreements.
In a typical Trust repurchase agreement, the Trust enters into a contract with a broker, dealer, or bank (the counterparty
to the transaction) for the purchase of securities or other assets. The counterparty agrees to repurchase the securities or other assets
at a specified future date, or on demand, for a price that is sufficient to return to the Trust its original purchase price, plus an additional
amount representing the return on the Trusts investment. Such repurchase agreements economically function as a secured loan from
the Trust to a counterparty. If the counterparty defaults on the repurchase agreement, the Trust will retain possession of the underlying
securities or other assets. If bankruptcy proceedings are commenced with respect to the seller, realization on the collateral by the Trust
may be delayed or limited and the Trust may incur additional costs. In such case, the Trust will be subject to risks associated with changes
in market value of the collateral securities or other assets. The Trust intends to enter into repurchase agreements only with brokers,
dealers, or banks or other permitted counterparties after the Adviser (or the Sub-Adviser) evaluates the creditworthiness of the counterparty.
The Trust will not enter into repurchase agreements with the Adviser or the Sub-Adviser or their affiliates. Except as provided under applicable
law, the Trust may enter into repurchase agreements without limitation.
Repurchase agreements collateralized fully by cash items, U.S. government
securities or by securities issued by an issuer that the Adviser or GPIM has determined at the time the repurchase agreement
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is entered into has an exceptionally strong capacity to meet its financial
obligations (Qualifying Collateral) and meet certain liquidity standards generally may be deemed to be collateralized
fully and may be deemed to be investments in the underlying securities for certain purposes. The Trust may accept collateral other
than Qualifying Collateral determined by the Adviser or the Sub-Adviser to be in the best interests of the Trust to accept as collateral
for such repurchase agreement (which may include high yield debt instruments that are rated below investment grade) (Alternative
Collateral). Repurchase agreements secured by Alternative Collateral are not deemed to be collateralized fully under
applicable regulations and the repurchase agreement is therefore considered a separate security issued by the counterparty to the Trust.
Accordingly, the Trust must include repurchase agreements that are not collateralized fully in its calculations of securities
issued by the selling institution held by the Trust for purposes of various portfolio diversification and concentration requirements applicable
to the Trust. In addition, Alternative Collateral may not qualify as permitted or appropriate investments for the Trust under the Trusts
investment strategies and limitations. Accordingly, if a counterparty to a repurchase agreement defaults and the Trust takes possession
of Alternative Collateral, the Trust may need to promptly dispose of the Alternative Collateral (or other securities held by the Trust,
if the Trust exceeds a limitation on a permitted investment by virtue of taking possession of the Alternative Collateral). The Alternative
Collateral may be particularly illiquid, especially in times of market volatility or in the case of a counterparty insolvency or bankruptcy,
which may restrict the Trusts ability to dispose of Alternative Collateral received from the counterparty. Depending on the terms
of the repurchase agreement, the Trust may determine to sell the collateral during the term of the repurchase agreement and then purchase
the same collateral at the market price at the time of the resale. In tri-party repurchase agreements, an unaffiliated third party custodian
maintains accounts to hold collateral for the Trust and its counterparties and, therefore, the Trust may be subject to the credit risk
of those custodians.
Sector Risk
The Trust may invest a significant portion of its managed assets
in certain sectors which may subject the Trust to additional risk and variability. To the extent that the Trust focuses its managed
assets in the hospital and healthcare facilities sector, for example, the Trust will be subject to risks associated with such
sector, including adverse government regulation and reduction in reimbursement rates, as well as government approval of products and
services and intense competition. Securities issued with respect to special taxing districts will be subject to various risks,
including real-estate development related risks and taxpayer concentration risk. Further, the fees, special taxes or tax allocations
and other revenues established to secure the obligations of securities issued with respect to special taxing districts are generally
limited as to the rate or amount that may be levied or assessed and are not subject to increase pursuant to rate covenants or
municipal or corporate guarantees. To the extent that the Trust focuses its managed assets in the education sector, for example, the
Trust will be subject to risks associated with such sector, including unanticipated revenue decline resulting primarily from a
decrease in student enrollment or reductions in state and federal funding, restrictions on students ability to pay tuition,
and declining general economic conditions or fluctuations in interest rates, which may lead to declining or insufficient revenues.
In addition, charter schools and other private educational facilities are subject to various risks, including the reversal of
legislation authorizing or funding charter schools, the failure to renew or secure a charter, the failure of a funding entity to
appropriate necessary funds and competition from alternatives such as voucher programs. Issuers of municipal utility securities can
be significantly
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affected by government regulation, financing difficulties, supply and
demand of services or fuel and natural resource conservation. The transportation sector, including airports, airlines, ports and other
transportation facilities, can be significantly affected by changes in the economy, fuel prices, maintenance, labor relations, insurance
costs and government regulation.
Short Sales Risk
The Trust may make short sales of securities. Short selling a security
involves selling a borrowed security with the expectation that the value of that security will decline, so that the security may be purchased
at a lower price when returning the borrowed security. If the price of the security sold short increases between the time of the short
sale and the time the Trust replaces the borrowed security, the Trust will incur a loss; conversely, if the price declines, the Trust
will realize a capital gain. Any gain will be decreased, and any loss will be increased, by the transaction costs incurred by the Trust,
including the costs associated with providing collateral to the broker-dealer (usually cash and liquid securities) and the maintenance
of collateral with its custodian. Although the Trusts gain is limited to the price at which it sold the security short, its potential
loss is theoretically unlimited and may be greater than a direct investment in the security itself because the price of the borrowed or
reference security may rise. The Trust may not always be able to close out a short position at a particular time or at an acceptable price.
A lender may request that borrowed securities be returned to it on short notice, and the Trust may have to buy the borrowed securities
at an unfavorable price, resulting in a loss. The Trust may have to pay a premium to borrow the securities and must pay any dividends
or interest payable on the securities until they are replaced, which will be expenses of the Trust. Short sales also subject the Trust
to risks related to the lender (such as bankruptcy risks) or the general risk that the lender does not comply with its obligations. Government
actions also may affect the Trusts ability to engage in short selling. The use of physical short sales is typically more expensive
than gaining short exposure through derivatives.
Special Risks Related to Certain Municipal Securities
The Trust may invest in municipal leases and certificates of participation
in such leases. Municipal leases and certificates of participation involve special risks not normally associated with general obligations
or revenue bonds. Leases and installment purchase or conditional sale contracts (which normally provide for title to the leased asset
to pass eventually to the governmental issuer) have evolved as a means for governmental issuers to acquire property and equipment without
meeting the constitutional and statutory requirements for the issuance of debt. The debt issuance limitations are deemed to be inapplicable
because of the inclusion in many leases or contracts of non-appropriation clauses that relieve the governmental issuer of
any obligation to make future payments under the lease or contract unless money is appropriated for such purpose by the appropriate legislative
body. In addition, such leases or contracts may be subject to the temporary abatement of payments in the event the governmental issuer
is prevented from maintaining occupancy of the leased premises or utilizing the leased equipment. Although the obligations may be secured
by the leased equipment or facilities, the disposition of the property in the event of non-appropriation or foreclosure might prove difficult, time consuming and costly, and may result in a delay in recovering or the failure to fully recover the Trusts original investment.
In the event of non-appropriation, the issuer would be in default and taking ownership of the assets may be a remedy available to the
Trust, although the Trust does not anticipate that such a remedy would normally be pursued. To the extent that the Trust invests in unrated
municipal leases or participates
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in such leases, the credit quality and risk of cancellation of such
unrated leases will be monitored on an ongoing basis. Certificates of participation, which represent interests in unmanaged pools of municipal
leases or installment contracts, involve the same risks as the underlying municipal leases. In addition, the Trust may be dependent upon
the municipal authority issuing the certificates of participation to exercise remedies with respect to the underlying securities. Certificates
of participation entail a risk of default or bankruptcy not only of the issuer of the underlying lease but also of the municipal agency
issuing the certificate of participation.
Structured Finance Investments Risk
The Trusts structured finance investments may include residential
and commercial mortgage-related and other ABS issued by governmental entities and private issuers. While traditional fixed-income securities
typically pay a fixed rate of interest until maturity, when the entire principal amount is due, these investments represent an interest
in a pool of residential or commercial real estate or assets such as automobile loans, credit card receivables or student loans that have
been securitized and provide for monthly or other periodic payments of interest and principal to the holder based from the cash flow of
these assets. Holders of structured finance investments bear risks of the underlying investments, index or reference obligation and are
subject to counterparty and other risks. The Trust may have the right to receive payments only from the structured product, and generally
does not have direct rights against the issuer or the entity that sold the assets to be securitized. While certain structured finance
investments enable the investor to acquire interests in a pool of securities without the brokerage and other expenses associated with
directly holding the same securities, investors in structured finance investments generally pay their share of the structured products
administrative and other expenses. Although it is difficult to accurately predict whether the prices of indices and securities underlying
structured finance investments will rise or fall, these prices (and, therefore, the prices of structured finance investments) will be
influenced by the same types of political, economic and other events that affect issuers of securities and capital markets generally. If
the issuer of a structured product uses shorter term financing to purchase longer term securities, the issuer may be forced to sell its
securities at below market prices if it experiences difficulty in obtaining short-term financing, which may adversely affect the value of
the structured finance investment owned by the Trust.
The Trust may invest in structured finance products collateralized
by low grade or defaulted loans or securities. Investments in such structured finance products are subject to the risks associated with
below investment grade securities. Such securities are characterized by high risk. It is likely that an economic recession could severely
disrupt the market for such securities and may have an adverse impact on the value of such securities.
The Trust may invest in senior and subordinated classes issued by
structured finance vehicles. The payment of cash flows from the underlying assets to senior classes take precedence over those of subordinated
classes, and therefore subordinated classes are subject to greater risk. Furthermore, the leveraged nature of subordinated classes may
magnify the adverse impact on such class of changes in the value of the assets, changes in the distributions on the assets, defaults and
recoveries on the assets, capital gains and losses on the assets, prepayment on assets and availability, price and interest rates of assets.
Structured finance securities may be thinly traded or have a limited
trading market. Structured finance securities are typically privately offered and sold, and thus are not registered under the
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securities laws. As a result, investments in structured finance securities
may be characterized by the Trust as illiquid securities; however, an active dealer market may exist which would allow such securities
to be considered liquid in some circumstances.
Structured finance securities, such as mortgage-backed securities,
issued by non-governmental issuers are not guaranteed as to principal or interest by the U.S. government or a government sponsored enterprise
and are typically subject to greater risk than those issued by such governmental entities. For example, privately issued mortgage-backed
securities are not subject to the same underwriting requirements for underlying mortgages as those issued by governmental entities and,
as a result, mortgage loans underlying such privately issued securities typically have less favorable underwriting characteristics (such
as credit risk and collateral) and a wider range in terms (such as interest rate, term and borrower characteristics).
Asset-Backed Securities Risk
The Trust may invest in ABS issued by legal entities that are sponsored
by banks, investment banks, other financial institutions or companies, asset management firms or funds and are specifically created for
the purpose of issuing such ABS. Investors in ABS receive payments that are part interest and part return of principal or certain ABS
may be interest-only securities or principal-only securities. These payments typically depend upon the cash flows generated by an underlying
pool of assets and vary based on the rate at which the underlying obligors pay off their liabilities under the underlying assets. The pooled
assets provide cash flow to the issuer, which then makes interest and principal payments to investors. As a result, these investments
involve the risk, among other risks, that the borrower may default on its obligations backing the ABS and, thus, the value of and interest
generated by such investment will decline.
Investments in ABS are subject to many of the same risks that are
applicable to investments in certain other types of securities, including currency risk, geographic emphasis risk, high yield and unrated
securities risk, leverage risk, prepayment and extension risk and regulatory risk. ABS are particularly subject to interest rate, market
and credit risks and the risk that non-payment on underlying assets will result in a decline in the value of the ABS. Compared to other
fixed income investments with similar maturity and credit profile, ABS generally increase in value to a lesser extent when interest rates
decline and generally decline in value to a similar or greater extent when interest rates rise. ABS are also subject to liquidity and
valuation risk and, therefore, may be difficult to value accurately or sell at an advantageous time or price and involve greater transaction
costs and wider bid/ask spreads than certain other instruments. In addition, the assets or collateral underlying an ABS may be insufficient
or unavailable in the event of a default and enforcing rights with respect to these assets or collateral may be difficult and costly.
While traditional fixed-income securities typically pay a fixed rate
of interest until maturity, when the entire principal amount is due, an ABS represents an interest in a pool of assets, such as automobile
loans, credit card receivables, unsecured consumer loans or student loans, that has been securitized and provides for monthly payments
of interest, at a fixed or floating rate, and principal from the cash flow of these assets. This pool of assets (and any related assets
of the issuing entity) is the only source of payment for the ABS. The ability of an ABS issuer to make payments on the ABS, and the timing
of such payments, is therefore dependent on collections on these underlying assets. The recoveries on the underlying collateral may not,
in some cases, be sufficient to support payments on these
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securities, or may be unavailable in the event of a default and enforcing
rights with respect to these assets or collateral may be difficult and costly, which may result in losses to investors in an ABS.
Generally, obligors may prepay the underlying assets in full or in
part at any time, subjecting the Trust to prepayment risk related to the ABS it holds. While the expected repayment streams on ABS are
determined by the contractual amortization schedules for the underlying assets, an investors yield to maturity on an ABS is uncertain
and may be reduced by the rate and speed of prepayments of the underlying assets, which may be influenced by a variety of economic, social
and other factors. Any prepayments, repurchases, purchases or liquidations of the underlying assets could shorten the average life of
the ABS to an extent that cannot be fully predicted. Some ABS may be structured to include a period of rapid amortization triggered by
events such as a significant rise in the default rate of the underlying collateral, a sharp drop in the credit enhancement level because
of credit losses on the underlying assets, a specified regulatory event or the bankruptcy of the originator. A rapid amortization event
will cause any revolving period to end earlier than expected and all collections on the underlying assets will be used to pay principal
to investors earlier than expected. In general, the senior most securities will be paid prior to any payments being made on the subordinated
securities, and if such payments are made earlier than expected, the Trusts yield on such ABS may be negatively affected.
In addition, investments in ABS entail additional risks relating to
the underlying pools of assets, including credit risk, default risk (such as a borrowers default on its obligation and the default,
failure or inadequacy or unavailability of a guarantee, if any, underlying the ABS intended to protect investors in the event of default)
and prepayment and extension risk with respect to the underlying pool or individual assets represented in the pool. The underlying assets
of an ABS may include, without limitation, residential or commercial mortgages, motor vehicle installment sales or installment loan contracts,
leases of various types of real, personal and other property, receivable from credit card agreements and automobile finance agreements,
student loans, consumer loans, and income from other income streams, such as income from business loans. Moreover, additional risks relating
to investments in ABS may arise principally because of the type of ABS in which the Trust invests, with such risks primarily associated
with the particular assets collateralizing the ABS (such as their type or nature), the structure of such ABS, or the tranche or priority
of the ABS held by the Trust (with junior or equity tranches generally carrying higher levels of risk).
Mortgage-Backed Securities Risk
Mortgage-Backed Securities (MBS) represent an interest
in a pool of mortgages. MBS are subject to certain risks, such as: credit risk associated with the performance of the underlying mortgage
properties and of the borrowers owning these properties; risks associated with their structure and execution (including the collateral,
the process by which principal and interest payments are allocated and distributed to investors and how credit losses affect the return
to investors in such MBS); risks associated with the servicer of the underlying mortgages; adverse changes in economic conditions and
circumstances, which are more likely to have an adverse impact on MBS secured by loans on certain types of commercial properties than
on those secured by loans on residential properties; prepayment and extension risks associated with the underlying assets of certain MBS,
which can shorten the weighted average maturity and lower the return of the MBS, or lengthen the expected maturity, respectively, leading
to significant fluctuations in the value of the MBS; loss of all or part of the premium, if any, paid;
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and decline in the market value of the security, whether resulting
from changes in interest rates, prepayments on the underlying mortgage collateral or perceptions of the credit risk associated with the
underlying mortgage collateral.
The value of MBS may be substantially dependent on the servicing of
the underlying pool of mortgages. In addition, the Trusts level of investment in MBS of a particular type or in MBS issued or guaranteed
by Affiliated obligors, serviced by the same servicer or backed by underlying collateral located in a specific geographic region, may subject
the Trust to additional risk.
When market interest rates decline, more mortgages are refinanced
and the securities are paid off earlier than expected. Prepayments may also occur on a scheduled basis or due to foreclosure. When market
interest rates increase, the market values of MBS decline. At the same time, however, mortgage refinancings and prepayments slow, which
lengthens the effective maturities of these securities. As a result, the negative effect of the rate increase on the market value of MBS
is usually more pronounced than it is for other types of debt securities. In addition, due to instability in the credit markets, the market
for some MBS has at times experienced reduced liquidity and greater volatility with respect to the value of such securities, making it
more difficult to value such securities. The Trust may invest in sub-prime mortgages or MBS that are backed by sub-prime mortgages or defaulted
or nonperforming loans.
Additional risks relating to investments in MBS may arise principally
because of the type of MBS in which the Trust invests, with such risks primarily associated with the particular assets collateralizing
the MBS and the structure of such MBS. For example, collateralized mortgage obligations (CMOs), which are MBS that are typically
collateralized by mortgage loans or mortgage pass-through securities and multi-class pass-through securities, are commonly structured
as equity interests in a trust composed of mortgage loans or other MBS. CMOs are usually issued in multiple classes, often referred to
as tranches, with each tranche having a specific fixed or floating coupon rate and stated maturity or final distribution date.
Under the traditional CMO structure, the cash flows generated by the mortgages or mortgage pass-through securities in the collateral pool
are used to first pay interest and then pay principal to the holders of the CMOs. Subject to the provisions of individual CMO issues,
the cash flow generated by the underlying collateral (to the extent it exceeds the amount required to pay the stated interest) is used
to retire the bonds. As a result of these and other structural characteristics of CMOs, CMOs may have complex or highly variable prepayment
terms, such as companion classes, interest only or principal only payments, inverse floaters and residuals. These investments generally
entail greater market, prepayment and liquidity risks than other MBS, and may be more volatile or less liquid than other MBS. CMOs are
further subject to certain risks specific to these securities. For example, the average life of CMOs is typically determined using mathematical
models that incorporate prepayment and other assumptions that involve estimates of future economic and market conditions, which may prove
to be incorrect, particularly in periods of heightened market volatility. Further, the average weighted life of certain CMOs may not accurately
reflect the price volatility of such securities, resulting in price fluctuations greater than what would be expected from interest rate
movements alone.
Non-agency MBS (i.e., MBS issued by commercial banks, savings and
loans institutions, mortgage bankers, private mortgage insurance companies and other non-governmental issuers) are subject to the risk
that the value of such securities will decline because, among other
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things, the securities are not guaranteed as to principal or interest
by the U.S. government or a government sponsored enterprise. Non-agency MBS are not subject to the same underwriting requirements for
underlying mortgages as agency MBS and, as a result, mortgage loans underlying non-agency MBS typically have less favorable underwriting
characteristics (such as credit and default risk and collateral) and a wider range in terms (such as interest rate, term and borrower
characteristics) than agency MBS. Non-agency residential mortgage-backed securities often are issued in the form of several different tranches.
Depending on their respective seniority, individual tranches are subject to increased (and sometimes different) credit, prepayment and
liquidity and valuation risks as compared to other tranches. These securities are often subject to greater credit, prepayment and liquidity
and valuation risks than agency MBS. In addition, these securities may be less readily marketable as the market for these securities is
typically smaller and less liquid than the market for agency MBS, thus these securities may be subject to greater price fluctuation than
agency MBS, especially during periods of weakness or perceived weakness in the mortgage and real estate sectors.
Moreover, the relationship between prepayments and interest rates
may give some high-yielding MBS less potential for growth in value than conventional bonds with comparable maturities. In addition, in
periods of falling interest rates, the rate of prepayments tends to increase. During such periods, the reinvestment of prepayment proceeds
by the Trust will generally be at lower rates than the rates that were carried by the obligations that have been prepaid. Because of these
and other reasons, MBSs total return and maturity may be difficult to predict precisely. To the extent that the Trust purchases MBS
at a premium, prepayments (which may be made without penalty) may result in loss of the Trusts principal investment to the extent
of premium paid.
The general effects of inflation on the U.S. economy can be wide ranging,
as evidenced by rising interest rates, wages, and costs of consumer goods and necessities. The long-term effects of inflation on the general
economy and on any individual mortgagor are unclear, and in certain cases, rising inflation may affect a mortgagors ability to repay
its related mortgage loan, thereby reducing the amount received by the holders of MBS with respect to such mortgage loan. Additionally,
increased rates of inflation, as recently experienced, may negatively affect the value of certain MBS in the secondary market. In addition,
during periods of declining economic conditions, losses on mortgages underlying MBS generally increase. Mortgage-backed securities generally
are classified as either CMBS or RMBS, each of which are subject to certain specific risks. CMBS and RMBS are also subject to risks similar
to those associated with investing in real estate, such as the possible decline in the value of (or income generated by) the real estate,
variations in rental income, fluctuations in occupancy levels and demand for properties or real estate-related services, changes in interest
rates and changes in the availability or terms of mortgages and other financing that may render the sale or refinancing of properties
difficult or unattractive.
In addition, MBS, such as commercial and residential MBS, are subject
to the risks of asset-backed securities generally and are particularly sensitive to changes in interest rates and developments in the
commercial or residential real estate markets. For example, changing interest rates tend to adjust the duration of fixed-rate mortgage-backed
securities. As a result, a changing interest rate environment can cause the prices of mortgage-backed securities to be
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increasingly volatile and increase the risk that payments on principal
may occur more quickly (or earlier) or slower (or later) than expected, each of which may adversely affect the Trusts holdings of
mortgage-backed securities. For example, a rising interest rate environment will cause the average life of these securities to extend,
which may lock in a below-market interest rate, increase the securitys duration and increase sensitivity to further interest rate
changes. This may negatively affect the Trusts returns because the value of the security decreases when principal payments are made
later than expected. In addition, because principal payments are made later than expected, the Trust may be prevented from investing proceeds
it would otherwise have received at a given time at the higher prevailing interest rates. Rising interest rates generally result in a
decline in the value of mortgage-backed securities, such as MBS. In addition, in general, a decline of housing values and other economic
developments (such as a rise in unemployment rates or a slowdown in the overall economy) may cause delinquencies or non-payment in mortgages
(particularly sub-prime and non-prime mortgages) underlying MBS, which would likely adversely impact the ability of the issuer to make
principal and/or interest payments timely or at all to holders of MBS and negatively affect the Trusts investments in such MBS.
Commercial Mortgage-Backed Securities Risk
CMBS are collateralized by one or more commercial mortgage loans.
Banks and other lending institutions typically group the loans into pools and interests in these pools are then sold to investors, allowing
the lender to have more money available to loan to other commercial real estate owners. Commercial mortgage loans may be secured by office properties, retail properties, hotels, mixed use properties or multi-family apartment buildings. The value of, and income generated
by, investments in CMBS are subject to the risks of asset-backed securities generally and the commercial real estate markets and the real
estate securing the underlying mortgage.
CMBS are subject to particular risks, such as those associated with
lack of standardized terms, shorter maturities than residential mortgage loans and payment of all or substantially all of the principal
only at maturity rather than regular amortization of principal. In addition, commercial lending generally is viewed as exposing the lender
to a greater risk of loss than residential lending. Commercial lending typically involves larger loans to single borrowers or groups of
related borrowers than residential mortgage loans. In addition, the repayment of loans secured by income producing properties typically
is dependent upon the successful operation of the related real estate project and the cash flow generated therefrom. Net operating income
of an income-producing property can be affected by, among other things: tenant mix, success of tenant businesses, property management decisions,
property location and condition, competition from comparable types of properties, changes in laws that increase operating expense or limit
rents that may be charged, any need to address environmental contamination at the property, the occurrence of any uninsured casualty at
the property, changes in national, regional or local economic conditions and/or specific industry segments, declines in regional or local
or other real estate values, declines in regional or local rental or occupancy rates, increases in interest rates, real estate tax rates
and other operating expenses, change in governmental rules, regulations and fiscal policies, including environmental legislation, acts
of God, terrorism, social unrest and civil disturbances.
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Consequently, adverse changes in economic conditions and circumstances
are more likely to have an adverse impact on MBS secured by loans on commercial properties than on those secured by loans on residential
properties. Economic downturns, rises in unemployment, tightening lending standards and increased interest and lending rates, developments
adverse to the commercial real estate markets, and other developments that limit or reduce demand for commercial retail and office spaces
(including continued or expanded remote working arrangement) as well as increased maintenance or tenant improvement costs and costs to
convert properties for other uses adversely impact these investments. For example, economic decline in the businesses operated by the
tenants of office or retail properties may increase the likelihood that the tenants may be unable to pay their rent or that properties may
be unable to attract or retain tenants at all or on favorable terms for the commercial real estate owners, resulting in vacancies (potentially
for extended periods) and losses. These developments could also result from, among other things, population shifts and other demographic
changes, changing tastes and preferences as well as cultural, technological, working or economic and market developments. In addition,
changing interest rate environments and associated changes in lending standards and higher refinancing rates may adversely affect the commercial
real estate and CMBS markets. Moreover, other types of events, domestic or international, may affect general economic conditions and financial
markets, such as pandemics, armed conflicts, energy supply or price disruptions, natural disasters and man-made disasters, which may have
a significant effect on the underlying commercial mortgage loans and real estate. In addition, adverse developments in the local, regional
and national economies affect consumer spending and can have a significant effect on the success of a retail space. Further, increased competition
in the market of a retail property through the addition of competing properties nearby can adversely impact the success of a retail property,
even if the local, regional and national economies are doing well. Retail properties are also subject to conditions that could negatively
affect the retail sector, such as increased unemployment, increased federal income and payroll taxes, increased health care costs, increased
state and local taxes, increased real estate taxes, industry slowdowns, lack of availability of consumer credit, weak income growth, increased
levels of consumer debt, poor housing market conditions, adverse weather conditions, natural disasters, plant closings, and other factors.
Similarly, local real estate conditions, such as an oversupply of, or a reduction in demand for, retail space or retail goods, and the
supply and creditworthiness of current and prospective tenants may negatively impact those retail properties. The occurrence of any of
the foregoing or similar developments would likely increase the risks associated with these investments, such as the default risk for
the properties and loans underlying the CMBS investments, and adversely impact the value of, and income generated by, these investments
and the underlying properties or loans. These developments could also result in reduced liquidity for CMBS. CMBS are also subject to the
risk that the value of, and income generated by, such securities will decline because, among other things, the securities are not issued
or guaranteed as to principal or interest by the U.S. government or a government sponsored enterprise and, thus, would be subject to similar
risks as non-agency MBS. CMBS often are issued in the form of several different tranches. Depending on their respective seniority, individual
tranches are subject to increased (and sometimes different) credit, prepayment and liquidity and valuation risks as compared to other tranches.
CMBS are often subject to credit, default, prepayment and liquidity and valuation risks and may experience greater price volatility than
other types of asset-backed securities or MBS.
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Additional risks may be presented by the type and use of a particular
commercial property. Special risks are presented by hospitals, nursing homes, hospitality properties and certain other property types.
Commercial property values and net operating income are subject to volatility, which may result in net operating income becoming insufficient to cover debt service on the related mortgage loan. The exercise of remedies and successful realization of liquidation proceeds
relating to CMBS may be highly dependent on the performance of the servicer or special servicer. There may be a limited number of special
servicers available, particularly those that do not have conflicts of interest.
Residential Mortgage-Backed Securities Risk
Home mortgage loans are typically grouped together into pools by banks
and other lending institutions, and interests in these pools are then sold to investors, allowing the bank or other lending institution
to have more money available to loan to home buyers. RMBS are particularly subject to the credit risk of the borrower. Credit-related
risk on RMBS primarily arises from losses due to delinquencies and defaults by the borrowers in payments on the underlying mortgage loans
and breaches by originators and servicers of their obligations under the underlying documentation pursuant to which the RMBS are issued.
RMBS are also subject to the risks of MBS generally and the residential real estate markets. The rate of delinquencies and defaults on
residential mortgage loans and the aggregate amount of the resulting losses will be affected by a number of factors, including general
economic conditions, particularly those in the area where the related mortgaged property is located, the level of the borrowers
equity in the mortgaged property and the individual financial circumstances of the borrower. The risk of non-payment is greater for RMBS
that are backed by loans that were originated under weak underwriting standards, including loans made to borrowers with limited means
to make repayment. RMBS are also subject to risks associated with the actions of mortgage lenders in the marketplace. Such lenders may
adjust their loan programs and underwriting standards, which may reduce the availability of mortgage credit to prospective mortgagors.
This may result in limited financing alternatives for mortgagors seeking to refinance their existing loans, which may in turn result in
higher rates of delinquencies, defaults and losses on mortgages.
If a residential mortgage loan is in default, foreclosure on the related
residential property may be a lengthy and difficult process involving significant legal and other expenses. The net proceeds obtained by
the holder on a residential mortgage loan following the foreclosure on the related property may be less than the total amount that remains
due on the loan. The prospect of incurring a loss upon the foreclosure of the related property may lead the holder of the residential
mortgage loan to restructure the residential mortgage loan or otherwise delay the foreclosure process.
Income from and values of RMBS also may be greatly affected by demographic
trends, such as population shifts or changing tastes and values, or increasing vacancies or declining rents or property values resulting
from legal, cultural, technological, global or local economic developments, as well as reduced demand for properties.
Sub-Prime Mortgage Market Risk
Loans made to lower quality borrowers, including those of sub-prime
quality, may be underlying assets for an ABS. Loans to such borrowers involve a higher degree of credit and default risk.
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As a result, values of ABS backed by lower quality loans are more
likely than others to suffer significant declines due to defaults, delays or the perceived risk of defaults or delays.
The residential mortgage market in the United States has at times
experienced difficulties that may adversely affect the performance and market value of certain mortgages and MBS. Delinquencies and losses
on residential mortgage loans (especially sub-prime and second-lien mortgage loans) generally have increased at times and may again increase,
and a decline in or flattening of housing values (as has been experienced at times and may again be experienced in many housing markets)
may exacerbate such delinquencies and losses. Borrowers with adjustable rate mortgage loans are more sensitive to changes in interest
rates, which affect their monthly mortgage payments, and may be unable to secure replacement mortgages at comparably low interest rates.
Also, a number of residential mortgage loan originators have at times experienced serious financial difficulties or bankruptcy. Largely
due to the foregoing, reduced investor demand for mortgage loans and MBS and increased investor yield requirements has at times caused
limited liquidity in the secondary market for certain MBS, which can adversely affect the market value of MBS. It is possible that such
limited liquidity in such secondary markets could occur again or worsen. If the economy of the United States deteriorates, the incidence
of mortgage foreclosures, especially sub-prime mortgages, may increase, which may adversely affect the value of any MBS owned by the Trust.
Any increase in prevailing market interest rates may result in increased
payments for borrowers who have adjustable rate mortgages. Moreover, with respect to hybrid mortgage loans after their initial fixed rate
period, interest-only products or products having a lower rate, and with respect to mortgage loans with a negative amortization feature
which reach their negative amortization cap, borrowers may experience a substantial increase in their monthly payment even without an
increase in prevailing market interest rates. Increases in payments for borrowers may result in increased rates of delinquencies and defaults
on residential mortgage loans underlying the RMBS.
The significance of the mortgage crisis and loan defaults in residential
mortgage loan sectors led to the enactment of numerous pieces of legislation relating to the mortgage and housing markets. These actions,
along with future legislation or regulation, may have significant impacts on the mortgage market generally and may result in a reduction
of available transactional opportunities for the Trust or an increase in the cost associated with such transactions and may adversely
impact the value of RMBS.
During the mortgage crisis, a number of originators and servicers
of residential and commercial mortgage loans, including some of the largest originators and servicers in the residential and commercial
mortgage loan market, experienced serious financial difficulties. These or similar difficulties may occur in the future and affect the performance
of RMBS and CMBS, particularly non-agency RMBS and CMBS. There can be no assurance that originators and servicers of mortgage loans will
not continue to experience serious financial difficulties or experience such difficulties in the future, including becoming subject to bankruptcy
or insolvency proceedings, or that underwriting procedures and policies and protections against fraud will be sufficient in the future to
prevent such financial difficulties or significant levels of default or delinquency on mortgage loans.
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CLO, CDO and CBO Risk
The Trust may invest in CDOs, CBOs and CLOs. A CDO is an ABS whose
underlying collateral is typically a portfolio of other structured finance debt securities or synthetic instruments issued by another
ABS vehicle. A CBO is an ABS whose underlying collateral is a portfolio of bonds. A CLO is an ABS whose underlying collateral is a portfolio
of bank loans.
In addition to the general risks (such as interest rate risk, prepayment
risk, extension risk, market risk, credit risk and liquidity and valuation risk) associated with credit or debt securities discussed herein
and the risks discussed under Structured Finance Investments Risk and Asset-Backed Securities Risk, CLOs, CDOs
and CBOs are subject to additional risks due to their complex structure and highly leveraged nature. Additionally, the Trusts investment
in CLOs, CDOs and CBOs will provide it with indirect exposure to the underlying collateral; this indirect investment structure presents
certain risks to the Trust. For example, the Trusts interest in CLO securities may be less liquid than the loans held by the CLO;
thus, it may be more difficult for the Trust to dispose of CLO securities than it would be for the Trust to dispose of loans if it held
such loans directly. Additionally, CLOs, CDOs and CBOs normally charge management fees and administrative expenses, which fees and expenses
would be borne by the Trust.
CLOs, CDOs and CBOs are subject to risks associated with the involvement
of multiple transaction parties related to the underlying collateral and disruptions that may occur as a result of the restructuring or
insolvency of the underlying obligors, which are generally corporate obligors. Unlike a consumer obligor that is generally obligated to
make payments on the collateral backing an ABS, the obligor on the collateral backing a CLO, a CDO or a CBO may have more effective defenses
or resources to cause a delay in payment or restructure the underlying obligation. If an obligor is permitted to restructure its obligations,
distributions from collateral securities may not be adequate to make interest or other payments.
The performance of CLOs, CDOs and CBOs depends primarily upon the
quality of the underlying assets and the level of credit support or enhancement in the structure and the relative priority of the interest
in the issuer of the CLO, CDO or CBO purchased by the Trust. In general, CLOs, CDOs and CBOs are actively managed by an asset manager
that is responsible for evaluating and acquiring the assets that will collateralize the CLO, CDO or CBO. The asset manager may have difficulty in identifying assets that satisfy the eligibility criteria for the assets and may be restricted from trading the collateral. These
criteria, restrictions and requirements, while reducing the overall risk to the Trust, may limit the ability of GPIM to maximize returns
on the CLOs, CDOs and CBOs if an opportunity is identified by the collateral manager. In addition, other parties involved in CLOs, CDOs
and CBOs, such as credit enhancement providers and investors in senior obligations of the CLO, CDO or CBO may have the right to control
the activities and discretion of GPIM in a manner that is adverse to the interests of the Trust. A CLO, CDO or CBO generally includes
provisions that alter the priority of payments if performance metrics related to the underlying collateral, such as interest coverage
and minimum overcollateralization, are not met. These provisions may cause delays in payments on the securities or an increase in prepayments
depending on the relative priority of the securities owned by the Trust. CLOs, CDOs and CBOs issue classes or tranches that
vary in risk and yield. The failure of a CLO, CDO or CBO to make timely payments on a particular tranche may have an adverse effect on
the liquidity and market value of such tranche. Senior tranches are also subject to the risk that junior tranches may disappear, eliminating
the protection such junior tranches normally provide more senior tranches.
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Payments to holders of CLOs, CDOs and CBOs may be subject to deferral.
If cashflows generated by the underlying assets are insufficient to make all current and, if applicable, deferred payments on the CLOs,
CDOs and CBOs, no other assets will be available for payment of the deficiency and, following realization of the underlying assets, the
obligations of the issuer to pay such deficiency will be extinguished.
Securities issued by CLOs, CDOs and CBOs may experience substantial
losses due to defaults or sales of underlying assets at a loss (due to a decline in market value of such assets or otherwise). The value
of securities issued by CLOs, CDOs and CBOs also may decrease because of, among other developments, changes in market value; changes in
the markets perception of the creditworthiness of the servicer of the assets, the originator of an asset in the pool, or the financial
institution or fund providing credit support or enhancement; loan performance and prices; broader market sentiment, including expectations
regarding future loan defaults, liquidity conditions and supply and demand for structured products.
The Trust may invest senior, rated tranches as well as mezzanine and
subordinate tranches of CLOs. As a result, the CLOs in which the Trust invests may have issued and sold debt tranches that will rank senior
to the tranches in which the Trust invests. By their terms, such more senior tranches may entitle the holders to receive payment of interest
or principal on or before the dates on which the Trust is entitled to receive payments with respect to the tranches in which the Trust
invests. Also, in the event of insolvency, liquidation, dissolution, reorganization or bankruptcy of a CLO, holders of more senior tranches
would typically be entitled to receive payment in full before the Trust receives any distribution. After repaying such senior creditors,
such CLO may not have any remaining assets to use for repaying its obligation to the Trust. In the case of tranches ranking equally with
the tranches in which the Trust invests, the Trust would have to share on an equal basis any distributions with other creditors holding
such securities in the event of an insolvency, liquidation, dissolution, reorganization or bankruptcy of the relevant CLO. Therefore,
the Trust may not receive back the full amount of its investment in a CLO.
Investments in CLOs, CDOs and CBOs will expose the Trust to financial
leverage and, thus expose the Trust to the risks associated with financial leverage (such as higher risk of volatility and magnified financial
losses). CLOs, CDOs and CBOs are generally privately offered and sold and are not registered under securities laws and may be illiquid.
Further, the complex nature of CLOs, CDOs and CBOs may lead to disputes with the issuer or other investors and/or unexpected investment
results. CLOs, CDOs and CBOs are also subject to the risk that distributions from the underlying collateral may be inadequate to make
interest or other payments and that the underlying collateral may default or decline in value or quality and may be subject to risks associated
with investments in high yield, below investment grade and unrated securities. The risks associated with these investments depend in part
on the types of collateral underlying the CLO, CDO or CBO and the class or tranche in which the Trust invests, with certain classes or
tranches being subject to heightened risks.
CLO Subordinated Notes Risk
The Trust may invest in any portion of the capital structure of CLOs
(including the subordinated, residual and deep mezzanine debt tranches). The most senior tranches have the lowest yield but the lowest
level of risk relative to other tranches, as they are senior in priority to the more junior tranches
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with respect to payments made by the CLO. Conversely, the most subordinated
tranches have the highest potential yield relative to other tranches but also the highest level of risk relative to the other tranches,
as they are the lowest in the priority of payments. Thus, losses on underlying assets are borne first by the holders of the most subordinate
tranche, followed by the second-most subordinated tranche, and so forth. A CLO may experience substantial losses attributable to loan
defaults or sales of underlying assets at a loss (due to a decline in market value of such assets or otherwise). The Trusts investment
in a CLO may decrease in market value because of, among other developments, (i) loan defaults or credit impairment; (ii) losses that exceed
the subordinate tranches; (iii) an event of default occurring under a CLO, which could lead to acceleration and/or liquidation of the
assets at a loss; (iv) market anticipation of defaults; (v) investor aversion to CLO securities as a class; and (vi) poor performance
of the CLOs manager. These risks may be magnified depending on the tranche of CLO securities in which the Trust invests. For example,
investments in a junior tranche of CLO securities will likely be more sensitive to loan defaults or credit impairment than investments
in more senior tranches. Senior tranches are also subject to the risk that junior tranches may disappear, eliminating the protection such
junior tranches normally provide more senior tranches. In addition, the subordinated tranche does not receive ratings and is subject to
certain payment restrictions. As a result, the subordinated tranche bears the bulk of defaults from the loans in the CLO. In addition,
the subordinated tranche generally has only limited voting rights and generally does not benefit from any creditors rights or ability
to exercise remedies under the indenture governing the CLO notes. Certain mezzanine tranches in which the Trust may invest may also be
subject to certain risks similar to risks associated with investment in the subordinated tranche.
The subordinated tranche is unsecured and ranks behind all of the
secured creditors, known or unknown, of the CLO issuer, including the holders of the secured notes it has issued. Consequently, to the
extent that the value of the issuers portfolio of loan investments has been reduced as a result of conditions in the credit markets,
defaulted loans, capital gains and losses on the underlying assets, prepayment or changes in interest rates, the value of the subordinated
tranche realized at redemption could be reduced. If a CLO breaches certain tests set forth in the CLOs indenture, excess cash flow
that would otherwise be available for distribution to the subordinated tranche investors is diverted to prepay CLO debt investors in order
of seniority until such time as the covenant breach is cured. If the covenant breach is not or cannot be cured, the subordinated tranche
investors (and potentially other investors in lower priority rated tranches) may experience a partial or total loss of their investment.
Accordingly, the subordinated tranche may not be paid in full and may be more vulnerable to loss, including up to 100% loss. At the time
of issuance, the subordinated tranche of a CLO is typically under-collateralized in that the liabilities of a CLO at inception exceed
its total assets.
The leveraged nature of subordinated notes may magnify the adverse
impact on the subordinated notes of changes in the market value of the investments held by the issuer, changes in the distributions on
those investments, defaults and recoveries on those investments, capital gains and losses on those investments, prepayments on those investments
and availability, prices and interest rates of those investments.
Subordinated notes are not guaranteed by another party. There can
be no assurance that distributions on the assets held by the CLO will be sufficient to make any distributions or that the yield on the subordinated
notes will meet the Trusts expectations. Investments in the subordinated
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tranche of a CLO are generally less liquid than CLO debt tranches
and subject to extensive transfer restrictions, and there may be no market for subordinated notes. Therefore, the Trust may be required
to hold subordinated notes for an indefinite period of time or until their stated maturity. Certain mezzanine tranches in which the Trust
may invest may also be subject to certain risks similar to risks associated with investment in the subordinated tranche.
Risks Associated with Risk-Linked Securities
RLS are a form of derivative issued by insurance companies and insurance-related
special purpose vehicles that apply securitization techniques to catastrophic property and casualty damages. Unlike other insurable low-severity,
high-probability events (such as auto collision coverage), the insurance risk of which can be diversified by writing large numbers of
similar policies, the holders of a typical RLS are exposed to the risks from high-severity, low-probability events such as that posed
by major earthquakes or hurricanes. RLS represent a method of reinsurance, by which insurance companies transfer their own portfolio risk
to other reinsurance companies and, in the case of RLS, to the capital markets. A typical RLS provides for income and return of capital
similar to other fixed-income investments, but involves full or partial default (or loss) if losses resulting from a certain catastrophe
exceeded a predetermined amount. In essence, investors invest funds in RLS and if a catastrophe occurs that triggers the RLS,
investors may lose some or all of the capital invested. In the case of an event, the funds are paid to the bond sponsoran insurer,
reinsurer or corporationto cover losses. In return, the bond sponsors pay interest to investors for this catastrophe protection.
RLS can be structured to pay-off on three types of variablesinsurance-industry catastrophe loss indices, insure-specific catastrophe
losses and parametric indices based on the physical characteristics of catastrophic events. Such variables are difficult to predict or model,
and the risk and potential return profiles of RLS may be difficult to assess. No active trading market may exist for certain RLS, which
may impair the ability of the Trust to realize full value in the event of the need to liquidate such assets.
Risks Associated with Structured Notes
Investments in structured notes involve risks associated with the
issuer of the note and the reference instrument. Where the Trusts investments in structured notes are based upon the movement of
one or more factors, including currency exchange rates, interest rates, referenced bonds and stock indices, depending on the factor used
and the use of multipliers or deflators, changes in interest rates and movement of the factor may cause significant price fluctuations.
Additionally, changes in the reference instrument or security may cause the interest rate on the structured note to be reduced to zero,
and any further changes in the reference instrument may then reduce the principal amount payable on maturity. Structured notes may be
less liquid than other types of securities and more volatile than the reference instrument or security underlying the note.
Senior Loans Risk
The Trust may invest in senior secured floating rate loans made to
corporations and other nongovernmental entities and issuers (Senior Loans). Senior Loans typically hold the most senior position
in the capital structure of the issuing entity, are typically secured with specific collateral and typically have a claim on the assets
of the borrower, including stock owned by the borrower in its subsidiaries, that is senior to that held by junior lien creditors, subordinated
debt holders and stockholders of the borrower. The Trusts investments in Senior Loans are typically below investment grade and are
considered speculative because of the credit risk of the applicable issuer.
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There is less readily-available, reliable information about most Senior
Loans than is the case for many other types of securities. In addition, there is rarely a minimum rating or other independent evaluation
of a borrower or its securities, and GPIM relies primarily on its own evaluation of a borrowers credit quality rather than on any
available independent sources. As a result, the Trust is particularly dependent on the analytical abilities of GPIM with respect to investments
in Senior Loans. GPIMs judgment about the credit quality of a borrower may be wrong.
The risks associated with Senior Loans of below investment grade quality
are similar to the risks of other lower grade Income Securities, although Senior Loans are typically senior in payment priority and secured
on a senior priority basis, in contrast to subordinated and unsecured Income Securities. Senior Loans higher priority has historically
resulted in generally higher recoveries in the event of a corporate reorganization. In addition, because their interest payments are typically
adjusted for changes in short-term interest rates, investments in Senior Loans generally have less interest rate risk than certain other
lower grade Income Securities, which may have fixed interest rates.
The Trusts investments in Senior Loans are typically
below-investment grade and are considered speculative because of the credit risk of their issuers. Such companies are more likely to
default on their payments of interest and principal owed to the Trust, and such defaults could reduce the Trusts NAV and
income distributions. Further, transactions in Senior Loans typically settle on a delayed basis and may take longer than seven days
to settle. As a result, the Trust may receive the proceeds from a sale of a Senior Loan on a delayed basis which may affect the
Trusts ability to repay debt, to pay dividends, to pay expenses, or to take advantage of new investment opportunities. An
economic downturn generally leads to a higher non-payment rate, and a Senior Loan may lose significant value before a default
occurs. Moreover, any specific collateral used to secure a Senior Loan may decline in value or become illiquid, which would
adversely affect the Senior Loans value.
Economic and other events (whether real or perceived) can reduce the
demand for certain Senior Loans or Senior Loans generally, which may reduce market prices of the Senior Loans and cause the Trusts
NAV per share to fall or otherwise adversely impact the Trusts investments in Senior Loans. The frequency and magnitude of such
changes cannot be predicted.
Loans and other debt instruments are also subject to the risk of price
declines due to increases in prevailing interest rates, although floating-rate debt instruments are substantially less exposed to this
risk than fixed-rate debt instruments. Interest rate changes may also increase prepayments of debt obligations and require the Trust to
invest assets at lower yields. During periods of deteriorating economic conditions, such as recessions or periods of rising unemployment,
or changing interest rates (notably increases), delinquencies and losses generally increase, sometimes dramatically, with respect to obligations
under such loans. An economic downturn or individual corporate developments could adversely affect the market for these instruments and
reduce the Trusts ability to sell these instruments at an advantageous time or price. An economic downturn would generally lead
to a higher non-payment rate and, a Senior Loan may lose significant market value before a default occurs.
No active trading market may exist for certain Senior Loans, which
may impair the ability of the Trust to realize full value in the event of the need to liquidate such assets and normally make it more
difficult to value Senior Loans (particularly those that are illiquid). Adverse market conditions may impair the liquidity of some actively
traded Senior Loans, meaning that the Trust may not be able to sell them quickly at a desirable price. To the extent that a secondary
market does exist for certain
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Senior Loans, the market may be subject to irregular trading activity,
wide bid/ask spreads and extended trade settlement periods.
Although the Senior Loans in which the Trust will invest generally
will be secured by specific collateral, there can be no assurance that liquidation of such collateral would satisfy the borrowers
obligation in the event of non-payment of scheduled interest or principal or that such collateral could be readily liquidated. In the
event of the bankruptcy of a borrower, the Trust could experience delays or limitations with respect to its ability to realize the benefits
of the collateral securing a Senior Loan. If the terms of a Senior Loan do not require the borrower to pledge additional collateral in
the event of a decline in the value of the already pledged collateral, the Trust will be exposed to the risk that the value of the collateral
will not at all times equal or exceed the amount of the borrowers obligations under the Senior Loans. To the extent that a Senior
Loan is collateralized by stock in the borrower or its subsidiaries, such stock may lose all of its value in the event of the bankruptcy
of the borrower. Such Senior Loans involve a greater risk of loss or illiquidity. Some Senior Loans are subject to the risk that a court,
pursuant to fraudulent conveyance or other similar laws, could subordinate or otherwise adversely affect the priority of the Senior Loans
to presently existing or future indebtedness of the borrower or could take other action detrimental to lenders, including the Trust. Such
court action could under certain circumstances include invalidation of Senior Loans.
Senior Loans are subject to legislative risk. If legislation or state
or federal regulations impose additional requirements or restrictions on the ability of financial institutions to make loans, the availability
of Senior Loans for investment by the Trust may be adversely affected. In addition, such requirements or restrictions could reduce or eliminate
sources of financing for certain borrowers. This could increase the risk of default. If legislation or federal or state regulations require
financial institutions to increase their capital requirements in order to make or hold certain debt investments, this may cause financial
institutions to dispose of Senior Loans that are considered highly levered transactions. Such sales could result in prices that, in the
opinion of the Adviser, do not represent fair value. If the Trust attempts to sell a Senior Loan at a time when a financial institution
is engaging in such a sale, the price the Trust could receive for the Senior Loan may be adversely affected.
The Trusts investments in Senior Loans may be subject to lender
liability risk. Lender liability refers to a variety of legal theories generally founded on the premise that a lender has violated a duty
of good faith, commercial reasonableness and fair dealing or a similar duty owed to the borrower or has assumed an excessive degree of
control over the borrower resulting in the creation of a fiduciary duty owed to the borrower or its other creditors or shareholders. Because
of the nature of its investments, the Trust may be subject to allegations of lender liability. In addition, under common law principles
that in some cases form the basis for lender liability claims, a court may elect to subordinate the claim of an offending lender or bondholder
(or group of offending lenders or bondholders) to the claims of a disadvantaged creditor (or group of creditors).
Economic exposure to Senior Loans through the use of derivatives transactions
may involve greater risks than if the Trust had invested in the Senior Loan interest directly during a primary distribution or through
assignments or participations in a loan acquired in secondary markets since, in addition to the risks described above, derivatives transactions
to gain exposure to Senior Loans may be subject to leverage risk and greater illiquidity risk, counterparty risk, valuation risk and other
risks associated with derivatives discussed herein.
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Second Lien Loans Risk
The Trust may invest in second lien secured floating rate
loans made by public and private corporations and other non-governmental entities and issuers for a variety of purposes (Second
Lien Loans). Second Lien Loans are typically second in right of payment and/or second in right of priority with respect to collateral
remedies to one or more Senior Loans of the related borrower. Second Lien Loans are subject to the same risks associated with investment
in Senior Loans and other lower grade Income Securities. However, Second Lien Loans are second in right of payment and/or second in right
of priority with respect to collateral remedies to Senior Loans and therefore are subject to the additional risk that the cash flow of
the borrower and/or the value of any property securing the loan may be insufficient to meet scheduled payments or otherwise be available
to repay the loan after giving effect to payments in respect of a Senior Loan, including payments made with the proceeds of any property
securing the loan and any senior secured obligations of the borrower. Second Lien Loans are expected to have greater price volatility
and exposure to losses upon default than Senior Loans and may be less liquid. There is also a possibility that originators will not be
able to sell participations in Second Lien Loans, which would create greater credit risk exposure.
Subordinated Secured Loans Risk
Subordinated secured loans generally are subject to similar risks
as those associated with investment in Senior Loans, Second Lien Loans and below investment grade securities. However, such loans may
rank lower in right of payment than any outstanding Senior Loans, Second Lien Loans or other debt instruments with higher priority of
the borrower and therefore are subject to additional risk that the cash flow of the borrower and any property securing the loan may be
insufficient to meet scheduled payments and repayment of principal in the event of default or bankruptcy after giving effect to the higher
ranking secured obligations of the borrower. Subordinated secured loans are expected to have greater price volatility than Senior Loans
and Second Lien Loans and may be less liquid.
Unsecured Loans Risk
Unsecured loans generally are subject to similar risks as those associated
with investment in Senior Loans, Second Lien Loans, subordinated secured loans and below investment grade securities. However, because
unsecured loans have lower priority in right of payment to any higher ranking obligations of the borrower and are not backed by a security
interest in any specific collateral, they are subject to additional risk that the cash flow of the borrower and available assets may be
insufficient to meet scheduled payments and repayment of principal after giving effect to any higher ranking obligations of the borrower.
Unsecured loans are expected to have greater price volatility than Senior Loans, Second Lien Loans and subordinated secured loans and
may be less liquid.
Loans and Loan Participations and Assignments Risk
The Trust may invest in loans directly or through participations or
assignments. The Trust may purchase loans on a direct assignment basis from a participant in the original syndicate of lenders or from
subsequent assignees of such interests. The Trust may also purchase, without limitation, participations in loans. The purchaser of an
assignment typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement
with respect to the debt obligation; however, the purchasers rights can be more restricted than those of the assigning institution,
and, in any event, the Trust may not be able to unilaterally enforce all rights and remedies under the loan and with regard to any associated
collateral. The Trusts
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interest in a particular loan and/or in particular collateral securing
a loan may be subordinate to the interests of other creditors of the obligor, which leads to the risk of subordination to other creditors.
A participation typically results in a contractual relationship only with the institution participating out the interest, not with the
borrower. In purchasing participations, the Trust generally will have no right to enforce compliance by the borrower with the terms of
the loan agreement against the borrower, and the Trust may not directly benefit from the collateral supporting the debt obligation in
which it has purchased the participation. As a result, the Trust will be exposed to the credit risk of both the borrower and the institution
selling the participation. Further, in purchasing participations in lending syndicates, the Trust may not be able to conduct the same
due diligence on the borrower with respect to a Senior Loan that the Trust would otherwise conduct. In addition, as a holder of the participations,
the Trust may not have voting rights or inspection rights that the Trust would otherwise have if it were investing directly in the Senior
Loan, which may result in the Trust being exposed to greater credit or fraud risk with respect to the borrower or the Senior Loan. Lenders
selling a participation and other persons inter-positioned between the lender and the Trust with respect to a participation will likely
conduct their principal business activities in the banking, finance and financial services industries. Because the Trust may invest in
participations, the Trust may be more susceptible to economic, political or regulatory occurrences affecting such industries.
Should a loan in which the Trust is invested be foreclosed on, the
Trust may become owner of the collateral and will be responsible for any costs and liabilities associated with owning the collateral.
If the collateral includes a pledge of equity interests in the borrower by its owners, the Trust may become the owner of equity in the
borrower and may be responsible for the borrowers business operations and/or assets. The applicability of the securities laws is
subject to court interpretation of the nature of the loan and its characterization as a security. Accordingly, the Trust cannot be certain
of any protections it may be afforded under the securities or other laws against fraud or misrepresentation.
Loans are especially vulnerable to the financial health, or perceived
financial health, of the borrower but are also particularly susceptible to economic and market sentiment such that changes in these conditions
or the occurrence of other economic or market events may reduce the demand for loans, increase the risks associated with such investments
and cause their value to decline rapidly and unpredictably. Many loans and loan interests are subject to legal or contractual restrictions
on transfer, resale or assignment that may limit the ability of the Trust to sell its interest in a loan at an advantageous time or price.
The resale, or secondary, market for loans is currently growing, but may become more limited or more difficult to access, and such changes
may be sudden and unpredictable. Transactions in loans are often subject to long settlement periods (in excess of the standard T+1 days
settlement cycle for most securities and often longer than seven days). As a result, sale proceeds potentially will not be available to
the Trust to make additional investments or to use proceeds to meet its current obligations. The Trust thus is subject to the risk of
selling other investments at disadvantageous times or prices or taking other actions necessary to raise cash to meet its obligations such
as borrowing from a bank or holding additional cash, particularly during periods of unusual market or economic conditions or financial
stress. Investments in loans can also be difficult to value accurately because of, among other factors, limited public information regarding
the loan or the borrowers. Risks associated with investments in loans are increased if the loans are secured by a single asset. Loans
may offer a fixed rate or floating rate of interest. Loans may decline in value if their interest rates do not rise as much or as fast
as interest rates in general. For example,
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the interest rates on floating rate loans typically adjust only periodically
and therefore the interest rate payable under such loans may significantly trail market interest rates.
The Trust invests in or is exposed to loans and other similar debt
obligations that are sometimes referred to as covenant-lite loans or obligations (covenant-lite obligations),
which are loans or other similar debt obligations that lack financial maintenance covenants or possess fewer or contingent financial maintenance
covenants and other financial protections for lenders and investors. Exposure may also be obtained to covenant-lite obligations through
investment in securitization vehicles and other structured products. Many new, restructured or reissued loans and similar debt obligations
may not feature traditional financial maintenance covenants, which are intended to protect lenders and investors by imposing certain restrictions
and other limitations on a borrowers operations or assets by providing certain information and consent rights to lenders. Covenant-lite
obligations may carry more risk than traditional loans as they allow borrowers to engage in activities that would otherwise be difficult
or impossible under an agreement that is not covenant-lite. The Trust may have fewer rights with respect to covenant-lite obligations,
including fewer protections against the possibility of default and fewer remedies in the event of default as the lender may not have the
opportunity to negotiate with the borrower prior to default. As a result, investments in (or exposure to) covenant-lite obligations are
subject to more risk than investments in (or exposure to) certain other types of obligations. In the event of default, covenant-lite obligations
may exhibit diminished recovery values as the lender may not have the opportunity to negotiate with the borrower prior to default. The
Trust may have a greater risk of loss on investments in covenant-lite obligations as compared to investments (or exposure to) in traditional
loans. In addition, the Trust may receive less or less frequent financial reporting from a borrower under a covenant-lite obligation,
which may result in more limited access to financial information, difficulty evaluating the borrowers financial performance over time
and delays in exercising rights and remedies in the event of a significant financial decline. As a result, investments in or exposure
to covenant-lite obligations are generally subject to more risk thank investments that contain traditional financial maintenance covenants
and financial reporting requirements.
In certain circumstances, the Adviser or its affiliates (including on
behalf of clients other than the Trust) or the Trust may be in possession of material non-public information about a borrower as a result
of its ownership of a loan and/or corporate debt security of a borrower. Because U.S. laws and regulations generally prohibit trading
in securities of issuers while in possession of material, non¬public information, the Trust might be unable (potentially for a substantial
period of time) to trade securities or other instruments issued by the borrower when it would otherwise be advantageous to do so and,
as such, could incur a loss. In circumstances when the Adviser, GPIM or the Trust determines to avoid or to not receive non-public information
about a borrower for loan investments being considered for acquisition by the Trust or held by the Trust, the Trust may be disadvantaged
relative to other investors that do receive such information, and the Trust may not be able to take advantage of other investment opportunities
that it may otherwise have. The Adviser or its affiliates may participate in the primary and secondary market for loans or other transactions
with possible borrowers. As a result, the Trust may be legally restricted from acquiring some loans and from participating in a restructuring
of a loan or other similar instrument. Further, if the Trust, in combination with other accounts managed by the Adviser or its affiliates,
acquires a large portion of a loan, the Trusts valuation of its interests in the loan and the Trusts ability to dispose of
the loan at favorable times or prices may be adversely affected.
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The Trust is subject to other risks associated with investments in
(or exposure to) loans and other similar obligations, including that such loans or obligations may not be considered securities
under federal securities laws and, as a result, the Trust may not be entitled to rely on the anti-fraud protections under the federal
securities laws and instead may have to resort to state law and direct claims.
Unfunded Commitments Risk
Certain of the loan participations or assignments acquired by the
Trust may involve unfunded commitments of the lenders, revolving credit facilities, delayed draw credit facilities or other investments
under which a borrower may from time to time borrow and repay amounts up to the maximum amount of the facility. In such cases, the Trust
would have an obligation to advance its portion of such additional borrowings upon the terms specified in the loan documentation. Such
an obligation may have the effect of requiring the Trust to increase its investment in a company at a time when it might not be desirable
to do so (including at a time when the companys financial condition makes it unlikely that such amounts will be repaid). These commitments
are generally subject to the borrowers meeting certain criteria such as compliance with covenants and certain operational metrics. The
terms of the borrowings and financings subject to commitment are comparable to the terms of other loans and related investments in the
Trusts portfolio.
Distressed and Defaulted Securities Risk
Investments in the securities of financially distressed issuers involve
substantial risks. These securities may present a substantial risk of default or may be in default at the time of investment. The Trust
may incur additional expenses to the extent it is required to seek recovery upon a default in the payment of principal or interest on
its portfolio holdings. In any reorganization or liquidation proceeding relating to a portfolio company, the Trust may lose its entire
investment or may be required to accept cash or securities with a value less than its original investment. Among the risks inherent in
investments in a troubled entity is the fact that it frequently may be difficult to obtain information as to the true financial condition
of such issuer. GPIMs judgment about the credit quality of the issuer and the relative value and liquidity of its securities may
prove to be wrong.
Convertible Securities Risk
Convertible securities, debt or preferred equity securities convertible
into, or exchangeable for, equity securities, are generally preferred stocks and other securities, including fixed-income securities and
warrants that are convertible into or exercisable for common stock. Convertible securities generally participate in the appreciation or
depreciation of the underlying stock into which they are convertible, but to a lesser degree and are subject to the risks associated with
debt and equity securities, including interest rate, market and issuer risks. For example, if market interest rates rise, the value of
a convertible security usually falls. Certain convertible securities may combine higher or lower current income with options and other
features. Warrants are options to buy a stated number of shares of common stock at a specified price anytime during the life of the warrants
(generally, two or more years). Convertible securities may be lower-rated securities subject to greater levels of credit risk. A convertible
security may be converted before it would otherwise be most appropriate, which may have an adverse effect on the Trusts ability to
achieve its investment objective.
Synthetic convertible securities have economic characteristics
similar to those of a traditional convertible security due to the combination of separate securities that possess the two principal characteristics
of a traditional convertible security, i.e., an income-producing security (income-
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producing component) and the right to acquire an equity security
(convertible component). The income-producing component is achieved by investing in non-convertible, income-producing securities
such as bonds, preferred stocks and money market instruments, which may be represented by derivative instruments.
The convertible component is achieved by investing in securities or
instruments such as warrants or options to buy common stock at a certain exercise price, or options on a stock index. A simple example
of a synthetic convertible security is the combination of a traditional corporate bond with a warrant to purchase equity securities of
the issuer of the bond. The income-producing and convertible components of a synthetic convertible security may be issued separately by
different issuers and at different times.
Liquidity Risk
The Trust may invest in municipal securities and other investments
that are, at the time of investment, illiquid. Illiquid securities are securities that cannot be disposed of within seven days in the
ordinary course of business at approximately the value that the Trust values the securities. Illiquid securities may trade at a discount
from comparable, more liquid securities and may be subject to wide fluctuations in market value. The Trust may be subject to significant
delays in disposing of illiquid securities. Accordingly, the Trust may be forced to sell these securities at less than fair market value
or may not be able to sell them when the Adviser believes it is desirable to do so. Illiquid securities also may entail registration expenses
and other transaction costs that are higher than those for liquid securities. Restricted securities (i.e., securities subject to legal
or contractual restrictions on resale) may be illiquid. However, some restricted securities (such as securities issued pursuant to Rule
144A under the Securities Act of 1933, as amended (the 1933 Act) and certain commercial paper) may be treated as liquid for
these purposes. Inverse floating-rate securities or the residual interest certificates of tender option bond trusts are not considered
illiquid securities. Dislocations in certain parts of markets have in the past and may in the future result in reduced liquidity for certain
investments. Liquidity of financial markets may also be affected by government intervention.
Volatility Risk
The use of Financial Leverage by the Trust will cause the net asset
value, and possibly the market price, of the Common Shares to fluctuate significantly in response to changes in interest rates and other
economic indicators. In addition, the Trust may invest up to 20% of its managed assets in below investment grade securities (i.e., junk
bonds), which may be less liquid and therefore more volatile than investment grade municipal securities. As a result, the net asset
value and market price of the Common Shares will be more volatile than those of a closed-end investment company that is not exposed to
leverage or that does not invest in below investment grade securities. In a declining market, the use of leverage may result in a greater
decline in the net asset value of the Common Shares than if the Trust were not leveraged.
Inverse Floating-Rate Securities Risk
Under current market conditions, the Trust anticipates utilizing Financial
Leverage through Indebtedness and/or engaging in reverse repurchase agreements. However, the Trust also may utilize Financial Leverage
through investments in inverse floating-rate securities (sometimes referred to as inverse floaters). Typically, inverse floating-rate
securities represent beneficial
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interests in a special purpose trust (sometimes called a tender
option bond trust) formed by a third party sponsor for the purpose of holding municipal bonds. Distributions on inverse floating-rate
securities bear an inverse relationship to short-term municipal bond interest rates. In general, income on inverse floating-rate securities
will decrease, or in the extreme be eliminated, when interest rates increase and, conversely, increase when interest rates decrease. Investments
in inverse floating-rate securities may subject the Trust to the risks of reduced or eliminated interest payments and losses of principal.
Inverse floating-rate securities may increase or decrease in value at a greater rate than the underlying interest rate, which effectively
leverages the Trusts investment. As a result, the market value of such securities generally will be more volatile than that of fixed-rate
securities. Inverse floating-rate securities have varying degrees of liquidity based, among other things, upon the liquidity of the underlying
securities deposited in a special purpose trust. The Trust may invest in taxable inverse floating-rate securities, issued by special purpose
trusts formed with taxable municipal securities. The market for such inverse floating-rate securities issued by special purpose trusts
formed with taxable municipal securities is relatively new and undeveloped. Initially, there may be a limited number of counterparties,
which may increase the credit risks, counterparty risk and liquidity risk of investing in taxable inverse floating-rate securities. The
leverage attributable to such inverse floating-rate securities may be called away on relatively short notice and therefore
may be less permanent than more traditional forms of Financial Leverage. In certain circumstances, to the extent the Trust relies on inverse
floating-rate securities to achieve its desired effective leverage ratio the likelihood of an increase in the volatility of net asset value
and market price of the Common Shares may be greater. To the extent the Trust relies on inverse floating-rate securities to achieve its
desired effective leverage ratio, the Trust may be required to sell its inverse floating-rate securities at less than favorable prices
or liquidate other Trust portfolio holdings in certain circumstances.
Sovereign Debt Risk
Investments in sovereign debt securities, such as foreign government
debt or foreign treasury bills, involve special risks in addition to those associated with foreign investment, including the availability
of sufficient foreign exchange on the date a payment is due, the relative size of the debt service burden to the economy as a whole, the
government debtors policy towards the International Monetary Fund or international lenders, the political constraints to which the
debtor may be subject and other political, social and other local, regional and global considerations. Periods of economic and political
uncertainty may result in the illiquidity and increased price volatility of sovereign debt securities held by the Trust. The governmental
authority that controls the repayment of sovereign debt may be unwilling or unable to repay the principal and/or interest when due in
accordance with the terms of such securities due to the extent of its foreign reserves. If an issuer of sovereign debt defaults on payments
of principal and/or interest, the Trust may have limited or no legal recourse against the issuer and/or guarantor. In certain cases, remedies
must be pursued in the courts of the defaulting party itself. For example, there may be no bankruptcy or similar proceedings through which
all or part of the sovereign debt that a governmental entity has not repaid may be collected. There can be no assurance that the holders
of commercial bank loans to the same sovereign entity may not contest payments to the holders of sovereign debt in the event of default
under commercial bank loan agreements.
Certain issuers of sovereign debt may be dependent on disbursements
from foreign governments, multilateral agencies and others abroad to reduce principal and interest arrearages on their debt. Such disbursements
may be conditioned upon a debtors implementation of economic reforms and/
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or economic performance and the timely service of such debtors
obligations. A failure on the part of the debtor to implement such reforms, achieve such levels of economic performance or repay principal
or interest when due may result in the cancellation of such third parties commitments to lend funds to the debtor, which may impair
the debtors ability to service its debts on a timely basis. Foreign investment in certain sovereign debt is restricted or controlled
to varying degrees, including requiring governmental approval for the repatriation of income, capital or proceeds of sales by foreign
investors. These restrictions or controls may at times limit or preclude foreign investment in certain sovereign debt and increase the
costs and expenses of the Fund.
As a holder of sovereign debt, the Trust may be requested to participate
in the restructuring of such sovereign indebtedness, including the rescheduling of payments and the extension of further loans to debtors,
which may adversely affect the Trust. There can be no assurance that such restructuring will result in the repayment of all or part of
the debt. Sovereign debt risk is greater for issuers in emerging markets than issuers in developed countries and certain emerging market
countries have at times declared moratoria on the payment of principal and interest on external debt. Certain emerging market countries
have at times experienced difficulty in servicing their sovereign debt on a timely basis, which has led to defaults and the restructuring
of certain indebtedness.
The Trust may also invest in securities or other obligations issued
or backed by supranational organizations, which are international organizations that are designated or supported by government entities
or banking institutions typically to promote economic reconstruction or development. These obligations are subject to the risk that the
government(s) on whose support the organization depends may be unable or unwilling to provide the necessary support. With respect to both
sovereign and supranational obligations, the Fund may have little recourse against the foreign government or supranational organization
that issues or backs the obligation in the event of default. These obligations may be denominated in foreign currencies and the prices
of these obligations may be more volatile than corporate debt obligations.
Strategic Transactions Risk
The Trust may engage in various portfolio strategies, including derivatives
transactions involving interest rate and foreign currency transactions, swaps, options and futures, for hedging and risk management purposes
and to enhance total return. The use of Strategic Transactions to enhance total return may be particularly speculative. Strategic Transactions
involve risks, including the imperfect correlation between the value of such instruments and the underlying assets, the possible default
of the other party to the transaction and illiquidity of the derivative instruments. Furthermore, the Trusts ability to successfully
use Strategic Transactions depends on the Advisers ability to predict pertinent market movements, which cannot be assured. The use
of Strategic Transactions s may result in losses greater than if they had not been used, may require the Trust to sell or purchase portfolio
securities at inopportune times or for prices other than current market values, may limit the amount of appreciation the Trust can realize
on an investment or may cause the Trust to hold a security that it might otherwise sell. Additionally, amounts paid by the Trust as premiums
and cash or other assets held in margin accounts with respect to Strategic Transactions are not otherwise available to the Trust for investment
purposes.
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Synthetic Investments Risk
The Trust may be exposed to certain additional risks to the extent
the Adviser uses derivatives as a means to synthetically implement the Trusts investment strategies. If the Trust enters into a
derivative instrument whereby it agrees to receive the return of a security or financial instrument or a basket of securities or financial
instruments, it will typically contract to receive such returns for a predetermined period of time. During such period, the Trust may
not have the ability to increase or decrease its exposure. In addition, such customized derivative instruments will likely be highly illiquid,
and it is possible that the Trust will not be able to terminate such derivative instruments prior to their expiration date or that the
penalties associated with such a termination might impact the Trusts performance in a material adverse manner. Furthermore, certain
derivative instruments contain provisions giving the counterparty the right to terminate the contract upon the occurrence of certain events.
Such events may include a decline in the value of the reference securities and material violations of the terms of the contract or the
portfolio guidelines as well as other events determined by the counterparty. If a termination were to occur, the Trusts return could
be adversely affected as it would lose the benefit of the indirect exposure to the reference securities and it may incur significant termination
expenses.
Counterparty Risk
Counterparty risk is the risk that a counterparty to Trust transactions
(e.g., prime brokerage or securities lending arrangement or derivatives transaction) will be unable or unwilling to perform its contractual
obligation to the Trust. The Trust will be subject to credit risk with respect to the counterparties to the derivative contracts purchased
by the Trust. If a counterparty becomes bankrupt or otherwise fails to perform its obligations under a derivative contract, the Trust
may experience significant delays in obtaining any recovery under the derivative contract in bankruptcy or other reorganization proceedings.
The Trust may obtain only a limited recovery or may obtain no recovery in such circumstances. If a counterpartys credit becomes
significantly impaired, multiple requests for collateral posting in a short period of time could increase the risk that the Trust may
not receive adequate collateral. Such risk is heightened in market environments where interest rates are changing, notably when rates
are rising. Counterparty credit risk also includes the related risk of having concentrated exposure to such counterparty.
The Trust bears the risk that counterparties may be adversely affected
by legislative or regulatory changes, adverse market conditions, increased competition, and/or wide scale credit losses resulting from
financial difficulties of the counterparties other trading partners or borrowers.
Securities Lending Risk
The Trust may lend its portfolio securities to banks or dealers which
meet the Trusts creditworthiness standards. Securities lending is subject to the risk that loaned securities may not be available
to the Trust on a timely basis and the Trust may therefore lose the opportunity to sell the securities at a desirable price. Any loss
in the market price of securities loaned by the Trust that occurs during the term of the loan would be borne by the Trust and would adversely
affect the Trusts performance. Also, there may be delays in recovery, or no recovery, of securities loaned or even a loss of rights
in the collateral should the borrower of the securities fail financially while the loan is outstanding.
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Investment Funds Risk
As an alternative to holding investments directly, the Trust may also
obtain investment exposure to securities in which it may invest directly by investing up to 20% of its Managed Assets in Investment Funds.
These investments include open-end funds, closed-end funds, exchange-traded funds and business development companies as well as other
pooled investment vehicles. Investment Funds may include those advised by the Adviser, Sub-Adviser and/or their affiliates. Investments
in Investment Funds present certain special considerations and risks not present in making direct investments in securities in which the
Trust may invest. Investments in Investment Funds subject the Trust to the risks affecting such Investment Funds and involve operating
expenses and fees that are in addition to the expenses and fees borne by the Trust. Such expenses and fees attributable to the Trusts
investment in another Investment Fund are borne indirectly by Common Shareholders. Accordingly, investment in such entities involves expenses
and fees at both levels. Fees and expenses borne by other Investment Funds in which the Trust invests may be similar to the fees and expenses
borne by the Trust and can include asset-based management fees and administrative fees payable to such entities advisers and managers,
as well as other expenses borne by such entities, thus resulting in fees and expenses at both levels. To the extent management fees of
Investment Funds are based on total gross assets, it may create an incentive for such entities managers to employ Financial Leverage,
thereby adding additional expense and increasing volatility and risk (including the Trusts overall exposure to leverage risk). Fees
payable to advisers and managers of Investment Funds may include performance-based incentive fees calculated as a percentage of profits.
Such incentive fees directly reduce the return that otherwise would have been earned by investors over the applicable period. A performance-based
fee arrangement may create incentives for an adviser or manager to take greater investment risks in the hope of earning a higher profit
participation. Investments in Investment Funds frequently expose the Trust to an additional layer of Financial Leverage and, thus, increase
the Trusts exposure to leverage risk and costs. From time to time, the Trust may invest a significant portion of its assets in Investment
Funds that employ leverage. The use of leverage by Investment Funds may cause the Investments Funds market price of common shares
and/or NAV to be more volatile and can magnify the effect of any losses. From time to time, the Trust may invest a significant portion
of its assets in Investment Funds that employ leverage.
Investments in Investment Funds expose the Trust to additional management
risk. The success of the Trusts investments in Investment Funds will depend in large part on the investment skills and implementation
abilities of the advisers or managers of such entities. Decisions made by the advisers or managers of such entities may cause the Trust
to incur losses or to miss profit opportunities. While GPIM will seek to evaluate managers of Investment Funds and where possible independently
evaluate the underlying assets, a substantial degree of reliance on such entities managers is nevertheless present with such investments.
The Trust may invest in Investment Funds in excess of statutory limits
imposed by the 1940 Act in reliance on Rule 12d1-4 under the 1940 Act. These investments would be subject to the applicable conditions
of Rule 12d1-4, which in part could affect or otherwise impose certain limits on the investments and operations of the underlying Investment
Fund (notably such funds ability to invest in other investment companies and private funds, which include certain structured finance
vehicles). It is uncertain what effect the conditions of Rule 12d1-4 will have on the Trusts investment strategies and operations
or those of the Investment Funds in which the Trust may invest.
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If the Trust invests in Investment Funds, the Trusts realized
losses on sales of shares of an underlying Investment Fund may be indefinitely or permanently deferred as wash sales. Distributions
of short-term capital gains by an underlying Investment Fund will be recognized as ordinary income by the Trust and would not be offset
by the Trusts capital loss carryforwards, if any. Capital loss carryforwards of an underlying Investment Fund, if any, would not
offset net capital gain of the Trust or of another underlying Investment Fund.
Market Discount Risk
The net asset value and market price of the Common Shares will fluctuate,
sometimes independently, based on market and other factors affecting the Trust and its investments. The market price of the Common Shares
will either be above (premium) or below (discount) their net asset value. Although the net asset value of Common Shares is often considered
in determining whether to purchase or sell shares, whether investors will realize gains or losses upon the sale of Common Shares will
depend upon whether the market price of Common Shares at the time of sale is above or below the investors purchase price, taking
into account transaction costs for the Common Shares, and is not directly dependent upon the Trusts net asset value. Market price
movements of Common Shares are thus material to investors and may result in losses, even when net asset value has increased.
The Trust cannot predict whether the Common Shares will trade at a
premium or discount to NAV and the market price for the Common Shares will change based on a variety of factors. If the Common Shares
are trading at a premium to NAV at the time you purchase Common Shares, the net asset value per share of the Common Shares purchased will
be less than the purchase price paid. Shares of closed-end management investment companies frequently trade at a discount from their NAV,
but in some cases have traded above NAV. The risk of the Common Shares trading at a discount is a risk separate and distinct from the
risk of a decline in the Trusts NAV as a result of the Trusts investment activities.
Because the market price of the Common Shares will be determined by
factors such as net asset value, dividend and distribution levels (which are dependent, in part, on expenses), supply of and demand for
Common Shares, stability of dividends or distributions, trading volume of Common Shares, general market and economic conditions and other
factors beyond the Trusts control, the Trust cannot predict whether the Common Shares will trade at, below or above net asset value,
or at, below or above the public offering price for the Common Shares.
The Trusts net asset value would be reduced following an offering
of the Common Shares due to the costs of such offering, to the extent those costs are borne by the Trust. The sale of Common Shares by
the Trust (or the perception that such sales may occur) may have an adverse effect on prices of Common Shares in the secondary market.
An increase in the number of Common Shares available may put downward pressure on the market price for Common Shares. The Trust may, from
time to time, seek the consent of Common Shareholders to permit the issuance and sale by the Trust of Common Shares at a price below the
Trusts then-current net asset value, subject to certain conditions, and such sales of Common Shares at price below net asset value,
if any, may increase downward pressure on the market price for Common Shares. These sales, if any, also might make it more difficult for
the Trust to sell additional Common Shares at a time and price it deems appropriate.
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The Trust is designed for long-term investors and investors in Common
Shares should not view the Trust as a vehicle for trading purposes.
Dilution Risk
The voting power of current Common Shareholders will be diluted to
the extent that current Common Shareholders do not purchase Common Shares in any future offerings of Common Shares or do not purchase sufficient Common Shares to maintain their percentage interest. If the Trust is unable to invest the proceeds of such offering as intended or
if investments made with these proceeds perform poorly, the Trusts per Common Share distribution may decrease, and the Trust may
not participate in market advances to the same extent as if such proceeds were fully invested as planned. If the Trust sells Common Shares
at a price below NAV pursuant to the consent of Common Shareholders, shareholders will experience a dilution of the aggregate NAV per
Common Share because the sale price will be less than the Trusts then-current NAV per Common Share. Similarly, were the expenses
of the offering to exceed the amount by which the sale price exceeded the Trusts then-current NAV per Common Share, shareholders
would experience a dilution of the aggregate NAV per Common Share. This dilution will be experienced by all shareholders, irrespective
of whether they purchase Common Shares in any such offering.
Special Purpose Acquisition Companies Risk
The Trust may invest in stock, warrants, rights and other securities
of special purpose acquisition companies (SPACs) or similar special purpose entities in a private placement transaction or
as part of a public offering. As an alternative to obtaining a public listing through a traditional IPO, SPAC investments carry many of
the same risks as investments in IPO securities. These may include, but are not limited to, erratic price movements, greater risk of loss,
lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs.
Investments in SPACs also have risks peculiar to the SPAC structure
and investment process. Until an acquisition or merger is completed, a SPAC generally invests its assets, less a portion retained to cover
expenses, in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common
stock. To the extent a SPAC is invested in cash or similar securities, this may impact the Trusts ability to meet its investment
objective.
SPAC investments are also subject to the risk that a significant portion
of the funds raised by the SPAC may be expended during the search for a target acquisition or merger. Some SPACs pursue acquisitions and
mergers only within certain market sectors or regions, which can increase the volatility of their prices. Conversely, other SPACs may
invest without such limitations, in which case management may have limited experience or knowledge of the market sector or region in which
the transaction is contemplated. Moreover, interests in SPACs may be illiquid and/or be subject to restrictions on resale, which may remain
for an extended time, and may only be traded in the over-the-counter market. If there is no market for interests in a SPAC, or only a
thinly traded market for interests in a SPAC develops, the Trust may not be able to sell its interest in a SPAC, or may be able to sell
its interest only at a price below what the Trust believes is the SPAC interests value.
Availability and Quality of Data
GPIM faces the general risk regarding the availability and quality
of information concerning a particular asset or investment, and employs a variety of policies, practices and methodologies
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designed to minimize that risk. For example, there is less readily
available and reliable information about most bank loans than is the case for many other types of instruments, including listed securities.
Another example is the consideration of Environmental, Social, and Governance (ESG) criteria where GPIM believes it could
have a material impact on an investments return or issuers financial performance (though, for avoidance of doubt, GPIM does
not offer any ESG products). Similar to GPIMs ability to evaluate traditional factors in making investment decisions, the ability
for GPIM to identify and evaluate ESG characteristics and risks, or to engage with an issuer, is limited to the availability and quality
of information on an asset or issuer. In some cases, GPIM may decline to consider ESG criteria in an investment decision due to the unavailability
of information on an issuer, or the quality of that information. In addition, GPIM often uses data and insights from third-party research
to provide additional input in the analysis of ESG-related criteria. Third-party information and data will, from time to time, be incomplete,
inaccurate or unavailable. As a result, there is a risk that GPIM could incorrectly assess the ESG criteria or risks associated with a
particular asset or issuer. Additionally, GPIM expects from time to time to directly engage with certain corporate credit issuers by requesting
improved issuer disclosure relating to ESG factors, as well as discussing potential opportunities to improve various ESG metrics and other
related topics. Direct engagement will occur with only a minority of portfolio investments and issuers GPIM considers for investment and
will depend on a variety of considerations, including the materiality of ESG criteria to the specific issuer or sector and the size of
GPIM client investments in the issuer. There can be no assurance that GPIMs engagement efforts will be successful or provide benefits
to clients.
The application of ESG criteria and risk factors to portfolio investments
(if any) could result in one or more assets or issuers being excluded from the Trust, which could have an adverse effect on the performance
of the Trust. Additionally, in some circumstances a client mandate or applicable regulations can cause GPIM to restrict specific investments
based on particular ESG characteristics. GPIM also reserves the right, in the future, to implement restrictions or prohibitions on investments
within certain industries for all or a sub-set of all client accounts which could be based on particular ESG criteria or other relevant
factors. As a result of any of the aforementioned circumstances, clients may be limited as to available investments, which could hinder
performance when compared to investments with no such restrictions.
Portfolio Turnover Risk
The Trusts annual portfolio turnover rate may vary greatly from
year to year. Portfolio turnover rate is not considered a limiting factor in the execution of investment decisions for the Trust. A higher
portfolio turnover rate results in correspondingly greater brokerage commissions and other transactional expenses that are borne by the
Trust. High portfolio turnover may result in an increased realization of net short-term capital gains by the Trust which, when distributed
to Common Shareholders, will be taxable as ordinary income. Additionally, in a declining market, portfolio turnover may create realized
capital losses.
UK Departure from EU (Brexit) Risk
The United Kingdom ceased to be a member of the EU on January 31,
2020 (such departure from the EU, Brexit). A trade agreement between the EU and the United Kingdom (the TCA) took
effect on May 1, 2021, and now governs the relationship between the EU and the United Kingdom. Although the TCA covers many issues, such
as economic partnership, free trade, law enforcement and judicial co-operation and governance, it is silent on items such as financial
services equivalence. As such,
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there remains uncertainty as to the scope, nature and terms of the
relationship between the United Kingdom and the EU and the effect and implications of the TCA. Brexit may have a negative impact on the
economy and currency of the United Kingdom and EU as a result of anticipated, perceived or actual changes to the United Kingdoms
economic and political relations with the EU. Brexit may also have a destabilizing impact on the EU to the extent other member states
similarly seek to withdraw from the union. Any further exits from member states of the EU, or the possibility of such exits, would likely
cause additional market disruption globally and introduce new legal and regulatory uncertainties. Any or all of these challenges may affect the value of the Trusts investments that are economically tied to the United Kingdom or the EU, and could have an adverse impact
on the Trusts performance.
Redenomination Risk
The result of Brexit, the progression of the European debt crisis
and the possibility of one or more Eurozone countries exiting the European Monetary Union (EMU), or even the collapse of the
euro as a common currency, has in recent years created significant volatility in currency and financial markets generally. The effects
of the collapse of the euro, or of the exit of one or more countries from the EMU, on the U.S. and global economies and securities markets
are impossible to predict and any such events could have a significant adverse impact on the value and risk profile of the Trusts
portfolio. Any partial or complete dissolution of the EMU could have significant adverse effects on currency and financial markets, and
on the values of the Trusts portfolio investments. If one or more EMU countries were to stop using the euro as its primary currency,
the Trusts investments in such countries may be redenominated into a different or newly adopted currency. As a result, the value
of those investments could decline significantly and unpredictably. In addition, securities or other investments that are redenominated
may be subject to foreign currency risk, liquidity risk and valuation risk to a greater extent than similar investments currently denominated
in euros.
To the extent a currency used for redenomination purposes is not specified
in respect of certain EMU-related investments, or should the eurofficease to be used entirely, the currency in which such investments are
denominated may be unclear, making such investments particularly difficult to value or dispose of. The Trust may incur additional expenses
to the extent it is required to seek judicial or other clarification of the denomination or value of such securities.
Recent Market Developments Risk
The value of, or income generated by, the investments held by the
Trust are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting
individual companies or issuers or particular industries, or from broader influences, including real or perceived changes in prevailing
interest rates, changes in inflation rates or expectations about inflation rates , adverse investor confidence or sentiment, changing
economic, political (including geopolitical), social or financial market conditions, tariffs and trade disruptions, recession, changes
in currency rates, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies
(such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts
or credit ratings downgrades, and other similar types of events, each of which may be temporary or last for extended periods.
Periods of market volatility remain, and may continue to occur in
the future, in response to various market, political, social, geopolitical, economic and public health events both within and outside
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of the United States. These conditions have resulted in, and in cases
continue to result in, greater price volatility, less liquidity, widening credit spreads and a lack of price transparency, with certain
securities remaining illiquid and of uncertain value. Such market conditions may adversely affect the Trust, including by making valuation
of some of the Trusts securities uncertain and/or result in sudden and significant valuation increases or declines in the Trusts
holdings. If there is a significant decline in the value of the Trusts portfolio, this may impact the asset coverage levels for
the Trusts outstanding leverage.
Risks resulting from any future debt or other economic or public health
situation could also have a detrimental impact on the global economies, the financial condition of financial institutions, operations
of businesses and the Trusts business, financial condition and results of operation. Market and economic disruptions have affected,
and may in the future affect, consumer confidence levels and spending, personal bankruptcy rates, levels of incurrence and default on consumer
and other debt and home prices, among other factors. To the extent uncertainty regarding the U.S. or global economy negatively impacts
consumer confidence and consumer credit factors, the Trusts business, financial condition and results of operations could be significantly
and adversely affected. Downgrades to the credit ratings of major banks could result in increased borrowing costs for such banks and negatively
affect the broader economy. Moreover, Federal Reserve policy, including with respect to certain interest rates, may also adversely affect
the value, volatility and liquidity of various investments, notably dividend- and interest-paying securities. These policies are subject
to change at any time based on a variety of factors and developments, with uncertain impacts on financial markets and economic conditions
and, thus, the Funds investments market volatility, changing interest rates and/or unfavorable economic conditions could impair
the Trusts ability to achieve its investment objective. Economies and markets are experiencing, and have experienced high inflation
rates. In response to such inflation, government authorities have implemented significant fiscal and monetary policies such as increasing
interest rates and quantitative tightening (reduction of money available in the market), which may adversely impact financial markets
and the broader economy, as well as the Trusts performance, and have unintended adverse consequences.
Moreover, changing economic, political, social, geopolitical, financial
market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held
by the Trust in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected
global economies and financial markets. As a result, there is an increased risk that geopolitical and other events will disrupt economies
and markets globally. For example, local or regional armed conflicts have led to significant sanctions by the United States, Europe and
other countries against certain countries (as well as persons and companies connected with certain countries) and led to indirect adverse
regional and global market, economic and other effects. It is difficult to accurately predict or foresee when events or conditions affecting
the U.S. or global financial markets, economies, and issuers may occur, the effects of such events or conditions, potential escalations
or expansions of these events, possible retaliations in response to sanctions or similar actions and the duration or ultimate impact of
those events. There is an increased likelihood that these types of events or conditions can, sometimes rapidly and unpredictably, result
in a variety of adverse developments and circumstances, such as reduced liquidity, supply chain disruptions and market volatility, as
well as increased general uncertainty, extreme weather and broad ramifications for markets, economies, issuers, businesses in many sectors
and societies globally. In addition, adverse changes in one sector or industry or with
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respect to a particular company could negatively impact companies
in other sectors or industries or increase market volatility as a result of the interconnected nature of economies and markets and thus
negatively affect the Trusts performance. For example, developments in the banking or financial services sectors (or one or more
companies operating in these sectors) could adversely impact a wide range of companies and issuers. These types of adverse developments
could negatively affect the Trusts performance or operations.
Increasing Government and other Public Debt Risk
Government and other public debt, including municipal obligations
in which the Trust may invest, can be adversely affected by large and sudden changes in local and global economic conditions that result
in increased debt levels. Although high levels of government and other public debt do not necessarily indicate or cause economic problems,
high levels of debt may create certain systemic risks if sound debt management practices are not implemented. A high debt level may increase
market pressures to meet an issuers funding needs, which may increase borrowing costs and cause a government or public or municipal
entity to issue additional debt, thereby increasing the risk of refinancing. A high debt level also raises concerns that the issuer may
be unable or unwilling to repay the principal or interest on its debt, which may adversely impact instruments held by the Trust that rely
on such payments. Extraordinary governmental and quasigovernmental responses to economic, market, labor and public health conditions designed
to support the markets may, at times, significantly increase government and other public debt, which heighten these risks and the long-term
consequences of these actions are not known. Unsustainable debt levels can decline the valuation of currencies and can prevent a government
from implementing effective counter cyclical fiscal policy during economic downturns or can lead to increases in inflation or generate
or contribute to an economic downturn.
Legislation and Regulation Risk
At any time after the date hereof, U.S. and non-U.S. governmental
agencies and other regulators may implement additional regulations and legislators may pass new laws that affect the investments held by
the Trust, the strategies used by the Trust or the level of regulation or taxation applying to the Trust (such as regulations related
to investments in derivatives and other transactions). These regulations and laws may impact the investment strategies, performance, costs
and operations of the Trust, as well as the way investments in, and shareholders of, the Trust are taxed.
Risk of Failure to Qualify as a RIC
To qualify for the favorable U.S. federal income tax treatment generally
accorded to regulated investment companies (RICs), the Trust must, among other things, derive in each taxable year at least
90% of its gross income from certain prescribed sources, meet certain asset diversification tests and distribute for each taxable year
at least 90% of its investment company taxable income (generally, ordinary income plus the excess, if any, of net short-term
capital gain over net long term capital loss). If for any taxable year the Trust does not qualify as a RIC, all of its taxable income
for that year (including its net capital gain) would be subject to tax at regular corporate rates without any deduction for distributions
to shareholders, and such distributions would be taxable as ordinary dividends to the extent of the Trusts current and accumulated
earnings and profits.
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Conflicts of Interest Risk
Guggenheim Partners, LLC (Guggenheim Partners) is a global
asset management and investment advisory organization. Guggenheim Partners and its affiliates advise clients in various markets and transactions
and purchase, sell, hold and recommend a broad array of investments for their own accounts and the accounts of clients and of their personnel
and the relationships and products they sponsor, manage and advise. Accordingly, Guggenheim Partners and its affiliates may have direct
and indirect interests in a variety of global markets and the securities of issuers in which the Trust may directly or indirectly invest.
These interests may cause the Trust to be subject to regulatory limits, and in certain circumstances, these various activities may prevent
the Trust from participating in an investment decision.
An investment in the Trust is subject to a number of actual or potential
conflicts of interest. For example, the Adviser and its affiliates are engaged in a variety of business activities that are unrelated to
managing the Trust, which may give rise to actual, potential or perceived conflicts of interest in connection with making investment decisions
for the Trust. As a result, activities and dealings of Guggenheim Partners and its affiliates may affect the Trust in ways that may disadvantage
or restrict the Trust or be deemed to benefit Guggenheim Partners and its affiliates. From time to time, conflicts of interest may arise
between a portfolio managers management of the investments of the Trust on the one hand and the management of other registered investment
companies, pooled investment vehicles and other accounts (collectively, other accounts) on the other. The other accounts might
have similar investment objectives or strategies as the Trust or otherwise hold, purchase, or sell securities that are eligible to be
held, purchased or sold by the Trust. In certain circumstances, and subject to its fiduciary obligations under the Investment Advisers
Act of 1940 and the requirements of the 1940 Act, the Adviser or GPIM may have to allocate a limited investment opportunity among its
clients. The other accounts might also have different investment objectives or strategies than the Trust. In addition, the Trust may be
limited in its ability to invest in, or hold securities of, any companies that the Adviser or its affiliates (or other accounts managed
by the Adviser or its affiliates) control, or companies in which the Adviser or its affiliates have interests or with whom they do business.
For example, affiliates of the Adviser may act as underwriter, lead agent or administrative agent for loans or otherwise participate in
the market for loans. Because of limitations imposed by applicable law, the presence of the Advisers affiliates in the markets for
loans may restrict the Trusts ability to acquire some loans or affect the timing or price of such acquisitions. To address these
conflicts, the Trust and Guggenheim Partners and its affiliates have established various policies and procedures that are reasonably designed
to detect and prevent such conflicts and prevent the Trust from being disadvantaged. There can be no guarantee that these policies and
procedures will be successful in every instance.
Market Disruption and Geopolitical Risk
The Trust does not know and cannot predict how long the securities
markets may be affected by geopolitical events and the effects of these and similar events in the future on the U.S. economy and securities
markets. The Trust may be adversely affected by abrogation of international agreements and national laws which have created the market
instruments in which the Trust may invest, failure of the designated national and international authorities to enforce compliance with
the same laws and agreements, failure of local, national and international organization to carry out their duties prescribed to them under
the relevant agreements, revisions of these laws and agreements which dilute their effectiveness or conflicting interpretation of provisions
of the same laws and agreements.
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The Trust may be adversely affected by uncertainties such as terrorism,
international political developments, and changes in government policies, taxation, restrictions on foreign investment and currency repatriation,
currency fluctuations and other developments in the laws and regulations of the countries in which it is invested and the risks associated
with financial, economic, geopolitical, public health, labor and other global market developments and disruptions.
Cyber Security, Market Disruptions and Operational Risk
Like other funds and other parts of the modern economy, the Trust
and its service providers, as well as exchanges and market participants through or with which the Trust trades and exchanges on which
its shares trade and other infrastructures, services and parties on which the Trust, the Adviser, the Sub-Adviser or the Trusts
other service providers rely, are susceptible to ongoing risks related to cyber incidents and the risks associated with financial, economic,
public health, labor and other global market developments and disruptions, including those arising out of geopolitical events, public
health emergencies (such as the spread of infectious diseases, pandemics and epidemics), natural/environmental disasters, war, terrorism
and governmental or quasi-governmental actions. Cyber incidents can result from unintentional events (such as an inadvertent release of
confidential information) or deliberate attacks (such as cyber extortions) by insiders or third parties, including cyber criminals, competitors,
nation-states and hacktivists, and can be perpetrated by a variety of complex means, including the use of stolen access credentials,
malware or other computer viruses, ransomware, phishing, structured query language injection attacks, and distributed denial of service
attacks, among other means. Cyber incidents and market disruptions may result in actual or potential adverse consequences for critical
information and communications technology, systems and networks that are vital to the operations of the Trust or its service providers,
or otherwise impair Trust or service provider operations. For example, a cyber incident may cause operational disruptions and failures
impacting information systems or information that a system processes, stores, or transmits, such as by theft, damage or destruction, or
corruption or modification of and denial of access to data maintained online or digitally, denial of service on websites rendering the
websites unavailable to intended users or not accessible for such users in a timely manner, and the unauthorized release or other exploitation
of confidential information. Recent geopolitical tensions may have increased the scale and sophistication of deliberate cyber attacks,
particularly from nation-states or entities with nation-state backing.
A cyber incident or sudden market disruption could adversely impact
the Trust, its service providers or its shareholders by, among other things, interfering with the processing of transactions or other
operational functionality, impacting the Trusts ability to calculate its NAV or other data, causing the release of private shareholder
information (i.e., identity theft or other privacy breaches) or confidential Trust information or otherwise compromising the security
and reliability of information, impeding trading, causing reputational damage, and subjecting the Trust or its service providers to regulatory
fines, penalties or financial losses, reimbursement or other compensation or remediation costs, litigation expenses and additional compliance
and cyber security risk management costs, which may be substantial. The same could affect the exchange on which Trust shares trade. A cyber
incident could also adversely affect the ability of the Trust (and its Adviser) to invest or manage the Trusts assets.
Cyber incidents and developments and disruptions to financial, economic,
public health, labor and other global market conditions can obstruct the regular functioning of business workforces
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(including requiring employees to work from external locations or
from their homes), cause business slowdowns or temporary suspensions of business activities, each of which can negatively impact Trust
service providers and Trust operations. Although the Trust and its service providers, as well as exchanges and market participants through
or with which the Trust trades and other infrastructures on which the Trust or its service providers rely, may have established business
continuity plans and systems reasonably designed to protect from and/or defend against the risks or adverse consequences associated with
cyber incidents and market disruptions, there are inherent limitations in these plans and systems, including that certain risks may not
yet be identified, in large part because different or unknown threats may emerge in the future and the threats continue to rapidly evolve
and increase in sophistication. As a result, it is not possible to anticipate and prevent every cyber incident and possible obstruction
to the normal activities of these entities employees resulting from market disruptions and attempts to mitigate the occurrence or
impact of such events may be unsuccessful. For example, public health emergencies and governmental responses to such emergencies, including
through quarantine measures and travel restrictions, can create difficulties in carrying out the normal working processes of these entities
employees, disrupt their operations and hamper their capabilities. The nature, extent, and potential magnitude of the adverse consequences
of these events cannot be predicted accurately but may result in significant risks, adverse consequences and costs to the Trust and its
shareholders. The use of cloud-based service providers could heighten all of the above risks.
The issuers of securities in which the Trust invests are also subject
to the ongoing risks and threats associated with cyber incidents and market disruptions. These incidents could result in adverse consequences
for such issuers and may cause the Trusts investment in such securities to lose value. For example, a cyber incident involving an
issuer may include the theft, destruction or misappropriation of financial assets, intellectual property or other sensitive information
belonging to the issuer or their customers (i.e., identity theft or other privacy breaches) and a market disruption involving an issuer
may include materially reduced consumer demand and output, disrupted supply chains, market closures, travel restrictions and quarantines.
As a result, the issuer may experience the types of adverse consequences summarized above, among others (such as loss of revenue), despite
having implemented preventative and other measures reasonably designed to protect from and/or defend against the risks or adverse effects
associated with cyber incidents and market disruptions.
The Trust and its service providers, as well as exchanges and market
participants through or with which the Trust trades and other infrastructures on which the Trust or its service providers rely, are also
subject to the risks associated with technological and operational disruptions or failures arising from, for example, processing errors
and human errors, inadequate or failed internal or external processes, failures in systems and technology, errors in algorithms used with
respect to the Trust, changes in personnel, and errors caused by third parties or trading counterparties. Although the Trust attempts
to minimize such failures through controls and oversight, it is not possible to identify all of the operational risks that may affect the
Trust or to develop processes and controls that completely eliminate or mitigate the occurrence of such failures or other disruptions
in service.
Cyber incidents, market disruptions and operational errors or failures
or other technological issues may adversely affect the Trusts ability to calculate its NAV correctly, in a timely manner or process
trades or Trust or shareholder transactions may be adversely affected, including over a potentially
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
INVESTMENT GRADE DEBT TRUST ANNUAL REPORT l 155
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extended period. The Trust does not control the cyber security, disaster
recovery, or other operational defense plans or systems of its service providers, intermediaries, exchanges where its shares trades, companies
in which it invests or other third-parties. The value of an investment in Trust shares may be adversely affected by the occurrence of the
cyber incidents, market disruptions and operational errors or failures or technological issues summarized above or other similar events
and the Trust and its shareholders may bear costs tied to these risks. In addition, work-from-home arrangements by the Trust, the Adviser
or the Sub-Adviser (or their service providers) could increase all of the above risks, create additional data and information accessibility
concerns, and make the Trust, the Adviser or the Sub-Adviser (or their service providers) more susceptible to operational disruptions,
any of which could adversely impact their operations. Furthermore, the Trust may be an appealing target for cybersecurity threats such
as hackers and malware.
Technology Risk
The Trust and its service providers and markets generally have become
more susceptible to potential operational risks related to intentional and unintentional events that may cause the Trust or a service
provider to lose proprietary information, suffer data corruption or lose operational capacity. There can be no guarantee that any risk
management systems established by the Trust, its service providers, or issuers of the securities in which the Trust invests to reduce
technology and cyber security risks will succeed, and the Trust cannot control such systems put in place by service providers, issuers
or other third parties whose operations may affect the Trust.
ANTI-TAKEOVER PROVISIONS
The Trusts Declaration of Trust and the Trusts Bylaws,
each as may be amended and/or restated from time to time, include provisions that could limit the ability of other entities or persons
to acquire control of the Trust or convert the Trust to an open-end fund. These provisions could have the effect of depriving the Common
Shareholders of opportunities to sell their Common Shares at a premium over the then-current market price of the Common Shares.
In addition, investors should note that the Trust reserves the
right to merge or reorganize with another fund, liquidate or convert into an open-end fund, in each case subject to applicable approvals
by shareholders and the Trusts Board of Trustees as required by law and the Trusts governing documents.
EFFECTS OF LEVERAGE
Assuming that the Trusts total Financial Leverage represented
approximately 23.7% of the Trusts Managed Assets (based on the Trusts outstanding Financial Leverage of $119,158,244)
and interest costs to the Trust at a combined average annual rate of 5.80% (based on the Trusts average annual leverage costs for
the fiscal year ended May 31, 2024) with respect to such Financial Leverage, then the incremental income generated by the Trusts
portfolio (net of estimated expenses including expenses related to the Financial Leverage) must exceed approximately 1.00% to cover such
interest specifically related to the debt. These numbers are merely estimates used for illustration. Actual interest rates may vary frequently
and may be significantly higher or lower than the rate estimated above.
The following table is furnished pursuant to requirements of the SEC.
It is designed to illustrate the effect of leverage on Common Share total return, assuming investment portfolio total returns (comprised
of income, net expenses and changes in the value of investments held
156 l GBAB l GUGGENHEIM TAXABLE
MUNICIPAL BOND & INVESTMENT GRADE DEBT TRUST ANNUAL REPORT
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in the Trusts portfolio) of -10%, -5%, 0%, 5% and 10%. These
assumed investment portfolio returns are hypothetical figures and are not necessarily indicative of what the Trusts investment portfolio
returns will be. The table further reflects the issuance of Financial Leverage representing approximately 23.7% of the Trusts Managed
Assets and interest costs to the Trust at a combined average annual rate of 5.80% with respect to such Financial Leverage. The table does
not reflect any offering costs of Common Shares or Borrowings.
|
|
|
|
|
|
Assumed portfolio total return (net of expenses) |
(10.00%) |
(5.00%) |
0.00% |
5.00% |
10.00% |
Common Share total return |
(14.92%) |
(8.36%) |
(1.81%) |
4.75% |
11.31% |
Common Share total return is composed of two elementsthe Common
Share dividends paid by the Trust (the amount of which is largely determined by the Trusts net investment income after paying the
carrying cost of Financial Leverage) and realized and unrealized gains or losses on the value of the securities the Trust owns. As required
by SEC rules, the table assumes that the Trust is more likely to suffer capital loss than to enjoy capital appreciation. For example, to
assume a total return of 0%, the Trust must assume that the net investment income it receives on its investments is entirely offset by
losses on the value of those investments. This table reflects the hypothetical performance of the Trusts portfolio and not the performance
of the Common Shares, the value of which will be determined by market and other factors.
During the time in which the Trust is utilizing Financial Leverage,
the amount of the fees paid to the Adviser by the Trust (and by the Adviser to GPIM) for investment advisory services will be higher than
if the Trust did not utilize Financial Leverage because the fees paid will be calculated based on the Trusts Managed Assets which
may create a conflict of interest between the Adviser and GPIM and the Common Shareholders. Because the Financial Leverage costs will
be borne by the Trust at a specified rate, only the Common Shareholders will bear the cost of the Trusts fees and expenses. The
Trust generally will not use Financial Leverage if the Adviser and GPIM anticipate that such use would result in a lower return to Common
Shareholders for any significant amount of time.
INTEREST RATE TRANSACTIONS
In connection with the Trusts duration management strategy and
use of Financial Leverage, the Trust may enter into interest rate swap or cap transactions. Interest rate swaps involve the Trusts
agreement with the swap counterparty to pay or receive a fixed-rate payment in exchange for a variable-rate payment. An interest rate
cap transaction would require the Trust to pay a premium to the cap counterparty and would entitle it, to the extent that a specified
variable-rate index exceeds a predetermined fixed rate, to receive payment from the counterparty of the difference based on the notional
amount.
In connection with the Trusts duration management strategy,
the Trust may use interest rate swaps to reduce the overall duration of the portfolio. In connection with the Trusts use of leverage,
the Trust may use interest rate swaps or caps to seek to reduce or eliminate the risk that an increase in short-term interest rates could
have on Common Share net earnings as a result of Financial Leverage. For example, the Trust may agree to pay to the swap counterparty
a fixed-rate payment in exchange for the counterpartys paying the Trust a variable-rate payment that is intended to approximate
all or a portion of the Trusts variable-rate payment obligation on the Trusts Financial Leverage.
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The Trust will usually enter into swaps or caps on a net basis; that
is, the two payment streams will be netted out in a cash settlement on the payment date or dates specified in the instrument, with the
Trusts receiving or paying, as the case may be, only the net amount of the two payments.
The use of interest rate swaps and caps is a highly specialized activity
that involves investment techniques and risks different from those associated with ordinary portfolio security transactions. Depending
on the state of interest rates in general, the Trusts use of interest rate instruments could enhance or harm the overall performance
of the Common Shares. To the extent there is a decline in interest rates, the net amount receivable by the Trust under the interest rate
swap or cap could decline and could thus result in a decline in the net asset value of the Common Shares. In addition, if short-term interest
rates are lower than the Trusts fixed rate of payment on the interest rate swap, the swap will reduce Common Share net earnings
if the Trust must make net payments to the counterparty. If, on the other hand, short-term interest rates are higher than the fixed rate
of payment on the interest rate swap, the swap will enhance Common Share net earnings if the Trust receives net payments from the counterparty.
Buying interest rate caps could enhance the performance of the Common Shares by limiting the Trusts maximum leverage expense.
Buying interest rate caps could also decrease the net earnings of
the Common Shares if the premium paid by the Trust to the counterparty exceeds the additional cost of the Financial Leverage that the
Trust would have been required to pay had it not entered into the cap agreement.
Interest rate swaps and caps do not involve the delivery of securities
or other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount
of interest payments that the Trust is contractually obligated to make. The Trust will be subject to credit risk with respect to the counterparties
to interest rate transactions entered into by the Trust. If a counterparty becomes bankrupt or otherwise fails to perform its obligations
under a derivative contract, the Trust may experience significant delays in obtaining any recovery under the derivative contract in bankruptcy
or other reorganization proceedings. The Trust may obtain only a limited recovery or may obtain no recovery in such circumstances. Depending
on whether the Trust would be entitled to receive net payments from the counterparty on the swap or cap, which in turn would depend on
the general state of short-term interest rates at that point in time, such default by a counterparty could negatively impact the performance
of the Common Shares.
Although this will not guarantee that the counterparty does not default,
the Trust will not enter into an interest rate swap or cap transaction with any counterparty that GPIM believes does not have the financial
resources to honor its obligation under the interest rate swap or cap transaction. Further, GPIM will regularly monitor the financial
stability of a counterparty to an interest rate swap or cap transaction in an effort to seek to proactively protect the Trusts investments.
At the time the interest rate swap or cap transaction reaches its
scheduled termination date, there is a risk that the Trust will not be able to obtain a replacement transaction or that the terms of the
replacement will not be as favorable as on the expiring transaction. If this occurs, it could have a negative impact on the performance
of the Common Shares. The Trust may choose or be required to prepay Indebtedness. Such a prepayment would likely result in the Trusts
seeking to terminate early all or a portion of any swap or cap transaction entered into in connection with the Trusts use of Financial
Leverage. Such early termination of a swap could result in a termination payment by or to
158 l GBAB l GUGGENHEIM TAXABLE
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the Trust. An early termination of a cap could result in a termination
payment to the Trust. There may also be penalties associated with early termination.
FUNDAMENTAL INVESTMENT RESTRICTIONS
The Trust operates under the following restrictions that
constitute fundamental policies that, except as otherwise noted, cannot be changed without the affirmative vote of the holders of a
majority of the outstanding voting securities of the Trust voting together as a single class, which is defined by the 1940 Act as
the lesser of (i) 67% or more of the Trusts voting securities present at a meeting, if the holders of more than 50% of the
Trusts outstanding voting securities are present or represented by proxy; or (ii) more than 50% of the Trusts
outstanding voting securities. Except as otherwise noted, all percentage limitations set forth below apply immediately after a
purchase or initial investment and any subsequent change in any applicable percentage resulting from market fluctuations does not
require any action. These restrictions provide that the Trust shall not:
1. | | Issue senior securities nor borrow money, except the Trust may issue senior securities or
borrow money to the extent permitted by applicable law. |
2. | | Act as underwriter of another issuers securities, except to the extent that the Trust
may be deemed to be an underwriter within the meaning of the Securities Act, in connection with the purchase and sale of portfolio securities. |
3. | | Invest in any security if, as a result, 25% or more of the value of the Trusts total
assets, taken at market value at the time of each investment, are in the securities of issuers in any particular industry or group of
related industries, except that this policy shall not apply to (i) securities issued or guaranteed by the U.S. Government and its agencies
and instrumentalities or (ii) securities issued by state and municipal governments or their political subdivisions (other than those
municipal securities backed only by the assets and revenues of non-governmental users with respect to which the Trust will not invest
25% or more of the value of the Trusts total assets in securities backed by the same source of revenue). |
4. | | Purchase or sell real estate except that the Trust may: (a) acquire or lease office space
for its own use, (b) invest in securities of issuers that invest in real estate or interests therein or that are engaged in or operate
in the real estate industry, (c) invest in securities that are secured by real estate or interests therein, (d) purchase and sell mortgage-related
securities, (e) hold and sell real estate acquired by the Trust as a result of the ownership of securities and (f) as otherwise permitted
by applicable law. |
5. | | Purchase or sell physical commodities unless acquired as a result of ownership of securities
or other instruments; provided that this restriction shall not prohibit the Trust from purchasing or selling options, futures contracts
and related options thereon, forward contracts, swaps, caps, floors, collars and any other financial instruments or from investing in
securities or other instruments backed by physical commodities or as otherwise permitted by applicable law. |
6. | | Make loans of money or property to any person, except (a) to the extent that securities or
interests in which the Trust may invest are considered to be loans, (b) through the loan of portfolio securities in an amount up to 331/3%
of the Trusts total assets, (c) by engaging in repurchase agreements or (d) as may otherwise be permitted by applicable law. |
GBAB l GUGGENHEIM TAXABLE MUNICIPAL BOND &
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7. | | With respect to 75% of the value of the Trusts total assets, purchase any securities
(other than obligations issued or guaranteed by the U.S. Government or by its agencies or instrumentalities), if as a result more than
5% of the Trusts total assets would then be invested in securities of a single issuer or if as a result the Trust would hold more
than 10% of the outstanding voting securities of any single issuer. |
In addition to the foregoing fundamental investment policies, the
Trust is also subject to the following non-fundamental restrictions and policies, which may be changed by the board of trustees (the Board):
(a) | | In addition to the issuer diversification limits set forth in investment restriction (7)
above, under normal market conditions, the Trust will not purchase any securities (other than obligations issued or guaranteed by the
U.S. Government or by its agencies or instrumentalities), if as a result more than 15% of the Trusts total assets would then be
invested in securities of a single issuer; provided, however, that such limitation shall not apply during the period prior to the full
investment of the proceeds of any offering completed by the Trust. |
For purposes of applying the limitation set forth in subparagraph
(3) above to securities that have a security interest or other collateral claim on specified underlying collateral (including asset-backed
securities and collateralized debt and loan obligations) the Trust will determine the industry classifications of such investments based
on the Advisers evaluation of the risks associated with the collateral underlying such investments. For purposes of applying the
limitation set forth in subparagraph (3) above, such policy not to concentrate applies to the industry of non-governmental issuers (i.e.
securities not issued by state and municipal governments or their political subdivisions).
For the purpose of applying the limitation set forth in subparagraphs
(7) and (a) above, a governmental issuer shall be deemed the single issuer of a security when its assets and revenues are separate from
other governmental entities and its securities are backed only by its assets and revenues. Similarly, in the case of a nongovernmental
issuer, if the security is backed only by the assets and revenues of the non-governmental issuer, then such non-governmental issuer would
be deemed to be the single issuer. Where a security is also backed by the enforceable obligation of a superior or unrelated governmental
or other entity (other than a bond insurer), it shall also be included in the computation of securities owned that are issued by such
governmental or other entity. Where a security is guaranteed by a governmental entity or some other facility, such as a bank guarantee
or letter of credit, such a guarantee or letter of credit would be considered a separate security and would be treated as an issue of
such government, other entity or bank. When a municipal security is insured by bond insurance, it shall not be considered a security that
is issued or guaranteed by the insurer; instead, the issuer of such municipal security will be determined in accordance with the principles
set forth above. The foregoing restrictions do not limit the percentage of the Trusts assets that may be invested in municipal securities
insured by any given insurer.
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TRUST INFORMATION |
May 31, 2024 |
Board of Trustees |
Investment Adviser |
Randall C. Barnes
Angela Brock-Kyle
Amy J. Lee*
Thomas F. Lydon, Jr.
Ronald A. Nyberg
Sandra G. Sponem
Ronald E. Toupin, Jr.,
Chairman
* Trustee is an interested person (as
defined in Section 2(a)(19) of the 1940 Act)
(Interested Trustee) of the Trust because of
her affiliation with Guggenheim Investments.
Principal Executive Officers
Brian E. Binder
President and Chief Executive Officer
Joanna M. Catalucci
Chief Compliance Officer
Amy J. Lee
Vice President and Chief Legal Officer
Mark E. Mathiasen
Secretary
James M. Howley
Chief Financial Officer,
Chief Accounting Officer
and Treasurer |
Guggenheim Funds Investment
Advisors, LLC
Chicago, IL
Investment Sub-Adviser
Guggenheim Partners Investment
Management, LLC
Santa Monica, CA
Administrator and Accounting Agent
MUFG Investor Services (US), LLC
Rockville, MD
Custodian
The Bank of New York Mellon Corp.
New York, NY
Legal Counsel
Dechert LLP
Washington, D.C.
Independent Registered Public Accounting
Firm
Ernst & Young LLP
Tysons, VA |
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TRUST INFORMATION continued |
May 31, 2024 |
Privacy Principles of Guggenheim Taxable Municipal Bond & Investment
Grade Debt Trust for Shareholders
The Trust is committed to maintaining the privacy of its shareholders
and to safeguarding its non-public personal information. The following information is provided to help you understand what personal information
the Trust collects, how we protect that information and why, in certain cases, we may share information with select other parties.
Generally, the Trust does not receive any non-public personal information
relating to its shareholders, although certain non-public personal information of its shareholders may become available to the Trust.
The Trust does not disclose any non-public personal information about its shareholders or former shareholders to anyone except as permitted
by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).
The Trust restricts access to non-public personal information about
the shareholders to Guggenheim Funds Investment Advisors, LLC employees with a legitimate business need for the information. The Trust
maintains physical, electronic and procedural safeguards designed to protect the non-public personal information of its shareholders.
Questions concerning your shares of Guggenheim Taxable Municipal
Bond & Investment Grade Debt Trust?
| | If your shares are held in a Brokerage Account, contact your Broker. |
| | If you have physical possession of your shares in certificate form, contact the Trusts
Transfer Agent: Computershare Trust Company, N.A., P.O. Box 30170 College Station, TX 77842-3170; (866) 488-3559 or online at www.computershare.com/investor |
This report is provided to shareholders of Guggenheim Taxable Municipal
Bond & Investment Grade Debt Trust for their information. It is not a Prospectus, circular or representation intended for use in the
purchase or sale of shares of the Trust or of any securities mentioned in this report.
Paper copies of the Trusts annual and semi-annual shareholder
reports are not sent by mail, unless you specifically request paper copies of the reports. Instead, the reports are made available on
a website, and you are notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive paper copies of all future shareholder reports
free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you may receive
paper copies of your shareholder reports; if you invest directly with the Trust, you may call Computershare at 1-866-488-3559. Your election
to receive reports in paper form may apply to all funds held in your account with your financial intermediary or, if you invest directly,
to all Guggenheim closed-end funds you hold.
The Trusts Statement of Additional Information includes additional
information about directors of the Trust and is available, without charge, upon request, by calling the Trust at (888) 991-0091.
A description of the Trusts proxy voting policies and procedures
related to portfolio securities is available without charge, upon request, by calling the Trust at (888) 991-0091 and on the SEC's website
at www.sec.gov.
Information regarding how the Trust voted proxies for portfolio securities,
if applicable, during the most recent 12-month period ended June 30, is also available, without charge and upon request by calling (888)
991-0091, by visiting the Trusts website at guggenheiminvestments.com/gbab or by accessing the Trusts Form N-PX on the U.S.
Securities and Exchange Commissions (SEC) website at www.sec.gov.
The Trust files its complete schedule of portfolio holdings with the
SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended
prior to August 31, 2019, on Form N-Q. The Trusts Forms N-PORT and N-Q are available on the SEC website at www.sec.gov or at guggenheiminvestments.com/gbab.
Notice to Shareholders
Notice is hereby given in accordance with Section 23(c) of the Investment
Company Act of 1940, as amended, that the Trust from time to time may purchase shares of its common stock in the open market or in private
transactions.
ABOUT THE TRUST MANAGERS
GUGGENHEIM FUNDS INVESTMENT ADVISORS, LLC
Guggenheim Investments represents the investment management businesses
of Guggenheim Partners, LLC (Guggenheim), which includes Guggenheim Funds Investment Advisors, LLC (GFIA) the
investment adviser to the referenced fund. Collectively Guggenheim Investments has a long, distinguished history of serving institutional
investors, ultra-high-net-worth individuals, family offices and financial intermediaries. Guggenheim Investments offers clients a wide
range of differentiated capabilities built on a proven commitment to investment excellence.
Guggenheim Partners Investment Management, LLC
Guggenheim Partners Investment Management, LLC (GPIM)
is an indirect subsidiary of Guggenheim Partners, LLC, a diversified financial services firm. The firm provides capital markets services,
portfolio and risk management expertise, wealth management, and investment advisory services. Clients of Guggenheim Partners, LLC subsidiaries
are an elite mix of individuals, family offices, endowments, foundations, insurance companies and other institutions.
Investment Philosophy
GPIMs investment philosophy is predicated upon the belief that
thorough research and independent thought are rewarded with performance that has the potential to outperform benchmark indices with both
lower volatility and lower correlation of returns over time as compared to such benchmark indices.
Investment Process
GPIMs investment process is a collaborative effort between various
groups including the Portfolio Construction Group, which utilize proprietary portfolio construction and risk modeling tools to determine
allocation of assets among a variety of sectors, and its Sector Specialists, who are responsible for identifying investment opportunities
in particular securities within these sectors, including the structuring of certain securities directly with the issuers or with investment
banks and dealers involved in the origination of such securities.
Guggenheim Funds Distributors, LLC
227 West Monroe Street
Chicago, IL 60606
Member FINRA/SIPC
(07/24)
NOT FDIC-INSURED l NOT BANK-GUARANTEED l MAY LOSE VALUE
CEF-GBAB-AR-0524
Item 2. Code of Ethics.
(a) The
registrant has adopted a code of ethics (the "Code of Ethics") that applies to its principal executive officer, principal financial
officer, principal accounting officer or controller, or persons performing similar functions.
(b) No
information need be disclosed pursuant to this paragraph.
(c) The
registrant has not amended its Code of Ethics during the period covered by the report presented in Item 1 hereto.
(d) The
registrant has not granted a waiver or an implicit waiver to its principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions from a provision of its Code of Ethics during the period covered
by this report.
(e) Not
applicable.
(f) (1)
The registrant's Code of Ethics is attached hereto as Exhibit (a)(1).
(2) Not applicable.
(3) Not applicable.
Item 3. Audit Committee Financial
Expert.
The registrant's Board of Trustees has determined
that it has at least one audit committee financial expert serving on its audit committee (the “Audit Committee), Sandra G. Sponem.
Ms. Sponem is “independent,” meaning that she is not an “interested person” of the Registrant (as that term is
defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended) and she does not accept any consulting, advisory, or other
compensatory fee from the Registrant (except in her capacity as a Board or committee member).
Under applicable securities laws,
a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including
without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an
audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose
on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such
person as a member of the audit committee and Board of Trustees in the absence of such designation or identification. The designation
or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other
member of the audit committee or Board of Trustees.
Item 4. Principal Accountant Fees
and Services.
(a) Audit
Fees: the aggregate Audit Fees billed for professional services rendered by the principal accountant for the audit of the registrant's
annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings
or engagements were $73,495 and $71,354 for the fiscal years ended May 31, 2024
and May 31, 2023, respectively.
(b) Audit-Related
Fees: the aggregate Audit-Related Fees billed for assurance and related services by the principal accountant that are reasonably
related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph 4(a) of this
Item 4, were $28,950 and $19,167 for the fiscal
years ended May 31, 2024 and May 31, 2023
respectively.
(c) Tax Fees: the aggregate Tax Fees
billed for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning, including federal,
state and local income tax return preparation and related advice and determination of taxable income and miscellaneous tax advice were
$20,747 and $20,331 for the fiscal years
ended May 31, 2024 and May 31, 2023, respectively.
These services consisted of [(i) preparation of U.S. federal, state and excise tax returns; (ii) U.S. federal and state tax planning,
advice and assistance regarding statutory, regulatory or administrative developments, (iii) tax advice regarding tax qualification matters
and/or treatment of various financial instruments held or proposed to be acquired and (iv) review of U.S. federal excise distribution
calculations.
(d) All Other
Fees: the aggregate All Other Fees billed for products and services provided by the principal accountant, other than the services
reported in paragraphs (a) through (c) of this Item 4 were $0 and $0
for the fiscal years ended May 31, 2024 and May 31, 2023,
respectively.
(e) Audit Committee Pre-Approval
Policies and Procedures.
1. Pre-Approval Policy (Trusts).
Pre-approve any engagement of the independent auditors to provide any services, other than “prohibited non-audit services,”
to the Trust, including the fees and other compensation to be paid to the independent auditors (unless an exception is available under
Rule 2-01 of Regulation S-X).
(a) The categories of services to
be reviewed and considered for pre-approval include those services set forth under Section II.A.1. of the Background and Definitions
for Audit Committee Charter (collectively, “Identified Services”).
(b) The Committee
has pre-approved Identified Services for which the estimated fees are less than $25,000.
(c) For Identified Services with
estimated fees of $25,000 or more, but less than $50,000, the Chair or any member of the Committee designated by the Chair is hereby
authorized to pre-approve such Identified Services on behalf of the Committee.
(d) For Identified Services with
estimated fees of $50,000 or more, such Identified Services require pre-approval by the Committee.
(e) All requests for Identified
Services to be provided by the independent auditor that were pre-approved by the Committee shall be submitted to the Principal/Chief
Accounting Officer (“CAO”) of the Trust by the independent auditor using the pre-approval request form. The Trust’s
CAO will determine whether such services are included within the list of services that have received the general pre-approval of the
Committee.
(f) The independent auditors or
the CAO of the Trust (or an officer of the Trust who reports to the CAO) shall report to the Committee at each of its regular scheduled
meetings all audit, audit-related and permissible non-audit services initiated since the last such report (unless the services were contained
in the initial audit plan, as previously presented to, and approved by, the Committee). The report shall include a general description
of the services and projected fees, and the means by which such services were approved by the Committee (including the particular category
of Identified Services under which pre-approval was obtained).
2. Pre-Approval Policy (Adviser
or Any Control Affiliate). Pre-approve any engagement of the independent auditors, including the fees and other compensation to be paid
to the independent auditors, to provide any non-audit services to the Adviser (or any “control affiliate” of the Adviser
providing ongoing services to the Trust), if the engagement relates directly to the operations or financial reporting of the Trust (unless
an exception is available under Rule 2-01 of Regulation S-X).
(a) The Chair or any member of the
Committee designated by the Chair may grant the pre-approval for non-audit services to the Adviser (or any “control affiliate”
of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which
the estimated fees are less than $25,000. All such delegated pre-approvals shall be presented to the Committee no later than the next
Committee meeting.
(b) For non-audit services to the
Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations
or financial reporting of the Trust for which the estimated fees are $25,000 or more, such services require pre-approval by the Committee.
a. Pre-Approval Requirements
i. Categories
of Services to be Reviewed and Considered for Pre-Approval
1. Audit Services
a. Annual
financial statement audits
b. Seed audits
(related to new product filings, as required)
c. SEC and
regulatory filings and consents
2. Audit-Related
Services
a. Accounting consultations
b. Fund merger/reorganization support
services
c. Other accounting related matters
d. Agreed upon procedures reports
e. Attestation reports
f. Other internal
control reports
3. Tax Services
a. Recurring
tax services:
i. Preparation of Federal and
state income tax returns, including extensions
ii. Preparation of calculations
of taxable income, including fiscal year tax designations
iii.Preparation of annual Federal
excise tax returns (if applicable)
iv.Preparation of calendar year
excise distribution calculations
v. Calculation of tax equalization
on an as-needed basis
vi.Preparation of monthly/quarterly
estimates of tax undistributed position for closed-end funds
vii.Preparation of the estimated
excise distribution calculations on an as-needed basis
viii.Preparation of calendar year
shareholder reporting designations on Form 1099
ix.Preparation of quarterly Federal,
state and local and franchise tax estimated tax payments on an as-needed basis
x. Preparation of state apportionment
calculations to properly allocate Fund taxable income among the states for state tax filing purposes
xi.Assistance with management’s
identification of passive foreign investment companies (PFICs) for tax purposes
b. Permissible
non-recurring tax services upon request:
i. Assistance with determining
ownership changes which impact a Fund’s utilization of loss carryforwards
ii. Assistance with corporate
actions and tax treatment of complex securities and structured products
iii.Assistance with IRS ruling
requests and calculation of deficiency dividends
iv.Conduct training sessions for
the Adviser’s internal tax resources
v. Assistance with Federal, state,
local and international tax planning and advice regarding the tax consequences of proposed or actual transactions
vi.Tax services related to amendments
to Federal, state and local returns and sales and use tax compliance
vii.RIC qualification reviews
viii.Tax distribution analysis
and planning
ix.Tax authority examination services
x. Tax appeals support services
xi.Tax accounting methods studies
xii.Fund merger, reorganization
and liquidation support services
xiii.Tax compliance, planning
and advice services and related projects
xiv.Assistance with out of state
residency status
xv.Provision of tax compliance
services in India for Funds with direct investments in India
(2) None of the services described
in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation
S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed
by the registrant's accountant for services rendered to the registrant, the registrant’s investment adviser (not including a sub-adviser
whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and/or any entity
controlling, controlled by, or under common control with the adviser that provides ongoing services
to the registrant that directly related
to the operations and financial reporting of the registrant were $49,697 and $39,498
for the fiscal years ended May 31, 2024 and May
31, 2023, respectively.
(h) Not applicable.
(i) Not applicable
(j) Not applicable.
Item 5. Audit Committee of Listed
Registrants.
(a)
The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities
Exchange Act of 1934, as amended. The Audit Committee of the registrant is composed of: Randall C. Barnes; Angela Brock-Kyle; Thomas
F. Lydon, Jr.; Ronald A. Nyberg; Sandra G. Sponem; and Ronald E. Toupin, Jr.
(b) Not applicable.
Item 6. Schedule of Investments.
The Schedule of Investments is included
as part of Item 1.
Item 7. Financial Statements and
Financial Highlights for Open-End Management Investment Companies.
| (a) | Not
applicable to this registrant. |
| (b) | Not
applicable to this registrant. |
Item 8. Changes in and Disagreements
with Accountants for Open-End Management Investment Companies.
Not applicable to this registrant.
Item 9. Proxy Disclosures for
Open-End Management Investment Companies.
Not applicable to this registrant.
Item 10. Remuneration Paid to
Directors, Officers, and Others of Open-End Management Investment Companies.
Not applicable to this registrant.
Item 11. Statement Regarding Basis
for Approval of Investment Advisory Contract.
The statement regarding basis for approval of investment advisory contract is included in the annual report provided in Item 1. Reports to Stockholders.
Item 12. Disclosure of Proxy Voting
Policies and Procedures for Closed-End Management Investment Companies.
The registrant has delegated the
voting of proxies relating to its voting securities to the registrant’s investment sub-adviser, Guggenheim Partners Investment
Management, LLC (“GPIM”). GPIM’s proxy voting policies and procedures are included as Exhibit (c) hereto.
Item 13. Portfolio Managers of
Closed-End Management Investment Companies.
a)(1) GPIM
serves as sub-adviser for the registrant and is responsible for the day-to-day
management of the registrant’s portfolio. GPIM uses a team approach to manage client portfolios. Day to day management
of a client portfolio is conducted under the auspices of GPIM’s Portfolio Construction Group (“PCG”). PCG’s members
include the Chief Investment Officer (“CIO”) and other key investment personnel. The PCG, in consultation with the CIO, provides
direction for overall investment strategy. The PCG performs several duties as it relates to client portfolios including: determining
both tactical and strategic asset allocations; monitoring portfolio adherence to asset allocation targets; providing sector specialists
with direction for overall investment strategy, which may include portfolio design and the rebalancing of portfolios; performing risk
management oversight; assisting sector managers and research staff in determining the relative valuation of market sectors; and providing
a forum for the regular discussion of the economy and the financial markets to enhance the robustness of GPIM’s strategic and tactical
policy directives.
The
following individuals at GPIM share primary responsibility for the management of the registrant’s portfolio and is provided as
of May 31, 2024:
Name
|
Since |
Professional
Experience During the Last Five Years |
|
|
|
Anne Walsh, CFA, FLMI –
Managing Partner and CIO |
2021 |
Guggenheim
Partners Investment Management, LLC: Senior Managing Director and Assistant Chief Investment Officer – 2007–2021; Managing
Partner and CIO- Fixed Income - 2021- Present |
|
|
|
Allen Li - Managing
Director |
2021 |
Guggenheim Partners Investment Management, LLC.
Managing Director – 2014 to Present; Guggenheim Partners Investment Management, LLC – Director 2012 to 2014. |
Steve Brown –
Senior Managing Director and CIO, Fixed Income |
2021 |
Guggenheim Partners Investment Management, LLC
Senior Managing Director 2019- Present; Managing Director – 2016 to 2019; Guggenheim Partners Investment Management, LLC –
Director 2014 to 2016; Guggenheim Partners Investment Management, LLC – Vice President 2013 to 2014; Senior Associate 2012
to 2013. |
|
|
|
Adam Bloch –
Managing Director |
2021 |
Guggenheim Partners
Investment Management, LLC: Managing Director 2019- Present; Director – 2015- 2019; Vice President – 2014-2015; Senior
Associate – 2013-2014; Associate – 2012-2013. Bank of America Merrill Lynch: Associate – 2011-2012. |
|
|
|
Evan
Serdensky – Managing Director
|
2023 |
Guggenheim Partners
Investment Management, LLC: Managing Director 2023-Present; Director 2018-2023. |
|
|
|
|
|
(a)(2)(i-iii) Other Accounts Managed
by the Portfolio Managers
The following tables summarize information
regarding each of the other accounts managed by the GPIM portfolio managers as of May 31, 2024:
Anne Walsh:
|
|
|
|
|
|
|
|
|
Type
of Account |
|
Number
of Accounts |
Total
Assets in the Accounts |
|
Number
of Accounts In Which the Advisory Fee is Based on Performance |
Total
Assets in the Accounts In Which the Advisory Fee is Based on Performance |
Registered
investment companies |
|
19 |
$ 42,968,670,918
|
|
|
0 |
$ 0 |
Other
pooled investment vehicles |
|
5 |
$ 2,419,422,117
|
|
|
3 |
$ 1,625,959,739
|
|
Other
accounts
|
|
50 |
$ 116,636,639,894
|
|
|
1 |
$ 108,428,912
|
|
|
|
|
|
|
|
|
|
|
|
Allen
Li:
|
|
|
|
|
|
|
|
|
Type
of Account |
|
Number
of Accounts |
Total
Assets in the Accounts |
|
Number
of Accounts In Which the Advisory Fee is Based on Performance |
Total
Assets in the Accounts In Which the Advisory Fee is Based on Performance |
Registered
investment companies
|
|
2 |
$523,809,602
|
|
|
0 |
$0 |
Other
pooled investment vehicles |
|
0
|
$
0 |
|
|
0 |
$0 |
|
Other
accounts |
|
0 |
$
0 |
|
|
0 |
$0 |
|
|
|
|
|
|
|
|
|
|
|
Steve
Brown:
|
|
|
|
|
|
|
|
|
Type
of Account |
|
Number
of Accounts |
Total
Assets in the Accounts |
|
Number
of Accounts In Which the Advisory Fee is Based on Performance |
Total
Assets in the Accounts In Which the Advisory Fee is Based on Performance |
Registered
investment companies |
|
19 |
$ 42,968,670,918
|
|
|
0 |
$ 0 |
Other
pooled investment vehicles |
|
10 |
$ 3,052,476,916
|
|
|
3 |
$ 1,625,959,739
|
|
Other
accounts |
|
41 |
$ 20,878,576,145
|
|
|
1 |
$ 108,428,912
|
|
|
|
|
|
|
|
|
|
|
|
|
Adam
Bloch:
|
|
|
|
|
|
|
|
|
Type
of Account |
|
Number
of Accounts |
Total
Assets in the Accounts |
|
Number
of Accounts In Which the Advisory Fee is Based on Performance
|
Total
Assets in the Accounts In Which the Advisory Fee is Based on Performance |
Registered
investment companies |
|
21 |
$ 41,835,438,630
|
|
|
0 |
$ 0 |
Other
pooled investment vehicles |
|
10 |
$ 3,052,476,916
|
|
|
3 |
$ 1,625,959,739
|
|
Other
accounts |
|
41 |
$ 21,940,264,652
|
|
|
1 |
$ 108,428,912
|
|
|
|
|
|
|
|
|
|
|
|
|
Evan
Serdensky:
|
|
|
|
|
|
|
|
|
Type
of Account |
|
Number
of Accounts |
Total
Assets in the Accounts |
|
Number
of Accounts In Which the Advisory Fee is Based on Performance |
Total
Assets in the Accounts In Which the Advisory Fee is Based on Performance |
Registered
investment companies |
|
15 |
$ 41,619,741,153
|
|
|
0 |
$ 0 |
Other
pooled investment vehicles |
|
3 |
$ 1,595,795,612
|
|
|
1 |
$ 201,204,522
|
|
Other
accounts |
|
38 |
$ 20,866,143,560
|
|
|
1 |
$ 108,428,912
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)(2)(iv) Potential Conflicts of Interest
Actual or apparent
conflicts of interest may arise when a portfolio manager has day-to-day management responsibilities with respect to more than one fund
or other account. More specifically, portfolio managers who manage multiple funds and/or other accounts may be presented with one or
more of the following potential conflicts.
The management of multiple
funds and/or other accounts may result in a portfolio manager devoting unequal time and attention to the management of each fund and/or
other account. GPIM seeks to manage such competing interests for the time and attention of a portfolio manager by having the portfolio
manager focus on a particular investment discipline. Specifically, the ultimate decision maker for security selection for each client
portfolio is the Sector Specialist Portfolio Manager. They are responsible for analyzing and selecting specific securities that they
believe best reflect the risk and return level as provided in each client’s investment guidelines.
GPIM
may have clients with similar investment strategies. As a result, if an investment opportunity would be appropriate for more than one
client, GPIM may be required to choose among those clients in allocating such opportunity, or to allocate less of such opportunity to
a client than it would ideally allocate if it did not have to allocate to multiple clients. In addition, GPIM may determine that an investment
opportunity is appropriate for a particular account, but not for another.
Allocation
decisions are made in accordance with the investment objectives, guidelines, and restrictions governing the respective clients and in
a manner that will not unfairly favor one client over another. GPIM’s allocation policy provides that investment decisions must
never be based upon account performance or fee structure. Accordingly, GPIM’s allocation procedures are designed to ensure that
investment opportunities are allocated equitably among different client accounts over time. The procedures also seek to ensure reasonable
efficiency in client transactions and to provide portfolio managers with flexibility to use allocation methodologies appropriate to GPIM’s
investment disciplines and the specific goals and objectives of each client account.
In order to minimize
execution costs and obtain best execution for clients, trades in the same security transacted on behalf of more than one client may be
aggregated. In the event trades are aggregated, GPIM’s policy and procedures provide as follows: (i) treat all participating client
accounts fairly; (ii) continue to seek best execution; (iii) ensure that clients who participate in an aggregated order will participate
at the average share price with all transaction costs shared on a pro-rata basis based on each client’s participation in the transaction;
(iv) disclose its aggregation policy to clients.
GPIM,
as a fiduciary to its clients, considers numerous factors in arranging for the purchase and sale of clients’ portfolio securities
in order to achieve best execution for its clients. When selecting a broker, individuals making trades on behalf of GPIM clients consider
the full range and quality of a broker’s services, including execution capability, commission rate, price, financial stability
and reliability. GPIM is not obliged to merely get the lowest price or commission but also must determine whether the transaction represents
the best qualitative execution for the account.
In
the event that multiple broker/dealers make a market in a particular security, GPIM’s Portfolio Managers are responsible for selecting
the broker-dealer to use with respect to executing the transaction. The broker-dealer will be selected on the basis of how the transaction
can be executed to achieve the most favorable execution for the client under the circumstances. In many instances, there may only be
one counter-party active in a particular security at a given time. In such situations the Employee executing the trade will use his/her
best effort to obtain the best execution from the counter-party.
GPIM
and the registrant have adopted certain compliance procedures which are designed to address these types of conflicts. However, there
is no guarantee that such procedures will detect each and every situation in which a conflict arises.
(a)(3) Portfolio
Manager Compensation
GPIM compensates the portfolio
managers for their management of the registrant’s portfolio. Compensation is evaluated based on their contribution to investment
performance relative to pertinent benchmarks and qualitatively based on factors such as teamwork and client service efforts. GPIM’s
staff incentives may include: a competitive base salary, bonus determined by individual and firm wide performance, equity participation,
and participation opportunities in various GPIM investments. All GPIM employees are also eligible to participate in a 401(k) plan to
which GPIM may make a discretionary match after the completion of each plan year.
(a)(4) Portfolio Manager Securities Ownership
The following table discloses the dollar
range of equity securities of the registrant beneficially owned by each GPIM portfolio manager as of May 31, 2024:
Name of Portfolio
Manager
|
|
Dollar
Amount of Equity Securities in Fund
|
Anne Walsh |
|
$100,001-$500,000
|
Steve Brown
Allen Li |
|
None
None |
Adam Bloch |
|
None |
Evan Serdensky |
|
None |
Item 14. Purchases of Equity Securities
by Closed-End Management Investment Company and Affiliated Purchasers.
None.
Item 15. Submission of Matters
to a Vote of Security Holders.
The registrant has not made any material
changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.
Item 16. Controls and Procedures.
(a) The registrant's principal executive
officer and principal financial officer have evaluated the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act) as of a date within 90 days of this filing and have concluded based on such evaluation, as required
by Rule 30a-3(b) under the Investment Company Act, that the registrant's disclosure controls and procedures were effective, as of that
date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized,
and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b) There were no changes in the
registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred
during the registrant’s period covered by this report that have materially affected, or are reasonably likely to materially affect,
the registrant’s internal control over financial reporting.
Item 17. Disclosure of Securities
Lending Activities for Closed-End Management Investment Companies.
(a) The registrant has not participated
in securities lending activities during the period covered by this report.
(b) Not applicable
Item
18. Recovery of Erroneously Awarded Compensation.
(a) Not
applicable.
(b) Not
applicable
Item 19. Exhibits.
(a)(1) Code of Ethics for Chief Executive and Senior Financial Officers.
(a)(2) Certifications of principal executive officer and principal financial officer pursuant to Rule 30a-2(a) under the Investment Company Act.
(a)(3) Not applicable.
(b) Certification of principal executive officer and principal financial officer pursuant to Rule 30a-2(b) under the Investment Company Act and Section 906 of the Sarbanes-Oxley Act of 2002.
(c) Guggenheim
Partners Investment Management, LLC Proxy Voting Policies and Procedures.
(d) Consent of Independent Registered Public Accounting Firm.
SIGNATURES
Pursuant to the
requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Guggenheim Taxable
Municipal Bond & Investment Grade Debt Trust
By: /s/
Brian E. Binder
Name: Brian E. Binder
Title: President and Chief Executive
Officer
Date: August
2, 2024
Pursuant to the
requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/
Brian E. Binder
Name: Brian E. Binder
Title: President and Chief Executive
Officer
Date: August
2, 2024
By: /s/
James Howley
Name: James Howley
Title: Chief Financial Officer,
Chief Accounting Officer and Treasurer
Date: August
2, 2024
CODE
OF ETHICS FOR PRINCIPAL EXECUTIVE AND
SENIOR
FINANCIAL OFFICERS
I. Covered
Officers/Purpose of the Code
This
code of ethics (the “Code”) is applicable to Guggenheim Funds (each a “Company” and together the “Companies,”
each set forth in Exhibit A) and applies to the Companies’ President/CEO (Principal Executive Officer), and CFO/Treasurer (Principal
Financial and Accounting Officer) (the “Covered Officers”) for the purpose of promoting:
- honest
and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
- full,
fair, accurate, timely and understandable disclosure in reports and documents that a registrant files with, or submits to, the Securities
and Exchange Commission (“SEC”) and in other public communications made by the Company;
- compliance
with applicable laws and governmental rules and regulations;
- the
prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and
- accountability
for adherence to the Code.
Covered
Officers are expected to dedicate their best efforts to advancing the Trust’s interests and to use objective and unbiased standards
when making decisions that affect the Trust, while being sensitive to situations that may give rise to actual conflicts of interest,
as well as apparent conflicts of interest.
| II. | Covered
Officers Should Handle Ethically Actual and Apparent Conflicts of Interest |
Overview.
A “conflict of interest” occurs when a Covered Officer’s private interest interferes with the interests of, or
his or her service to, the Company. For example, a conflict of interest would arise if a Covered Officer, or a member of his or her family,
receives improper personal benefits as a result of his or her position with the Company.
Certain
conflicts of interest arise out of the relationships between Covered Officers and the Company and already are subject to conflict of
interest provisions in the Investment Company Act of 1940 (“Investment Company Act”) and the Investment Advisers Act of 1940
(“Investment Advisers Act”). For example, Covered Officers may not individually engage in certain transactions (such as the
purchase or sale of securities or other property) with the Company because of their status as “affiliated persons” of the
Company. The Company's and the investment adviser's compliance programs and procedures are designed to prevent, or identify and correct,
violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such
conflicts fall outside of the parameters of this Code.
Although
typically not presenting an opportunity for improper personal benefit, conflicts arise from, or result from, the contractual relationship
between the Company and the investment adviser of which the Covered Officers are also officers or employees. As a result, this Code recognizes
that the Covered Officers will, in the normal course of their duties (whether formally for the Company or for the adviser, or for both),
be involved in establishing policies and implementing decisions that will have different effects on the adviser and the Company. The
participation of the Covered Officers in such activities is inherent in the contractual relationship between the Company and the adviser
and is consistent with the performance by the Covered Officers of their duties as officers of the Company. Thus, if performed in conformity
with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled
ethically. In addition, it is recognized by the Funds’ Boards of Trustees (“Boards”) that the Covered Officers may
also be officers or employees of one or more other investment companies covered by this code.
Other
conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company
Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers
should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer
should not be placed improperly before the interest of the Company.
***
Each
Covered Officer must:
- not
use his or her personal influence or personal relationships improperly to influence investment decisions or financial reporting by the
Company whereby the Covered Officer would benefit personally to the detriment of the Company;
- not
cause the Company to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the
benefit the Company;
- report
at least annually his or her affiliations or other relationships which may give rise to conflicts of interest with the Funds (provided
that annual completion of the Funds’ Trustees and Officers Questionnaire shall satisfy the requirements of this bullet point).
There
are some conflict of interest situations that should always be discussed with the Secretary of the Funds (the "Secretary"),
or other senior legal officer, if material. Examples of these include: 1
- service
as a director on the board of any public company;
- the
receipt of any non-de minimus gifts;
- the
receipt of any entertainment from any company with which the Company has current or prospective business dealings unless such entertainment
is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety;
- any
ownership interest in, or any consulting or employment relationship with, any of the Company’s service providers, other than its
investment adviser, principal underwriter, administrator or any affiliated person thereof;
- a
direct or indirect financial interest in commissions, transaction charges or spreads paid by the Company for effecting portfolio transactions
or for selling or redeeming shares other than an interest arising from the Covered Officer’s employment, such as compensation or
equity ownership.
III.
Disclosure and Compliance
- Each
Covered Officer should familiarize himself or herself with the disclosure requirements generally applicable to the Company;
- each
Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Company to others, whether within
or outside the Company, including to the Company’s directors and auditors, and to governmental regulators and self-regulatory organizations;
- each
Covered Officer should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees
of the Funds and the adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and
documents the Funds file with, or submit to, the SEC and in other public communications made by the Funds; and
- it
is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules
and regulations.
| [1] | Any
activity or relationship that would present a conflict for a Covered Officer would likely
also present a conflict for the Covered Officer if a member of the Covered Officer’s
family engages in such an activity or has such a relationship. |
IV.
Reporting and Accountability
Each
Covered Officer must:
- upon
adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Board that he or she has
received, read, and understands the Code;
- annually
thereafter affirm to the Board that he or she has complied with the requirements of the Code;
- not
retaliate against any other Covered Officer or any employee of the Funds or their affiliated persons for reports of potential violations
that are made in good faith; and
- notify
the Secretary promptly if he or she knows of any violation of this Code. Failure to do so is itself a violation of this Code.
The
Secretary, or other designated senior legal officer of the Funds’ investment adviser, is responsible for applying this Code
to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation.2
However, any approvals or waivers3 sought by the President/ CEO will be considered by the Audit Committee of the Funds (the
“Committee”). The Chair of the Audit Committee of the Trust is authorized and encouraged to consult, as appropriate, with
the Chair of the Board of Trustees of the Trust, the Independent Trustees or the Board of Trustees of the Trust and/or with counsel to
the Trust, the Investment Adviser(s) or the Independent Trustees.
The
Independent Trustees are responsible for granting waivers of this Code of Ethics, as appropriate. Any changes to or waivers of this Code
of Ethics will be disclosed on Form N-CSR3 to the extent required by Securities and Exchange Commission rules.
The
Funds will follow these procedures in investigating and enforcing this Code:
- the
Secretary or other designated senior legal officer will take all appropriate action to investigate any potential violations reported
to him or her;
- if,
after such investigation, the Secretary believes that no violation has occurred, the Secretary is not required to take any further action;
- any
matter that the Secretary believes is a violation will be reported to the Committee;
- if
the Committee concurs that a violation has occurred, it will inform and make a recommendation to the Board, which will consider appropriate
action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate
personnel of the investment adviser or its board; or a recommendation to dismiss the Covered Officer as an officer of the Funds;
- the
Board will be responsible for granting waivers, as appropriate; and
- any
changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.
Nothing
in this Code, any agreement between the Audit Committee and Covered Officers or any other person serving the Trusts, or any Trust policy
or program, prohibits or restricts any person in any way from reporting possible violations of law or regulation to any governmental
agency or entity, or otherwise prevents anyone from participating,
| [2] | The Secretary or other designated senior legal officer is authorized to consult, as appropriate, with
counsel to the Company and counsel to the Independent Trustees, and is encouraged to do so. |
| [3] | Item 2 of Form N-CSR defines “waiver” as “the approval by the registrant of a material
departure from a provision of the code of ethics” and “implicit waiver,” which must also be disclosed, as “the
registrant’s failure to take action within a reasonable period of time regarding a material departure from a provision of the code
of ethics that has been made known to an executive officer” of the registrant. |
assisting, or testifying in any proceeding or investigation by any
such agency or entity or from making other disclosures that are protected and/or permitted under law or regulation. For more information,
please refer to the Guggenheim Capital, LLC Code of Conduct, available on OneGuggenheim.
V. Other
Policies and Procedures
This
Code shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules
and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds, the Funds’
adviser, principal underwriter, or other service providers govern or purport to govern the behavior or activities of the Covered Officers
who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this
Code. The Funds’ and their investment advisers’ and principal underwriters’ codes of ethics under Rule 17j-1 under
the Investment Company Act are separate requirements applying to the Covered Officers and others, and are not part of this Code.
VI.
Amendments
Any
amendments to this Code must be approved or ratified by a majority vote of the Board, including a majority of independent directors/trustees.
VII Confidentiality
All
reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected
accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Board and
its counsel, the Funds’ counsel, the Adviser and its counsel and any other advisers, consultants or counsel retained by the Board
of Trustees.
VIII.
Internal Use
The
Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Company, as to
any fact, circumstance, or legal conclusion.
Exhibit
A - Covered Entities
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust
Guggenheim
Strategic Opportunities Fund
Guggenheim
Active Allocation Fund
Guggenheim
Funds Trust
Guggenheim
Variable Funds Trust
Guggenheim
Strategy Funds Trust
Transparent
Value Trust
Rydex
Series Funds
Rydex
Dynamic Funds
Rydex
Variable Trust
Exhibit
P-2
CERTIFICATION
FORM
This
is to certify that I have received, read and understand the Code of Ethics for Chief Executive and Senior Financial Officers and that
I recognize that I am subject to the provisions thereof and will comply with the policy and procedures contained therein.
This
is to further certify that I have complied with the requirements of the Code of Ethics for Chief Executive and Senior Financial Officers.
Signature:
____________________
Name:
_______________________
Date:
____August 2, 2024____________________
Please
sign two copies of this Certification Form, return one copy to the Chief Compliance Officer and retain the other copy, together with
a copy of the Code of Ethics for Chief Executive and Senior Financial Officers, for your records.
EXHIBIT
(a)(2)
CERTIFICATION
OF CHIEF EXECUTIVE OFFICER
CERTIFICATIONS
I,
Brian E. Binder, certify that:
1.
I have reviewed this report on Form N-CSR of Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust;
2.
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the
period covered by this report;
3.
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material
respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required
to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4.
The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as
defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a)
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision,
to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in which this report is being prepared;
(b)
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under
our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements
for external purposes in accordance with generally accepted accounting principles;
(c)
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions
about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report
based on such evaluation; and
(d)
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period
covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control
over financial reporting: and
5.
The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's
board of directors (or persons performing the equivalent functions):
(a)
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are
reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and(b)
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal
control over financial reporting.
Date:
August 2, 2024
/s/ Brian E. Binder
Brian
E. Binder
President and Chief Executive Officer
CERTIFICATION
OF CHIEF FINANCIAL OFFICER
CERTIFICATIONS
I,
James Howley, certify that:
1.
I have reviewed this report on Form N-CSR of Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust;
2.
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the
period covered by this report;
3.
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material
respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required
to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4.
The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as
defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a)
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision,
to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in which this report is being prepared;
(b)
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under
our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements
for external purposes in accordance with generally accepted accounting principles;
(c)
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions
about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report
based on such evaluation; and
(d)
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period
covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control
over financial reporting: and
5.
The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's
board of directors (or persons performing the equivalent functions):
(a)
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are
reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
(b)
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal
control over financial reporting.
Date:
August 2, 2024
/s/
James Howley
James
Howley
Chief
Financial Officer, Chief Accounting Officer and Treasurer
EXHIBIT
(b)
Certification
of CEO and CFO Pursuant to
18
U.S.C. Section 1350,
as
Adopted Pursuant to
Section
906 of the Sarbanes-Oxley Act of 2002
In
connection with the Report on Form N-CSR of Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust (the “Issuer”)
for the annual period ended May 31, 2024 (the “Report”), Brian E. Binder, as President and Chief Executive Officer of the
Issuer, and James Howley, as Chief Financial Officer, Chief Accounting Officer and Treasurer of the Issuer, each hereby certifies, pursuant
to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of his knowledge:
| (1) | the
Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange
Act of 1934; and |
| (2) | the
information contained in the Report fairly presents, in all material respects, the financial
condition and results of operations of the Issuer. |
Dated: August
2, 2024
/s/
Brian E. Binder
Name: Brian E. Binder
Title: President
and Chief Executive Officer
/s/
James Howley
Name: James Howley
Title: Chief
Financial Officer, Chief Accounting Officer and Treasurer
Consent of Independent Registered Public Accounting
Firm
We consent to the references to our
firm under the captions “Senior Securities”, “Independent Registered Public Accounting Firm” and “Trust
Information” included in this Annual Report to Shareholders (Form N-CSR) for the year ended May 31, 2024.
We consent to the incorporation by
reference of our report dated July 26, 2024, with respect to the financial statements and financial highlights of Guggenheim Taxable Municipal
Bond & Investment Grade Debt Trust included in this Annual Report to Shareholders (Form N-CSR) for the year ended May 31, 2024,
into the Registration Statement (Form N-2, File No 333-267848), filed with the Securities and Exchange Commission.
/s/ Ernst & Young LLP
Tysons, Virginia
August 2, 2024
v3.24.2.u1
N-2
|
12 Months Ended |
May 31, 2024
shares
|
Cover [Abstract] |
|
Entity Central Index Key |
0001495825
|
Amendment Flag |
false
|
Document Type |
N-CSR
|
Entity Registrant Name |
Guggenheim
Taxable Municipal Bond & Investment Grade Debt Trust
|
General Description of Registrant [Abstract] |
|
Investment Objectives and Practices [Text Block] |
Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust
(the Trust) was organized as a Delaware statutory trust on June 30, 2010. The Trust is registered as a diversified, closed-end
management investment company under the Investment Company Act of 1940, as amended (the 1940 Act).
The Trusts primary investment objective is to provide current
income with a secondary objective of long-term capital appreciation. There can be no assurance that the Trust will achieve its investment
objectives. The Trusts investment objectives are considered fundamental and may not be changed without shareholder approval.
|
Latest Premium (Discount) to NAV [Percent] |
5.31%
|
Capital Stock, Long-Term Debt, and Other Securities [Abstract] |
|
Outstanding Security, Authorized [Shares] |
24,801,498
|
Document Period End Date |
May 31, 2024
|
Principal Risks [Member] |
|
General Description of Registrant [Abstract] |
|
Risk [Text Block] |
PRINCIPAL RISKS OF THE TRUST Investment in the Trust involves special risk considerations, which
are summarized below. The Trust is designed as a long-term investment and not as a trading vehicle. The Trust is not intended to be a
complete investment program. The Trusts performance and the value of its investments will vary in response to changes in interest
rates, inflation and other market and economic factors, among others. The fact that a particular risk below is not specifically identified
as being heightened under current conditions does not mean that the risk is not greater than under normal conditions.
|
Not A Complete Investment Program [Member] |
|
General Description of Registrant [Abstract] |
|
Risk [Text Block] |
Not a Complete Investment Program
An investment in the Common Shares of the Trust should not be considered
a complete investment program. The Trust is intended for long-term investors seeking current income and capital appreciation. An investment
in the Trust is not meant to provide a vehicle for those who wish to play short-term swings in the market. Each Common Shareholder should
take into account the Trusts investment objectives as well as the Common Shareholders other investments when considering an
investment in the Trust. Before making an investment decision, a prospective investor should consider (i) the suitability of this investment
with respect to his or her investment objectives and personal situation and (ii) factors such as his or her personal net worth, income,
age, risk tolerance and liquidity needs.
|
Investment And Market Risk [Member] |
|
General Description of Registrant [Abstract] |
|
Risk [Text Block] |
Investment and Market Risk An investment in the Common Shares is subject to investment risk,
including the possible loss of the entire principal amount that you invest. During periods of adverse economic, financial, market, geopolitical,
labor and public health conditions, the risks associated with an investment in Common Shares may be heightened.
An investment in the Common Shares represents an indirect investment
in the securities owned by the Trust. The value of, or income generated by, the investments held by the Trust are subject to the possibility
of rapid and unpredictable fluctuation, and loss. These fluctuations may occur frequently and in large amounts. These movements may result
from factors affecting individual companies or issuers or particular industries, or from broader influences, including real or perceived
changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates, adverse investor confidence or
sentiment, changing economic, political (including geopolitical), social or financial market conditions, tariffs and trade disruptions,
recession, changes in currency rates, increased instability or general uncertainty, extreme weather, natural/environmental or man-made
disasters, cyber attacks, terrorism, governmental or quasi-governmental actions, public health emergencies (such as the spread of infectious
diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the escalated conflict in
the Middle East and the ongoing Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings
downgrades, and other similar types of events, each of which may be temporary or last for extended periods. For example, the risks of
a borrowers default or bankruptcy or non-payment of scheduled interest or principal payments from senior floating rate interests
held by the Trust are especially acute under these conditions. Furthermore, interest rates may change and bond yields may fall as a result
of types of events, including responses by governmental entities to such events, which would magnify the Trusts fixed-income instruments
susceptibility to interest rate risk and diminish their yield and performance. Moreover, the Trusts investments in ABS are subject
to many of the same risks that are applicable to investments in securities generally, including interest rate risk, credit risk, foreign
currency risk, below investment grade securities risk, leverage risk, prepayment and extension risks and regulatory risk, which would be
elevated under the foregoing circumstances.
Moreover, changing economic, political, social, geopolitical or
financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the
investments held by the Trust in a different country or geographic region and economies, markets and issuers generally because of
the increasingly interconnected global economies and financial markets. As a result, there is an increased risk that geopolitical
and other events will disrupt economies and markets globally. For example, local or regional armed conflicts have led to significant
sanctions by the United States, Europe and other countries against certain countries (as well as persons and companies connected
with certain countries) and led to indirect adverse regional and global market, economic and other effects. It is difficult to
accurately predict or foresee when events or conditions affecting the U.S. or global financial markets, economies, and issuers may
occur, the effects of such events or conditions, potential escalations or expansions of these events, possible retaliations in
response to sanctions or similar actions and the duration or ultimate impact of those events. There is an increased likelihood that
these types of events or conditions can, sometimes rapidly and unpredictably, result in a variety of adverse developments and
circumstances, such as reduced liquidity, supply chain disruptions and market volatility, as well as increased general uncertainty
and broad ramifications for markets, economies, issuers, businesses in many sectors and societies globally. In addition, adverse
changes in one sector or industry or with respect to a particular company could negatively impact companies in other sectors or
industries or increase market volatility as a result of the interconnected nature of economies and markets and thus negatively
affect the Trusts performance. For example, developments in the banking or financial services sectors (or one or more
companies operating in these sectors) could adversely impact a wide range of companies and issuers. These types of adverse
developments could negatively affect the Trusts performance or operations.
Different sectors, industries and security types
may react differently to such developments and, when the market performs well, there is no assurance that the Trusts
investments will increase in value along with the broader markets and the Trusts investments may underperform general
securities markets or other investments. Periods of market stress and volatility of financial markets, including potentially extreme
stress and volatility caused by the events described above or similar circumstances, can expose the Trust to greater market risk
than normal, possibly resulting in greatly reduced liquidity, increased volatility and valuation risks, and longer than usual trade
settlement periods. The fewer the number of issuers in which the Trust invests and/or the greater the use of leverage, the greater
the potential volatility in the Trusts portfolio. GPIM potentially could be prevented from considering, managing and executing
investment decisions at an advantageous time or price or at all as a result of any domestic or global market or other disruptions,
particularly disruptions causing heightened market volatility and reduced market liquidity, which have also resulted in impediments
to the normal functioning of workforces, including personnel and systems of the Trusts service providers and market
intermediaries. The Trusts investments may decline in value or otherwise be adversely affected due to general market
conditions that are not specifically related to a particular issuer, such as real or perceived economic conditions, changes in
interest or currency rates or changes in investor sentiment or market outlook generally. The domestic political environment, as well as political and diplomatic
events within the United States and abroad, such as the U.S. budget and deficit reduction plan and foreign policy tensions with foreign
nations, including embargoes, tariffs, sanctions and other similar developments, have in the past resulted, and may in the future result,
in developments that present additional risks to the Trusts investments and operations. For example, additional and/or prolonged
U.S. federal government shutdowns or foreign policy tensions may affect investor and consumer confidence and may adversely impact financial
markets and the broader economy, perhaps suddenly and to a significant degree. Any market, economic and other disruption could also prevent
the Trust from executing its investment strategies and processes in a timely manner. Changes or disruptions in market conditions also
may lead to increased regulation of the Trust and the instruments in which the Trust may invest, which may, in turn, affect the Trusts
ability to pursue its investment objective and the Trusts performance. At any point in time, your Common Shares may be worth less
than your original investment, even after including the reinvestment of Trust dividends and distributions.
|
Management Risk [Member] |
|
General Description of Registrant [Abstract] |
|
Risk [Text Block] |
Management Risk
The Trust is subject to management risk because it has an actively
managed portfolio. GPIM will apply investment techniques and risk analysis in making investment decisions for the Trust, but there can
be no guarantee that these will produce the desired results. The Trusts allocation of its investments across various asset classes
and sectors may vary significantly over time based on GPIMs analysis and judgment. As a result, the particular risks most relevant
to an investment in the Trust, as well as the overall risk profile of the Trusts portfolio, may vary over time. The ability of the
Trust to achieve its investment objective depends, in part, on GPIMs investment decisions and the ability of GPIM to allocate effectively the Trusts assets among multiple investment strategies, Investment Funds and investments and asset classes. There can be
no assurance that the actual allocations will be effective in achieving the Trusts investment objective or that an investment strategy
or Investment Fund or investment will achieve its particular investment objective.
|
Municipal Securities Risk [Member] |
|
General Description of Registrant [Abstract] |
|
Risk [Text Block] |
Municipal Securities Risk Municipal securities are subject to a variety of risks generally associated
with investments in debt instruments, including credit, interest rate, prepayment, liquidity, and valuation risks as well as risks specific
municipal securities, and can be more volatile than other investments. Taxable municipal securities are subject to similar risks as tax-exempt
municipal securities. The ability of issuers of municipal securities to pay their obligations can be adversely affected by, among other
developments or events, (i) unfavorable legislative, tax, political or other developments or events, including extreme weather conditions,
natural or man-made disasters and public health conditions, (ii) changes in the economic and fiscal conditions of issuers of municipal
securities or the federal government (in cases where it provides financial support to such issuers), and (iii) litigations involving such
issuers. In addition, the values of, and income generated by, municipal securities may fully or partially depend on a specific revenue
or tax source, such as the taxing authority or revenue of a local government, the credit of a private issuer, or the current or anticipated
revenues from a specific project. Developments adversely affecting such sources, such as economic, social or public health conditions,
would negatively impact the cash flows of such sources and, in turn, municipal securities fully or partially backed by such sources. Moreover,
the income, value and/ or risk of municipal securities is often correlated to specific project or other revenue sources (such as taxes),
which can be negatively affected by, among other things, demographic trends, such as population shifts or changing tastes and values, or increasing
vacancies or declining rents or property values resulting from legal, cultural, technological, global or local economic developments,
as well as reduced demand for properties, revenues or goods or services.
To the extent the Trust invests a substantial portion of its assets
in municipal securities issued by issuers in a particular state, municipality or project, the Trust will be particularly sensitive to
developments and events adversely affecting such state or municipality or with respect to a particular project. Certain sectors of the
municipal bond market have special risks that can affect them more significantly than the market as a whole. Because many municipal instruments
are issued to finance similar projects (such as education, health care, transportation and utilities), conditions in these industries
can significantly affect the overall municipal market. Also, municipal securities backed by current or anticipated revenues from a specific
project or assets can be negatively affected by the discontinuance of taxation or reduction of revenue supporting the project or assets.
Municipal securities that are insured may be adversely affected by
developments relevant to that particular insurer, or more general developments relevant to the market as a whole. The Trusts vulnerability
to potential losses associated with such developments may be reduced through investment in municipal securities that feature credit enhancements
(such as bond insurance). Although insurance may reduce the credit risk of a municipal security, it does not protect against fluctuations
in the value of the Trusts shares caused by market changes. It is important to note that, although insurance may increase the credit
safety of investments held by the Trust, it decreases the Trusts yield as the Trust may pay for the insurance directly or indirectly.
In addition, while the obligation of a municipal bond insurance company to pay a claim extends over the life of an insured bond, there
is no assurance that insurers will meet their claims. A higher-than-anticipated default rate on municipal bonds (or other insurance the
insurer provides) could strain the insurers loss reserves and adversely affect its ability to pay claims to bondholders.
Municipal securities can be difficult to value and be less liquid than
other investments, which may affect performance. Additionally, the amount of publicly available information about certain municipal securities
and their risks is generally less than that for corporate equities or bonds, and the investment performance of the Trusts municipal
securities investments, and their risks, may therefore be more dependent on the analytical abilities of the Adviser than its investment
in certain other securities. Information related to municipal securities and their risks may be provided by the municipality itself, which
may not always be accurate. The secondary market for municipal securities, particularly below investment grade municipal securities, also
tends to be less well-developed or liquid than many other securities markets, which may adversely affect the Trusts ability to sell
such securities at prices approximating those at which the Trust may currently value them.
Investments in municipal securities are subject to risks associated
with the financial health of the issuers of such securities or the revenue associated with underlying projects or other sources. For example,
social, political, economic, market or public health conditions can, and have at times, significantly stressed the financial resources
of many municipalities and other issuers of municipal securities, which may adversely affect their ability to meet their financial obligations
and the value or liquidity of the Trusts investments in municipal securities. A number of municipal issuers, in the past, have defaulted
on obligations, been downgraded or commenced insolvency proceedings. Financial difficulties of issuers of municipal securities may occur
in the future and the financial condition of such issuers may decline quickly. The ability of municipal issuers to make timely payments of interest and principal may be diminished during general
economic downturns and as governmental cost burdens are reallocated among federal, state and local governments. The taxing power of any
governmental entity may be limited by provisions of state constitutions or laws and an entitys credit will depend on many factors,
including the entitys tax base, the extent to which the entity relies on federal or state aid and other factors which are beyond
the entitys control. In addition, laws enacted or that may be enacted in the future by governmental authorities could extend the
time for payment of principal and/or interest, or impose other constraints on enforcement of such obligations or on the ability of municipalities
to levy taxes.
Moreover, as a result of economic, market and other factors, there
could be reduced tax or other revenue available to issuers of municipal securities and, in turn, increased budgetary and financial pressure
on the municipality and other issuers of municipal securities, which could increase the risks associated with municipal securities of
such issuer. As a result, the Trusts investments in municipal obligations or other securities may be subject to heightened risks
relating to the occurrence of such developments. Issuers of municipal securities might seek protection under bankruptcy laws. In the event
of bankruptcy of such an issuer, holders of municipal securities could experience delays in collecting principal and interest and such
holders may not be able to collect all principal and interest to which they are entitled. Legislative developments may result in changes
to the laws relating to municipal bankruptcies, which may adversely affect the Trusts investments in municipal securities.
|
When Issued And Delayed Delivery Transactions Risk [Member] |
|
General Description of Registrant [Abstract] |
|
Risk [Text Block] |
When-Issued and Delayed Delivery Transactions Risk
Securities purchased on a when-issued or delayed delivery basis may
expose the Trust to counterparty risk of default as well as the risk that securities may experience fluctuations in value prior to their
actual delivery. The Trust generally will not accrue income with respect to a when-issued or delayed delivery security prior to its stated
delivery date. Purchasing securities on a when-issued or delayed delivery basis can involve the additional risk that the price or yield
available in the market when the delivery takes place may not be as favorable as that obtained in the transaction itself.
|
Debt Investments Risk [Member] |
|
General Description of Registrant [Abstract] |
|
Risk [Text Block] |
Debt Instruments Risk The value of the Trusts investments in debt instruments (including
bonds issued by non-profit entities, municipal conduits and project finance corporations) depends on the continuing ability of the debt
issuers to meet their obligations for the payment of interest and principal when due. The ability of debt issuers to make timely payments
of interest and principal can be affected by a variety of developments and changes in legal, political, economic and other conditions.
For example, litigation, legislation or other political events, local business or economic conditions or the bankruptcy of an issuer could
have a significant effect on the ability of the issuer to make timely payments of principal and/or interest.
Investments in debt instruments present certain risks, including credit,
interest rate, liquidity and prepayment risks. Issuers that rely directly or indirectly on government funding mechanisms or non¬profit
statutes, may be negatively affected by actions of the government, including reductions in government spending, increases in tax rates,
and changes in fiscal policy.
The value of a debt instrument may decline for many reasons that directly
relate to the issuer, such as a change in the demand for the issuers goods or services, or a decline in the issuers performance, earnings or assets. In addition, changes in the financial
condition of an individual issuer can affect the overall market for such instruments.
|
Municipal Conduit Bond Risk [Member] |
|
General Description of Registrant [Abstract] |
|
Risk [Text Block] |
Municipal Conduit Bond Risk
Municipal conduit bonds, also referred to as private activity bonds
or industrial revenue bonds, are bonds issued by state and local governments or other entities for the purpose of financing the projects
of certain private enterprises. Unlike municipal bonds, municipal conduit bonds are not backed by the full faith, credit or general taxing
power of the issuing governmental entity. Rather, issuances of municipal conduit bonds are backed solely by revenues of the private enterprise
involved. Municipal conduit bonds are therefore subject to heightened credit risk, as the private enterprise involved can have a different
credit profile than the issuing governmental entity. Municipal conduit bonds may be negatively impacted by conditions affecting either
the general credit of the private enterprise or the project itself. Factors such as competitive pricing, construction delays, or lack
of demand for the project could cause project revenues to fall short of projections, and defaults could occur. Municipal conduit bonds
tend to have longer terms and thus are more susceptible to interest rate risk.
|
Corporate Bond Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Corporate Bond Risk
Corporate bonds are debt obligations issued by corporations and other
business entities. Corporate bonds may be either secured or unsecured. Collateral used for secured debt includes real property, machinery,
equipment, accounts receivable, stocks, bonds or notes. If a bond is unsecured, it is known as a debenture. Bondholders, as creditors,
have a prior legal claim over common and preferred stockholders as to both income and assets of the corporation for the principal and
interest due them and may have a prior claim over other creditors if liens or mortgages are involved. Interest on corporate bonds may
be fixed or floating, or the bonds may be zero coupons. Interest on corporate bonds is typically paid semi-annually and is fully taxable
to the bondholder. Corporate bonds contain elements of both interest-rate risk and credit risk and are subject to the risks associated
with Income Securities, among other risks. The market value of a corporate bond generally is expected to rise and fall inversely with
interest rates and be affected by the credit rating of the corporation, the corporations performance and perceptions of the corporation
in the marketplace. Depending on the nature of the seniority provisions, a senior corporate bond may be junior to other credit securities
of the issuer. The market value of a corporate bond may be affected by factors directly related to the issuer, such as investors
perceptions of the creditworthiness of the issuer, the issuers financial performance, perceptions of the issuer in the market place,
performance of management of the issuer, the issuers capital structure and use of financial leverage and demand for the issuers
goods and services. There is a risk that the issuers of corporate bonds may not be able to meet their obligations on interest or principal
payments at the time called for by an instrument or at all. Corporate bonds of below investment grade quality are often high risk and
have speculative characteristics and may be particularly susceptible to adverse issuer-specific developments and other developments.
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Project Finance Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Project Finance Risk Project finance is a type of financing commonly used for infrastructure,
industry, and public service projects. In a project finance arrangement, the cash flow generated by the project is used to repay lenders
while the projects assets, rights and interest are held as secondary collateral. Investors involved in project finance face heightened technology risk, operational
risk, and market risk because the cash flow generated by the project, rather than the revenues of the company behind the project, will
repay investors. In addition, because of the project-specific nature of such arrangements, the Trust face the risk of loss of investment
if the company behind the project determines not to complete it.
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Risks Of Investing In Debt Issued By Non Profit Institutions [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Risks of Investing in Debt Issued by Non-Profit Institutions
Investing in debt issued by non-profit institutions, including foundations,
museums, cultural institutions, colleges, universities, hospitals and healthcare systems, involves different risks than investing in municipal
bonds. Many non-profit entities are tax-exempt under Section 501(c)(3) of the Internal Revenue Code of 1986, as amended (the Code)
and risk losing their tax-exempt status if they do not comply with the requirements of that section. There is a risk that Congress or
the IRS could pass new laws or regulations changing the requirements for tax-exempt status, which could result in a non-profit institution
losing such status. Additionally, non-profit institutions that receive federal and state appropriations face the risk of a decrease in
or loss of such appropriations.
Hospitals and healthcare systems are highly regulated at the federal
and state levels and face burdensome state licensing requirements. There is a risk that a state could refuse to renew a hospitals
license or that the passage of new laws or regulations, especially changes to Medicare or Medicaid reimbursement, could inhibit a hospital
from growing its revenues. Hospitals and healthcare systems also face risks related to increased competition from other health care providers;
increased costs of inpatient and outpatient care; and increased pressures from managed care organizations, insurers, and patients to cut
the costs of medical care.
There is a risk that non-profit institutions relying on philanthropy
and donations to maintain their operations will receive less funding during economic downturns or other periods of adverse market, economic
or political conditions.
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Taxable Municipal Securities Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Taxable Municipal Securities Risk
While interest earned on municipal securities is generally not subject
to federal tax, any interest earned on taxable municipal securities is fully taxable at the federal level and may be subject to tax at
the state level. Additionally, litigation, legislation or other political events, local business or economic conditions or the bankruptcy
of the issuer could have a significant effect on the ability of an issuer of municipal securities to make payments of principal and/or
interest. Political changes and uncertainties in the municipal market related to taxation, legislative changes or the rights of municipal
security holders can significantly affect municipal securities. Because many securities are issued to finance similar projects, especially
those relating to education, health care, transportation and utilities, conditions in those sectors can affect the overall municipal market.
In addition, changes in the financial condition of an individual municipal issuer can affect the overall municipal market.
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Build America Bonds Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Build America Bonds Risk BABs were an alternative form of financing to state and local governments
whose primary means for accessing the capital markets had been through issuance of tax-free municipal bonds. The BABs market is smaller
and less diverse than the broader municipal securities market. In addition, because the relevant provisions of the American Recovery and
Reinvestment Act of 2009 were not extended, bonds issued after December 31, 2010 cannot qualify as BABs. It is
uncertain whether Congress will renew the program to permit issuance of new BABs. As a result, the number of available BABs is limited,
which may negatively affect the value of the BABs. In addition, there can be no assurance that BABs will be actively traded. It is difficult
to predict the extent to which a market for such bonds will continue, meaning that BABs may experience greater illiquidity than other
municipal obligations. Because issuers of direct payment BABs held in the Trusts portfolio receive reimbursement from the U.S. Treasury
with respect to interest payments on bonds, there is a risk that those municipal issuers will not receive timely payment from the U.S.
Treasury and may remain obligated to pay the full interest due on direct payment BABs held by the Trust. Under the sequestration process
under the Budget Control Act of 2011, automatic spending cuts that became effective on March 1, 2013 reduced the federal subsidy for BABs
and other subsidized taxable municipal bonds. In addition, pursuant to the requirements of the Balanced Budget and Emergency Deficit Control
Act of 1985, as amended, refund payments issued to and refund offset transactions for BABS are subject to sequestration. The subsidy payments
were reduced by 6.6% in 2018, 6.2% in 2019, 5.9% in 2020 and 5.7% between 2021 and 2030. Furthermore, it is possible that a municipal
issuer may fail to comply with the requirements to receive the direct pay subsidy or that a future Congress may further reduce or terminate
the subsidy altogether. In addition, the Code contains a general offset rule (the IRS Offset Rule) which allows for the possibility
that subsidy payments to be received by issuers of BABs may be subject to offset against amounts owed by them to the federal government.
Moreover, the Internal Revenue Service (the IRS) may audit the agencies issuing BABs and such audits may, among other things,
examine the price at which BABs are initially sold to investors. If the IRS concludes that a BAB was mispriced based on its audit, it
could disallow all or a portion of the interest subsidy received by the issuer of the BAB. The IRS Offset Rule and the disallowance of
any interest subsidy as a result of an IRS audit could potentially adversely affect a BABs issuers credit rating, and adversely affect the issuers ability to repay or refinance BABs. This, in turn, could adversely affect the ratings and value of the BABs held
by the Trust and the Trusts net asset value. The IRS has withheld subsidies from several states and municipalities.
BABs involve similar risks as traditional municipal bonds, including
credit, interest rate and market risk. Because certain states were heavy issuers of BABs, the Trust may have a greater exposure to the
economic or other factors affecting such states than a more diversified national municipal bond fund. BABs may be subject to greater reinvestment
risk, as BABs with attractive above-market purchase yields mature or are called.
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Income Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Income Risk The income investors receive from the Trust is based primarily or
in part on the interest it earns from its investments in Income Securities, which can vary widely over the short- and long-term. If prevailing
market interest rates drop, investors income from the Trust could drop as well. The Trusts income could also be affected adversely
when prevailing short-term interest rates increase and the Trust is utilizing leverage, although this risk may be mitigated to the extent
the Trust invests in floating-rate obligations, or when an issuer defaults, among other adverse developments.
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Income Securities Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Income Securities Risk In addition to the risks discussed above, Income Securities (notably
the value and income of such investments), including high-yield bonds, are subject to certain risks, including: Issuer Risk. The
value of Income Securities may decline for a number of reasons which directly relate to the issuer, such as management performance, the
issuers overall level of debt, reduced demand for the issuers goods and services, historical and projected earnings, and the
value of its assets.
Spread Risk. Spread
risk is the risk that the market price can change due to broad based movements in spreads. The difference (or spread) between
the yield of a security and the yield of a benchmark measures the additional interest paid. As the spread on a security widens (or increases),
the price (or value) of the security falls. Spread widening may occur, among other reasons, as a result of market concerns over the stability
of the market, excess supply, general credit concerns in other markets, security- or market-specific credit concerns, or general reductions
in risk tolerance.
Credit Risk. The
Trust could lose money if the issuer or guarantor of a debt instrument, a counterparty to a derivatives transaction or other transaction
(such as a repurchase agreement or a loan of portfolio securities or other instruments) or other obligor to the Trust is unable or unwilling,
or perceived (whether by market participants, rating agencies, pricing services or otherwise) to be unable or unwilling, to pay interest
or repay principal on time or defaults or otherwise fails to meet its obligations. This risk is heightened in market environments where
interest rates are changing, notably when rates are rising or when refinancing obligations becomes more challenging. If an issuer fails
to pay interest, the Trusts income would likely be reduced, and if an issuer fails to repay principal, the value of the instrument
and income generated by the instrument likely would fall and the Trust could lose money, including potentially the entire value of the
investment. This risk is especially acute with respect to below investment grade debt instruments (commonly referred to as high-yield
or junk bonds) and unrated high risk debt instruments, whose issuers are particularly susceptible to fail to meet principal
or interest obligations.
Also, the issuer, guarantor or counterparty may suffer adverse changes
in its financial condition, the value of its assets, prospective earnings, demands for its goods and services or be adversely affected
by economic, political or social conditions that could lower the credit quality (or the markets perception of the credit quality)
of the issuer or instrument, guarantor or counterparty, leading to greater volatility in the price of the instrument and in shares of
the Trust. Although credit quality rating may not accurately reflect the true credit risk of an instrument, credit quality (and credit
risks) may change over time and a change in the credit quality rating of an instrument or an issuer can have a rapid, adverse effect on
the instruments value, price volatility and liquidity and make it more difficult for the Trust to sell at an advantageous price or
time. The risk of the occurrence of these types of events is heightened in market environments where interest rates are changing, notably
when rates are rising. In addition, under adverse market or economic conditions, an increasing number of issuers may be unprofitable,
have little cash on hand and/or are unable to pay the interest owed on their debt obligations and the number of such issuers may increase
if demand for their goods and services falls, borrowing costs rise due to governmental action or inaction or other reasons.
The degree of credit risk depends on the particular instrument, the
adequacy or lack of collateral or credit enhancements and the financial condition of the issuer, guarantor (including the guarantor of
the collateral or credit enhancements, if any) or counterparty, which are often reflected in its credit quality, and may change over time.
A credit quality rating is a measure of the issuers expected ability to make all required interest and principal payments in a timely
manner. An issuer with the highest credit rating has a very strong capacity with respect to making all payments. An issuer with the second-highest credit rating has a strong capacity to make
all payments, but the degree of safety is somewhat less. An issuer with the lowest credit quality rating may be in default or have extremely
poor prospects of making timely payment of interest and principal. Credit ratings assigned by rating agencies are based on a number of
factors and subjective judgments and therefore do not necessarily represent an issuers actual financial condition or the volatility
and liquidity of the security. Although higher-rated securities generally present lower credit risk as compared to lower-rated or unrated
securities, an issuer with a high credit rating may in fact be exposed to heightened levels of credit or liquidity risk. Credit ratings
(or average credit risk of the portfolio) may not be an accurate assessment of liquidity or credit risk and do not reflect market risk.
If an issuer, guarantor or counterparty declares bankruptcy or is
declared bankrupt, the Trust would be adversely affected in its ability to receive principal or interest owed or otherwise to enforce the
financial obligations of the other party. The Trust may be subject to increased costs associated with the bankruptcy process and experience
losses as a result of the deterioration of the financial condition of the issuer, guarantor or counterparty. The risks to the Trust related
to such bankruptcies are elevated during periods of adverse markets, economic and similar developments.
Interest Rate Risk. Fixed-income
and other debt instruments are subject to the possibility that interest rates could change (or are expected to change). Changes in interest
rates (or the expectation of such changes), including changes in reference rates used in fixed-income and other debt instruments (such
as Term SOFR), may adversely affect the Trusts investments in these instruments, such as the value or liquidity of, and income generated
by, the investments or increase risks associated with such investments, such as credit or default risks. In addition, changes in interest
rates, including rates that fall below zero, can have unpredictable effects on markets and can adversely affect the Trusts yield,
income and performance. Generally, when interest rates increase, the values of fixed-income and other debt instruments decline and when
interest rates decrease, the values of fixed-income and other debt instruments rise. Changes in interest rates also adversely affect the
yield generated by certain Income Securities or result in the issuance of lower yielding Income Securities.
The impact of interest rate changes on a fixed-income or other debt
instrument depends on several factors, notably the instruments duration. The value of a debt instrument with a longer duration will
generally be more sensitive to interest rate changes than a similar instrument with a shorter duration. Similarly, the longer the average
duration (whether positive or negative) of these instruments held by the Trust or to which the Trust is exposed (i.e., the longer the
average portfolio duration of the Trust), the more the Trusts NAV will likely fluctuate in response to interest rate changes. Duration
is a measure used to determine the sensitivity of a securitys price to changes in interest rates that incorporates a securitys
yield, coupon, final maturity and call features, among other characteristics. For example, the NAV per share of a bond fund with an average
duration of eight years would be expected to fall approximately 8% if interest rates rose by one percentage point.
However, measures such as duration may not accurately reflect the
true interest rate sensitivity of instruments held by the Trust and, in turn, the Trusts susceptibility to changes in interest rates.
Certain fixed-income and debt instruments are subject to the risk that the issuer may exercise its right to redeem (or call) the instrument
earlier than anticipated. Although an issuer may call an instrument for a variety of reasons, if an issuer does so during a time of declining
interest rates, the Trust might have to reinvest the proceeds in an investment offering a lower yield or other less favorable features, and therefore might not benefit from any increase
in value as a result of declining interest rates. Interest only or principal only securities and inverse floaters are particularly sensitive
to changes in interest rates, which may impact the income generated by the security, its value and other features of the security.
Instruments with variable or floating interest rates generally are
less sensitive to interest rate changes, but may decline in value if their interest rates do not rise as much or as fast as interest rates
in general. Conversely, in a decreasing interest rate environment, these instruments will generally not increase in value and the Trusts
investment in instruments with floating interest rates may prevent the Trust from taking full advantage of decreasing interest rates in
a timely manner. In addition, the income received from such instruments will likely be adversely affected by a decrease in interest rates.
Adjustable rate securities also react to interest rate changes in
a similar manner as fixed-rate securities but generally to a lesser degree depending on the characteristics of the security, in particular
its reset terms (i.e., the index chosen, frequency of reset and reset caps or floors). During periods of rising interest rates, because
changes in interest rates on adjustable rate securities may lag behind changes in market rates, the value of such securities may decline
until their interest rates reset to market rates. These securities also may be subject to limits on the maximum increase in interest rates.
During periods of declining interest rates, because the interest rates on adjustable rate securities generally reset downward, their market
value is unlikely to rise to the same extent as the value of comparable fixed rate securities. These securities may not be subject to
limits on downward adjustments of interest rates.
During periods of rising interest rates, issuers of debt instruments
or ABS may pay principal later or more slowly than expected, which may reduce the value of the Trusts investment in such securities
and may prevent the Trust from receiving higher interest rates on proceeds reinvested in other instruments. During periods of falling
interest rates, issuers of debt securities or ABS may pay off debts more quickly or earlier than expected, which could cause the Trust to
be unable to recoup the full amount of its initial investment and/or cause the Trust to reinvest proceeds or matured, traded or called
securities in lower-yielding securities, thereby reducing the Trusts yield or otherwise adversely impacting the Trust.
Certain debt instruments, such as instruments with a negative duration
or inverse instruments, are also subject to interest rate risk, although such instruments generally react differently to changes in interest
rates than instruments with positive durations. The Trusts investments in these instruments also may be adversely affected by changes
in interest rates. For example, the values of instruments with negative durations, such as inverse floaters, generally decrease if interest
rates decline. Certain fixed-income and debt instruments, including inverse floaters, interest only securities and principal only securities
are especially sensitive to interest rate changes, which may affect the income flows these securities generate as well as their values.
The U.S. Federal Reserve (Federal Reserve) has increased
interest rates at significant levels over recent periods. It is difficult to predict how long, and whether the Federal Reserves current
stance on interest rates will persist and the impact these actions will have on the economy and the Trusts investments and the markets
where they trade. Such actions may have unforeseen consequences and materially affect economic and market conditions, the Trusts
investments and the Trusts performance. The Federal Reserves monetary policy is subject
to change at any time and potentially frequently based on a variety of market and economic conditions.
The Trusts use of leverage will tend to increase the Trusts
interest rate risk. The Trust may utilize certain strategies, including taking positions in futures or interest rate swaps, for the purpose
of seeking to reduce the interest rate sensitivity of credit securities held by the Trust or any leverage being employed by the Trust
and seeking to decrease the Trusts exposure to interest rate risk. The Trust is not required to hedge its exposure to interest rate
risk and may choose not to do so. In addition, there is no assurance that any attempts by the Trust to seek to reduce interest rate risk
will be successful or that any hedges that the Trust may establish will perfectly correlate with movements in interest rates.
Current Fixed-Income and Debt
Market Conditions. Fixed-income and
debt market conditions are highly unpredictable, and some parts of the market are subject to dislocations. In response to the inflation
rates in recent periods, governmental authorities have implemented significant fiscal and monetary policy changes, including increasing
interest rates and implementation of quantitative tightening. These actions present heightened risks, particularly to fixed-income and
debt instruments, and such risks could be even further heightened if these actions are ineffective in achieving their desired outcomes
or are quickly reversed. It is difficult to accurately predict changes in the Federal Reserves monetary policies and the effect of
any such changes or policies. Certain economic conditions and market environments will expose fixed-income and debt instruments to heightened
volatility and reduced liquidity, which can impact the Trusts investments and may negatively impact the Trusts characteristics,
which in turn would impact performance. To the extent the Trust invests in derivatives tied to fixed-income or related markets, the Trust
can be more substantially exposed to these risks than if it did not invest in such derivatives. The liquidity levels of the Trusts
portfolio may also be affected and the Trust could be required to sell holdings at disadvantageous times or prices.
Reinvestment Risk. Reinvestment
risk is the risk that income from the Trusts portfolio will decline if the Trust invests the proceeds from matured, traded or called
Income Securities at interest rates that are below the Trust portfolios current earnings rate. A decline in income could affect the
Common Shares market price or the overall return of the Trust. These or similar conditions may also occur in the future.
Extension Risk. Certain
debt instruments, including MBS and ABS, are subject to the risk that payments on principal may occur at a slower rate or later than expected.
In this event, the expected maturity could lengthen as short or intermediate-term instruments become longer-term instruments, which would
make the investment more sensitive to changes in interest rates. The likelihood that payments on principal will occur at a slower rate
or later than expected is heightened in market environments where interest rates are higher or rising. In addition, the Trusts investment
may sharply decrease in value and the Trusts income from the investment may quickly decline. These types of instruments are particularly
subject to extension risk, and offer less potential for gains, during periods of rising interest rates. In addition, the Trust may be delayed
in its ability to reinvest income or proceeds from these instruments in potentially higher yielding investments, which would adversely
affect the Trust to the extent its investments are in lower interest rate debt instruments. Thus, changes in interest rates may cause volatility
in the value of and income received from these types of debt instruments. Prepayment Risk. Certain
debt instruments, including loans and mortgage and ABS, and, to a lesser extent variable or floating rate investments, are subject to
the risk that payments on principal may occur more quickly or earlier than expected (or an investment is converted or redeemed prior to
maturity). These types of instruments are particularly subject to prepayment risk, and offer less potential for gains, during periods of
declining interest rates. For example, an issuer may exercise its right to redeem outstanding debt securities prior to their maturity
(known as a call) or otherwise pay principal earlier than expected for a number of reasons (e.g., declining interest rates,
changes in credit spreads and improvements in the issuers credit quality). If an issuer calls or prepays a security
in which the Trust has invested, the Trust may not recoup the full amount of its initial investment and may be required to reinvest in
generally lower-yielding securities, securities with greater credit risks or securities with other, less favorable features or terms than
the security in which the Trust initially invested, thus potentially reducing the Trusts yield. Income Securities frequently have
call features that allow the issuer to repurchase the security prior to its stated maturity. Loans and mortgage- and other ABS are particularly
subject to prepayment risk, and offer less potential for gains, during periods of declining interest rates (or narrower spreads) as issuers
of higher interest rate debt instruments pay off debts earlier than expected. In addition, the Trust may lose any premiums paid to acquire
the investment. Other factors, such as excess cash flows, may also contribute to prepayment risk. Thus, changes in interest rates may
cause volatility in the value of and income received from these types of debt instruments.
Variable or floating rate investments may be less vulnerable to prepayment
risk. Most floating rate loans and fixed-income securities allow for prepayment of principal without penalty. Accordingly, the potential
for the value of a floating rate loan or security to increase in response to interest rate declines is limited. Corporate loans or fixed-income
securities purchased to replace a prepaid corporate loan or security may have lower yields than the yield on the prepaid corporate loan
or security.
Valuation of Certain Income
Securities Risk. GPIM may use the fair
value method to value investments if market quotations for them are not readily available or are deemed unreliable, or if events occurring
after the close of a securities market and before the Trust values its assets would materially affect net asset value. Because the secondary
markets for certain investments may be limited, they may be particularly difficult to value. Where market quotations are not readily available,
valuation may require more research than for more liquid investments. In addition, elements of judgment may play a greater role in valuation
in such cases than for investments with a more active secondary market because there is less reliable objective data available. A security
that is fair valued may be valued at a price higher or lower than the value determined by other funds using their own fair valuation procedures.
Prices obtained by the Trust upon the sale of such securities may not equal the value at which the Trust carried the investment on its
books, which would adversely affect the net asset value of the Trust.
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Duration Management Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Duration Management Risk The Trusts managers expect to employ investment and trading
strategies to seek to maintain the leverage-adjusted duration of the Trusts portfolio at generally less than 15 years. Such strategies
include, among others, security selection and the use of financial products. Financial products may include US treasury swaps, total return
swaps and futures contracts, among others. The Trust seeks to invest in instruments that provide the Trust with protection against
interest rate volatility while providing income to the Trust. Duration is a measure of a bonds price sensitivity to changes in interest
rates, expressed in years. Duration is a weighted average of the times that interest payments and the final return of principal are received.
The weights are the amounts of the payments discounted by the yield to maturity of the bond.
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Financial Leverage And Leveraged Transactions Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Financial Leverage and Leveraged Transactions Risks Although the use of Financial Leverage and leveraged transactions
by the Trust may create an opportunity for increased after-tax total return for the Common Shares, it also results in additional risks
and can magnify the effect of any losses. If the income and gains earned on securities purchased with Financial Leverage and leveraged
transaction proceeds are greater than the cost of Financial Leverage and leveraged transactions, the Trusts return will be greater
than if Financial Leverage and leveraged transactions had not been used. Conversely, if the income or gains from the securities purchased
with such proceeds does not cover the cost of Financial Leverage and leveraged transactions, the return to the Trust will be less than
if Financial Leverage and leveraged transactions had not been used. There can be no assurance that a leveraging strategy will be implemented
or that it will be implemented or that it will be successful during any period during which it is employed.
Financial Leverage and leveraged transactions involve risks and special
considerations for shareholders, including the likelihood of greater volatility of NAV and market price of, and dividends on, the Common
Shares than a comparable portfolio without leverage; the risk that fluctuations in interest rates on borrowings and short-term debt or
in the dividend rates on any preferred shares (if any) that the Trust must pay will reduce the return to the Common Shareholders; and
the effect of Financial Leverage and leveraged transactions in a declining market, which is likely to cause a greater decline in the NAV
of the Common Shares than if the Trust were not leveraged, which may result in a greater decline in the market price of the Common Shares.
Because the fees received by the Adviser and Sub-Adviser are based
on the Managed Assets of the Trust (including the proceeds of any Financial Leverage), the Adviser and Sub-Adviser has a financial incentive
for the Trust to utilize Financial Leverage, which may create a conflict of interest between the Adviser and Sub-Adviser on the one hand
and the Common Shareholders on the other. Common Shareholders bear a portion of the investment advisory fee attributable to the assets
purchased with the proceeds of Financial Leverage, which means that Common Shareholders effectively bear the entire advisory fee.
It is also possible that the Trust will be required to sell assets,
possibly at a loss, in order to redeem or meet payment obligations on any leverage. Such a sale would reduce the Trusts net asset
value and also make it difficult for the net asset value to recover. The Trust in its best judgment nevertheless may determine to continue
to use Financial Leverage if it expects that the benefits to the Trusts shareholders of maintaining the leveraged position will
outweigh the current reduced return.
Indebtedness may subject the Trust to covenants in credit
agreements relating to asset coverage and portfolio composition requirements. Indebtedness by the Trust also may subject the Trust
to certain restrictions on investments imposed by guidelines of one or more rating agencies, which may issue ratings for such
indebtedness. Such guidelines may impose asset coverage or portfolio composition requirements that are more stringent than those
imposed by the 1940 Act. It is not anticipated that these covenants or guidelines will impede the Adviser or GPIM from
managing the Trusts portfolio in accordance with the Trusts investment objectives and policies.
The Trust may enter into reverse repurchase agreements with the same
parties with whom it may enter into repurchase agreements (as described below). Under a reverse repurchase agreement, the Trust would
sell securities or other assets and agree to repurchase them at a particular price at a future date. Reverse repurchase agreements involve
the risks that the interest income earned on the investment of the proceeds will be less than the interest expense and Trust expenses
associated with the repurchase agreement, that the market value of the securities or other assets sold by the Trust may decline below
the price at which the Trust is obligated to repurchase such securities and that the securities may not be returned to the Trust. There
is no assurance that reverse repurchase agreements can be successfully employed. In connection with reverse repurchase agreements, the
Trust will also be subject to counterparty risk with respect to the purchaser of the securities.
In the event of the insolvency of the counterparty to a reverse repurchase
agreement, recovery of the securities or other assets sold by the Trust may be delayed. The counterpartys insolvency may result
in a loss equal to the amount by which the value of the securities or other assets sold by the Trust exceeds the repurchase price payable
by the Trust; if the value of the purchased securities or other assets increases during such a delay, that loss may also be increased.
When the Trust enters into a reverse repurchase agreement, any fluctuations in the market value of either the securities or other assets
transferred to another party or the securities or other assets in which the proceeds may be invested would affect the market value of the
Trusts assets. As a result, such transactions may increase fluctuations in the NAV of the Common Shares.
The Trusts use of leverage through reverse repurchase agreements,
dollar rolls and economically similar transactions will be included when calculating the Trusts Financial Leverage and therefore
will be limited by the Trusts maximum overall Financial Leverage levels approved by the Board of Trustees and may be further limited
by the applicable requirements of the SEC discussed herein.
In addition, the Trust may engage in certain derivatives transactions
that have economic characteristics similar to leverage. The Trusts obligations under such transactions will not be considered indebtedness
for purposes of the 1940 Act but the Trusts use of such transactions may be limited by the applicable requirements of the SEC. The
Trusts obligations under reverse repurchase agreements, dollar roll transactions, and derivatives transactions may have economic
characteristics similar to leverage.
The Trust may have Financial Leverage and leveraged transactions outstanding
during a short-term period during which such Financial Leverage and leveraged transactions may not be beneficial to the Trust if GPIM
believes that the long-term benefits to Common Shareholders of such Financial Leverage and leveraged transactions would outweigh the costs
and portfolio disruptions associated with redeeming and reissuing or closing out and reopening such Financial Leverage and leveraged transactions.
However, there can be no assurance that GPIMs judgment in weighing such costs and benefits will be correct.
Economic and market events have at times caused severe market volatility
and liquidity strains in the credit markets. The terms of the Trusts credit facility include a variable interest rate. Accordingly,
during periods when interest rates or the applicable reference rate for the credit facility rise or there are dislocations in the credit
markets, the Trusts leverage costs may increase and there is a risk that the Trust may not be able to renew or replace existing leverage on
favorable terms or at all. If the cost of leverage is no longer favorable, or if the Trust is otherwise required to reduce its leverage,
the Trust may not be able to maintain distributions on Common Shares at historical levels and Common Shareholders will bear any costs
associated with selling portfolio securities. The cost of leverage and the risks highlighted above are heightened during periods of rising
interest rates.
The Trusts total Financial Leverage and leveraged transactions
may vary significantly over time. To the extent the Trust increases its amount of Financial Leverage and leveraged transactions outstanding,
it will be more exposed to associated risks.
Investments in Investment Funds and certain other pooled and structured
finance vehicles, such as collateralized loan obligations, frequently expose the Trust to an additional layer of financial leverage and,
thus, increase the Trusts exposure to leverage risk. From time to time, the Trust may invest a significant portion of its assets
in Investment Funds that employ leverage.
The Trust is required to trade derivatives and other transactions
that create future payment or delivery obligations (except reverse repurchase agreements and similar financing transactions) subject to
value-at-risk (VaR) leverage limits and derivatives risk management program and reporting requirements. Generally, these requirements
apply unless a fund satisfies a limited derivatives users exception that is included in Rule 18f-4. When the Trust trades
reverse repurchase agreements or similar financing transactions, including certain tender option bonds, it needs to aggregate the amount
of indebtedness associated with the reverse repurchase agreements or similar financing transactions with the aggregate amount of any other
senior securities representing indebtedness when calculating the Trusts asset coverage ratio or treat all such transactions as derivatives
transactions. Reverse repurchase agreements or similar financing transactions aggregated with other indebtedness do not need to be included
in the calculation of whether a fund satisfies the limited derivatives users exception, but for funds subject to the VaR testing requirement,
reverse repurchase agreements and similar financing transactions must be included for purposes of such testing whether treated as derivatives
transactions or not. The SEC also provided guidance regarding the use of securities lending collateral that may limit the Trusts
securities lending activities. In addition, the Trust is permitted to invest in a security on a when-issued or forward-settling basis,
or with a non-standard settlement cycle, and the transaction will be deemed not to involve a senior security, provided that (i) the Trust
intends to physically settle the transaction and (ii) the transaction will settle within 35 days of its trade date (the Delayed-Settlement
Securities Provision). The Trust may otherwise engage in such transactions that do not meet the conditions of the Delayed-Settlement
Securities Provision so long as the Trust treats any such transaction as a derivatives transaction for purposes of compliance
with the rule. Furthermore, under the rule, the Trust is permitted to enter into an unfunded commitment agreement, and such unfunded commitment
agreement will not be subject to the asset coverage requirements under the 1940 Act, if the Trust reasonably believes, at the time it
enters into such agreement, that it will have sufficient cash and cash equivalents to meet its obligations with respect to all such agreements
as they come due. These requirements may limit the ability of the Trust to use derivatives, reverse repurchase agreements and similar
financing transactions, and the other relevant transactions as part of its investment strategies. These requirements may increase the
cost of the Trusts investments and cost of doing business, which could adversely affect investors. The Adviser has filed with the National Futures Association a notice
of eligibility claiming an exclusion from the definition of commodity pool operator (CPO) under CFTC Rule 4.5
under the Commodity Exchange Act, as amended (the CEA), with respect to the Trusts operation. Accordingly, the Adviser
with respect to the Trust is not subject to registration or regulation as a CPO. Changes to the Trusts investment strategies or
investments may cause the Adviser with respect to the Trust to lose the benefits of the exclusion under CFTC Rule 4.5 under the CEA and
may trigger additional CFTC regulation as a CPO. If the Trust becomes subject to CFTC regulation, the Trust or the Adviser may incur additional
expenses.
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Inflation Or Deflation Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Inflation/Deflation Risk
Inflation risk is the risk that the intrinsic value of assets or income
from investments will be worth less in the future as inflation decreases the purchasing power and value of money. As inflation increases,
the real value of the Common Shares and distributions can decline. Inflation rates may change frequently and significantly as a result
of various factors, including unexpected shifts in the domestic or global economy and changes in monetary or economic policies (or expectations
that these policies may change), and the Trusts investments may not keep pace with inflation, which would adversely affect the Trust.
The market price of debt instruments generally falls as inflation increases because the purchasing power of the future income and repaid
principal is expected to be worth less when received by the Trust. The risk of inflation is greater for debt instruments with longer maturities
and especially those that pay a fixed rather than variable interest rate. Inflation has reached historically high levels in recent periods,
and the Federal Reserve has increased interest rates significantly to seek to reduce it. In addition, during any periods of rising inflation,
the dividend rates or borrowing costs associated with the Trusts use of Financial Leverage would likely increase, which would tend
to further reduce returns to Common Shareholders. Deflation risk is the risk that prices throughout the economy decline over timethe
opposite of inflation. Deflation may have an adverse effect on the creditworthiness of issuers and may make issuer default more likely,
which may result in a decline in the value of the Trusts portfolio.
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Insurance Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Insurance Risk The Trust may purchase municipal securities that are secured by insurance,
bank credit agreements or escrow accounts. The credit quality of the companies that provide such credit enhancements will affect the value
of those securities. Certain significant providers of insurance for municipal securities have in the past incurred significant losses
as a result of exposure to sub-prime mortgages and other lower credit quality investments that experienced recent defaults or otherwise
suffered extreme credit deterioration. As a result, such losses reduced the insurers capital and called into question their continued
ability to perform their obligations under such insurance if they are called upon to do so in the future. While an insured municipal security
will typically be deemed to have the rating of its insurer, if the insurer of a municipal security suffers a downgrade in its credit rating
or the market discounts the value of the insurance provided by the insurer, the rating of the underlying municipal security will be more
relevant and the value of the municipal security would more closely, if not entirely, reflect such rating. In such a case, the value of
insurance associated with a municipal security would decline and may not add any value. The insurance feature of a municipal security
normally provides that it guarantees the full payment of principal and interest when due through the life of an insured obligation, but
does not guarantee the market value of the insured obligation or the net asset value of the Common Shares attributable to such insured
obligation. There is no assurance that insurers will meet their claims.
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Below Investment Grade Securities Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Below-Investment Grade Securities Risk The Trust may invest in Income Securities rated below-investment grade
or, if unrated, determined by GPIM to be of comparable credit quality, which are commonly referred to as high-yield or junk
bonds. Investment in securities of below-investment grade quality involves substantial risk of loss, the risk of which is particularly
acute under adverse economic conditions. Income Securities of below investment grade quality are predominantly speculative with respect
to the issuers continuing capacity to pay interest and repay principal when due and therefore involve a greater risk of default
or decline in market value or income due to adverse economic and issuer-specific developments compared to investment grade bonds. Securities
of below-investment grade quality are often issued by companies without long track records of earnings or sales or by companies with lesser
credit profiles and may be more volatile than higher-rated securities of similar maturity. Securities of below-investment grade quality generally involve a greater
risk of default or decline in market value or income due to adverse economic and issuer-specific developments, such as operating results
and outlook and to real or perceived adverse economic and competitive industry conditions. Generally, the risks associated with below-investment
grade securities are heightened during times of weakening economic conditions or rising interest rates (particularly for issuers that
are highly leveraged). If the Trust is unable to sell an investment at its desired time, the Trust may miss other investment opportunities
while it holds investments it would prefer to sell, which could adversely affect the Trusts performance. In addition, the liquidity
of any Trust investment may change significantly over time as a result of market, economic, trading, issuer-specific and other factors.
Accordingly, the performance of the Trust and a shareholders investment in the Trust may be adversely affected if an issuer is unable
to pay interest and repay principal, either on time or at all. Issuers of below-investment grade securities are not perceived to be as
strong financially as those with higher credit ratings. These issuers are more vulnerable to financial setbacks and recessions and other
adverse economic developments than more creditworthy issuers, which may impair their ability to make interest and principal payments.
Income Securities of below-investment grade quality display increased price sensitivity to changing interest rates and to a deteriorating
economic environment. The market values, total return and yield for securities of below investment grade quality tend to be more volatile
than the market values, total return and yield for higher-quality securities. Securities of below investment grade quality tend to be
less liquid than investment grade debt securities and therefore more difficult to value accurately and sell at an advantageous price or
time and may involve greater transactions costs and wider bid/ask spreads, than higher-quality securities. Additionally, issuers of below-investment
grade securities may have the right to call or redeem the issue prior to its maturity, which could result in the Trust having
to reinvest in other below-investment grade or other securities at a lower interest rate or with other less favorable terms. This may
be more likely during a declining interest rate environment. To the extent that a secondary market does exist for certain below-investment
grade securities, the market for them may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement
periods. Because of the substantial risks associated with investments in below-investment grade securities, you could have an increased
risk of losing money on your investment in Common Shares, both in the short-term and the long-term. To the extent that the Trust invests
in securities that have not been rated by a nationally recognized statistical rating organization, the Trusts ability to achieve
its investment objectives will be more dependent on GPIMs credit analysis than
would be the case when the Trust invests in rated securities. Investment in lower-medium and lower-rated debt securities may involve
greater investment risk and the success of such investment is highly dependent on GPIMs credit analysis. The value of securities
of below-investment grade quality is particularly vulnerable to changes in interest rates and a real or perceived economic downturn or
higher interest rates could cause a decline in prices of such securities by lessening the ability of issuers to make principal and interest
payments. These securities may not be listed on an exchange and are often thinly traded or subject to irregular trading and can be more
difficult to sell and value accurately than higher-quality securities because there tends to be less public information available about
these securities. Because objective pricing data may be less available, judgment may play a greater role in the valuation process. In
addition, the entire below-investment grade market can experience sudden and sharp price swings due to a variety of factors, including
changes in economic forecasts, stock market activity, large or sustained sales by major investors, a high-profile default, or a change
in the markets perception regarding below-investment grade securities. Adverse conditions could make it difficult at times for the
Trust to sell certain securities or could result in lower prices than those used in calculating the Trusts NAV. During periods of
deteriorating economic conditions, such as recessions or periods of rising unemployment, or changing interest rates (notably increases),
below-investment grade securities are particularly susceptible to credit and default risk as delinquencies, non-payment rates and losses
could increase, and such increases could be sudden and significant. An economic downturn or individual corporate developments could adversely
affect the market for these investments and reduce the Trusts ability to sell these investments at an advantageous time or price.
These or similar types of developments could cause below-investment grade securities to lose significant market value, including before
a default occurs.
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Repurchase Agreement Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Repurchase Agreement Risk The Trust may enter into bilateral and tri-party repurchase agreements.
In a typical Trust repurchase agreement, the Trust enters into a contract with a broker, dealer, or bank (the counterparty
to the transaction) for the purchase of securities or other assets. The counterparty agrees to repurchase the securities or other assets
at a specified future date, or on demand, for a price that is sufficient to return to the Trust its original purchase price, plus an additional
amount representing the return on the Trusts investment. Such repurchase agreements economically function as a secured loan from
the Trust to a counterparty. If the counterparty defaults on the repurchase agreement, the Trust will retain possession of the underlying
securities or other assets. If bankruptcy proceedings are commenced with respect to the seller, realization on the collateral by the Trust
may be delayed or limited and the Trust may incur additional costs. In such case, the Trust will be subject to risks associated with changes
in market value of the collateral securities or other assets. The Trust intends to enter into repurchase agreements only with brokers,
dealers, or banks or other permitted counterparties after the Adviser (or the Sub-Adviser) evaluates the creditworthiness of the counterparty.
The Trust will not enter into repurchase agreements with the Adviser or the Sub-Adviser or their affiliates. Except as provided under applicable
law, the Trust may enter into repurchase agreements without limitation. Repurchase agreements collateralized fully by cash items, U.S. government
securities or by securities issued by an issuer that the Adviser or GPIM has determined at the time the repurchase agreement is entered into has an exceptionally strong capacity to meet its financial
obligations (Qualifying Collateral) and meet certain liquidity standards generally may be deemed to be collateralized
fully and may be deemed to be investments in the underlying securities for certain purposes. The Trust may accept collateral other
than Qualifying Collateral determined by the Adviser or the Sub-Adviser to be in the best interests of the Trust to accept as collateral
for such repurchase agreement (which may include high yield debt instruments that are rated below investment grade) (Alternative
Collateral). Repurchase agreements secured by Alternative Collateral are not deemed to be collateralized fully under
applicable regulations and the repurchase agreement is therefore considered a separate security issued by the counterparty to the Trust.
Accordingly, the Trust must include repurchase agreements that are not collateralized fully in its calculations of securities
issued by the selling institution held by the Trust for purposes of various portfolio diversification and concentration requirements applicable
to the Trust. In addition, Alternative Collateral may not qualify as permitted or appropriate investments for the Trust under the Trusts
investment strategies and limitations. Accordingly, if a counterparty to a repurchase agreement defaults and the Trust takes possession
of Alternative Collateral, the Trust may need to promptly dispose of the Alternative Collateral (or other securities held by the Trust,
if the Trust exceeds a limitation on a permitted investment by virtue of taking possession of the Alternative Collateral). The Alternative
Collateral may be particularly illiquid, especially in times of market volatility or in the case of a counterparty insolvency or bankruptcy,
which may restrict the Trusts ability to dispose of Alternative Collateral received from the counterparty. Depending on the terms
of the repurchase agreement, the Trust may determine to sell the collateral during the term of the repurchase agreement and then purchase
the same collateral at the market price at the time of the resale. In tri-party repurchase agreements, an unaffiliated third party custodian
maintains accounts to hold collateral for the Trust and its counterparties and, therefore, the Trust may be subject to the credit risk
of those custodians.
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Sector Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Sector Risk The Trust may invest a significant portion of its managed assets
in certain sectors which may subject the Trust to additional risk and variability. To the extent that the Trust focuses its managed
assets in the hospital and healthcare facilities sector, for example, the Trust will be subject to risks associated with such
sector, including adverse government regulation and reduction in reimbursement rates, as well as government approval of products and
services and intense competition. Securities issued with respect to special taxing districts will be subject to various risks,
including real-estate development related risks and taxpayer concentration risk. Further, the fees, special taxes or tax allocations
and other revenues established to secure the obligations of securities issued with respect to special taxing districts are generally
limited as to the rate or amount that may be levied or assessed and are not subject to increase pursuant to rate covenants or
municipal or corporate guarantees. To the extent that the Trust focuses its managed assets in the education sector, for example, the
Trust will be subject to risks associated with such sector, including unanticipated revenue decline resulting primarily from a
decrease in student enrollment or reductions in state and federal funding, restrictions on students ability to pay tuition,
and declining general economic conditions or fluctuations in interest rates, which may lead to declining or insufficient revenues.
In addition, charter schools and other private educational facilities are subject to various risks, including the reversal of
legislation authorizing or funding charter schools, the failure to renew or secure a charter, the failure of a funding entity to
appropriate necessary funds and competition from alternatives such as voucher programs. Issuers of municipal utility securities can
be significantly affected by government regulation, financing difficulties, supply and
demand of services or fuel and natural resource conservation. The transportation sector, including airports, airlines, ports and other
transportation facilities, can be significantly affected by changes in the economy, fuel prices, maintenance, labor relations, insurance
costs and government regulation.
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Short Sales Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Short Sales Risk
The Trust may make short sales of securities. Short selling a security
involves selling a borrowed security with the expectation that the value of that security will decline, so that the security may be purchased
at a lower price when returning the borrowed security. If the price of the security sold short increases between the time of the short
sale and the time the Trust replaces the borrowed security, the Trust will incur a loss; conversely, if the price declines, the Trust
will realize a capital gain. Any gain will be decreased, and any loss will be increased, by the transaction costs incurred by the Trust,
including the costs associated with providing collateral to the broker-dealer (usually cash and liquid securities) and the maintenance
of collateral with its custodian. Although the Trusts gain is limited to the price at which it sold the security short, its potential
loss is theoretically unlimited and may be greater than a direct investment in the security itself because the price of the borrowed or
reference security may rise. The Trust may not always be able to close out a short position at a particular time or at an acceptable price.
A lender may request that borrowed securities be returned to it on short notice, and the Trust may have to buy the borrowed securities
at an unfavorable price, resulting in a loss. The Trust may have to pay a premium to borrow the securities and must pay any dividends
or interest payable on the securities until they are replaced, which will be expenses of the Trust. Short sales also subject the Trust
to risks related to the lender (such as bankruptcy risks) or the general risk that the lender does not comply with its obligations. Government
actions also may affect the Trusts ability to engage in short selling. The use of physical short sales is typically more expensive
than gaining short exposure through derivatives.
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Special Risks Related To Certain Municipal Securities [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Special Risks Related to Certain Municipal Securities The Trust may invest in municipal leases and certificates of participation
in such leases. Municipal leases and certificates of participation involve special risks not normally associated with general obligations
or revenue bonds. Leases and installment purchase or conditional sale contracts (which normally provide for title to the leased asset
to pass eventually to the governmental issuer) have evolved as a means for governmental issuers to acquire property and equipment without
meeting the constitutional and statutory requirements for the issuance of debt. The debt issuance limitations are deemed to be inapplicable
because of the inclusion in many leases or contracts of non-appropriation clauses that relieve the governmental issuer of
any obligation to make future payments under the lease or contract unless money is appropriated for such purpose by the appropriate legislative
body. In addition, such leases or contracts may be subject to the temporary abatement of payments in the event the governmental issuer
is prevented from maintaining occupancy of the leased premises or utilizing the leased equipment. Although the obligations may be secured
by the leased equipment or facilities, the disposition of the property in the event of non-appropriation or foreclosure might prove difficult, time consuming and costly, and may result in a delay in recovering or the failure to fully recover the Trusts original investment.
In the event of non-appropriation, the issuer would be in default and taking ownership of the assets may be a remedy available to the
Trust, although the Trust does not anticipate that such a remedy would normally be pursued. To the extent that the Trust invests in unrated
municipal leases or participates in such leases, the credit quality and risk of cancellation of such
unrated leases will be monitored on an ongoing basis. Certificates of participation, which represent interests in unmanaged pools of municipal
leases or installment contracts, involve the same risks as the underlying municipal leases. In addition, the Trust may be dependent upon
the municipal authority issuing the certificates of participation to exercise remedies with respect to the underlying securities. Certificates
of participation entail a risk of default or bankruptcy not only of the issuer of the underlying lease but also of the municipal agency
issuing the certificate of participation.
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Structured Finace Investments Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Structured Finance Investments Risk The Trusts structured finance investments may include residential
and commercial mortgage-related and other ABS issued by governmental entities and private issuers. While traditional fixed-income securities
typically pay a fixed rate of interest until maturity, when the entire principal amount is due, these investments represent an interest
in a pool of residential or commercial real estate or assets such as automobile loans, credit card receivables or student loans that have
been securitized and provide for monthly or other periodic payments of interest and principal to the holder based from the cash flow of
these assets. Holders of structured finance investments bear risks of the underlying investments, index or reference obligation and are
subject to counterparty and other risks. The Trust may have the right to receive payments only from the structured product, and generally
does not have direct rights against the issuer or the entity that sold the assets to be securitized. While certain structured finance
investments enable the investor to acquire interests in a pool of securities without the brokerage and other expenses associated with
directly holding the same securities, investors in structured finance investments generally pay their share of the structured products
administrative and other expenses. Although it is difficult to accurately predict whether the prices of indices and securities underlying
structured finance investments will rise or fall, these prices (and, therefore, the prices of structured finance investments) will be
influenced by the same types of political, economic and other events that affect issuers of securities and capital markets generally. If
the issuer of a structured product uses shorter term financing to purchase longer term securities, the issuer may be forced to sell its
securities at below market prices if it experiences difficulty in obtaining short-term financing, which may adversely affect the value of
the structured finance investment owned by the Trust.
The Trust may invest in structured finance products collateralized
by low grade or defaulted loans or securities. Investments in such structured finance products are subject to the risks associated with
below investment grade securities. Such securities are characterized by high risk. It is likely that an economic recession could severely
disrupt the market for such securities and may have an adverse impact on the value of such securities.
The Trust may invest in senior and subordinated classes issued by
structured finance vehicles. The payment of cash flows from the underlying assets to senior classes take precedence over those of subordinated
classes, and therefore subordinated classes are subject to greater risk. Furthermore, the leveraged nature of subordinated classes may
magnify the adverse impact on such class of changes in the value of the assets, changes in the distributions on the assets, defaults and
recoveries on the assets, capital gains and losses on the assets, prepayment on assets and availability, price and interest rates of assets.
Structured finance securities may be thinly traded or have a limited
trading market. Structured finance securities are typically privately offered and sold, and thus are not registered under the securities laws. As a result, investments in structured finance securities
may be characterized by the Trust as illiquid securities; however, an active dealer market may exist which would allow such securities
to be considered liquid in some circumstances. Structured finance securities, such as mortgage-backed securities,
issued by non-governmental issuers are not guaranteed as to principal or interest by the U.S. government or a government sponsored enterprise
and are typically subject to greater risk than those issued by such governmental entities. For example, privately issued mortgage-backed
securities are not subject to the same underwriting requirements for underlying mortgages as those issued by governmental entities and,
as a result, mortgage loans underlying such privately issued securities typically have less favorable underwriting characteristics (such
as credit risk and collateral) and a wider range in terms (such as interest rate, term and borrower characteristics).
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Asset Backed Securities Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Asset-Backed Securities Risk The Trust may invest in ABS issued by legal entities that are sponsored
by banks, investment banks, other financial institutions or companies, asset management firms or funds and are specifically created for
the purpose of issuing such ABS. Investors in ABS receive payments that are part interest and part return of principal or certain ABS
may be interest-only securities or principal-only securities. These payments typically depend upon the cash flows generated by an underlying
pool of assets and vary based on the rate at which the underlying obligors pay off their liabilities under the underlying assets. The pooled
assets provide cash flow to the issuer, which then makes interest and principal payments to investors. As a result, these investments
involve the risk, among other risks, that the borrower may default on its obligations backing the ABS and, thus, the value of and interest
generated by such investment will decline.
Investments in ABS are subject to many of the same risks that are
applicable to investments in certain other types of securities, including currency risk, geographic emphasis risk, high yield and unrated
securities risk, leverage risk, prepayment and extension risk and regulatory risk. ABS are particularly subject to interest rate, market
and credit risks and the risk that non-payment on underlying assets will result in a decline in the value of the ABS. Compared to other
fixed income investments with similar maturity and credit profile, ABS generally increase in value to a lesser extent when interest rates
decline and generally decline in value to a similar or greater extent when interest rates rise. ABS are also subject to liquidity and
valuation risk and, therefore, may be difficult to value accurately or sell at an advantageous time or price and involve greater transaction
costs and wider bid/ask spreads than certain other instruments. In addition, the assets or collateral underlying an ABS may be insufficient
or unavailable in the event of a default and enforcing rights with respect to these assets or collateral may be difficult and costly.
While traditional fixed-income securities typically pay a fixed rate
of interest until maturity, when the entire principal amount is due, an ABS represents an interest in a pool of assets, such as automobile
loans, credit card receivables, unsecured consumer loans or student loans, that has been securitized and provides for monthly payments
of interest, at a fixed or floating rate, and principal from the cash flow of these assets. This pool of assets (and any related assets
of the issuing entity) is the only source of payment for the ABS. The ability of an ABS issuer to make payments on the ABS, and the timing
of such payments, is therefore dependent on collections on these underlying assets. The recoveries on the underlying collateral may not,
in some cases, be sufficient to support payments on these securities, or may be unavailable in the event of a default and enforcing
rights with respect to these assets or collateral may be difficult and costly, which may result in losses to investors in an ABS.
Generally, obligors may prepay the underlying assets in full or in
part at any time, subjecting the Trust to prepayment risk related to the ABS it holds. While the expected repayment streams on ABS are
determined by the contractual amortization schedules for the underlying assets, an investors yield to maturity on an ABS is uncertain
and may be reduced by the rate and speed of prepayments of the underlying assets, which may be influenced by a variety of economic, social
and other factors. Any prepayments, repurchases, purchases or liquidations of the underlying assets could shorten the average life of
the ABS to an extent that cannot be fully predicted. Some ABS may be structured to include a period of rapid amortization triggered by
events such as a significant rise in the default rate of the underlying collateral, a sharp drop in the credit enhancement level because
of credit losses on the underlying assets, a specified regulatory event or the bankruptcy of the originator. A rapid amortization event
will cause any revolving period to end earlier than expected and all collections on the underlying assets will be used to pay principal
to investors earlier than expected. In general, the senior most securities will be paid prior to any payments being made on the subordinated
securities, and if such payments are made earlier than expected, the Trusts yield on such ABS may be negatively affected.
In addition, investments in ABS entail additional risks relating to
the underlying pools of assets, including credit risk, default risk (such as a borrowers default on its obligation and the default,
failure or inadequacy or unavailability of a guarantee, if any, underlying the ABS intended to protect investors in the event of default)
and prepayment and extension risk with respect to the underlying pool or individual assets represented in the pool. The underlying assets
of an ABS may include, without limitation, residential or commercial mortgages, motor vehicle installment sales or installment loan contracts,
leases of various types of real, personal and other property, receivable from credit card agreements and automobile finance agreements,
student loans, consumer loans, and income from other income streams, such as income from business loans. Moreover, additional risks relating
to investments in ABS may arise principally because of the type of ABS in which the Trust invests, with such risks primarily associated
with the particular assets collateralizing the ABS (such as their type or nature), the structure of such ABS, or the tranche or priority
of the ABS held by the Trust (with junior or equity tranches generally carrying higher levels of risk).
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Mortgage Backed Securities Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Mortgage-Backed Securities Risk Mortgage-Backed Securities (MBS) represent an interest
in a pool of mortgages. MBS are subject to certain risks, such as: credit risk associated with the performance of the underlying mortgage
properties and of the borrowers owning these properties; risks associated with their structure and execution (including the collateral,
the process by which principal and interest payments are allocated and distributed to investors and how credit losses affect the return
to investors in such MBS); risks associated with the servicer of the underlying mortgages; adverse changes in economic conditions and
circumstances, which are more likely to have an adverse impact on MBS secured by loans on certain types of commercial properties than
on those secured by loans on residential properties; prepayment and extension risks associated with the underlying assets of certain MBS,
which can shorten the weighted average maturity and lower the return of the MBS, or lengthen the expected maturity, respectively, leading
to significant fluctuations in the value of the MBS; loss of all or part of the premium, if any, paid; and decline in the market value of the security, whether resulting
from changes in interest rates, prepayments on the underlying mortgage collateral or perceptions of the credit risk associated with the
underlying mortgage collateral.
The value of MBS may be substantially dependent on the servicing of
the underlying pool of mortgages. In addition, the Trusts level of investment in MBS of a particular type or in MBS issued or guaranteed
by Affiliated obligors, serviced by the same servicer or backed by underlying collateral located in a specific geographic region, may subject
the Trust to additional risk.
When market interest rates decline, more mortgages are refinanced
and the securities are paid off earlier than expected. Prepayments may also occur on a scheduled basis or due to foreclosure. When market
interest rates increase, the market values of MBS decline. At the same time, however, mortgage refinancings and prepayments slow, which
lengthens the effective maturities of these securities. As a result, the negative effect of the rate increase on the market value of MBS
is usually more pronounced than it is for other types of debt securities. In addition, due to instability in the credit markets, the market
for some MBS has at times experienced reduced liquidity and greater volatility with respect to the value of such securities, making it
more difficult to value such securities. The Trust may invest in sub-prime mortgages or MBS that are backed by sub-prime mortgages or defaulted
or nonperforming loans.
Additional risks relating to investments in MBS may arise principally
because of the type of MBS in which the Trust invests, with such risks primarily associated with the particular assets collateralizing
the MBS and the structure of such MBS. For example, collateralized mortgage obligations (CMOs), which are MBS that are typically
collateralized by mortgage loans or mortgage pass-through securities and multi-class pass-through securities, are commonly structured
as equity interests in a trust composed of mortgage loans or other MBS. CMOs are usually issued in multiple classes, often referred to
as tranches, with each tranche having a specific fixed or floating coupon rate and stated maturity or final distribution date.
Under the traditional CMO structure, the cash flows generated by the mortgages or mortgage pass-through securities in the collateral pool
are used to first pay interest and then pay principal to the holders of the CMOs. Subject to the provisions of individual CMO issues,
the cash flow generated by the underlying collateral (to the extent it exceeds the amount required to pay the stated interest) is used
to retire the bonds. As a result of these and other structural characteristics of CMOs, CMOs may have complex or highly variable prepayment
terms, such as companion classes, interest only or principal only payments, inverse floaters and residuals. These investments generally
entail greater market, prepayment and liquidity risks than other MBS, and may be more volatile or less liquid than other MBS. CMOs are
further subject to certain risks specific to these securities. For example, the average life of CMOs is typically determined using mathematical
models that incorporate prepayment and other assumptions that involve estimates of future economic and market conditions, which may prove
to be incorrect, particularly in periods of heightened market volatility. Further, the average weighted life of certain CMOs may not accurately
reflect the price volatility of such securities, resulting in price fluctuations greater than what would be expected from interest rate
movements alone.
Non-agency MBS (i.e., MBS issued by commercial banks, savings and
loans institutions, mortgage bankers, private mortgage insurance companies and other non-governmental issuers) are subject to the risk
that the value of such securities will decline because, among other things, the securities are not guaranteed as to principal or interest
by the U.S. government or a government sponsored enterprise. Non-agency MBS are not subject to the same underwriting requirements for
underlying mortgages as agency MBS and, as a result, mortgage loans underlying non-agency MBS typically have less favorable underwriting
characteristics (such as credit and default risk and collateral) and a wider range in terms (such as interest rate, term and borrower
characteristics) than agency MBS. Non-agency residential mortgage-backed securities often are issued in the form of several different tranches.
Depending on their respective seniority, individual tranches are subject to increased (and sometimes different) credit, prepayment and
liquidity and valuation risks as compared to other tranches. These securities are often subject to greater credit, prepayment and liquidity
and valuation risks than agency MBS. In addition, these securities may be less readily marketable as the market for these securities is
typically smaller and less liquid than the market for agency MBS, thus these securities may be subject to greater price fluctuation than
agency MBS, especially during periods of weakness or perceived weakness in the mortgage and real estate sectors.
Moreover, the relationship between prepayments and interest rates
may give some high-yielding MBS less potential for growth in value than conventional bonds with comparable maturities. In addition, in
periods of falling interest rates, the rate of prepayments tends to increase. During such periods, the reinvestment of prepayment proceeds
by the Trust will generally be at lower rates than the rates that were carried by the obligations that have been prepaid. Because of these
and other reasons, MBSs total return and maturity may be difficult to predict precisely. To the extent that the Trust purchases MBS
at a premium, prepayments (which may be made without penalty) may result in loss of the Trusts principal investment to the extent
of premium paid.
The general effects of inflation on the U.S. economy can be wide ranging,
as evidenced by rising interest rates, wages, and costs of consumer goods and necessities. The long-term effects of inflation on the general
economy and on any individual mortgagor are unclear, and in certain cases, rising inflation may affect a mortgagors ability to repay
its related mortgage loan, thereby reducing the amount received by the holders of MBS with respect to such mortgage loan. Additionally,
increased rates of inflation, as recently experienced, may negatively affect the value of certain MBS in the secondary market. In addition,
during periods of declining economic conditions, losses on mortgages underlying MBS generally increase. Mortgage-backed securities generally
are classified as either CMBS or RMBS, each of which are subject to certain specific risks. CMBS and RMBS are also subject to risks similar
to those associated with investing in real estate, such as the possible decline in the value of (or income generated by) the real estate,
variations in rental income, fluctuations in occupancy levels and demand for properties or real estate-related services, changes in interest
rates and changes in the availability or terms of mortgages and other financing that may render the sale or refinancing of properties
difficult or unattractive.
In addition, MBS, such as commercial and residential MBS, are subject
to the risks of asset-backed securities generally and are particularly sensitive to changes in interest rates and developments in the
commercial or residential real estate markets. For example, changing interest rates tend to adjust the duration of fixed-rate mortgage-backed
securities. As a result, a changing interest rate environment can cause the prices of mortgage-backed securities to be increasingly volatile and increase the risk that payments on principal
may occur more quickly (or earlier) or slower (or later) than expected, each of which may adversely affect the Trusts holdings of
mortgage-backed securities. For example, a rising interest rate environment will cause the average life of these securities to extend,
which may lock in a below-market interest rate, increase the securitys duration and increase sensitivity to further interest rate
changes. This may negatively affect the Trusts returns because the value of the security decreases when principal payments are made
later than expected. In addition, because principal payments are made later than expected, the Trust may be prevented from investing proceeds
it would otherwise have received at a given time at the higher prevailing interest rates. Rising interest rates generally result in a
decline in the value of mortgage-backed securities, such as MBS. In addition, in general, a decline of housing values and other economic
developments (such as a rise in unemployment rates or a slowdown in the overall economy) may cause delinquencies or non-payment in mortgages
(particularly sub-prime and non-prime mortgages) underlying MBS, which would likely adversely impact the ability of the issuer to make
principal and/or interest payments timely or at all to holders of MBS and negatively affect the Trusts investments in such MBS.
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Commercial Mortgage Backed Securities Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Commercial Mortgage-Backed Securities Risk CMBS are collateralized by one or more commercial mortgage loans.
Banks and other lending institutions typically group the loans into pools and interests in these pools are then sold to investors, allowing
the lender to have more money available to loan to other commercial real estate owners. Commercial mortgage loans may be secured by office properties, retail properties, hotels, mixed use properties or multi-family apartment buildings. The value of, and income generated
by, investments in CMBS are subject to the risks of asset-backed securities generally and the commercial real estate markets and the real
estate securing the underlying mortgage.
CMBS are subject to particular risks, such as those associated with
lack of standardized terms, shorter maturities than residential mortgage loans and payment of all or substantially all of the principal
only at maturity rather than regular amortization of principal. In addition, commercial lending generally is viewed as exposing the lender
to a greater risk of loss than residential lending. Commercial lending typically involves larger loans to single borrowers or groups of
related borrowers than residential mortgage loans. In addition, the repayment of loans secured by income producing properties typically
is dependent upon the successful operation of the related real estate project and the cash flow generated therefrom. Net operating income
of an income-producing property can be affected by, among other things: tenant mix, success of tenant businesses, property management decisions,
property location and condition, competition from comparable types of properties, changes in laws that increase operating expense or limit
rents that may be charged, any need to address environmental contamination at the property, the occurrence of any uninsured casualty at
the property, changes in national, regional or local economic conditions and/or specific industry segments, declines in regional or local
or other real estate values, declines in regional or local rental or occupancy rates, increases in interest rates, real estate tax rates
and other operating expenses, change in governmental rules, regulations and fiscal policies, including environmental legislation, acts
of God, terrorism, social unrest and civil disturbances. Consequently, adverse changes in economic conditions and circumstances
are more likely to have an adverse impact on MBS secured by loans on commercial properties than on those secured by loans on residential
properties. Economic downturns, rises in unemployment, tightening lending standards and increased interest and lending rates, developments
adverse to the commercial real estate markets, and other developments that limit or reduce demand for commercial retail and office spaces
(including continued or expanded remote working arrangement) as well as increased maintenance or tenant improvement costs and costs to
convert properties for other uses adversely impact these investments. For example, economic decline in the businesses operated by the
tenants of office or retail properties may increase the likelihood that the tenants may be unable to pay their rent or that properties may
be unable to attract or retain tenants at all or on favorable terms for the commercial real estate owners, resulting in vacancies (potentially
for extended periods) and losses. These developments could also result from, among other things, population shifts and other demographic
changes, changing tastes and preferences as well as cultural, technological, working or economic and market developments. In addition,
changing interest rate environments and associated changes in lending standards and higher refinancing rates may adversely affect the commercial
real estate and CMBS markets. Moreover, other types of events, domestic or international, may affect general economic conditions and financial
markets, such as pandemics, armed conflicts, energy supply or price disruptions, natural disasters and man-made disasters, which may have
a significant effect on the underlying commercial mortgage loans and real estate. In addition, adverse developments in the local, regional
and national economies affect consumer spending and can have a significant effect on the success of a retail space. Further, increased competition
in the market of a retail property through the addition of competing properties nearby can adversely impact the success of a retail property,
even if the local, regional and national economies are doing well. Retail properties are also subject to conditions that could negatively
affect the retail sector, such as increased unemployment, increased federal income and payroll taxes, increased health care costs, increased
state and local taxes, increased real estate taxes, industry slowdowns, lack of availability of consumer credit, weak income growth, increased
levels of consumer debt, poor housing market conditions, adverse weather conditions, natural disasters, plant closings, and other factors.
Similarly, local real estate conditions, such as an oversupply of, or a reduction in demand for, retail space or retail goods, and the
supply and creditworthiness of current and prospective tenants may negatively impact those retail properties. The occurrence of any of
the foregoing or similar developments would likely increase the risks associated with these investments, such as the default risk for
the properties and loans underlying the CMBS investments, and adversely impact the value of, and income generated by, these investments
and the underlying properties or loans. These developments could also result in reduced liquidity for CMBS. CMBS are also subject to the
risk that the value of, and income generated by, such securities will decline because, among other things, the securities are not issued
or guaranteed as to principal or interest by the U.S. government or a government sponsored enterprise and, thus, would be subject to similar
risks as non-agency MBS. CMBS often are issued in the form of several different tranches. Depending on their respective seniority, individual
tranches are subject to increased (and sometimes different) credit, prepayment and liquidity and valuation risks as compared to other tranches.
CMBS are often subject to credit, default, prepayment and liquidity and valuation risks and may experience greater price volatility than
other types of asset-backed securities or MBS. Additional risks may be presented by the type and use of a particular
commercial property. Special risks are presented by hospitals, nursing homes, hospitality properties and certain other property types.
Commercial property values and net operating income are subject to volatility, which may result in net operating income becoming insufficient to cover debt service on the related mortgage loan. The exercise of remedies and successful realization of liquidation proceeds
relating to CMBS may be highly dependent on the performance of the servicer or special servicer. There may be a limited number of special
servicers available, particularly those that do not have conflicts of interest.
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Residential Mortgage Backed Securities Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Residential Mortgage-Backed Securities Risk Home mortgage loans are typically grouped together into pools by banks
and other lending institutions, and interests in these pools are then sold to investors, allowing the bank or other lending institution
to have more money available to loan to home buyers. RMBS are particularly subject to the credit risk of the borrower. Credit-related
risk on RMBS primarily arises from losses due to delinquencies and defaults by the borrowers in payments on the underlying mortgage loans
and breaches by originators and servicers of their obligations under the underlying documentation pursuant to which the RMBS are issued.
RMBS are also subject to the risks of MBS generally and the residential real estate markets. The rate of delinquencies and defaults on
residential mortgage loans and the aggregate amount of the resulting losses will be affected by a number of factors, including general
economic conditions, particularly those in the area where the related mortgaged property is located, the level of the borrowers
equity in the mortgaged property and the individual financial circumstances of the borrower. The risk of non-payment is greater for RMBS
that are backed by loans that were originated under weak underwriting standards, including loans made to borrowers with limited means
to make repayment. RMBS are also subject to risks associated with the actions of mortgage lenders in the marketplace. Such lenders may
adjust their loan programs and underwriting standards, which may reduce the availability of mortgage credit to prospective mortgagors.
This may result in limited financing alternatives for mortgagors seeking to refinance their existing loans, which may in turn result in
higher rates of delinquencies, defaults and losses on mortgages. If a residential mortgage loan is in default, foreclosure on the related
residential property may be a lengthy and difficult process involving significant legal and other expenses. The net proceeds obtained by
the holder on a residential mortgage loan following the foreclosure on the related property may be less than the total amount that remains
due on the loan. The prospect of incurring a loss upon the foreclosure of the related property may lead the holder of the residential
mortgage loan to restructure the residential mortgage loan or otherwise delay the foreclosure process. Income from and values of RMBS also may be greatly affected by demographic
trends, such as population shifts or changing tastes and values, or increasing vacancies or declining rents or property values resulting
from legal, cultural, technological, global or local economic developments, as well as reduced demand for properties.
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Sub Prime Mortgage Market Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Sub-Prime Mortgage Market Risk Loans made to lower quality borrowers, including those of sub-prime
quality, may be underlying assets for an ABS. Loans to such borrowers involve a higher degree of credit and default risk. As a result, values of ABS backed by lower quality loans are more
likely than others to suffer significant declines due to defaults, delays or the perceived risk of defaults or delays.
The residential mortgage market in the United States has at times
experienced difficulties that may adversely affect the performance and market value of certain mortgages and MBS. Delinquencies and losses
on residential mortgage loans (especially sub-prime and second-lien mortgage loans) generally have increased at times and may again increase,
and a decline in or flattening of housing values (as has been experienced at times and may again be experienced in many housing markets)
may exacerbate such delinquencies and losses. Borrowers with adjustable rate mortgage loans are more sensitive to changes in interest
rates, which affect their monthly mortgage payments, and may be unable to secure replacement mortgages at comparably low interest rates.
Also, a number of residential mortgage loan originators have at times experienced serious financial difficulties or bankruptcy. Largely
due to the foregoing, reduced investor demand for mortgage loans and MBS and increased investor yield requirements has at times caused
limited liquidity in the secondary market for certain MBS, which can adversely affect the market value of MBS. It is possible that such
limited liquidity in such secondary markets could occur again or worsen. If the economy of the United States deteriorates, the incidence
of mortgage foreclosures, especially sub-prime mortgages, may increase, which may adversely affect the value of any MBS owned by the Trust.
Any increase in prevailing market interest rates may result in increased
payments for borrowers who have adjustable rate mortgages. Moreover, with respect to hybrid mortgage loans after their initial fixed rate
period, interest-only products or products having a lower rate, and with respect to mortgage loans with a negative amortization feature
which reach their negative amortization cap, borrowers may experience a substantial increase in their monthly payment even without an
increase in prevailing market interest rates. Increases in payments for borrowers may result in increased rates of delinquencies and defaults
on residential mortgage loans underlying the RMBS.
The significance of the mortgage crisis and loan defaults in residential
mortgage loan sectors led to the enactment of numerous pieces of legislation relating to the mortgage and housing markets. These actions,
along with future legislation or regulation, may have significant impacts on the mortgage market generally and may result in a reduction
of available transactional opportunities for the Trust or an increase in the cost associated with such transactions and may adversely
impact the value of RMBS.
During the mortgage crisis, a number of originators and servicers
of residential and commercial mortgage loans, including some of the largest originators and servicers in the residential and commercial
mortgage loan market, experienced serious financial difficulties. These or similar difficulties may occur in the future and affect the performance
of RMBS and CMBS, particularly non-agency RMBS and CMBS. There can be no assurance that originators and servicers of mortgage loans will
not continue to experience serious financial difficulties or experience such difficulties in the future, including becoming subject to bankruptcy
or insolvency proceedings, or that underwriting procedures and policies and protections against fraud will be sufficient in the future to
prevent such financial difficulties or significant levels of default or delinquency on mortgage loans.
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C L O C D O And C B O Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
CLO, CDO and CBO Risk The Trust may invest in CDOs, CBOs and CLOs. A CDO is an ABS whose
underlying collateral is typically a portfolio of other structured finance debt securities or synthetic instruments issued by another
ABS vehicle. A CBO is an ABS whose underlying collateral is a portfolio of bonds. A CLO is an ABS whose underlying collateral is a portfolio
of bank loans.
In addition to the general risks (such as interest rate risk, prepayment
risk, extension risk, market risk, credit risk and liquidity and valuation risk) associated with credit or debt securities discussed herein
and the risks discussed under Structured Finance Investments Risk and Asset-Backed Securities Risk, CLOs, CDOs
and CBOs are subject to additional risks due to their complex structure and highly leveraged nature. Additionally, the Trusts investment
in CLOs, CDOs and CBOs will provide it with indirect exposure to the underlying collateral; this indirect investment structure presents
certain risks to the Trust. For example, the Trusts interest in CLO securities may be less liquid than the loans held by the CLO;
thus, it may be more difficult for the Trust to dispose of CLO securities than it would be for the Trust to dispose of loans if it held
such loans directly. Additionally, CLOs, CDOs and CBOs normally charge management fees and administrative expenses, which fees and expenses
would be borne by the Trust.
CLOs, CDOs and CBOs are subject to risks associated with the involvement
of multiple transaction parties related to the underlying collateral and disruptions that may occur as a result of the restructuring or
insolvency of the underlying obligors, which are generally corporate obligors. Unlike a consumer obligor that is generally obligated to
make payments on the collateral backing an ABS, the obligor on the collateral backing a CLO, a CDO or a CBO may have more effective defenses
or resources to cause a delay in payment or restructure the underlying obligation. If an obligor is permitted to restructure its obligations,
distributions from collateral securities may not be adequate to make interest or other payments.
The performance of CLOs, CDOs and CBOs depends primarily upon the
quality of the underlying assets and the level of credit support or enhancement in the structure and the relative priority of the interest
in the issuer of the CLO, CDO or CBO purchased by the Trust. In general, CLOs, CDOs and CBOs are actively managed by an asset manager
that is responsible for evaluating and acquiring the assets that will collateralize the CLO, CDO or CBO. The asset manager may have difficulty in identifying assets that satisfy the eligibility criteria for the assets and may be restricted from trading the collateral. These
criteria, restrictions and requirements, while reducing the overall risk to the Trust, may limit the ability of GPIM to maximize returns
on the CLOs, CDOs and CBOs if an opportunity is identified by the collateral manager. In addition, other parties involved in CLOs, CDOs
and CBOs, such as credit enhancement providers and investors in senior obligations of the CLO, CDO or CBO may have the right to control
the activities and discretion of GPIM in a manner that is adverse to the interests of the Trust. A CLO, CDO or CBO generally includes
provisions that alter the priority of payments if performance metrics related to the underlying collateral, such as interest coverage
and minimum overcollateralization, are not met. These provisions may cause delays in payments on the securities or an increase in prepayments
depending on the relative priority of the securities owned by the Trust. CLOs, CDOs and CBOs issue classes or tranches that
vary in risk and yield. The failure of a CLO, CDO or CBO to make timely payments on a particular tranche may have an adverse effect on
the liquidity and market value of such tranche. Senior tranches are also subject to the risk that junior tranches may disappear, eliminating
the protection such junior tranches normally provide more senior tranches. Payments to holders of CLOs, CDOs and CBOs may be subject to deferral.
If cashflows generated by the underlying assets are insufficient to make all current and, if applicable, deferred payments on the CLOs,
CDOs and CBOs, no other assets will be available for payment of the deficiency and, following realization of the underlying assets, the
obligations of the issuer to pay such deficiency will be extinguished.
Securities issued by CLOs, CDOs and CBOs may experience substantial
losses due to defaults or sales of underlying assets at a loss (due to a decline in market value of such assets or otherwise). The value
of securities issued by CLOs, CDOs and CBOs also may decrease because of, among other developments, changes in market value; changes in
the markets perception of the creditworthiness of the servicer of the assets, the originator of an asset in the pool, or the financial
institution or fund providing credit support or enhancement; loan performance and prices; broader market sentiment, including expectations
regarding future loan defaults, liquidity conditions and supply and demand for structured products.
The Trust may invest senior, rated tranches as well as mezzanine and
subordinate tranches of CLOs. As a result, the CLOs in which the Trust invests may have issued and sold debt tranches that will rank senior
to the tranches in which the Trust invests. By their terms, such more senior tranches may entitle the holders to receive payment of interest
or principal on or before the dates on which the Trust is entitled to receive payments with respect to the tranches in which the Trust
invests. Also, in the event of insolvency, liquidation, dissolution, reorganization or bankruptcy of a CLO, holders of more senior tranches
would typically be entitled to receive payment in full before the Trust receives any distribution. After repaying such senior creditors,
such CLO may not have any remaining assets to use for repaying its obligation to the Trust. In the case of tranches ranking equally with
the tranches in which the Trust invests, the Trust would have to share on an equal basis any distributions with other creditors holding
such securities in the event of an insolvency, liquidation, dissolution, reorganization or bankruptcy of the relevant CLO. Therefore,
the Trust may not receive back the full amount of its investment in a CLO.
Investments in CLOs, CDOs and CBOs will expose the Trust to financial
leverage and, thus expose the Trust to the risks associated with financial leverage (such as higher risk of volatility and magnified financial
losses). CLOs, CDOs and CBOs are generally privately offered and sold and are not registered under securities laws and may be illiquid.
Further, the complex nature of CLOs, CDOs and CBOs may lead to disputes with the issuer or other investors and/or unexpected investment
results. CLOs, CDOs and CBOs are also subject to the risk that distributions from the underlying collateral may be inadequate to make
interest or other payments and that the underlying collateral may default or decline in value or quality and may be subject to risks associated
with investments in high yield, below investment grade and unrated securities. The risks associated with these investments depend in part
on the types of collateral underlying the CLO, CDO or CBO and the class or tranche in which the Trust invests, with certain classes or
tranches being subject to heightened risks.
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C L O Subordinated Notes Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
CLO Subordinated Notes Risk The Trust may invest in any portion of the capital structure of CLOs
(including the subordinated, residual and deep mezzanine debt tranches). The most senior tranches have the lowest yield but the lowest
level of risk relative to other tranches, as they are senior in priority to the more junior tranches with respect to payments made by the CLO. Conversely, the most subordinated
tranches have the highest potential yield relative to other tranches but also the highest level of risk relative to the other tranches,
as they are the lowest in the priority of payments. Thus, losses on underlying assets are borne first by the holders of the most subordinate
tranche, followed by the second-most subordinated tranche, and so forth. A CLO may experience substantial losses attributable to loan
defaults or sales of underlying assets at a loss (due to a decline in market value of such assets or otherwise). The Trusts investment
in a CLO may decrease in market value because of, among other developments, (i) loan defaults or credit impairment; (ii) losses that exceed
the subordinate tranches; (iii) an event of default occurring under a CLO, which could lead to acceleration and/or liquidation of the
assets at a loss; (iv) market anticipation of defaults; (v) investor aversion to CLO securities as a class; and (vi) poor performance
of the CLOs manager. These risks may be magnified depending on the tranche of CLO securities in which the Trust invests. For example,
investments in a junior tranche of CLO securities will likely be more sensitive to loan defaults or credit impairment than investments
in more senior tranches. Senior tranches are also subject to the risk that junior tranches may disappear, eliminating the protection such
junior tranches normally provide more senior tranches. In addition, the subordinated tranche does not receive ratings and is subject to
certain payment restrictions. As a result, the subordinated tranche bears the bulk of defaults from the loans in the CLO. In addition,
the subordinated tranche generally has only limited voting rights and generally does not benefit from any creditors rights or ability
to exercise remedies under the indenture governing the CLO notes. Certain mezzanine tranches in which the Trust may invest may also be
subject to certain risks similar to risks associated with investment in the subordinated tranche.
The subordinated tranche is unsecured and ranks behind all of the
secured creditors, known or unknown, of the CLO issuer, including the holders of the secured notes it has issued. Consequently, to the
extent that the value of the issuers portfolio of loan investments has been reduced as a result of conditions in the credit markets,
defaulted loans, capital gains and losses on the underlying assets, prepayment or changes in interest rates, the value of the subordinated
tranche realized at redemption could be reduced. If a CLO breaches certain tests set forth in the CLOs indenture, excess cash flow
that would otherwise be available for distribution to the subordinated tranche investors is diverted to prepay CLO debt investors in order
of seniority until such time as the covenant breach is cured. If the covenant breach is not or cannot be cured, the subordinated tranche
investors (and potentially other investors in lower priority rated tranches) may experience a partial or total loss of their investment.
Accordingly, the subordinated tranche may not be paid in full and may be more vulnerable to loss, including up to 100% loss. At the time
of issuance, the subordinated tranche of a CLO is typically under-collateralized in that the liabilities of a CLO at inception exceed
its total assets.
The leveraged nature of subordinated notes may magnify the adverse
impact on the subordinated notes of changes in the market value of the investments held by the issuer, changes in the distributions on
those investments, defaults and recoveries on those investments, capital gains and losses on those investments, prepayments on those investments
and availability, prices and interest rates of those investments.
Subordinated notes are not guaranteed by another party. There can
be no assurance that distributions on the assets held by the CLO will be sufficient to make any distributions or that the yield on the subordinated
notes will meet the Trusts expectations. Investments in the subordinated tranche of a CLO are generally less liquid than CLO debt tranches
and subject to extensive transfer restrictions, and there may be no market for subordinated notes. Therefore, the Trust may be required
to hold subordinated notes for an indefinite period of time or until their stated maturity. Certain mezzanine tranches in which the Trust
may invest may also be subject to certain risks similar to risks associated with investment in the subordinated tranche.
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Risks Associated With Risk Linked Securities [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Risks Associated with Risk-Linked Securities RLS are a form of derivative issued by insurance companies and insurance-related
special purpose vehicles that apply securitization techniques to catastrophic property and casualty damages. Unlike other insurable low-severity,
high-probability events (such as auto collision coverage), the insurance risk of which can be diversified by writing large numbers of
similar policies, the holders of a typical RLS are exposed to the risks from high-severity, low-probability events such as that posed
by major earthquakes or hurricanes. RLS represent a method of reinsurance, by which insurance companies transfer their own portfolio risk
to other reinsurance companies and, in the case of RLS, to the capital markets. A typical RLS provides for income and return of capital
similar to other fixed-income investments, but involves full or partial default (or loss) if losses resulting from a certain catastrophe
exceeded a predetermined amount. In essence, investors invest funds in RLS and if a catastrophe occurs that triggers the RLS,
investors may lose some or all of the capital invested. In the case of an event, the funds are paid to the bond sponsoran insurer,
reinsurer or corporationto cover losses. In return, the bond sponsors pay interest to investors for this catastrophe protection.
RLS can be structured to pay-off on three types of variablesinsurance-industry catastrophe loss indices, insure-specific catastrophe
losses and parametric indices based on the physical characteristics of catastrophic events. Such variables are difficult to predict or model,
and the risk and potential return profiles of RLS may be difficult to assess. No active trading market may exist for certain RLS, which
may impair the ability of the Trust to realize full value in the event of the need to liquidate such assets.
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Risks Associated With Structured Notes [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Risks Associated with Structured Notes Investments in structured notes involve risks associated with the
issuer of the note and the reference instrument. Where the Trusts investments in structured notes are based upon the movement of
one or more factors, including currency exchange rates, interest rates, referenced bonds and stock indices, depending on the factor used
and the use of multipliers or deflators, changes in interest rates and movement of the factor may cause significant price fluctuations.
Additionally, changes in the reference instrument or security may cause the interest rate on the structured note to be reduced to zero,
and any further changes in the reference instrument may then reduce the principal amount payable on maturity. Structured notes may be
less liquid than other types of securities and more volatile than the reference instrument or security underlying the note.
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Senior Loans Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Senior Loans Risk The Trust may invest in senior secured floating rate loans made to
corporations and other nongovernmental entities and issuers (Senior Loans). Senior Loans typically hold the most senior position
in the capital structure of the issuing entity, are typically secured with specific collateral and typically have a claim on the assets
of the borrower, including stock owned by the borrower in its subsidiaries, that is senior to that held by junior lien creditors, subordinated
debt holders and stockholders of the borrower. The Trusts investments in Senior Loans are typically below investment grade and are
considered speculative because of the credit risk of the applicable issuer. There is less readily-available, reliable information about most Senior
Loans than is the case for many other types of securities. In addition, there is rarely a minimum rating or other independent evaluation
of a borrower or its securities, and GPIM relies primarily on its own evaluation of a borrowers credit quality rather than on any
available independent sources. As a result, the Trust is particularly dependent on the analytical abilities of GPIM with respect to investments
in Senior Loans. GPIMs judgment about the credit quality of a borrower may be wrong.
The risks associated with Senior Loans of below investment grade quality
are similar to the risks of other lower grade Income Securities, although Senior Loans are typically senior in payment priority and secured
on a senior priority basis, in contrast to subordinated and unsecured Income Securities. Senior Loans higher priority has historically
resulted in generally higher recoveries in the event of a corporate reorganization. In addition, because their interest payments are typically
adjusted for changes in short-term interest rates, investments in Senior Loans generally have less interest rate risk than certain other
lower grade Income Securities, which may have fixed interest rates.
The Trusts investments in Senior Loans are typically
below-investment grade and are considered speculative because of the credit risk of their issuers. Such companies are more likely to
default on their payments of interest and principal owed to the Trust, and such defaults could reduce the Trusts NAV and
income distributions. Further, transactions in Senior Loans typically settle on a delayed basis and may take longer than seven days
to settle. As a result, the Trust may receive the proceeds from a sale of a Senior Loan on a delayed basis which may affect the
Trusts ability to repay debt, to pay dividends, to pay expenses, or to take advantage of new investment opportunities. An
economic downturn generally leads to a higher non-payment rate, and a Senior Loan may lose significant value before a default
occurs. Moreover, any specific collateral used to secure a Senior Loan may decline in value or become illiquid, which would
adversely affect the Senior Loans value.
Economic and other events (whether real or perceived) can reduce the
demand for certain Senior Loans or Senior Loans generally, which may reduce market prices of the Senior Loans and cause the Trusts
NAV per share to fall or otherwise adversely impact the Trusts investments in Senior Loans. The frequency and magnitude of such
changes cannot be predicted.
Loans and other debt instruments are also subject to the risk of price
declines due to increases in prevailing interest rates, although floating-rate debt instruments are substantially less exposed to this
risk than fixed-rate debt instruments. Interest rate changes may also increase prepayments of debt obligations and require the Trust to
invest assets at lower yields. During periods of deteriorating economic conditions, such as recessions or periods of rising unemployment,
or changing interest rates (notably increases), delinquencies and losses generally increase, sometimes dramatically, with respect to obligations
under such loans. An economic downturn or individual corporate developments could adversely affect the market for these instruments and
reduce the Trusts ability to sell these instruments at an advantageous time or price. An economic downturn would generally lead
to a higher non-payment rate and, a Senior Loan may lose significant market value before a default occurs.
No active trading market may exist for certain Senior Loans, which
may impair the ability of the Trust to realize full value in the event of the need to liquidate such assets and normally make it more
difficult to value Senior Loans (particularly those that are illiquid). Adverse market conditions may impair the liquidity of some actively
traded Senior Loans, meaning that the Trust may not be able to sell them quickly at a desirable price. To the extent that a secondary
market does exist for certain Senior Loans, the market may be subject to irregular trading activity,
wide bid/ask spreads and extended trade settlement periods.
Although the Senior Loans in which the Trust will invest generally
will be secured by specific collateral, there can be no assurance that liquidation of such collateral would satisfy the borrowers
obligation in the event of non-payment of scheduled interest or principal or that such collateral could be readily liquidated. In the
event of the bankruptcy of a borrower, the Trust could experience delays or limitations with respect to its ability to realize the benefits
of the collateral securing a Senior Loan. If the terms of a Senior Loan do not require the borrower to pledge additional collateral in
the event of a decline in the value of the already pledged collateral, the Trust will be exposed to the risk that the value of the collateral
will not at all times equal or exceed the amount of the borrowers obligations under the Senior Loans. To the extent that a Senior
Loan is collateralized by stock in the borrower or its subsidiaries, such stock may lose all of its value in the event of the bankruptcy
of the borrower. Such Senior Loans involve a greater risk of loss or illiquidity. Some Senior Loans are subject to the risk that a court,
pursuant to fraudulent conveyance or other similar laws, could subordinate or otherwise adversely affect the priority of the Senior Loans
to presently existing or future indebtedness of the borrower or could take other action detrimental to lenders, including the Trust. Such
court action could under certain circumstances include invalidation of Senior Loans.
Senior Loans are subject to legislative risk. If legislation or state
or federal regulations impose additional requirements or restrictions on the ability of financial institutions to make loans, the availability
of Senior Loans for investment by the Trust may be adversely affected. In addition, such requirements or restrictions could reduce or eliminate
sources of financing for certain borrowers. This could increase the risk of default. If legislation or federal or state regulations require
financial institutions to increase their capital requirements in order to make or hold certain debt investments, this may cause financial
institutions to dispose of Senior Loans that are considered highly levered transactions. Such sales could result in prices that, in the
opinion of the Adviser, do not represent fair value. If the Trust attempts to sell a Senior Loan at a time when a financial institution
is engaging in such a sale, the price the Trust could receive for the Senior Loan may be adversely affected.
The Trusts investments in Senior Loans may be subject to lender
liability risk. Lender liability refers to a variety of legal theories generally founded on the premise that a lender has violated a duty
of good faith, commercial reasonableness and fair dealing or a similar duty owed to the borrower or has assumed an excessive degree of
control over the borrower resulting in the creation of a fiduciary duty owed to the borrower or its other creditors or shareholders. Because
of the nature of its investments, the Trust may be subject to allegations of lender liability. In addition, under common law principles
that in some cases form the basis for lender liability claims, a court may elect to subordinate the claim of an offending lender or bondholder
(or group of offending lenders or bondholders) to the claims of a disadvantaged creditor (or group of creditors).
Economic exposure to Senior Loans through the use of derivatives transactions
may involve greater risks than if the Trust had invested in the Senior Loan interest directly during a primary distribution or through
assignments or participations in a loan acquired in secondary markets since, in addition to the risks described above, derivatives transactions
to gain exposure to Senior Loans may be subject to leverage risk and greater illiquidity risk, counterparty risk, valuation risk and other
risks associated with derivatives discussed herein.
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Second Lien Loans Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Second Lien Loans Risk The Trust may invest in second lien secured floating rate
loans made by public and private corporations and other non-governmental entities and issuers for a variety of purposes (Second
Lien Loans). Second Lien Loans are typically second in right of payment and/or second in right of priority with respect to collateral
remedies to one or more Senior Loans of the related borrower. Second Lien Loans are subject to the same risks associated with investment
in Senior Loans and other lower grade Income Securities. However, Second Lien Loans are second in right of payment and/or second in right
of priority with respect to collateral remedies to Senior Loans and therefore are subject to the additional risk that the cash flow of
the borrower and/or the value of any property securing the loan may be insufficient to meet scheduled payments or otherwise be available
to repay the loan after giving effect to payments in respect of a Senior Loan, including payments made with the proceeds of any property
securing the loan and any senior secured obligations of the borrower. Second Lien Loans are expected to have greater price volatility
and exposure to losses upon default than Senior Loans and may be less liquid. There is also a possibility that originators will not be
able to sell participations in Second Lien Loans, which would create greater credit risk exposure.
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Subordinated Secured Loans Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Subordinated Secured Loans Risk Subordinated secured loans generally are subject to similar risks
as those associated with investment in Senior Loans, Second Lien Loans and below investment grade securities. However, such loans may
rank lower in right of payment than any outstanding Senior Loans, Second Lien Loans or other debt instruments with higher priority of
the borrower and therefore are subject to additional risk that the cash flow of the borrower and any property securing the loan may be
insufficient to meet scheduled payments and repayment of principal in the event of default or bankruptcy after giving effect to the higher
ranking secured obligations of the borrower. Subordinated secured loans are expected to have greater price volatility than Senior Loans
and Second Lien Loans and may be less liquid.
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Unsecured Loans R Isk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Unsecured Loans Risk Unsecured loans generally are subject to similar risks as those associated
with investment in Senior Loans, Second Lien Loans, subordinated secured loans and below investment grade securities. However, because
unsecured loans have lower priority in right of payment to any higher ranking obligations of the borrower and are not backed by a security
interest in any specific collateral, they are subject to additional risk that the cash flow of the borrower and available assets may be
insufficient to meet scheduled payments and repayment of principal after giving effect to any higher ranking obligations of the borrower.
Unsecured loans are expected to have greater price volatility than Senior Loans, Second Lien Loans and subordinated secured loans and
may be less liquid.
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Loans And Loan Participations And Assignments Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Loans and Loan Participations and Assignments Risk The Trust may invest in loans directly or through participations or
assignments. The Trust may purchase loans on a direct assignment basis from a participant in the original syndicate of lenders or from
subsequent assignees of such interests. The Trust may also purchase, without limitation, participations in loans. The purchaser of an
assignment typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement
with respect to the debt obligation; however, the purchasers rights can be more restricted than those of the assigning institution,
and, in any event, the Trust may not be able to unilaterally enforce all rights and remedies under the loan and with regard to any associated
collateral. The Trusts interest in a particular loan and/or in particular collateral securing
a loan may be subordinate to the interests of other creditors of the obligor, which leads to the risk of subordination to other creditors.
A participation typically results in a contractual relationship only with the institution participating out the interest, not with the
borrower. In purchasing participations, the Trust generally will have no right to enforce compliance by the borrower with the terms of
the loan agreement against the borrower, and the Trust may not directly benefit from the collateral supporting the debt obligation in
which it has purchased the participation. As a result, the Trust will be exposed to the credit risk of both the borrower and the institution
selling the participation. Further, in purchasing participations in lending syndicates, the Trust may not be able to conduct the same
due diligence on the borrower with respect to a Senior Loan that the Trust would otherwise conduct. In addition, as a holder of the participations,
the Trust may not have voting rights or inspection rights that the Trust would otherwise have if it were investing directly in the Senior
Loan, which may result in the Trust being exposed to greater credit or fraud risk with respect to the borrower or the Senior Loan. Lenders
selling a participation and other persons inter-positioned between the lender and the Trust with respect to a participation will likely
conduct their principal business activities in the banking, finance and financial services industries. Because the Trust may invest in
participations, the Trust may be more susceptible to economic, political or regulatory occurrences affecting such industries.
Should a loan in which the Trust is invested be foreclosed on, the
Trust may become owner of the collateral and will be responsible for any costs and liabilities associated with owning the collateral.
If the collateral includes a pledge of equity interests in the borrower by its owners, the Trust may become the owner of equity in the
borrower and may be responsible for the borrowers business operations and/or assets. The applicability of the securities laws is
subject to court interpretation of the nature of the loan and its characterization as a security. Accordingly, the Trust cannot be certain
of any protections it may be afforded under the securities or other laws against fraud or misrepresentation.
Loans are especially vulnerable to the financial health, or perceived
financial health, of the borrower but are also particularly susceptible to economic and market sentiment such that changes in these conditions
or the occurrence of other economic or market events may reduce the demand for loans, increase the risks associated with such investments
and cause their value to decline rapidly and unpredictably. Many loans and loan interests are subject to legal or contractual restrictions
on transfer, resale or assignment that may limit the ability of the Trust to sell its interest in a loan at an advantageous time or price.
The resale, or secondary, market for loans is currently growing, but may become more limited or more difficult to access, and such changes
may be sudden and unpredictable. Transactions in loans are often subject to long settlement periods (in excess of the standard T+1 days
settlement cycle for most securities and often longer than seven days). As a result, sale proceeds potentially will not be available to
the Trust to make additional investments or to use proceeds to meet its current obligations. The Trust thus is subject to the risk of
selling other investments at disadvantageous times or prices or taking other actions necessary to raise cash to meet its obligations such
as borrowing from a bank or holding additional cash, particularly during periods of unusual market or economic conditions or financial
stress. Investments in loans can also be difficult to value accurately because of, among other factors, limited public information regarding
the loan or the borrowers. Risks associated with investments in loans are increased if the loans are secured by a single asset. Loans
may offer a fixed rate or floating rate of interest. Loans may decline in value if their interest rates do not rise as much or as fast
as interest rates in general. For example, the interest rates on floating rate loans typically adjust only periodically
and therefore the interest rate payable under such loans may significantly trail market interest rates.
The Trust invests in or is exposed to loans and other similar debt
obligations that are sometimes referred to as covenant-lite loans or obligations (covenant-lite obligations),
which are loans or other similar debt obligations that lack financial maintenance covenants or possess fewer or contingent financial maintenance
covenants and other financial protections for lenders and investors. Exposure may also be obtained to covenant-lite obligations through
investment in securitization vehicles and other structured products. Many new, restructured or reissued loans and similar debt obligations
may not feature traditional financial maintenance covenants, which are intended to protect lenders and investors by imposing certain restrictions
and other limitations on a borrowers operations or assets by providing certain information and consent rights to lenders. Covenant-lite
obligations may carry more risk than traditional loans as they allow borrowers to engage in activities that would otherwise be difficult
or impossible under an agreement that is not covenant-lite. The Trust may have fewer rights with respect to covenant-lite obligations,
including fewer protections against the possibility of default and fewer remedies in the event of default as the lender may not have the
opportunity to negotiate with the borrower prior to default. As a result, investments in (or exposure to) covenant-lite obligations are
subject to more risk than investments in (or exposure to) certain other types of obligations. In the event of default, covenant-lite obligations
may exhibit diminished recovery values as the lender may not have the opportunity to negotiate with the borrower prior to default. The
Trust may have a greater risk of loss on investments in covenant-lite obligations as compared to investments (or exposure to) in traditional
loans. In addition, the Trust may receive less or less frequent financial reporting from a borrower under a covenant-lite obligation,
which may result in more limited access to financial information, difficulty evaluating the borrowers financial performance over time
and delays in exercising rights and remedies in the event of a significant financial decline. As a result, investments in or exposure
to covenant-lite obligations are generally subject to more risk thank investments that contain traditional financial maintenance covenants
and financial reporting requirements.
In certain circumstances, the Adviser or its affiliates (including on
behalf of clients other than the Trust) or the Trust may be in possession of material non-public information about a borrower as a result
of its ownership of a loan and/or corporate debt security of a borrower. Because U.S. laws and regulations generally prohibit trading
in securities of issuers while in possession of material, non¬public information, the Trust might be unable (potentially for a substantial
period of time) to trade securities or other instruments issued by the borrower when it would otherwise be advantageous to do so and,
as such, could incur a loss. In circumstances when the Adviser, GPIM or the Trust determines to avoid or to not receive non-public information
about a borrower for loan investments being considered for acquisition by the Trust or held by the Trust, the Trust may be disadvantaged
relative to other investors that do receive such information, and the Trust may not be able to take advantage of other investment opportunities
that it may otherwise have. The Adviser or its affiliates may participate in the primary and secondary market for loans or other transactions
with possible borrowers. As a result, the Trust may be legally restricted from acquiring some loans and from participating in a restructuring
of a loan or other similar instrument. Further, if the Trust, in combination with other accounts managed by the Adviser or its affiliates,
acquires a large portion of a loan, the Trusts valuation of its interests in the loan and the Trusts ability to dispose of
the loan at favorable times or prices may be adversely affected. The Trust is subject to other risks associated with investments in
(or exposure to) loans and other similar obligations, including that such loans or obligations may not be considered securities
under federal securities laws and, as a result, the Trust may not be entitled to rely on the anti-fraud protections under the federal
securities laws and instead may have to resort to state law and direct claims.
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Unfunded Commitments Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Unfunded Commitments Risk Certain of the loan participations or assignments acquired by the
Trust may involve unfunded commitments of the lenders, revolving credit facilities, delayed draw credit facilities or other investments
under which a borrower may from time to time borrow and repay amounts up to the maximum amount of the facility. In such cases, the Trust
would have an obligation to advance its portion of such additional borrowings upon the terms specified in the loan documentation. Such
an obligation may have the effect of requiring the Trust to increase its investment in a company at a time when it might not be desirable
to do so (including at a time when the companys financial condition makes it unlikely that such amounts will be repaid). These commitments
are generally subject to the borrowers meeting certain criteria such as compliance with covenants and certain operational metrics. The
terms of the borrowings and financings subject to commitment are comparable to the terms of other loans and related investments in the
Trusts portfolio.
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Distressed And Defaulted Securities Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Distressed and Defaulted Securities Risk Investments in the securities of financially distressed issuers involve
substantial risks. These securities may present a substantial risk of default or may be in default at the time of investment. The Trust
may incur additional expenses to the extent it is required to seek recovery upon a default in the payment of principal or interest on
its portfolio holdings. In any reorganization or liquidation proceeding relating to a portfolio company, the Trust may lose its entire
investment or may be required to accept cash or securities with a value less than its original investment. Among the risks inherent in
investments in a troubled entity is the fact that it frequently may be difficult to obtain information as to the true financial condition
of such issuer. GPIMs judgment about the credit quality of the issuer and the relative value and liquidity of its securities may
prove to be wrong.
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Convertible Securities Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Convertible Securities Risk Convertible securities, debt or preferred equity securities convertible
into, or exchangeable for, equity securities, are generally preferred stocks and other securities, including fixed-income securities and
warrants that are convertible into or exercisable for common stock. Convertible securities generally participate in the appreciation or
depreciation of the underlying stock into which they are convertible, but to a lesser degree and are subject to the risks associated with
debt and equity securities, including interest rate, market and issuer risks. For example, if market interest rates rise, the value of
a convertible security usually falls. Certain convertible securities may combine higher or lower current income with options and other
features. Warrants are options to buy a stated number of shares of common stock at a specified price anytime during the life of the warrants
(generally, two or more years). Convertible securities may be lower-rated securities subject to greater levels of credit risk. A convertible
security may be converted before it would otherwise be most appropriate, which may have an adverse effect on the Trusts ability to
achieve its investment objective. Synthetic convertible securities have economic characteristics
similar to those of a traditional convertible security due to the combination of separate securities that possess the two principal characteristics
of a traditional convertible security, i.e., an income-producing security (income- producing component) and the right to acquire an equity security
(convertible component). The income-producing component is achieved by investing in non-convertible, income-producing securities
such as bonds, preferred stocks and money market instruments, which may be represented by derivative instruments.
The convertible component is achieved by investing in securities or
instruments such as warrants or options to buy common stock at a certain exercise price, or options on a stock index. A simple example
of a synthetic convertible security is the combination of a traditional corporate bond with a warrant to purchase equity securities of
the issuer of the bond. The income-producing and convertible components of a synthetic convertible security may be issued separately by
different issuers and at different times.
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Liquidity Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Liquidity Risk
The Trust may invest in municipal securities and other investments
that are, at the time of investment, illiquid. Illiquid securities are securities that cannot be disposed of within seven days in the
ordinary course of business at approximately the value that the Trust values the securities. Illiquid securities may trade at a discount
from comparable, more liquid securities and may be subject to wide fluctuations in market value. The Trust may be subject to significant
delays in disposing of illiquid securities. Accordingly, the Trust may be forced to sell these securities at less than fair market value
or may not be able to sell them when the Adviser believes it is desirable to do so. Illiquid securities also may entail registration expenses
and other transaction costs that are higher than those for liquid securities. Restricted securities (i.e., securities subject to legal
or contractual restrictions on resale) may be illiquid. However, some restricted securities (such as securities issued pursuant to Rule
144A under the Securities Act of 1933, as amended (the 1933 Act) and certain commercial paper) may be treated as liquid for
these purposes. Inverse floating-rate securities or the residual interest certificates of tender option bond trusts are not considered
illiquid securities. Dislocations in certain parts of markets have in the past and may in the future result in reduced liquidity for certain
investments. Liquidity of financial markets may also be affected by government intervention.
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Volatility Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Volatility Risk
The use of Financial Leverage by the Trust will cause the net asset
value, and possibly the market price, of the Common Shares to fluctuate significantly in response to changes in interest rates and other
economic indicators. In addition, the Trust may invest up to 20% of its managed assets in below investment grade securities (i.e., junk
bonds), which may be less liquid and therefore more volatile than investment grade municipal securities. As a result, the net asset
value and market price of the Common Shares will be more volatile than those of a closed-end investment company that is not exposed to
leverage or that does not invest in below investment grade securities. In a declining market, the use of leverage may result in a greater
decline in the net asset value of the Common Shares than if the Trust were not leveraged.
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Inverse Floating Rate Securities Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Inverse Floating-Rate Securities Risk Under current market conditions, the Trust anticipates utilizing Financial
Leverage through Indebtedness and/or engaging in reverse repurchase agreements. However, the Trust also may utilize Financial Leverage
through investments in inverse floating-rate securities (sometimes referred to as inverse floaters). Typically, inverse floating-rate
securities represent beneficial interests in a special purpose trust (sometimes called a tender
option bond trust) formed by a third party sponsor for the purpose of holding municipal bonds. Distributions on inverse floating-rate
securities bear an inverse relationship to short-term municipal bond interest rates. In general, income on inverse floating-rate securities
will decrease, or in the extreme be eliminated, when interest rates increase and, conversely, increase when interest rates decrease. Investments
in inverse floating-rate securities may subject the Trust to the risks of reduced or eliminated interest payments and losses of principal.
Inverse floating-rate securities may increase or decrease in value at a greater rate than the underlying interest rate, which effectively
leverages the Trusts investment. As a result, the market value of such securities generally will be more volatile than that of fixed-rate
securities. Inverse floating-rate securities have varying degrees of liquidity based, among other things, upon the liquidity of the underlying
securities deposited in a special purpose trust. The Trust may invest in taxable inverse floating-rate securities, issued by special purpose
trusts formed with taxable municipal securities. The market for such inverse floating-rate securities issued by special purpose trusts
formed with taxable municipal securities is relatively new and undeveloped. Initially, there may be a limited number of counterparties,
which may increase the credit risks, counterparty risk and liquidity risk of investing in taxable inverse floating-rate securities. The
leverage attributable to such inverse floating-rate securities may be called away on relatively short notice and therefore
may be less permanent than more traditional forms of Financial Leverage. In certain circumstances, to the extent the Trust relies on inverse
floating-rate securities to achieve its desired effective leverage ratio the likelihood of an increase in the volatility of net asset value
and market price of the Common Shares may be greater. To the extent the Trust relies on inverse floating-rate securities to achieve its
desired effective leverage ratio, the Trust may be required to sell its inverse floating-rate securities at less than favorable prices
or liquidate other Trust portfolio holdings in certain circumstances.
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Sovereign Debt Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Sovereign Debt Risk Investments in sovereign debt securities, such as foreign government
debt or foreign treasury bills, involve special risks in addition to those associated with foreign investment, including the availability
of sufficient foreign exchange on the date a payment is due, the relative size of the debt service burden to the economy as a whole, the
government debtors policy towards the International Monetary Fund or international lenders, the political constraints to which the
debtor may be subject and other political, social and other local, regional and global considerations. Periods of economic and political
uncertainty may result in the illiquidity and increased price volatility of sovereign debt securities held by the Trust. The governmental
authority that controls the repayment of sovereign debt may be unwilling or unable to repay the principal and/or interest when due in
accordance with the terms of such securities due to the extent of its foreign reserves. If an issuer of sovereign debt defaults on payments
of principal and/or interest, the Trust may have limited or no legal recourse against the issuer and/or guarantor. In certain cases, remedies
must be pursued in the courts of the defaulting party itself. For example, there may be no bankruptcy or similar proceedings through which
all or part of the sovereign debt that a governmental entity has not repaid may be collected. There can be no assurance that the holders
of commercial bank loans to the same sovereign entity may not contest payments to the holders of sovereign debt in the event of default
under commercial bank loan agreements. Certain issuers of sovereign debt may be dependent on disbursements
from foreign governments, multilateral agencies and others abroad to reduce principal and interest arrearages on their debt. Such disbursements
may be conditioned upon a debtors implementation of economic reforms and/ or economic performance and the timely service of such debtors
obligations. A failure on the part of the debtor to implement such reforms, achieve such levels of economic performance or repay principal
or interest when due may result in the cancellation of such third parties commitments to lend funds to the debtor, which may impair
the debtors ability to service its debts on a timely basis. Foreign investment in certain sovereign debt is restricted or controlled
to varying degrees, including requiring governmental approval for the repatriation of income, capital or proceeds of sales by foreign
investors. These restrictions or controls may at times limit or preclude foreign investment in certain sovereign debt and increase the
costs and expenses of the Fund.
As a holder of sovereign debt, the Trust may be requested to participate
in the restructuring of such sovereign indebtedness, including the rescheduling of payments and the extension of further loans to debtors,
which may adversely affect the Trust. There can be no assurance that such restructuring will result in the repayment of all or part of
the debt. Sovereign debt risk is greater for issuers in emerging markets than issuers in developed countries and certain emerging market
countries have at times declared moratoria on the payment of principal and interest on external debt. Certain emerging market countries
have at times experienced difficulty in servicing their sovereign debt on a timely basis, which has led to defaults and the restructuring
of certain indebtedness.
The Trust may also invest in securities or other obligations issued
or backed by supranational organizations, which are international organizations that are designated or supported by government entities
or banking institutions typically to promote economic reconstruction or development. These obligations are subject to the risk that the
government(s) on whose support the organization depends may be unable or unwilling to provide the necessary support. With respect to both
sovereign and supranational obligations, the Fund may have little recourse against the foreign government or supranational organization
that issues or backs the obligation in the event of default. These obligations may be denominated in foreign currencies and the prices
of these obligations may be more volatile than corporate debt obligations.
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Strategic Transactions Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Strategic Transactions Risk The Trust may engage in various portfolio strategies, including derivatives
transactions involving interest rate and foreign currency transactions, swaps, options and futures, for hedging and risk management purposes
and to enhance total return. The use of Strategic Transactions to enhance total return may be particularly speculative. Strategic Transactions
involve risks, including the imperfect correlation between the value of such instruments and the underlying assets, the possible default
of the other party to the transaction and illiquidity of the derivative instruments. Furthermore, the Trusts ability to successfully
use Strategic Transactions depends on the Advisers ability to predict pertinent market movements, which cannot be assured. The use
of Strategic Transactions s may result in losses greater than if they had not been used, may require the Trust to sell or purchase portfolio
securities at inopportune times or for prices other than current market values, may limit the amount of appreciation the Trust can realize
on an investment or may cause the Trust to hold a security that it might otherwise sell. Additionally, amounts paid by the Trust as premiums
and cash or other assets held in margin accounts with respect to Strategic Transactions are not otherwise available to the Trust for investment
purposes.
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Synthetic Investments Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Synthetic Investments Risk The Trust may be exposed to certain additional risks to the extent
the Adviser uses derivatives as a means to synthetically implement the Trusts investment strategies. If the Trust enters into a
derivative instrument whereby it agrees to receive the return of a security or financial instrument or a basket of securities or financial
instruments, it will typically contract to receive such returns for a predetermined period of time. During such period, the Trust may
not have the ability to increase or decrease its exposure. In addition, such customized derivative instruments will likely be highly illiquid,
and it is possible that the Trust will not be able to terminate such derivative instruments prior to their expiration date or that the
penalties associated with such a termination might impact the Trusts performance in a material adverse manner. Furthermore, certain
derivative instruments contain provisions giving the counterparty the right to terminate the contract upon the occurrence of certain events.
Such events may include a decline in the value of the reference securities and material violations of the terms of the contract or the
portfolio guidelines as well as other events determined by the counterparty. If a termination were to occur, the Trusts return could
be adversely affected as it would lose the benefit of the indirect exposure to the reference securities and it may incur significant termination
expenses.
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Counterparty Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Counterparty Risk
Counterparty risk is the risk that a counterparty to Trust transactions
(e.g., prime brokerage or securities lending arrangement or derivatives transaction) will be unable or unwilling to perform its contractual
obligation to the Trust. The Trust will be subject to credit risk with respect to the counterparties to the derivative contracts purchased
by the Trust. If a counterparty becomes bankrupt or otherwise fails to perform its obligations under a derivative contract, the Trust
may experience significant delays in obtaining any recovery under the derivative contract in bankruptcy or other reorganization proceedings.
The Trust may obtain only a limited recovery or may obtain no recovery in such circumstances. If a counterpartys credit becomes
significantly impaired, multiple requests for collateral posting in a short period of time could increase the risk that the Trust may
not receive adequate collateral. Such risk is heightened in market environments where interest rates are changing, notably when rates
are rising. Counterparty credit risk also includes the related risk of having concentrated exposure to such counterparty.
The Trust bears the risk that counterparties may be adversely affected
by legislative or regulatory changes, adverse market conditions, increased competition, and/or wide scale credit losses resulting from
financial difficulties of the counterparties other trading partners or borrowers.
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Securities Lending Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Securities Lending Risk The Trust may lend its portfolio securities to banks or dealers which
meet the Trusts creditworthiness standards. Securities lending is subject to the risk that loaned securities may not be available
to the Trust on a timely basis and the Trust may therefore lose the opportunity to sell the securities at a desirable price. Any loss
in the market price of securities loaned by the Trust that occurs during the term of the loan would be borne by the Trust and would adversely
affect the Trusts performance. Also, there may be delays in recovery, or no recovery, of securities loaned or even a loss of rights
in the collateral should the borrower of the securities fail financially while the loan is outstanding.
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Investment Funds Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Investment Funds Risk As an alternative to holding investments directly, the Trust may also
obtain investment exposure to securities in which it may invest directly by investing up to 20% of its Managed Assets in Investment Funds.
These investments include open-end funds, closed-end funds, exchange-traded funds and business development companies as well as other
pooled investment vehicles. Investment Funds may include those advised by the Adviser, Sub-Adviser and/or their affiliates. Investments
in Investment Funds present certain special considerations and risks not present in making direct investments in securities in which the
Trust may invest. Investments in Investment Funds subject the Trust to the risks affecting such Investment Funds and involve operating
expenses and fees that are in addition to the expenses and fees borne by the Trust. Such expenses and fees attributable to the Trusts
investment in another Investment Fund are borne indirectly by Common Shareholders. Accordingly, investment in such entities involves expenses
and fees at both levels. Fees and expenses borne by other Investment Funds in which the Trust invests may be similar to the fees and expenses
borne by the Trust and can include asset-based management fees and administrative fees payable to such entities advisers and managers,
as well as other expenses borne by such entities, thus resulting in fees and expenses at both levels. To the extent management fees of
Investment Funds are based on total gross assets, it may create an incentive for such entities managers to employ Financial Leverage,
thereby adding additional expense and increasing volatility and risk (including the Trusts overall exposure to leverage risk). Fees
payable to advisers and managers of Investment Funds may include performance-based incentive fees calculated as a percentage of profits.
Such incentive fees directly reduce the return that otherwise would have been earned by investors over the applicable period. A performance-based
fee arrangement may create incentives for an adviser or manager to take greater investment risks in the hope of earning a higher profit
participation. Investments in Investment Funds frequently expose the Trust to an additional layer of Financial Leverage and, thus, increase
the Trusts exposure to leverage risk and costs. From time to time, the Trust may invest a significant portion of its assets in Investment
Funds that employ leverage. The use of leverage by Investment Funds may cause the Investments Funds market price of common shares
and/or NAV to be more volatile and can magnify the effect of any losses. From time to time, the Trust may invest a significant portion
of its assets in Investment Funds that employ leverage.
Investments in Investment Funds expose the Trust to additional management
risk. The success of the Trusts investments in Investment Funds will depend in large part on the investment skills and implementation
abilities of the advisers or managers of such entities. Decisions made by the advisers or managers of such entities may cause the Trust
to incur losses or to miss profit opportunities. While GPIM will seek to evaluate managers of Investment Funds and where possible independently
evaluate the underlying assets, a substantial degree of reliance on such entities managers is nevertheless present with such investments.
The Trust may invest in Investment Funds in excess of statutory limits
imposed by the 1940 Act in reliance on Rule 12d1-4 under the 1940 Act. These investments would be subject to the applicable conditions
of Rule 12d1-4, which in part could affect or otherwise impose certain limits on the investments and operations of the underlying Investment
Fund (notably such funds ability to invest in other investment companies and private funds, which include certain structured finance
vehicles). It is uncertain what effect the conditions of Rule 12d1-4 will have on the Trusts investment strategies and operations
or those of the Investment Funds in which the Trust may invest. If the Trust invests in Investment Funds, the Trusts realized
losses on sales of shares of an underlying Investment Fund may be indefinitely or permanently deferred as wash sales. Distributions
of short-term capital gains by an underlying Investment Fund will be recognized as ordinary income by the Trust and would not be offset
by the Trusts capital loss carryforwards, if any. Capital loss carryforwards of an underlying Investment Fund, if any, would not
offset net capital gain of the Trust or of another underlying Investment Fund.
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Market Discount Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Market Discount Risk The net asset value and market price of the Common Shares will fluctuate,
sometimes independently, based on market and other factors affecting the Trust and its investments. The market price of the Common Shares
will either be above (premium) or below (discount) their net asset value. Although the net asset value of Common Shares is often considered
in determining whether to purchase or sell shares, whether investors will realize gains or losses upon the sale of Common Shares will
depend upon whether the market price of Common Shares at the time of sale is above or below the investors purchase price, taking
into account transaction costs for the Common Shares, and is not directly dependent upon the Trusts net asset value. Market price
movements of Common Shares are thus material to investors and may result in losses, even when net asset value has increased.
The Trust cannot predict whether the Common Shares will trade at a
premium or discount to NAV and the market price for the Common Shares will change based on a variety of factors. If the Common Shares
are trading at a premium to NAV at the time you purchase Common Shares, the net asset value per share of the Common Shares purchased will
be less than the purchase price paid. Shares of closed-end management investment companies frequently trade at a discount from their NAV,
but in some cases have traded above NAV. The risk of the Common Shares trading at a discount is a risk separate and distinct from the
risk of a decline in the Trusts NAV as a result of the Trusts investment activities.
Because the market price of the Common Shares will be determined by
factors such as net asset value, dividend and distribution levels (which are dependent, in part, on expenses), supply of and demand for
Common Shares, stability of dividends or distributions, trading volume of Common Shares, general market and economic conditions and other
factors beyond the Trusts control, the Trust cannot predict whether the Common Shares will trade at, below or above net asset value,
or at, below or above the public offering price for the Common Shares.
The Trusts net asset value would be reduced following an offering
of the Common Shares due to the costs of such offering, to the extent those costs are borne by the Trust. The sale of Common Shares by
the Trust (or the perception that such sales may occur) may have an adverse effect on prices of Common Shares in the secondary market.
An increase in the number of Common Shares available may put downward pressure on the market price for Common Shares. The Trust may, from
time to time, seek the consent of Common Shareholders to permit the issuance and sale by the Trust of Common Shares at a price below the
Trusts then-current net asset value, subject to certain conditions, and such sales of Common Shares at price below net asset value,
if any, may increase downward pressure on the market price for Common Shares. These sales, if any, also might make it more difficult for
the Trust to sell additional Common Shares at a time and price it deems appropriate. The Trust is designed for long-term investors and investors in Common
Shares should not view the Trust as a vehicle for trading purposes.
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Dilution Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Dilution Risk The voting power of current Common Shareholders will be diluted to
the extent that current Common Shareholders do not purchase Common Shares in any future offerings of Common Shares or do not purchase sufficient Common Shares to maintain their percentage interest. If the Trust is unable to invest the proceeds of such offering as intended or
if investments made with these proceeds perform poorly, the Trusts per Common Share distribution may decrease, and the Trust may
not participate in market advances to the same extent as if such proceeds were fully invested as planned. If the Trust sells Common Shares
at a price below NAV pursuant to the consent of Common Shareholders, shareholders will experience a dilution of the aggregate NAV per
Common Share because the sale price will be less than the Trusts then-current NAV per Common Share. Similarly, were the expenses
of the offering to exceed the amount by which the sale price exceeded the Trusts then-current NAV per Common Share, shareholders
would experience a dilution of the aggregate NAV per Common Share. This dilution will be experienced by all shareholders, irrespective
of whether they purchase Common Shares in any such offering.
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Special Purpose Acquisition Companies Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Special Purpose Acquisition Companies Risk The Trust may invest in stock, warrants, rights and other securities
of special purpose acquisition companies (SPACs) or similar special purpose entities in a private placement transaction or
as part of a public offering. As an alternative to obtaining a public listing through a traditional IPO, SPAC investments carry many of
the same risks as investments in IPO securities. These may include, but are not limited to, erratic price movements, greater risk of loss,
lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs.
Investments in SPACs also have risks peculiar to the SPAC structure
and investment process. Until an acquisition or merger is completed, a SPAC generally invests its assets, less a portion retained to cover
expenses, in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common
stock. To the extent a SPAC is invested in cash or similar securities, this may impact the Trusts ability to meet its investment
objective.
SPAC investments are also subject to the risk that a significant portion
of the funds raised by the SPAC may be expended during the search for a target acquisition or merger. Some SPACs pursue acquisitions and
mergers only within certain market sectors or regions, which can increase the volatility of their prices. Conversely, other SPACs may
invest without such limitations, in which case management may have limited experience or knowledge of the market sector or region in which
the transaction is contemplated. Moreover, interests in SPACs may be illiquid and/or be subject to restrictions on resale, which may remain
for an extended time, and may only be traded in the over-the-counter market. If there is no market for interests in a SPAC, or only a
thinly traded market for interests in a SPAC develops, the Trust may not be able to sell its interest in a SPAC, or may be able to sell
its interest only at a price below what the Trust believes is the SPAC interests value.
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Availability And Quality Of Data Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Availability and Quality of Data GPIM faces the general risk regarding the availability and quality
of information concerning a particular asset or investment, and employs a variety of policies, practices and methodologies designed to minimize that risk. For example, there is less readily
available and reliable information about most bank loans than is the case for many other types of instruments, including listed securities.
Another example is the consideration of Environmental, Social, and Governance (ESG) criteria where GPIM believes it could
have a material impact on an investments return or issuers financial performance (though, for avoidance of doubt, GPIM does
not offer any ESG products). Similar to GPIMs ability to evaluate traditional factors in making investment decisions, the ability
for GPIM to identify and evaluate ESG characteristics and risks, or to engage with an issuer, is limited to the availability and quality
of information on an asset or issuer. In some cases, GPIM may decline to consider ESG criteria in an investment decision due to the unavailability
of information on an issuer, or the quality of that information. In addition, GPIM often uses data and insights from third-party research
to provide additional input in the analysis of ESG-related criteria. Third-party information and data will, from time to time, be incomplete,
inaccurate or unavailable. As a result, there is a risk that GPIM could incorrectly assess the ESG criteria or risks associated with a
particular asset or issuer. Additionally, GPIM expects from time to time to directly engage with certain corporate credit issuers by requesting
improved issuer disclosure relating to ESG factors, as well as discussing potential opportunities to improve various ESG metrics and other
related topics. Direct engagement will occur with only a minority of portfolio investments and issuers GPIM considers for investment and
will depend on a variety of considerations, including the materiality of ESG criteria to the specific issuer or sector and the size of
GPIM client investments in the issuer. There can be no assurance that GPIMs engagement efforts will be successful or provide benefits
to clients. The application of ESG criteria and risk factors to portfolio investments
(if any) could result in one or more assets or issuers being excluded from the Trust, which could have an adverse effect on the performance
of the Trust. Additionally, in some circumstances a client mandate or applicable regulations can cause GPIM to restrict specific investments
based on particular ESG characteristics. GPIM also reserves the right, in the future, to implement restrictions or prohibitions on investments
within certain industries for all or a sub-set of all client accounts which could be based on particular ESG criteria or other relevant
factors. As a result of any of the aforementioned circumstances, clients may be limited as to available investments, which could hinder
performance when compared to investments with no such restrictions.
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Portfolio Turnover Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Portfolio Turnover Risk
The Trusts annual portfolio turnover rate may vary greatly from
year to year. Portfolio turnover rate is not considered a limiting factor in the execution of investment decisions for the Trust. A higher
portfolio turnover rate results in correspondingly greater brokerage commissions and other transactional expenses that are borne by the
Trust. High portfolio turnover may result in an increased realization of net short-term capital gains by the Trust which, when distributed
to Common Shareholders, will be taxable as ordinary income. Additionally, in a declining market, portfolio turnover may create realized
capital losses.
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Brexit Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
UK Departure from EU (Brexit) Risk The United Kingdom ceased to be a member of the EU on January 31,
2020 (such departure from the EU, Brexit). A trade agreement between the EU and the United Kingdom (the TCA) took
effect on May 1, 2021, and now governs the relationship between the EU and the United Kingdom. Although the TCA covers many issues, such
as economic partnership, free trade, law enforcement and judicial co-operation and governance, it is silent on items such as financial
services equivalence. As such, there remains uncertainty as to the scope, nature and terms of the
relationship between the United Kingdom and the EU and the effect and implications of the TCA. Brexit may have a negative impact on the
economy and currency of the United Kingdom and EU as a result of anticipated, perceived or actual changes to the United Kingdoms
economic and political relations with the EU. Brexit may also have a destabilizing impact on the EU to the extent other member states
similarly seek to withdraw from the union. Any further exits from member states of the EU, or the possibility of such exits, would likely
cause additional market disruption globally and introduce new legal and regulatory uncertainties. Any or all of these challenges may affect the value of the Trusts investments that are economically tied to the United Kingdom or the EU, and could have an adverse impact
on the Trusts performance.
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Redenomination Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Redenomination Risk
The result of Brexit, the progression of the European debt crisis
and the possibility of one or more Eurozone countries exiting the European Monetary Union (EMU), or even the collapse of the
euro as a common currency, has in recent years created significant volatility in currency and financial markets generally. The effects
of the collapse of the euro, or of the exit of one or more countries from the EMU, on the U.S. and global economies and securities markets
are impossible to predict and any such events could have a significant adverse impact on the value and risk profile of the Trusts
portfolio. Any partial or complete dissolution of the EMU could have significant adverse effects on currency and financial markets, and
on the values of the Trusts portfolio investments. If one or more EMU countries were to stop using the euro as its primary currency,
the Trusts investments in such countries may be redenominated into a different or newly adopted currency. As a result, the value
of those investments could decline significantly and unpredictably. In addition, securities or other investments that are redenominated
may be subject to foreign currency risk, liquidity risk and valuation risk to a greater extent than similar investments currently denominated
in euros.
To the extent a currency used for redenomination purposes is not specified
in respect of certain EMU-related investments, or should the eurofficease to be used entirely, the currency in which such investments are
denominated may be unclear, making such investments particularly difficult to value or dispose of. The Trust may incur additional expenses
to the extent it is required to seek judicial or other clarification of the denomination or value of such securities.
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Recent Market Developments Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Recent Market Developments Risk The value of, or income generated by, the investments held by the
Trust are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting
individual companies or issuers or particular industries, or from broader influences, including real or perceived changes in prevailing
interest rates, changes in inflation rates or expectations about inflation rates , adverse investor confidence or sentiment, changing
economic, political (including geopolitical), social or financial market conditions, tariffs and trade disruptions, recession, changes
in currency rates, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies
(such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts
or credit ratings downgrades, and other similar types of events, each of which may be temporary or last for extended periods. Periods of market volatility remain, and may continue to occur in
the future, in response to various market, political, social, geopolitical, economic and public health events both within and outside
of the United States. These conditions have resulted in, and in cases
continue to result in, greater price volatility, less liquidity, widening credit spreads and a lack of price transparency, with certain
securities remaining illiquid and of uncertain value. Such market conditions may adversely affect the Trust, including by making valuation
of some of the Trusts securities uncertain and/or result in sudden and significant valuation increases or declines in the Trusts
holdings. If there is a significant decline in the value of the Trusts portfolio, this may impact the asset coverage levels for
the Trusts outstanding leverage. Risks resulting from any future debt or other economic or public health
situation could also have a detrimental impact on the global economies, the financial condition of financial institutions, operations
of businesses and the Trusts business, financial condition and results of operation. Market and economic disruptions have affected,
and may in the future affect, consumer confidence levels and spending, personal bankruptcy rates, levels of incurrence and default on consumer
and other debt and home prices, among other factors. To the extent uncertainty regarding the U.S. or global economy negatively impacts
consumer confidence and consumer credit factors, the Trusts business, financial condition and results of operations could be significantly
and adversely affected. Downgrades to the credit ratings of major banks could result in increased borrowing costs for such banks and negatively
affect the broader economy. Moreover, Federal Reserve policy, including with respect to certain interest rates, may also adversely affect
the value, volatility and liquidity of various investments, notably dividend- and interest-paying securities. These policies are subject
to change at any time based on a variety of factors and developments, with uncertain impacts on financial markets and economic conditions
and, thus, the Funds investments market volatility, changing interest rates and/or unfavorable economic conditions could impair
the Trusts ability to achieve its investment objective. Economies and markets are experiencing, and have experienced high inflation
rates. In response to such inflation, government authorities have implemented significant fiscal and monetary policies such as increasing
interest rates and quantitative tightening (reduction of money available in the market), which may adversely impact financial markets
and the broader economy, as well as the Trusts performance, and have unintended adverse consequences. Moreover, changing economic, political, social, geopolitical, financial
market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held
by the Trust in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected
global economies and financial markets. As a result, there is an increased risk that geopolitical and other events will disrupt economies
and markets globally. For example, local or regional armed conflicts have led to significant sanctions by the United States, Europe and
other countries against certain countries (as well as persons and companies connected with certain countries) and led to indirect adverse
regional and global market, economic and other effects. It is difficult to accurately predict or foresee when events or conditions affecting
the U.S. or global financial markets, economies, and issuers may occur, the effects of such events or conditions, potential escalations
or expansions of these events, possible retaliations in response to sanctions or similar actions and the duration or ultimate impact of
those events. There is an increased likelihood that these types of events or conditions can, sometimes rapidly and unpredictably, result
in a variety of adverse developments and circumstances, such as reduced liquidity, supply chain disruptions and market volatility, as
well as increased general uncertainty, extreme weather and broad ramifications for markets, economies, issuers, businesses in many sectors
and societies globally. In addition, adverse changes in one sector or industry or with respect to a particular company could negatively impact companies
in other sectors or industries or increase market volatility as a result of the interconnected nature of economies and markets and thus
negatively affect the Trusts performance. For example, developments in the banking or financial services sectors (or one or more
companies operating in these sectors) could adversely impact a wide range of companies and issuers. These types of adverse developments
could negatively affect the Trusts performance or operations.
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Increasing Government And Public Debt Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Increasing Government and other Public Debt Risk Government and other public debt, including municipal obligations
in which the Trust may invest, can be adversely affected by large and sudden changes in local and global economic conditions that result
in increased debt levels. Although high levels of government and other public debt do not necessarily indicate or cause economic problems,
high levels of debt may create certain systemic risks if sound debt management practices are not implemented. A high debt level may increase
market pressures to meet an issuers funding needs, which may increase borrowing costs and cause a government or public or municipal
entity to issue additional debt, thereby increasing the risk of refinancing. A high debt level also raises concerns that the issuer may
be unable or unwilling to repay the principal or interest on its debt, which may adversely impact instruments held by the Trust that rely
on such payments. Extraordinary governmental and quasigovernmental responses to economic, market, labor and public health conditions designed
to support the markets may, at times, significantly increase government and other public debt, which heighten these risks and the long-term
consequences of these actions are not known. Unsustainable debt levels can decline the valuation of currencies and can prevent a government
from implementing effective counter cyclical fiscal policy during economic downturns or can lead to increases in inflation or generate
or contribute to an economic downturn.
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Legislation And Regulation Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Legislation and Regulation Risk At any time after the date hereof, U.S. and non-U.S. governmental
agencies and other regulators may implement additional regulations and legislators may pass new laws that affect the investments held by
the Trust, the strategies used by the Trust or the level of regulation or taxation applying to the Trust (such as regulations related
to investments in derivatives and other transactions). These regulations and laws may impact the investment strategies, performance, costs
and operations of the Trust, as well as the way investments in, and shareholders of, the Trust are taxed.
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Risk Of Failure To Quality As A R I C [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Risk of Failure to Qualify as a RIC To qualify for the favorable U.S. federal income tax treatment generally
accorded to regulated investment companies (RICs), the Trust must, among other things, derive in each taxable year at least
90% of its gross income from certain prescribed sources, meet certain asset diversification tests and distribute for each taxable year
at least 90% of its investment company taxable income (generally, ordinary income plus the excess, if any, of net short-term
capital gain over net long term capital loss). If for any taxable year the Trust does not qualify as a RIC, all of its taxable income
for that year (including its net capital gain) would be subject to tax at regular corporate rates without any deduction for distributions
to shareholders, and such distributions would be taxable as ordinary dividends to the extent of the Trusts current and accumulated
earnings and profits.
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Conflict Of Interest Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Conflicts of Interest Risk Guggenheim Partners, LLC (Guggenheim Partners) is a global
asset management and investment advisory organization. Guggenheim Partners and its affiliates advise clients in various markets and transactions
and purchase, sell, hold and recommend a broad array of investments for their own accounts and the accounts of clients and of their personnel
and the relationships and products they sponsor, manage and advise. Accordingly, Guggenheim Partners and its affiliates may have direct
and indirect interests in a variety of global markets and the securities of issuers in which the Trust may directly or indirectly invest.
These interests may cause the Trust to be subject to regulatory limits, and in certain circumstances, these various activities may prevent
the Trust from participating in an investment decision.
An investment in the Trust is subject to a number of actual or potential
conflicts of interest. For example, the Adviser and its affiliates are engaged in a variety of business activities that are unrelated to
managing the Trust, which may give rise to actual, potential or perceived conflicts of interest in connection with making investment decisions
for the Trust. As a result, activities and dealings of Guggenheim Partners and its affiliates may affect the Trust in ways that may disadvantage
or restrict the Trust or be deemed to benefit Guggenheim Partners and its affiliates. From time to time, conflicts of interest may arise
between a portfolio managers management of the investments of the Trust on the one hand and the management of other registered investment
companies, pooled investment vehicles and other accounts (collectively, other accounts) on the other. The other accounts might
have similar investment objectives or strategies as the Trust or otherwise hold, purchase, or sell securities that are eligible to be
held, purchased or sold by the Trust. In certain circumstances, and subject to its fiduciary obligations under the Investment Advisers
Act of 1940 and the requirements of the 1940 Act, the Adviser or GPIM may have to allocate a limited investment opportunity among its
clients. The other accounts might also have different investment objectives or strategies than the Trust. In addition, the Trust may be
limited in its ability to invest in, or hold securities of, any companies that the Adviser or its affiliates (or other accounts managed
by the Adviser or its affiliates) control, or companies in which the Adviser or its affiliates have interests or with whom they do business.
For example, affiliates of the Adviser may act as underwriter, lead agent or administrative agent for loans or otherwise participate in
the market for loans. Because of limitations imposed by applicable law, the presence of the Advisers affiliates in the markets for
loans may restrict the Trusts ability to acquire some loans or affect the timing or price of such acquisitions. To address these
conflicts, the Trust and Guggenheim Partners and its affiliates have established various policies and procedures that are reasonably designed
to detect and prevent such conflicts and prevent the Trust from being disadvantaged. There can be no guarantee that these policies and
procedures will be successful in every instance.
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Market Disruption And Geopolitical Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Market Disruption and Geopolitical Risk The Trust does not know and cannot predict how long the securities
markets may be affected by geopolitical events and the effects of these and similar events in the future on the U.S. economy and securities
markets. The Trust may be adversely affected by abrogation of international agreements and national laws which have created the market
instruments in which the Trust may invest, failure of the designated national and international authorities to enforce compliance with
the same laws and agreements, failure of local, national and international organization to carry out their duties prescribed to them under
the relevant agreements, revisions of these laws and agreements which dilute their effectiveness or conflicting interpretation of provisions
of the same laws and agreements. The Trust may be adversely affected by uncertainties such as terrorism,
international political developments, and changes in government policies, taxation, restrictions on foreign investment and currency repatriation,
currency fluctuations and other developments in the laws and regulations of the countries in which it is invested and the risks associated
with financial, economic, geopolitical, public health, labor and other global market developments and disruptions.
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Cybersecurity Market Disruption And Operational Risk [Member] |
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General Description of Registrant [Abstract] |
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Risk [Text Block] |
Cyber Security, Market Disruptions and Operational Risk Like other funds and other parts of the modern economy, the Trust
and its service providers, as well as exchanges and market participants through or with which the Trust trades and exchanges on which
its shares trade and other infrastructures, services and parties on which the Trust, the Adviser, the Sub-Adviser or the Trusts
other service providers rely, are susceptible to ongoing risks related to cyber incidents and the risks associated with financial, economic,
public health, labor and other global market developments and disruptions, including those arising out of geopolitical events, public
health emergencies (such as the spread of infectious diseases, pandemics and epidemics), natural/environmental disasters, war, terrorism
and governmental or quasi-governmental actions. Cyber incidents can result from unintentional events (such as an inadvertent release of
confidential information) or deliberate attacks (such as cyber extortions) by insiders or third parties, including cyber criminals, competitors,
nation-states and hacktivists, and can be perpetrated by a variety of complex means, including the use of stolen access credentials,
malware or other computer viruses, ransomware, phishing, structured query language injection attacks, and distributed denial of service
attacks, among other means. Cyber incidents and market disruptions may result in actual or potential adverse consequences for critical
information and communications technology, systems and networks that are vital to the operations of the Trust or its service providers,
or otherwise impair Trust or service provider operations. For example, a cyber incident may cause operational disruptions and failures
impacting information systems or information that a system processes, stores, or transmits, such as by theft, damage or destruction, or
corruption or modification of and denial of access to data maintained online or digitally, denial of service on websites rendering the
websites unavailable to intended users or not accessible for such users in a timely manner, and the unauthorized release or other exploitation
of confidential information. Recent geopolitical tensions may have increased the scale and sophistication of deliberate cyber attacks,
particularly from nation-states or entities with nation-state backing. A cyber incident or sudden market disruption could adversely impact
the Trust, its service providers or its shareholders by, among other things, interfering with the processing of transactions or other
operational functionality, impacting the Trusts ability to calculate its NAV or other data, causing the release of private shareholder
information (i.e., identity theft or other privacy breaches) or confidential Trust information or otherwise compromising the security
and reliability of information, impeding trading, causing reputational damage, and subjecting the Trust or its service providers to regulatory
fines, penalties or financial losses, reimbursement or other compensation or remediation costs, litigation expenses and additional compliance
and cyber security risk management costs, which may be substantial. The same could affect the exchange on which Trust shares trade. A cyber
incident could also adversely affect the ability of the Trust (and its Adviser) to invest or manage the Trusts assets. Cyber incidents and developments and disruptions to financial, economic,
public health, labor and other global market conditions can obstruct the regular functioning of business workforces (including requiring employees to work from external locations or
from their homes), cause business slowdowns or temporary suspensions of business activities, each of which can negatively impact Trust
service providers and Trust operations. Although the Trust and its service providers, as well as exchanges and market participants through
or with which the Trust trades and other infrastructures on which the Trust or its service providers rely, may have established business
continuity plans and systems reasonably designed to protect from and/or defend against the risks or adverse consequences associated with
cyber incidents and market disruptions, there are inherent limitations in these plans and systems, including that certain risks may not
yet be identified, in large part because different or unknown threats may emerge in the future and the threats continue to rapidly evolve
and increase in sophistication. As a result, it is not possible to anticipate and prevent every cyber incident and possible obstruction
to the normal activities of these entities employees resulting from market disruptions and attempts to mitigate the occurrence or
impact of such events may be unsuccessful. For example, public health emergencies and governmental responses to such emergencies, including
through quarantine measures and travel restrictions, can create difficulties in carrying out the normal working processes of these entities
employees, disrupt their operations and hamper their capabilities. The nature, extent, and potential magnitude of the adverse consequences
of these events cannot be predicted accurately but may result in significant risks, adverse consequences and costs to the Trust and its
shareholders. The use of cloud-based service providers could heighten all of the above risks.
The issuers of securities in which the Trust invests are also subject
to the ongoing risks and threats associated with cyber incidents and market disruptions. These incidents could result in adverse consequences
for such issuers and may cause the Trusts investment in such securities to lose value. For example, a cyber incident involving an
issuer may include the theft, destruction or misappropriation of financial assets, intellectual property or other sensitive information
belonging to the issuer or their customers (i.e., identity theft or other privacy breaches) and a market disruption involving an issuer
may include materially reduced consumer demand and output, disrupted supply chains, market closures, travel restrictions and quarantines.
As a result, the issuer may experience the types of adverse consequences summarized above, among others (such as loss of revenue), despite
having implemented preventative and other measures reasonably designed to protect from and/or defend against the risks or adverse effects
associated with cyber incidents and market disruptions.
The Trust and its service providers, as well as exchanges and market
participants through or with which the Trust trades and other infrastructures on which the Trust or its service providers rely, are also
subject to the risks associated with technological and operational disruptions or failures arising from, for example, processing errors
and human errors, inadequate or failed internal or external processes, failures in systems and technology, errors in algorithms used with
respect to the Trust, changes in personnel, and errors caused by third parties or trading counterparties. Although the Trust attempts
to minimize such failures through controls and oversight, it is not possible to identify all of the operational risks that may affect the
Trust or to develop processes and controls that completely eliminate or mitigate the occurrence of such failures or other disruptions
in service.
Cyber incidents, market disruptions and operational errors or failures
or other technological issues may adversely affect the Trusts ability to calculate its NAV correctly, in a timely manner or process
trades or Trust or shareholder transactions may be adversely affected, including over a potentially extended period. The Trust does not control the cyber security, disaster
recovery, or other operational defense plans or systems of its service providers, intermediaries, exchanges where its shares trades, companies
in which it invests or other third-parties. The value of an investment in Trust shares may be adversely affected by the occurrence of the
cyber incidents, market disruptions and operational errors or failures or technological issues summarized above or other similar events
and the Trust and its shareholders may bear costs tied to these risks. In addition, work-from-home arrangements by the Trust, the Adviser
or the Sub-Adviser (or their service providers) could increase all of the above risks, create additional data and information accessibility
concerns, and make the Trust, the Adviser or the Sub-Adviser (or their service providers) more susceptible to operational disruptions,
any of which could adversely impact their operations. Furthermore, the Trust may be an appealing target for cybersecurity threats such
as hackers and malware.
|
Technology Risk [Member] |
|
General Description of Registrant [Abstract] |
|
Risk [Text Block] |
Technology Risk
The Trust and its service providers and markets generally have become
more susceptible to potential operational risks related to intentional and unintentional events that may cause the Trust or a service
provider to lose proprietary information, suffer data corruption or lose operational capacity. There can be no guarantee that any risk
management systems established by the Trust, its service providers, or issuers of the securities in which the Trust invests to reduce
technology and cyber security risks will succeed, and the Trust cannot control such systems put in place by service providers, issuers
or other third parties whose operations may affect the Trust.
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