UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
[X] | |
QUARTERLY REPORT PURSUANT TO SECTION 13 OR |
For the quarterly period ended SeptemberJune 30, 2017
OR
[ ] | |
TRANSITION REPORT PURSUANT TO SECTION 13 OR |
Commission file number: 814-01117
GUGGENHEIM CREDIT INCOME FUND
(Exact name of registrant as specified in its charter)
Delaware | 47-2039472 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |
330 Madison Avenue, New York, New York | 10017 | |
(Address of principal executive offices) | (Zip Code) |
Registrant’s telephone number, including area code: (212)739-0700
Securities registered pursuant to Section 12(b) of the Act: None
Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered | ||
N/A | N/A |
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See definitionthe definitions of “large accelerated filer,” “accelerated filer,"” “smaller reporting company,” and "emerging“emerging growth company"company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer | Accelerated filer | |||
Non-accelerated filer | Smaller reporting company | |||
Emerging growth company | ||||
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. [ ]
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes
The number of the Registrant'sregistrant had common shares outstanding as of November 1, 2017 was 29,151,096.August 9, 2023.
GUGGENHEIM CREDIT INCOME FUND
INDEX
PAGE | ||||
PART I. FINANCIAL INFORMATION | ||||
Item 1. | 3 | |||
7 | ||||
8 | ||||
16 | ||||
Item 2. | 34 | |||
Item 3. | 47 | |||
Item 4. | 48 | |||
PART II. OTHER INFORMATION | ||||
Item 1. | Legal Proceedings | 48 | ||
Item | 49 | |||
Item 2. | 50 | |||
Item 3. | 50 | |||
Item 5. | Other Information | 50 | ||
Item | 50 | |||
Signatures | 51 | |||
52 |
FORWARD-LOOKING STATEMENTS
This Quarterly Report on Form 10-Q, or this Report, including
All references to “Note” or “Notes” throughout this Report refer to the notes to the consolidated financial statements of the registrant in
Part I. Item 1. Consolidated Financial StatementsUnless otherwise noted, the terms “we,” “us,” “our,” and the “Master Fund” refer to Guggenheim Credit Income Fund (formerly Carey Credit Income Fund). AllFund. Other capitalized terms used in this Report have the same meaning as defined in the Notes.
2
PART I. FINANCIAL INFORMATION
Item 1. Consolidated Financial Statements (Unaudited)
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
(in thousands, except share and per share amounts)
September 30, 2017 | December 31, 2016 | ||||||
Assets | |||||||
Investments at fair value (amortized cost of $377,494 and $272,996, respectively) | $ | 381,054 | $ | 275,084 | |||
Cash | 5,556 | 6,593 | |||||
Restricted cash | 16,317 | 19,575 | |||||
Collateral deposits for foreign currency forward contracts | 400 | — | |||||
Deferred offering costs | — | 68 | |||||
Interest and dividend income receivable | 2,838 | 1,557 | |||||
Principal receivable | 113 | 2,521 | |||||
Advisor transition costs reimbursement receivable | 280 | — | |||||
Unrealized appreciation on foreign currency forward contracts | 9 | — | |||||
Prepaid and deferred expenses | 23 | 34 | |||||
Total assets | $ | 406,590 | $ | 305,432 | |||
Liabilities | |||||||
Credit facility payable, net of financing costs | $ | 148,865 | $ | 124,505 | |||
Payable for investments purchased | 4,930 | 1,093 | |||||
Accrued investment advisory fee | 617 | 489 | |||||
Accrued performance-based incentive fee | 1,156 | 536 | |||||
Unrealized depreciation on foreign currency forward contracts | 394 | 8 | |||||
Payable to related party | 25 | 33 | |||||
Trustees fees payable | 50 | — | |||||
Accrued professional services fees | 537 | 436 | |||||
Accrued advisor transition costs | 333 | — | |||||
Accounts payable, accrued expenses and other liabilities | 316 | 266 | |||||
Total liabilities | 157,223 | 127,366 | |||||
Commitments and contingencies (Note 8. Commitments and Contingencies) | |||||||
Net Assets | $ | 249,367 | $ | 178,066 | |||
Components of Net Assets: | |||||||
Common shares, $0.001 par value, 1,000,000,000 shares authorized, 29,151,096 and 21,016,797 shares issued and outstanding at September 30, 2017 and December 31, 2016, respectively | $ | 29 | $ | 21 | |||
Paid-in-capital in excess of par value | 245,788 | 176,411 | |||||
Accumulated distributions in excess of net investment income | (1,501 | ) | (445 | ) | |||
Accumulated undistributed net realized gain | 1,876 | — | |||||
Net unrealized appreciation | 3,175 | 2,079 | |||||
Net assets | $ | 249,367 | $ | 178,066 | |||
Net asset value per Common Share | $ | 8.55 | $ | 8.47 |
June 30, 2023 | December 31, 2022 | |||||||
(Unaudited) | ||||||||
Assets | ||||||||
Investments at fair value (amortized cost of $37,433 and $48,438, respectively) | $ | 29,638 | $ | 40,641 | ||||
Cash and cash equivalents | 4,405 | 8,956 | ||||||
Interest and dividend income receivable | 420 | 744 | ||||||
Principal receivable | 13 | 11,499 | ||||||
Receivable from related parties | 5 | 10 | ||||||
Unrealized appreciation of foreign currency forward contracts | — | 73 | ||||||
Prepaid expenses and other assets | 88 | 222 | ||||||
Total assets | $ | 34,569 | $ | 62,145 | ||||
Liabilities | ||||||||
Accrued management fee | $ | 123 | $ | 214 | ||||
Payable to related parties | 96 | 96 | ||||||
Accounts payable, accrued expenses and other liabilities | 304 | 562 | ||||||
Total liabilities | 523 | 872 | ||||||
Commitments and contingencies (Note 8. Commitments and Contingencies) | ||||||||
Net Assets | $ | 34,046 | $ | 61,273 | ||||
Components of Net Assets: | ||||||||
Common shares, $ | par value, shares authorized, and shares issued and outstanding at June 30, 2023 and December 31, 2022, respectively$ | 26 | $ | 26 | ||||
Paid-in-capital in excess of par value | 51,451 | 78,102 | ||||||
Accumulated loss, net of distributions | (17,431 | ) | (16,855 | ) | ||||
Net assets | $ | 34,046 | $ | 61,273 | ||||
Net asset value per Common Share (NAV) | $ | 1.33 | $ | 2.39 |
See Unaudited Notes to Consolidated Financial Statements.
3
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED)
(in thousands, except share and per share amounts)
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Investment income | |||||||||||||||
Interest income | $ | 8,318 | $ | 3,503 | $ | 21,577 | $ | 7,117 | |||||||
Dividend income | — | — | — | 37 | |||||||||||
Fee income | 13 | 204 | 671 | 221 | |||||||||||
Total investment income | 8,331 | 3,707 | 22,248 | 7,375 | |||||||||||
Operating expenses | |||||||||||||||
Interest expense | 1,703 | 998 | 4,807 | 1,928 | |||||||||||
Administrative services | 44 | 32 | 141 | 82 | |||||||||||
Related party reimbursements | 105 | 98 | 328 | 286 | |||||||||||
Investment advisory fee | 1,986 | 1,025 | 5,620 | 2,142 | |||||||||||
Performance-based incentive fee | 201 | 43 | 620 | 43 | |||||||||||
Custody services | 24 | 18 | 68 | 47 | |||||||||||
Trustees fees | 112 | 101 | 372 | 264 | |||||||||||
Professional services fees | 229 | 253 | 765 | 812 | |||||||||||
Insurance | 36 | 35 | 106 | 107 | |||||||||||
Organizational expenses | — | — | — | 228 | |||||||||||
Advisor transition costs | 662 | — | 662 | — | |||||||||||
Other expenses | 29 | 21 | 85 | 52 | |||||||||||
Total expenses before advisor transition costs reimbursement | 5,131 | 2,624 | 13,574 | 5,991 | |||||||||||
Reimbursement of advisor transition costs | (662 | ) | — | (662 | ) | — | |||||||||
Total expenses | 4,469 | 2,624 | 12,912 | 5,991 | |||||||||||
Net investment income | 3,862 | 1,083 | 9,336 | 1,384 | |||||||||||
Realized and unrealized gain (loss): | |||||||||||||||
Net realized gains (losses) on: | |||||||||||||||
Investments | 491 | 467 | 3,021 | 474 | |||||||||||
Foreign currency forward contracts | (410 | ) | — | (1,029 | ) | — | |||||||||
Foreign currency transactions | (5 | ) | — | (116 | ) | — | |||||||||
Net realized gains | 76 | 467 | 1,876 | 474 | |||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||
Investments | 1,097 | 4,131 | 1,473 | 5,391 | |||||||||||
Foreign currency forward contracts | (217 | ) | — | (377 | ) | — | |||||||||
Net change in unrealized appreciation | 880 | 4,131 | 1,096 | 5,391 | |||||||||||
Net realized and unrealized gains | 956 | 4,598 | 2,972 | 5,865 | |||||||||||
Net increase in net assets resulting from operations | $ | 4,818 | $ | 5,681 | $ | 12,308 | $ | 7,249 | |||||||
Per Common Share information: | |||||||||||||||
Net investment income per Common Share outstanding - basic and diluted | $ | 0.13 | $ | 0.08 | $ | 0.35 | $ | 0.14 | |||||||
Earnings per Common Share - basic and diluted (Note 9. Earnings Per Common Share) | $ | 0.16 | $ | 0.40 | $ | 0.46 | $ | 0.71 | |||||||
Weighted average Common Shares outstanding (basic and diluted) | 29,214,286 | 14,367,189 | 26,976,497 | 10,219,786 | |||||||||||
Distributions per Common Share | $ | 0.16 | $ | 0.17 | $ | 0.38 | $ | 0.22 |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest income | $ | 824 | $ | 2,091 | $ | 1,720 | $ | 4,436 | ||||||||
PIK interest income | 7 | 25 | 15 | 104 | ||||||||||||
Dividend income | — | — | — | 179 | ||||||||||||
Fee income | 2 | 3 | 19 | 555 | ||||||||||||
Total investment income | 833 | 2,119 | 1,754 | 5,274 | ||||||||||||
Operating Expenses | ||||||||||||||||
Management fee | 186 | 572 | 441 | 1,220 | ||||||||||||
Administrative services | 35 | 40 | 22 | 82 | ||||||||||||
Custody services | 9 | 22 | 19 | 43 | ||||||||||||
Trustees fees | 73 | 71 | 141 | 141 | ||||||||||||
Related party reimbursements | 95 | 169 | 197 | 229 | ||||||||||||
Professional services fees | 97 | 193 | 158 | 384 | ||||||||||||
Other expenses | 67 | 73 | 136 | 144 | ||||||||||||
Total expenses | 562 | 1,140 | 1,114 | 2,243 | ||||||||||||
Net investment income | 271 | 979 | 640 | 3,031 | ||||||||||||
Realized and unrealized gains (losses): | ||||||||||||||||
Net realized gains (losses) on: | ||||||||||||||||
Investments | (450 | ) | 834 | (524 | ) | 1,463 | ||||||||||
Foreign currency forward contracts | (10 | ) | 178 | 101 | 53 | |||||||||||
Foreign currency transactions | 51 | (1 | ) | 15 | (35 | ) | ||||||||||
Net realized gains (losses) | (409 | ) | 1,011 | (408 | ) | 1,481 | ||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | (104 | ) | (3,928 | ) | 2 | (4,209 | ) | |||||||||
Foreign currency forward contracts | 5 | 25 | (73 | ) | 279 | |||||||||||
Foreign currency transactions | (4 | ) | (1 | ) | — | (3 | ) | |||||||||
Net change in unrealized depreciation | (103 | ) | (3,904 | ) | (71 | ) | (3,933 | ) | ||||||||
Net realized and unrealized losses | (512 | ) | (2,893 | ) | (479 | ) | (2,452 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | $ | (241 | ) | $ | (1,914 | ) | $ | 161 | $ | 579 | ||||||
Per Common Share information: | ||||||||||||||||
Net investment income per Common Share outstanding - basic and diluted | $ | 0.01 | $ | 0.04 | $ | 0.02 | $ | 0.12 | ||||||||
Earnings (loss) per Common Share outstanding - basic and diluted | $ | ) | $ | ) | $ | $ | ||||||||||
Weighted average Common Shares outstanding - basic and diluted | ||||||||||||||||
Distribution per Common Share outstanding | $ | 0.39 | $ | 0.78 | $ | 1.07 | $ | 1.56 |
See Unaudited Notes to Consolidated Financial Statements.
4
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
(in thousands, except share amounts)and per share data)
Common Shares | Paid-in-Capital in Excess of | Accumulated Loss, net of | ||||||||||||||||||
Shares | Amount | Par Value | Distributions | Total | ||||||||||||||||
Balance at December 31, 2022 | 25,594,125 | $ | 26 | $ | 78,102 | $ | (16,855 | ) | $ | 61,273 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | — | — | — | 369 | 369 | |||||||||||||||
Net realized gain | — | — | — | 1 | 1 | |||||||||||||||
Net change in unrealized appreciation | — | — | — | 32 | 32 | |||||||||||||||
Net increase in net assets resulting from operations | — | — | — | 402 | 402 | |||||||||||||||
Shareholder distributions: | ||||||||||||||||||||
Distributions from earnings | — | — | — | (428 | ) | (428 | ) | |||||||||||||
Distributions representing a return of capital | — | — | (16,976 | ) | — | (16,976 | ) | |||||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | (16,976 | ) | (428 | ) | (17,404 | ) | ||||||||||||
Net decrease for the period | — | — | (16,976 | ) | (26 | ) | (17,002 | ) | ||||||||||||
Balance at March 31, 2023 | 25,594,125 | $ | 26 | $ | 61,126 | $ | (16,881 | ) | $ | 44,271 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | — | — | — | 271 | 271 | |||||||||||||||
Net realized losses | — | — | — | (409 | ) | (409 | ) | |||||||||||||
Net change in unrealized depreciation | — | — | — | (103 | ) | (103 | ) | |||||||||||||
Net decrease in net assets resulting from operations | — | — | — | (241 | ) | (241 | ) | |||||||||||||
Shareholder distributions: | ||||||||||||||||||||
Distributions from earnings | — | — | — | (309 | ) | (309 | ) | |||||||||||||
Distributions representing a return of capital | — | — | (9,675 | ) | — | (9,675 | ) | |||||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | (9,675 | ) | (309 | ) | (9,984 | ) | ||||||||||||
Net decrease for the period | — | — | (9,675 | ) | (550 | ) | (10,225 | ) | ||||||||||||
Balance at June 30, 2023 | 25,594,125 | $ | 26 | $ | 51,451 | $ | (17,431 | ) | $ | 34,046 |
5
Nine Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Operations | |||||||
Net investment income | $ | 9,336 | $ | 1,384 | |||
Net realized gains | 1,876 | 474 | |||||
Net change in unrealized appreciation | 1,096 | 5,391 | |||||
Net increase in net assets resulting from operations | 12,308 | 7,249 | |||||
Shareholder distributions: | |||||||
Distributions from net investment income | (9,336 | ) | (1,399 | ) | |||
Distributions in excess of net investment income | (1,056 | ) | (1,707 | ) | |||
Net decrease in net assets resulting from shareholder distributions | (10,392 | ) | (3,106 | ) | |||
Capital share transactions: | |||||||
Issuance of Common Shares | 70,676 | 88,869 | |||||
Repurchase of Common Shares | (1,291 | ) | — | ||||
Net increase in net assets resulting from capital share transactions | 69,385 | 88,869 | |||||
Total increase in net assets | 71,301 | 93,012 | |||||
Net assets at beginning of period | 178,066 | 46,704 | |||||
Net assets at end of period | $ | 249,367 | $ | 139,716 | |||
Capital share activity: | |||||||
Common Shares outstanding at the beginning of the period | 21,016,797 | 5,840,060 | |||||
Common Shares issued from subscriptions | 8,285,299 | 10,980,584 | |||||
Repurchase of Common Shares outstanding | (151,000 | ) | — | ||||
Common Shares outstanding at the end of the period | 29,151,096 | 16,820,644 | |||||
Accumulated distributions in excess of net investment income | $ | (1,501 | ) | $ | (1,707 | ) |
Common Shares | Paid-in-Capital in Excess of | Accumulated Loss, net of | ||||||||||||||||||
Shares | Amount | Par Value | Distributions | Total | ||||||||||||||||
Balance at December 31, 2021 | 25,594,125 | $ | 26 | $ | 169,019 | $ | (11,765 | ) | $ | 157,280 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | — | — | — | 2,052 | 2,052 | |||||||||||||||
Net realized gains | — | — | — | 470 | 470 | |||||||||||||||
Net change in unrealized depreciation | — | — | — | (29 | ) | (29 | ) | |||||||||||||
Net increase in net assets resulting from operations | — | — | — | 2,493 | 2,493 | |||||||||||||||
Shareholder distributions: | ||||||||||||||||||||
Distributions from earnings | — | — | — | (2,186 | ) | (2,186 | ) | |||||||||||||
Distributions representing a return of capital | — | — | (17,778 | ) | — | (17,778 | ) | |||||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | (17,778 | ) | (2,186 | ) | (19,964 | ) | ||||||||||||
Net increase (decrease) for the period | — | — | (17,778 | ) | 307 | (17,471 | ) | |||||||||||||
Balance at March 31, 2022 | 25,594,125 | $ | 26 | $ | 151,241 | $ | (11,458 | ) | $ | 139,809 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | — | — | — | 979 | 979 | |||||||||||||||
Net realized gains | — | — | — | 1,011 | 1,011 | |||||||||||||||
Net change in unrealized depreciation | — | — | — | (3,904 | ) | (3,904 | ) | |||||||||||||
Net decrease in net assets resulting from operations | — | — | — | (1,914 | ) | (1,914 | ) | |||||||||||||
Shareholder distributions: | ||||||||||||||||||||
Distributions from earnings | — | — | — | (1,294 | ) | (1,294 | ) | |||||||||||||
Distributions representing a return of capital | — | — | (18,669 | ) | — | (18,669 | ) | |||||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | (18,669 | ) | (1,294 | ) | (19,963 | ) | ||||||||||||
Net decrease for the period | — | — | (18,669 | ) | (3,208 | ) | (21,877 | ) | ||||||||||||
Balance at June 30, 2022 | 25,594,125 | $ | 26 | $ | 132,572 | $ | (14,666 | ) | $ | 117,932 |
See Unaudited Notes to Consolidated Financial Statements.
6
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)
(in thousands)
Nine Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Operating activities | |||||||
Net increase in net assets resulting from operations | $ | 12,308 | $ | 7,249 | |||
Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities: | |||||||
Paid-in-kind income | (169 | ) | (37 | ) | |||
Amortization of premium/accretion on investments, net | (941 | ) | (393 | ) | |||
Proceeds from sales of investments | 51,037 | 37,488 | |||||
Proceeds from paydowns on investments | 55,061 | 22,154 | |||||
Purchase of investments | (206,464 | ) | (195,614 | ) | |||
Net realized gain on investments | (3,021 | ) | (474 | ) | |||
Net change in unrealized appreciation on investments | (1,473 | ) | (5,391 | ) | |||
Net change in unrealized depreciation on foreign currency forward contracts | 377 | — | |||||
Amortization of deferred financing costs | 360 | 342 | |||||
(Increase) decrease in operating assets: | |||||||
Deferred offering costs | 68 | — | |||||
Interest and dividend income receivable | (1,281 | ) | (842 | ) | |||
Principal receivable | 2,408 | 23 | |||||
Advisor transition costs reimbursement receivable | (280 | ) | — | ||||
Prepaid and deferred expenses | 11 | (119 | ) | ||||
Increase (decrease) in operating liabilities: | |||||||
Payable for investments purchased | 3,837 | (4,230 | ) | ||||
Accrued investment advisory fee | 128 | 206 | |||||
Accrued performance-based incentive fee | 620 | 43 | |||||
Payable to related party | (8 | ) | 19 | ||||
Accrued professional services fees | 101 | 212 | |||||
Trustees fees payable | 50 | 45 | |||||
Accrued advisor transition costs | 333 | — | |||||
Accounts payable, accrued expenses and other liabilities | 50 | 79 | |||||
Net cash used in operating activities | (86,888 | ) | (139,240 | ) | |||
Financing activities | |||||||
Issuance of Common Shares | 70,676 | 88,869 | |||||
Repurchase of Common Shares | (1,291 | ) | — | ||||
Credit facility borrowings | 24,000 | 58,000 | |||||
Payment of financing costs | — | (219 | ) | ||||
Distributions paid | (10,392 | ) | (3,106 | ) | |||
Net cash provided by financing activities | 82,993 | 143,544 | |||||
Net increase (decrease) in restricted and unrestricted cash | (3,895 | ) | 4,304 | ||||
Restricted and unrestricted cash, beginning of period | 26,168 | 9,925 | |||||
Restricted and unrestricted cash, end of period | $ | 22,273 | $ | 14,229 | |||
Reconciliation of restricted and unrestricted cash | |||||||
Cash | 5,556 | 5,464 | |||||
Restricted cash | 16,317 | 8,765 | |||||
Collateral deposits for foreign currency forward contracts | 400 | — | |||||
Total restricted and unrestricted cash | $ | 22,273 | $ | 14,229 | |||
Supplemental disclosure of cash flow information: | |||||||
Cash paid for interest | $ | 4,360 | $ | 1,468 |
For the Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Operating activities | ||||||||
Net increase in net assets resulting from operations | $ | 161 | $ | 579 | ||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | ||||||||
Capitalized paid-in-kind income | (15 | ) | (189 | ) | ||||
Amortization of premium/accretion of discount, net | (96 | ) | (261 | ) | ||||
Proceeds from sales of investments | 16,011 | 8,024 | ||||||
Proceeds from paydowns on investments | 641 | 23,160 | ||||||
Net receipt of settlement of derivatives | 115 | 583 | ||||||
Net payment of settlement of derivatives | (13 | ) | (530 | ) | ||||
Net realized gains on derivatives | (101 | ) | (53 | ) | ||||
Purchases of investments | (6,061 | ) | (1,643 | ) | ||||
Net realized (gains) losses on investments | 524 | (1,463 | ) | |||||
Net change in unrealized (appreciation) depreciation on investments | (2 | ) | 4,209 | |||||
Net change in unrealized (appreciation) depreciation on foreign currency forward contracts | 73 | (279 | ) | |||||
Decrease in operating assets: | ||||||||
Interest and dividend income receivable | 324 | 117 | ||||||
Principal receivable | 11,486 | 4,122 | ||||||
Receivable from related parties | 5 | 20 | ||||||
Prepaid expenses and other assets | 134 | 135 | ||||||
Increase (decrease) in operating liabilities: | ||||||||
Accrued management fee | (91 | ) | (401 | ) | ||||
Payable to related parties | — | 54 | ||||||
Accounts payable, accrued expenses and other liabilities | (258 | ) | (271 | ) | ||||
Net cash provided by operating activities | 22,837 | 35,913 | ||||||
Financing activities | ||||||||
Distributions paid | (27,388 | ) | (39,927 | ) | ||||
Net cash used in financing activities | (27,388 | ) | (39,927 | ) | ||||
Net decrease in cash and cash equivalents | (4,551 | ) | (4,014 | ) | ||||
Cash and cash equivalents, beginning of period | 8,956 | 29,204 | ||||||
Cash and cash equivalents, end of period | $ | 4,405 | $ | 25,190 |
See Unaudited Notes to Consolidated Financial Statements.
7
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
June 30, 2023 (in thousands) | ||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||
INVESTMENTS | ||||||||||||||||||||||||||
Debt investments - 85.9% | ||||||||||||||||||||||||||
Automotive | ||||||||||||||||||||||||||
Accuride Corporation | Senior Secured Loans - First Lien | L+5.25% | 10.44% | 11/17/2023 | $ | 4,073 | $ | 4,064 | $ | 3,362 | 9.9 | % | ||||||||||||||
Total Automotive | 4,064 | 3,362 | 9.9 | % | ||||||||||||||||||||||
Chemicals, Plastics & Rubber | ||||||||||||||||||||||||||
Drew Marine Group Inc. | (11) | Senior Secured Loans - First Lien | S+4.25% | 9.64% | 6/26/2026 | 960 | 953 | 942 | 2.8 | % | ||||||||||||||||
Total Chemicals, Plastics & Rubber | 953 | 942 | 2.8 | % | ||||||||||||||||||||||
Consumer Goods: Non-Durable | ||||||||||||||||||||||||||
Galls LLC | (10)(11) | Senior Secured Loans - First Lien | S+7.42% | 12.46% | 1/31/2025 | 3,690 | 3,681 | 3,597 | 10.6 | % | ||||||||||||||||
Galls LLC (Delayed Draw B) | (10)(11) | Senior Secured Loans - First Lien | S+7.20% | 11.80% | 1/31/2025 | 541 | 540 | 528 | 1.6 | % | ||||||||||||||||
Galls LLC (Revolver) | (9)(11) | Senior Secured Loans - First Lien | S+6.38% | 11.99% | 1/31/2024 | 424 | 415 | 409 | 1.2 | % | ||||||||||||||||
4,636 | 4,534 | 13.4 | % | |||||||||||||||||||||||
Pure Fishing, Inc. | Senior Secured Loans - First Lien | S+4.61% | 9.72% | 12/19/2025 | 3,878 | 3,676 | 2,831 | 8.3 | % | |||||||||||||||||
Total Consumer Goods: Non-Durable | 8,312 | 7,365 | 21.7 | % | ||||||||||||||||||||||
Energy: Oil & Gas | ||||||||||||||||||||||||||
Basic Energy Services Inc | (13) | Senior Secured Bonds | N/A | N/A | 10/15/2023 | 4,291 | 1,458 | 32 | 0.1 | % | ||||||||||||||||
Permian Production Partners | (10)(11) | Senior Secured Loans - First Lien | S+8.11% | 13.22% | 11/23/2025 | 414 | 273 | 413 | 1.2 | % | ||||||||||||||||
Total Energy: Oil & Gas | 1,731 | 445 | 1.3 | % | ||||||||||||||||||||||
Metals & Mining | ||||||||||||||||||||||||||
Polyvision Corp. | (10)(11) | Senior Secured Loans - First Lien | S+8.50% | 13.77% | 2/21/2026 | 3,686 | 3,651 | 3,133 | 9.2 | % | ||||||||||||||||
Polyvision Corp. | (10)(11) | Senior Secured Loans - First Lien | S+8.50% | 13.77% | 2/21/2026 | 1,038 | 1,028 | 882 | 2.6 | % | ||||||||||||||||
Polyvision Corp. (Delayed Draw) | (10)(11) | Senior Secured Loans - First Lien | S+8.63% | 13.78% | 2/21/2026 | 141 | 141 | 120 | 0.4 | % | ||||||||||||||||
Polyvision Corp. (Revolver) | (10)(11) | Senior Secured Loans - First Lien | S+8.63% | 13.78% | 2/21/2026 | 966 | 897 | 821 | 2.4 | % | ||||||||||||||||
Total Metals & Mining | 5,717 | 4,956 | 14.6 | % | ||||||||||||||||||||||
Retail | ||||||||||||||||||||||||||
Save-a-Lot | (11) | Senior Secured Loans - First Lien | S+7.35% | 12.21% | 6/30/2026 | 995 | 895 | 965 | 2.8 | % | ||||||||||||||||
Save-a-Lot | (11) | Senior Secured Loans - First Lien | S+7.35% | 12.21% | 6/30/2026 | 466 | 261 | 436 | 1.3 | % | ||||||||||||||||
Save-a-Lot | (11) | Senior Secured Loans - Second Lien | S+11.50% | 16.47% | 12/31/2026 | 823 | 474 | 572 | 1.7 | % | ||||||||||||||||
Total Retail | 1,630 | 1,973 | 5.8 | % |
8
September 30, 2017 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
INVESTMENTS | ||||||||||||||||||||||||
Debt investments - 152.6% | ||||||||||||||||||||||||
Aerospace & Defense | ||||||||||||||||||||||||
Advanced Integration Technology | (15) | Senior Secured Loans - First Lien | L+4.75% | 5.99% | 4/3/2023 | 8,915 | $ | 8,784 | $ | 8,893 | 3.6 | % | ||||||||||||
National Technical Systems | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.49% | 6/14/2021 | 3,488 | 3,458 | 3,400 | 1.4 | % | ||||||||||||||
Tronair, Inc | (15) | Senior Secured Loans - First Lien | L+4.75% | 6.06% | 9/8/2023 | 3,960 | 3,921 | 3,940 | 1.6 | % | ||||||||||||||
Tronair, Inc | (15) | Senior Secured Loans - Second Lien | L+8.75% | 10.06% | 9/6/2024 | 4,000 | 3,873 | 3,878 | 1.5 | % | ||||||||||||||
7,794 | 7,818 | 3.1 | % | |||||||||||||||||||||
Total Aerospace & Defense | 20,036 | 20,111 | 8.1 | % | ||||||||||||||||||||
Automotive | ||||||||||||||||||||||||
Accuride Corp. | (15) | Senior Secured Loans - First Lien | L+7.00% | 8.33% | 11/10/2023 | 11,910 | 11,506 | 12,104 | 4.8 | % | ||||||||||||||
Express Oil | (13)(15) | Senior Secured Loans - First Lien | L+6.75% | 8.07% | 6/14/2024 | 2,368 | 2,317 | 2,317 | 0.9 | % | ||||||||||||||
Express Oil (Delayed Draw) | (12)(13)(15) | Senior Secured Loans - First Lien | L+6.75% | 8.07% | 6/14/2024 | 779 | 771 | 761 | 0.3 | % | ||||||||||||||
Express Oil (Revolver) | (8)(12)(13)(15)(18) | Senior Secured Loans - First Lien | L+6.75% | N/A | 6/14/2022 | — | (29 | ) | (28 | ) | — | % | ||||||||||||
3,059 | 3,050 | 1.2 | % | |||||||||||||||||||||
Humanetics | (15) | Senior Secured Loans - First Lien | L+6.00% | 7.24% | 7/12/2022 | 8,543 | 8,344 | 8,402 | 3.4 | % | ||||||||||||||
Humanetics (Revolver) | (8)(12)(13)(15)(18) | Senior Secured Loans - First Lien | L+6.00% | N/A | 7/12/2022 | — | (9 | ) | (48 | ) | — | % | ||||||||||||
8,335 | 8,354 | 3.4 | % | |||||||||||||||||||||
Mavis Tire Supply LLC | (15) | Senior Secured Loans - First Lien | L+5.25% | 6.49% | 11/2/2020 | 2,933 | 2,905 | 2,907 | 1.2 | % | ||||||||||||||
Total Automotive | 25,805 | 26,415 | 10.6 | % | ||||||||||||||||||||
Banking, Finance, Insurance & Real Estate | ||||||||||||||||||||||||
C-III Capital Partners | (11)(15) | Senior Secured Loans - First Lien | L+9.00% | 10.25% | 8/8/2021 | 2,545 | 2,463 | 2,523 | 1.0 | % | ||||||||||||||
Integro Insurance Brokers | (15) | Senior Secured Loans - First Lien | L+5.75% | 6.83% | 10/28/2022 | 1,002 | 972 | 999 | 0.4 | % | ||||||||||||||
Total Banking, Finance, Insurance & Real Estate | 3,435 | 3,522 | 1.4 | % | ||||||||||||||||||||
Beverage, Food & Tobacco | ||||||||||||||||||||||||
Addo Foods Group | UK(10)(11)(15) | Senior Secured Loans - First Lien | L+8.00% | 9.00% | 3/14/2024 | £10,000 | 12,144 | 13,057 | 5.2 | % | ||||||||||||||
Blue Harvest Fisheries | (15) | Senior Secured Loans - First Lien | L+7.00% | 8.24% | 7/29/2022 | 6,809 | 6,723 | 6,726 | 2.7 | % | ||||||||||||||
Blue Harvest Fisheries | (14)(15) | Subordinated Debt | N/A | 10.00% | 7/29/2022 | 357 | 354 | 356 | 0.2 | % | ||||||||||||||
7,077 | 7,082 | 2.9 | % | |||||||||||||||||||||
Chef's Warehouse, Inc. | (11) | Senior Secured Loans - First Lien | L+4.75% | 5.99% | 6/22/2022 | 4,038 | 3,974 | 4,094 | 1.6 | % |
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
June 30, 2023 (in thousands) | ||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||
Services: Business | ||||||||||||||||||||||||||
Hersha Hospitality Management | (11) | Senior Secured Loans - First Lien | S+4.90% | 9.85% | 3/2/2026 | 4,740 | 4,657 | 4,679 | 13.7 | % | ||||||||||||||||
PSI Services LLC (Revolver) | (9)(11) | Senior Secured Loans - First Lien | L+5.75% | 11.02% | 10/4/2025 | 298 | 298 | 277 | 0.8 | % | ||||||||||||||||
PSI Services LLC (Delayed Draw) | (11) | Senior Secured Loans - First Lien | L+5.75% | 11.02% | 10/4/2026 | 175 | 175 | 162 | 0.5 | % | ||||||||||||||||
PSI Services LLC (Delayed Draw) | (11) | Senior Secured Loans - First Lien | L+5.75% | 11.02% | 10/4/2026 | 414 | 414 | 384 | 1.1 | % | ||||||||||||||||
PSI Services LLC | (11) | Senior Secured Loans - First Lien | L+5.75% | 11.02% | 10/16/2026 | 2,765 | 2,732 | 2,567 | 7.5 | % | ||||||||||||||||
3,619 | 3,390 | 9.9 | % | |||||||||||||||||||||||
Total Services: Business | 8,276 | 8,069 | 23.6 | % | ||||||||||||||||||||||
Technology | ||||||||||||||||||||||||||
Allvue Systems (Revolver) | (9)(11) | Senior Secured Loans - First Lien | S+5.75% | 11.14% | 9/6/2024 | 74 | 61 | 69 | 0.2 | % | ||||||||||||||||
Allvue Systems (Term Loan) | (11) | Senior Secured Loans - First Lien | S+5.75% | 11.29% | 9/4/2026 | 838 | 836 | 807 | 2.4 | % | ||||||||||||||||
897 | 876 | 2.6 | % | |||||||||||||||||||||||
Apptio, Inc. (Revolver) | (9)(11) | Senior Secured Loans - First Lien | S+5.00% | 10.29% | 12/3/2024 | 98 | 79 | 88 | 0.3 | % | ||||||||||||||||
Apptio, Inc. | (11) | Senior Secured Loans - First Lien | S+5.00% | 10.29% | 1/10/2025 | 1,129 | 1,125 | 1,129 | 3.3 | % | ||||||||||||||||
1,204 | 1,217 | 3.6 | % | |||||||||||||||||||||||
Total Technology | 2,101 | 2,093 | 6.2 | % | ||||||||||||||||||||||
Total Debt Investments | $ | 32,784 | $ | 29,205 | 85.9 | % | ||||||||||||||||||||
Equity investments - 1.2% | ||||||||||||||||||||||||||
Energy: Oil & Gas | ||||||||||||||||||||||||||
Permian Production Partners | (11) | Equity/Other | N/A | N/A | 203,022 | — | 11 | — | % | |||||||||||||||||
Total Energy: Oil & Gas | — | 11 | — | % | ||||||||||||||||||||||
Retail | ||||||||||||||||||||||||||
Save-a-Lot | Equity/Other | N/A | N/A | 53,097 | — | 21 | 0.1 | % | ||||||||||||||||||
Total Retail | — | 21 | 0.1 | % |
9
September 30, 2017 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
CTI Foods | Senior Secured Loans - Second Lien | L+7.25% | 8.49% | 6/28/2021 | 5,000 | 4,689 | 4,069 | 1.6 | % | |||||||||||||||
Kar Nut Products Co. | (15) | Senior Secured Loans - First Lien | L+4.50% | 5.80% | 3/31/2023 | 1,000 | 991 | 991 | 0.4 | % | ||||||||||||||
Parts Town, LLC | (15) | Senior Secured Loans - First Lien | L+6.50% | 7.74% | 6/23/2022 | 6,930 | 6,930 | 6,930 | 2.8 | % | ||||||||||||||
Parts Town, LLC | (15) | Senior Secured Loans - First Lien | L+6.50% | 7.74% | 6/23/2022 | 1,493 | 1,479 | 1,493 | 0.6 | % | ||||||||||||||
Parts Town, LLC (Revolver) | (8)(12)(15)(13) | Senior Secured Loans - First Lien | L+6.50% | 7.74% | 6/23/2022 | 800 | 717 | 718 | 0.3 | % | ||||||||||||||
9,126 | 9,141 | 3.7 | % | |||||||||||||||||||||
Reddy Ice | Senior Secured Loans - First Lien | L+5.50% | 6.75% | 5/1/2019 | 3,625 | 3,514 | 3,576 | 1.4 | % | |||||||||||||||
Total Beverage, Food & Tobacco | 41,515 | 42,010 | 16.8 | % | ||||||||||||||||||||
Capital Equipment | ||||||||||||||||||||||||
Endries Acquisition Holdings | (15) | Senior Secured Loans - First Lien | L+4.75% | 5.98% | 6/1/2023 | 625 | 619 | 619 | 0.3 | % | ||||||||||||||
Great Lakes Dredge and Dock | (11) | Senior Unsecured Debt | N/A | 8.00% | 5/15/2022 | 2,000 | 2,000 | 2,075 | 0.8 | % | ||||||||||||||
Total Capital Equipment | 2,619 | 2,694 | 1.1 | % | ||||||||||||||||||||
Chemicals, Plastics & Rubber | ||||||||||||||||||||||||
Ilpea Parent Inc | IT(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 6.74% | 3/31/2023 | 5,863 | 5,782 | 5,885 | 2.4 | % | ||||||||||||||
Total Chemicals, Plastics & Rubber | 5,782 | 5,885 | 2.4 | % | ||||||||||||||||||||
Construction & Building | ||||||||||||||||||||||||
CH2M | (15) | Senior Secured Bonds | N/A | 10.00% | 4/28/2020 | 12,000 | 12,000 | 13,020 | 5.2 | % | ||||||||||||||
Fiber Composites, LLC | (14)(15)(20) | Senior Unsecured Debt | N/A | 12.50% | 6/29/2022 | 5,458 | 5,333 | 5,453 | 2.2 | % | ||||||||||||||
GAL Manufacturing | (13)(15) | Senior Secured Loans - First Lien | L+4.25% | 5.58% | 6/26/2023 | 5,553 | 5,461 | 5,461 | 2.2 | % | ||||||||||||||
GAL Manufacturing | (13)(15) | Senior Secured Loans - Second Lien | L+8.25% | 9.58% | 6/26/2024 | 6,000 | 5,873 | 5,870 | 2.4 | % | ||||||||||||||
GAL Manufacturing (Revolver) | (8)(13)(15) | Senior Secured Loans - First Lien | L+4.25% | 5.58% | 6/26/2022 | 60 | 8 | 8 | — | % | ||||||||||||||
11,342 | 11,339 | 4.6 | % | |||||||||||||||||||||
Hayward Industries, Inc. | (13)(15) | Senior Secured Loans - Second Lien | L+8.25% | 9.49% | 7/18/2025 | 6,000 | 5,895 | 5,970 | 2.4 | % | ||||||||||||||
SRS Distribution Inc. | Senior Secured Loans - Second Lien | L+8.75% | 9.99% | 2/24/2023 | 6,790 | 6,710 | 6,985 | 2.8 | % | |||||||||||||||
Total Construction & Building | 41,280 | 42,767 | 17.2 | % | ||||||||||||||||||||
Consumer Goods: Non-Durable | ||||||||||||||||||||||||
Implus Footcare, LLC | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.08% | 4/30/2021 | 4,758 | 4,709 | 4,716 | 1.9 | % | ||||||||||||||
Implus Footcare, LLC | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.01% | 4/30/2021 | 923 | 911 | 915 | 0.4 | % | ||||||||||||||
5,620 | 5,631 | 2.3 | % | |||||||||||||||||||||
Total Consumer Goods: Non-Durable | 5,620 | 5,631 | 2.3 | % | ||||||||||||||||||||
Containers, Packaging & Glass | ||||||||||||||||||||||||
Bioplan USA, Inc. | Senior Secured Loans - First Lien | L+4.75% | 5.99% | 9/23/2021 | 5,526 | 5,014 | 5,511 | 2.2 | % | |||||||||||||||
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
June 30, 2023 (in thousands) | ||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||
Service: Businesses | ||||||||||||||||||||||||||
YAK BLOCKER 2 LLC SERIES A | (11) | Equity/Other | N/A | N/A | 422,178 | 2,514 | 232 | 0.7 | % | |||||||||||||||||
YAK BLOCKER 2 LLC SERIES B-1 | (11) | Equity/Other | N/A | N/A | 1,130,232 | 1,923 | 153 | 0.4 | % | |||||||||||||||||
YAK BLOCKER 2 LLC SERIES B-2 | (11) | Equity/Other | N/A | N/A | 120,558 | 205 | 16 | — | % | |||||||||||||||||
YAK BLOCKER 2 LLC SERIES C-1 | (11) | Equity/Other | N/A | N/A | 30,451 | 4 | — | — | % | |||||||||||||||||
YAK BLOCKER 2 LLC SERIES C-2 | (11) | Equity/Other | N/A | N/A | 28,145 | 3 | — | — | % | |||||||||||||||||
Total Service: Businesses | 4,649 | 401 | 1.1 | % | ||||||||||||||||||||||
Total Equity Investments | $ | 4,649 | $ | 433 | 1.2 | % | ||||||||||||||||||||
Total Investments - 87.1% | $ | 37,433 | $ | 29,638 | 87.1 | % |
September 30, 2017 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
Resource Label Group LLC | (15) | Senior Secured Loans - First Lien | L+4.50% | 5.83% | 5/26/2023 | 2,974 | 2,946 | 2,978 | 1.2 | % | ||||||||||||||
Resource Label Group LLC | (15) | Senior Secured Loans - Second Lien | L+8.50% | 9.83% | 11/26/2023 | 3,000 | 2,957 | 3,004 | 1.2 | % | ||||||||||||||
5,903 | 5,982 | 2.4 | % | |||||||||||||||||||||
Total Containers, Packaging & Glass | 10,917 | 11,493 | 4.6 | % | ||||||||||||||||||||
Energy: Oil & Gas | ||||||||||||||||||||||||
BreitBurn Energy Partners LP | (11)(15)(16) | Senior Secured Bonds | N/A | —% | 5/18/2020 | 3,250 | 3,153 | 2,990 | 1.2 | % | ||||||||||||||
Ferrellgas, LP | (11) | Senior Unsecured Debt | N/A | 6.50% | 5/1/2021 | 1,650 | 1,646 | 1,601 | 0.6 | % | ||||||||||||||
Ferrellgas, LP | (11) | Senior Unsecured Debt | N/A | 6.75% | 1/15/2022 | 2,950 | 2,867 | 2,862 | 1.1 | % | ||||||||||||||
Ferrellgas, LP | (11) | Senior Unsecured Debt | N/A | 6.75% | 6/15/2023 | 1,855 | 1,766 | 1,785 | 0.7 | % | ||||||||||||||
6,279 | 6,248 | 2.4 | % | |||||||||||||||||||||
Moss Creek Resources | (13)(15) | Senior Unsecured Debt | L+8.00% | 9.50% | 3/29/2022 | 9,333 | 9,139 | 9,217 | 3.7 | % | ||||||||||||||
Penn Virginia | (11)(12)(13)(15) | Senior Secured Loans - Second Lien | L+7.00% | 8.34% | 9/29/2022 | 3,000 | 2,940 | 2,940 | 1.2 | % | ||||||||||||||
Total Energy: Oil & Gas | 21,511 | 21,395 | 8.5 | % | ||||||||||||||||||||
Healthcare & Pharmaceuticals | ||||||||||||||||||||||||
Alltech | (15) | Subordinated Debt | L+7.25% | 8.49% | 7/9/2023 | 14,376 | 14,198 | 14,203 | 5.7 | % | ||||||||||||||
Alltech | (15) | Subordinated Debt | L+7.25% | 8.25% | 7/9/2023 | €601 | 619 | 702 | 0.3 | % | ||||||||||||||
14,817 | 14,905 | 6.0 | % | |||||||||||||||||||||
Hanger, Inc. | (11)(15) | Senior Unsecured Debt | N/A | 11.50% | 8/1/2019 | 4,000 | 3,950 | 4,150 | 1.6 | % | ||||||||||||||
WIRB-Copernicus Group | (15) | Senior Secured Loans - Second Lien | L+9.00% | 10.30% | 8/15/2023 | 8,000 | 7,861 | 7,908 | 3.2 | % | ||||||||||||||
WIRB-Copernicus Group | (15) | Senior Secured Loans - Second Lien | L+9.00% | 10.33% | 8/15/2023 | 4,000 | 3,947 | 3,954 | 1.6 | % | ||||||||||||||
11,808 | 11,862 | 4.8 | % | |||||||||||||||||||||
Total Healthcare & Pharmaceuticals | 30,575 | 30,917 | 12.4 | % | ||||||||||||||||||||
Hotel, Gaming & Leisure | ||||||||||||||||||||||||
Bay Club Company | Senior Secured Loans - First Lien | L+6.50% | 7.74% | 8/24/2022 | 7,660 | 7,482 | 7,774 | 3.1 | % | |||||||||||||||
Welcome Break | UK(10)(11)(15) | Senior Secured Loans - Second Lien | L+8.00% | 8.29% | 1/26/2023 | £5,989 | 7,378 | 7,920 | 3.2 | % | ||||||||||||||
Total Hotel, Gaming & Leisure | 14,860 | 15,694 | 6.3 | % | ||||||||||||||||||||
Media: Advertising, Printing & Publishing | ||||||||||||||||||||||||
Boats Group | (15) | Senior Secured Loans - First Lien | L+5.75% | 7.05% | 9/9/2022 | 6,930 | 6,861 | 6,863 | 2.7 | % | ||||||||||||||
Boats Group (Revolver) | (8)(13)(15)(18) | Senior Secured Loans - First Lien | L+5.75% | N/A | 8/10/2021 | — | (100 | ) | (99 | ) | — | % | ||||||||||||
6,761 | 6,764 | 2.7 | % |
September 30, 2017 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
Dominion Web Solutions | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.48% | 6/15/2024 | 5,640 | 5,640 | 5,546 | 2.2 | % | ||||||||||||||
Dominion Web Solutions (Revolver) | (8)(13)(15)(18) | Senior Secured Loans - First Lien | L+6.25% | N/A | 6/15/2023 | — | (49 | ) | (49 | ) | — | % | ||||||||||||
5,591 | 5,497 | 2.2 | % | |||||||||||||||||||||
Total Media: Advertising, Printing & Publishing | 12,352 | 12,261 | 4.9 | % | ||||||||||||||||||||
Media: Broadcasting & Subscription | ||||||||||||||||||||||||
ProQuest LLC | (15) | Senior Secured Loans - Second Lien | L+9.00% | 10.24% | 12/15/2022 | 787 | 772 | 764 | 0.3 | % | ||||||||||||||
Total Media: Broadcasting & Subscription | 772 | 764 | 0.3 | % | ||||||||||||||||||||
Metals & Mining | ||||||||||||||||||||||||
New Day Aluminum LLC | (14)(15)(21) | Senior Secured Bonds | N/A | 10.00% | 10/28/2020 | 23 | 1 | 14 | — | % | ||||||||||||||
Total Metals & Mining | 1 | 14 | — | % | ||||||||||||||||||||
Retail | ||||||||||||||||||||||||
Belk Inc. | Senior Secured Loans - First Lien | L+4.75% | 6.05% | 12/12/2022 | 2,281 | 2,077 | 1,919 | 0.8 | % | |||||||||||||||
Blue Nile Inc. | (15) | Senior Secured Loans - First Lien | L+6.50% | 7.83% | 2/17/2023 | 11,850 | 11,522 | 11,909 | 4.8 | % | ||||||||||||||
Med Intermediate (MyEyeDr) | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.49% | 8/14/2021 | 4,804 | 4,766 | 4,837 | 1.9 | % | ||||||||||||||
Med Intermediate (MyEyeDr) (Delayed Draw) | (8)(12)(15) | Senior Secured Loans - First Lien | L+6.25% | 7.49% | 8/16/2021 | 139 | 116 | 150 | 0.1 | % | ||||||||||||||
Med Intermediate (MyEyeDr) (Term Loan B) | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.49% | 8/16/2021 | 1,256 | 1,241 | 1,265 | 0.5 | % | ||||||||||||||
6,123 | 6,252 | 2.5 | % | |||||||||||||||||||||
Pet Holdings ULC | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 6.80% | 6/23/2022 | 4,455 | 4,394 | 4,455 | 1.8 | % | ||||||||||||||
Pet Holdings ULC (Delayed Draw) | CN(8)(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 6.79% | 6/23/2022 | 375 | 375 | 375 | 0.1 | % | ||||||||||||||
4,769 | 4,830 | 1.9 | % | |||||||||||||||||||||
Toys R Us (DIP) | (12)(13) | Senior Secured Loans - First Lien | L+6.75% | 8.07% | 1/22/2019 | 2,000 | 1,990 | 2,040 | 0.8 | % | ||||||||||||||
Total Retail | 26,481 | 26,950 | 10.8 | % | ||||||||||||||||||||
Technology | ||||||||||||||||||||||||
ACA Compliance Group | (15) | Senior Secured Loans - First Lien | L+4.75% | 5.99% | 1/30/2021 | 998 | 988 | 999 | 0.4 | % | ||||||||||||||
Advanced Computer Software | UK(10)(11) | Senior Secured Loans - First Lien | L+5.50% | 6.82% | 3/18/2022 | 742 | 722 | 736 | 0.3 | % | ||||||||||||||
Advanced Computer Software | UK(10)(11) | Senior Secured Loans - Second Lien | L+9.50% | 10.81% | 1/31/2023 | 6,000 | 5,546 | 5,625 | 2.2 | % | ||||||||||||||
6,268 | 6,361 | 2.5 | % | |||||||||||||||||||||
Advicent Solutions | (15) | Senior Secured Loans - First Lien | L+8.25% | 9.55% | 2/28/2022 | 7,144 | 6,982 | 7,105 | 2.8 | % |
September 30, 2017 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
Alegeus Technology LLC | (15) | Senior Secured Loans - First Lien | L+5.00% | 6.26% | 4/28/2023 | 998 | 988 | 988 | 0.4 | % | ||||||||||||||
Causeway Technologies | UK(10)(11)(15) | Senior Secured Loans - First Lien | L+7.00% | 8.22% | 6/2/2024 | £2,300 | 2,912 | 3,023 | 1.2 | % | ||||||||||||||
Cologix Holdings | Senior Secured Loans - Second Lien | L+7.00% | 8.24% | 3/20/2025 | 3,000 | 2,970 | 3,035 | 1.2 | % | |||||||||||||||
Cvent, Inc. | Senior Secured Loans - First Lien | L+4.00% | 5.24% | 11/29/2023 | 5,373 | 5,320 | 5,440 | 2.2 | % | |||||||||||||||
Cvent, Inc. | (15) | Senior Secured Loans - Second Lien | L+10.00% | 11.24% | 5/29/2024 | 5,385 | 5,101 | 5,204 | 2.1 | % | ||||||||||||||
10,421 | 10,644 | 4.3 | % | |||||||||||||||||||||
Epicor Software Cop. | (15) | Senior Secured Bonds | L+8.25% | 9.40% | 5/21/2023 | 5,000 | 4,881 | 4,885 | 2.0 | % | ||||||||||||||
Greenway Health, LLC | Senior Secured Loans - First Lien | L+4.25% | 5.58% | 2/16/2024 | 7,980 | 7,906 | 8,020 | 3.2 | % | |||||||||||||||
Lytx, Inc. | (13)(15) | Senior Secured Loans - First Lien | L+6.75% | 7.99% | 8/31/2023 | 6,632 | 6,474 | 6,470 | 2.6 | % | ||||||||||||||
Lytx, Inc. (Revolver) | (8)(12)(13)(15)(18) | Senior Secured Loans - First Lien | L+6.75% | N/A | 8/31/2022 | — | (45 | ) | (45 | ) | — | % | ||||||||||||
6,429 | 6,425 | 2.6 | % | |||||||||||||||||||||
�� | ||||||||||||||||||||||||
Ministry Brands | (13)(15) | Senior Secured Loans - First Lien | L+5.00% | 6.23% | 12/2/2022 | 976 | 966 | 971 | 0.4 | % | ||||||||||||||
Ministry Brands (Delayed Draw) | (8)(12)(13)(15) | Senior Secured Loans - First Lien | L+5.00% | 6.20% | 12/2/2022 | 519 | 516 | 515 | 0.2 | % | ||||||||||||||
Ministry Brands (Delayed Draw) | (13)(15) | Senior Secured Loans - First Lien | P+5.00% | 8.25% | 12/2/2022 | 53 | 53 | 53 | — | % | ||||||||||||||
1,535 | 1,539 | 0.6 | % | |||||||||||||||||||||
Onyx CenterSource | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.09% | 12/20/2021 | 7,179 | 7,150 | 7,150 | 2.9 | % | ||||||||||||||
Onyx CenterSource (Revolver) | (8)(12)(13)(15) | Senior Secured Loans - First Lien | L+6.75% | 8.09% | 12/20/2021 | 44 | 3 | 9 | — | % | ||||||||||||||
7,153 | 7,159 | 2.9 | % | |||||||||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - First Lien | L+5.25% | 6.49% | 1/18/2023 | 4,366 | 4,306 | 4,308 | 1.7 | % | ||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - Second Lien | L+9.75% | 10.99% | 7/27/2023 | 4,388 | 4,324 | 4,329 | 1.7 | % | ||||||||||||||
8,630 | 8,637 | 3.4 | % | |||||||||||||||||||||
PluralSight Holdings | (13)(15) | Senior Secured Loans - First Lien | L+8.50% | 9.84% | 6/12/2023 | 5,794 | 5,694 | 5,694 | 2.3 | % | ||||||||||||||
PluralSight Holdings (Revolver) | (8)(12)(13)(15)(18) | Senior Secured Loans - First Lien | L+8.50% | N/A | 6/12/2022 | — | (30 | ) | (29 | ) | — | % | ||||||||||||
5,664 | 5,665 | 2.3 | % | |||||||||||||||||||||
Tritech Software Systems | (15) | Senior Secured Loans - First Lien | L+4.50% | 5.80% | 4/3/2023 | 5,686 | 5,633 | 5,633 | 2.3 | % | ||||||||||||||
Tritech Software Systems | (15) | Senior Secured Loans - Second Lien | L+8.50% | 9.80% | 10/17/2023 | 6,000 | 5,951 | 5,951 | 2.4 | % | ||||||||||||||
11,584 | 11,584 | 4.7 | % | |||||||||||||||||||||
Total Technology | 85,311 | 86,069 | 34.5 | % |
September 30, 2017 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
Telecommunications | ||||||||||||||||||||||||
Eco-Site (Delayed Draw) | (8)(12)(13)(15) | Senior Secured Loans - First Lien | L+8.00% | 9.29% | 2/3/2022 | 9,643 | 9,472 | 9,450 | 3.8 | % | ||||||||||||||
Total Telecommunications | 9,472 | 9,450 | 3.8 | % | ||||||||||||||||||||
Utilities: Electric | ||||||||||||||||||||||||
BHI Energy | (13)(15) | Senior Secured Loans - Second Lien | L+8.75% | 9.98% | 2/25/2025 | 6,000 | 5,880 | 5,970 | 2.4 | % | ||||||||||||||
Moxie Liberty LLC | Senior Secured Loans - First Lien | L+6.50% | 7.83% | 8/21/2020 | 2,959 | 2,902 | 2,646 | 1.1 | % | |||||||||||||||
Moxie Patriot LLC | (15) | Senior Secured Loans - First Lien | L+5.75% | 7.08% | 12/21/2020 | 631 | 612 | 590 | 0.2 | % | ||||||||||||||
MRP Generation Holdings LLC | (11)(15) | Senior Secured Loans - First Lien | L+7.00% | 8.33% | 10/18/2022 | 4,950 | 4,691 | 4,678 | 1.9 | % | ||||||||||||||
Panda Hummel LLC | Senior Secured Loans - First Lien | L+6.00% | 7.24% | 10/27/2022 | 655 | 634 | 606 | 0.2 | % | |||||||||||||||
PrimeLine Utility Services | (13)(14)(15)(22) | Senior Unsecured Debt | N/A | 16.00% | 6/1/2020 | 2,108 | 2,076 | 2,075 | 0.8 | % | ||||||||||||||
Total Utilities: Electric | 16,795 | 16,565 | 6.6 | % | ||||||||||||||||||||
Total Debt Investments | $ | 375,139 | $ | 380,607 | 152.6 | % | ||||||||||||||||||
Equity investments - 0.2% | ||||||||||||||||||||||||
Beverage, Food & Tobacco | ||||||||||||||||||||||||
Blue Harvest Fisheries (Closed End Units) | (13)(15)(17) | Equity and Other | N/A | N/A | — | $ | 13 | $ | 13 | — | % | |||||||||||||
Total Beverage, Food & Tobacco | 13 | 13 | — | % | ||||||||||||||||||||
Energy: Oil & Gas | ||||||||||||||||||||||||
BreitBurn Energy Partners LP (Preferred Equity) | (9)(11)(13)(15)(17) | Equity and Other | N/A | —% | 251 | $ | 1,886 | $ | — | — | % | |||||||||||||
SandRidge Energy Inc. (Common Equity) | (11)(13)(17) | Equity and Other | N/A | N/A | 22 | 456 | 434 | 0.2 | % | |||||||||||||||
Total Energy: Oil & Gas | 2,342 | 434 | 0.2 | % | ||||||||||||||||||||
Total Equity Investments | $ | 2,355 | $ | 447 | 0.2 | % | ||||||||||||||||||
Total Investments - 152.8% | (19) | $ | 377,494 | $ | 381,054 | 152.8 | % |
September 30, 2017 (in thousands) | |||||||||||||||||
Derivative Counterparty | Settlement Date | Amount Purchased | Amount Sold | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||
Foreign Currency Forward Contracts (19) | |||||||||||||||||
JPMorgan Chase Bank | 10/12/2017 | $713 | €595 | $ | — | $ | 9 | — | % | ||||||||
JPMorgan Chase Bank | 10/12/2017 | $23,810 | €18,056 | — | $ | (394 | ) | (0.2 | )% |
(1) | Security may be an obligation of one or more entities affiliated with the named portfolio company. |
(2) | All debt and equity investments are income producing unless otherwise noted. |
(3) | All investments are non-controlled/non-affiliated investments as defined by the Investment Company Act of 1940 |
(4) | The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate 6-month LIBOR and the SOFR rates ranged between 5.14% for 1-month SOFR to 5.39% for 6-month SOFR. |
(5) | For portfolio companies with multiple interest rate contracts under a single credit agreement, the interest rate shown is a weighted average current interest rate in effect at |
(6) | Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in |
(7) | Cost represents amortized cost, inclusive of any capitalized paid-in-kind income (“PIK”), for debt securities, and cost plus capitalized PIK, if any, for preferred |
(8) | As of June 30, 2023, the aggregate gross unrealized appreciation for all securities, including foreign currency forward contracts, in which there was an excess of value over tax cost was $0.6 million; the aggregate gross unrealized depreciation for all securities, including foreign currency forward contracts, in which there was an excess of tax cost over value was $10.0 million; the net unrealized depreciation was $9.4 million; the aggregate cost of securities for Federal income tax purposes was $39.0 million. |
(9) | The investment is either a delayed draw loan or a revolving credit facility whereby some or all of the investment commitment is undrawn as of |
The underlying credit agreement or indenture contains a PIK provision, whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities. The interest rate in the schedule represents the current interest rate in effect for these investments. |
10
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Coupon Rate | PIK Component | Cash Component | PIK Option | |||||||
Galls LLC | S+7.42% | 0.50 | % | S+6.92% | The Portfolio Company may elect PIK up to 0.50%. | |||||
Galls LLC | S+7.20% | 0.50 | % | S+6.70% | The Portfolio Company may elect PIK up to 0.50%. | |||||
Polyvision Corp. | S+8.50% | 2.00 | % | S+6.50% | The Portfolio Company may elect PIK up to 2.00%. | |||||
Polyvision Corp. | S+8.50% | 2.00 | % | S+6.50% | The Portfolio Company may elect PIK up to 2.00%. | |||||
Polyvision Corp. | S+8.63% | 2.00 | % | S+6.63% | The Portfolio Company may elect PIK up to 2.00%. | |||||
Polyvision Corp. | S+8.63% | 2.00 | % | S+6.63% | The Portfolio Company may elect PIK up to 2.00%. | |||||
Permian Production Partners | S+8.11% | 2.00 | % | S+6.11% | The Portfolio Company may elect PIK up to 2.00%. |
Investments value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies). |
The negative fair value is the result of |
Investment was on non-accrual status as of June 30, 2023, meaning that the Master Fund has ceased recognizing interest income on these investments. As of |
See Unaudited Notes to Consolidated Financial Statements.
11
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
December 31, 2022 (in thousands) | ||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||
INVESTMENTS | ||||||||||||||||||||||||||
Debt investments - 65.7% | ||||||||||||||||||||||||||
Automotive | ||||||||||||||||||||||||||
Accuride Corporation | Senior Secured Loans - First Lien | L+5.25% | 9.98% | 11/17/2023 | $ | 4,095 | $ | 4,072 | $ | 3,490 | 5.7 | % | ||||||||||||||
Total Automotive | 4,072 | 3,490 | 5.7 | % | ||||||||||||||||||||||
Beverage, Food & Tobacco | ||||||||||||||||||||||||||
Checkers Holdings Inc | Senior Secured Loans - First Lien | L+4.25% | 8.99% | 4/25/2024 | 1,110 | 713 | 910 | 1.5 | % | |||||||||||||||||
Total Beverage, Food & Tobacco | 713 | 910 | 1.5 | % | ||||||||||||||||||||||
Chemicals, Plastics & Rubber | ||||||||||||||||||||||||||
Drew Marine Group Inc. | (11) | Senior Secured Loans - First Lien | L+4.25% | 8.98% | 6/26/2026 | 965 | 957 | 944 | 1.5 | % | ||||||||||||||||
Total Chemicals, Plastics & Rubber | 957 | 944 | 1.5 | % | ||||||||||||||||||||||
Consumer Goods: Non-Durable | ||||||||||||||||||||||||||
Galls LLC | (10)(11) | Senior Secured Loans - First Lien | L+7.25% | 11.16% | 1/31/2025 | 3,699 | 3,689 | 3,607 | 5.9 | % | ||||||||||||||||
Galls LLC (Delayed Draw B) | (10)(11) | Senior Secured Loans - First Lien | L+7.25% | 11.16% | 1/31/2025 | 543 | 541 | 529 | 0.9 | % | ||||||||||||||||
Galls LLC (Revolver) | (9)(11) | Senior Secured Loans - First Lien | L+6.75% | 11.12% | 1/31/2024 | 442 | 425 | 426 | 0.7 | % | ||||||||||||||||
4,655 | 4,562 | 7.5 | % | |||||||||||||||||||||||
Pure Fishing, Inc. | Senior Secured Loans - First Lien | L+4.50% | 8.88% | 12/19/2025 | 3,899 | 3,654 | 2,610 | 4.3 | % | |||||||||||||||||
Total Consumer Goods: Non-Durable | 8,309 | 7,172 | 11.8 | % | ||||||||||||||||||||||
Energy: Oil & Gas | ||||||||||||||||||||||||||
Basic Energy Services Inc | (11)(13) | Senior Secured Bonds | N/A | N/A | 10/15/2023 | 4,291 | 1,520 | 102 | 0.2 | % | ||||||||||||||||
Permian Production Partners | (10)(11) | Senior Secured Loans - First Lien | L+8.00% | 12.39% | 11/23/2025 | 410 | 250 | 409 | 0.7 | % | ||||||||||||||||
Total Energy: Oil & Gas | 1,770 | 511 | 0.9 | % | ||||||||||||||||||||||
Hotel, Gaming & Leisure | ||||||||||||||||||||||||||
ASM Global | Senior Secured Loans - First Lien | L+2.50% | 6.91% | 1/23/2025 | 2,281 | 2,279 | 2,228 | 3.6 | % | |||||||||||||||||
Total Hotel, Gaming & Leisure | 2,279 | 2,228 | 3.6 | % | ||||||||||||||||||||||
Metals & Mining | ||||||||||||||||||||||||||
Polyvision Corp. | (10)(11) | Senior Secured Loans - First Lien | L+7.50% | 11.07% | 2/21/2026 | 3,555 | 3,520 | 3,271 | 5.3 | % | ||||||||||||||||
Polyvision Corp. | (10)(11) | Senior Secured Loans - First Lien | L+7.50% | 11.07% | 2/21/2026 | 1,001 | 991 | 921 | 1.5 | % | ||||||||||||||||
Polyvision Corp. (Delayed Draw) | (10)(11) | Senior Secured Loans - First Lien | L+7.50% | 12.60% | 2/21/2026 | 138 | 138 | 127 | 0.2 | % | ||||||||||||||||
Polyvision Corp. (Revolver) | (9)(10)(11) | Senior Secured Loans - First Lien | L+7.50% | 11.12% | 8/21/2025 | 924 | 851 | 846 | 1.4 | % | ||||||||||||||||
Total Metals & Mining | 5,500 | 5,165 | 8.4 | % |
12
December 31, 2016 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal Amount / No. Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
INVESTMENTS | ||||||||||||||||||||||||
Debt investments - 154.3% | ||||||||||||||||||||||||
Aerospace & Defense | ||||||||||||||||||||||||
Advanced Integration Technology | Senior Secured Loans - First Lien | L+5.50% | 6.50% | 7/22/2021 | 7,980 | $ | 7,757 | $ | 8,020 | 4.5 | % | |||||||||||||
National Technical Systems, Inc. | (17) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 6/14/2021 | 4,092 | 4,052 | 3,990 | 2.2 | % | ||||||||||||||
National Technical Systems, Inc. (Delayed Draw) | (8)(17)(20) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 6/11/2021 | 765 | — | (19 | ) | — | % | |||||||||||||
4,052 | 3,971 | 2.2 | % | |||||||||||||||||||||
StandardAero | Subordinated Debt | N/A | 10.00% | 7/15/2023 | 2,380 | 2,367 | 2,505 | 1.4 | % | |||||||||||||||
Tronair Inc. | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 9/8/2023 | 3,960 | 3,922 | 3,940 | 2.2 | % | |||||||||||||||
Tronair Inc. | (17) | Senior Secured Loans - Second Lien | L+8.75% | 9.75% | 9/6/2024 | 4,000 | 3,864 | 3,864 | 2.2 | % | ||||||||||||||
7,786 | 7,804 | 4.4 | % | |||||||||||||||||||||
Total Aerospace & Defense | 21,962 | 22,300 | 12.5 | % | ||||||||||||||||||||
Automotive | ||||||||||||||||||||||||
Accuride Corp. | Senior Secured Loans - First Lien | L+7.00% | 8.00% | 11/10/2023 | 12,000 | 11,580 | 11,760 | 6.7 | % | |||||||||||||||
BBB Industries, Inc. | (17) | Senior Secured Loans - First Lien | L+5.00% | 6.00% | 11/3/2021 | 4,975 | 4,871 | 4,984 | 2.8 | % | ||||||||||||||
Humanetics | (12)(17) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 7/12/2022 | 8,605 | 8,380 | 8,441 | 4.7 | % | ||||||||||||||
Humanetics (Revolver) | (8)(12)(13)(17)(20) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 7/12/2022 | 400 | (10 | ) | (8 | ) | — | % | ||||||||||||
8,370 | 8,433 | 4.7 | % | |||||||||||||||||||||
Mavis Tire Supply LLC | (17) | Senior Secured Loans - First Lien | L+5.25% | 6.25% | 11/2/2020 | 2,955 | 2,921 | 2,923 | 1.6 | % | ||||||||||||||
Total Automotive | 27,742 | 28,100 | 15.8 | % | ||||||||||||||||||||
Banking, Finance, Insurance & Real Estate | ||||||||||||||||||||||||
C-III Capital Partners | (11)(17) | Senior Secured Loans - First Lien | L+5.00% | 6.00% | 8/8/2021 | 3,120 | 3,076 | 3,077 | 1.7 | % | ||||||||||||||
C-III Capital Partners | (11)(17) | Senior Secured Loans - First Lien | L+7.92% | 8.92% | 8/8/2021 | 4,680 | 4,504 | 4,507 | 2.5 | % | ||||||||||||||
7,580 | 7,584 | 4.2 | % | |||||||||||||||||||||
Integro Insurance Brokers | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 10/28/2022 | 2,771 | 2,674 | 2,743 | 1.5 | % | |||||||||||||||
Integro Insurance Brokers (Delayed Draw) | Senior Secured Loans - First Lien | L+5.75% | 6.50% | 10/7/2022 | 150 | 145 | 149 | 0.1 | % | |||||||||||||||
2,819 | 2,892 | 1.6 | % | |||||||||||||||||||||
Total Banking, Finance, Insurance & Real Estate | 10,399 | 10,476 | 5.8 | % | ||||||||||||||||||||
Beverage, Food & Tobacco | ||||||||||||||||||||||||
Blue Harvest Fisheries | (17) | Senior Secured Loans - First Lien | L+7.00% | 8.00% | 7/29/2022 | 6,866 | 6,769 | 6,770 | 3.8 | % | ||||||||||||||
Blue Harvest Fisheries | (13)(15)(17) | Subordinated Debt | N/A | 10.00% | 8/17/2036 | 337 | 337 | 337 | 0.2 | % | ||||||||||||||
7,106 | 7,107 | 4.0 | % | |||||||||||||||||||||
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
December 31, 2022 (in thousands) | ||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||
Retail | ||||||||||||||||||||||||||
Save-a-Lot | Senior Secured Loans - First Lien | S+7.25% | 11.93% | 6/30/2026 | 1,088 | 979 | 899 | 1.4 | % | |||||||||||||||||
Save-a-Lot | Senior Secured Loans - First Lien | S+7.25% | 11.93% | 6/30/2026 | 466 | 261 | 385 | 0.6 | % | |||||||||||||||||
Save-a-Lot | Senior Secured Loans - Second Lien | S+9.50% | 14.18% | 12/31/2026 | 794 | 445 | 484 | 0.8 | % | |||||||||||||||||
Total Retail | 1,685 | 1,768 | 2.8 | % | ||||||||||||||||||||||
Services: Business | ||||||||||||||||||||||||||
HealthChannels, Inc. | Senior Secured Loans - First Lien | L+4.50% | 8.88% | 4/3/2025 | 1,907 | 1,892 | 1,350 | 2.2 | % | |||||||||||||||||
Hersha Hospitality Management | (11) | Senior Secured Loans - First Lien | S+6.00% | 9.81% | 3/2/2026 | 4,765 | 4,681 | 4,692 | 7.6 | % | ||||||||||||||||
PSI Services LLC (Revolver) | (9)(11) | Senior Secured Loans - First Lien | L+5.75% | 10.16% | 10/4/2025 | 298 | 298 | 277 | 0.5 | % | ||||||||||||||||
PSI Services LLC (Delayed Draw) | (11) | Senior Secured Loans - First Lien | L+5.75% | 10.16% | 10/4/2026 | 176 | 176 | 163 | 0.3 | % | ||||||||||||||||
PSI Services LLC (Delayed Draw) | (11) | Senior Secured Loans - First Lien | L+5.75% | 10.16% | 10/4/2026 | 416 | 416 | 386 | 0.6 | % | ||||||||||||||||
PSI Services LLC | (11) | Senior Secured Loans - First Lien | L+5.75% | 10.16% | 10/16/2026 | 2,780 | 2,746 | 2,580 | 4.2 | % | ||||||||||||||||
3,636 | 3,406 | 5.6 | % | |||||||||||||||||||||||
YAK Access, LLC | (11) | Senior Secured Loans - Second Lien | L+10.00% | 13.64% | 7/10/2026 | 5,000 | 4,805 | 642 | 1.0 | % | ||||||||||||||||
Total Services: Business | 15,014 | 10,090 | 16.4 | % | ||||||||||||||||||||||
Technology | ||||||||||||||||||||||||||
Allvue Systems (Revolver) | (9)(11) | Senior Secured Loans - First Lien | L+5.75% | 10.48% | 9/6/2024 | 105 | 92 | 100 | 0.2 | % | ||||||||||||||||
Allvue Systems (Term Loan) | (11) | Senior Secured Loans - First Lien | L+5.75% | 10.48% | 9/4/2026 | 842 | 840 | 811 | 1.3 | % | ||||||||||||||||
932 | 911 | 1.5 | % | |||||||||||||||||||||||
Apptio, Inc. | (11) | Senior Secured Loans - First Lien | L+6.00% | 10.81% | 1/10/2025 | 4,900 | 4,873 | 4,882 | 8.0 | % | ||||||||||||||||
Apptio, Inc. (Revolver) | (9)(11) | Senior Secured Loans - First Lien | L+6.00% | 10.81% | 12/3/2024 | 196 | 176 | 182 | 0.3 | % | ||||||||||||||||
5,049 | 5,064 | 8.3 | % | |||||||||||||||||||||||
Wide Orbit, Inc. (Revolver) | (9)(11)(12) | Senior Secured Loans - First Lien | N/A | N/A | 7/8/2025 | — | — | (4 | ) | — | % | |||||||||||||||
Total Technology | 5,981 | 5,971 | 9.8 | % | ||||||||||||||||||||||
Telecommunications | ||||||||||||||||||||||||||
Firstlight Fiber | Senior Secured Loans - First Lien | L+3.50% | 7.88% | 7/23/2025 | 2,163 | 2,158 | 2,007 | 3.3 | % | |||||||||||||||||
Total Telecommunications | 2,158 | 2,007 | 3.3 | % | ||||||||||||||||||||||
Total Debt Investments | $ | 48,438 | $ | 40,256 | 65.7 | % | ||||||||||||||||||||
Equity investments - 0.6% | ||||||||||||||||||||||||||
Energy: Oil & Gas | ||||||||||||||||||||||||||
Permian Production Partners | (11) | Equity/Other | N/A | N/A | 203,022 | — | 79 | 0.1 | % | |||||||||||||||||
Total Energy: Oil & Gas | — | 79 | 0.1 | % | ||||||||||||||||||||||
Retail | ||||||||||||||||||||||||||
Save-a-Lot | (11) | Equity/Other | N/A | N/A | 53,097 | — | 30 | — | % | |||||||||||||||||
Total Retail | — | 30 | — | % | ||||||||||||||||||||||
13
December 31, 2016 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal Amount / No. Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
Bumble Bee Seafoods | (13)(15) | Subordinated Debt | N/A | 9.63% | 3/15/2018 | 1,240 | 1,231 | 1,206 | 0.7 | % | ||||||||||||||
Chefs' Warehouse, Inc. | (11) | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 6/22/2022 | 3,893 | 3,830 | 3,919 | 2.2 | % | ||||||||||||||
Chefs' Warehouse, Inc.(Delayed Draw) | (11) | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 6/22/2022 | 179 | 169 | 181 | 0.1 | % | ||||||||||||||
3,999 | 4,100 | 2.3 | % | |||||||||||||||||||||
CTI Foods | Senior Secured Loans - Second Lien | L+7.25% | 8.25% | 6/28/2021 | 5,000 | 4,640 | 4,550 | 2.6 | % | |||||||||||||||
Give & Go Prepared Foods Corp. | CN(10)(11) | Senior Secured Loans - First Lien | L+5.50% | 6.50% | 7/12/2023 | 7,980 | 7,829 | 8,010 | 4.5 | % | ||||||||||||||
KeHE Distributors, LLC | Senior Secured Bonds | N/A | 7.63% | 8/15/2021 | 500 | 494 | 497 | 0.3 | % | |||||||||||||||
Parts Town, LLC | (17) | Senior Secured Loans - First Lien | L+6.50% | 7.50% | 6/23/2022 | 6,983 | 6,983 | 6,983 | 3.9 | % | ||||||||||||||
Parts Town, LLC (Revolver) | (8)(13)(14)(17) | Senior Secured Loans - First Lien | P+5.50% | 7.50% | 6/23/2022 | 1,000 | 5 | 5 | — | % | ||||||||||||||
6,988 | 6,988 | 3.9 | % | |||||||||||||||||||||
Reddy Ice | (14) | Senior Secured Loans - First Lien | L+5.50% | 6.75% | 5/1/2019 | 3,654 | 3,493 | 3,584 | 2.0 | % | ||||||||||||||
Total Beverage, Food & Tobacco | 35,780 | 36,042 | 20.3 | % | ||||||||||||||||||||
Construction & Building | ||||||||||||||||||||||||
Fiber Composites LLC | (15)(17)(22) | Senior Unsecured Debt | 12.50% | 12.50% | 6/29/2022 | 5,430 | 5,321 | 5,410 | 3.0 | % | ||||||||||||||
Generation Brands | Senior Secured Loans - First Lien | L+5.00% | 6.00% | 6/7/2022 | 4,975 | 4,930 | 4,997 | 2.8 | % | |||||||||||||||
SiteOne Landscape Supply, Inc. | Senior Secured Loans - First Lien | L+4.50% | 5.50% | 4/29/2022 | 4,963 | 4,914 | 5,012 | 2.8 | % | |||||||||||||||
SRS Distribution Inc. | Senior Secured Loans - Second Lien | L+8.75% | 9.75% | 2/24/2023 | 5,000 | 4,907 | 5,167 | 2.9 | % | |||||||||||||||
Total Construction & Building | 20,072 | 20,586 | 11.5 | % | ||||||||||||||||||||
Consumer Goods: Non-Durable | ||||||||||||||||||||||||
Implus Footcare, LLC | (17) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 4/30/2021 | 4,925 | 4,865 | 4,872 | 2.7 | % | ||||||||||||||
Implus Footcare, LLC | (17) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 4/30/2021 | 955 | 941 | 953 | 0.5 | % | ||||||||||||||
5,806 | 5,825 | 3.2 | % | |||||||||||||||||||||
Total Consumer Goods: Non-Durable | 5,806 | 5,825 | 3.2 | % | ||||||||||||||||||||
Containers, Packaging & Glass | ||||||||||||||||||||||||
Bioplan USA, Inc. | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 9/23/2021 | 5,960 | 5,310 | 5,766 | 3.2 | % | |||||||||||||||
Pelican Products, Inc. | Senior Secured Loans - First Lien | L+4.25% | 5.25% | 4/10/2020 | 5,018 | 4,833 | 5,002 | 2.8 | % | |||||||||||||||
Total Containers, Packaging & Glass | 10,143 | 10,768 | 6.0 | % | ||||||||||||||||||||
Energy: Oil & Gas | ||||||||||||||||||||||||
BreitBurn Energy Partners LP | (11)(17)(18) | Senior Secured Bonds | N/A | —% | 5/18/2020 | 3,250 | 3,152 | 3,023 | 1.7 | % | ||||||||||||||
Ferrellgas, L.P. | (11) | Senior Unsecured Debt | N/A | 6.50% | 5/1/2021 | 350 | 330 | 347 | 0.2 | % | ||||||||||||||
Ferrellgas, L.P. | (11) | Senior Unsecured Debt | N/A | 6.75% | 1/15/2022 | 1,800 | 1,707 | 1,782 | 1.0 | % | ||||||||||||||
Ferrellgas, L.P. | (11) | Senior Unsecured Debt | N/A | 6.75% | 6/15/2023 | 1,355 | 1,254 | 1,331 | 0.7 | % | ||||||||||||||
3,291 | 3,460 | 1.9 | % |
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
December 31, 2022 (in thousands) | ||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||
Technology | ||||||||||||||||||||||||||
Wide Orbit (Warrants) | (11) | Equity/Other | N/A | N/A | 96,480 | — | 276 | 0.5 | % | |||||||||||||||||
Total Technology | — | 276 | 0.5 | % | ||||||||||||||||||||||
Total Equity Investments | $ | — | $ | 385 | 0.6 | % | ||||||||||||||||||||
Total Investments - 66.3% | $ | 48,438 | $ | 40,641 | 66.3 | % |
December 31, 2022 (in thousands) | ||||||||||||||||||||||
Derivative Counterparty | Settlement Date | Amount Purchased | Amount Sold | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Foreign Currency Forward Contracts | ||||||||||||||||||||||
JPMorgan Chase Bank | 1/17/2023 | $ | 3,045 | £ | 2,457 | — | $ | 73 | 0.1 | % | ||||||||||||
$ | 73 | 0.1 | % |
December 31, 2016 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal Amount / No. Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
SandRidge Energy Inc. | (11)(13) | Subordinated Debt | N/A | —% | 10/3/2020 | 226 | 254 | 282 | 0.2 | % | ||||||||||||||
Total Energy: Oil & Gas | 6,697 | 6,765 | 3.8 | % | ||||||||||||||||||||
Healthcare & Pharmaceuticals | ||||||||||||||||||||||||
Alltech | (16)(17) | Subordinated Debt | L+6.75% | 7.75% | 7/9/2023 | 15,003 | 14,799 | 14,805 | 8.3 | % | ||||||||||||||
American Academy Holdings, LLC | (17) | Senior Secured Loans - First Lien | L+5.25% | 6.25% | 5/17/2021 | 4,484 | 4,444 | 4,445 | 2.5 | % | ||||||||||||||
Hanger, Inc. | (11) | Senior Unsecured Debt | N/A | 11.50% | 8/1/2019 | 4,000 | 3,929 | 4,000 | 2.2 | % | ||||||||||||||
WIRB-Copernicus Group | (17) | Senior Secured Loans - Second Lien | L+9.00% | 10.00% | 8/12/2022 | 8,000 | 7,850 | 7,849 | 4.4 | % | ||||||||||||||
Total Healthcare & Pharmaceuticals | 31,022 | 31,099 | 17.4 | % | ||||||||||||||||||||
Hotel, Gaming & Leisure | ||||||||||||||||||||||||
Bay Club Company | Senior Secured Loans - First Lien | L+6.50% | 7.50% | 8/24/2022 | 6,517 | 6,330 | 6,574 | 3.7 | % | |||||||||||||||
Bay Club Company (Bridge Loan) | Senior Secured Loans - First Lien | L+6.50% | 7.50% | 8/24/2017 | 1,450 | 1,430 | 1,443 | 0.8 | % | |||||||||||||||
7,760 | 8,017 | 4.5 | % | |||||||||||||||||||||
Total Hotel, Gaming & Leisure | 7,760 | 8,017 | 4.5 | % | ||||||||||||||||||||
Media: Advertising, Printing & Publishing | ||||||||||||||||||||||||
Dominion Marine Media | (17) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 9/9/2022 | 7,000 | 6,922 | 6,922 | 3.9 | % | ||||||||||||||
Dominion Marine Media (Revolver) | (8)(12)(13)(17)(20) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 8/10/2021 | 1,000 | (118 | ) | (11 | ) | — | % | ||||||||||||
6,804 | 6,911 | 3.9 | % | |||||||||||||||||||||
Total Media: Advertising, Printing & Publishing | 6,804 | 6,911 | 3.9 | % | ||||||||||||||||||||
Media: Broadcasting & Subscription | ||||||||||||||||||||||||
ProQuest LLC | Senior Secured Loans - Second Lien | L+9.00% | 10.00% | 12/15/2022 | 1,312 | 1,286 | 1,273 | 0.7 | % | |||||||||||||||
Media: Broadcasting & Subscription | 1,286 | 1,273 | 0.7 | % | ||||||||||||||||||||
Metals & Mining | ||||||||||||||||||||||||
New Day Aluminum LLC | (15)(17)(23) | Senior Secured Bonds | N/A | 10.00% | 10/28/2020 | 24 | — | 24 | — | % | ||||||||||||||
Total Metals & Mining | — | 24 | — | % | ||||||||||||||||||||
Retail | ||||||||||||||||||||||||
Belk Inc. | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 12/12/2022 | 4,464 | 3,987 | 3,865 | 2.2 | % | |||||||||||||||
Med Intermediate (MyEyeDr) | (17) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 8/14/2021 | 4,841 | 4,796 | 4,803 | 2.7 | % | ||||||||||||||
Med Intermediate (MyEyeDr) (Delayed Draw) | (8)(12)(17)(20) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 8/16/2021 | 1,631 | (24 | ) | (13 | ) | — | % | ||||||||||||
Med Intermediate (MyEyeDr) (Term Loan B) | (17) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 8/16/2021 | 1,269 | 1,248 | 1,256 | 0.7 | % | ||||||||||||||
6,020 | 6,046 | 3.4 | % | |||||||||||||||||||||
Pet Holdings ULC | CN(10)(11) | Senior Secured Loans - First Lien | L+5.50% | 6.50% | 6/1/2023 | 4,489 | 4,419 | 4,506 | 2.5 | % | ||||||||||||||
Pet Holdings ULC (Delayed Draw) | CN(8)(10)(11) | Senior Secured Loans - First Lien | L+5.50% | 6.50% | 6/1/2023 | 500 | — | 2 | — | % | ||||||||||||||
4,419 | 4,508 | 2.5 | % |
December 31, 2016 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal Amount / No. Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
Total Retail | 14,426 | 14,419 | 8.1 | % | ||||||||||||||||||||
Services: Business | ||||||||||||||||||||||||
MDC Partners Inc. | (11) | Subordinated Debt | N/A | 6.50% | 5/1/2024 | 925 | 816 | 833 | 0.5 | % | ||||||||||||||
Ryan LLC | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 8/7/2020 | 1,989 | 1,966 | 1,978 | 1.1 | % | |||||||||||||||
Total Services: Business | 2,782 | 2,811 | 1.6 | % | ||||||||||||||||||||
Technology | ||||||||||||||||||||||||
Advanced Computer Software | UK(10)(11) | Senior Secured Loans - Second Lien | L+9.50% | 10.50% | 1/31/2023 | 4,100 | 3,734 | 3,726 | 2.1 | % | ||||||||||||||
Cvent, Inc. | Senior Secured Loans - First Lien | L+5.00% | 6.00% | 6/16/2023 | 5,400 | 5,340 | 5,468 | 3.1 | % | |||||||||||||||
Cvent, Inc. | (17) | Senior Secured Loans - Second Lien | L+10.00% | 11.00% | 5/29/2024 | 5,385 | 5,070 | 5,184 | 2.9 | % | ||||||||||||||
10,410 | 10,652 | 6.0 | % | |||||||||||||||||||||
Epicor Software Corp. | (17) | Senior Secured Bonds | L+8.25% | 9.25% | 5/21/2023 | 5,000 | 4,869 | 4,885 | 2.7 | % | ||||||||||||||
GlobalLogic Holdings Inc. | Senior Secured Loans - First Lien | L+4.50% | 5.50% | 6/30/2022 | 857 | 844 | 858 | 0.5 | % | |||||||||||||||
Greenway Health, LLC | Senior Secured Loans - First Lien | L+5.00% | 6.00% | 11/4/2020 | 4,812 | 4,636 | 4,788 | 2.7 | % | |||||||||||||||
Greenway Health, LLC | Senior Secured Loans - Second Lien | L+8.25% | 9.25% | 11/4/2021 | 5,000 | 4,791 | 4,875 | 2.7 | % | |||||||||||||||
9,427 | 9,663 | 5.4 | % | |||||||||||||||||||||
Onyx CenterSource | (17) | Senior Secured Loans - First Lien | L+6.75% | 7.75% | 12/20/2021 | 7,233 | 7,199 | 7,199 | 4.1 | % | ||||||||||||||
Onyx CenterSource (Revolver) | (8)(13)(17)(20) | Senior Secured Loans - First Lien | L+6.75% | 7.75% | 12/20/2021 | 329 | (41 | ) | (2 | ) | — | % | ||||||||||||
7,158 | 7,197 | 4.1 | % | |||||||||||||||||||||
Planview, Inc. | (17) | Senior Secured Loans - Second Lien | L+9.50% | 10.50% | 8/9/2022 | 8,000 | 7,848 | 7,852 | 4.4 | % | ||||||||||||||
QLIK Technologies Inc. | (11)(17) | Senior Secured Loans - First Lien | L+8.25% | 9.25% | 8/22/2022 | 7,980 | 7,820 | 7,835 | 4.4 | % | ||||||||||||||
TIBCO Software Inc. | Senior Secured Loans - First Lien | L+5.50% | 6.50% | 12/4/2020 | 1,714 | 1,721 | 1,724 | 1.0 | % | |||||||||||||||
TIBCO Software Inc. | Subordinated Debt | N/A | 11.38% | 12/1/2021 | 660 | 670 | 660 | 0.4 | % | |||||||||||||||
2,391 | 2,384 | 1.4 | % | |||||||||||||||||||||
Total Technology | 54,501 | 55,052 | 31.0 | % | ||||||||||||||||||||
Utilities: Electric | ||||||||||||||||||||||||
Moxie Liberty LLC | Senior Secured Loans - First Lien | L+6.50% | 7.50% | 8/21/2020 | 2,981 | 2,910 | 2,948 | 1.7 | % | |||||||||||||||
Moxie Patriot LLC | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 12/21/2020 | 636 | 613 | 633 | 0.4 | % | |||||||||||||||
3,523 | 3,581 | 2.1 | % | |||||||||||||||||||||
MRP Generation Holdings LLC | (11) | Senior Secured Loans - First Lien | L+7.00% | 8.00% | 10/18/2022 | 4,988 | 4,695 | 4,950 | 2.8 | % | ||||||||||||||
Panda Hummel LLC | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 10/27/2022 | 2,700 | 2,605 | 2,604 | 1.5 | % | |||||||||||||||
Terraform Global Operating LLC | (11) | Senior Secured Bonds | N/A | 9.75% | 8/15/2022 | 3,000 | 2,890 | 3,202 | 1.8 | % | ||||||||||||||
Total Utilities: Electric | 13,713 | 14,337 | 8.2 | % | ||||||||||||||||||||
Total Debt Investments | $ | 270,895 | $ | 274,805 | 154.3 | % |
December 31, 2016 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal Amount / No. Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
Equity Investments - 0.2% | ||||||||||||||||||||||||
Beverage, Food & Tobacco | ||||||||||||||||||||||||
Blue Harvest Fisheries (Closed End Units) | (13)(17)(19) | Equity and Other | N/A | N/A | — | 13 | 13 | — | % | |||||||||||||||
Total Beverage, Food & Tobacco | 13 | 13 | — | % | ||||||||||||||||||||
Energy: Oil & Gas | ||||||||||||||||||||||||
BreitBurn Energy Partners LP (Preferred Equity) | (9)(11)(13)(17)(19) | Equity and Other | N/A | 8.00% | 251 | 1,886 | 40 | — | % | |||||||||||||||
SandRidge Energy Inc. (Common Equity) | (11)(13)(19) | Equity and Other | N/A | N/A | 10 | 202 | 226 | 0.2 | % | |||||||||||||||
Total Energy: Oil & Gas | 2,088 | 266 | — | % | ||||||||||||||||||||
Total Equity Investments | $ | 2,101 | $ | 279 | — | % | ||||||||||||||||||
TOTAL INVESTMENTS - 154.5% | (21) | $ | 272,996 | $ | 275,084 | 154.3 | % |
December 31, 2016 (in thousands) | |||||||||||||||
Derivative Counterparty | Settlement Date | Amount Purchased | Amount Sold | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||
Foreign Currency Forward Contracts (21) | |||||||||||||||
JPMorgan Chase Bank | 1/12/2017 | $615 | €592 | $ | (8 | ) | — | % |
(1) | Security may be an obligation of one or more entities affiliated with the named portfolio company. |
(2) | All debt and equity investments are income producing unless otherwise noted. |
(3) | All investments are non-controlled/non-affiliated investments as defined by the Investment Company Act of 1940 |
(4) | The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate |
(5) | For portfolio companies with multiple interest rate contracts under a single credit agreement, the interest rate shown is a weighted average current interest rate in effect at December 31, |
(6) | Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in |
(7) | Cost represents amortized cost, inclusive of any capitalized paid-in-kind income (“PIK”), for debt securities, and cost plus capitalized PIK, if any, for preferred |
(8) | As of December 31, 2022, the aggregate gross unrealized appreciation for all securities, including foreign currency forward contracts, in which there was an excess of value over tax cost was $1.0 million; the aggregate gross unrealized depreciation for all securities, including foreign currency forward contracts, in which there was an excess of tax cost over value was $10.3 million; the net unrealized depreciation was $9.3 million; the aggregate cost of securities for Federal income tax purposes was $50.0 million. |
(9) | The investment is either a delayed draw loan or a revolving credit facility whereby some or all of the investment commitment is undrawn as of December 31, |
The underlying credit agreement or indenture contains a PIK provision, whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities. The interest rate in the schedule represents the current interest rate in effect for these investments. |
14
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
Coupon Rate | PIK Component | Cash Component | PIK Option | |||||||
Galls LLC | L+7.25% | 0.50 | % | L+6.75% | The Portfolio Company may elect PIK up to 0.50%. | |||||
Galls LLC | L+7.25% | 0.50 | % | L+6.75% | The Portfolio Company may elect PIK up to 0.50%. | |||||
Polyvision Corp. | L+7.50% | 1.00 | % | L+6.50% | The Portfolio Company may elect PIK up to 1.00%. | |||||
Polyvision Corp. | L+7.50% | 1.00 | % | L+6.50% | The Portfolio Company may elect PIK up to 1.00%. | |||||
Polyvision Corp. | L+7.50% | 1.00 | % | L+6.50% | The Portfolio Company may elect PIK up to 1.00%. | |||||
Polyvision Corp. | L+7.50% | 1.00 | % | L+6.50% | The Portfolio Company may elect PIK up to 1.00%. | |||||
Permian Production Partners | L+8.00% | 2.00 | % | L+6.00% | The Portfolio Company may elect PIK up to 2.00%. |
Investments value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies). |
The negative fair value is the result of |
Investment was on non-accrual status as of December 31, 2022, meaning that the Master Fund has ceased recognizing interest income on these investments. As of December 31, |
See Unaudited Notes to Consolidated Financial Statements
15
GUGGENHEIM CREDIT INCOME FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except share and per share data, percentages and as otherwise indicated;
for example, with the word “million” or otherwise)
Note 1. Principal Business and Organization
Guggenheim Credit Income Fund, formerly known as Carey Credit Income Fund (the “Master Fund”) was formed as a Delaware statutory trust on September 5, 2014. The Master Fund'sFund’s investment objectives are to provide its shareholders with current income, capital preservation and, to a lesser extent, long-term capital appreciation by investing primarily in privately-negotiated loans to private middle market U.S.United States (U.S.) companies. On April 1, 2015, the Master Fund elected to be regulated as a business development company ("BDC"(“BDC”) under the Investment Company Act of 1940, as amended (the "1940 Act"“1940 Act”). The Master Fund commenced investment operations on April 2, 2015.
In accordance with the offering documents and the intention of Guggenheim Credit Income Fund 2016 T (“GCIF 2016T”) and Guggenheim Credit Income Fund 2019 (“GCIF 2019”) (together, the “Feeder Funds”) to provide substantial shareholder liquidity, the Boards of Trustees of the Master Fund was externally managed by Carey Credit Advisors, LLC ("CCA"), an affiliateand the Feeder Funds approved respective Plans of W. P. Carey Inc. ("WPC"Liquidation for each company on March 30, 2021 (each, a “Liquidation Plan”),. In accordance with the Liquidation Plans, the Board has declared multiple liquidating distributions. These distributions have been substantially composed of return of capital and have decreased the net asset value of the Master Fund and Feeder Funds. As such, the value on shareholder’s investment statements has decreased as liquidating distributions have been paid.
In accordance with the Liquidation Plan, the Master Fund and the Feeder Funds will remain registered as a BDC and intend to maintain their qualifications, as regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”).
Guggenheim Partners Investment Management, LLC ("Guggenheim"(“Guggenheim” or the "Advisor"“Advisor”), which were is responsible for sourcing potential investments, analyzing and conducting due diligence on prospective investment opportunities, structuring investments and ongoing monitoring of the Master Fund’s investment portfolio.
On August 10, 2017, CCA resigned as the Master Fund's investment advisor and administrator, and the Master Fund's board of trustees (the "Board" or "Board of Trustees") selected Guggenheim to perform the Master Fund's investment advisory and administrative responsibilities, both events concurrently effective September 11, 2017. As of September 30, 2017 Guggenheim serves as investment advisor pursuant to an interim investment advisory agreement which commenced on September 11, 2017. The Board set a shareholder meeting date of October 20, 2017 and a record date of August 25, 2017 for Master Fund shareholders to consider the approval of a new investment advisory agreement between Guggenheim and the Master Fund.
Note 2. Significant Accounting Policies
Basis of Presentation
Management has determined that the Master Fund meets the definition of an investment company and adheres to the accounting and reporting guidance in the Financial Accounting Standards Board ("FASB"(“FASB”) Accounting Standards Codification ("ASC"(“ASC”) Topic 946 —
The Master Fund'sFund’s interim consolidated financial statements have been prepared pursuant to the requirements for reporting on Form 10-Q and the disclosure requirements as stipulated in Articles 6 and 10 of Regulation S-X, and therefore do not necessarily include all information and notes necessary for a fair statement of financial position and results of operations in accordance with accounting principles generally accepted in the U.S. ("GAAP"(“GAAP”). In the opinion of management, the unaudited consolidated financial information for the interim period presented in this Report reflects all normal and recurring adjustments necessary for a fair statement of financial position and results from operations. Operating results for interim periods are not necessarily indicative of operating results for an entire year.
16
Notes to Consolidated Financial Statements (UNAUDITED)
Principles of Consolidation
As provided under ASC 946, the Master Fund will generally not consolidate its investment in a company other than an investment in an investment company or an operating company whose business consists of providing substantially all of its services to the benefit of the Master Fund. Accordingly, the Master Fund consolidated the results of its wholly-owned subsidiary in its consolidated financial statements. All intercompany balances and transactions have been eliminated.
Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities at the date of the financial statements, (ii) the reported amounts of income and expenses during the reported period and (iii) disclosure of contingent assets and liabilities at the date of the financial statements. Actual results could differ materially from those estimates under different assumptions and conditions.
Cash
Cash consists of demand deposits held at a major U.S. financial institution and the amount recorded on the consolidated statements of assets and liabilities exceeds the Federal Deposit Insurance Corporation insured limit. Management believes the credit risk related to its demand deposits is minimal.
Cash
Valuation of Investments
The Master Fund measures the value of its investments in accordance with ASC Topic 820 -
ASC 820 defines hierarchical levels directly related to the amount of subjectivity associated with the inputs used to determine fair values of assets and liabilities. The hierarchical levels and types of inputs used to measure fair value for each level are described as follows:
Level 1 - Quoted prices are available in active markets for identical investments as of the reporting date. Publicly listed equities and debt securities, publicly listed derivatives, money market/short-term investment funds and foreign currency are generally included in Level 1. The Master Fund does not adjust the quoted price for these investments.
Level 2 - Valuation inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of models or other valuation methodologies. In certain cases, debt and equity securities are valued on the basis of prices from orderly transactions for similar investments in active markets between market participants and provided by reputable dealers or independent pricing services. In determining the value of a particular investment, independent pricing services may use certain information with respect to transactions in such investments, quotations from multiple dealers or brokers, pricing matrices, market transactions in comparable investments and various relationships between investments. Investments generally included in this category are corporate bonds and loans.
17
Notes to Consolidated Financial Statements (UNAUDITED)
Level 3 - Valuation inputs are unobservable for the investment and include situations where there is little, if any, market activity for the investment. The inputs into the determination of fair value require significant judgment or estimation. Investments generally included in this category are illiquid corporate bonds and loans and preferred stock investments that lack observable market pricing.
In certain cases, the inputs used to measure fair value may fall within different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. Depending on the relative liquidity in the markets for certain investments, the Master Fund may transfer assets to Level 3 if it determines that observable quoted prices, obtained directly or indirectly, are severely limited, or not available, or otherwise not reliable. The Master Fund’s assessment of the significance of a particular input to the fair value measurement requires judgment, and the consideration of factors specific to the investment.
Investments for which market quotations are readily available are valued using market quotations, which are generally obtained from independent pricing services, broker-dealers or market makers. With respect to the Master Fund’s portfolio investments for which market quotations are not readily available, the Master Fund’s board of trustees (“Board of TrusteesTrustees”), including our trustees who are not “interested persons” as defined in the 1940 Act (the “Independent Trustees”), is responsible for determining in good faith the fair value of the Master Fund’s portfolio investments in accordance with the valuation policy and procedures approved by the Board of Trustees, based on, among other things,Trustees. Pursuant to Rule 2a-5 under the input of Guggenheim and management, its audit committee, and independent third-party valuation firms. The Master Fund and1940 Act (“Rule 2a-5”), the Board of Trustees conduct theirhas designated the Advisor as the valuation designee to perform fair valuation determinations for the Master Fund with respect to all Fund investments and/or other assets. The Advisor conducts a fair value determination process on a quarterly basis and any other time when a decision regarding the fair value of the portfolio investments is required.
The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines when “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.
The valuation techniques used by the Master Fund for the assets that are classified as Level 3 in the fair value hierarchy are described below.
Senior Debt and Subordinated Debt:
Senior debt and subordinated debt investments are valued at initial transaction price and are subsequently valued using (i) market data for similar instruments (e.g., recent transactions or indicative broker quotes), and/or (ii) valuation models. Valuation models may be based on investment yield analysis and discounted cash flow techniques, where the key inputs include risk-adjusted discount rates and required rates of return, based on the analysis of similar debt investments issued by similar issuers.Equity/Other Investments:
Equity/other investments are valued at initial transaction price and are subsequently valued using valuation models in the absence of readily observable market prices. Valuation models are generally based on (i) market and income (discounted cash flow) approaches, in which various internal and external factors are considered, and (ii) earnings before interest, taxes, depreciation and amortizationThe Master Fund utilizes several valuation techniques that use unobservable pricing inputs and assumptions in determining the fair value of its Level 3 investments. The valuation techniques, as well as the key unobservable inputs that have a significant impact on the Master Fund’s investments classified and valued as Level 3 in the valuation hierarchy, are described in
Note 5. Fair Value of Financial Instruments. The unobservable inputs and assumptions may differ by asset and in the application of the Master Fund’s valuation methodologies. The reported fair value estimates could vary materially if the Master Fund had chosen to incorporate different unobservable pricing inputs and assumptions.18
Notes to Consolidated Financial Statements (UNAUDITED)
The determination of fair value involves subjective judgments and estimates. Due to the inherent uncertainty of determining the fair value of portfolio investments that do not have a readily available market value, the fair value of investments may differ materially from the values that would have been determined had a readily available market value existed for such investments. Further, such investments are generally less liquid than publicly traded securities. If the Master Fund was required to liquidate a portfolio investment that does not have a readily available market value in a forced or liquidation sale, the Master Fund could realize significantly less value than the value recorded by the Master Fund.
Security Transactions and Realized/Unrealized Gains or Losses
Investments purchased on a secondary market basis are recorded on the trade date. Loan originations are recorded on the funding date. All investments sold are derecognized on the trade date. The Master Fund measures realized gains or losses from the repayment or sale of investments using the specific lot identification method. Realized gains or losses are measured by the difference between (i) the net proceeds from the repayment or sale, inclusive of any prepayment premiums and (ii) the amortized cost basis of the investment without regard to unrealized appreciation or depreciation previously recognized and include investments charged off during the period, net of recoveries. Unrealized appreciation or depreciation primarily measures the change in investment values, including the reversal of previously recorded unrealized appreciation or depreciation when gains or losses are realized. The amortized cost basis of investments includes (i) the original cost, net of original issue discount and loan origination fees, if any, and (ii) adjustments for the accretion/amortization of market discounts and premiums. The Master Fund reports changes in fair value of investments as net change in unrealized appreciation (depreciation) on investments in the consolidated statements of operations.
Interest Income
Interest income is recorded on an accrual basis and includes amortization of premiums to par value and accretion of discounts to par value. Discounts and premiums to par value on securities purchased are accreted/amortized into interest income over the life of the respective security using the effective interest method.method, or straight-line method, as applicable. Loan origination, closing and other fees received by the Master Fund directly or indirectly from borrowers in connection with the closing of investments are accreted over the contractual life of the debt investment as interest income based on the effective interest method.
Certain of the Master Fund’s investments in debt securities may contain a contractual payment-in-kind (“PIK”) interest provision. The PIK provisions generally feature the obligation, or the option, at each interest payment date of making interest payments in (i) cash, (ii) additional securities or (iii) a combination of cash and additional securities. PIK interest, computed at the contractual rate specified in the investment’s credit agreement, is accrued as interest income and recorded as interest receivable up to the interest payment date. On the interest payment date, the Master Fund will capitalize the accrued interest receivable attributable to PIK as additional principal due from the borrower. When additional PIK securities are received on the interest payment date, they typically have the same terms, including maturity dates and interest rates, as the original securities issued. PIK interest generally becomes due on the investment'sinvestment’s maturity date or call date.
If the portfolio company'scompany’s valuation indicates the value of the PIK security is not sufficient to cover the contractual PIK interest, the Master Fund will not accrue additional PIK interest income and will record an allowance for any accrued PIK interest receivable as a reduction of interest income in the period the Master Fund determines it is not collectible.
Debt securities are placed on non-accrual status when principal or interest payments are at least 90 days past due or when there is reasonable doubt that principal or interest will be collected. Generally, accrued interest is reversed against interest income when a debt security is placed on non-accrual status. Interest payments received on debt securities on non-accrual status may be recognized as interest income or applied to principal based on management’s judgment. Debt securities on non-accrual status are restored to accrual status when past due principal and interest are paid, and, in management’s judgment, such securities are likely to remain current on interest payment obligations. The Master Fund may make exceptions to this treatment if the debt security has sufficient collateral value and is in the process of collection.
19
Notes to Consolidated Financial Statements (UNAUDITED)
Dividend Income
Dividend income on preferred equity securities is recorded as dividend income on an accrual basis to the extent that such amounts are payable by the portfolio company and are expected to be collected. Dividend income on equity securities is recorded on the record date for private portfolio companies or on the ex-dividend date for publicly traded portfolio companies. Each distribution received from limited liability company (“LLC”) and limited partnership (“LP”) equity investments is evaluated to determine if the distribution should be recorded as dividend income or a return of capital. Generally, the Master Fund will not
Fee Income
Guggenheim, or its affiliates, may provide financial advisory services to portfolio companies and in return may receive fees for capital structuring services. Guggenheim is obligated to remit to the Master Fund any earned capital structuring fees based on the
pro rata portion of the Master Fund’s investment in originated co-investment transactions. These fees are generally non-recurring and are recognized as fee income by the Master Fund upon the earlier of the investment commitment date or investment closing date. The Master Fund may also receive fees for investment commitments, amendments to credit agreements and other services rendered to portfolio companies. Such fees are recognized as fee income when earned or when the services are rendered.Derivative Instruments
Derivative instruments solely consist of foreign currency forward contracts. The Master Fund recognizes all derivative instruments as assets or liabilities at fair value in its consolidated financial statements. ForwardForeign currency forward contracts entered into by the Master Fund are not designated as hedging instruments, and as a result, the Master Fund presents changes in fair value through net change in unrealized appreciation (depreciation) on foreign currency forward contracts in the consolidated statements of operations. Realized gains and losses that occur upon the cash settlement of the foreign currency forward contracts are included in net realized gains (losses) on foreign currency forward contracts inon the consolidated statements of operations.
Foreign Currency Translation, Transactions and Gains/Losses
Foreign currency amounts are translated into U.S. dollars on the following basis: (i) at the exchange rate on the last business day of the reporting period for the fair value of investment securities, other assets and liabilities; and (ii) at the prevailing exchange rate on the respective recording dates for the purchase and sale of investment securities, income, expenses, gains and losses.
Net assets and fair values are presented based on the applicable foreign exchange rates described above and the Master Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in fair values of investments held; therefore, fluctuations related to foreign exchange rate conversions are included with the net realized gains (losses) and unrealized appreciation (depreciation) on investments.
Net realized gains or losses on foreign currency transactions arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded by the Master Fund and the U.S. dollar equivalent of the amounts actually received or paid by the Master Fund.
Unrealized appreciation (depreciation) from foreign currency translation for foreign currency forward contracts is included in net change in unrealized appreciation (depreciation) on foreign currency forward contracts in the consolidated statements of operations and is included in accumulated earnings (loss), net unrealized appreciation (depreciation) inof distributions on the consolidated statements of assets and liabilities.
20
Notes to Consolidated Financial Statements (UNAUDITED)
Investment Advisory Fees
The Master Fund incurs investment advisory fees including: (i) a base management fee (recorded as an investment advisory fee) and (ii) a performance-based incentive fee which includes (a) an incentive fee on income and (b) an incentive fee on capital gains, due to Guggenheim pursuant to an investment advisory agreement between the Master Fund and Guggenheim (the “Investment Advisory Agreement”) as described in
Deferred Financing Costs
Deferred financing costs represent fees and other direct incremental costs incurred in connection with the arrangement of the Master Fund'sFund’s borrowings. These costs are presented in the consolidated statements of assets and liabilities as a direct deduction of the debt liability to which the costs pertain. These costs are amortized using the effective interest method and are included in interest expense inon the consolidated statements of operations over the life of the borrowings.
Distributions
Distributions to the Master Fund'sFund’s common shareholders are periodically declared by its Board of Trustees and recognized as a liability on the record date.
Federal Income Taxes
Beginning with its tax year ended December 31, 2015, the Master Fund has elected to be treated for federal income tax purposes, and thereafter intends to maintain its qualification, as a regulated investment company ("RIC")RIC under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code").Code. Generally, a RIC is not subject to federal income taxes on distributed income and gains if it distributes dividends in a timely manner out of assets legally available for distributions to its shareholders of an amount generally at least equal to 90% of its “Investment Company Taxable Income,” as defined in the Code. The Master Fund intends to distribute sufficient dividends to maintain its RIC status each year and it does not anticipate paying a material level of federal income taxes.
The Master Fund is generally subject to nondeductible federal excise taxes if it does not distribute dividends to its shareholders in respect of each calendar year of an amount at least equal to the sum of (i) 98% of its net ordinary income (taking into account certain deferrals and elections) for the calendar year, (ii) 98.2% of its capital gain net income (
i.e., capital gains in excess of capital losses), adjusted for certain ordinary losses, for the one-year period generally ending on October 31st of the calendar year and (iii) any net ordinary income and capital gain net income for preceding calendar years that were not distributed during such calendar years and on which the Master Fund paid no federal income tax. The Master Fund may, at its discretion, pay a 4% nondeductible federal excise tax on under-distribution of taxable ordinary income and capital gains.The Master Fund follows ASC 740, Income Taxes (“ASC 740”). ASC 740 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the FASB issued Accounting Standards Update 2016-18,
21
Notes to Consolidated Financial Statements (Unaudited)
Note 3. Investments
The following two tables presenttable presents the composition of the investment portfolio at amortized cost and fair value as of SeptemberJune 30, 20172023 and December 31, 2016,2022, respectively, with corresponding percentages of total portfolio investments at fair value (dollars in thousands):
September 30, 2017 | ||||||||||
Investments at Amortized Cost | Investments at Fair Value | Percentage of Portfolio at Fair Value | ||||||||
Senior secured loans - first lien | $ | 228,489 | $ | 231,843 | 60.8 | % | ||||
Senior secured loans - second lien | 82,667 | 83,376 | 21.9 | |||||||
Senior secured bonds | 20,035 | 20,909 | 5.5 | |||||||
Senior unsecured debt | 28,777 | 29,218 | 7.7 | % | ||||||
Total senior debt | $ | 359,968 | $ | 365,346 | 95.9 | % | ||||
Subordinated debt | 15,171 | 15,261 | 4.0 | |||||||
Equity and other | 2,355 | 447 | 0.1 | |||||||
Total investments | $ | 377,494 | $ | 381,054 | 100.0 | % |
December 31, 2016 | ||||||||||
Investments at Amortized Cost | Investments at Fair Value | Percentage of Portfolio at Fair Value | ||||||||
Senior secured loans - first lien | $ | 182,485 | $ | 185,336 | 67.4 | % | ||||
Senior secured loans - second lien | 43,990 | 44,340 | 16.1 | |||||||
Senior secured bonds | 11,405 | 11,631 | 4.2 | |||||||
Senior unsecured debt | 12,541 | 12,870 | 4.7 | |||||||
Total senior debt | $ | 250,421 | $ | 254,177 | 92.4 | % | ||||
Subordinated debt | 20,474 | 20,628 | 7.5 | |||||||
Equity and other | 2,101 | 279 | 0.1 | |||||||
Total investments | $ | 272,996 | $ | 275,084 | 100.0 | % |
Schedule of investment portfolio at amortized cost and fair value | ||||||||||||||||||||||||
June 30, 2023 | December 31, 2022 | |||||||||||||||||||||||
Amortized Cost | Fair Value | Percentage of Investments at Fair Value | Amortized Cost | Fair Value | Percentage of Investments at Fair Value | |||||||||||||||||||
Senior secured loans - first lien | $ | 30,852 | $ | 28,601 | 96.4 | % | $ | 41,668 | $ | 39,028 | 96.0 | % | ||||||||||||
Senior secured loans - second lien | 474 | 572 | 1.9 | 5,250 | 1,126 | 2.8 | ||||||||||||||||||
Senior secured bonds | 1,458 | 32 | 0.1 | 1,520 | 102 | 0.3 | ||||||||||||||||||
Total senior debt | $ | 32,784 | $ | 29,205 | 98.4 | % | $ | 48,438 | $ | 40,256 | 99.1 | % | ||||||||||||
Equity and other | 4,649 | 433 | 1.6 | — | 385 | 0.9 | ||||||||||||||||||
Total investments | $ | 37,433 | $ | 29,638 | 100.0 | % | $ | 48,438 | $ | 40,641 | 100.0 | % |
The following table presents the composition of the investment portfolio by industry classifications at amortized cost and fair value as of SeptemberJune 30, 20172023 and December 31, 2016,2022, respectively, with corresponding percentages of total portfolio investments at fair value (dollars in thousands):
September 30, 2017 | December 31, 2016 | |||||||||||||||||||||
Industry Classification | Investments at Amortized Cost | Investments at Fair Value | Percentage of Portfolio at Fair Value | Investments at Amortized Cost | Investments at Fair Value | Percentage of Portfolio at Fair Value | ||||||||||||||||
Technology | $ | 85,311 | $ | 86,069 | 22.6 | % | $ | 54,501 | $ | 55,052 | 20.0 | % | ||||||||||
Construction & Building | 41,280 | 42,767 | 11.2 | 20,072 | 20,586 | 7.5 | ||||||||||||||||
Beverage, Food & Tobacco | 41,528 | 42,023 | 11.0 | 35,793 | 36,055 | 13.1 | ||||||||||||||||
Healthcare & Pharmaceuticals | 30,575 | 30,917 | 8.1 | 31,022 | 31,099 | 11.3 | ||||||||||||||||
Retail | 26,481 | 26,950 | 7.1 | 14,426 | 14,419 | 5.3 | ||||||||||||||||
Automotive | 25,805 | 26,415 | 7.0 | 27,742 | 28,100 | 10.2 | ||||||||||||||||
Energy: Oil & Gas | 23,853 | 21,829 | 5.7 | 8,785 | 7,031 | 2.6 | ||||||||||||||||
Aerospace & Defense | 20,036 | 20,111 | 5.3 | 21,962 | 22,300 | 8.1 | ||||||||||||||||
Utilities: Electric | 16,795 | 16,565 | 4.4 | 13,713 | 14,337 | 5.2 | ||||||||||||||||
Hotel, Gaming & Leisure | 14,860 | 15,694 | 4.1 | 7,760 | 8,017 | 2.9 | ||||||||||||||||
Media: Advertising, Printing & Publishing | 12,352 | 12,261 | 3.2 | 6,804 | 6,911 | 2.5 | ||||||||||||||||
Containers, Packaging & Glass | 10,917 | 11,493 | 3.0 | 10,143 | 10,768 | 3.9 | ||||||||||||||||
Telecommunications | 9,472 | 9,450 | 2.5 | — | — | — | ||||||||||||||||
Chemicals, Plastics & Rubber | 5,782 | 5,885 | 1.5 | — | — | — | ||||||||||||||||
Consumer Goods: Non-Durable | 5,620 | 5,631 | 1.5 | 5,806 | 5,825 | 2.1 | ||||||||||||||||
Banking, Finance, Insurance & Real Estate (1) | 3,435 | 3,522 | 0.9 | 10,399 | 10,476 | 3.8 | ||||||||||||||||
Capital Equipment | 2,619 | 2,694 | 0.7 | — | — | — | ||||||||||||||||
Media: Broadcasting & Subscription | 772 | 764 | 0.2 | 1,286 | 1,273 | 0.5 | ||||||||||||||||
Metals & Mining | 1 | 14 | — | — | 24 | — | ||||||||||||||||
Services: Business | — | — | — | 2,782 | 2,811 | 1.0 | ||||||||||||||||
Total | $ | 377,494 | $ | 381,054 | 100.0 | % | $ | 272,996 | $ | 275,084 | 100.0 | % |
Schedule of investment portfolio at amortized cost and fair value | ||||||||||||||||||||||||
June 30, 2023 | December 31, 2022 | |||||||||||||||||||||||
Industry Classification | Amortized Cost |
Fair Value | Percentage of Investments at Fair Value | Amortized Cost |
Fair Value | Percentage of Investments at Fair Value | ||||||||||||||||||
Services: Business | $ | 12,925 | $ | 8,470 | 28.7 | % | $ | 15,014 | $ | 10,090 | 24.8 | % | ||||||||||||
Consumer Goods: Non-Durable | 8,312 | 7,365 | 24.8 | 8,309 | 7,172 | 17.6 | ||||||||||||||||||
Technology | 2,101 | 2,093 | 7.1 | 5,981 | 6,247 | 15.5 | ||||||||||||||||||
Metals & Mining | 5,717 | 4,956 | 16.7 | 5,500 | 5,165 | 12.7 | ||||||||||||||||||
Automotive | 4,064 | 3,362 | 11.3 | 4,072 | 3,490 | 8.6 | ||||||||||||||||||
Retail | 1,630 | 1,994 | 6.7 | 1,685 | 1,798 | 4.4 | ||||||||||||||||||
Chemicals, Plastics & Rubber | 953 | 942 | 3.2 | 957 | 944 | 2.3 | ||||||||||||||||||
Beverage, Food & Tobacco | — | — | — | 713 | 910 | 2.2 | ||||||||||||||||||
Energy: Oil & Gas | 1,731 | 456 | 1.5 | 1,770 | 590 | 1.5 | ||||||||||||||||||
Hotel, Gaming & Leisure | — | — | — | 2,279 | 2,228 | 5.5 | ||||||||||||||||||
Telecommunications | — | — | — | 2,158 | 2,007 | 4.9 | ||||||||||||||||||
Total investments | $ | 37,433 | $ | 29,638 | 100.0 | % | $ | 48,438 | $ | 40,641 | 100.0 | % |
The following table presents the geographic dispersion of the investment portfolio as a percentage of total investments at fair value of the total investments as of SeptemberJune 30, 20172023 and December 31, 2016.2022:
Schedule of investment portfolio as a percentage | ||||||||
Geographic Dispersion | June 30, 2023 | December 31, 2022 | ||||||
United States of America | 100.0 | % | 100.0 | % | ||||
Total investments | 100.0 | % | 100.0 | % |
22
Geographic Dispersion | September 30, 2017 | December 31, 2016 | ||||
United States of America | 89.2 | % | 94.1 | % | ||
United Kingdom | 8.0 | 1.4 | ||||
Italy | 1.5 | — | ||||
Canada | 1.3 | 4.5 | ||||
Total investments | 100.0 | % | 100.0 | % |
Notes to Consolidated Financial Statements (Unaudited)
Note 4. Derivative Instruments
The Master Fund may enter into foreign currency forward contracts from time to time to facilitate settlement of purchases and sales of investments denominated in foreign currencies and to economically hedge the impact that an adverse change in foreign exchange rates would have on the value of the Master Fund'sFund’s investments denominated in foreign currencies. A foreign currency forward contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. These contracts are marked-to-market by recognizing the difference between the contract forward exchange rate and the forward market exchange rate on the last day of the period presented as unrealized appreciation or depreciation. Realized gains or losses are recognized when forward contracts are settled. Risks arise as a result of the potential inability of the counterparties to meet the terms of their contracts; the Master Fund attempts to limit counterparty risk by only dealing with well-known counterparties. Thecounterparties and those that it believes have the financial resources to honor their obligations. As of June 30, 2023, there are no open foreign currency forward contracts open at the end of the period are generally indicative of the volume of activity during the period.
The following table presents the Master Fund'sFund’s open foreign currency forward contracts were as follows (in thousands):
September 30, 2017 | ||||||||||||||||||||||
Foreign Currency | Settlement Date | Statement Location | Counterparty | Amount Transacted | Notional Value at Settlement | Notional Value at Period End | Fair Value | |||||||||||||||
EUR | October 12, 2017 | Unrealized appreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | € | 595 | $ | 713 | $ | 704 | $ | 9 | |||||||||||
GBP | October 12, 2017 | Unrealized depreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | £ | 18,056 | 23,810 | 24,204 | (394 | ) | |||||||||||||
Total | $ | 24,523 | $ | 24,908 | $ | (385 | ) |
Debt Investments Denominated in Foreign Currencies As of September 30, 2017 | Hedges As of September 30, 2017 | |||||||||||||||||||
Par Value in Local Currency | Par Value in U.S. Dollars | Fair Value in U.S. Dollars | Foreign Currency Hedge Notional Amount in Local Currency | Hedges' Notional Value at Period End | ||||||||||||||||
EUR | € | 601 | $ | 627 | $ | 702 | € | 595 | $ | 704 | ||||||||||
GBP | £ | 18,289 | 22,912 | 24,000 | £ | 18,056 | 24,204 | |||||||||||||
Total | $ | 23,539 | $ | 24,702 | $ | 24,908 |
December 31, 2016 | ||||||||||||||||||||
Foreign Currency | Settlement Date | Statement Location | Counterparty | Amount Transacted | Notional Value at Settlement | Notional Value at Period End | Fair Value | |||||||||||||
EUR | January 12, 2017 | Unrealized depreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | €592 Sold | $ | 616 | $ | 624 | $ | (8 | ) |
Schedule of foreign currency forward contracts | ||||||||||||||||||||||
December 31, 2022 | ||||||||||||||||||||||
Foreign Currency | Settlement Date | Statement Location | Counterparty | Amount Transacted | Notional Value at Settlement | Notional Value at Period End | Fair Value | |||||||||||||||
GBP | January 17, 2023 | Unrealized appreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | £ | 2,457 | $ | 3,045 | $ | 2,972 | $ | 73 | |||||||||||
Total | $ | 3,045 | $ | 2,972 | $ | 73 |
The tables below display the Master Fund's foreign currency denominated debt investments and foreign currency forward contracts, summarized by foreign currency type as of December 31, 2016 (in thousands).
Debt Investments Denominated in Foreign Currencies As of December 31, 2016 | Hedges As of December 31, 2016 | |||||||||||||||||||
Par Value in Local Currency | Par Value in U.S. Dollars | Fair Value in U.S. Dollars | Foreign Currency Hedge Notional Amount in Local Currency | Hedges' Notional Value at Period End | ||||||||||||||||
EUR | € | 601 | $ | 627 | $ | 624 | € | 592 | $ | 624 | ||||||||||
Total | $ | 627 | $ | 624 | $ | 624 |
Three Months Ended | Nine Months Ended | |||||||||
Statement Location | September 30, 2017 | September 30, 2017 | ||||||||
Net realized gains (losses) | ||||||||||
Foreign currency forward contracts | Net realized losses on foreign currency forward contracts | $ | (410 | ) | $ | (1,029 | ) | |||
Net unrealized gains (losses) | ||||||||||
Foreign currency forward contracts | Net change in unrealized depreciation on foreign currency forward contracts | (217 | ) | (377 | ) | |||||
Net realized and unrealized losses on foreign currency forward contracts | $ | (627 | ) | $ | (1,406 | ) |
Schedule of net realized and unrealized gains and losses on derivative instruments | ||||||||||||||||||
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||||
Statement Location | 2023 | 2022 | 2023 | 2022 | ||||||||||||||
Net realized gains (losses) | ||||||||||||||||||
Foreign currency forward contracts | Net realized gains (losses) on foreign currency forward contracts | $ | (10 | ) | $ | 178 | $ | 101 | $ | 53 | ||||||||
Net change in unrealized appreciation (depreciation) | ||||||||||||||||||
Foreign currency forward contracts | Net change in unrealized appreciation (depreciation) on foreign currency forward contracts | 5 | 25 | (73 | ) | 279 | ||||||||||||
Net realized and unrealized gains (losses) on foreign currency forward contracts | $ | (5 | ) | $ | 203 | $ | 28 | $ | 332 |
For derivatives traded under an International Swaps and Derivatives Association master agreement ("Master Agreement (“ISDA Master Agreement"Agreement”), the collateral requirements are typically calculated by netting the mark to marketmark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Master Fund and/or the counterparty.
23
Notes to mitigate counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations.
The following table presents the Master Fund'sFund’s derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement or similar arrangement, and net of related collateral received by the Master Fund for assets or pledged for liabilities as of SeptemberJune 30, 2017 (in thousands):
September 30, 2017 | ||||||||||||||||
Counterparty | Gross Derivative Liabilities in Statement of Assets and Liabilities | Gross Derivative Assets in Statement of Assets and Liabilities | Collateral Pledged (1) | Net position of Derivative Assets, Liabilities and Pledged Collateral | ||||||||||||
JP Morgan Chase Bank, N.A. | $ | (394 | ) | $ | 9 | $ | 385 | $ | — |
Schedule of derivative assets and liabilities | |||||||||||||||||||
As of | Counterparty | Gross Derivative Assets in Statement of Assets and Liabilities | Gross Derivative Liabilities in Statement of Assets and Liabilities | Collateral Pledged (Received) | Net position of Derivative Assets, Liabilities and Pledged Collateral | ||||||||||||||
June 30, 2023 | JP Morgan Chase Bank, N.A. | $ | — | $ | — | $ | — | $ | — | ||||||||||
December 31, 2022 | JP Morgan Chase Bank, N.A. | $ | 73 | $ | — | $ | — | $ | 73 |
Note 5. Fair Value of Financial Instruments
The following two tables present the segmentation of the investment portfolio at fair value, as of SeptemberJune 30, 20172023 and December 31, 2016,2022, according to the fair value hierarchy as described in
Schedule of investment portfolio at fair value | ||||||||||||||||
June 30, 2023 | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments | ||||||||||||||||
Senior secured loans - first lien | $ | — | $ | 6,193 | $ | 22,408 | $ | 28,601 | ||||||||
Senior secured loans - second lien | — | — | 572 | 572 | ||||||||||||
Senior secured bonds | — | 32 | — | 32 | ||||||||||||
Total senior debt | $ | — | $ | 6,225 | $ | 22,980 | $ | 29,205 | ||||||||
Equity and other | — | 21 | 412 | 433 | ||||||||||||
Total investments | $ | — | $ | 6,246 | $ | 23,392 | $ | 29,638 | ||||||||
Percentage | 0.0 | % | 21.1 | % | 78.9 | % | 100.0 | % | ||||||||
Derivative Instruments | ||||||||||||||||
Foreign currency forward contracts | $ | — | $ | — | $ | — | $ | — |
24
September 30, 2017 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | |||||||||||||||
Senior secured loans - first lien | $ | — | $ | 41,756 | $ | 190,087 | $ | 231,843 | |||||||
Senior secured loans - second lien | — | 19,714 | 63,662 | 83,376 | |||||||||||
Senior secured bonds | — | — | 20,909 | 20,909 | |||||||||||
Senior unsecured debt | — | $ | 8,323 | $ | 20,895 | $ | 29,218 | ||||||||
Total senior debt | — | $ | 69,793 | $ | 295,553 | $ | 365,346 | ||||||||
Subordinated debt | — | — | 15,261 | 15,261 | |||||||||||
Equity and other | 434 | — | 13 | 447 | |||||||||||
Total investments | $ | 434 | $ | 69,793 | $ | 310,827 | $ | 381,054 | |||||||
Percentage | 0.1 | % | 18.3 | % | 81.6 | % | 100.0 | % | |||||||
Derivative Instruments | |||||||||||||||
Foreign currency forward contracts | $ | — | $ | (394 | ) | $ | — | $ | (394 | ) | |||||
Foreign currency forward contracts | $ | — | $ | 9 | $ | — | $ | 9 |
December 31, 2016 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | |||||||||||||||
Senior secured loans - first lien | $ | — | $ | 105,423 | $ | 79,913 | $ | 185,336 | |||||||
Senior secured loans - second lien | — | 19,590 | 24,750 | 44,340 | |||||||||||
Senior secured bonds | — | 3,699 | 7,932 | 11,631 | |||||||||||
Senior unsecured debt | — | 7,460 | 5,410 | 12,870 | |||||||||||
Total senior debt | — | 136,172 | 118,005 | 254,177 | |||||||||||
Subordinated debt | — | 5,486 | 15,142 | 20,628 | |||||||||||
Equity and other | 226 | — | 53 | 279 | |||||||||||
Total investments | $ | 226 | $ | 141,658 | $ | 133,200 | $ | 275,084 | |||||||
Percentage | 0.1 | % | 51.5 | % | 48.4 | % | 100.0 | % | |||||||
Derivative Instruments | |||||||||||||||
Foreign currency forward contracts | $ | — | $ | (8 | ) | $ | — | $ | (8 | ) |
Notes to Consolidated Financial Statements (Unaudited)
December 31, 2022 | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments | ||||||||||||||||
Senior secured loans - first lien | $ | — | $ | 13,879 | $ | 25,149 | $ | 39,028 | ||||||||
Senior secured loans - second lien | — | 1,126 | — | 1,126 | ||||||||||||
Senior secured bonds | — | — | 102 | 102 | ||||||||||||
Total senior debt | $ | — | $ | 15,005 | $ | 25,251 | $ | 40,256 | ||||||||
Equity and other | — | — | 385 | 385 | ||||||||||||
Total investments | $ | — | $ | 15,005 | $ | 25,636 | $ | 40,641 | ||||||||
Percentage | 0.0 | % | 36.9 | % | 63.1 | % | 100.0 | % | ||||||||
Derivative Instruments | ||||||||||||||||
Foreign currency forward contracts | $ | — | $ | 73 | $ | — | $ | 73 |
Significant Level 3 Unobservable Inputs
The following table providestables present quantitative information related to the significant Level 3 unobservable inputs associated with the determination of fair value for certain investments as of SeptemberJune 30, 2017 (dollars in thousands):
Schedule of significant Level 3 unobservable inputs | ||||||||||||||||
June 30, 2023 | ||||||||||||||||
Asset Category | Fair Value | Valuation Techniques (1) | Unobservable Inputs (2) | Weighted Average Input Value | Range (3) | Impact to Valuation from an Increase in Input (4) | ||||||||||
Senior Secured Loans - First Lien | $ | 21,188 | Yield analysis | Yield | 14.30% | 9.76% - 20.93% | Decrease | |||||||||
Equity/Other | $ | 11 | Market comparable | Cash Flow Multiple | 3x | 3x | Increase | |||||||||
Market comparable | Oil production multiple (5) | 24876x | 24876x | Increase | ||||||||||||
Market comparable | Oil reserve multiple (6) | 10.5x | 10.5x | Increase | ||||||||||||
$ | 401 | Discounted cash flow | Discount Rate | 17.63% | 17.63% | Decrease | ||||||||||
$ | 572 | Yield analysis | Yield | 30.84% | 30.84% | Decrease | ||||||||||
Total | $ | 22,172 |
September 30, 2017 | |||||||||
Asset Category | No. of Investment Positions | Fair Value | Valuation Techniques (1) | Unobservable Inputs (2) | Weighted Average | Range (3) | Impact to Valuation from an Increase in Input (4) | ||
Senior secured loans - first lien | 36 | $ | 123,885 | Transacted value | Cost (5) | 98.50 | 98.50 | Increase | |
Transacted value | Price | 100 | 100 | Increase | |||||
Yield analysis | Yield | 8.19% | 5.92% - 12.44% | Decrease | |||||
Senior secured loans - second lien | 9 | $ | 47,954 | Transacted value | Cost (5) | 98.00 | 98.00 | Increase | |
Yield analysis | Yield | 10.32% | 8.59% - 11.97% | Decrease | |||||
Senior secured bonds | 4 | $ | 17,919 | Transacted value | Price | 110.00 | 110.00 | Increase | |
Yield analysis | Yield | 9.98% | 9.94% - 10.00% | Decrease | |||||
Market comparable | EBITDA multiple | 9.3x | 9.3x | Increase | |||||
Senior unsecured debt | 3 | $ | 16,745 | Yield analysis | Yield | 11.57% | 9.85% - 16.73% | Decrease | |
Subordinated debt | 3 | $ | 15,261 | Transacted value | Cost (5) | 100.00 | 100.00 | Increase | |
Yield analysis | Yield | 8.74% | 8.52% - 8.75% | Decrease | |||||
Equity and other | 1 | $ | 13 | Transacted value | Cost (5) | $1.00 | $1.00 | Increase | |
Total | 56 | $ | 221,777 |
(1) | For the investments that have more than one valuation technique, the Master Fund may rely on the stated techniques individually or in the aggregate based on a weight ascribed to each valuation technique, ranging from |
(2) | The Master Fund generally uses prices provided by an independent pricing service, or directly from an independent broker, which are non-binding indicative prices on or near the valuation date as the primary basis for the fair valuation determinations for quoted senior secured bonds and loans. Since these prices are non-binding, they may not be indicative of fair value. Each quoted price is evaluated by Guggenheim in conjunction with additional information compiled by |
(3) | A range is not provided when there is only one investment within the |
(4) | This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements. |
(5) | Oil production multiple is valued based on thousand barrels of oil equivalent per day (MBOE/d). |
Oil reserve multiple is valued |
25
Notes to Consolidated Financial Statements (Unaudited)
December 31, 2022 | ||||||||||||||||
Asset Category | Fair Value | Valuation Techniques (1) | Unobservable Inputs (2) | Weighted Average Input Value | Range (3) | Impact to Valuation from an Increase in Input (4) | ||||||||||
Senior Secured Loans - First Lien | $ | 24,740 | Yield analysis | Yield | 12.52% | 1.01% - 16.04% | Decrease | |||||||||
Equity/Other | $ | 79 | Market comparable | Cash Flow Multiple | 5x | 5x | Increase | |||||||||
Market comparable | Oil production multiple (5) | 28043x | 28043x | Increase | ||||||||||||
Market comparable | Oil reserve multiple (6) | 12.3x | 12.3x | Increase | ||||||||||||
$ | 276 | Discounted cash flow | EBITDA multiple | 10.6x | 10.6x | Increase | ||||||||||
Discounted cash flow | Discount Rate | 20.00% | 20.00% | Decrease | ||||||||||||
Total | $ | 25,095 |
December 31, 2016 | |||||||||
Asset Category | No. of Investment Positions | Fair Value | Valuation Techniques (1) | Unobservable Inputs (2) | Weighted Average | Range (3) | Impact to Valuation from an Increase in Input (4) | ||
Senior secured loans - first lien | 22 | $ | 74,929 | Yield analysis | Yield | 7.75% | 6.49% - 10.20% | Decrease | |
Transacted value | Cost (5) | 99.53 | 99.53 | Increase | |||||
Market comparables | EBITDA multiple | 16.3x | 16.3x | Increase | |||||
Senior secured loans - second lien | 4 | $ | 24,750 | Yield analysis | Yield | 10.89% | 10.40% -11.85% | Decrease | |
Market comparables | EBITDA multiple | 6.2x | 6.2x | Increase | |||||
Senior secured bonds | 3 | $ | 4,909 | Yield analysis | Yield | 9.72% | 9.72% | Decrease | |
Liquidation Analysis | Liquidation value | N/A | N/A | Increase | |||||
Senior unsecured debt | 1 | $ | 5,410 | Yield analysis | Yield | 12.59% | 12.59% | Decrease | |
Subordinated debt | 2 | $ | 15,142 | Transacted value | Cost (5) | 98.67 | 98.64-100.00 | Increase | |
Equity and other | 2 | $ | 53 | Transacted value | Cost (5) | 1.00 | 1.00 | Increase | |
Market and income approach | Company specific risk premium | 515.60% | 515.60% | Decrease | |||||
Option valuation model | Volatility | 163.18% | 163.18% | Increase | |||||
Total | 33 | $ | 125,193 |
(1) | For the |
(2) | The Master Fund generally uses prices provided by an independent pricing service, or directly from an independent broker, which are non-binding indicative prices on or near the valuation date as the primary basis for the fair valuation determinations for quoted senior secured bonds and loans. Since these prices are non-binding, they may not be indicative of fair value. Each quoted price is evaluated by Guggenheim in conjunction with additional information compiled by |
(3) | A range is not provided when there is only one investment within the |
(4) | This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements. |
(5) |
(6) | Oil reserve multiple is valued based on million barrels of oil equivalent (MMBOE). |
In addition to the Level 3 valuation methodologies and unobservable inputs noted above, the Master Fund, in accordance with its valuation policy, may also use other valuation techniques and methodologies when determining the fair value estimates for its investments.
26
Notes to Consolidated Financial Statements (Unaudited)
The following tables present a roll-forward inof the fair value changes for all investments for which the Master Fund determines fair value using Level 3 unobservable inputs for the three and ninesix months ended SeptemberJune 30, 2017 (dollars in thousands):
Schedule of fair value changes in investments | ||||||||||||||||||||
For the Three Months Ended June 30, 2023 | ||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Equity and Other | Total | ||||||||||||||||
Balance as of April 1, 2023 | $ | 27,195 | $ | — | $ | — | $ | 428 | $ | 27,623 | ||||||||||
Additions (1) | 590 | 572 | — | — | 1,162 | |||||||||||||||
Sales and repayments (2) | (5,010 | ) | — | — | — | (5,010 | ) | |||||||||||||
Net realized gains (3) | 30 | — | — | — | 30 | |||||||||||||||
Net change in unrealized depreciation on investments (4) | (416 | ) | — | — | (16 | ) | (432 | ) | ||||||||||||
Net discount accretion | 19 | — | — | — | 19 | |||||||||||||||
Fair value balance as of June 30, 2023 | $ | 22,408 | $ | 572 | $ | — | $ | 412 | $ | 23,392 | ||||||||||
Change in net unrealized depreciation on investments held as of June 30, 2023 | $ | (421 | ) | $ | — | $ | — | $ | (16 | ) | $ | (437 | ) |
For the Six Months Ended June 30, 2023 | ||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Equity and Other | Total | ||||||||||||||||
Balance as of January 1, 2023 | $ | 25,149 | $ | — | $ | 102 | $ | 385 | $ | 25,636 | ||||||||||
Additions (1) | 854 | 572 | — | 4,650 | 6,076 | |||||||||||||||
Sales and repayments (2) | (5,254 | ) | — | — | (317 | ) | (5,571 | ) | ||||||||||||
Net realized gains (3) | 35 | — | — | 317 | 352 | |||||||||||||||
Net change in unrealized depreciation on investments (4) | (181 | ) | — | — | (4,593 | ) | (4,774 | ) | ||||||||||||
Net discount accretion | 37 | — | — | — | 37 | |||||||||||||||
Transfers into Level 3 (5) | 1,768 | — | — | — | 1,768 | |||||||||||||||
Transfers out of Level 3 (6) | — | — | (102 | ) | (30 | ) | (132 | ) | ||||||||||||
Fair value balance as of June 30, 2023 | $ | 22,408 | $ | 572 | $ | — | $ | 412 | $ | 23,392 | ||||||||||
Change in net unrealized depreciation on investments held as of June 30, 2023 | $ | (448 | ) | $ | — | $ | — | $ | (68 | ) | $ | (516 | ) |
Three Months Ended September 30, 2017 | ||||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Senior Unsecured Debt | Subordinated Debt | Equity and Other | Total | ||||||||||||||||||||||
Balance as of July 1, 2017 | $ | 124,215 | $ | 47,717 | $ | 19,900 | $ | 16,655 | $ | 15,210 | $ | 52 | $ | 223,749 | ||||||||||||||
Additions (1) | 11,805 | 14,715 | — | 106 | 18 | — | 26,644 | |||||||||||||||||||||
Net realized gains (2) | 297 | 17 | — | — | — | — | 314 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments (3) | (60 | ) | 438 | 1,006 | (40 | ) | 27 | (39 | ) | 1,332 | ||||||||||||||||||
Sales and repayments (4) | (14,565 | ) | (457 | ) | — | — | — | — | (15,022 | ) | ||||||||||||||||||
Net discount accretion | 150 | 34 | 3 | 24 | 6 | — | 217 | |||||||||||||||||||||
Investment position reclassification | — | — | — | — | — | |||||||||||||||||||||||
Transfers into Level 3 (5) (6) | 68,245 | 1,198 | — | 4,150 | — | — | — | 73,593 | ||||||||||||||||||||
Fair value balance as of September 30, 2017 | $ | 190,087 | $ | 63,662 | $ | 20,909 | $ | 20,895 | $ | 15,261 | $ | 13 | $ | 310,827 | ||||||||||||||
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2017 | $ | 141 | $ | 438 | $ | 1,006 | $ | (40 | ) | $ | 27 | $ | (39 | ) | $ | 1,533 |
Nine Months Ended September 30, 2017 | |||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Senior Unsecured Debt | Subordinated Debt | Equity and Other | Total | |||||||||||||||||||||
Balance as of January 1, 2017 | $ | 79,913 | $ | 24,750 | $ | 7,932 | $ | 5,410 | $ | 15,142 | $ | 53 | $ | 133,200 | |||||||||||||
Additions (1) | 107,203 | 45,109 | 12,000 | 13,803 | 17 | — | 178,132 | ||||||||||||||||||||
Net realized gains (2) | 1,003 | 293 | — | 26 | — | — | 1,322 | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments (3) | 1,291 | 807 | 964 | 237 | 83 | (40 | ) | 3,342 | |||||||||||||||||||
Sales and repayments (4) | (39,002 | ) | (8,656 | ) | — | (2,632 | ) | — | — | (50,290 | ) | ||||||||||||||||
Net discount accretion | 372 | 86 | 13 | 51 | 19 | — | 541 | ||||||||||||||||||||
Transfers into Level 3 (5) (6) | 39,307 | 1,273 | — | 4,000 | — | — | 44,580 | ||||||||||||||||||||
Fair value balance as of September 30, 2017 | $ | 190,087 | $ | 63,662 | $ | 20,909 | $ | 20,895 | $ | 15,261 | $ | 13 | $ | 310,827 | |||||||||||||
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2017 | $ | 1,400 | $ | 807 | $ | 964 | $ | 237 | $ | 83 | $ | (40 | ) | $ | 3,451 |
(1) | Includes increases in the cost basis of investments resulting from new and incremental portfolio investments, including the capitalization of PIK |
(2) |
Includes principal payments/paydowns on debt investments and proceeds from sales of investments. |
(4) | Included in net change in unrealized appreciation (depreciation) on investments on the consolidated statements of operations. |
(5) | For the three and |
(6) | For the three and six months ended June 30, 2023, investments were transferred from Level 3 to Level 2 as valuation coverage was initiated by more than one independent pricing services or by one independent pricing service with a corroborating recent trade or another broker quotation. |
27
Three Months Ended September 30, 2016 | |||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Senior Unsecured Debt | Subordinated Debt | Equity and Other | Total | |||||||||||||||||||||
Balance as of July 1, 2016 | $ | 27,583 | $ | — | $ | 6,258 | $ | — | $ | — | $ | 40 | $ | 33,881 | |||||||||||||
Additions (1) | 49,445 | 19,540 | — | — | — | — | 68,985 | ||||||||||||||||||||
Net realized gains (2) | 9 | — | — | — | — | — | 9 | ||||||||||||||||||||
Net change in unrealized appreciation on investments (3) | 265 | 3 | 1,387 | — | — | — | 1,655 | ||||||||||||||||||||
Sales or repayments (4) | (537 | ) | — | — | — | — | — | (537 | ) | ||||||||||||||||||
Net discount accretion | 27 | 5 | 3 | — | — | — | 35 | ||||||||||||||||||||
Fair value balance as of September 30, 2016 | $ | 76,792 | $ | 19,548 | $ | 7,648 | $ | — | $ | — | $ | 40 | $ | 104,028 | |||||||||||||
Change in net unrealized appreciation on investments held as of September 30, 2016 | $ | 255 | $ | 3 | $ | 1,387 | $ | — | $ | — | $ | — | $ | 1,645 |
Notes to Consolidated Financial Statements (UNAUDITED)
For the Three Months Ended June 30, 2022 | ||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Equity and Other | Total | ||||||||||||||||
Balance as of April 1, 2022 | $ | 48,893 | $ | 13,438 | $ | — | $ | 2,322 | $ | 64,653 | ||||||||||
Additions (1) | 424 | — | — | — | 424 | |||||||||||||||
Sales and repayments (2) | (603 | ) | (6,000 | ) | (306 | ) | — | (6,909 | ) | |||||||||||
Net realized gains (3) | 14 | 55 | — | — | 69 | |||||||||||||||
Net change in unrealized appreciation (depreciation) on investments (4) | (935 | ) | (33 | ) | 395 | (200 | ) | (773 | ) | |||||||||||
Net discount accretion | 73 | 5 | — | — | 78 | |||||||||||||||
Transfers into Level 3 (5) | 4,487 | — | 90 | — | 4,577 | |||||||||||||||
Transfers out of Level 3 (5) | (513 | ) | (2,413 | ) | — | — | (2,926 | ) | ||||||||||||
Fair value balance as of June 30, 2022 | $ | 51,840 | $ | 5,052 | $ | 179 | $ | 2,122 | $ | 59,193 | ||||||||||
Change in net unrealized appreciation (depreciation) on investments held as of June 30, 2022 | $ | (935 | ) | $ | (81 | ) | $ | 395 | $ | (200 | ) | $ | (821 | ) |
For the Six Months Ended June 30, 2022 | ||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Equity and Other | Total | ||||||||||||||||
Balance as of January 1, 2022 | $ | 64,661 | $ | 14,510 | $ | — | $ | 897 | $ | 80,068 | ||||||||||
Additions (1) | 1,648 | — | — | — | 1,648 | |||||||||||||||
Sales and repayments (2) | (17,251 | ) | (6,000 | ) | (306 | ) | (2 | ) | (23,559 | ) | ||||||||||
Net realized gains (losses) (3) | 649 | 55 | — | (14 | ) | 690 | ||||||||||||||
Net change in unrealized appreciation (depreciation) on investments (4) | (1,965 | ) | (59 | ) | 395 | 1,241 | (388 | ) | ||||||||||||
Net discount accretion | 124 | 14 | — | — | 138 | |||||||||||||||
Transfers into Level 3 (5) | 4,487 | — | 90 | — | 4,577 | |||||||||||||||
Transfers out of Level 3 (5) | (513 | ) | (3,468 | ) | — | — | (3,981 | ) | ||||||||||||
Fair value balance as of June 30, 2022 | $ | 51,840 | $ | 5,052 | $ | 179 | $ | 2,122 | $ | 59,193 | ||||||||||
Change in net unrealized appreciation on investments held as of June 30, 2022 | $ | (1,214 | ) | $ | (82 | ) | $ | 287 | $ | 1,230 | $ | 221 |
Nine Months Ended September 30, 2016 | |||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Senior Unsecured Debt | Subordinated Debt | Equity and Other | Total | |||||||||||||||||||||
Balance as of January 1, 2016 | $ | 21,200 | $ | 1,576 | $ | 6,827 | $ | — | $ | — | $ | 471 | $ | 30,074 | |||||||||||||
Additions (1) | 60,297 | 19,540 | — | — | — | 37 | 79,874 | ||||||||||||||||||||
Net realized gains (2) | 188 | — | — | — | — | — | 188 | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments (3) | 53 | 3 | 821 | — | — | (468 | ) | 409 | |||||||||||||||||||
Sales and repayments (4) | (9,969 | ) | — | — | — | — | — | (9,969 | ) | ||||||||||||||||||
Net discount accretion | 60 | 5 | — | — | — | — | 65 | ||||||||||||||||||||
Transfers out of Level 3 (5) (6) | — | (1,576 | ) | — | — | — | — | (1,576 | ) | ||||||||||||||||||
Transfers into Level 3 (5) (7) | 4,963 | — | — | — | — | — | 4,963 | ||||||||||||||||||||
Fair value balance as of September 30, 2016 | $ | 76,792 | $ | 19,548 | $ | 7,648 | $ | — | $ | — | $ | 40 | $ | 104,028 | |||||||||||||
Change in net unrealized (depreciation) on investments held as of September 30, 2016 | $ | 187 | $ | 3 | $ | 821 | $ | — | $ | — | $ | (468 | ) | $ | 543 |
(1) | Includes increases in the cost basis of investments resulting from new and incremental portfolio investments, including the capitalization of PIK |
(2) |
Includes principal payments/paydowns on debt investments and proceeds from sales of investments. |
(4) | Included in net change in unrealized appreciation (depreciation) on investments on the consolidated statements of operations. |
(5) | For the |
(6) | For the three and six months ended June 30, 2022, investments were transferred from Level 3 to Level 2 |
28
Notes to Consolidated Financial Instruments Disclosed, But Not Carried, At Fair Value
Note 6. Related Party Agreements and Transactions
The Master Fund is affiliated with Guggenheim Credit Income Fund 2016 T (“GCIF 2016T”) and Guggenheim Credit Income Fund 2019 (“GCIF 2019”) (together, the “Feeder Funds”). The membership of the Boards of Trustees for the Master Fund, GCIF 2016T and GCIF 2019 are identical. The Feeder Funds have invested, and/or intend to invest, substantially all of the proceeds from their public offerings of common shares in the acquisition of the Master Fund’s Common Shares.
One of the Master Fund’s executive officers, Brian Binder, Senior Vice President, serves as an executive officer of Guggenheim. All of the Master Fund’s executive officers also serve as executive officers of the Feeder Funds.
Guggenheim and/or its affiliates may receive, as applicable, compensation for (i) investment advisory services, (ii) reimbursement of expenses in connection with investment advisory activities, administrative services and organizing the Master Fund and (iii) capital markets services in connection with the raising of equity capital for Feeder Funds affiliated with the Master Fund.
Investment Advisory Agreements and Compensation of the Advisor
The Master Fund wasis party to (i) an investment advisory agreement, as amended and restated (the "Prior Investment Advisory Agreement") with CCA and (ii) an investment sub-advisory agreement, as amended and restated (the "Investment Sub-Advisory Agreement") with CCA and Guggenheim. The Prior Investment Advisory Agreement and Investment Sub-Advisory Agreement were terminated by action of the Board of Trustees upon receipt and acceptance of CCA's resignation letter on August 10, 2017 with an effective date of September 11, 2017. Based on the Board of Trustees' approval, the Master Fund entered into an interim investment advisory agreement with Guggenheim, (the "Interim Investment Advisory Agreement") on August 11, 2017 with an effective date of September 11, 2017. Consistent with the terms of the Prior Investment Advisory Agreement,pursuant to which the Master Fund agreed to pay Guggenheim an investment advisory fee consisting of two components: (i) a management fee and (ii) a performance-based incentive fee. Guggenheim continues to be entitled to reimbursement of certain expenses incurred on behalf of the Master Fund in connection with investment operations and investment transactions.
Management Fee:
Performance-based Incentive Fee:
The performance-based incentive fee consists of two parts: (i) an incentive fee on income and (ii) an incentive fee on capital gains.(i) | The incentive fee on income is paid quarterly, if earned; it is computed as the sum of (A) 100% of quarterly pre-incentive fee net investment income in excess of 1.875% of average adjusted capital up to a limit of 2.344% of average adjusted capital, and (B) 20% of pre-incentive fee net investment income in excess of 2.344% of average adjusted capital. |
(ii) | The incentive fee on capital gains is paid annually, if earned; it is equal to 20% of realized capital gains on a cumulative basis from inception, net of (A) all realized capital losses and unrealized depreciation on a cumulative basis from inception, and (B) the aggregate amount, if any, of previously paid incentive fees on capital gains. |
All fees are computed in accordance with a detailed fee calculation methodology as approved by the Board of Trustees.
The expiration of the Interim Investment Advisory Agreement is the earlier of (i) February 8, 2018 (or such later date as may be consistent with the 1940 Act, rules and regulations thereunder, exemptive relief, or interpretive positions of the staff of the SEC) or (ii) the effective date of a new investment advisory agreement between the Master Fund and Guggenheim, if any, that has been approved by a majority of the Master Fund’s outstanding voting securities. The Interim Investment Advisory Agreement
29
Notes to Consolidated Financial Statements (UNAUDITED)
Administrative Services Agreement
The Master Fund was party toentered into an amended and restated administrative services agreement with CCA,Guggenheim (the "Prior Administrative“Administrative Services Agreement"Agreement”) whereby CCAGuggenheim agreed to provide administrative services to the Master Fund, including office facilities and equipment, and clerical, bookkeeping and record-keeping services. More specifically, CCA,Guggenheim, serving as the administrator (the "Prior Administrator"“Administrator”), performedperforms and oversawoversees the Master Fund'sFund’s required administrative services, which included financial and corporate record-keeping, preparing and disseminating the Master Fund'sFund’s reports to its shareholders and filing reports with the U.S. Securities and Exchange Commission (the "SEC").SEC. In addition, the Prior Administrator assistedassists in determining net asset value, overseeing the preparation and filing of tax returns, overseesoverseeing the payment of expenses and distributions and overseeing the performance of administrative and professional services fees rendered by others. For providing these services, facilities and personnel, the Master Fund reimbursedreimburses the Prior Administrator for the allocable portion of overhead and other expenses incurred by the Prior Administrator in performing its obligations under the Prior Administrative Services Agreement. On September 5, 2017,To the extent that the Administrator outsources any of its functions, the Master Fund entered into an administrative services agreementmay pay the fees associated with Guggenheim (the "Administrative Services Agreement") whereby Guggenheim, serving assuch functions on a direct basis, without incremental profit to the administrator (the "Administrator"), agreed to commence providing administrative services similar to those previously provided by CCA, with an effective date of September 11, 2017.
The Administrative Services Agreement may be terminated at any time, without the payment of any penalty: (i) by the Master Fund upon 60 days'days’ written notice to the Administrator upon the vote of the Master Fund's independent trustees,Fund’s Independent Trustees, or (ii) by the Administrator upon not less than 120 days'days’ written notice to the Master Fund. Unless earlier terminated, the Administrative Services Agreement will remain in effect year to yearfor two years, and thereafter shall continue automatically for successive one-year periods if approved annually by a majority of the Board of Trustees and the Master Fund'sFund’s Independent Trustees.
Dealer Manager Agreement
The Master Fund initially entered intofund is party to a dealer manager agreement, as amended (the "Dealer“Dealer Manager Agreement"Agreement”) with Carey Financial, LLC, a Delaware limited liability company ("Carey Financial"), GCIF 2016T and GCIF-I. The Dealer Manager Agreement was updated to include GCIF 2018T on October 3, 2016. On August 10, 2017, Carey Financial assigned the Dealer Manager Agreement to Guggenheim Funds Distributors, LLC ("GFD"(“GFD”) and the assignment and assumption agreement was approved by the Board of Trustees. GFD is an affiliate of Guggenheim. Under the terms of the Dealer Manager Agreement, GFD is to act on a best efforts basis as the exclusive dealer manager for (i) GCIF 2016T's,2016T’s and GCIF 2018T's and GCIF-I's2019’s public offerings of common shares and (ii) the public offering of common shares for future feeder funds affiliated with the Master Fund. Each Feeder Fund, not theThe Master Fund is not responsible for the compensation of GFD pursuant to the terms of the Dealer Manager Agreement; therefore, fees compensating GFD are not presented in this periodic report. As to a Feeder Fund, the Deal Manager Agreement may be terminated by a Feeder Fund or GFD upon 60 calender days'calendar days’ written notice to the other party. In the event that a Feeder Fund or GFD terminates the Dealer Manager Agreement with respect to a particular Feeder Fund, the Dealer Manager Agreement will continue with respect to any other Feeder Fund.
Capital Structuring Fees
Guggenheim isand its affiliates are obligated to remit to the Master Fund any earned capital structuring fees and administrative agency fees (i.e. loan administration fees) based on the Master Fund's
Summary of Related Party Transactions for the Three and Nine Months Ended September 30, 2017 and September 30, 2016
The following table presents the related party fees, expenses and transactions for the three and ninesix months ended SeptemberJune 30, 20172023 and SeptemberJune 30, 2016 (dollars in thousands):2022:
Schedule of related party fees, expenses and transactions | ||||||||||||||||||
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||||
Related Party (1) (2) | Source Agreement & Description | 2023 | 2022 | 2023 | 2022 | |||||||||||||
Expenses: | ||||||||||||||||||
Guggenheim | Investment Advisory Agreement - management fee | $ | 186 | $ | 572 | $ | 441 | $ | 1,220 | |||||||||
Guggenheim | Administrative Services Agreement - expense reimbursement | 95 | 169 | 197 | 229 | |||||||||||||
Income: | ||||||||||||||||||
Guggenheim | Share on capital structuring fees and administrative agency fees | 3 | 3 | 5 | 6 |
30
Notes to Consolidated Financial Statements (UNAUDITED)
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||
Related Party | Source Agreement & Description | 2017 | 2016 | 2017 | 2016 | |||||||||||||
CCA & Guggenheim | Prior Investment Advisory Agreement - investment advisory fee (1) | $ | 1,595 | $ | 1,025 | $ | 5,229 | $ | 2,142 | |||||||||
Guggenheim | Interim Investment Advisory Agreement - investment advisory fee (1) | 391 | — | 391 | — | |||||||||||||
CCA & Guggenheim | Prior Administrative Services Agreement - expense reimbursement | 80 | 98 | 303 | 286 | |||||||||||||
Guggenheim | Administrative Services Agreement - expense reimbursement | 25 | — | 25 | — | |||||||||||||
GCIF-I | Net Issuance (Repurchase) of Common Shares | (7 | ) | 5,666 | 20,523 | 13,208 | ||||||||||||
GCIF 2016T | Net Issuance (Repurchase) of Common Shares | 592 | 32,946 | 48,862 | 75,661 | |||||||||||||
CCA & Guggenheim | O&O Agreement - organization cost reimbursements | — | — | — | 228 | |||||||||||||
Trustees | Amended and Restated Bylaws - trustee fees and expenses (2) | 112 | 101 | 372 | 264 | |||||||||||||
Guggenheim | Co-Investment Exemptive Relief Order - Reimbursement of capital structuring fees | — | 157 | 315 | 157 | |||||||||||||
WPC & Guggenheim | Advisor Transition Costs - Transition costs in connection with investment advisor changes, proxy statement, and shareholder meeting | 662 | — | 662 | — |
(1) |
(2) | As of June 30, 2023 and June 30, 2022, the Master Fund had accumulated net realized capital losses and net unrealized depreciation and therefore, Guggenheim did not earn any performance-based incentive |
Co-Investment Transactions Exemptive Relief
The Master Fund was granted an SEC exemptive order which grants the Master Fund exemptive relief permitting the Master Fund, subject to the satisfaction of specific conditions and requirements, to co-invest in privately negotiated investment transactions with certain affiliates of CCA and Guggenheim. On September 22, 2017, due to CCA's resignation as investment advisor, the Master Fund and Guggenheim filed a replacement request for SEC exemptive relief to permit co-investment with certain Guggenheim affiliates in privately negotiated transactions.
Indemnification
The Interim Investment Advisory Agreement, Prior Investment Advisory Agreement, Investment Sub-Advisory Agreement and Administrative Services Agreement provide certain indemnifications to CCA and Guggenheim, theirits directors, officers, persons associated with CCA and Guggenheim and theirits affiliates, including the administrator. In addition, the Master Fund'sFund’s Declaration of Trust, as amended, provides certain indemnifications to its officers, trustees, agents and certain other persons. As of SeptemberJune 30, 2017,2023 and December 31, 2022, management believes that the risk of incurring any losses for such indemnifications is remote.
Note 7. Borrowings
Hamilton Credit Facility
On December 17, 2015, Hamilton initially entered into a senior-secured term loan, as amended (the “Hamilton Credit Facility”) with JPMorgan Chase Bank, National Association (“JPM”), as administrative agent, each of the lenders from time to time party thereto, and U.S. Bank National Association, as collateral agent, collateral administrator and securities intermediary. The
On November 29, 2021, Hamilton Credit Facility provides for borrowingsrepaid in an aggregate principal amount of $175.0 million on a committed basisfull all outstanding amounts due in connection with, an overall four-year term and a three-year draw-down term;terminated all loan advances and all accrued and unpaid interest thereunder will be due and payable on December 17, 2019. The interest rate is 3 month LIBOR+2.65% per annum and interest is payable quarterly in arrears. All investments owned by, and all cash on hand with, Hamilton are held as collateral forcommitments under, the Hamilton Credit Facility.
Hamilton Credit Facility - Borrowing Summary | |||||||||||||||||||||
As of | Total Principal Amount Committed | Principal Amount Outstanding | Carrying Value (1) | Interest Rate (2) | Maturity Date | Maturity Term | |||||||||||||||
September 30, 2017 | $ | 175,000 | $ | 150,000 | $ | 148,865 | 3.97 | % | December 17, 2019 | 2.2 | years | ||||||||||
December 31, 2016 | $ | 175,000 | $ | 126,000 | $ | 124,505 | 3.64 | % | December 17, 2019 | 3.0 | years |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Stated interest expense | $ | 1,511 | $ | 675 | $ | 4,052 | $ | 1,324 | ||||||||
Unused/undrawn fees | 69 | 206 | 395 | 262 | ||||||||||||
Amortization of deferred financing costs | 123 | 117 | 360 | 342 | ||||||||||||
Total interest expense | $ | 1,703 | $ | 998 | $ | 4,807 | $ | 1,928 | ||||||||
Annualized weighted average interest rate(1) | 3.9 | % | 3.4 | % | 3.8 | % | 3.2 | % | ||||||||
Average borrowings | $ | 150,000 | $ | 79,250 | $ | 140,400 | $ | 55,100 |
Note 8. Commitments and Contingencies
The amounts associated with unfunded commitments to provide funds to portfolio companies are not recorded in the Master Fund’s consolidated statements of assets and liabilities. Since these commitments and the associated amounts may expire without being drawn upon, the total commitment amount does not necessarily represent a future cash requirement. As of SeptemberJune 30, 2017 the Master Fund and Hamilton have sufficient liquidity to fund these commitments should the funding requirements occur. As of September 30, 20172023 and December 31, 2016,2022, the Master Fund’s unfunded commitments consisted of the following (dollars in thousands):
Schedule of unfunded commitments | ||||||||
Total Unfunded Commitments | ||||||||
Category / Portfolio Company (1) | June 30, 2023 | December 31, 2022 | ||||||
Allvue Systems (Revolver) | 58 | 26 | ||||||
Apptio, Inc. (Revolver) | 229 | 131 | ||||||
Galls LLC (Revolver) | 176 | 170 | ||||||
Polyvision Corp. (Revolver) | — | 5 | ||||||
PSI Services LLC (Revolver) | — | (2) | — | (2) | ||||
Wide Orbit (Revolver) | — | 293 | ||||||
Total Unfunded Commitments | $ | 463 | $ | 625 |
Total Unfunded Commitments | ||||||||
Category / Portfolio Company (1) | September 30, 2017 | December 31, 2016 | ||||||
Boats Group (Revolver) | $ | 1,000 | $ | 1,000 | ||||
Dominion Web Solutions (Revolver) | 346 | — | ||||||
Eco-Site (Delayed Draw) | 3,214 | — | ||||||
Express Oil (Delayed Draw) | 24 | — | ||||||
Express Oil (Revolver) | 241 | — | ||||||
GAL Manufacturing (Revolver) | 373 | — | ||||||
Grinding Media Inc. | — | 6,200 | ||||||
Humanetics (Revolver) | 400 | 400 | ||||||
Lytx (Revolver) | 368 | — | ||||||
Med Intermediate (Delayed Draw) | 1,493 | 1,631 | ||||||
Ministry Brands (Delayed Draw) | 135 | — | ||||||
Onyx CenterSource (Revolver) | 285 | 329 | ||||||
National Technical Systems, Inc. (Delayed Draw) | — | 765 | ||||||
Parts Town, LLC (Revolver) | 200 | 900 | ||||||
Pet Holdings ULC (Delayed Draw) | 125 | 500 | ||||||
PluralSight Holdings (Revolver) | 250 | — | ||||||
Total Unfunded Commitments | $ | 8,454 | $ | 11,725 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Net increase in net assets resulting from operations | $ | 4,818 | $ | 5,681 | $ | 12,308 | $ | 7,249 | ||||||||
Weighted average Common Shares outstanding (basic and diluted) | 29,214,286 | 14,367,189 | 26,976,497 | 10,219,786 | ||||||||||||
Earnings per Common Share - basic and diluted (1) | $ | 0.16 | $ | 0.40 | $ | 0.46 | $ | 0.71 |
(1) |
(2) | Amount is less than $1,000. |
31
Notes to Consolidated Financial Statements (Unaudited)
Note 10. 9. Financial Highlights
The following per Common Share data and financial ratios have been derived from information provided in the consolidated financial statements. The following is a schedule of financial highlights during the ninesix months ended SeptemberJune 30, 20172023 and SeptemberJune 30, 2016 (in thousands, except share and per share amounts):
Schedule of financial highlights | ||||||||
For the Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
PER COMMON SHARE OPERATING PERFORMANCE | ||||||||
Net asset value, beginning of period | $ | 2.39 | $ | 6.15 | ||||
Net investment income (1) | 0.02 | 0.12 | ||||||
Net realized gains (losses) (1) | (0.01 | ) | 0.05 | |||||
Net change in unrealized depreciation (2) | — | (0.15 | ) | |||||
Net increase resulting from operations | 0.01 | 0.02 | ||||||
Distributions to Common Shareholders (3) | ||||||||
Distributions from net investment income | (0.03 | ) | (0.14 | ) | ||||
Distributions representing return of capital | (1.04 | ) | (1.42 | ) | ||||
Net decrease resulting from distributions | (1.07 | ) | (1.56 | ) | ||||
Net asset value, end of period | $ | 1.33 | $ | 4.61 | ||||
INVESTMENT RETURNS | ||||||||
Total investment return (4) | 0.10 | % | 0.03 | % | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Net assets, end of period | $ | 34,046 | $ | 117,932 | ||||
Average net assets (5) | $ | 50,054 | $ | 139,057 | ||||
Common Shares outstanding, end of period | 25,594,125 | 25,594,125 | ||||||
Weighted average Common Shares outstanding | 25,594,125 | 25,594,125 | ||||||
Ratios-to-average net assets: (5) | ||||||||
Total expenses | 2.23 | % | 1.61 | % | ||||
Net investment income | 1.28 | % | 2.18 | % | ||||
Portfolio turnover rate (5) (6) | 17.74 | % | 1.50 | % |
Nine Months Ended September 30, | |||||||
2017 | 2016 | ||||||
PER COMMON SHARE OPERATING PERFORMANCE (1) | |||||||
Net asset value, beginning of period | $ | 8.47 | $ | 8.00 | |||
Net investment income | 0.35 | 0.14 | |||||
Net realized gains | 0.07 | 0.05 | |||||
Net change in unrealized appreciation (2) | 0.04 | 0.34 | |||||
Net increase resulting from operations | 0.46 | 0.53 | |||||
Distributions to Common Shareholders (3) | |||||||
Distributions from net investment income | (0.35 | ) | (0.14 | ) | |||
Distributions in excess of net investment income | (0.03 | ) | (0.08 | ) | |||
Net decrease resulting from distributions | (0.38 | ) | (0.22 | ) | |||
Net asset value, end of period | $ | 8.55 | $ | 8.31 | |||
INVESTMENT RETURNS | |||||||
Total investment return (4) | 5.49 | % | 6.64 | % | |||
RATIOS/SUPPLEMENTAL DATA | |||||||
Net assets, end of period | $ | 249,367 | $ | 139,716 | |||
Average net assets (5) | $ | 229,306 | $ | 83,661 | |||
Common Shares outstanding, end of period | 29,151,096 | 16,820,644 | |||||
Weighted average Common Shares outstanding | 26,976,497 | 10,219,786 | |||||
Ratios-to-average net assets: (5) | |||||||
Operating expenses | 5.92 | % | 7.16 | % | |||
Effect of advisor transition costs reimbursement | (0.29 | )% | — | % | |||
Net expenses | 5.63 | % | 7.16 | % | |||
Net investment income | 4.07 | % | 1.65 | % | |||
Average outstanding borrowings (5) | $ | 140,400 | $ | 55,100 | |||
Portfolio turnover rate (5) (6) | 31 | % | 46 | % | |||
Asset coverage ratio (7) | 2.66 | 2.44 |
(1) | The per Common Share data was derived by using the weighted average Common Shares outstanding during the |
(2) | The amount shown at this caption is the balancing figure derived from the other figures in the schedule. The amount shown at this caption for a Common Share outstanding throughout the period may not agree with the change in the aggregate appreciation and depreciation in portfolio securities for the period because of the timing of sales of the Master Fund’s Common Shares in relation to fluctuating market values for the portfolio. |
(3) | The per Common Share data for distributions is the actual amount of distributions |
32
Notes to Consolidated Financial Statements (Unaudited)
(4) | Total |
(5) | The computation of average net assets, average outstanding borrowings and average value of portfolio securities during the period is based on averaging the amount on the first day of the first month of the period and the last day of each month during the period. |
(6) | Portfolio turnover is calculated as the lesser of (i) purchases of portfolio securities or (ii) the aggregate total of sales of portfolio securities plus any |
Note 11. 10. Distributions
The Board of Trustees declaredfollowing table summarizes the distributions for three and two record dates, respectively, in the three months ended September 30, 2017 and September 30, 2016. The total and the sources of declared distributions on a GAAP basis for the three months ended September 30, 2017 and September 30, 2016 are presented in the tables below (in thousands, except per Share amounts):
Three Months Ended September 30, | |||||||||||||||||
2017 | 2016 | ||||||||||||||||
Per Share | Amount | Allocation | Per Share | Amount | Allocation | ||||||||||||
Total Declared Distributions | $ | 0.16 | $ | 4,600 | 100.0 | % | $ | 0.17 | $ | 2,756 | 100.0 | % | |||||
From net investment income | 0.13 | 3,862 | 84.0 | 0.08 | 1,083 | 39.3 | |||||||||||
Distributions in excess of net investment income | 0.03 | 738 | 16.0 | 0.09 | 1,673 | 60.7 |
Nine Months Ended September 30, | |||||||||||||||||
2017 | 2016 | ||||||||||||||||
Per Share | Amount | Allocation | Per Share | Amount | Allocation | ||||||||||||
Total Declared Distributions | $ | 0.38 | $ | 10,392 | 100.0 | % | $ | 0.22 | $ | 3,106 | 100.0 | % | |||||
From net investment income | 0.35 | 9,336 | 89.8 | 0.14 | 1,399 | 45.0 | |||||||||||
Distributions in excess of net investment income | 0.03 | 1,056 | 10.2 | 0.08 | 1,707 | 55.0 |
Schedule of distributions | ||||||||||||||
Record Date | Payment Date | Distribution Per Common Share at Record Date | Distribution Per Common Share at Payment Date | Cash Distribution | ||||||||||
For Calendar Year 2023 | ||||||||||||||
March 20 | March 21 | $ | 0.68000 | $ | 0.68000 | $ | 17,404 | |||||||
June 20 | June 22 | 0.39000 | 0.39000 | 9,984 | ||||||||||
$ | 1.07000 | $ | 27,388 | |||||||||||
For Calendar Year 2022 | ||||||||||||||
February 1 | February 3 | $ | 0.78000 | $ | 0.78000 | $ | 19,964 | |||||||
May 18 | May 20 | 0.78000 | 0.78000 | 19,963 | ||||||||||
$ | 1.56000 | $ | 39,927 |
Note 11. Subsequent Events
Management has evaluated subsequent events through the date of issuance of these consolidated financial statements and has determined that there are no subsequent events outside the ordinary scope of business that require adjustment to, or disclosure in, the 1940 Act) of the votes cast by shareholders. The new investment advisory agreement replaced the Interim Investment Advisory Agreement effective as of October 20, 2017.consolidated financial statements.
33
Item 2. Management'sManagement’s Discussion and Analysis of Financial Condition and Results of Operations.
(amounts in thousands, except share and per share data, percentages and as otherwise indicated; for example, with the word “million” or otherwise)
The information contained in this Item 2 should be read in conjunction with our unaudited consolidated financial statements and related notes thereto appearing elsewhere in this Report. Unless otherwise noted, the terms "we," "us," "our," and "Master Fund" refer to Guggenheim Credit Income Fund. Capitalized terms used in this Item 2 have the same meaning as in the accompanying unaudited consolidated financial statements presented in
Overview
We are a specialty finance investment company that hasfocused on lending to middle market companies. We were formed on September 5, 2014 as a statutory trust under the laws of the State of Delaware and commenced investment operations on April 2, 2015. In addition, we have elected to be treated as a BDCbusiness development company (“BDC”) under the Investment Company Act of 1940, Act. Formed as a Delaware statutory trust on September 5, 2014, weamended (the “1940 Act”). We are externally managed by Guggenheim, which is responsible for sourcing potential investments, conducting due diligence on prospective investments, analyzing investment opportunities, structuring investments, determining the securities and other assets that we will purchase, retain or sell, and monitoring our portfolio on an ongoing basis.
We serve as the master fund in a master/feeder fund structure in that one or more feeder funds (each, a “Feeder Fund”), each a separate closed-end management investment company that has adopted our investment objectives and strategies, invests substantially all of its equity capital in our common shares (“Shares” or "Common Shares"“Common Shares”). Presently, our shareholders are the two initial shareholders and two Feeder Funds.
We conduct private offerings (each a “Private Offering”) of our Shares to the Feeder Funds in reliance on exemptions from the registration requirements of the Securities Act. While we expect to continuously offer our Shares and have an indefinite life, each Feeder Fund features a specific finiteperiod for the offering period forof its Common Shares, and each Feeder Fund has a specified finite term and target liquidity date.
Beginning with the taxable year ended December 31, 2015, we have elected to be treated for federal income tax purposes as a RIC under Subchapter M of the Code.Internal Revenue Code of 1986, as amended (the “Code”).
Plan of Liquidation
In accordance with the offering documents and the intention of Guggenheim Credit Income Fund 2016 T (“GCIF 2016T”) and Guggenheim Credit Income Fund 2019 (“GCIF 2019”) (together, the “Feeder Funds”) to provide substantial shareholder liquidity, the Boards of Trustees of the Master Fund and the Feeder Funds approved respective Plans of Liquidation for each company on March 30, 2021 (each, a “Liquidation Plan”). In accordance with the Liquidation Plans, the Board has declared multiple liquidating distributions which are outlined in the table below. These distributions have been substantially composed of return of capital and have decreased the net asset value of the Master Fund and Feeder Funds. As such, the value on shareholder’s investment statements has decreased as liquidating distributions have been paid.
For the Master Fund, as of August 9, 2023, over 85% of the NAV has been declared to be paid to shareholders in the form of liquidating distributions.
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The table below is intended to highlight some relevant metrics associated with the Plans of Liquidation ($ in thousands).
Noted Information | GCIF (Master Fund) | GCIF 2016 T | GCIF 2019 | |||||||||
Cumulative Liquidating Distributions declared per share through August 9, 2023 | $ | 6.94 | $ | 7.30 | $ | 20.02 | ||||||
Number of Portfolio Companies at beginning of Year | 18 | — | — | |||||||||
Number of Portfolio Companies at end of Period | 13 | — | — | |||||||||
YTD Portfolio sales and repayments ($ in thousands) | $ | 16,655 | $ | — | $ | — | ||||||
Cumulative Liquidating Distributions Declared through August 9, 2023 ($ in thousands) | $ | (177,623 | ) | $ | (118,969 | ) | $ | (34,760 | ) | |||
Percentage of December 31, 2020 NAV Declared through August 9, 2023 | 91.80 | % | 91.50 | % | 88.31 | % | ||||||
Net Assets at beginning of Year ($ in thousands) | $ | 61,273 | $ | 41,115 | $ | 12,926 | ||||||
Net Assets at end of Period ($ in thousands) | $ | 34,046 | $ | 22,791 | $ | 7,489 | ||||||
Net asset value per share at end of period | $ | 1.33 | $ | 1.40 | $ | 4.31 |
In accordance with the Liquidation Plan, the Master Fund and the Feeder Funds will remain registered as a BDC and intend to maintain their qualifications as RICs under Subchapter M of the Code.
Investment Objectives and Investment Strategy
Our investment objectives are to provide our shareholders with current income, capital preservation, and, to a lesser extent, long-term capital appreciation. There can be no assurances that any of these investment objectives will be achieved.
Prior to the Board’s approval of the Liquidation Plan, our investment strategy iswas continuously focused on growing an investment portfolio that generates superior risk adjusted returns by carefully selecting investments through rigorous due diligence and actively managing and monitoring our investment portfolio. When evaluating an investment and the related portfolio company, we use the resources of Guggenheim to develop an investment thesis and a proprietary view of a potential portfolio company’s intrinsic value and its expected risks and rewards.
We primarily focusfocused on the following investment types that may be available within the capital structure of portfolio companies:
● | Senior Debt. Senior debt investments generally take a security interest in the available assets of the portfolio company, including equity interests in any of its subsidiaries. The senior debt classification includes senior secured first lien loans, senior secured second lien loans, senior secured bonds, and senior unsecured debt. In some circumstances, the secured lien could be subordinated to the claims of other creditors. While there is no specific collateral associated with senior unsecured debt, such positions are senior in payment priority over subordinated debt investments. |
● | Subordinated Debt. Subordinated debt investments are subordinated to senior debt and are generally unsecured. These investments are generally structured with interest-only payments throughout the life of the security with the principal due at maturity. |
● | Equity Investments. Preferred and/or common equity investments may be acquired alongside senior and subordinated debt investment activities or through the exercising of warrants or options attached to debt investments. Income is generated primarily through regular or inconstant dividends and realized gains on dispositions of such investments. |
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We intend to meet our investment objectives by investing primarily in large, privately-negotiated loans to private middle market U.S. companies. Specifically, we expect a typical borrower to have earnings before interest, taxes, depreciation, and amortization ("EBITDA"(“EBITDA”) of $25 million to $100 million and annual revenue ranging from $50 million to $1 billion. We seek to invest in businesses that have a strong reason to exist and have demonstrated competitive and strategic advantages. These companies generally possess distinguishing business characteristics, such as a leading competitive position in a well-defined market niche, unique brands, sustainable profitability and cash flow, and experienced management. We anticipate that a majority of our investments will be classified as senior debt (generally as senior secured debt) in a borrower’s capital structure and have repayment priority over other parts of a borrower’s capital structure (
In addition to privately-negotiated loans, we invest in more broadly syndicated assets, such as bank loans and corporate bonds. In these instances, ourOur portfolio is more heavily weighted towards floating-rate investments, whose revenue streamsinterest payment obligations may
Our portfolio may include “covenant-lite” loans which generally refer to loans that do not have a complete set of financial maintenance covenants. Generally, “covenant-lite” loans provide borrower companies more freedom to negatively impact lenders because their covenants are incurrence-based, which means they are only tested and can only be breached following an affirmative action of the borrower, rather than by a deterioration in the borrower’s financial condition. Accordingly, to the extent we invest in “covenant-lite” loans, we may have fewer rights against a borrower and may have a greater risk of loss on such investments as compared to investments in or exposure to loans with financial maintenance covenants.
Our portfolio includes investments in securities that are rated below investment grade (
Our investment strategy leverages the skills and depth of Guggenheim'sGuggenheim’s research team and credit investment platform which features a relative value perspective across all corporate credit asset types. We believe these elements create a larger, proprietary opportunity set and increase the potential for the generation of a wide spectrum of value-risk investment ideas. We intend for our investment strategy to access investments with attractive combinations of reward and risk.risk, better economics and stronger lender protections than those offered in traditional loan transactions. We also intend to deploy our direct loan origination investment platform and apply it to our portfolio company business relationships.
Our investment activity can and does vary substantially from period to period depending on many factors, including: the demand for capital from creditworthy privately-owned U.S. companies, the level of merger, acquisition and refinancing activity involving private companies, the availability of credit to finance merger and acquisition transactions, the general economic environment, the competitive investment environment for the types of investments we currently seek and intend to seek in the future, the amount of equity capital we raise from the sale of our Shares, and the amount of capital we may borrow.
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We acquire our portfolio investments through the following investment access channels:
● | Direct Originations: This channel consists of investments that are directly originated through Guggenheim’s relationship network. Such investments are originated and/or structured by Guggenheim and are not generally available to the broader investment market. These investments may include both debt and equity investment components. |
● | Syndicated Transactions: This channel primarily includes investments in broadly syndicated loans and high yield bonds, typically originated and arranged by investment intermediaries other than Guggenheim. These investments may be purchased at the original syndication or in the secondary through various trading markets. |
We may include both debt and equity investment components.
Revenues
We generate revenues primarily in the form of interest on the debt securities of portfolio companies that we acquire and hold for investment purposes. Our investments in debt securities generally have expected maturities of one to eight years, although we have no lower or upper constraint on maturity, and typically earn interest at floating and fixed rates or floatinginterest rates. Interest on our debt securities is generally payable to us quarterly or semi-annually. The outstanding principal amount of our debt securities and any accrued but unpaid interest will generally become due at the respective maturity dates. In addition, we may generate revenue in the form of dividends from preferred and common equity investments, amortization of original issue discount, prepayment fees, commitment fees, origination fees and fees for providing significant managerial assistance.
Operating Expenses
Our primary operating expenses include an investment advisorya management fee and, depending on our operating results, a performance-based incentive fee, interest expense, administrative services, related party reimbursements, custodian and accounting services and other third-party professional services fees and expenses. The investment advisorymanagement and performance-based incentive fees compensate Guggenheim for its services in identifying, evaluating, negotiating, closing and monitoring our investments.
Financial and Operating Highlights
The following tables present financial and operating highlights (i) as of SeptemberJune 30, 20172023 and December 31, 20162022 and (ii) for the ninesix months ended SeptemberJune 30, 20172023 and SeptemberJune 30, 2016 (dollars in thousands, except per share amounts):2022:
As of | ||||||||
June 30, 2023 | December 31, 2022 | |||||||
Total assets | $ | 34,569 | $ | 62,145 | ||||
Adjusted total assets (total assets net of payable for investments purchased) | $ | 34,569 | $ | 62,145 | ||||
Investments in portfolio companies, at fair value | $ | 29,638 | $ | 40,641 | ||||
Net assets | $ | 34,046 | $ | 61,273 | ||||
Net asset value per Common Share | $ | 1.33 | $ | 2.39 |
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As of | |||||||
September 30, 2017 | December 31, 2016 | ||||||
Total assets | $ | 406,590 | $ | 305,432 | |||
Adjusted total assets (total assets net of payable for investments purchased) | $ | 401,660 | $ | 304,339 | |||
Investments in portfolio companies, at fair value | $ | 381,054 | $ | 275,084 | |||
Borrowings | $ | 150,000 | $ | 126,000 | |||
Net assets | $ | 249,367 | $ | 178,066 | |||
Net asset value per Common Share | $ | 8.55 | $ | 8.47 | |||
Leverage ratio (borrowings/adjusted total assets) | 37.3 | % | 41.4 | % |
Nine Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Average net assets | $ | 229,306 | $ | 83,661 | |||
Average borrowings | $ | 140,400 | $ | 55,100 | |||
Cost of investments purchased | $ | 206,464 | $ | 195,614 | |||
Sales of investments | $ | 51,037 | $ | 37,488 | |||
Principal payments | $ | 55,061 | $ | 22,154 | |||
Net investment income | $ | 9,336 | $ | 1,384 | |||
Net realized gains | $ | 1,876 | $ | 474 | |||
Net change in unrealized appreciation | $ | 1,096 | $ | 5,391 | |||
Net increase in net assets resulting from operations | $ | 12,308 | $ | 7,249 | |||
Total distributions to shareholders | $ | 10,392 | $ | 3,106 | |||
Net investment income per Common Share - basic and diluted | $ | 0.35 | $ | 0.14 | |||
Earnings per Common Share - basic and diluted | $ | 0.46 | $ | 0.71 | |||
Distributions per Common Share | $ | 0.38 | $ | 0.22 |
For the Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Average net assets | $ | 50,054 | $ | 139,057 | ||||
Cost of investments purchased | $ | 6,061 | $ | 1,643 | ||||
Sales of investments | $ | 16,011 | $ | 8,024 | ||||
Principal payments | $ | 641 | $ | 23,160 | ||||
Net investment income | $ | 640 | $ | 3,031 | ||||
Net realized gains (losses) | $ | (408 | ) | $ | 1,481 | |||
Net change in unrealized depreciation | $ | (71 | ) | $ | (3,933 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | 161 | $ | 579 | ||||
Total distributions to shareholders | $ | 27,388 | $ | 39,927 | ||||
Net investment income per Common Share - basic and diluted | $ | 0.02 | $ | 0.12 | ||||
Earnings per Common Share - basic and diluted | $ | 0.01 | $ | 0.02 | ||||
Distributions per Common Share | $ | 1.07 | $ | 1.56 |
Portfolio and Investment Activity for the Three and NineSix Months Ended SeptemberJune 30, 2017 and September 30, 2016
The following table presents our investmentportfolio company activity for the three and ninesix months ended SeptemberJune 30, 2017 (dollars in thousands):
Three Months Ended | Nine Months Ended | ||||||
September 30, 2017 | September 30, 2017 | ||||||
Investment activity segmented by access channel: | |||||||
Direct origination | $ | 18,443 | $ | 146,955 | |||
Primary issuance | 14,091 | 46,009 | |||||
Secondary market transactions | — | 13,500 | |||||
Total investment activity | 32,534 | 206,464 | |||||
Investments sold or repaid | (29,993 | ) | (106,098 | ) | |||
Net investment activity | $ | 2,541 | $ | 100,366 | |||
Portfolio companies at beginning of period | 67 | 55 | |||||
Number of added portfolio companies | 5 | 28 | |||||
Number of exited portfolio companies | (4 | ) | (15 | ) | |||
Portfolio companies at period end | 68 | 68 | |||||
Number of debt investments at period end | 96 | 96 | |||||
Number of equity/other investments at period end | 3 | 3 |
For the Three Months Ended June 30, 2023 | For the Six Months Ended June 30, 2023 | |||||||
Portfolio companies at beginning of period | 14 | 18 | ||||||
Number of exited portfolio companies | (1 | ) | (5 | ) | ||||
Portfolio companies at period end | 13 | 13 | ||||||
Number of debt investments at period end | 24 | 24 | ||||||
Number of equity/other investments at period end | 7 | 7 |
The following table presents a roll forwardroll-forward of all investment purchase, sale and repayment activity and changes in fair value, within our investment portfolio throughout for the ninesix months ending Septemberended June 30, 2017 (dollars in thousands):
Balance as of January 1, 2023 | Purchases | Sales and Repayments | Other Changes in Fair Value (1) | Balance as of June 30, 2023 | ||||||||||||||||
Senior secured loans - first lien | $ | 39,028 | $ | 1,382 | $ | (11,626 | ) | $ | (183 | ) | $ | 28,601 | ||||||||
Senior secured loans - second lien | 1,126 | 29 | (4,650 | ) | 4,067 | 572 | ||||||||||||||
Senior secured bonds | 102 | — | (62 | ) | (8 | ) | 32 | |||||||||||||
Total senior debt | $ | 40,256 | $ | 1,411 | $ | (16,338 | ) | $ | 3,876 | $ | 29,205 | |||||||||
Equity and other | 385 | 4,650 | (317 | ) | (4,285 | ) | 433 | |||||||||||||
Total | $ | 40,641 | $ | 6,061 | $ | (16,655 | ) | $ | (409 | ) | $ | 29,638 |
Balance as of January 1, 2017 | Purchases | Sales and Repayments | Other Changes in Fair Value (1) | Balance as of September 30, 2017 | |||||||||||||||
Senior secured loan - first lien | $ | 185,336 | $ | 124,159 | $ | (80,579 | ) | $ | 2,927 | $ | 231,843 | ||||||||
Senior secured loan - second lien | 44,340 | 51,643 | (13,655 | ) | 1,048 | 83,376 | |||||||||||||
Senior secured bond | 11,631 | 12,000 | (3,841 | ) | 1,119 | 20,909 | |||||||||||||
Senior unsecured debt | 12,870 | 18,662 | (2,633 | ) | 319 | 29,218 | |||||||||||||
Total senior debt | $ | 254,177 | $ | 206,464 | $ | (100,708 | ) | $ | 5,413 | $ | 365,346 | ||||||||
Subordinated debt | 20,628 | — | (5,390 | ) | 23 | 15,261 | |||||||||||||
Equity and other | 279 | — | — | 168 | 447 | ||||||||||||||
Total | $ | 275,084 | $ | 206,464 | $ | (106,098 | ) | $ | 5,604 | $ | 381,054 |
(1) | Other changes in fair value includes changes resulting from realized and unrealized gains and losses, amortization/accretion, increases from PIK income |
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The following table presents selected information regarding our investment portfolio as of SeptemberJune 30, 20172023 and December 31, 2016 (dollars in thousands):
As of | ||||||||
June 30, 2023 | December 31, 2022 | |||||||
Weighted average purchase price of debt investments (1) | 87.2 | % | 89.6 | % | ||||
Weighted average duration of debt investments (2) | 0.04 | years | 0.03 | years | ||||
Debt investments on non-accrual status as a percentage of amortized cost of total debt investments | 4.4 | % | 3.1 | % | ||||
Debt investments on non-accrual status as a percentage of fair value of total debt investments | 0.1 | % | 0.3 | % | ||||
Number of debt investments on non-accrual status | 1 | 1 | ||||||
Floating interest rate debt investments: | ||||||||
Percent of debt portfolio (3) | 99.9 | % | 99.7 | % | ||||
Percent of floating rate debt investments with interest rate floors (3) | 99.9 | % | 99.8 | % | ||||
Weighted average interest rate floor | 5.1 | % | 4.4 | % | ||||
Weighted average coupon spread to base interest rate | 586 | bps | 566 | bps | ||||
3-month LIBOR | 555 | bps | 477 | bps | ||||
Fixed interest rate debt investments: | ||||||||
Percent of debt portfolio (3) | 0.1 | % | 0.3 | % | ||||
Weighted average years to maturity | 0.3 | years | 0.8 | years | ||||
Weighted average effective yields | ||||||||
Senior secured loans - first lien (4) | 12.7 | % | 11.5 | % | ||||
Senior secured loans - second lien (4) | 40.0 | % | 16.8 | % | ||||
Total debt investments (4) | 12.6 | % | 11.7 | % | ||||
Total investments (5) | 11.0 | % | 11.7 | % |
As of | |||||||||
September 30, 2017 | December 31, 2016 | ||||||||
Weighted average portfolio company EBITDA (1) | $ | 89,338 | $ | 99,760 | |||||
Median portfolio company EBITDA(1) | $ | 65,500 | $ | 84,450 | |||||
Weighted average purchase price of investments (2) | 96.7 | % | 97.0 | % | |||||
Weighted average duration of debt investments (3) | 0.4 | years | 0.6 | years | |||||
Debt investments on non-accrual status as a percentage of amortized cost | 0.8 | % | 1.2 | % | |||||
Debt investments on non-accrual status as a percentage of fair value | 0.8 | % | 1.1 | % | |||||
Number of Debt investments on non-accrual status | 1 | 1 | |||||||
Floating interest rate debt investments: | |||||||||
Percent of debt portfolio (4) | 90.4 | % | 90.7 | % | |||||
Percent of floating rate debt investments with interest rate floors (4) | 97.0 | % | 100.0 | % | |||||
Weighted average interest rate floor | 1.0 | % | 1.0 | % | |||||
Weighted average coupon spread to base interest rate | 691 | bps | 654 | bps |
Fixed interest rate debt investments: | |||||||
Percent of debt portfolio (4) | 9.6 | % | 9.3 | % | |||
Weighted average coupon rate | 10.0 | % | 9.8 | % | |||
Weighted average years to maturity | 3.4 | years | 4.9 | years | |||
Weighted average effective yields: (5) | |||||||
Senior secured loans - first lien | 8.0 | % | 7.5 | % | |||
Senior secured loans - second lien | 10.5 | % | 10.8 | % | |||
Senior secured bonds | 8.4 | % | 7.0 | % | |||
Senior unsecured debt | 10.7 | % | 11.5 | % | |||
Subordinated debt | 8.8 | % | 8.5 | % | |||
Total debt portfolio | 8.8 | % | 8.2 | % |
(1) |
Percent is calculated as a percentage of the par value of debt |
Duration is a measure of a debt |
Percent is calculated as a percentage of the fair value of |
Weighted average effective yield by investment type is calculated as the effective yield of each investment and weighted by its amortized cost as compared to the aggregate amortized cost of all investments of that investment type. Effective yield is the return earned on an investment net of any discount, premium or issuance costs. |
(5) | The total |
All of our floating interest rate debt investments have base interest rate reset frequencies of twelve months or less, with the majority resetting at least quarterly. LIBOR ranged between 1.23%5.21% for the 1-month1 Month LIBOR to 1.33%5.76% for the 3-month6 Month LIBOR on SeptemberJune 30, 2017.2023. Base interest rate resets for floating interest rate debt investments will only result in increases in interest income when the base interest rate exceeds the associated interest rate floor (
The following table presents the maturity schedule of our debt investments, excluding unfunded commitments, based on their principal amount as of SeptemberJune 30, 20172023 and December 31, 2016 (dollars in thousands):2022:
June 30, 2023 | December 31, 2022 | |||||||||||||||
Maturity Year | Principal Amount | Percentage of Portfolio | Principal Amount | Percentage of Portfolio | ||||||||||||
2023 | $ | 8,364 | 22.6 | % | $ | 8,386 | 15.7 | % | ||||||||
2024 | 596 | 1.6 | 1,853 | 3.5 | ||||||||||||
2025 | 9,951 | 27.0 | 21,025 | 39.5 | ||||||||||||
2026 | 18,007 | 48.8 | 21,985 | 41.3 | ||||||||||||
Total | $ | 36,918 | 100.0 | % | $ | 53,249 | 100.0 | % |
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September 30, 2017 | December 31, 2016 | |||||||||||||
Maturity Year | Principal Amount | Percentage of Portfolio | Principal Amount | Percentage of Portfolio | ||||||||||
2017 | $ | — | — | % | $ | 1,450 | 0.5 | % | ||||||
2018 | — | — | 1,240 | 0.4 | ||||||||||
2019 | 9,625 | 2.5 | 7,654 | 2.8 | ||||||||||
2020 | 23,903 | 6.2 | 23,606 | 8.5 | ||||||||||
2021 | 39,594 | 10.2 | 66,021 | 23.7 | ||||||||||
2022 | 101,436 | 26.2 | 106,021 | 38.1 | ||||||||||
2023 | 149,358 | 38.6 | 62,183 | 22.3 | ||||||||||
2024 | 47,588 | 12.3 | 10,310 | 3.7 | ||||||||||
2025 | 15,000 | 3.9 | — | — | ||||||||||
2036 | 337 | 0.1 | — | — | ||||||||||
Total | $ | 386,841 | 100.0 | % | $ | 278,485 | 100.0 | % |
Results of Operations
Operating results for the three and ninesix months ended SeptemberJune 30, 20172023 and SeptemberJune 30, 20162022 were as follows (dollars in thousands):
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Total investment income | $ | 8,331 | $ | 3,707 | $ | 22,248 | $ | 7,375 | ||||||||
Total expenses | 4,469 | 2,624 | 12,912 | 5,991 | ||||||||||||
Net investment income | 3,862 | 1,083 | 9,336 | 1,384 | ||||||||||||
Net realized gains | 76 | 467 | 1,876 | 474 | ||||||||||||
Net change in unrealized appreciation | 880 | 4,131 | 1,096 | 5,391 | ||||||||||||
Net increase in net assets resulting from operations | $ | 4,818 | $ | 5,681 | $ | 12,308 | $ | 7,249 |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Total investment income | $ | 833 | $ | 2,119 | $ | 1,754 | $ | 5,274 | ||||||||
Total expenses | 562 | 1,140 | 1,114 | 2,243 | ||||||||||||
Net investment income | 271 | 979 | 640 | 3,031 | ||||||||||||
Net realized gain (losses) | (409 | ) | 1,011 | (408 | ) | 1,481 | ||||||||||
Net change in unrealized depreciation | (103 | ) | (3,904 | ) | (71 | ) | (3,933 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | $ | (241 | ) | $ | (1,914 | ) | $ | 161 | $ | 579 |
Investment Income
Interest and dividend income consisted of the following components for the three and ninesix months ended SeptemberJune 30, 20172023 and SeptemberJune 30, 2016 (dollars2022:
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Interest income on debt securities: | ||||||||||||||||
Cash interest | $ | 779 | $ | 1,990 | $ | 1,624 | $ | 4,176 | ||||||||
PIK interest | 7 | 25 | 15 | 104 | ||||||||||||
Net accretion/amortization of discounts/premiums | 45 | 101 | 96 | 261 | ||||||||||||
Total interest on debt securities | 831 | 2,116 | 1,735 | 4,541 | ||||||||||||
PIK dividend | — | — | — | 179 | ||||||||||||
Fee income | 2 | — | 19 | — | ||||||||||||
Total interest and dividend income | $ | 833 | $ | 2,116 | $ | 1,754 | $ | 4,720 | ||||||||
Average Investments at cost | $ | 39,349 | $ | 98,425 | $ | 39,766 | $ | 104,684 | ||||||||
Average Income Generating Investments at cost (1) | $ | 33,241 | $ | 96,496 | $ | 34,552 | $ | 102,643 | ||||||||
Income return (2) | 2.50 | % | 2.19 | % | 5.02 | % | 4.60 | % |
(1) | Income Generating Investments pertains to investments with stated interest rate or preferred returns and includes investments on non-accrual. |
(2) | Income return is calculated using the total interest and dividend income over the average income generating investments at cost for the period presented. |
The decrease in thousands):
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Interest income on debt securities: | ||||||||||||||||
Cash interest | $ | 7,815 | $ | 3,301 | $ | 20,467 | $ | 6,724 | ||||||||
PIK interest | 169 | — | $ | 169 | — | |||||||||||
Net accretion/amortization of discounts/premiums | 334 | 202 | 941 | 393 | ||||||||||||
Total interest on debt securities | $ | 8,318 | $ | 3,503 | $ | 21,577 | $ | 7,117 | ||||||||
Dividend income | — | — | — | 37 | ||||||||||||
Fee income | 13 | 204 | 671 | 221 | ||||||||||||
Total investment income | $ | 8,331 | $ | 3,707 | $ | 22,248 | $ | 7,375 |
Our fee income is comprised of the following fee classifications and is considered nonrecurringnon-recurring income (dollars in thousands):for the three and six months ended June 30, 2023 and June 30, 2022:
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Administrative agency fees | $ | 2 | $ | 3 | $ | 5 | $ | 6 | ||||||||
Amendment fees and other | — | — | 14 | 549 | ||||||||||||
Total fee income | $ | 2 | $ | 3 | $ | 19 | $ | 555 |
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Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Capital structuring fees | $ | — | $ | 157 | $ | 315 | $ | 157 | ||||||||
Amendment/consent fees | — | 16 | 195 | 31 | ||||||||||||
Commitment fees/other | 13 | 31 | 161 | 33 | ||||||||||||
Total fee income | $ | 13 | $ | 204 | $ | 671 | $ | 221 |
Operating Expenses
Our operating expenses can be categorized into fixed operating expenses, variable operating expenses and performance dependentperformance-dependent expenses. Fixed operating expenses are generally static period over period. Variable expenses are calculated based on fund metrics such as total assets, total net assets or total borrowings. Performance dependentPerformance-dependent expenses fluctuate independent of our size. Our period over period change in operating expenses is driven primarily by an increase in our variable expenses, as a result of an increase in our total assets and total borrowings, and our performance dependent expenses. Changes in our performance dependent expenses were driven by an overall change in net realized and unrealized gains.
The table below shows a breakdown of our operating expenses for the three and ninesix months ended SeptemberJune 30, 20172023 and SeptemberJune 30, 2016 (dollars2022:
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Fixed operating expenses: | ||||||||||||||||
Related party reimbursements (1) | $ | 95 | $ | 169 | $ | 197 | $ | 229 | ||||||||
Trustees fees | 73 | 71 | 141 | 141 | ||||||||||||
Professional services fees (2) | 97 | 193 | 158 | 384 | ||||||||||||
Other expenses | 67 | 73 | 136 | 144 | ||||||||||||
Total fixed operating expenses | 332 | 506 | 632 | 898 | ||||||||||||
Variable operating expenses: | ||||||||||||||||
Administrative services (3) | 35 | 40 | 22 | 82 | ||||||||||||
Management fee | 186 | 572 | 441 | 1,220 | ||||||||||||
Custody services | 9 | 22 | 19 | 43 | ||||||||||||
Total variable operating expenses | 230 | 634 | 482 | 1,345 | ||||||||||||
Total expenses before incentive fee waiver and advisor transition costs reimbursement | $ | 562 | $ | 1,140 | $ | 1,114 | $ | 2,243 |
(1) | Related party reimbursements increased due to an increase in resource allocation to Master Fund. |
(2) | Professional services fees includes the expenses for third party service providers such as internal and independent auditors, tax return preparer and tax consultant, third-party investment valuers, and fund legal counsel. |
(3) | Administrative services fees include the expenses for third party service providers such as fund accountant, fund sub-administrator, and independent pricing vendors. |
The decrease in thousands):
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Fixed operating expenses: | ||||||||||||||||
Related party reimbursements | $ | 105 | $ | 98 | $ | 328 | $ | 286 | ||||||||
Trustees fees | 112 | 101 | 372 | 264 | ||||||||||||
Professional services fees (1) | 229 | 253 | 765 | 812 | ||||||||||||
Insurance | 36 | 35 | 106 | 107 | ||||||||||||
Other expenses | 29 | 21 | 85 | 52 | ||||||||||||
Total fixed operating expenses | 511 | 508 | 1,656 | 1,521 | ||||||||||||
Variable operating expenses: | ||||||||||||||||
Interest expense | 1,703 | 998 | 4,807 | 1,928 | ||||||||||||
Administrative services (2) | 44 | 32 | 141 | 82 | ||||||||||||
Investment advisory fee | 1,986 | 1,025 | 5,620 | 2,142 | ||||||||||||
Custody services | 24 | 18 | 68 | 47 | ||||||||||||
Organizational expenses | — | — | — | 228 | ||||||||||||
Total variable operating expenses | 3,757 | 2,073 | 10,636 | 4,427 | ||||||||||||
Performance dependent expenses: | ||||||||||||||||
Performance-based incentive fee | 201 | 43 | 620 | 43 | ||||||||||||
Total performance dependent expenses | 201 | 43 | 620 | 43 | ||||||||||||
Total operating expenses | $ | 4,469 | $ | 2,624 | $ | 12,912 | $ | 5,991 |
The decrease in total expenses for the six months ended June 30, 2023 compared to the six months ended June 30, 2022 was primarily due to the decrease in professional service fees and management fees. For the six months ended June 30, 2023 and June 30, 2022, there were no borrowing costs.
41
Net Realized Gains (Losses)
For the three months ended June 30, 2023, we had dispositions and principal repayments of $30.0$5.3 million, resulting in net realized losses of 0.5 million. For the six months ended June 30, 2023, we had dispositions and principal repayments of $16.7 million, resulting in net realized losses of 0.4 million. For the three and six months ended June 30, 2023, we had realized losses from our foreign currency forward contracts of $10.0 thousand and and a realized gain of $101.0 thousand, respectively, primarily due the movement of the U.S. dollar against the British pound.
For the three months ended June 30, 2022, we had dispositions and principal repayments of $13.9 million, resulting in net realized gains of $0.5$0.8 million. For the ninesix months ended SeptemberJune 30, 2017,2022, we had dispositions and principal repayments of $106.1$31.2 million, resulting in net realized gains of $3.0 million.
For the three and ninesix months ended SeptemberJune 30, 20172023 and SeptemberJune 30, 2016,2022, the components of total realized gains (losses) were comprised of the following (dollars in thousands):
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investments | $ | 491 | $ | 467 | $ | 3,021 | $ | 474 | ||||||||
Foreign currency forward contract | (410 | ) | — | (1,029 | ) | — | ||||||||||
Foreign currency transactions | (5 | ) | — | (116 | ) | — | ||||||||||
Net realized gains | $ | 76 | $ | 467 | $ | 1,876 | $ | 474 |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investments | $ | (450 | ) | $ | 834 | $ | (524 | ) | $ | 1,463 | ||||||
Foreign currency forward contracts | (10 | ) | 178 | 101 | 53 | |||||||||||
Foreign currency transactions | 51 | (1 | ) | 15 | (35 | ) | ||||||||||
Net realized gains (losses) | $ | (409 | ) | $ | 1,011 | $ | (408 | ) | $ | 1,481 |
Changes in Unrealized Appreciation and Depreciation
For the three and ninesix months ended SeptemberJune 30, 20172023 and SeptemberJune 30, 2016,2022, the components of total net changeschange in unrealized appreciation and depreciation(depreciation) were comprised of the following (dollars in thousands):following:
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investments | $ | (104 | ) | $ | (3,928 | ) | $ | 2 | $ | (4,209 | ) | |||||
Foreign currency forward contracts | 5 | 25 | (73 | ) | 279 | |||||||||||
Foreign currency transactions | (4 | ) | (1 | ) | — | (3 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | $ | (103 | ) | $ | (3,904 | ) | $ | (71 | ) | $ | (3,933 | ) |
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Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investments | $ | 1,097 | $ | 4,131 | $ | 1,473 | $ | 5,391 | ||||||||
Foreign currency forward contract | (217 | ) | — | (377 | ) | — | ||||||||||
Net change in unrealized appreciation | $ | 880 | $ | 4,131 | $ | 1,096 | $ | 5,391 |
For the three and ninesix months ended SeptemberJune 30, 20172023 and SeptemberJune 30, 2016,2022, the components of total net changeschange in unrealized appreciation and depreciation on (i) all investments and (ii) investments classified as Level 3 in the valuation hierarchy were comprised of the following (dollars in thousands):
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Unrealized appreciation on all investments (1) | $ | 567 | $ | 474 | $ | 5,748 | $ | 2,281 | ||||||||
Unrealized depreciation on all investments (1) | (671 | ) | (4,402 | ) | (5,746 | ) | (6,490 | ) | ||||||||
Total net change in unrealized appreciation (depreciation) on all investments | $ | (104 | ) | $ | (3,928 | ) | $ | 2 | $ | (4,209 | ) | |||||
Unrealized appreciation on Level 3 investments only (1) | $ | 57 | $ | 474 | $ | 327 | $ | 2,046 | ||||||||
Unrealized depreciation on Level 3 investments only (1) | (490 | ) | (1,248 | ) | (5,102 | ) | (2,435 | ) | ||||||||
Total net change in unrealized depreciation on Level 3 investments only | $ | (433 | ) | $ | (774 | ) | $ | (4,775 | ) | $ | (389 | ) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Unrealized appreciation on investments (1) | $ | 1,766 | $ | 4,876 | $ | 5,217 | $ | 6,409 | ||||||||
Unrealized depreciation on investments (1) | (669 | ) | (745 | ) | (3,744 | ) | (1,018 | ) | ||||||||
Total net change in unrealized appreciation on investments | $ | 1,097 | $ | 4,131 | $ | 1,473 | $ | 5,391 | ||||||||
Unrealized appreciation on Level 3 investments | $ | 2,178 | $ | 1,768 | $ | 4,607 | $ | 1,194 | ||||||||
Unrealized depreciation on Level 3 investments | (846 | ) | (113 | ) | (1,265 | ) | (783 | ) | ||||||||
Total net change in unrealized appreciation on Level 3 investments | $ | 1,332 | $ | 1,655 | $ | 3,342 | $ | 411 |
(1) |
Annual Investment Returns and Total Returns Since Commencement
Our initial investors, who each invested at $9.00 per share, have seen a cumulative 6.02%38.56% increase in the value of their initial investment, in our Shares, or an annualized return of 2.11%3.89%, assumingassuming reinvestment of distributions.
The table below presents returns for our shareholders for the ninesix months ended SeptemberJune 30, 20172023 and SeptemberJune 30, 2016,2022, and the period from commencement to SeptemberJune 30, 2017.2023. Our performance changes over time and currently may be different than that shown below. Past performance is no guarantee of future results.
Total Investment Return-Net Asset Value(1) | ||||||||||||||||||
For the Six Months Ended June 30, | Since Commencement | |||||||||||||||||
Company | Date Operations Commenced (2) | 2023 | 2022 | Cumulative | Annualized | |||||||||||||
Guggenheim Credit Income Fund | 12/19/2014 | (1.72 | )% | 0.03 | % | 38.56 | % | 3.89 | % |
Total Investment Return-Net Asset Value(1) | ||||||||||||||
Nine Months Ended September 30, | Since Commencement | |||||||||||||
Company | Date Operations Commenced (2) | 2017 | 2016 | Cumulative | Annualized | |||||||||
Guggenheim Credit Income Fund | December 19, 2014 | 5.49 | % | 6.64 | % | 6.02 | % | 2.11 | % |
(1) | Total |
(2) | Commencement of operations represents the date |
43
For the Nine Months Ended September 30, | ||||||||||||||
2017 | 2016 | |||||||||||||
Source of Distribution (1) | Distribution Amount | Percentage | Distribution Amount | Percentage | ||||||||||
Net investment income (before reimbursements) | $ | 8,674 | 83.5 | % | $ | 1,384 | 44.6 | % | ||||||
Book-to-tax differences | (547 | ) | (5.3 | ) | 203 | 6.5 | ||||||||
Short-term capital gains | 1,603 | 15.4 | 473 | 15.2 | ||||||||||
Long-term capital gains | — | — | % | — | — | |||||||||
Reimbursement of advisor transition cost | 662 | 6.4 | % | — | — | |||||||||
Other (2) | — | — | % | 1,046 | 33.7 | % | ||||||||
Total Distributions | $ | 10,392 | 100.0 | % | $ | 3,106 | 100.0 | % |
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Off-Balance Sheet Arrangements
Unfunded Commitments
Unfunded commitments to provide funds to portfolio companies are not recorded inon our consolidated statements of assets and liabilities. Our unfunded commitments may be significant from time to time. Unfunded commitments may expire without being drawn upon and the total commitment amount does not necessarily represent future cash requirements. As of SeptemberJune 30, 2017,2023, we had sixteenfour unfunded commitments totaling $0.5 million as compared to six unfunded commitments totaling $8.5 million as compared to eight unfunded commitments totaling $11.7$0.6 million as of December 31, 2016. See
Financial Condition, Liquidity and Capital Resources
Our primary sources of cash and cash equivalents may include: (i) the incremental sale of our Shares to affiliated Feeder Funds,feeder funds, (ii) incremental borrowings under various financing arrangements, (iii) cash flows from interest, dividends and transaction fees earned from investment in portfolio companies and (iv) principal repayments and sale proceeds from our investments. As of April 28, 2017, GCIF 2016T closed its public offering and therefore additional capital contributions from this Feeder Fund will be limited to excess capital from its distribution reinvestment program, if any. Effective August 23, 2017, in connection with the transition of the Master Fund's investment advisory functions to Guggenheim, management determined to temporarily suspend GCIF-I's public offering of its Common Shares. GCIF-I will continue to issue its Common Shares to its existing shareholders through its Distribution Reinvestment Plan. GCIF-I is expected to recommence its public offering of Common Shares following shareholder approval of the Master Fund’s new advisory agreement with Guggenheim. Therefore, our ability to raise equity capital through our affiliated Feeder Funds is dependent on the lifting of the temporary suspension at GCIF-I and the launch of additional Feeder Funds.
Our primary uses of cash and cash equivalents may include:include: (i) investments in portfolio companies, (ii) payments of operating expenses, (iii) interest payments on, and repayment of, borrowings, (iv) cash distributions to our shareholders and (v) periodic repurchases of our Shares pursuant to our quarterly share repurchase program.
Liquidity
Operating liquidity is our ability to meet our short term liquidity needs. The following table presents our operating liquidity position as of June 30, 2023 and December 31, 2022:
As of | ||||||||
June 30, 2023 | December 31, 2022 | |||||||
Cash and cash equivalents | $ | 4,405 | $ | 8,956 | ||||
Principal receivable | 13 | 11,499 | ||||||
Unfunded investment commitments | (463 | ) | (625 | ) | ||||
Other net working capital (1) | (98 | ) | (118 | ) | ||||
Total operational liquidity | $ | 3,857 | $ | 19,712 |
(1) | Other net working capital is the sum of collateral deposits/payable for foreign currency forward contracts, interest and dividend income receivable and receivable from related parties less accrued management fee, payable to related parties, distributions payable, and accounts payable, accrued expenses and other liabilities. |
44
Capital Resources
We may from time to time enter into additional credit facilities and borrowing arrangements to increase the amount of our borrowings as our equity capital foundation increases. Accordingly, we cannot predict with certainty what terms any such financing would have or the costs we would incur in connection with any such financing arrangements. We are currently required to maintain a minimum asset coverage ratio (total assets-to-senior securities) of 200% under the 1940 Act.
The table below summarizes certain financing obligations and Feeder Fund liquidity targets that are expected to have an impact on our liquidity and cash flow in specified future interval periods (dollars in thousands):
June 30, 2023 | ||||||||||||||||||||
Total | < 1 year | 1-3 years | 3-5 years | > 5 years | ||||||||||||||||
Liquidation of Feeder Funds’ Investments: | ||||||||||||||||||||
GCIF 2016T (1) | $ | 22,696 | $ | 22,696 | $ | — | $ | — | $ | — | ||||||||||
GCIF 2019 (1) | 6,713 | — | — | 6,713 | — | |||||||||||||||
Total Liquidation of Feeder Funds’ Investments | $ | 29,409 | $ | 22,696 | $ | — | $ | 6,713 | $ | — |
September 30, 2017 | ||||||||||||||||||||
Total | < 1 year | 1-3 years | 3-5 years | > 5 years | ||||||||||||||||
Financings-Hamilton Credit Facility: | ||||||||||||||||||||
Debt - principal | $ | 150,000 | $ | — | $ | 150,000 | $ | — | $ | — | ||||||||||
Interest on borrowings (1) (2) | 13,349 | 6,038 | 7,311 | — | — | |||||||||||||||
Unused fee commitment | 307 | 254 | 53 | — | — | |||||||||||||||
Total - Financings | $ | 163,656 | $ | 6,292 | $ | 157,364 | $ | — | $ | — | ||||||||||
Feeder Fund Liquidity: | ||||||||||||||||||||
GCIF 2016T (3) | $ | 161,126 | $ | — | $ | — | $ | 161,126 | $ | — | ||||||||||
GCIF-I (3) | 40,717 | — | — | — | 40,717 | |||||||||||||||
Total Feeder Fund Liquidity | $ | 201,843 | $ | — | $ | — | $ | 161,126 | $ | 40,717 |
(1) |
The Feeder Fund investment liquidity amounts are based on the net asset value of each Feeder |
As of SeptemberJune 30, 2017,2023, GCIF 2016T owned 64.6%66.7% of our outstanding Common Shares and GCIF-IGCIF 2019 owned 16.3%19.7% of our outstanding Common Shares. The two initial investors accounted for the remaining 19.1%13.6% of our outstanding Common Shares.
Critical Accounting Policies
Valuation of Investments
Our investments consist primarily of investments in senior and subordinated debt of private middle market U.S. companies and are presented in our unaudited consolidated financial statements at fair value. See
We utilize valuation techniques that use unobservable inputs and assumptions in determining the fair value of our investments classified as Level 3 within the valuation hierarchy. For senior debt and subordinated debt classified as Level 3 fair value investments, we initially value the investment at its initial transaction price and subsequently value the investment using (i) market data for similar instruments (
e.g., recent transactions or indicative broker quotes) and/or (ii) valuation models. Valuation models are based on EBITDA multiples to determine enterprise value and debt multiple ratios where the key inputs are based on relative value analysis of similar credit investments issued by similar portfolio companies. The valuation techniques used by us45
We and our Board of Trustees conduct our fair value determination process on a quarterly basis and any other time when a material decision regarding the fair value of our portfolio investments is required, including in connection with ensuring our compliance with the 1940 Act'sAct’s requirements regarding the price at which we issue our Shares. A determination of fair value involves subjective judgments and estimates. Due to the inherent uncertainty of determining the fair value of portfolio investments that do not have a readily available market value, the fair value of these portfolio investments may differ materially from the values that would have been determined had a readily available market value existed for such investments. Further, such investments are generally less liquid than exchange-traded securities. If we were required to liquidate a portfolio investment that does not have a readily available market value in a forced or liquidation sale, we could realize significantly less than the fair value recorded by us.
The table below presents information on investments classified as Level 3 according to the valuation hierarchy within the investment portfolio on SeptemberJune 30, 20172023 and December 31, 2016 (dollars in thousands):
September 30, 2017 | December 31, 2016 | ||||||
Investments classified as Level 3 fair value | $ | 310,827 | $ | 133,200 | |||
Total fair value of investment portfolio | $ | 381,054 | $ | 275,084 | |||
Total assets | $ | 406,590 | $ | 305,432 | |||
% of investment portfolio classified as Level 3 fair value | 81.6 | % | 48.4 | % | |||
% of total assets classified as Level 3 fair value | 76.4 | % | 43.6 | % |
As of | ||||||||
June 30, 2023 | December 31, 2022 | |||||||
Investments classified as Level 3 fair value | $ | 23,392 | $ | 25,636 | ||||
Total investments at fair value | $ | 29,638 | $ | 40,641 | ||||
Total assets | $ | 34,569 | $ | 62,145 | ||||
Percentage of investment portfolio classified as Level 3 fair value | 78.9 | % | 63.1 | % | ||||
Percentage of total assets classified as Level 3 fair value | 67.7 | % | 41.3 | % |
The ranges of unobservable inputs used in the fair value measurement of our investments classified as Level 3 fair valued as of SeptemberJune 30, 20172023 and December 31, 20162022 are presented in
In addition to impacting the estimated fair value recorded for our investments inon our consolidated statements of assets and liabilities, had we used different key unobservable inputs to determine the estimated fair value of our investments, amounts recorded in our consolidated statements of operations, including the net change in unrealized appreciation and depreciation on investments, investment advisorymanagement and performance-based incentive fees would also be impacted. For instance,The table below outlines the impact on our results of a 5% increase in the fair value of our Level 3 investments as of Septemberfor the periods ended June 30, 2017, assuming all other estimates remain unchanged, would result in a $15.5 million increase in net change in unrealized appreciation on investments, a less than $0.1 million increase in the investment advisory fee payable to Guggenheim, a $3.1 million increase in performance-based incentive fee recorded on the statement of operations, a $12.2 million net increase in net assets resulting from operations, a $0.45 increase in earnings per Common Share,2023 and a $0.42 increase in net asset value per Common Share. Comparatively, a 5% increase in the fair value of our Level 3 investments as of December 31, 2016, assuming all other estimates remain unchanged, would result in a $6.7 million increase in net change in unrealized appreciation on investments, a $0.1 million increase in the investment advisory fee payable to Guggenheim, a $1.3 million increase in performance-based incentive fee recorded on the statement of operations, a $5.2 million net increase in net assets resulting from operations, a $0.42 increase in earnings per Common Share, and a $0.25 increase in net asset value per Common Share.June 30, 2022:
June 30, 2023 | June 30, 2022 | |||||||
Fair Value of Level 3 Investments at Year End | $ | 23,392 | $ | 59,193 | ||||
Fair Value Assuming a 5% Increase in Value | 24,562 | 62,153 | ||||||
Increase in unrealized appreciation | 1,170 | 2,960 | ||||||
Increase in management fees (1) | (10 | ) | (26 | ) | ||||
Increase in performance based incentive fee (2) | (234 | ) | (592 | ) | ||||
Increase in net assets resulting from operations | $ | 926 | $ | 2,342 | ||||
Weighted average Common Shares outstanding (basic and diluted) | 25,594,125 | 25,594,125 | ||||||
Common Shares outstanding at the end of the Year | 25,594,125 | 25,594,125 | ||||||
Increase in earnings per Common Share | $ | 0.04 | $ | 0.09 | ||||
Increase in net asset value per Common Share | $ | 0.04 | $ | 0.09 |
(1) | Increases in management fees for the periods ended June 30, 2023 and June 30, 2022 represent only 12 months’ worth of the change to the Master Fund’s management fees. |
(2) | Increase in performance-based incentive fee is calculated as 20% of the increase in unrealized appreciation. |
46
Investment Advisory Fees
Recent Accounting Standards
Contractual Obligations
We have entered into certain agreements under which we have material future commitments.
The Master Fund is a party to an Investment Advisory Agreement and a Prior Administrative Services Agreement with CCA and,Guggenheim, pursuant to a limited extent,which the Master Fund agreed to pay Guggenheim an Investment Sub-Advisory Agreement with CCA and Guggenheim.investment advisory fee. See
In 2015, Hamilton, a wholly-owned, special purpose financing subsidiary of the Master Fund, initially entered into the Hamilton Credit Facility with JPMorgan Chase Bank, National Association, as administrative agent, each of the lenders from time to time party thereto, and U.S. Bank National Association, as collateral agent, collateral administrator and securities intermediary. TheOn June 29, 2018, the Hamilton Credit Facility provides for delayed-draw borrowings in an aggregate principal amount of $175.0 million on a committed basis duringfacility was amended to extend the initial three years of the four-year credit facility term. As of September 30, 2017 and December 31, 2016, we had borrowed $150.0 million and $126.0 million, respectively, and such amounts are due and payable no later thanterm from December 17, 2019.2019 to December 29, 2022 and to extend the draw-down term from December 17, 2018 to December 29, 2021 among other things. On November 29, 2021, Hamilton repaid in full all outstanding amounts due in connection with, and terminated all commitments under, the Hamilton Credit Facility. See
Related Party Transactions
We have entered into agreements with Guggenheim whereby we agreed to pay certain fees to, and to reimburse certain expenses, of Guggenheim for investment advisory services and investment-related and administrative costs incurred on our behalf. See
Organization and Offering Expenses and Reimbursement Arrangements with Guggenheim
Reimbursement for Guggenheim Administrative Services Expenses
Guggenheim has provided administrative services to the Master Fund since September 11, 2017. We have reimbursed CCA, and in future periods we will reimburse Guggenheim, for their expenses in connection with the provision of administrative services to us. However, such reimbursement will be made at an amount equal to the lower of their actual costs or the amount that we would be required to pay for comparable administrative services in the same geographic location. Also, such costs will be reasonably allocated to us on the basis of assets, revenues, time records or other reasonable allocation methods. We do not reimburse CCA or Guggenheim for rent, depreciation, utilities, capital equipment or other administrative items allocated to controlling persons of CCA and Guggenheim.
Co-Investment Transactions
The Master Fund was granted an SEC issued anexemptive order to grant exemptive relief towhich grants the Master Fund which allows usexemptive relief permitting the Master Fund, subject to co-invest with certainthe satisfaction of our affiliatesspecific conditions and requirements, to co-invest in privately negotiated transactions, including investments originated and directly negotiated by CCA and Guggenheim, subject to a set of conditions and requirements. On September 22, 2017, and due to the CCA's resignation as investment advisor, we and Guggenheim filed a replacement request for SEC exemptive relief to permit co-investmenttransactions with certain Guggenheim affiliates in privately negotiated transactions.
Item 3. Quantitative and Qualitative Disclosures About Market Risk.
Interest Rate Risk
We are subject to financial market risks, including changes in interest rates. As of SeptemberJune 30, 2017, 90.4%2023, 99.9% of our debt investments (98.4% of our total investments), or $344.2$29.2 million measuredmeasured at fair value, are subject to variablefloating interest rates. Our sole credit facility is also subject to changes in its 3 Month LIBOR base interest rate. A rise in the general level of interest rates can be expected to lead to (i) higher interest income from our variablefloating rate debt investments and (ii) value declines for fixed interest rate investments we may hold, and (iii) higher interest expense in connection with our floating rate credit facility. To the extent thathold. Since a majority of our investments may be in variableconsist of floating rate investments, an increase in interest rates could also make it more difficult for borrowers to repay their loans, and a rise in interest rates may also make it easier for Guggenheim to meet or exceed the quarterly threshold for performance basedperformance-based incentive fees as described in
47
The following table presents the approximate annualized increase (decrease) in (i) interest income from our investment portfolio, (ii) annualized interest expense associated with our floating rate credit facility and (iii) the annualized net increase or decrease of interest-related income and expense, directly resulting from hypothetical changes in base interest rates (e.g., LIBOR), assuming no changes in the composition of our investment portfolio and capital structure (in thousands):
Basis Points (bps) Increase | Annualized Interest Income | Annualized Interest Expense | Annualized Net Increase | |||||||||
+ 50 bps | $ | 1,556 | $ | 750 | $ | 806 | ||||||
+100 bps | 3,101 | 1,500 | 1,601 | |||||||||
+150 bps | 4,652 | 2,250 | 2,402 | |||||||||
+200 bps | 6,203 | 3,000 | 3,203 |
Basis Points (bps) Increase | Annualized Interest Income Increase (Decrease) | Annualized Net Increase (Decrease) | Net Increase (Decrease) per Share | |||||||||
-50 bps | $ | — | $ | — | $ | — | ||||||
+50 bps | 98 | 98 | — | |||||||||
+100 bps | 256 | 256 | 0.01 | |||||||||
+150 bps | 419 | 419 | 0.02 | |||||||||
+200 bps | 582 | 582 | 0.02 |
We regularly measure our exposure to interest rate risk. We assess interest rate risk and manage our interest rate exposure on an ongoing basis by comparing our interest rate sensitive assets to our interest rate sensitive liabilities. Based on that review, we determine whether or not any hedging transactions are necessary to mitigate exposure to changes in interest rates.
Item 4. Controls and Procedures.
Evaluation of Disclosure Controls and Procedures
Our disclosure controls and procedures include internal controls and other procedures designed to provide reasonable assurance that information required to be disclosed in this and other reports filed under the Exchange Act, is recorded, processed, summarized and reported within the required time periods specified in the SEC’s rules and forms and that such information is accumulated and communicated to management, including our chief executive officerChief Executive Officer and chief financial officer,Chief Financial Officer, to allow timely decisions regarding required disclosures. It should be noted that no system of controls can provide complete assurance of achieving a company’s objectives and that future events may impact the effectiveness of a system of controls.
Our chief executive officerChief Executive Officer and chief financial officer,Chief Financial Officer, after conducting an evaluation, together with members of our management, of the effectiveness of the design and operation of our disclosure controls and procedures as of SeptemberJune 30, 2017,2023, have concluded that our disclosure controls and procedures, as defined in Rule 13a-15(e) under the Exchange Act, were effective as of SeptemberJune 30, 20172023 at a reasonable level of assurance.
Changes in Internal Control over Financial Reporting
During the most recent fiscal quarter, there was no change in our internal controls over financial reporting, as defined under Rule 13a-15(f) under the Exchange Act, that has materially affected, or is reasonably likely to materially affect, our internal controls over financial reporting.
PART II. OTHER INFORMATION
Item 1. Legal Proceedings.
As of November 1, 2017, neitherAugust 9, 2023, we nor any of our subsidiaries, were not subject to any material legal proceedings, nor, to our knowledge, is any material legal proceeding threatened against us or our subsidiaries.
From time to time, we our subsidiaries, our Advisor or AdministratorGuggenheim may be a party to certain legal proceedings in the ordinary course of, or incidental to the normal course of, our business, including legal proceedings related to the enforcement of our rights under contracts with our portfolio companies. While legal proceedings, lawsuits, claims and regulatory proceedings are subject to many uncertainties and their ultimate outcomes are not predictable with assurance, the results of these proceedings are not expected to have a material adverse effect on our consolidated financial position or results of operations.
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Item 1A. Risk Factors.
In addition to the other information set forth in this Report, you should carefully consider the factors discussed in Part I, “Item 1A. Risk Factors” in our annual report on Form 10-K for the fiscal year ended December 31, 2021, which could materially affect our business, financial condition and/or operating results. The risks described in our annual report on Form 10-K are not the only risks we face. Additional risks and uncertainties are not currently known to us or that we currently deem to be immaterial also may materially adversely affect our business, financial condition and/or operating results. During the six months ended June 30, 2017,2023, other than as set forth below, there have been no material changes from the risk factors set forth in our annual report on Form 10-K dated March 21, 2017.for the year ended December 31, 2022.
Inflation may adversely affect the business, results of operations and financial condition of our portfolio companies.
Certain of our portfolio companies may be impacted by inflation. If such portfolio companies are unable pass any increases in their costs along to their customers, it could adversely affect their results and their ability to impacting their ability to pay interest and principal on our loans. In addition, any projected future decreases in our portfolio companies’ operating results due to inflation could adversely impact the fair value of those investments. Any decreases in the fair value of our investments could result in future unrealized losses and therefore reduce our net assets resulting from operations.
The Company is currently operating in a period of capital markets disruption, significant volatility and economic uncertainty.
The global capital markets are experiencing a period of disruption and instability resulting in increasing spreads between the yields realized on riskier debt securities and those realized on risk-free securities, lack of liquidity in parts of the debt capital markets, significant write-offs in the financial services sector and the re-pricing of credit risk in the broadly syndicated market. Highly disruptive market conditions have resulted in increasing volatility and illiquidity in the global credit, debt and equity markets generally. The duration and ultimate effect of such market conditions cannot be accurately forecasted. Extreme uncertainty regarding economic markets is resulting in declines in the market values of potential investments and declines in the market values of investments after they are made or acquired by the Company and affecting the potential for liquidity events involving such investments or portfolio companies. During periods of market disruption, portfolio companies may be more likely to seek to draw on unfunded commitments the Company has made, and the risk of being unable to fund such commitments is heightened during such periods. Applicable accounting standards require the Company to determine the fair value of its investments as the amount that would be received in an orderly transaction between market participants at the measurement date. While most of the Company’s investments are not publicly traded, as part of the Company’s valuation process the Company considers a number of measures, including comparison to publicly traded securities. As a result, volatility in the public capital markets can adversely affect the Company’s investment valuations.
Various social and political tensions around the world, including public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), may contribute to increased market volatility, may have long-term effects on the worldwide financial markets and may cause further economic uncertainties worldwide. In particular, the consequences of the conflict between Russia and Ukraine, including international sanctions, the potential impact on inflation and increased disruption to supply chains may impact portfolio companies. Such consequences also may increase the Company’s funding cost or limit its access to the capital markets.
A prolonged period of market illiquidity may cause the Company to reduce the volume of loans and debt securities originated and/or fund and adversely affect the value of the Company’s portfolio investments, which could have a material and adverse effect on the Company’s business, financial condition, results of operations and cash flows.
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Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
Period | Total Number of Shares Purchased | Price Paid per Share | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs (1) | ||||
July 1, 2017 to July 31, 2017 | — | — | — | — | ||||
August 1, 2017 to August 31, 2017 | — | — | — | — | ||||
September 1, 2017 to September 30, 2017 | 151,000 | $8.55 | 151,000 | — | ||||
Total | 151,000 | 151,000 | — |
(a) None.
(b) Not applicable.
(c) The Master Fund had implemented a share repurchase program, whereby it conducts tender offers each calendar quarter. In accordance with the Liquidation Plan, the Master Fund’s share repurchase program has been suspended effective March 30, 2021.
Item 3. Defaults Upon Senior Securities.
(a) None.
(b) Not applicable.
Item 5. Other Information.
None.
Item 6. Exhibits.
The exhibits required by this item are set forth in the Exhibit Index attached hereto and are filed or incorporated as part of this Report.
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SIGNATURES
Pursuant to the requirements of Sectionsection 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Guggenheim Credit Income Fund | |||||
Date:August 9, 2023 | /s/ Matthew S. Bloom | ||||
MATTHEW S. BLOOM | |||||
Chief Executive Officer | |||||
(Principal Executive Officer) | |||||
Date:August 9, 2023 | /s/ | ||||
JAMES HOWLEY | |||||
Chief Financial Officer | |||||
(Principal Financial Officer) |
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EXHIBIT INDEX
The following exhibits are filed or incorporated as part of this report.
3.1 | |||
3.2 | |||
3.3 | |||
3.4 | |||
10.1 | |||
10.2 | |||
10.3 | |||
10.4 | |||
10.5 | |||
10.6 | |||
10.7 | |||
10.8 | |||
10.9 | |||
10.10 | |||
10.11 | |||
10.12 |
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31.2 | |||
32 |
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