UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM 10-Q
ýQUARTERLY REPORT PURSUANT TO SECTION 13 OR 15 (d)15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 20172020
OR
¨

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15 (d)15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission file number: 814-01117
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GUGGENHEIM CREDIT INCOME FUND
(Formerly CAREY 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)
Registrant’s telephone number, including area code: (212) 739-0700

Securities registered pursuant to Section 12(b) of the Act:
Title of Each ClassTrading Symbol(s)Name of Each Exchange on Which Registered
NoneN/AN/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. YesýNo¨
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 ¨No ¨
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"large accelerated filer,” “accelerated" "accelerated filer," “smaller"smaller reporting company,”" and "emerging growth company" in Rule 12b-2 of the Exchange Act.
Large accelerated filer¨Accelerated filer¨
Non-accelerated filer
ý  Do not check if smaller reporting company
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
¨

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¨Noý
The number of the Registrant'sregistrant had 27,014,903 common shares outstanding as of November 1, 2017 was 29,151,096.10, 2020.





GUGGENHEIM CREDIT INCOME FUND
INDEX
  PAGEPage
PART I. FINANCIAL INFORMATION
Item 1.
Consolidated Financial Statements (unaudited)(Unaudited)::
Consolidated Statements of Assets and Liabilities as of September 30, 20172020 and December 31, 20162019
3
Consolidated Statements of Operations for the three and nine months ended September 30, 20172020 and 20162019
4
Consolidated Statements of Changes in Net Assets for the nine months ended SeptemberSeptember 30, 20172020 and 20162019
5
Consolidated Statements of Cash Flows for the nine months ended September 30, 20172020 and 20162019
67
Consolidated Schedules of Investments as of September 30, 20172020 and December 31, 20162019
78
Notes to Consolidated Financial Statements (Unaudited)
2029
Item 2.
Management'sManagement’s Discussion and Analysis of Financial Condition and Results of Operations
4151
Item 3.
Quantitative and Qualitative Disclosures About Market Risk
5266
Item 4.
Controls and Procedures
5267
PART II. OTHER INFORMATION
Item 1.
Legal Proceedings
5467
Item 1A.
Risk Factors
5467
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds
5469
Item 3.
Defaults Upon Senior Securities
5470
Item 5.
Other Information
5470
Item 6.
Exhibits
5470
Signatures
5571
Exhibit Index
5672


Forward-Looking Statements

FORWARD-LOOKING STATEMENTS
This Quarterly Report on Form 10-Q, or this Report, includingManagement's Discussion and Analysis of Financial Condition and Results of Operations in Item 2 of Part I of this Report,, contains statements that constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended (the "Securities Act"), and Section 21E of the Securities Exchange Act.Act of 1934, as amended (the "Exchange Act"). These forward-looking statements generally are characterized by the use of terms such as “may,” “should,” “plan,” “anticipate,” “estimate,” “intend,” “predict,” “believe,” “expect,” “will,” “will be,” and “project” or the negative of these terms or other comparable terminology. Although we believe that the expectations reflected in such forward-looking statements are based upon reasonable assumptions, our actual results could differ materially from those set forth in the forward-looking statements. Some factors that might cause such a difference include the following: increased direct competition; changes in government regulations;regulations or accounting rules; changes in local, national and global economic and capital market conditions; our ability to obtain or maintain credit lines or credit facilities on satisfactory terms; changes in interest rates; availability of proceeds from our private offering of common shares; our ability to identify suitable investments and/or to close on identified investments; the performance of our investments; and the ability of borrowers related to our debt investments to make payments under their respective loans. Our actual results could differ materially from those implied or expressed in the forward-looking statements for any reason. You should exercise caution in relying on forward-looking statements as they involve known and unknown risks, uncertainties and other factors that may materially affect our future results, performance, achievements or transactions. Information on factors which could impact actual results and cause them to differ from what is anticipated in the forward-looking statements contained herein is included in this Report as well as in our other filings with the U.S. Securities and Exchange Commission ("SEC"), including but not limited to those described in Part II. Item 1A. Risk Factorsof this Report and in Part I. Item 1A. Risk Factors of our Form 10-K for the fiscal year ended December 31, 2016,2019, that was filed on March 21, 2017.13, 2020. Moreover, because we operate in a very competitive and rapidly changing environment, new risks are likely to emerge from time to time. Given these risks and uncertainties, you are cautioned not to place undue reliance on these forward-looking statements as a prediction of future results, which apply only as of the date of this Report, unless noted otherwise. Except as may be required by federal securities laws and the rules and regulations of the SEC, we do not undertake to revise or update any forward-looking statements. The forward-looking statements should be read in light of the risk factors identified in Part II. Item 1A. Risk Factors of this Report.Report and in Part I. Item 1A. Risk Factors of our Form 10-K for the fiscal year ended December 31, 2019, that was filed on March 13, 2020. The forward-looking statements and projections contained in this Report are excluded from the safe harbor protection provided by Section 27A of the Securities Act and Section 21E of the Exchange Act.
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 Statements (unaudited)(Unaudited).
Unless 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.accompanying consolidated financial statements presented in Part I. Item 1. Consolidated Financial Statements (Unaudited), unless otherwise defined herein. Guggenheim Partners Investment Management, LLC is referred to as "Guggenheim" or the "Advisor" throughout this Report.
2


PART I. FINANCIAL INFORMATION
Item 1. Consolidated Financial Statements (unaudited)(Unaudited)
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
(in thousands, except share and per share amounts)data)
September 30, 2017 December 31, 2016September 30, 2020December 31, 2019
Assets   Assets
Investments at fair value (amortized cost of $377,494 and $272,996, respectively)$381,054
 $275,084
Investments at fair value (amortized cost of $357,037 and $385,802, respectively)Investments at fair value (amortized cost of $357,037 and $385,802, respectively)$329,201 $372,193 
Cash5,556
 6,593
Cash8,099 1,454 
Restricted cash16,317
 19,575
Restricted cash8,634 7,512 
Collateral deposits for foreign currency forward contracts400
 —
Deferred offering costs—
 68
Interest and dividend income receivable2,838
 1,557
Interest and dividend income receivable2,436 2,622 
Principal receivable113
 2,521
Principal receivable1,215 — 
Advisor transition costs reimbursement receivable280
 —
Unrealized appreciation on foreign currency forward contracts9
 —
Prepaid and deferred expenses23
 34
Receivable from related partiesReceivable from related parties30 35 
Unrealized appreciation of foreign currency forward contractsUnrealized appreciation of foreign currency forward contracts12 — 
Prepaid expenses and other assetsPrepaid expenses and other assets175 284 
Total assets$406,590
 $305,432
Total assets$349,802 $384,100 
   
Liabilities   Liabilities
Credit facility payable, net of financing costs$148,865
 $124,505
Credit facility payable, net of financing costs$150,147 $170,862 
Unrealized depreciation on foreign currency forward contractsUnrealized depreciation on foreign currency forward contracts209 87 
Payable for investments purchased4,930
 1,093
Payable for investments purchased729 — 
Accrued investment advisory fee617
 489
Accrued performance-based incentive fee1,156
 536
Unrealized depreciation on foreign currency forward contracts394
 8
Payable to related party25
 33
Trustees fees payable50
 —
Accrued professional services fees537
 436
Accrued advisor transition costs333
 —
Accrued management feeAccrued management fee505 576 
Payable to related partiesPayable to related parties150 195 
Distributions payableDistributions payable1,063 — 
Collateral payable for foreign currency forward contractsCollateral payable for foreign currency forward contracts— 320 
Accounts payable, accrued expenses and other liabilities316
 266
Accounts payable, accrued expenses and other liabilities617 863 
Total liabilities157,223
 127,366
Total liabilities153,420 172,903 
Commitments and contingencies (Note 8. Commitments and Contingencies)
   
Commitments and contingencies (Note 8. Commitments and Contingencies)Commitments and contingencies (Note 8. Commitments and Contingencies)
Net Assets$249,367
 $178,066
Net Assets$196,382 $211,197 
   
Components of Net Assets:   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
Common shares, $0.001 par value, 1,000,000,000 shares authorized, 27,014,903 and 27,157,534 shares issued and outstanding at September 30, 2020 and December 31, 2019, respectivelyCommon shares, $0.001 par value, 1,000,000,000 shares authorized, 27,014,903 and 27,157,534 shares issued and outstanding at September 30, 2020 and December 31, 2019, respectively$27 $27 
Paid-in-capital in excess of par value245,788
 176,411
Paid-in-capital in excess of par value229,065 229,996 
Accumulated distributions in excess of net investment income(1,501) (445)
Accumulated undistributed net realized gain1,876
 —
Net unrealized appreciation3,175
 2,079
Accumulated loss, net of distributions
Accumulated loss, net of distributions
(32,710)(18,826)
Net assets$249,367
 $178,066
Net assets$196,382 $211,197 
Net asset value per Common Share$8.55
 $8.47
Net asset value per Common Share$7.27 $7.78 
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)data)
For the Three Months Ended September 30,For the Nine Months Ended September 30,
2020201920202019
Investment Income
Interest income$6,037 $8,844 $20,123 $25,987 
PIK interest income395 66 930 154 
Dividend income214 244 670 783 
Fee income50 8 282 275 
Total investment income6,696 9,162 22,005 27,199 
Operating Expenses
Interest expense and other financing costs1,255 2,196 4,559 6,465 
Management fee1,549 1,759 4,710 5,171 
Performance-based incentive fee— — — 11 
Administrative services39 50 132 151 
Custody services23 23 72 72 
Trustees fees88 92 262 252 
Related party reimbursements151 203 499 623 
Professional services fees218 214 651 703 
Other expenses67 58 200 183 
Total expenses3,390 4,595 11,085 13,631 
Net investment income3,306 4,567 10,920 13,568 
Realized and unrealized gains (losses):
Net realized gains (losses) on:
Investments454 205 (181)(6,600)
Foreign currency forward contracts(383)752 668 626 
Foreign currency transactions10 (5)171 81 
Net realized gains (losses)81 952 658 (5,893)
Net change in unrealized appreciation (depreciation) on:
Investments6,901 (6,070)(14,227)(285)
Foreign currency forward contracts(605)144 (110)523 
Foreign currency transactions3 — 2 (17)
Net change in unrealized appreciation (depreciation)6,299 (5,926)(14,335)221 
Net realized and unrealized gains (losses)6,380 (4,974)(13,677)(5,672)
Net increase (decrease) in net assets resulting from operations$9,686 $(407)$(2,757)$7,896 
Per Common Share information:
Net investment income per Common Share outstanding - basic and diluted$0.12 $0.16 $0.40 $0.47 
Earnings (loss) per Common Share - basic and diluted$0.36 $(0.01)$(0.10)$0.27 
Weighted average Common Shares outstanding - basic and diluted27,127,699 28,613,345 27,224,991 28,997,077 
Distribution per Common Share$0.13 $0.14 $0.41 $0.47 
 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 income13
 204
 671
 221
Total investment income8,331
 3,707
 22,248
 7,375
Operating expenses       
Interest expense1,703
 998
 4,807
 1,928
Administrative services44
 32
 141
 82
Related party reimbursements105
 98
 328
 286
Investment advisory fee1,986
 1,025
 5,620
 2,142
Performance-based incentive fee201
 43
 620
 43
Custody services24
 18
 68
 47
Trustees fees112
 101
 372
 264
Professional services fees229
 253
 765
 812
Insurance36
 35
 106
 107
Organizational expenses—
 —
 —
 228
Advisor transition costs662
 —
 662
 —
Other expenses29
 21
 85
 52
Total expenses before advisor transition costs reimbursement5,131
 2,624
 13,574
 5,991
Reimbursement of advisor transition costs(662) —
 (662) —
Total expenses4,469
 2,624
 12,912
 5,991
Net investment income3,862
 1,083
 9,336
 1,384
Realized and unrealized gain (loss):       
Net realized gains (losses) on:       
Investments491
 467
 3,021
 474
Foreign currency forward contracts(410) —
 (1,029) —
Foreign currency transactions(5) —
 (116) —
Net realized gains76
 467
 1,876
 474
Net change in unrealized appreciation (depreciation) on:       
Investments1,097
 4,131
 1,473
 5,391
Foreign currency forward contracts(217) —
 (377) —
Net change in unrealized appreciation880
 4,131
 1,096
 5,391
Net realized and unrealized gains956
 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

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 SharesPaid-in-Capital in Excess of Par ValueAccumulated Earnings (Loss), net of Distributions
SharesAmountTotal
Balance at December 31, 201927,157,534 $27 $229,996 $(18,826)$211,197 
Operations:
Net investment income— — — 3,999 3,999 
Net realized gains— — — 2,870 2,870 
Net change in unrealized depreciation— — — (36,659)(36,659)
Net decrease in net assets resulting from operations— — — (29,790)(29,790)
Shareholder distributions:
Distributions from earnings— — — (4,066)(4,066)
Net decrease in net assets resulting from shareholder distributions— — — (4,066)(4,066)
Capital share transactions:
Issuance of Common Shares639,552 1 4,999 — 5,000 
Repurchase of Common Shares(718,264)(1)(5,494)— (5,495)
Net decrease in net assets resulting from capital share transactions(78,712)— (495)— (495)
Net decrease for the period(78,712)— (495)(33,856)(34,351)
Balance at March 31, 202027,078,822 $27 $229,501 $(52,682)$176,846 
Operations:
Net investment income— — — 3,615 3,615 
Net realized losses— — — (2,293)(2,293)
Net change in unrealized appreciation— — — 16,025 16,025 
Net increase in net assets resulting from operations— — — 17,347 17,347 
Shareholder distributions:
Distributions from earnings— — — (3,624)(3,624)
Net decrease in net assets resulting from shareholder distributions— — — (3,624)(3,624)
Capital share transactions:
Repurchase of Common Shares(267,193)— (1)(1,838)— (1,838)
Net decrease in net assets resulting from capital share transactions(267,193)— (1,838)— (1,838)
Net increase (decrease) for the period(267,193)— (1,838)13,723 11,885 
Balance at June 30, 202026,811,629 $27 $227,663 $(38,959)$188,731 
Operations:
Net investment income— — — 3,306 3,306 
Net realized gains— — — 81 81 
Net change in unrealized appreciation— — — 6,299 6,299 
Net increase in net assets resulting from operations— — — 9,686 9,686 
Shareholder distributions:
Distributions from earnings— — — (3,437)(3,437)
Net decrease in net assets resulting from shareholder distributions— — — (3,437)(3,437)
Capital share transactions:
Issuance of Common Shares430,899 — (1)3,050 — 3,050 
Repurchase of Common Shares(227,625)— (1)(1,648)— (1,648)
Net increase in net assets resulting from capital share transactions203,274 — 1,402 — 1,402 
Net increase for the period203,274 — 1,402 6,249 7,651 
Balance at September 30, 202027,014,903 $27 $229,065 $(32,710)$196,382 
5

 Nine Months Ended September 30,
 2017 2016
Operations   
Net investment income$9,336
 $1,384
Net realized gains1,876
 474
Net change in unrealized appreciation1,096
 5,391
Net increase in net assets resulting from operations12,308
 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 Shares70,676
 88,869
Repurchase of Common Shares(1,291) —
Net increase in net assets resulting from capital share transactions69,385
 88,869
Total increase in net assets71,301
 93,012
Net assets at beginning of period178,066
 46,704
Net assets at end of period$249,367
 $139,716
Capital share activity:   
Common Shares outstanding at the beginning of the period21,016,797
 5,840,060
Common Shares issued from subscriptions8,285,299
 10,980,584
Repurchase of Common Shares outstanding(151,000) —
Common Shares outstanding at the end of the period29,151,096
 16,820,644
Accumulated distributions in excess of net investment income$(1,501) $(1,707)
Common SharesPaid-in-Capital in Excess of Par ValueAccumulated Earnings (Loss), net of Distributions
SharesAmountTotal
Balance at December 31, 201829,195,002 $29 $246,083 $(9,880)$236,232 
Operations:
Net investment income— — — 4,398 4,398 
Net realized losses— — — (866)(866)
Net change in unrealized appreciation— — — 555 555 
Net increase in net assets resulting from operations— — — 4,087 4,087 
Shareholder distributions:
Distributions from earnings— — — (4,717)(4,717)
Net decrease in net assets resulting from shareholder distributions— — — (4,717)(4,717)
Capital share transactions:
Issuance of Common Shares124,070 — (1)1,000 — 1,000 
Repurchase of Common Shares(38,000)— (1)(307)— (307)
Net increase in net assets resulting from capital share transactions86,070 — 693 — 693 
Net increase (decrease) for the period86,070 — 693 (630)63 
Balance at March 31, 201929,281,072 $29 $246,776 $(10,510)$236,295 
Operations:
Net investment income— — — 4,603 4,603 
Net realized losses— — — (5,979)(5,979)
Net change in unrealized appreciation— — — 5,592 5,592 
Net increase in net assets resulting from operations— — — 4,216 4,216 
Shareholder distributions:
Distributions from earnings— — — (5,106)(5,106)
Net decrease in net assets resulting from shareholder distributions— — — (5,106)(5,106)
Capital share transactions:
Repurchase of Common Shares(667,727)— (1)(5,375)— (5,375)
Net decrease in net assets resulting from capital share transactions(667,727)— (5,375)— (5,375)
Net decrease for the period(667,727)— (5,375)(890)(6,265)
Balance at June 30, 201928,613,345 $29 $241,401 $(11,400)$230,030 
Operations:
Net investment income— — — 4,567 4,567 
Net realized gains— — — 952 952 
Net change in unrealized depreciation— — — (5,926)(5,926)
Net decrease in net assets resulting from operations— — — (407)(407)
Shareholder distributions:
Distributions from earnings— — — (3,924)(3,924)
Net decrease in net assets resulting from shareholder distributions— — — (3,924)(3,924)
Net decrease for the period— — — (4,331)(4,331)
Balance at September 30, 201928,613,345 $29 $241,401 $(15,731)$225,699 
_____________________
(1)Amount is less than $1,000.
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 investments51,037
 37,488
Proceeds from paydowns on investments55,061
 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 contracts377
 —
Amortization of deferred financing costs360
 342
(Increase) decrease in operating assets:   
Deferred offering costs68
 —
Interest and dividend income receivable(1,281) (842)
Principal receivable2,408
 23
Advisor transition costs reimbursement receivable(280) —
Prepaid and deferred expenses11
 (119)
Increase (decrease) in operating liabilities:   
Payable for investments purchased3,837
 (4,230)
Accrued investment advisory fee128
 206
Accrued performance-based incentive fee620
 43
Payable to related party(8) 19
Accrued professional services fees101
 212
Trustees fees payable50
 45
Accrued advisor transition costs333
 —
Accounts payable, accrued expenses and other liabilities50
 79
Net cash used in operating activities(86,888) (139,240)
Financing activities   
Issuance of Common Shares70,676
 88,869
Repurchase of Common Shares(1,291) —
Credit facility borrowings24,000
 58,000
Payment of financing costs—
 (219)
Distributions paid(10,392) (3,106)
Net cash provided by financing activities82,993
 143,544
    
Net increase (decrease) in restricted and unrestricted cash(3,895) 4,304
Restricted and unrestricted cash, beginning of period26,168
 9,925
Restricted and unrestricted cash, end of period$22,273
 $14,229
Reconciliation of restricted and unrestricted cash   
Cash5,556
 5,464
Restricted cash16,317
 8,765
Collateral deposits for foreign currency forward contracts400
 —
Total restricted and unrestricted cash$22,273
 $14,229
Supplemental disclosure of cash flow information:   
Cash paid for interest$4,360
 $1,468
For the Nine Months Ended September 30,
20202019
Operating activities
Net increase (decrease) in net assets resulting from operations$(2,757)$7,896 
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:
Capitalized paid-in-kind income(1,411)(719)
Amortization of premium/accretion of discount, net(987)(1,153)
Proceeds from sales of investments18,782 35,509 
Proceeds from paydowns on investments72,676 16,963 
Net receipt of settlement of derivatives4,037 2,881 
Net payment of settlement of derivatives(3,369)(2,255)
Net realized gains on derivatives(668)(626)
Purchases of investments(60,476)(59,264)
Net realized losses on investments181 6,600 
Net change in unrealized depreciation on investments14,227 285 
Net change in unrealized (appreciation) depreciation on foreign currency forward contracts110 (523)
Amortization of deferred financing costs285 284 
(Increase) decrease in operating assets:
Interest and dividend income receivable186 (61)
Principal receivable(1,215)6,852 
Receivable from related parties5 9 
Prepaid expenses and other assets109 160 
Increase (decrease) in operating liabilities:
Payable for investments purchased729 239 
Accrued management fee(71)(12)
Payable to related parties(45)26 
Collateral payable for foreign currency forward contracts(320)— 
Accounts payable, accrued expenses and other liabilities(246)90 
Net cash provided by operating activities39,762 13,181 
Financing activities
Issuance of Common Shares8,050 1,000 
Repurchase of Common Shares(8,981)(5,682)
Credit facility borrowings4,000 22,000 
Credit facility repayments(25,000)(5,000)
Distributions paid(10,064)(16,031)
Net cash used in financing activities(31,995)(3,713)
Net increase in restricted and unrestricted cash7,767 9,468 
Restricted and unrestricted cash, beginning of period8,966 10,302 
Restricted and unrestricted cash, end of period$16,733 $19,770 
Reconciliation of restricted and unrestricted cash
Cash8,099 3,385 
Restricted cash8,634 16,385 
Total restricted and unrestricted cash$16,733 $19,770 
Supplemental disclosure of cash flow information and non-cash financing activities:
Cash paid for interest$4,296 $6,087 
See Unaudited Notes to Consolidated Financial Statements.
7
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)


September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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 - 163.2%
Aerospace & Defense
Arcline FM Holdings LLC(15)Senior Secured Loans - First LienL+6.00%7.00%1/21/20254,342 $4,253 $4,265 2.1 %
Arcline FM Holdings LLC(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A1/21/2025— (55)(47)— %
4,198 4,218 2.1 %
National Technical Systems(15)Senior Secured Loans - First LienL+6.00%7.00%6/12/20213,388 3,382 3,329 1.7 %
Total Aerospace & Defense7,580 7,547 3.8 %
Automotive
Accuride CorporationSenior Secured Loans - First LienL+5.25%6.25%11/17/202311,550 11,324 9,066 4.6 %
American Tire Distributors Inc.Senior Secured Loans - First LienL+7.50%8.50%8/30/20242,948 2,690 2,533 1.3 %
BBB IndustriesSenior Secured Loans - First LienL+4.50%5.58%8/1/20251,960 1,946 1,819 0.9 %
EnTrans International, LLC(13)Senior Secured Loans - First LienL+6.00%6.16%11/1/20247,440 6,279 6,622 3.4 %
Mavis Tire Express Services Corp. (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A3/20/2023— (14)(13)— %
Mavis Tire Express Services Corp. (Delayed Draw)Senior Secured Loans - First LienL+3.25%3.47%3/20/20253,615 3,602 3,441 1.8 %
3,588 3,428 1.8 %
Wesco Group(15)Senior Secured Loans - First LienL+4.25%5.33%6/14/20241,238 1,227 1,234 0.6 %
Total Automotive27,054 24,702 12.6 %
Banking, Finance, Insurance & Real Estate
Gladman Developments Ltd.UK(10)(11)(14)(15)Senior Secured Loans - First LienG+9.50%9.57%8/16/2024£2,470 3,104 3,082 1.5 %
Gladman Developments Ltd. (Delayed Draw)UK(9)(10)(11)(13)(14)(15)Senior Secured Loans - First LienG+9.50%9.57%8/16/2024£784 1,004 954 0.5 %
4,108 4,036 2.0 %
Hunt Companies, Inc.(11)Senior Secured BondsN/A6.25%2/15/20262,000 2,000 1,920 1.0 %
JZ Capital Partners Ltd.UK(10)(11)(15)Senior Secured Loans - First LienL+5.75%6.75%6/14/2021375 372 371 0.2 %
Total Banking, Finance, Insurance & Real Estate6,480 6,327 3.2 %
Beverage, Food & Tobacco
Addo Foods GroupUK(10)(11)(14)(15)Senior Secured Loans - First LienG+8.00%9.00%4/19/2024£9,995 12,266 12,718 6.5 %
Blue Ribbon LLCSenior Secured Loans - First LienL+4.00%5.00%11/15/20212,762 2,365 2,573 1.3 %
Checkers Holdings Inc(13)Senior Secured Loans - First LienL+4.25%5.25%4/25/20241,136 730 737 0.4 %
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)


September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
CTI Foods Holdings Co., LLC (First Out)(14)(15)Senior Secured Loans - First LienL+7.00%8.00%5/3/20241,977 1,977 1,858 0.9 %
CTI Foods Holdings Co., LLC (Last Out)(13)(14)(15)Senior Secured Loans - First LienL+9.00%10.00%5/3/2024788 788 717 0.4 %
2,765 2,575 1.3 %
Kar Nut Products Co.(15)Senior Secured Loans - First LienL+4.50%5.50%3/31/2023872 868 866 0.4 %
Kar Nut Products Co.(15)Senior Secured Loans - First LienL+4.50%5.50%3/31/2023812 807 807 0.4 %
1,675 1,673 0.8 %
Topps Company(15)Senior Secured Loans - First LienL+5.25%6.50%10/2/20224,950 4,925 4,933 2.5 %
US Foods Inc.(11)(13)(15)Senior Secured Loans - First LienL+3.25%4.25%4/24/20252,963 2,755 2,888 1.5 %
Total Beverage, Food & Tobacco27,481 28,097 14.3 %
Capital Equipment
Cleaver Brooks, Inc.Senior Secured BondsN/A7.88%3/1/20232,000 2,000 1,930 1.0 %
Total Capital Equipment2,000 1,930 1.0 %
Chemicals, Plastics & Rubber
Aceto Chemicals(15)Senior Secured Loans - First LienL+5.75%6.75%4/29/20255,135 5,106 5,108 2.6 %
Aceto Chemicals (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+5.75%6.75%4/29/2025240 161 164 0.1 %
5,267 5,272 2.7 %
Drew Marine Group Inc.(15)Senior Secured Loans - First LienL+4.00%4.40%6/26/2026988 975 976 0.5 %
Ilpea Parent, Inc.IT(10)(11)(15)Senior Secured Loans - First LienL+4.75%5.75%3/2/20235,336 5,299 5,262 2.7 %
Neon Holdings IncSenior Secured BondsN/A10.13%4/1/2026284 280 300 0.1 %
Seal For Life Industries US LLC (Revolver)(9)(11)(13)(15)Senior Secured Loans - First LienL+6.00%7.00%7/24/2024217 152 155 0.1 %
Seal For Life Industries US LLC(11)(15)Senior Secured Loans - First LienL+6.00%7.00%7/23/20256,938 6,819 6,851 3.5 %
6,971 7,006 3.6 %
Total Chemicals, Plastics & Rubber18,792 18,816 9.6 %
Construction & Building
GAL Manufacturing(15)Senior Secured Loans - First LienL+4.25%5.32%6/26/20235,386 5,339 5,362 2.7 %
GAL Manufacturing(15)Senior Secured Loans - Second LienL+8.25%9.32%6/26/20246,000 5,923 5,875 3.0 %
GAL Manufacturing (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+4.25%4.40%6/24/2022173 153 154 0.1 %
11,415 11,391 5.8 %
Springs Window Fashions, LLCSenior Secured Loans - First LienL+4.25%6.05%6/15/2025872 866 841 0.4 %
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)


September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
Springs Window Fashions, LLCSenior Secured Loans - Second LienL+8.50%9.57%6/15/20261,588 1,526 1,369 0.7 %
2,392 2,210 1.1 %
Total Construction & Building13,807 13,601 6.9 %
Consumer Goods: Non-Durable
Diamond (BC) B.V.(15)Senior Secured Loans - First LienL+5.00%6.00%9/6/20244,000 3,900 4,010 2.0 %
Galls LLC(14)(15)Senior Secured Loans - First LienL+6.75%7.25%1/31/20253,743 3,719 3,702 1.9 %
Galls LLC (Delayed Draw B)(14)(15)Senior Secured Loans - First LienL+6.75%7.32%1/31/2025549 545 543 0.3 %
Galls LLC (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+6.25%7.32%1/31/2024327 279 283 0.1 %
4,543 4,528 2.3 %
Pure Fishing, Inc.(13)Senior Secured Loans - First LienL+4.50%4.65%12/19/20253,990 3,549 3,624 1.8 %
Safariland(15)Senior Secured Loans - First LienL+7.25%8.25%11/17/2023116 103 106 0.1 %
Safariland(15)Senior Secured Loans - First LienL+7.25%8.25%11/17/20235,555 5,057 5,049 2.6 %
5,160 5,155 2.7 %
Total Consumer Goods:  Non-Durable17,152 17,317 8.8 %
Consumer Goods: Durable
PlayPower, Inc.Senior Secured Loans - First LienL+5.50%5.81%4/29/20261,246 1,236 1,159 0.6 %
Total Consumer Goods: Durable1,236 1,159 0.6 %
Containers, Packaging & Glass
Bioplan USA, Inc.Senior Secured Loans - First LienL+4.75%5.82%9/23/20214,901 4,779 2,910 1.5 %
Husky Injection Molding Systems Ltd.CN(10)(11)Senior Secured Loans - First LienL+3.00%3.36%3/28/20251,962 1,853 1,860 1.0 %
Pelican Products IncSenior Secured Loans - First LienL+3.50%4.50%5/31/20253,979 3,486 3,817 1.9 %
Resource Label Group LLCSenior Secured Loans - First LienL+4.50%5.50%5/26/20233,394 3,376 3,114 1.6 %
Resource Label Group LLC(15)Senior Secured Loans - Second LienL+8.50%9.50%11/26/20233,000 2,974 2,535 1.3 %
6,350 5,649 2.9 %
Total Containers, Packaging & Glass16,468 14,236 7.3 %
Energy: Oil & Gas
Basic Energy Services Inc(13)(18)Senior Secured BondsN/AN/A10/15/20234,475 2,411 917 0.5 %
Navajo Nation Oil and Gas(15)Senior Secured Loans - First LienL+7.50%9.00%6/14/20222,875 2,861 2,818 1.4 %
Penn Virginia(11)(15)Senior Secured Loans - Second LienL+7.00%8.00%9/29/20223,000 2,970 2,100 1.1 %
10
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%
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)


September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
Permian Production Partners(13)(18)Senior Secured Loans - First LienN/AN/A5/20/20243,800 3,699 285 0.1 %
Total Energy: Oil & Gas11,941 6,120 3.1 %
Healthcare & Pharmaceuticals
Alegeus Technologies LLC(15)Senior Secured Loans - First LienL+8.25%9.25%9/5/20248,000 7,962 7,973 4.0 %
Cambrex CorporationSenior Secured Loans - First LienL+5.00%6.00%11/20/20262,481 2,432 2,494 1.3 %
Total Healthcare & Pharmaceuticals10,394 10,467 5.3 %
Hotel, Gaming & Leisure
ASM GlobalSenior Secured Loans - First LienL+2.50%2.66%1/23/20252,340 2,337 2,050 1.0 %
Golden Nugget(13)Senior Secured Loans - First LienL+12.00%13.00%10/4/202311 11 13 — %
Golden Nugget(13)Senior Secured Loans - First LienL+12.00%13.00%10/4/2023139 133 161 0.1 %
144 174 0.1 %
Playtika Holding(11)Senior Secured Loans - First LienL+6.00%7.00%12/31/20241,203 1,183 1,207 0.6 %
Total Hotel, Gaming & Leisure3,664 3,431 1.7 %
Media: Advertising, Printing & Publishing
Boats Group(15)Senior Secured Loans - First LienL+5.75%6.75%5/17/20245,679 5,626 5,595 2.8 %
Boats Group (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A9/12/2022— (42)(29)— %
5,584 5,566 2.8 %
Houghton Mifflin Harcourt Publishers, Inc.(11)Senior Secured Loans - First LienL+6.25%7.25%11/19/20242,406 2,310 2,202 1.1 %
McGraw-Hill Global Education HoldingsSenior Secured Loans - First LienL+4.00%5.00%5/4/20221,875 1,867 1,576 0.8 %
McGraw-Hill Global Education Holdings(14)(15)Senior Unsecured DebtN/A11.75%4/20/20222,000 1,977 1,396 0.7 %
McGraw-Hill Global Education Holdings(13)Senior Unsecured DebtN/A7.88%5/15/20241,259 1,229 677 0.4 %
5,073 3,649 1.9 %
Trader Interactive(15)Senior Secured Loans - First LienL+6.50%7.57%6/15/20248,051 8,015 7,664 3.9 %
Trader Interactive (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A6/15/2023— (24)(23)— %
7,991 7,641 3.9 %
Total Media: Advertising, Printing & Publishing20,958 19,058 9.7 %
Metals & Mining
Polyvision Corp.(15)Senior Secured Loans - First LienL+6.50%7.50%2/21/20263,576 3,540 3,416 1.7 %
11
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%
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)


September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
Polyvision Corp.(15)Senior Secured Loans - First LienL+6.50%7.50%2/21/20261,007 997 962 0.5 %
Polyvision Corp.(9)(15)Senior Secured Loans - First LienL+6.50%7.52%2/21/2026139 139 118 0.1 %
Polyvision Corp.(9)(13)(15)Senior Secured Loans - First LienL+6.50%7.50%8/21/2025223 154 161 0.1 %
Total Metals & Mining4,830 4,657 2.4 %
Retail
Belk, Inc.Senior Secured Loans - First LienL+6.75%7.75%7/31/20251,036 992 399 0.2 %
Beverages and More, Inc.(13)Senior Secured BondsN/A11.50%6/15/2022900 795 756 0.4 %
Blue Nile, Inc.Senior Secured Loans - First LienL+6.50%7.50%2/17/202310,050 9,911 6,407 3.3 %
Pet Holdings ULCCN(10)(11)(15)Senior Secured Loans - First LienL+5.50%6.50%7/5/20224,307 4,283 3,876 2.0 %
Pet Holdings ULC (Delayed Draw)CN(10)(11)(15)Senior Secured Loans - First LienL+5.50%6.50%7/5/2022486 486 437 0.2 %
4,769 4,313 2.2 %
Save-a-Lot(13)(14)Senior Secured Loans - First LienL+8.00%8.00%3/12/2024891 805 891 0.4 %
Save-a-Lot(13)(14)(15)Senior Secured Loans - Second LienL+11.75%11.75%10/1/20241,072 2,070 976 0.5 %
2,875 1,867 0.9 %
Total Retail19,342 13,742 7.0 %
Services: Business
24-7 IntouchCN(10)(11)(15)Senior Secured Loans - First LienL+4.75%4.91%8/25/20253,920 3,713 3,666 1.9 %
Alexander Mann Solutions (GBP Term Loan)UK(10)(11)(13)Senior Secured Loans - First LienG+5.00%5.73%6/16/2025£2,060 2,560 2,252 1.1 %
Alexander Mann Solutions (USD Term Loan)UK(10)(11)(13)Senior Secured Loans - First LienL+5.50%6.65%6/16/2025890 854 755 0.4 %
Alexander Mann Solutions (Revolver)UK(9)(10)(11)(13)(15)(17)Senior Secured Loans - First LienN/AN/A12/16/2024— (39)(68)— %
3,375 2,939 1.5 %
Capstone Logistics, LLCSenior Secured Loans - First LienL+4.50%5.57%10/7/20214,7504,737 4,695 2.4 %
Cast & Crew PayrollSenior Secured Loans - First LienL+3.75%3.90%1/16/20262,8972,532 2,781 1.4 %
HealthChannels, Inc.Senior Secured Loans - First LienL+4.50%4.69%4/3/20252,8352,789 2,608 1.3 %
Hersha Hospitality Management(15)Senior Secured Loans - First LienL+4.75%5.75%3/2/20264,2644,179 3,838 2.0 %
Hersha Hospitality Management (Delayed Draw)(9)(15)(17)Senior Secured Loans - First LienL+4.75%5.75%3/2/202643 8 (129)(0.1)%
4,187 3,709 1.9 %
Park Place TechnologiesSenior Secured Loans - First LienL+4.00%5.00%3/29/20252,6522,643 2,628 1.3 %
12
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%
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)


September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
Park Place Technologies(15)Senior Secured Loans - Second LienL+8.00%9.00%3/29/20263,4043,385 3,233 1.7 %
6,028 5,861 3.0 %
PSI Services LLC(9)(13)(15)Senior Secured Loans - First LienL+5.75%6.75%10/4/2025104104 73 — %
PSI Services LLC(9)(15)(17)Senior Secured Loans - First LienN/AN/A10/4/2026— — (3)— %
PSI Services LLC(15)Senior Secured Loans - First LienL+5.75%6.75%10/4/2026426426 420 0.2 %
PSI Services LLC(15)Senior Secured Loans - First LienL+5.75%6.75%10/16/20262,8442,810 2,805 1.4 %
3,340 3,295 1.6 %
SLR Consulting(11)(15)Senior Secured Loans - First LienL+4.00%4.98%6/23/20251,5881,557 1,555 0.8 %
SLR Consulting (Delayed Draw)(11)(15)Senior Secured Loans - First LienL+4.00%5.50%5/23/2025494 512 506 0.2 %
2,069 2,061 1.0 %
Teneo Holdings LLCSenior Secured Loans - First LienL+5.25%6.25%7/12/20253,9603,794 3,836 2.0 %
YAK Access, LLCSenior Secured Loans - Second LienL+10.00%10.30%7/10/20265,0004,714 3,683 1.9 %
Total Services: Business41,278 39,134 19.9 %
Technology
Acquia Inc.(13)(15)Senior Secured Loans - First LienL+7.00%8.00%10/31/20251,789 1,754 1,771 0.9 %
Acquia Inc.(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A10/31/2025— (4)(22)— %
1,750 1,749 0.9 %
Advicent Solutions(14)(15)Senior Secured Loans - First LienL+8.95%9.95%2/28/20227,266 7,214 4,710 2.4 %
Advicent Solutions(9)(13)(14)(15)Senior Secured Loans - First LienP+5.25%8.50%2/28/202214 14 12 — %
Advicent Solutions(14)(15)Senior Secured Loans - First LienL+3.50%4.50%2/28/20221,650 1,642 1,642 0.8 %
8,870 6,364 3.2 %
Alfresco Software(15)Senior Secured Loans - First LienL+8.00%9.00%9/9/20243,2623,207 3,305 1.7 %
Allvue Systems (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A9/6/2024— (13)(10)— %
Allvue Systems (Term Loan)(15)Senior Secured Loans - First LienL+4.00%4.15%9/4/2026862860 854 0.4 %
847 844 0.4 %
Apptio, Inc.(15)Senior Secured Loans - First LienL+7.25%8.25%1/10/20254,9004,848 4,862 2.5 %
Apptio, Inc. (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A12/3/2024— (30)(29)— %
4,818 4,833 2.5 %
13
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)%
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
Causeway TechnologiesUK(10)(11)(15)Senior Secured Loans - First LienG+6.25%6.41%6/8/2024£2,638 3,348 3,368 1.7 %
Causeway TechnologiesUK(10)(11)(15)Senior Secured Loans - First LienG+6.25%7.68%6/8/2024£338 426 436 0.2 %
3,774 3,804 1.9 %
Cologix HoldingsSenior Secured Loans - First LienL+3.75%4.75%3/20/20242,000 1,942 1,961 1.0 %
Cvent, Inc.Senior Secured Loans - First LienL+3.75%3.91%11/29/20241,480 1,465 1,346 0.7 %
Datix Bidco Limited(15)Senior Secured Loans - First LienL+4.50%5.36%4/28/20251,931 1,904 1,918 1.0 %
Datix Bidco Limited(15)Senior Secured Loans - Second LienL+7.75%8.61%4/27/2026462 454 458 0.2 %
Datix Bidco Limited(15)Senior Secured Loans - First LienL+4.50%5.36%4/28/20253,048 3,013 3,028 1.5 %
Datix Bidco Limited(15)Senior Secured Loans - Second LienL+7.75%8.61%4/27/20264,696 4,639 4,661 2.4 %
10,010 10,065 5.1 %
Kerridge Commercial Systems (USD Term Loan)UK(10)(11)(14)(15)Senior Secured Loans - First LienL+6.25%6.75%1/25/2024637 627 633 0.3 %
Kerridge Commercial Systems (GBP Term Loan)UK(10)(11)(14)(15)Senior Secured Loans - First LienG+6.25%6.75%1/25/2024£530 733 680 0.3 %
Kerridge Commercial Systems (Euro Delayed Draw)UK(10)(11)(14)(15)Senior Secured Loans - First LienE+6.25%6.75%1/25/2024€97 118 113 0.1 %
Kerridge Commercial Systems (GBP Delayed Draw)UK(10)(11)(14)(15)Senior Secured Loans - First LienG+6.25%6.75%1/25/2024£326 423 418 0.2 %
Kerridge Commercial Systems (Bidco) Limited(11)(14)(15)Senior Secured Loans - First LienL+6.25%6.75%1/25/20242,211 2,178 2,199 1.1 %
Kerridge Commercial Systems (Bidco) LimitedUK(10)(11)(14)(15)Senior Secured Loans - First LienE+6.25%6.75%1/25/2024€289 317 337 0.2 %
Kerridge Commercial Systems (Bidco) LimitedUK(10)(11)(15)Senior Secured Loans - First LienN/A6.75%1/22/2024661 706 770 0.4 %
5,102 5,150 2.6 %
Lytx, Inc.(9)(15)(16)Senior Secured Loans - First LienL+6.00%7.00%2/27/2026511 490 483 0.2 %
Lytx, Inc.(15)(16)Senior Secured Loans - First LienL+6.00%7.00%2/27/20265,873 5,776 5,794 3.0 %
6,266 6,277 3.2 %
Ministry Brands(15)Senior Secured Loans - First LienL+4.00%5.00%12/2/2022946 942 899 0.5 %
Ministry Brands (Delayed Draw)(15)Senior Secured Loans - First LienL+4.00%5.00%12/2/2022503 502 478 0.2 %
Ministry Brands (Delayed Draw)(15)Senior Secured Loans - First LienL+4.00%5.00%12/2/2022183 182 173 0.1 %
1,626 1,550 0.8 %
14
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
Onyx CenterSource(15)Senior Secured Loans - First LienL+6.25%7.25%12/20/20216,616 6,607 4,962 2.6 %
Onyx CenterSource (Revolver)(13)(15)Senior Secured Loans - First LienL+6.75%7.25%12/20/2021329 319 247 0.1 %
6,926 5,209 2.7 %
Planview, Inc.(15)Senior Secured Loans - First LienL+5.25%6.25%1/27/20236,105 6,076 6,081 3.1 %
Planview, Inc.(15)Senior Secured Loans - First LienL+5.25%6.25%1/27/2023388 388 386 0.2 %
6,464 6,467 3.3 %
Velocity Holdings US(15)Senior Secured Loans - First LienL+7.00%8.00%12/12/20235,386 5,312 5,315 2.7 %
Velocity Holdings US(15)Senior Secured Loans - First LienL+7.00%8.00%12/12/20231,137 1,112 1,122 0.6 %
Velocity Holdings US (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+7.00%8.00%12/12/2022277 248 252 0.1 %
6,672 6,689 3.4 %
Wide Orbit, Inc.(15)Senior Secured Loans - First LienL+8.50%9.75%7/8/20253,698 3,657 3,657 1.9 %
Wide Orbit, Inc. (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A7/8/2025— — (35)— %
3,657 3,622 1.9 %
Wind River Systems(15)Senior Secured Loans - First LienL+6.75%7.75%6/24/20245,407 5,323 5,352 2.7 %
Total Technology78,719 74,587 38.0 %
Telecommunications
Firstlight FiberSenior Secured Loans - First LienL+3.50%3.66%7/23/20252,214 2,205 2,133 1.1 %
Firstlight Fiber(15)Senior Secured Loans - Second LienL+7.50%7.66%7/23/20262,500 2,477 2,188 1.1 %
4,682 4,321 2.2 %
Total Telecommunications4,682 4,321 2.2 %
Transportation: Consumer
Delta Airlines(11)Senior Secured Loans - First LienL+4.75%5.75%5/1/2023100 97 100 0.1 %
Total Transportation: Consumer97 100 0.1 %
Utilities: Electric
BHI Energy(15)Senior Secured Loans - Second LienL+8.75%9.75%2/28/20256,000 5,918 5,880 3.0 %
Total Utilities:  Electric5,918 5,880 3.0 %
Utilities: Oil & Gas
SeaPort(15)Senior Secured Loans - First LienL+5.50%5.66%10/31/20255,877 5,739 5,289 2.7 %
Total Utilities:  Oil & Gas5,739 5,289 2.7 %
Total Debt Investments$345,612 $320,518 163.2 %
Equity investments - 4.4%
15
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
Banking, Finance, Insurance & Real Estate
Four Springs Capital Trust (Preferred Equity)(11)(13)(14)(15)Equity and OtherN/A16.50%268,142 $5,314 $5,363 2.7 %
Total Banking, Finance, Insurance & Real Estate5,314 5,363 2.7 %
Beverage, Food & Tobacco
Chef's Holdings Inc.(13)(15)(16)Equity and OtherN/AN/A19,540 2,459 1,658 0.8 %
Total Beverage, Food & Tobacco2,459 1,658 0.8 %
Energy: Oil & Gas
Maverick Natural Resources, LLC (Common Equity)(15)(16)Equity and OtherN/AN/A4,625 2,777 578 0.3 %
SandRidge Energy, Inc. (Common Equity)(11)(13)(16)Equity and OtherN/AN/A21,224 448 35 — %
Total Energy: Oil & Gas3,225 613 0.3 %
Retail
Save-a-Lot(13)(15)Equity and OtherN/AN/A53,097 — — — %
Total Retail— — — %
Technology
Alfresco Software (Common Equity)(13)(15)(16)Equity and OtherN/AN/A66,230 166 716 0.4 %
Velocity Holdings US (Class A Units)(13)(15)(16)Equity and OtherN/AN/A231 231 303 0.2 %
Wolfhound Parent Inc. (Warrants)(13)(15)(16)Equity and OtherN/AN/A1,975 30 30 — %
Total Technology427 1,049 0.6 %
Total Equity Investments$11,425 $8,683 4.4 %
Total Investments - 167.6%$357,037 $329,201 167.6 %
September 30, 2020 (in thousands)
Derivative CounterpartySettlement DateAmount PurchasedAmount Sold
Amortized Cost (7) (8)
Fair Value% of Net Assets
Foreign Currency Forward Contracts
JPMorgan Chase Bank10/16/2020$1,244 €1,051 — $12 — %
JPMorgan Chase Bank10/16/2020$24,600 £19,225 — $(209)(0.1)%
$(197)(0.1)%
_______________________
(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 1940 Act; non-controlled/non-affiliated investments are investments that are neither controlled investments nor affiliated investments.
(4)
The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate ("LIBOR" or "LIBO rate"), (denoted as "L") or Prime Rate denoted as "P". Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly, or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR based on each respective credit agreement. Unless otherwise noted the base interest rate floor (e.g. 1.00%) for each floating rate loan indexed to LIBOR exceeded all of the relevant LIBOR indices as of the most recent interest rate reset date. As of September 30, 2017, LIBO rates ranged between 1.23% for 1-month LIBOR to 1.33%(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.
16
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
(3)All investments are non-controlled/non-affiliated investments as defined by the Investment Company Act of 1940 (the "1940 Act"). The provisions of the 1940 Act classify investments based on the level of control that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally presumed to be “non-controlled” when we own 25% or less of the portfolio company’s voting securities and “controlled” when we own more than 25% of the portfolio company’s voting securities. The provisions of the 1940 Act also classify investments further based on the level of ownership that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally deemed as “non-affiliated” when we own less than 5% of a portfolio company’s voting securities and “affiliated” when we own 5% or more of a portfolio company’s voting securities.
(4)The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate ("LIBOR" or "LIBO rate") (denoted as "L"), Euro Interbank Offered Rate ("EURIBOR") (denoted as "E"), British Pound Sterling LIBOR ("GBP LIBOR") (denoted as "G") or Prime Rate (denoted as "P"). Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR, EURIBOR, GBP LIBOR or Prime based on each respective credit agreement. As of September 30, 2020, LIBO rates ranged between 0.15% for 1-month LIBOR to 0.23% for 3-month LIBOR.
(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 September 30, 2020.
(6)Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in U.S. dollars. Equity investments are recorded as number of shares owned.
(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 stock.
(8)As of September 30, 2020, 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 $5.7 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 $31.5 million; the net unrealized depreciation was $25.8 million; the aggregate cost of securities for Federal income tax purposes was $354.8 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 September 30, 2020 (see Note 8. Commitments and Contingencies).
(10)A portfolio company domiciled in a foreign country. The regulatory jurisdiction of security issuance may be a different country than the domicile of the portfolio company.
(11)The investment is not a qualifying asset as defined in Section 55(a) of the 1940 Act. As of September 30, 2020, qualifying assets represented 80% of total assets. Under the 1940 Act we may not acquire any non-qualifying assets unless, at the time the acquisition is made, qualifying assets represent at least 70% of our total assets.
(12)Investment position or portion thereof unsettled as of September 30, 2020.
(13)The investment position, or a portion thereof, was not pledged as collateral supporting the amounts outstanding under our credit facility as of September 30, 2020; (see Note 7. Borrowings).
(14)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.
17
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Coupon RatePIK ComponentCash ComponentPIK Option
Addo Foods GroupG+ 8.00%0.75 %G+7.25%The Portfolio Company may elect PIK up to 0.75%.
Advicent SolutionsL+8.95%0.75 %L+8.20%The Portfolio Company may elect PIK up to 0.75%.
Advicent Solutions (Revolver)P+5.25%0.75 %P+4.50%The Portfolio Company may elect PIK up to 0.75%.
Advicent SolutionsL+3.50%0.75 %L+2.75%The Portfolio Company may elect PIK up to 0.75%.
CTI Foods Holdings Co., LLC (First Out)L+7.00%3.00 %L+4.00%The Portfolio Company may elect PIK up to 3.00%.
CTI Foods Holdings Co., LLC (Last Out)L+9.00%6.00 %L+3.00%The Portfolio Company may elect PIK up to 6.00%.
Four Springs Capital Trust16.50 %16.50 %— %The Portfolio Company may elect PIK up to 16.50%.
Galls LLCL+6.75%0.50 %L+6.25%The Portfolio Company may elect PIK up to 6.75%.
Galls LLC (Delayed Draw)L+6.75%0.50 %L+6.25%The Portfolio Company may elect PIK up to 6.75%.
Gladman Developments Ltd.G+9.50%2.75 %G+6.75%The Portfolio Company may elect PIK up to 2.75%.
Gladman Developments Ltd. (Delayed Draw)G+9.50%2.75 %G+6.75%The Portfolio Company may elect PIK up to 2.75%.
Kerridge Commercial Systems (GBP Term Loan)G+6.25%1.74 %G+4.51%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (USD Term Loan)L+6.25%1.83 %L+4.42%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (GBP Delayed Draw)G+6.25%1.74 %G+4.51%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (Euro Delayed Draw)E+6.25%1.69 %E+4.56%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (Bidco) LimitedL+6.25%1.83 %L+4.42%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (Bidco) LimitedE+6.25%1.69 %E+4.56%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
McGraw-Hill Global Education Holdings11.75 %11.75 %— %The Portfolio Company may elect partial PIK up to 50% of the interest of the period or full PIK of 11.75%.
Save-a-LotL+8.00%7.00 %L+1.00%The Portfolio Company may elect to PIK up to 6.00%.
Save-a-LotL+11.75%10.75 %L+1.00%The Portfolio Company may elect to PIK up to 10.75%.
(15)Investments value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies).
(16)Non-income producing security.
(17)The negative fair value is the result of the unfunded commitment being valued below par. The negative amortized cost is the result of the capitalized discount being greater than the principal amount outstanding on the loan.
(18)Investment was on non-accrual status as of September 30, 2020, meaning that the Master Fund has ceased recognizing interest income on these investments. As of September 30, 2020, debt investments on non-accrual status represented 1.7% and 0.4% of total investments on an amortized cost basis and fair value basis, respectively.

(5)For portfolio companies with multiple interest rate contracts, the interest rate shown is a weighted average current interest rate in effect at September 30, 2017.
(6)Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in thousands of U.S. Dollars. Equity investments are recorded as number of shares owned.
(7)Cost represents amortized cost for debt securities, and cost plus capitalized PIK, if any, for preferred stock; currency amounts are presented in thousands of U.S. Dollars.
(8)
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 September 30, 2017 (see Note 8. Commitments and Contingencies).
(9)The preferred stock investment contains a payment-in-kind ("PIK") provision, whereby the security issuer has the option to pay preferred dividends with the issuance of additional identical securities in the initial three year period after issuance. Since the initial investment date through March 2016, all dividend payments have been paid with the issuance of additional shares of preferred stock. The security issuer ceased paying PIK dividends in April 2016.
(10)A portfolio company domiciled in a foreign country. The regulatory jurisdiction of security issuance may be a different country than the domicile of the portfolio company.
(11)The investment is not a qualifying asset as defined in Section 55(a) of the 1940 Act. As of September 30, 2017, qualifying assets represented 82% of total assets. Under the 1940 Act we may not acquire any non-qualifying assets unless, at the time the acquisition is made, qualifying assets represent at least 70% of our total assets.
(12)Investment position or portion thereof unsettled as of September 30, 2017.
(13)
Security or portion thereof was not pledged as collateral supporting the amounts outstanding under a credit facility as of September 30, 2017; (see Note 7. Borrowings).
(14)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. Unless otherwise noted, interest rate is comprised entirely of PIK.
(15)
Investments value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies).
(16)Investment was on non-accrual status as of September 30, 2017, meaning that the Company has ceased recognizing interest income on this investment. As of September 30, 2017, debt investments on non-accrual status represented 0.8% and 0.8% of total investments on an amortized cost basis and fair value basis, respectively.
(17)Non-income producing security.
(18)The negative fair value is the result of the capitalized discount on the loan or the unfunded commitment being valued below par. The negative amortized cost is the result of the capitalized discount being greater than the principal amount outstanding on the loan.
(19)As of September 30, 2017, 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 $7.0 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 $3.8 million; the net unrealized appreciation was $3.2 million; the aggregate cost of securities for Federal income tax purposes was $377.5 million.
(20)Interest rate is currently composed of 12.5% cash and 0% PIK. The portfolio company may elect PIK up to 1%.
(21)Interest rate is currently composed of 4% cash and 6% PIK. The portfolio company may elect PIK up to 6%.
(22)Interest rate is currently composed of 0% cash and 16% PIK. In year three, the PIK portion of the investment increases to 20%.
Abbreviations:
CN = Canada; UK = United Kingdom; IT = ItalyItaly; IR=Ireland

See Unaudited Notes to Consolidated Financial Statements.
18
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS

December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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 - 170.0%
Aerospace & Defense
National Technical Systems(15)Senior Secured Loans - First LienL+6.25%7.94%6/12/20213,434 $3,420 $3,365 1.6 %
Tronair, Inc(15)Senior Secured Loans - First LienL+4.75%6.66%9/8/20233,880 3,854 3,512 1.7 %
Total Aerospace & Defense7,274 6,877 3.3 %
Automotive
Accuride CorporationSenior Secured Loans - First LienL+5.25%7.35%11/17/202311,640 11,366 9,254 4.4 %
American Tire Distributors Inc.Senior Secured Loans - First LienL+7.50%9.30%8/30/20242,970 2,674 2,666 1.3 %
BBB IndustriesSenior Secured Loans - First LienL+4.50%6.30%8/1/20251,975 1,958 1,928 0.9 %
EnTrans International, LLCSenior Secured Loans - First LienL+6.00%7.80%11/1/20243,700 3,543 3,588 1.7 %
Mavis Tire Express Services Corp.Senior Secured Loans - First LienL+3.25%5.05%3/20/20253,231 3,218 3,158 1.5 %
Mavis Tire Express Services Corp. (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+3.25%5.04%3/20/202328 10 11 — %
Mavis Tire Express Services Corp. (Delayed Draw)(9)Senior Secured Loans - First LienL+3.25%5.05%3/20/202592 92 90 — %
3,320 3,259 1.5 %
Wesco Group(15)Senior Secured Loans - First LienL+4.25%6.36%6/14/20241,247 1,234 1,243 0.6 %
Total Automotive24,095 21,938 10.4 %
Banking, Finance, Insurance & Real Estate
Gladman Developments Ltd.UK(10)(11)(13)(14)(15)Senior Secured Loans - First LienG+9.50%10.30%8/16/2024£2,405 3,007 3,137 1.5 %
Gladman Developments Ltd. (Delayed Draw)UK(9)(10)(11)(13)(14)(15)Senior Secured Loans - First LienG+9.50%10.30%8/16/2024£740 944 954 0.5 %
3,951 4,091 2.0 %
Hunt Companies, Inc.(11)Senior Secured BondsN/A6.25%2/15/20262,000 2,000 1,974 0.9 %
JZ Capital Partners Ltd.UK(10)(11)(13)(15)Senior Secured Loans - First LienL+5.75%7.88%6/14/2021375 370 374 0.2 %
Total Banking, Finance, Insurance & Real Estate6,321 6,439 3.1 %
Beverage, Food & Tobacco
Addo Foods GroupUK(10)(11)(14)(15)Senior Secured Loans - First LienG+8.00%9.00%4/19/2024£9,995 12,232 12,879 6.1 %
CTI Foods Holdings Co., LLC (First Out)(14)(15)Senior Secured Loans - First LienL+7.00%9.26%5/3/20241,962 1,962 1,962 0.9 %
19
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, 2019 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
CTI Foods Holdings Co., LLC (Last Out)(13)(14)(15)Senior Secured Loans - First LienL+9.00%10.91%5/3/2024770 770 731 0.3 %
2,732 2,693 1.2 %
Kar Nut Products Co.(15)Senior Secured Loans - First LienL+4.50%6.20%3/31/2023897 891 891 0.4 %
Kar Nut Products Co.(15)Senior Secured Loans - First LienL+4.50%6.20%3/31/2023833 827 827 0.4 %
1,718 1,718 0.8 %
Topps Company(15)Senior Secured Loans - First LienL+5.25%7.19%10/2/20224,988 4,963 4,981 2.4 %
Total Beverage, Food & Tobacco21,645 22,271 10.5 %
Capital Equipment
Cleaver Brooks, Inc.Senior Secured BondsN/A7.88%3/1/20232,000 2,000 1,995 0.9 %
Total Capital Equipment2,000 1,995 0.9 %
Chemicals, Plastics & Rubber
Aceto Chemicals(15)Senior Secured Loans - First LienL+5.50%7.62%4/29/20255,174 5,142 5,144 2.4 %
Aceto Chemicals (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A4/29/2025— (90)(89)— %
5,052 5,055 2.4 %
Drew Marine Group Inc.(15)Senior Secured Loans - First LienL+4.25%6.19%6/26/2026995 981 981 0.5 %
Ilpea Parent, Inc.IT(10)(11)Senior Secured Loans - First LienL+4.75%6.46%3/2/20235,496 5,447 5,468 2.6 %
Neon Holdings IncSenior Secured BondsN/A10.13%4/1/20261,500 1,475 1,493 0.7 %
Seal For Life Industries US LLC (Revolver)(9)(11)(13)(15)Senior Secured Loans - First LienL+6.00%8.20%7/24/2024260 185 186 0.1 %
Seal For Life Industries US LLC(11)(15)Senior Secured Loans - First LienE+6.00%8.26%7/23/20256,991 6,870 6,889 3.2 %
7,055 7,075 3.3 %
Total Chemicals, Plastics & Rubber20,010 20,072 9.5 %
Construction & Building
GAL Manufacturing(15)Senior Secured Loans - First LienL+4.00%6.20%6/26/20235,428 5,368 5,396 2.5 %
GAL Manufacturing(15)Senior Secured Loans - Second LienL+8.25%10.45%6/26/20246,000 5,910 5,865 2.8 %
GAL Manufacturing (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+4.00%6.09%6/24/2022173 145 146 0.1 %
11,423 11,407 5.4 %
Springs Window Fashions, LLCSenior Secured Loans - First LienL+4.25%5.95%6/15/20251,744 1,730 1,743 0.8 %
20
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, 2019 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
Springs Window Fashions, LLCSenior Secured Loans - Second LienL+8.50%10.20%6/15/20261,756 1,679 1,668 0.8 %
3,409 3,411 1.6 %
Total Construction & Building14,832 14,818 7.0 %
Consumer Goods: Non-Durable
Galls LLC(15)Senior Secured Loans - First LienL+6.25%8.37%1/31/20253,620 3,590 3,591 1.7 %
Galls LLC (Delayed Draw B)(9)(15)Senior Secured Loans - First LienL+6.25%8.25%1/31/2025533 528 528 0.3 %
Galls LLC (Revolver)(9)(13)(15)Senior Secured Loans - First LienP+5.25%10.00%1/31/2024487 430 434 0.2 %
Total Consumer Goods:  Non-Durable4,548 4,553 2.2 %
Consumer Goods: Durable
PlayPower, Inc.Senior Secured Loans - First LienL+5.50%7.30%4/29/20261,294 1,281 1,284 0.6 %
Total Consumer Goods: Durable1,281 1,284 0.6 %
Containers, Packaging & Glass
Bioplan USA, Inc.Senior Secured Loans - First LienL+4.75%6.45%9/23/20215,239 5,010 4,610 2.2 %
Husky Injection Molding Systems Ltd.CN(10)(11)Senior Secured Loans - First LienL+3.00%4.70%3/28/20251,980 1,854 1,952 0.9 %
Resource Label Group LLC(15)Senior Secured Loans - First LienL+4.50%6.60%5/26/20233,449 3,426 3,121 1.5 %
Resource Label Group LLC(15)Senior Secured Loans - Second LienL+8.50%10.60%11/26/20233,000 2,969 2,550 1.2 %
6,395 5,671 2.7 %
Total Containers, Packaging & Glass13,259 12,233 5.8 %
Energy: Oil & Gas
Basic Energy Services Inc(13)Senior Secured BondsN/A10.75%10/15/20232,000 1,985 1,430 0.7 %
Navajo Nation Oil and Gas(15)Senior Secured Loans - First LienL+7.50%9.60%6/14/20223,438 3,415 3,417 1.6 %
Penn Virginia(11)(15)Senior Secured Loans - Second LienL+7.00%8.71%9/29/20223,000 2,961 2,955 1.4 %
Permian Production Partners(15)(18)Senior Secured Loans - First LienN/AN/A5/20/20243,800 3,680 1,805 0.8 %
Total Energy: Oil & Gas12,041 9,607 4.5 %
Healthcare & Pharmaceuticals
Alegeus Technologies LLC(15)Senior Secured Loans - First LienL+6.25%8.28%9/5/20248,000 7,938 7,969 3.8 %
Alltech(13)(15)Senior Unsecured DebtL+10.25%11.95%7/21/202314,375 14,257 14,258 6.8 %
Alltech(13)(15)Senior Unsecured DebtE+10.25%11.25%7/21/2023€601 622 669 0.3 %
14,879 14,927 7.1 %
Cambrex CorporationSenior Secured Loans - First LienL+5.00%6.70%11/20/20262,500 2,450 2,498 1.2 %
Endo Pharmaceuticals Finance Co.IR(10)(11)(13)Senior Unsecured DebtN/A6.00%7/15/20234,965 4,104 3,587 1.7 %
21
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%
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS

December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
WIRB-Copernicus Group(15)Senior Secured Loans - Second LienL+8.25%9.87%8/15/202312,000 11,823 12,120 5.7 %
Total Healthcare & Pharmaceuticals41,194 41,101 19.5 %
Hotel, Gaming & Leisure
ASM GlobalSenior Secured Loans - First LienL+3.00%4.70%1/23/20252,358 2,356 2,371 1.1 %
ASM GlobalSenior Secured Loans - Second LienL+7.00%8.70%1/23/20262,400 2,395 2,428 1.1 %
4,751 4,799 2.2 %
Playtika Holding(11)Senior Secured Loans - First LienL+6.00%7.80%12/31/20242,000 1,960 2,025 1.0 %
Total Hotel, Gaming & Leisure6,711 6,824 3.2 %
Media: Advertising, Printing & Publishing
Boats Group(15)Senior Secured Loans - First LienL+4.25%5.95%5/17/20245,722 5,665 5,722 2.7 %
Boats Group(15)Senior Secured Loans - Second LienL+8.00%9.80%11/18/20243,338 3,306 3,372 1.6 %
Boats Group (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A9/12/2022— (44)(41)— %
8,927 9,053 4.3 %
Houghton Mifflin Harcourt Publishers, Inc.(11)Senior Secured Loans - First LienL+6.25%8.04%11/19/20242,500 2,400 2,500 1.2 %
McGraw-Hill Global Education HoldingsSenior Secured Loans - First LienL+4.00%5.70%5/4/20221,943 1,930 1,863 0.9 %
McGraw-Hill Global Education Holdings(13)(14)(15)Senior Unsecured DebtN/A11.00%4/20/20222,000 1,968 1,871 0.9 %
McGraw-Hill Global Education Holdings(13)Senior Unsecured DebtN/A7.88%5/15/20241,340 1,302 1,152 0.5 %
5,200 4,886 2.3 %
Trader Interactive(15)Senior Secured Loans - First LienL+6.50%8.30%6/15/20248,113 8,070 8,023 3.8 %
Trader Interactive (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A6/15/2023— (31)(30)— %
8,039 7,993 3.8 %
Total Media: Advertising, Printing & Publishing24,566 24,432 11.6 %
Retail
At Home Group(11)(15)Senior Secured Loans - First LienL+3.50%5.43%6/3/2022318 291 278 0.1 %
Belk, Inc.Senior Secured Loans - First LienL+6.75%8.80%12/12/20221,146 1,083 807 0.4 %
Beverages and More, Inc.(13)Senior Secured BondsN/A11.50%6/15/2022900 758 617 0.3 %
Blue Nile, Inc.(15)Senior Secured Loans - First LienL+6.50%8.41%2/17/202310,500 10,316 4,568 2.2 %
Buddys Newco, LLC(13)(15)Senior Secured Loans - First LienL+8.00%10.21%7/10/20243,900 3,827 4,088 1.9 %
22
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%
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS

December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
Pet Holdings ULCCN(10)(11)(15)Senior Secured Loans - First LienL+5.50%7.60%7/5/20224,340 4,306 4,080 1.9 %
Pet Holdings ULC (Delayed Draw)CN(10)(11)(15)Senior Secured Loans - First LienL+5.50%7.60%7/5/2022489 489 460 0.2 %
4,795 4,540 2.1 %
Save-a-Lot(13)Senior Secured Loans - First LienL+6.00%8.10%12/5/20234,064 2,261 1,488 0.7 %
Sears Outlet(11)(13)(15)Senior Secured Loans - First LienL+6.50%8.43%10/23/20232,625 2,575 2,644 1.3 %
Smart & Final Stores LLC(15)Senior Secured Loans - First LienL+6.75%8.55%6/20/20253,980 3,605 3,850 1.8 %
Total Retail29,511 22,880 10.8 %
Services: Business
24-7 IntouchCN(10)(11)Senior Secured Loans - First LienL+4.25%5.95%8/25/20253,950 3,715 3,851 1.8 %
Alexander Mann Solutions (GBP Term Loan)UK(10)(11)(13)Senior Secured Loans - First LienG+5.00%5.71%6/16/2025£2,060 2,546 2,603 1.2 %
Alexander Mann Solutions (USD Term Loan)UK(10)(11)(13)(15)Senior Secured Loans - First LienL+5.50%6.80%6/16/2025890 850 863 0.4 %
Alexander Mann Solutions (Revolver)UK(9)(10)(11)(13)(15)(17)Senior Secured Loans - First LienN/AN/A12/16/2024— (45)(45)— %
3,351 3,421 1.6 %
Capstone Logistics, LLCSenior Secured Loans - First LienL+4.50%6.21%10/7/20214,7554,730 4,687 2.2 %
Clarion (Comet Bidco)UK(10)(11)(13)Senior Secured Loans - First LienL+5.00%7.12%9/30/20245,8815,790 5,779 2.7 %
HealthChannels, Inc.Senior Secured Loans - First LienL+4.50%6.24%4/3/20252,8572,805 2,810 1.3 %
Lifelong Learner Holdings T/L(15)Senior Secured Loans - First LienL+5.75%7.49%10/16/20262,8662,831 2,834 1.4 %
Park Place TechnologiesSenior Secured Loans - First LienL+4.00%5.80%3/29/20252,6722,662 2,663 1.3 %
Park Place TechnologiesSenior Secured Loans - Second LienL+8.00%9.80%3/29/20263,4043,383 3,378 1.6 %
6,045 6,041 2.9 %
PSI Services LLC(9)(13)(15)(17)Senior Secured Loans - First LienL+5.75%7.69%10/4/20253030 (6)— %
PSI Services LLC(9)(15)Senior Secured Loans - First LienN/AN/A10/4/2026— — — — %
PSI Services LLC(9)(15)Senior Secured Loans - First LienL+5.75%7.63%10/4/2026429429 422 0.2 %
459 416 0.2 %
SLR ConsultingUK(10)(11)(15)Senior Secured Loans - First LienL+4.00%5.79%6/23/20251,5881,551 1,554 0.7 %
SLR Consulting (Delayed Draw)UK(10)(11)(13)(15)Senior Secured Loans - First LienL+4.00%5.18%5/23/2025494 512 508 0.3 %
2,063 2,062 1.0 %
23
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) —%

GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS

December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
Teneo Holdings LLCSenior Secured Loans - First LienL+5.25%6.99%7/12/20253,9903,802 3,805 1.8 %
YAK Access, LLCSenior Secured Loans - Second LienL+10.00%11.79%7/10/20265,0004,688 4,409 2.1 %
Total Services: Business40,279 40,115 19.0 %
Technology
Advicent Solutions(15)Senior Secured Loans - First LienL+8.25%10.35%2/28/20226,9836,904 5,795 2.7 %
Alfresco Software(15)Senior Secured Loans - First LienL+8.50%10.64%9/9/20243,2873,223 3,229 1.5 %
Acquia Inc.(13)(15)Senior Secured Loans - First LienL+7.00%8.91%10/31/20251,789 1,754 1,776 0.8 %
Acquia Inc.(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A10/31/2025— (4)(26)— %
1,750 1,750 0.8 %
Allvue Systems (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A9/6/2024— (13)(12)— %
Allvue Systems (Term Loan)(15)Senior Secured Loans - First LienL+4.25%6.36%9/4/2026868866 860 0.4 %
853 848 0.4 %
Apptio, Inc. (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A12/3/2024— (35)(34)— %
Apptio, Inc.(15)Senior Secured Loans - First LienL+7.25%8.96%1/10/20254,9004,841 4,855 2.3 %
4,806 4,821 2.3 %
Causeway TechnologiesUK(10)(11)(15)Senior Secured Loans - First LienG+6.25%7.03%6/8/2024£2,638 3,346 3,450 1.7 %
Causeway TechnologiesUK(10)(11)(15)Senior Secured Loans - First LienG+6.25%7.01%6/8/2024£338 426 447 0.2 %
3,772 3,897 1.9 %
Cologix HoldingsSenior Secured Loans - First LienL+3.75%5.45%3/20/20242,000 1,931 1,990 0.9 %
Cvent, Inc.Senior Secured Loans - First LienL+3.75%5.55%11/29/20241,975 1,952 1,976 0.9 %
Datix Bidco Limited(15)Senior Secured Loans - First LienL+4.50%6.76%4/28/20251,931 1,900 1,916 0.9 %
Datix Bidco Limited(15)Senior Secured Loans - Second LienL+7.75%9.68%4/27/2026462 454 458 0.2 %
Datix Bidco Limited(15)Senior Secured Loans - First LienL+4.50%6.76%4/28/20253,048 3,006 3,025 1.5 %
Datix Bidco Limited(15)Senior Secured Loans - Second LienL+7.75%9.68%4/27/20264,696 4,631 4,656 2.2 %
9,991 10,055 4.8 %
Kerridge Commercial Systems (USD Term Loan)UK(10)(11)(15)Senior Secured Loans - First LienL+4.25%6.35%1/22/2024634 625 630 0.3 %
Kerridge Commercial Systems (GBP Term Loan)UK(10)(11)(13)(15)Senior Secured Loans - First LienG+4.25%5.01%1/22/2024£528 729 695 0.3 %
______________________
24
(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 1940 Act; non-controlled/non-affiliated investments are investments that are neither controlled investments nor affiliated investments.
(4)
The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate ("LIBOR" or "LIBO rate"), (denoted as "L") unless otherwise noted (i.e. PRIME). Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly, or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR based on each respective credit agreement. Unless otherwise noted the base interest rate floor (e.g. 1.00%) for each floating rate loan indexed to LIBOR exceeded all of the relevant LIBOR indices as of the most recent interest rate reset date. As of December 31, 2016, LIBO rates ranged between 0.77% for 1-month LIBOR to 1.32%for 6-month
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
Kerridge Commercial Systems (Euro Delayed Draw)UK(10)(11)(13)(15)Senior Secured Loans - First LienE+4.75%4.75%1/22/2024€97 118 108 0.1 %
Kerridge Commercial Systems (GBP Delayed Draw)UK(10)(11)(13)(15)Senior Secured Loans - First LienG+4.25%5.01%1/22/2024£325 421 427 0.2 %
Kerridge Commercial Systems (Bidco) Limited(11)(13)(15)Senior Secured Loans - First LienL+6.25%8.19%1/22/20242,200 2,167 2,184 1.0 %
4,060 4,044 1.9 %
Lytx, Inc.(15)Senior Secured Loans - First LienL+6.75%8.45%8/31/20236,482 6,379 6,473 3.1 %
Lytx, Inc.(15)Senior Secured Loans - First LienL+6.75%8.45%8/31/20231,453 1,422 1,451 0.7 %
Lytx, Inc. (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A8/31/2022— (25)(25)— %
7,776 7,899 3.8 %
Ministry Brands(15)Senior Secured Loans - First LienL+4.00%5.86%12/2/2022953 948 953 0.5 %
Ministry Brands (Delayed Draw)(15)Senior Secured Loans - First LienL+4.00%5.86%12/2/2022507 505 507 0.2 %
Ministry Brands (Delayed Draw)(15)Senior Secured Loans - First LienL+4.00%5.86%12/2/2022184 184 184 0.1 %
1,637 1,644 0.8 %
Onyx CenterSource(15)Senior Secured Loans - First LienL+6.25%8.36%12/20/20216,652 6,639 6,640 3.1 %
Onyx CenterSource (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A12/20/2021— (16)(16)— %
6,623 6,624 3.1 %
Planview, Inc.(15)Senior Secured Loans - First LienL+5.25%6.95%1/27/20236,152 6,114 6,121 2.9 %
Planview, Inc.(15)Senior Secured Loans - First LienL+5.25%6.95%1/27/2023391 391 389 0.2 %
Planview, Inc.(15)Senior Secured Loans - Second LienL+9.75%11.45%7/27/20234,388 4,330 4,386 2.1 %
10,835 10,896 5.2 %
Velocity Holdings US(15)Senior Secured Loans - First LienL+7.00%8.90%12/12/20235,428 5,335 5,339 2.5 %
Velocity Holdings US(15)Senior Secured Loans - First LienL+7.00%8.90%12/12/20231,145 1,115 1,127 0.6 %
Velocity Holdings US (Revolver)(13)(15)Senior Secured Loans - First LienL+7.00%9.05%12/12/2022462 424 428 0.2 %
6,874 6,894 3.3 %
Wind River Systems(15)Senior Secured Loans - First LienL+6.75%8.45%6/24/20245,534 5,435 5,467 2.6 %
Total Technology78,422 77,829 36.9 %
Telecommunications
25
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
Firstlight FiberSenior Secured Loans - First LienL+3.50%5.20%7/23/20252,231 2,221 2,237 1.0 %
Firstlight FiberSenior Secured Loans - Second LienL+7.50%9.30%7/23/20262,500 2,476 2,481 1.2 %
4,697 4,718 2.2 %
Total Telecommunications4,697 4,718 2.2 %
Transportation: Cargo
Flexi-Van Leasing CorpSenior Secured BondsN/A10.00%2/15/20234,975 4,778 4,714 2.2 %
Total Transportation: Cargo4,778 4,714 2.2 %
Utilities: Electric
BHI Energy(15)Senior Secured Loans - Second LienL+8.75%10.95%2/28/20256,000 5,908 5,925 2.8 %
Moxie Liberty, LLCSenior Secured Loans - First LienL+6.50%8.60%8/21/20202,892 2,878 2,583 1.2 %
Total Utilities:  Electric8,786 8,508 4.0 %
Utilities: Oil & Gas
SeaPort(15)Senior Secured Loans - First LienL+5.50%7.21%10/31/20255,940 5,784 5,881 2.8 %
Total Utilities:  Oil & Gas5,784 5,881 2.8 %
Total Debt Investments$372,034 $359,089 170.0 %
Equity investments - 6.2%
Banking, Finance, Insurance & Real Estate
Four Springs Capital Trust (Preferred Equity)(11)(13)(14)(15)Equity and OtherN/A16.75%237,576 $4,700 $4,752 2.3 %
Total Banking, Finance, Insurance & Real Estate4,700 4,752 2.3 %
Beverage, Food & Tobacco
Chef's Holdings Inc.(13)(15)(16)Equity and OtherN/AN/A19,540 2,459 2,284 1.1 %
Total Beverage, Food & Tobacco2,459 2,284 1.1 %
Energy: Oil & Gas
Maverick Natural Resources, LLC (Common Equity)(15)(16)Equity and OtherN/AN/A4,625 2,777 2,081 1.0 %
SandRidge Energy, Inc. (Common Equity)(11)(13)(16)Equity and OtherN/AN/A21,224 448 90 — %
Total Energy: Oil & Gas3,225 2,171 1.0 %
Technology
Alfresco Software (Common Equity)(13)(15)(16)Equity and OtherN/AN/A66,230 166 203 0.1 %
Lytx, Inc. (Preferred Equity)(13)(14)(15)Equity and OtherN/A14.75%2,958 2,957 3,303 1.6 %
Lytx, Inc. (Warrants)(13)(15)(16)Equity and OtherN/AN/A130 — 81 — %
Velocity Holdings US (Class A Units)(13)(15)(16)Equity and OtherN/AN/A231 231 280 0.1 %
26
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
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
Wolfhound Parent Inc. (Warrants)(13)(15)(16)Equity and OtherN/AN/A1,975 30 30 — %
Total Technology3,384 3,897 1.8 %
Total Equity Investments$13,768 $13,104 6.2 %
Total Investments - 176.2%$385,802 $372,193 176.2 %
December 31, 2019 (in thousands)
Derivative CounterpartySettlement DateAmount PurchasedAmount Sold
Amortized Cost (7) (8)
Fair Value% of Net Assets
Foreign Currency Forward Contracts
JPMorgan Chase Bank1/14/2020€772 $694 — $(7)— %
JPMorgan Chase Bank1/14/2020£24,936 $18,878 — $(80)— %
$(87)— %
_______________________
(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 (the "1940 Act"). The provisions of the 1940 Act classify investments based on the level of control that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally presumed to be “non-controlled” when we own 25% or less of the portfolio company’s voting securities and “controlled” when we own more than 25% of the portfolio company’s voting securities. The provisions of the 1940 Act also classify investments further based on the level of ownership that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally deemed as “non-affiliated” when we own less than 5% of a portfolio company’s voting securities and “affiliated” when we own 5% or more of a portfolio company’s voting securities.
(4)The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate ("LIBOR" or "LIBO rate") (denoted as "L"), Euro Interbank Offered Rate ("EURIBOR") (denoted as "E"), British Pound Sterling LIBOR ("GBP LIBOR") (denoted as "G") or Prime Rate (denoted as "P"). Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR, EURIBOR, GBP LIBOR or Prime based on each respective credit agreement. As of December 31, 2019, LIBO rates ranged between 1.76% for 1-month LIBOR to 1.91% for 3-month LIBOR.
(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, 2019.
(6)Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in U.S. dollars. Equity investments are recorded as number of shares owned.
(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 stock.
(8)As of December 31, 2019, 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 $4.8 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 $17.6 million; the net unrealized depreciation was $12.8 million; the aggregate cost of securities for Federal income tax purposes was $384.9 million.
27
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
(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, 2019 (see Note 8. Commitments and Contingencies).
(10)A portfolio company domiciled in a foreign country. The regulatory jurisdiction of security issuance may be a different country than the domicile of the portfolio company.
(11)The investment is not a qualifying asset as defined in Section 55(a) of the 1940 Act. As of December 31, 2019, qualifying assets represented 79% of total assets. Under the 1940 Act we may not acquire any non-qualifying assets unless, at the time the acquisition is made, qualifying assets represent at least 70% of our total assets.
(12)Investment position or portion thereof unsettled as of December 31, 2019.
(13)The investment position, or a portion thereof, was not pledged as collateral supporting the amounts outstanding under our credit facility as of December 31, 2019; (see Note 7. Borrowings).
(14)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.
Coupon RatePIK ComponentCash ComponentPIK Option
Addo Foods GroupG+ 8.00%0.75 %G+7.25%The Portfolio Company may elect PIK up to 0.75%.
CTI Foods Holdings Co., LLC (First Out)L+7.00%3.00 %L+4.00%The Portfolio Company may elect PIK up to 3.00%.
CTI Foods Holdings Co., LLC (Last Out)L+9.00%6.00 %L+3.00%The Portfolio Company may elect PIK up to 6.00%.
Four Springs Capital Trust16.75 %16.75 %— %The Portfolio Company may elect PIK up to 16.75%.
Gladman Developments Ltd.G+9.50%2.75 %G+6.75%The Portfolio Company may elect PIK up to 2.75%.
Gladman Developments Ltd. (Delayed Draw)G+9.50%2.75 %G+6.75%The Portfolio Company may elect PIK up to 2.75%.
Lytx, Inc.14.75 %14.75 %— %The Portfolio Company may elect PIK up to 14.75%.
McGraw-Hill Global Education Holdings11.00 %11.75 %— %The Portfolio Company may elect partial PIK up to 50% of the interest of the period or full PIK of 11.75%.
(15)Investments value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies).
(16)Non-income producing security.
(17)The negative fair value is the result of the unfunded commitment being valued below par. The negative amortized cost is the result of the capitalized discount being greater than the principal amount outstanding on the loan.
(18)Investment was on non-accrual status as of December 31, 2019, meaning that the Master Fund has ceased recognizing interest income on these investments. As of December 31, 2019, debt investments on non-accrual status represented 1.0% and 0.5% of total investments on an amortized cost basis and fair value basis, respectively.

(5)For portfolio companies with multiple interest rate contracts, the interest rate shown is a weighted average current interest rate in effect at December 31, 2016.
(6)Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in thousands of U.S. Dollars. Equity investments are recorded as number of shares owned.
(7)Cost represents amortized cost for debt securities, and cost plus capitalized PIK, if any, for preferred stock; currency amounts are presented in thousands of U.S. Dollars.    
(8)
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, 2016 (see Note 8. Commitments and Contingencies).
(9)The preferred stock investment contains a PIK provision, whereby the security issuer has the option to pay preferred dividends with the issuance of additional identical securities in the initial three year period after issuance. Since the initial investment date through March 2016, all dividend payments have been paid with the issuance of additional shares of preferred stock. The security issuer ceased paying PIK dividends in April 2016.
(10)A portfolio company domiciled in a foreign country. The regulatory jurisdiction of security issuance may be a different country than the domicile of the portfolio company.
(11)The investment is not a qualifying asset as defined in Section 55(a) of the 1940 Act. As of December 31, 2016, qualifying assets represented 82% of total assets. Under the 1940 Act we may not acquire any non-qualifying assets unless, at the time the acquisition is made, qualifying assets represent at least 70% of our total assets.
(12)Investment position or portion thereof unsettled as of December 31, 2016.
(13)
Security or portion thereof was not pledged as collateral supporting the amounts outstanding under a credit facility as of December 31, 2016; (see Note 7. Borrowings).
(14)The base interest rate on these investments, or a portion thereof, was based on PRIME rate, which as of December 31, 2016 was 3.75%. The current base interest rate for these investments may be different from the reference rate on December 31, 2016.
(15)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. Unless otherwise noted, interest rate is comprised entirely of PIK.
(16)Investment or a portion thereof is denominated in a currency other than U.S. Dollars.
(17)
Investments value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies).
(18)Investment was on non-accrual status as of December 31, 2016, meaning that the Company has ceased recognizing interest income on these investments. As of December 31, 2016, debt investments on non-accrual status represented 1.2% and 1.1% of total investments on an amortized cost basis and fair value basis, respectively.
(19)Non-income producing security.
(20)The negative fair value is the result of the capitalized discount on the loan or the unfunded commitment being valued below par. The negative amortized cost is the result of the capitalized discount being greater than the principal amount outstanding on the loan.
(21)As of December 31, 2016, 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 $4.4 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 $2.3 million; the net unrealized appreciation was $2.1 million, the aggregate cost of securities for Federal income tax purposes was $273.0 million.
(22)Interest rate is currently composed of 12.5% cash and 0% PIK. The portfolio company may elect PIK up to 1%.
(23)Interest rate is currently composed of 4% cash and 6% PIK. The portfolio company may elect PIK up to 6%
Abbreviations:
CN = Canada; UK = United KingdomKingdom; IT = Italy; IR=Ireland
PIK = Payment-In-Kind

See Unaudited Notes to Consolidated Financial StatementsStatements.
Notes to Consolidated Financial Statements (Unaudited)
28

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'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") under the Investment Company Act of 1940, as amended (the "1940 Act"). The Master Fund commenced investment operations on April 2, 2015.
From inception through September 10, 2017, the The Master Fund was externally managed by Carey Credit Advisors, LLCserves as the master fund in a master fund/feeder fund structure. The Master Fund issues its shares ("CCA"Shares" or "Common Shares"), an affiliate to one or more affiliated feeder funds in a continuous series of W. P. Carey Inc. ("WPC"), and private placement transactions.
Guggenheim Partners Investment Management, LLC ("Guggenheim" or the "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.
The Master Fund serves as the master fund in a master/feeder fund structure. The Master Fund issues its Common Shares to one or more affiliated Feeder Funds in a continuous series of private placement transactions.
As of September 30, 2017,2020, the Master Fund had one wholly ownedwholly-owned subsidiary, Hamilton Finance LLC ("Hamilton"), a special purpose financing subsidiary organized for the purpose of arranging secured debt financing, entering into credit agreements and borrowing money to invest in portfolio companies.
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") Accounting Standards Codification ("ASC") Topic 946 — Financial Services — Investment Companies ("ASC 946").
The Master Fund'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"). 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.
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.
Reclassifications
Certain prior period amounts have beenmay be reclassified to conform to the current presentation, with no effect on our financial condition, results of operations or cash flows.
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.
29
Notes to Consolidated Financial Statements (Unaudited)
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.
Notes to Consolidated Financial Statements (Unaudited)

Restricted Cash
Restricted cash consists of cash collateral that has been pledged to cover obligations of the Master Fund according to its derivative contracts and demand deposits held at a major U.S. financial institution on behalf of Hamilton. Hamilton may be restricted in the distribution of cash to the Master Fund, as governed by the terms of the Hamilton Credit Facility (see Note 7. Borrowings). Management believes the credit risk related to its demand deposits is minimal.
Valuation of Investments
The Master Fund measures the value of its investments in accordance with ASC Topic 820 -— Fair Value Measurement (“ASC 820”), issued by the FASB. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Market participants are defined as buyers and sellers in the principal or most advantageous market (which may be a hypothetical market) that are independent, knowledgeable and willing and able to transact. In accordance with ASC 820, the Master Fund considers its principal market to be the market that has the greatest volume and level of activity.
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.
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.
30
Notes to Consolidated Financial Statements (Unaudited)
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, the input of Guggenheim and management, its audit committee and independent third-party valuation firms. The Master Fund and the Board of Trustees conduct their 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 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 amortization ("EBITDA") multiples analysis. Factors include key financial inputs and recent public and private transactions for comparable investments. Key inputs used for the discounted
Notes to Consolidated Financial Statements (Unaudited)

cash flow approach include the weighted average cost of capital and investment terminal values derived from EBITDA multiples. An illiquidity discount may be applied where appropriate.
The 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.
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.
31
Notes to Consolidated Financial Statements (Unaudited)
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”("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's maturity date or call date.
If the portfolio company'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.
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
Notes to Consolidated Financial Statements (Unaudited)

record distributions from equity investments in LLCs and LPs as dividend income unless there are sufficient accumulated tax basis earnings and profits in the LLC or LP prior to the distribution. Distributions that are classified as a return of capital are recorded as a reduction in the cost basis of the investment.
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.
32
Notes to Consolidated Financial Statements (Unaudited)
Foreign Currency Translation, Transactions and Gains/LossesGains (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.
ManagementInvestment 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 Note 6. Related Party Agreements and Transactions. The two components of the performance-based incentive fee will be combined and expensed in the consolidated statements of operations and accrued in the consolidated statements of assets and liabilities as accrued performance-based incentive fee. Pursuant to the terms of the investment advisory agreement,Investment Advisory Agreement, the incentive fee on capital gains is determined and payable in arrears as of the end of each calendar year (or upon termination of the investment advisory agreement)Investment Advisory Agreement) based on the Master Fund’s realized capital gains on a cumulative basis from inception, net of all realized capital losses and unrealized depreciation on a cumulative basis, less the aggregate amount of any previously paid capital gains incentive fees. Although the terms of the investment advisory agreementInvestment Advisory Agreement do not provide for the inclusion of unrealized gains in the calculation of the incentive fee on capital gains, the Master Fund includes unrealized gains in the calculation of the incentive fee on capital gains in accordance with GAAP. Therefore the accrued amount, if any, represents an estimate of the incentive fees that may be payable to Guggenheim if the Master Fund’s entire investment portfolio was liquidated at its fair value as of the date of the consolidated statements of assets and liabilities, even though Guggenheim is not entitled to any incentive fee based on unrealized appreciation unless and until such unrealized appreciation is realized.
Deferred Financing Costs
Deferred financing costs represent fees and other direct incremental costs incurred in connection with the arrangement of the Master Fund'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.
Notes to Consolidated Financial Statements (Unaudited)

Organization and Offering Expenses
Organization expenses are expensed on the Master Fund's consolidated statements of operations. Continuous offering expenses are capitalized on the Master Fund's consolidated statements of assets and liabilities as deferred offering costs and expensed to the Master Fund's consolidated statements of operations over a 12-month period.
Distributions
Distributions to the Master Fund's common shareholders are periodically declared by its Board of Trustees and recognized as a liability on the record date.
Earnings per Common Share
33
Earnings per Common Share is calculated based upon the weighted average number of Common Shares outstanding during the reporting period.
Notes to Consolidated Financial Statements (Unaudited)
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") under Subchapter M of the Internal Revenue Code of 1986, as amended (the "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.
NewThe 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 financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing our tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as a tax benefit or expense in the current year. Penalties or interest, if applicable, that may be assessed relating to income taxes would be classified as other expenses in the statements of operations. Management has reviewed all open tax years and concluded that there is no effect to the Master Funds’ financial positions or results of operations and no tax liability was required to be recorded resulting from unrecognized tax benefits relating to uncertain income tax position taken or expected to be taken on a tax return. During this period, the Master Fund did not incur any material interest or penalties. Open tax years are those years that are open for examination by the relevant income taxing authority. As of September 30, 2020, open U.S. Federal and state income tax years include the tax years ended December 31, 2016 through December 31, 2019. The Master Fund has no examinations in progress. Management’s determinations regarding ASC 740 may be subject to review and adjustment at a later date based upon factors including, but not limited to, an on-going analysis of tax laws, regulations and interpretations thereof.
Recent Accounting StandardsPronouncements
Early Adopted
In November 2016,March 2020, the FASB issued Accounting Standards Update 2016-18, StatementNo. 2020-04, “Reference Rate Reform (Topic 848): Facilitation of Cash Flows (Topic 230): Restricted Cash ("the Effects of Reference Rate Reform on Financial Reporting.” The guidance provides optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2016-18"). ASU 2016-18 requires that the statements of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statements of cash flows. The new guidance2020-04 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017, with early adoption permitted. The Master Fund has elected early adoption of ASU 2016-18all entities as of March 12, 2020 through December 31, 2016 and has applied this standard retroactively to all prior periods presented.
New Standards Under Assessment
In May 2014, the FASB issued Accounting Standards Update 2014-09, Revenue from Contracts with Customers (Topic 606) ("ASU 2014-09"). Under ASU 2014-09, an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. The amendments in ASU 2014-09 are effective for annual reporting periods beginning after December 15, 2017, including interim periods within that reporting period. In March 2016, the FASB issued ASU No. 2016-08, Revenue from Contracts with Customers (Topic 606): Principal versus Agent Considerations, which clarifies the guidance in ASU No. 2014-09 and has the same effective date as the original standard. In April 2016, the FASB issued ASU 2016-10, Revenue from Contracts with Customers (Topic 606): Identifying Performance Obligations and Licensing, an update on identifying performance obligations and accounting for licenses of intellectual property. In May 2016, the FASB issued ASU 2016-12, Revenue from Contracts with Customers (Topic 606): Narrow-Scope Improvements and Practical Expedients, which includes amendments for enhanced clarification of the guidance. In December 2016, the FASB issued ASU 2016-20, Technical Corrections and Improvements to Revenue from Contracts with Customers (Topic 606), the amendments in this update are of a similar nature to the items typically addressed in the technical corrections and improvements project. Additionally, in February 2017, the FASB issued ASU 2017-05, Other Income - Gains and Losses from the Derecognition of Nonfinancial Assets (subtopic 610-20): Clarifying the Scope of Asset Derecognition Guidance and Accounting for Partial Sales of Nonfinancial Assets, an update clarifying that a financial asset is within the scope of Subtopic 610-20 if it is deemed an “in-substance non-financial asset.”2022. The Master Fund is evaluating the potential impact of ASU 2014-09 and it expects any impact by the proposed standard to be limited to capital structuring fees.
In March 2017, the FASB issued ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities ("ASU 2017-08"). ASU 2017-08 requires that when securities are purchased at a premium over their callable price that the premium be amortized overadoption of this guidance will have on the Master Fund’s financial statements.

SEC Disclosure Update and Simplification
In August 2020, the U.S. Securities and Exchange Commission (“SEC”) issued Final Rule Release No. 33-10825 and No.34-89670, collectively referred to as 'Modernization of Regulation S-X Items 101, 103 and 105’. These rules amend certain SEC disclosure requirements to improve disclosure for investors and to simplify compliance for registrants, including new requirements for human capital disclosures and a the periodsummary of time from purchase to the
Notes to Consolidated Financial Statements (Unaudited)

first call date. Historically premiums and discounts have been amortized to the maturity date of a security.risk factors. The new guidance isfinal rules are effective for fiscal years, and interim periods within those fiscal years beginningall filings on or after December 15, 2018, with early adoption permitted.November 9, 2020. The Master Fund has not elected early adoption at this point and is assessingevaluated the potential impact of this guidance.the amendments and determined the effect of the adoption of the simplification rules on the financial statements would mostly affect the Form 10-K.

Note 3. Investments
The following two tables presenttable presents the composition of the investment portfolio at amortized cost and fair value as of September 30, 20172020 and December 31, 2016,2019, respectively, with corresponding percentages of total portfolio investments at fair value (dollars in thousands):value:
34
 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 lien82,667
 83,376
 21.9
Senior secured bonds20,035
 20,909
 5.5
Senior unsecured debt

28,777
 29,218
 7.7%
Total senior debt$359,968
 $365,346
 95.9%
Subordinated debt15,171
 15,261
 4.0
Equity and other2,355
 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 lien43,990
 44,340
 16.1
Senior secured bonds11,405
 11,631
 4.2
Senior unsecured debt12,541
 12,870
 4.7
Total senior debt$250,421
 $254,177
 92.4%
Subordinated debt20,474
 20,628
 7.5
Equity and other2,101
 279
 0.1
Total investments$272,996
 $275,084
 100.0%

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020December 31, 2019
Amortized CostFair ValuePercentage of Investments at Fair ValueAmortized CostFair ValuePercentage of Investments at Fair Value
Senior secured loans - first lien$297,870 $279,664 85.0 %$279,872 $268,678 72.2 %
Senior secured loans - second lien37,050 32,958 10.0 56,913 56,651 15.2 
Senior secured bonds7,486 5,823 1.8 12,996 12,223 3.3 
Senior unsecured debt3,206 2,073 0.6 22,253 21,537 5.8 
Total senior debt$345,612 $320,518 97.4 %$372,034 $359,089 96.5 %
Equity and other11,425 8,683 2.6 13,768 13,104 3.5 
Total investments$357,037 $329,201 100.0 %$385,802 $372,193 100.0 %
The following table presents the composition of the investment portfolio by industry classifications at amortized cost and fair value as of September 30, 20172020 and December 31, 2016,2019, respectively, with corresponding percentages of total portfolio investments at fair value (dollars in thousands):value:
 September 30, 2017 December 31, 2016September 30, 2020December 31, 2019
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		Industry ClassificationAmortized Cost
Fair Value		Percentage of Investments at Fair ValueAmortized Cost
Fair Value		Percentage of Investments at Fair Value
Technology $85,311
 $86,069
 22.6% $54,501
 $55,052
 20.0%Technology$79,146 $75,636 23.0 %$81,806 $81,726 22.0 %
Services: BusinessServices: Business41,278 39,134 11.9 40,279 40,115 10.8 
Beverage, Food & TobaccoBeverage, Food & Tobacco29,940 29,755 9.0 24,104 24,555 6.6 
AutomotiveAutomotive27,054 24,702 7.5 24,095 21,938 5.9 
Media: Advertising, Printing & PublishingMedia: Advertising, Printing & Publishing20,958 19,058 5.8 24,566 24,432 6.6 
Chemicals, Plastics & RubberChemicals, Plastics & Rubber18,792 18,816 5.7 20,010 20,072 5.4 
Consumer goods: Non-durableConsumer goods: Non-durable17,152 17,317 5.3 4,548 4,553 1.2 
Containers, Packaging & GlassContainers, Packaging & Glass16,468 14,236 4.3 13,259 12,233 3.3 
RetailRetail19,342 13,742 4.2 29,511 22,880 6.1 
Construction & Building 41,280
 42,767
 11.2
 20,072
 20,586
 7.5
Construction & Building13,807 13,601 4.1 14,832 14,818 4.0 
Beverage, Food & Tobacco 41,528
 42,023
 11.0
 35,793
 36,055
 13.1
Banking, Finance, Insurance & Real Estate (1)
Banking, Finance, Insurance & Real Estate (1)
11,794 11,690 3.6 11,021 11,191 3.0 
Healthcare & Pharmaceuticals 30,575
 30,917
 8.1
 31,022
 31,099
 11.3
Healthcare & Pharmaceuticals10,394 10,467 3.2 41,194 41,101 11.0 
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
Aerospace & DefenseAerospace & Defense7,580 7,547 2.3 7,274 6,877 1.8 
Energy: Oil & Gas 23,853
 21,829
 5.7
 8,785
 7,031
 2.6
Energy: Oil & Gas15,166 6,733 2.0 15,266 11,778 3.2 
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
Utilities: Electric5,918 5,880 1.8 8,786 8,508 2.3 
Utilities: Oil & GasUtilities: Oil & Gas5,739 5,289 1.6 5,784 5,881 1.6 
Metals & MiningMetals & Mining4,830 4,657 1.4 — — — 
TelecommunicationsTelecommunications4,682 4,321 1.3 4,697 4,718 1.3 
Hotel, Gaming & Leisure 14,860
 15,694
 4.1
 7,760
 8,017
 2.9
Hotel, Gaming & Leisure3,664 3,431 1.0 6,711 6,824 1.8 
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
 —
 —
 —
Capital Equipment2,000 1,930 0.6 2,000 1,995 0.5 
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%
Consumer Goods: DurableConsumer Goods: Durable1,236 1,159 0.4 1,281 1,284 0.3 
Transportation: ConsumerTransportation: Consumer97 100 — — — — 
Transportation: CargoTransportation: Cargo— — — 4,778 4,714 1.3 
Total investmentsTotal investments$357,037 $329,201 100.0 %$385,802 $372,193 100.0 %
______________
(1)Portfolio companies may include insurance brokers that are not classified as insurance companies.
35
Notes to Consolidated Financial Statements (Unaudited)
(1)Portfolio companies included in this classification may include insurance brokers that are not classified as insurance companies.
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 September 30, 20172020 and December 31, 2016.2019.
Geographic DispersionSeptember 30, 2020December 31, 2019
United States of America87.3 %85.5 %
United Kingdom8.1 9.2 
Canada3.0 2.8 
Italy1.6 1.5 
Ireland— 1.0 
   Total investments100.0 %100.0 %
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'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.counterparties and those that it believes have the financial resources to honor their obligations. The foreign currency forward contracts open at the end of the period are generally indicative of the volume of activity during the period.
As of September 30, 2017,The following tables present the Master Fund'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)
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 September 30, 2017 (in thousands):
  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
As of2020 and December 31, 2016, the Master Fund's open foreign currency forward contracts were as follows (in thousands):2019:
September 30, 2020
Foreign CurrencySettlement DateStatement LocationCounterpartyAmount TransactedNotional Value at SettlementNotional Value at Period EndFair Value
EUROctober 16, 2020Unrealized appreciation on foreign currency forward contractsJPMorgan Chase Bank, N.A.€1,051 $1,245 $1,233 $12 
GBPOctober 16, 2020Unrealized depreciation on foreign currency forward contractsJPMorgan Chase Bank, N.A.£19,225 24,600 24,809 (209)
Total$25,845 $26,042 $(197)
December 31, 2019
Foreign CurrencySettlement DateStatement LocationCounterpartyAmount TransactedNotional Value at SettlementNotional Value at Period EndFair Value
EURJanuary 14, 2020Unrealized depreciation on foreign currency forward contractsJPMorgan Chase Bank, N.A.€694 $772 $779 $(7)
GBPJanuary 14, 2020Unrealized depreciation on foreign currency forward contractsJPMorgan Chase Bank, N.A.£18,878 24,936 25,016 (80)
Total$25,708 $25,795 $(87)
36
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)
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
Notes to Consolidated Financial Statements (Unaudited)

The following table below displayspresents the net realized and unrealized gains and losses on derivative instruments recorded by the Master Fund for the three and nine months ended September 30, 2017 (in thousands):
    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) $(1,406)
The Master fund did not engage in hedging activity for the three 2020and nine months ended September 30, 2016.2019:
For the Three Months Ended September 30,For the Nine Months Ended September 30,
Statement Location2020201920202019
Net realized gains (losses)
Foreign currency forward contractsNet realized gains (losses) on foreign currency forward contracts$(383)$752 $668 $626 
Net change in unrealized appreciation (depreciation)
Foreign currency forward contractsNet change in unrealized appreciation (depreciation) on foreign currency forward contracts(605)144 (110)523 
Net realized and unrealized gains (losses) on foreign currency forward contracts$(988)$896 $558 $1,149 
For derivatives traded under an International Swaps and Derivatives Association master agreementMaster Agreement ("ISDA Master 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.
Cash collateral that has been pledged, if any, to cover obligations of the Master Fund and cash collateral received from the counterparty, if any, is reported on the consolidated statementstatements of assets and liabilities either as part of restricted cash or cash collateral due to broker, respectively.deposits (received) for foreign currency forward contracts. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer is required. To the extent amounts due to the Master Fund from a counterparty are not fully collateralized, the Master Fund bears the risk of loss from counterparty non-performance. The Master Fund attempts 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'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 September 30, 2017 (in thousands):2020 and December 31, 2019:
As ofCounterpartyGross Derivative Assets in Statement of Assets and LiabilitiesGross Derivative Liabilities in Statement of Assets and LiabilitiesCollateral PledgedNet position of Derivative Assets, Liabilities and Pledged Collateral
September 30, 2020JP Morgan Chase Bank, N.A.$12 $(209)$— $(197)
December 31, 2019JP Morgan Chase Bank, N.A.$— $(87)$(320)$(407)
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
 $—
(1)Collateral paid to counterparties may be more than the amount shown in the table above, as the table does not present the effects of over-collateralization, if any.

Notes to Consolidated Financial Statements (Unaudited)

Note 5. Fair Value of Financial Instruments
The following two tables present the segmentation of the investment portfolio at fair value, as of September 30, 20172020 and December 31, 2016,2019, according to the fair value hierarchy as described inNote 2. Significant Accounting Policies (dollars in thousands):
September 30, 2017September 30, 2020
Level 1 Level 2 Level 3 TotalLevel 1Level 2Level 3Total
Investments       Investments
Senior secured loans - first lien$—
 $41,756
 $190,087
 $231,843
Senior secured loans - first lien$— $86,896 $192,768 $279,664 
Senior secured loans - second lien—
 19,714
 63,662
 83,376
Senior secured loans - second lien— 5,052 27,906 32,958 
Senior secured bonds—
 —
 20,909
 20,909
Senior secured bonds— 5,823 — 5,823 
Senior unsecured debt—
 $8,323
 $20,895
 $29,218
Senior unsecured debt— 677 1,396 2,073 
Total senior debt—
 $69,793
 $295,553
 $365,346
Total senior debt$— $98,448 $222,070 $320,518 
Subordinated debt—
 —
 15,261
 15,261
Equity and other434
 —
 13
 447
Equity and other35 — 8,648 8,683 
Total investments$434
 $69,793
 $310,827
 $381,054
Total investments$35 $98,448 $230,718 $329,201 
Percentage0.1% 18.3% 81.6% 100.0%Percentage0.0 %29.9 %70.1 %100.0 %
Derivative InstrumentsDerivative Instruments
       
Derivative Instruments       
Foreign currency forward contracts$—
 $(394) $—
 $(394)Foreign currency forward contracts$— $(197)$— $(197)
Foreign currency forward contracts$—
 $9
 $—
 $9
37
 December 31, 2016
 Level 1 Level 2 Level 3 Total
Investments       
Senior secured loans - first lien$—
 $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 other226
 —
 53
 279
Total investments$226
 $141,658
 $133,200
 $275,084
Percentage0.1% 51.5% 48.4% 100.0%
        
Derivative Instruments       
Foreign currency forward contracts$—
 $(8) $—
 $(8)
Notes to Consolidated Financial Statements (Unaudited)

December 31, 2019
Level 1Level 2Level 3Total
Investments
Senior secured loans - first lien$— $80,704 $187,974 $268,678 
Senior secured loans - second lien— 14,364 42,287 56,651 
Senior secured bonds— 12,223 — 12,223 
Senior unsecured debt— 4,739 16,798 21,537 
Total senior debt$— $112,030 $247,059 $359,089 
Equity and other90 — 13,014 13,104 
Total investments$90 $112,030 $260,073 $372,193 
Percentage0.0 %30.1 %69.9 %100.0 %
Derivative Instruments
Foreign currency forward contracts$— $(87)$— $(87)
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 September 30, 2017 (dollars in thousands):2020 and December 31, 2019:
September 30, 2017
September 30, 2020September 30, 2020
Asset CategoryNo. of Investment Positions
Fair
Value
Valuation Techniques (1)
Unobservable Inputs (2)
Weighted Average
Range (3)
Impact to Valuation from an Increase in Input (4)
Asset CategoryFair
Value
Valuation Techniques (1)
Unobservable Inputs (2)
Weighted Average
Range (3)
Impact to Valuation from an Increase in Input (4)
Senior secured loans - first lien36$123,885
Transacted value
Cost (5)
98.50IncreaseSenior secured loans - first lien$159,437 Yield analysisYield7.93%4.23% - 32.59%Decrease
  Transacted valuePrice100Increase$1,642 Transacted valueCost99.50Increase
  Yield analysisYield8.19% 5.92% - 12.44%Decrease$4,710 Transacted valueBid54.28Increase
Senior secured loans - second lien9$47,954
Transacted value
Cost (5)
98.00Increase
  Yield analysisYield10.32% 8.59% - 11.97%Decrease
Senior secured bonds4$17,919
Transacted valuePrice110.00Increase
  Yield analysisYield9.98% 9.94% - 10.00%DecreaseDiscounted cash flowDiscount Rate17.50%Decrease
  Market comparableEBITDA multiple9.3x 9.3xIncreaseDiscounted cash flowPerpetuity Growth Rate(10.00)%Increase
Discounted cash flowTerminal EBITDA Multiple 7.2xIncrease
Senior secured loans - second lienSenior secured loans - second lien$16,874 Yield analysisYield9.00%8.18% - 9.54%Decrease
Senior unsecured debt3$16,745
Yield analysisYield11.57% 9.85% - 16.73%DecreaseSenior unsecured debt$1,396 Yield analysisYield38.37%Decrease
Subordinated debt3$15,261
Transacted value
Cost (5)
100.00Increase
Equity and otherEquity and other$30 Transacted value
Cost(5)
15.36Increase
  Yield analysisYield8.74% 8.52% - 8.75%Decrease$5,363 Market comparableCapitalization Rate7.00%Increase
Equity and other1$13
Transacted value
Cost (5)
$1.00Increase
$578 Market comparableCash Flow Multiple2.6xIncrease
Market comparable
Oil production multiple (6)
13377xIncrease
Market comparable
Oil reserve multiple (7)
5.2xIncrease
$2,677 Discounted cash flowDiscount Rate16.00%13.24% - 17.5%Decrease
Discounted cash flowEBITDA multiple14.9x14.5x - 15.8xIncrease
Discounted cash flowPerpetuity Growth Rate6.00% 5% - 8%Increase
Discounted cash flowTerminal EBITDA Multiple8.2x 5x - 13xIncrease
Total56$221,777
 Total$192,707 
______________
(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 0-100%.
(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 them, including financial performance, recent business developments and various other factors. Investments with fair values determined in this manner were not included in the table above. As of September 30, 2017 the Master Fund had investments of this nature measured at fair value totaling $89.1 million.
(3)A range is not provided when there is only one investment within the classification; weighted average amounts are based on the estimated fair values.
(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)Investments may be valued at cost for a period of time after an acquisition as the best indicator of fair value.
(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 0% to 100%.
38
Notes to Consolidated Financial Statements (Unaudited)
(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 it, including financial performance, recent business developments and various other factors. Investments with fair values determined in this manner were not included in the table above. As of September 30, 2020, the Master Fund had investments of this nature measured at fair value totaling $38.0 million.
(3)A range is not provided when there is only one investment within the classification or multiple investments that have the same unobservable input; weighted average amounts are based on the estimated fair values.
(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)Investments may be valued at cost for a period of time after acquisition as the best indicator of fair value.
(6)Oil production multiple is valued based on thousand barrels of oil equivalent per day (MBOE/d).
(7)Oil reserve multiple is valued based on million barrels of oil equivalent (MMBOE).
December 31, 2019
Asset CategoryFair
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$121,594 Yield analysisYield8.44%4.64% - 12.05%Decrease
$5,722 Transacted valuePotential transaction100.00100.00Increase
$14,656 Yield analysisYield7.88% 6.47% - 8.5%Decrease
Transacted valuePotential transaction101.73100 - 105.57Increase
$5,795 Yield analysisYield20.23%20.23%Decrease
Transacted valueBid61.2761.27Increase
Discounted cash flowDiscount Rate17.50%17.50%Decrease
Discounted cash flowPerpetuity Growth Rate(10.00)%(10.00)%Increase
Discounted cash flowTerminal EBITDA Multiple5.9x 5.9xIncrease
Senior secured loans - second lien$16,904 Yield analysisYield9.91%7.67% - 11.27%Decrease
$15,492 Transacted valuePotential transaction101.00101.00Increase
$4,386 Yield analysisYield11.46%11.46%Decrease
Transacted valuePotential transaction100.00100.00Increase
Senior unsecured debt$16,798 Yield analysisYield12.44%11.53% - 14.33%Decrease
Equity and other$30 Transacted value
Cost (5)
15.3615.36Increase
$3,303 Transacted valuePotential transaction1,116.451,116.45Increase
$4,752 Market comparableCapitalization Rate7.00%7.00%Increase
$81 Discounted cash flowEBITDA multiple16.7x16.7xIncrease
$2,081 Market comparableCash Flow Multiple3.6x3.6xIncrease
Market comparable
Oil production multiple (6)
 19,650x 19,650xIncrease
Market comparable
Oil reserve multiple (7)
6.6x 6.6xIncrease
$2,767 Discounted cash flowDiscount Rate20.01%14.08% - 15%Decrease
Discounted cash flowEBITDA multiple14.5x13.2x - 15.4xIncrease
Discounted cash flowPerpetuity Growth Rate6.74% 5% - 8%Increase
Discounted cash flowTerminal EBITDA Multiple8.2x 7.5x - 13xIncrease
Total$214,361 
_______________
39
Notes to Consolidated Financial Statements (Unaudited)
(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 0% to 100%.
(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 it, including financial performance, recent business developments and various other factors. Investments with fair values determined in this manner were not included in the table above. As of December 31, 2019, the Master Fund had investments of this nature measured at fair value totaling $45.7 million.
(3)A range is not provided when there is only one investment within the classification or multiple investments that have the same unobservable input; weighted average amounts are based on the estimated fair values.
(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)Investments may be valued at cost for a period of time after acquisition as the best indicator of fair value.
(6)Oil production multiple is valued based on thousand barrels of oil equivalent per day (MBOE/d).
(7)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.
Notes to Consolidated Financial Statements (Unaudited)

The following table provides quantitative information related to the significant Level 3 unobservable inputs associated with the determination of fair value for certain investments as of December 31, 2016 (dollars in thousands):
December 31, 2016
Asset CategoryNo. of Investment PositionsFair
Value
Valuation Techniques (1)
Unobservable Inputs (2)
Weighted Average
Range (3)
Impact to Valuation from an Increase in Input (4)
Senior secured loans - first lien22$74,929
Yield analysisYield7.75%6.49% - 10.20%Decrease
   Transacted value
Cost (5)
99.5399.53Increase
   Market comparablesEBITDA multiple16.3x16.3xIncrease
Senior secured loans - second lien4$24,750
Yield analysisYield10.89%10.40% -11.85%Decrease
   Market comparablesEBITDA multiple6.2x6.2xIncrease
Senior secured bonds3$4,909
Yield analysisYield9.72%9.72%Decrease
   Liquidation AnalysisLiquidation valueN/AN/AIncrease
Senior unsecured debt1$5,410
Yield analysisYield12.59%12.59%Decrease
Subordinated debt2$15,142
Transacted value
Cost (5)
98.6798.64-100.00Increase
Equity and other2$53
Transacted value
Cost (5)
1.001.00Increase
   Market and income approachCompany specific risk premium515.60%515.60%Decrease
   Option valuation modelVolatility163.18%163.18%Increase
Total33$125,193
     
______________
(1)For the assets and 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 0-100%.
(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 them, including financial performance, recent business developments and various other factors. Investments with fair values determined in this manner were not included in the table above. As of December 31, 2016 the Master Fund had investments of this nature measured at fair value totaling $8.0 million.
(3)A range is not provided when there is only one investment within the classification; weighted average amounts are based on the estimated fair values.
(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)Investments may be valued at cost for a period of time after an acquisition as the best indicator of fair value.
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 nine months ended September 30, 2017 (dollars in thousands):2020 and September 30, 2019:
For the Three Months Ended September 30, 2020
Senior Secured Loans - First LienSenior Secured Loans - Second LienSenior Unsecured DebtEquity and OtherTotal
Balance as of July 1, 2020$198,457 $27,598 $1,498 $7,621 $235,174 
Additions (1)
5,384 29 — 214 5,627 
Sales and repayments (2)
(7,082)— — — (7,082)
Net realized gains (3)
392 — — — 392 
Net change in unrealized appreciation (depreciation) on investments (4)
434 325 (105)813 1,467 
Net discount accretion132 (46)3 — 89 
Transfers into Level 3 (5)
3,925 — — — 3,925 
Transfers out of Level 3 (6)
(8,874)— — — (8,874)
Fair value balance as of September 30, 2020$192,768 $27,906 $1,396 $8,648 $230,718 
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2020$713 $324 $(105)$813 $1,745 

40
 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 accretion150
 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 accretion372
 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 income if any.
(2)Included in net realized gain (loss) on investments in the consolidated statements of operations.
(3)Included in net change in unrealized appreciation (depreciation) on investments in the consolidated statements of operations.
Notes to Consolidated Financial Statements (Unaudited)

For the Nine Months Ended September 30, 2020
Senior Secured Loans - First LienSenior Secured Loans - Second LienSenior Unsecured DebtEquity and OtherTotal
Balance as of January 1, 2020$187,974 $42,287 $16,798 $13,014 $260,073 
Additions (1)
41,890 2,195 — 615 44,700 
Sales and repayments (2)
(29,019)(19,881)(15,354)(3,375)(67,629)
Net realized gains (3)
13 425 465 417 1,320 
Net change in unrealized depreciation on investments (4)
(9,355)(3,325)(532)(2,023)(15,235)
Net discount accretion467 (75)19 — 411 
Transfers into Level 3 (5)
34,033 10,230 — — 44,263 
Transfers out of Level 3 (6)
(33,235)(3,950)— — (37,185)
Fair value balance as of September 30, 2020$192,768 $27,906 $1,396 $8,648 $230,718 
Change in net unrealized depreciation on investments held as of September 30, 2020$(5,838)$(1,389)$(484)$(1,597)$(9,308)
(4)Includes principal payments/paydowns on debt investments and proceeds from sales of investments.
(5)The Master Fund transfers investments in and out of Level 1, 2 and 3 securities at the value of the investment as of the beginning of the period based on changes in the use of observable inputs utilized to perform the valuation for the period.
(6)For the three and nine months ended September 30, 2017, twenty-two and twelve investments, respectively, were transferred from Level 2 to Level 3 primarily due to decreased price transparency.
The following tables present a roll-forward___________
(1)Includes increases in the fair value changes for allcost basis of investments for whichresulting from new and incremental portfolio investments, including the Master Fund determines fair value using Level 3 unobservable inputs forcapitalization of PIK income.
(2)Includes principal payments/paydowns on debt investments and proceeds from sales of investments.
(3)Included in net realized gains on investments on the consolidated statements of operations.
(4)Included in net change in unrealized appreciation (depreciation) on investments on the consolidated statements of operations.
(5)For the three and nine months ended September 30, 2016 (dollars in thousands):2020, investments were transferred from Level 2 to Level 3 as valuation coverage was reduced to one independent pricing service without any corroborating recent trade or another broker quotation.
(6)For the three and nine months ended September 30, 2020, 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.
41
 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 accretion27
 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

 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 accretion60
 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 dividend income.
(2)Included in net realized gain (loss) on investments in the consolidated statements of operations.
(3)Included in net change in unrealized appreciation (depreciation) on investments in the consolidated statements of operations.
(4)Includes principal payments/paydowns on debt investments and proceeds from sales of investments.
Notes to Consolidated Financial Statements (Unaudited)
For the Three Months Ended September 30, 2019
Senior Secured Loans - First LienSenior Secured Loans - Second LienSenior Unsecured DebtEquity and OtherTotal
Balance as of July 1, 2019$176,521 $46,452 $16,867 $13,318 $253,158 
Additions (1)
15,566 — — 185 15,751 
Sales and repayments (2)
(7,431)— — (520)(7,951)
Net realized gains (3)
110 — — — 110 
Net change in unrealized depreciation on investments (4)
(3,752)(172)(94)(23)(4,041)
Net discount accretion153 24 9 — 186 
Transfers into Level 3 (5)
12,417 — — — 12,417 
Transfers out of Level 3 (6)
(10,245)(2,955)— — (13,200)
Fair value balance as of September 30, 2019$183,339 $43,349 $16,782 $12,960 $256,430 
Change in net unrealized depreciation on investments held as of September 30, 2019$(3,752)$(172)$(94)$(23)$(4,041)

(5)The Master Fund transfers investments in and out of Level 1, 2 and 3 securities at the value of the investment as of the beginning of the period based on changes in the use of observable inputs utilized to perform the valuation for the period.
(6)For the nine months ended September 30, 2016, one investment was transferred from Level 3 to Level 2 due to an increase in price transparency.
(7)For the nine months ended September 30, 2016, one investment was transferred from Level 2 to Level 3 due to a decrease in price transparency.
For the Nine Months Ended September 30, 2019
Senior Secured Loans - First LienSenior Secured Loans - Second LienSenior Unsecured DebtEquity and OtherTotal
Balance as of January 1, 2019$204,558 $51,898 $16,666 $10,325 $283,447 
Additions (1)
29,417 4,469 — 3,208 37,094 
Sales and repayments (2)
(21,813)(2,674)— (636)(25,123)
Net realized gains (losses) (3)
253 (4,501)— — (4,248)
Net change in unrealized appreciation (depreciation) on investments (4)
(4,784)3,946 87 63 (688)
Net discount accretion481 70 29 — 580 
Transfers into Level 3 (5)
27,507 533 — — 28,040 
Transfers out of Level 3 (6)
(52,280)(10,392)— — (62,672)
Fair value balance as of September 30, 2019$183,339 $43,349 $16,782 $12,960 $256,430 
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2019$(5,273)$(203)$87 $(400)$(5,789)
______________
(1)Includes increases in the cost basis of investments resulting from new and incremental portfolio investments, including the capitalization of PIK income.
(2)Includes principal payments/paydowns on debt investments and proceeds from sales of investments.
(3)Included in net realized gains (losses) on investments on the consolidated statements of operations.
(4)Included in net change in unrealized appreciation (depreciation) on investments on the consolidated statements of operations.
(5)For the three and nine months ended September 30, 2019, investments were transferred from Level 2 to Level 3 as valuation coverage was reduced to one independent pricing service without any corroborating recent trade.
(6)For the three and nine months ended September 30, 2019, 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.
Financial Instruments Disclosed, But Not Carried Atat Fair Value
The carryingfair value of the credit facility payable, approximates its fair value and it is considered to be classifiedwhich would have been categorized as a Level 3 liability inwithin the fair value hierarchy.hierarchy as of September 30, 2020, approximates its carrying value.

42
Notes to Consolidated Financial Statements (Unaudited)
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.
Two of the Master Fund’s executive officers, Kevin Robinson, Senior Vice President and Brian Binder, Senior Vice President, serve as executive officers 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.
Of the Master Fund’s executive officers, Kevin Robinson, Senior Vice President, and Dina DiLorenzo, Senior Vice President, also serveFund, as executive officers of Guggenheim.
Related Party Capital Contributions and Ownership of Common Shares
The Master Fund is affiliated with Guggenheim Credit Income Fund 2016 T ("GCIF 2016T") (formerly Carey Credit Income Fund 2016 T) , Guggenheim Credit Income Fund - I ("GCIF-I") (formerly Carey Credit Income Fund - I), and Guggenheim Credit Income Fund 2018 T ("GCIF 2018T") (formerly Carey Credit Income Fund 2018 T), three Feeder Funds, whose registration statements initially became effective on July 24, 2015, July 31, 2015 and October 3, 2016, respectively. The membership of the Boards of Trustees for the Master Fund, GCIF 2016T, GCIF-I and GCIF 2018T are identical. The Feeder Funds have invested, and/or intend to invest, substantially all of the proceeds from their public offerings of their common shares in the acquisition of the Master Fund's Common Shares.more fully discussed below.
Investment Advisory Agreements and Compensation of the Advisor
Prior to September 11, 2017, theThe 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:Fees: Effective September 11, 2017, theThe management fee (recorded as investment advisory fee) is calculated at an annual rate of 1.75% based on the simple average of the Master Fund's gross assets at the end of the two most recently completed calendar months and it is payable in arrears. Under the Prior Investment Advisory Agreement, the management fee was computed at an annual rate of 2.0% based on the simple average of the Master Fund's gross assets at the end of the two most recently completed calendar months.
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)
(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.
There has been no change to the performance based incentive fee on income is paid quarterly, if earned; it is computed as comparedthe 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 Prior Investment Advisory Agreement.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
Notes to Consolidated Financial Statements (Unaudited)

may be terminated at any time, without the payment of any penalty: (i) by the Master Fund upon 10 days’ prior60 days' written notice to Guggenheim;Guggenheim, or (ii) by Guggenheim upon not less than 120 days’ priordays' written notice to the Master Fund. This Agreement shall automatically terminate in the event of its assignment. In the event that the Interim Investment Advisory Agreement is terminated by Guggenheim, and if the independent trusteesIndependent Trustees elect to continue the Master Fund, then Guggenheim shall pay all direct expenses incurred by the Master Fund as a result of itsGuggenheim's withdrawal, up to, but not exceeding $250,000. Unless earlier terminated, the Investment Advisory Agreement will remain in effect for a period of two years from the date on which the Master Fund's shareholders approved the Investment Advisory Agreement and will remain in effect year to year thereafter if approved annually (i) by a majority of the Master Fund's Independent Trustees and (ii) the Master Fund's Board of Trustees or the holders of a majority of the Master Fund's outstanding voting securities.
43
Notes to Consolidated Financial Statements (Unaudited)
Administrative Services Agreement
Prior to September 11, 2017, theThe Master Fund was party toentered into an amended and restated administrative services agreement with CCA,Guggenheim (the "Prior Administrative"Administrative Services 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's required administrative services, which included financial and corporate record-keeping, preparing and disseminating the Master Fund'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.Administrator.
The Administrative Services Agreement may be terminated at any time, without the payment of any penalty: (i) by the Master Fund upon 60 days' written notice to the Administrator upon the vote of the Master Fund's independent trustees,Independent Trustees, or (ii) by the Administrator upon not less than 120 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's Independent Trustees.
Organization and Offering Costs
On August 17, 2015, the Master Fund entered into an organization and offering expense reimbursement agreement (the "O&O Agreement") with CCA and Guggenheim. The O&O Agreement was terminated on August 10, 2017. Under the O&O Agreement the Master Fund reimbursed CCA and Guggenheim for costs incurred on the Master Fund's behalf, including, but not limited to, legal services, audit services, printer services, and the registration of securities under the Exchange Act. The reimbursement of organization and offering expenses was conditional on the raise of equity capital from the sale of Master Fund's Common Shares. As of November 3, 2016, the Master Fund had reimbursed the CCA and Guggenheim for all organization and offering costs incurred. The Master Fund, Guggenheim and CCA, for a limited purpose, entered into an amended and restated organization and offering expense reimbursement agreement on September 5, 2017, with an effective date of September 11, 2017, whereby CCA relinquished any rights to reimbursement of organization and offering expenses.
Dealer Manager Agreement
On May 1, 2015, theThe Master Fund initially entered intofund is party to a dealer manager agreement, as amended (the "Dealer Manager 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") 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 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 calendercalendar 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 and Administrative Agency 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 pro rata portion of the co-investment transactions or originated investments in which the Master Fund participates.
Transition Costs in Connection with Advisor Changes, Proxy Statement and Shareholder Meetings
The Master Fund incurred transition costs in connection with the change in investment advisor, the issuance of a proxy statement to approve an investment advisory agreement with Guggenheim, shareholder meetings, and the solicitation of shareholders in connection with the proxy statement. WPC and Guggenheim have agreed to reimburse the Master Fund for all transition costs.
Notes to Consolidated Financial Statements (Unaudited)

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 nine months ended September 30, 2017 2020and September 30, 2016 (dollars2019:
Related Party (1) (2)
For the Three Months Ended September 30,For the Nine Months Ended September 30,
Source Agreement & Description2020201920202019
Expenses:
GuggenheimInvestment Advisory Agreement - management fee$1,549 $1,759 $4,710 $5,171 
GuggenheimAdministrative Services Agreement - expense reimbursement151 203 499 623 
Income:
GuggenheimShare on capital structuring fees and administrative agency fees10 8 26 160 
____________________
(1)Related party transactions not included in thousands):the table above consist of Independent Trustees fees and expenses and sales and repurchase of the Master Fund Shares to/from affiliated Feeder Funds as disclosed in the Master Fund's consolidated statements of operations and consolidated statements of changes in net assets, respectively.
(2)As of September 30, 2020 and September 30, 2019, the Master Fund had accumulated net realized capital losses and net unrealized depreciation and therefore, Guggenheim did not earn any performance-based incentive fee during the period.
44
    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
 —
Notes to Consolidated Financial Statements (Unaudited)
__________________________
(1)
During the three and nine months ended September 30, 2017 and September 30, 2016, none of the accrued performance-based incentive fee was payable to CCA or Guggenheim (i.e. CCA and Guggenheim did not earn any performance-based incentive fee) and therefore the recorded performance-based incentive fee is not included in the table above. See Note 2. Significant Accounting Policies - Management Fees.
(2)Excludes independent trustee fees for extraordinary services in connection with advisor transition matters incurred in the three months ended September 30, 2017; these fees are included in Advisor Transition Costs.
Co-Investment Transactions Exemptive Relief
On June 28, 2016, theThe 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's Declaration of Trust, as amended, provides certain indemnifications to its officers, trustees, agents and certain other persons. As of September 30, 2017,2020, 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. TheAs of September 30, 2020, the Hamilton Credit Facility providesprovided for (i) borrowings in an aggregate principal amount of $175.0 million on a committed basis, with(ii) a revolving feature on all amounts above the minimum utilization amount, (iii) an overall four-year term and a three-year draw-down term; 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 annumof 3-month LIBOR +2.50%, (iv) a draw-down term which ends December 29, 2021, (v) a stated maturity date of December 29, 2022, (vi) undrawn fees payable during the draw-down term of 250 basis points on all undrawn amounts below the minimum utilization amount and interest is(vii) unused commitment fees payable quarterly in arrears.during the draw-down term of 100 basis points on all undrawn amounts above the minimum utilization amount. All investments owned by, and all cash on hand with, Hamilton are held as collateral for the Hamilton Credit Facility.
Hamilton and JPM amended the Hamilton Credit Facility on June 29, 2018 to, among other things, (i) extend the term from December 17, 2019 to December 29, 2022, (ii) extend the draw-down term from December 17, 2018 to December 29, 2021, (iii) reduce the interest rate from 3-month LIBOR +2.65% per annum to 3-month LIBOR +2.50% per annum, (iv) include a revolving feature on all amounts above the minimum utilization amount and (v) reduce the undrawn fee charged on all amounts below the facility's minimum utilization amount from 265 basis points per annum to 250 basis points per annum.
Hamilton's borrowings as of September 30, 2020 and December 31, 2019 were as follows:
Hamilton Credit Facility - Borrowing Summary
As ofPrincipal Amount CommittedPrincipal Amount Outstanding
Carrying Value (1)
Interest Rate (2)
Maturity DateMaturity Term
September 30, 2020$175,000 $151,000 $150,147 2.75 %12/29/222.2 years
December 31, 2019$175,000 $172,000 $170,862 4.40 %12/29/223.0 years
_________________
(1)Carrying value is equal to outstanding principal amount net of unamortized financing costs.
(2)Interest rate as of the end of the reporting period (3-month LIBOR +2.50% as of September 30, 2020 and December 31, 2019) is subject to quarterly reset. Interest rate is calculated as the weighted average interest rates of all tranches currently outstanding. Interest rate does not include the amortization of upfront fees, undrawn or unused fees and expenses that were incurred in connection with the Hamilton Credit Facility.
45
Notes to Consolidated Financial Statements (Unaudited)

On August 24, 2017, the Hamilton loan agreement was amended to conform the agreement with the resignation of CCA and the appointment of Guggenheim as the interim investment advisor. As of September 30, 2017, Hamilton was in compliance with all material terms and covenants related to the Hamilton Credit Facility.
Hamilton incurred certain customary costs and expenses in connection with obtaining the Hamilton Credit Facility, and the loan agreement provides for conditional undrawn fees and unused commitment fees. Beginning on September 17, 2016 and ending December 16, 2018, Hamilton is subject to an undrawn fee of 265 basis points per annum on the amount, if any, of (i) $150.0 million less (ii) the outstanding loan amount. In the period commencing September 17, 2016 and ending December 17, 2018, Hamilton is obligated to pay an annual unused commitment fee of 100 basis points on the difference, if any, between $175.0 million and the greater of (i) the outstanding loan amount and (ii) $150.0 million.
Hamilton's borrowings as of September 30, 2017 and December 31, 2016 were as follows (dollars in thousands):
  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
______________________
(1)Carrying value is equal to outstanding principal amount net of unamortized financing costs.
(2)
Interest rate as of the end of the reporting period (3-month LIBOR+2.65%) and the base interest rate (i.e., 3-month LIBOR) are subject to quarterly changes. Interest rate is calculated as the weighted average interest rates of all tranches currently outstanding. Interest rate does not include the amortization of upfront fees, undrawn or unused fees and expenses that were incurred in connection with the Hamilton Credit Facility.
The components of the Master Fund's interest expense and other financing costs for the three and nine months ended September 30, 2017 2020and 2016September 30, 2019 were as follows (dollars in thousands):follows:
For the Three Months Ended September 30,For the Nine Months Ended September 30,
2020201920202019
Stated interest expense$1,110 $2,081 $4,150 $6,050 
Unused/undrawn fees50 19 124 131 
Amortization of deferred financing costs95 96 285 284 
Total interest expense and other financing costs$1,255 $2,196 $4,559 $6,465 
Average borrowings$155,663 $167,543 $158,861 $157,802 
Weighted average interest rate (1)
2.92 %4.91 %3.53 %5.17 %
Amortized financing costs0.24 %0.22 %0.24 %0.24 %
Total borrowing cost3.16 %5.13 %3.77 %5.41 %
_________________
(1)Calculated as the amount of the stated interest expense and undrawn or unused fees divided by the average borrowings during the reporting period.
46
  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
______________________
(1)Calculated as the annualized amount of the stated interest expense divided by the average borrowings during the reporting period.
Notes to Consolidated Financial Statements (Unaudited)

Note 8. Commitments and Contingencies
Commitments
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 September 30, 2017 the Master Fund and Hamilton have sufficient liquidity to fund these commitments should the funding requirements occur. As of September 30, 20172020 and December 31, 2016,2019, the Master Fund’s unfunded commitments consisted of the following (dollars in thousands):following:
  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
Total Unfunded Commitments
Category / Portfolio Company (1)
September 30, 2020December 31, 2019
Aceto Chemical (Revolver)$560 $800 
Acquia Inc. (Revolver)211 211 
Advicent Solutions (Revolver)339 — 
Alexander Mann Solutions (Revolver) (2)
446 446 
Allvue Systems (Revolver)132 132 
Apptio, Inc. (Revolver)326 326 
Arcline FM Holdings LLC (Revolver)436 — 
Boats Group (Revolver)1,000 1,000 
GAL Manufacturing (Revolver)260 260 
Galls LLC (Delayed Draw)— 1,518 
Galls LLC (Revolver)287 113 
Gladman Developments Ltd. (Delayed Draw) (2)
706 706 
Hersha Hospitality Management (Delayed Draw)1,671 — 
Lytx, Inc. (Delayed Draw)1,540 368 
Mavis Tire Express Services Corp. (Delayed Draw)— 319 
Mavis Tire Express Services Corp. (Revolver)217 189 
Onyx CenterSource (Revolver)— 329 
Polyvision Corp. (Delayed Draw)325 — 
Polyvision Corp. (Revolver)706 — 
PSI Services LLC (Delayed Draw)239 239 
PSI Services LLC (Delayed Draw)— 168 
PSI Services LLC (Revolver)195 269 
Seal For Life Industries US LLC (Revolver)433 390 
Trader Interactive (Revolver)346 346 
Velocity Holdings US (Revolver)185 — 
Wide Orbit (Revolver)293 — 
Total Unfunded Commitments$10,853 $8,129 
______________________
(1)May pertain to commitments to one or more entities affiliated with the named portfolio company.
(2)This commitment is in foreign currency and has been converted to USD using the September 30, 2020 and December 31, 2019 exchange rates, respectively.
Indemnification
In the normal course of business, the Master Fund enters into contracts and agreements that contain a variety of representations and warranties that provide general indemnifications. The Master Fund's maximum exposure under these arrangements is unknown, as these involve future claims that may be made against the Master Fund but that have not occurred. The Master FunFund expects the risk of any future obligations under these indemnifications to be remote.
Note 9. Earnings Per Common Share
The following information sets forth the computation of basic and diluted net increase in net assets resulting from operations (i.e., earnings (loss) per Common Share) for the three and nine months ended September 30, 2017 and September 30, 2016 (dollars in thousands, except share and per share data): 
47
  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)Earnings per Common Share, both basic and diluted, were equivalent during the period because there were no Common Share equivalents outstanding during the period.
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 nine months ended September 30, 2017 2020and September 30, 2016 (in thousands, except share and per share amounts):2019:
For the Nine Months Ended September 30,
Nine Months Ended September 30,20202019
2017 2016
PER COMMON SHARE OPERATING PERFORMANCE (1)
   
PER COMMON SHARE OPERATING PERFORMANCEPER COMMON SHARE OPERATING PERFORMANCE
Net asset value, beginning of period$8.47
 $8.00
Net asset value, beginning of period$7.78 $8.09 
Net investment income0.35
 0.14
Net realized gains0.07
 0.05
Net change in unrealized appreciation (2)
0.04
 0.34
Net increase resulting from operations0.46
 0.53
Net investment income (1)
Net investment income (1)
0.40 0.47 
Net realized gains (losses) (1)
Net realized gains (losses) (1)
0.02 (0.20)
Net change in unrealized depreciation (2)
Net change in unrealized depreciation (2)
(0.52)— 
Net increase (decrease) resulting from operationsNet increase (decrease) resulting from operations(0.10)0.27 
Distributions to Common Shareholders (3)
   
Distributions to Common Shareholders (3)
Distributions from net investment income(0.35) (0.14)Distributions from net investment income(0.40)(0.46)
Distributions in excess of net investment income(0.03) (0.08)
Distributions from realized gainsDistributions from realized gains— (0.01)
Distribution in excess of net investment incomeDistribution in excess of net investment income(0.01)— 
Net decrease resulting from distributions(0.38) (0.22)Net decrease resulting from distributions(0.41)(0.47)
Net asset value, end of period$8.55
 $8.31
Net asset value, end of period$7.27 $7.89 
   
INVESTMENT RETURNS  

INVESTMENT RETURNS
Total investment return (4)
5.49 % 6.64%
Total investment return (4)
(1.03)%3.38 %
   
RATIOS/SUPPLEMENTAL DATA   RATIOS/SUPPLEMENTAL DATA
Net assets, end of period$249,367
 $139,716
Net assets, end of period$196,382 $225,699 
Average net assets (5)
$229,306
 $83,661
Average net assets (5)
$196,433 $233,075 
Common Shares outstanding, end of period29,151,096
 16,820,644
Common Shares outstanding, end of period27,014,903 28,613,345 
Weighted average Common Shares outstanding26,976,497
 10,219,786
Weighted average Common Shares outstanding27,224,991 28,997,077 
   
Ratios-to-average net assets: (5)
   
Ratios-to-average net assets: (5)
Operating expenses5.92 % 7.16%
Effect of advisor transition costs reimbursement(0.29)% —%
Net expenses5.63 % 7.16%
Total expensesTotal expenses5.64 %5.85 %
Net investment income4.07 % 1.65%Net investment income5.56 %5.82 %
   
Average outstanding borrowings (5)
$140,400
 $55,100
Average outstanding borrowings (5)
$158,861 $157,802 
Portfolio turnover rate (5) (6)
31 % 46%
Portfolio turnover rate (5) (6)
18 %14 %
Asset coverage ratio (7)
2.66
 2.44
Asset coverage ratio (7)
2.30 2.35 
_____________________
(1)The per Common Share data was derived by using the weighted average Common Shares outstanding during the period.
(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 paid or payable per Common Share outstanding during the entire period; distributions per Common Share are rounded to the nearest $0.01.
(1)The per Common Share data was derived by using the weighted average Common Shares outstanding during the period presented.
(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 declared per Common Share outstanding during the entire period; distributions per Common Share are rounded to the nearest $0.01. For income tax purposes, distributions made to shareholders are reported as ordinary income, capital gains, non-taxable return of capital or a combination thereof, based on taxable income calculated in accordance with income tax regulations which may differ from amounts determined under GAAP. As of September 30, 2020, the Master Fund estimated distributions to be composed mostly of ordinary income. The final determination of the tax character of distributions will not be made until we file our tax return.
48
Notes to Consolidated Financial Statements (Unaudited)

(4)Total investment return is based on (i) the purchase of Common Shares at net asset value on the first day of the period, (ii) the sale at the net asset value per Common Share on the last day of the period, of (A) all purchased Common Shares plus (B) any fractional Common Shares issued in connection with the reinvestment of distributions and (iii) distributions payable relating to the ownership of Common Shares, if any, on the last day of the period. The total investment return calculation assumes that cash distributions are reinvested concurrent with the issuance of Common Shares at the most recent transaction price on or prior to each distribution payment date. Since there is no public market for the Master Fund’s Common Shares, then the terminal sales price per Common Share is assumed to be equal to net asset value per Common Share on the last day of the period. Total investment return is not annualized. The Master Fund’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results.
(4)Total investment return is a measure of total return for shareholders, assuming the purchase of the Master Fund’s Common Shares at the beginning of the period and the reinvestment of all distributions declared during the period. More specifically, total investment return is based on (i) the purchase of Common Shares at net asset value on the first day of the period, (ii) the sale at the net asset value per Common Share on the last day of the period, of (A) all purchased Common Shares plus (B) any fractional Common Shares issued in connection with the reinvestment of distributions, and (iii) distributions payable relating to the ownership of Common Shares, if any, on the last day of the period. The total investment return calculation assumes that cash distributions are reinvested concurrent with the issuance of Common Shares at the most recent transaction price on or prior to each distribution payment date. Since there is no public market for the Master Fund’s Common Shares, then the terminal sales price per Common Share is assumed to be equal to net asset value per Common Share on the last day of the period. Total investment return is not annualized. The Master Fund’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results.
(5)
(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. Ratios-to-average net assets are not annualized.
(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 repayments received divided by the monthly average of the value of investment portfolio owned by the Master Fund during the period.
(7)Asset coverage ratio is equal to (i) the sum of (A) net assets at the end of the period and (B) total senior securities issued at the end of the period, divided by (ii) total senior securities at the end of the period.
49
Notes to Consolidated Financial Statements (Unaudited)
(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 prepayments received divided by the monthly average of the value of portfolio securities owned by the Master Fund during the period.
(7)Asset coverage ratio is equal to (i) the sum of (A) net assets at the end of the period and (B) total senior securities issued at the end of the period, divided by (ii) total senior securities at the end of the period.
Note 11.10. Distributions
The Board of Trusteesfollowing table summarizes the distributions that the Master Fund declared 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 ShareAmountAllocation Per ShareAmountAllocation
Total Declared Distributions$0.16
$4,600
100.0% $0.17
$2,756
100.0%
From net investment income0.13
3,862
84.0
 0.08
1,083
39.3
Distributions in excess of net investment income0.03
738
16.0
 0.09
1,673
60.7
The Board of Trustees declared distributions for nine and three record dates, respectively, inits Common Shares during the nine months ended September 30, 2017 2020and September 30, 2016. The total2019:
Record DatePayment DateDistribution Per Common Share at Record DateDistribution Per Common Share at Payment DateCash Distribution
For Calendar Year 2020
January 2, 6, 13, 20January 22$0.01100 $0.04400 $1,195 
January 27, February 3, 10, 17February 190.01100 0.04400 1,217 
February 24, March 2, 9, 14, 23March 250.01000 0.05000 1,383 
March 30, April 6, 13, 20April 220.01000 0.04000 1,084 
April 27, May 4, 11, 18 ,25, June 1June 20.01000 0.06000 1,625 
June 8, 15, 22, 29July 20.01100 0.04400 1,186 
July 6, 13, 20, 27, August 3August 40.00950 0.04750 1,285 
August 10, 17, 24, 31September 20.01000 0.04000 1,089 
September 7, 14, 21, 28October 10.00980 0.03920 1,063 
$0.40870 $11,127 
For Calendar Year 2019
January 7, 14, 21, 28January 30$0.01346 $0.05384 $1,572 
February 4, 11, 18, 25February 270.01346 0.05384 1,572 
March 4, 11, 18, 25March 270.01346 0.05384 1,573 
April 1, 8, 15, 22, 29May 10.01346 0.06730 1,971 
May 6, 13, 20, 27May 290.01346 0.05384 1,576 
June 3, 10, 17, 24June 260.01346 0.05384 1,559 
July 1, 8, 15, 22, 29July 310.01346 0.06730 1,926 
August 5, 12, 19, 26August 280.00776 0.03104 888 
September 2, 9, 16, 23, 30October 20.00776 0.03880 1,110 
$0.47364 $13,747 

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 sourcesordinary scope of declared distributions on a GAAP basisbusiness that require adjustment to, or disclosure in, the consolidated financial statements except for the nine months ended September 30, 2017 and September 30, 2016 are presented inone below.
To facilitate the tables below (in thousands, except per Share amounts):
 Nine Months Ended September 30,
 2017 2016
 Per ShareAmountAllocation Per ShareAmountAllocation
Total Declared Distributions$0.38
$10,392
100.0% $0.22
$3,106
100.0%
From net investment income0.35
9,336
89.8
 0.14
1,399
45.0
Distributions in excess of net investment income0.03
1,056
10.2
 0.08
1,707
55.0
Note 12. Subsequent Events
On October 20, 2017, a new investment advisory agreement betweenorderly liquidation of GCIF 2016T, one of the Master Fund and Guggenheim was approved by a majority (as such term is definedFund's feeder funds, in the 1940 Act)light of the votes castdisruption caused by shareholders. The new investment advisory agreement replaced the Interim Investment Advisory Agreement effectiveCOVID-19 pandemic, the Board of Trustees of GCIF 2016T, as permitted by the terms of October 20, 2017.the offering, has approved extending GCIF 2016T's liquidity event date recommendation deadline to on or before December 31, 2022.

50

Item 2. Management'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 Part I. Item 1. Consolidated Financial Statements (unaudited)(Unaudited), unless otherwise defined herein.
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 BDC under the 1940 Act. Formed as a Delaware statutory trust on September 5, 2014, weWe 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").Shares. Presently, our shareholders are the two initial shareholders and two Feeder Funds.feeder funds.
We conduct private offerings (each a “Private Offering”) of our Shares to the Feeder Fundsfeeder 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.term.
We have elected to be treated for federal income tax purposes as a RIC 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.
Our investment strategy is 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 focus 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 first lien senior secured firstloans, second 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. The first lien senior secured loans may include traditional first lien senior secured loans or unitranche loans. Unitranche loans combine characteristics of traditional first lien senior secured loans as well as second lien and/or mezzanine debt ("Junior Debt"). Unitranche loans will expose us to the risks associated with first lien loans and Junior Debt. While there is no specific collateral associated with senior unsecured debt, such positions are senior in payment priority over subordinated debt creditors.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.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.
51

We have modified our definition of senior debt to include senior unsecured debt investments. In prior quarters, senior unsecured debt investments were classified as subordinated debt given the unsecured nature of such investments. However, senior unsecured debt investments rank higher than subordinated debt investments in payment priority and we concluded that it is reasonable to classify senior unsecured debt investments as senior debt.
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") 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 (i.e.(i.e., subordinated debt, preferred and common equity). By investing in a more senior attachment point of a borrower's capital structure, we expect to protect our principal with less risk, which we believe provides for a distinctive risk/return profile as compared to that of a typical middle market or private equity alternative investment.
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

increase in a rising interest rate environment. We may also invest in fixed-rate investments, options, or other forms of equity participation, and, to a limited extent and not as a principal investment strategy, structured products such as collateralized loan obligations (“CLOs”) and collateralized debt obligations (“CDOs”). We seek to make investments which have favorable characteristics, including closing fees, prepayment premiums, lender-friendly control provisions, and lender-friendly covenants.
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 (e.g.(e.g., junk bonds) by rating agencies, or that would be rated below investment grade if they were rated and have predominantly speculative characteristics with respect to the issuer’s capacity to pay interest and repay principal. These investments may also be illiquid and feature variances in opinions of fair value and market prices. A material amount of our debt investments in portfolio companies may contain interest rate reset provisions that may present challenges for the borrowers to continue paying periodic interest to us. In addition, a material amount of our debt investments may not pay down principal until the end of their lifetimes, which could result in a substantial loss to us if the portfolio companies are unable to refinance or repay their debts at maturity.
Our investment strategy leverages the skills and depth of Guggenheim'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.
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 for us or made by usGuggenheim and are not generally available to the broader investment market. These investments may include both debt and equity investment components.
52
Primary Issuances:
•Syndicated Transactions: This channel primarily includes theparticipationinvestments in private placement transactions that are made available to,broadly syndicated loans and become closely held by, a relatively small group of institutional investors. These transactions arehigh yield bonds, typically originated and arranged by investment intermediaries other than Guggenheim.
Secondary Market Transactions: This channel primarily includes These investments may be purchased at the original syndication or in broadly syndicated loans, high yield notes and bonds, and other investments that are generally owned by a wide range of investors and made availablethe secondary through various trading markets.
We will continue to borrow money from time to time within the levels permittedborrowing limits stipulated by the 1940 Act, which generally allows us to incur leverage of up to 50% of our total assets, less liabilities and indebtedness not represented by senior securities. The use of borrowed funds and/or the proceeds of preferred stock offering to makefinance investments would have its own specific set of benefits and risks, and all of the costs of borrowing funds or issuing preferred stock are borne by our shareholders.
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 September 30, 20172020 and December 31, 20162019 and (ii) for the nine months ended September 30, 20172020 and September 30, 2016 (dollars in thousands, except per share amounts):2019:

As of
September 30, 2020December 31, 2019
Total assets$349,802 $384,100 
Adjusted total assets (total assets net of payable for investments purchased)$349,073 $384,100 
Investments in portfolio companies, at fair value$329,201 $372,193 
Borrowings$151,000 $172,000 
Net assets$196,382 $211,197 
Net asset value per Common Share$7.27 $7.78 
Leverage ratio (borrowings/adjusted total assets)43.3 %44.8 %
53

 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%
For the Nine Months Ended September 30,
20202019
Average net assets$196,433 $233,075 
Average borrowings$158,861 $157,802 
Cost of investments purchased$60,476 $59,264 
Sales of investments$18,782 $35,509 
Principal payments$72,676 $16,963 
Net investment income$10,920 $13,568 
Net realized gains (losses)$658 $(5,893)
Net change in unrealized appreciation (depreciation)$(14,335)$221 
Net increase (decrease) in net assets resulting from operations$(2,757)$7,896 
Total distributions to shareholders$11,127 $13,747 
Net investment income per Common Share - basic and diluted$0.40 $0.47 
Earnings (loss) per Common Share - basic and diluted$(0.10)$0.27 
Distributions per Common Share$0.41 $0.47 
 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
Portfolio and Investment Activity for the Three and Nine Months Ended September 30, 2017 and September 30, 2016
Within the three and nine month periods ended September 30, 2017, our investment activity was primarily concentrated in sourcing debt investments through direct origination (56.7%) and (71.2%), respectively, and primary issuance channels (43.3%) and (22.3%), respectively, and the remainder was through secondary market channels (i.e., syndicated investments).2020
The following table presents our new investment commitments for the three and nine months ended September 30, 2020:
For the Three Months Ended September 30, 2020For the Nine Months Ended September 30, 2020
Investment activity segmented by access channel:AmountPercentageAmountPercentage
Direct originations$2,051 82.7 %$28,335 59.2 %
Syndicated transactions430 17.3 %19,488 40.8 %
Total investment commitments entered during the period$2,481 100.0 %$47,823 100.0 %
The following table presents our portfolio company activity for the three and nine months ended September 30, 2017 (dollars in thousands):2020:
For the Three Months Ended September 30, 2020For the Nine Months Ended September 30, 2020
Portfolio companies at beginning of period89 86 
Number of added portfolio companies2 9 
Number of exited portfolio companies(2)(6)
Portfolio companies at period end89 89 
Number of debt investments at period end142 142 
Number of equity/other investments at period end8 8 
54
 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 issuance14,091
 46,009
Secondary market transactions—
 13,500
Total investment activity32,534
 206,464
Investments sold or repaid(29,993) (106,098)
Net investment activity$2,541
 $100,366
    
Portfolio companies at beginning of period67
 55
Number of added portfolio companies5
 28
Number of exited portfolio companies(4) (15)
Portfolio companies at period end68
 68
    
Number of debt investments at period end96
 96
Number of equity/other investments at period end3
 3


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 the nine months endingended September 30, 2017 (dollars2020:
Balance as of January 1, 2020PurchasesSales and Repayments
Other Changes in Fair Value (1)
Balance as of September 30, 2020
Senior secured loans - first lien$268,678 $57,880 $(39,601)$(7,293)$279,664 
Senior secured loans - second lien56,651 2,166 (22,440)(3,419)32,958 
Senior secured bonds12,223 430 (6,613)(217)5,823 
Senior unsecured debt21,537 — (19,429)(35)2,073 
Total senior debt$359,089 $60,476 $(88,083)$(10,964)$320,518 
Equity and other13,104 — (3,375)(1,046)8,683 
Total$372,193 $60,476 $(91,458)$(12,010)$329,201 
_______________
(1)Other changes in thousands):fair value includes changes resulting from realized and unrealized gains and losses, amortization/accretion, increases from PIK income and restructurings.
 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 lien44,340
 51,643
 (13,655) 1,048
 83,376
Senior secured bond11,631
 12,000
 (3,841) 1,119
 20,909
Senior unsecured debt12,870
 18,662
 (2,633) 319
 29,218
Total senior debt$254,177
 $206,464
 $(100,708) $5,413
 $365,346
Subordinated debt20,628
 —
 (5,390) 23
 15,261
Equity and other279
 —
 —
 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 as well as and restructurings.
The following table presents selected information regarding our investment portfolio as of September 30, 20172020 and December 31, 2016 (dollars2019:
As of
September 30, 2020December 31, 2019
Weighted average portfolio company EBITDA (1)
$86,056 $100,514 
Median portfolio company EBITDA (1)
$52,855 $71,592 
Weighted average purchase price of debt investments (2)
96.3 %96.7 %
Weighted average duration of debt investments (3)
1.5 years0.3 years
Debt investments on non-accrual status as a percentage of amortized cost of total debt investments1.7 %1.0 %
Debt investments on non-accrual status as a percentage of fair value of total debt investments0.4 %0.5 %
Number of debt investments on non-accrual status2 1 
Floating interest rate debt investments:
Percent of debt portfolio (4)
97.5 %94.8 %
Percent of floating rate debt investments with interest rate floors (4)
73.5 %74.3 %
Weighted average interest rate floor1.0 %1.0 %
Weighted average coupon spread to base interest rate591 bps637bps
3-month LIBOR23 bps191 bps
Fixed interest rate debt investments:
Percent of debt portfolio (4)
2.5 %5.2 %
Weighted average coupon rate7.7 %8.7 %
Weighted average years to maturity3.2years3.8years
Weighted average effective yields
Senior secured loans - first lien (5)
7.5 %8.3 %
Senior secured loans - second lien (5)
8.7 %10.5 %
Senior secured bonds (5)
6.3 %10.4 %
Senior unsecured debt (5)
11.1 %12.0 %
Total debt investments (5)
7.6 %8.9 %
Total investments (6)
7.6 %8.9 %
_______________
55

(1)Based on trailing twelve months EBITDA as most recently reported by portfolio companies, but not as of September 30, 2020 or December 31, 2019. Weighted average portfolio company EBITDA is calculated using weights based on fair value. The inputs and computations of EBITDA are not consistent across all portfolio companies. EBITDA is a non-GAAP financial measure. For a particular portfolio company, EBITDA is generally defined as net income before net interest expense, income tax expense, depreciation and amortization. EBITDA amounts are estimated from the most recent portfolio company's financial statements, have not been independently verified by the Master Fund or its Advisor, may reflect a normalized or adjusted amount, typically exclude expenses deemed unusual or non-recurring and typically include add backs for items deemed appropriate to present normalized earnings. Accordingly, neither the Master Fund nor its Advisor makes any representation or warranty in thousands):respect of this information.
(2)Percent is calculated as a percentage of the par value of debt investments.
 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 cost0.8
% 1.2
%
Debt investments on non-accrual status as a percentage of fair value0.8
% 1.1
%
Number of Debt investments on non-accrual status1  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 floor1.0
% 1.0
%
Weighted average coupon spread to base interest rate691
bps 654
bps
(3)Duration is a measure of a debt investment's price sensitivity to 100 basis points ("bps") change in interest rates. It represents an inverse relationship between price and the change in interest rates. For example, if a bond has a duration of 5.0 years and interest rates increase by 100 bps, then the bond price is expected to decrease by 5%. Weighted average duration is calculated using weights based on amortized cost.
(4)Percent is calculated as a percentage of the fair value of total debt investments.
Fixed interest rate debt investments:     
Percent of debt portfolio (4)
9.6
% 9.3
%
Weighted average coupon rate10.0
% 9.8
%
Weighted average years to maturity3.4
years 4.9
years
      
Weighted average effective yields: (5)
     
Senior secured loans - first lien8.0
%
7.5
%
Senior secured loans - second lien10.5
%
10.8
%
Senior secured bonds8.4
%
7.0
%
Senior unsecured debt10.7
% 11.5
%
Subordinated debt8.8
%
8.5
%
Total debt portfolio8.8
%
8.2
%
(5)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. The total debt portfolio yield is calculated before considering the impact of leverage or any operating expenses.

(6)The total investment portfolio yield is calculated before considering the impact of leverage or any operating expenses, and includes all income generating investments, non-income generating investments and investments on non-accrual status.
_________________
(1)Based on trailing twelve months EBITDA as most recently reported by portfolio companies, but not as of September 30, 2017 or December 31, 2016. Weighted average portfolio company EBITDA is calculated using weights based on amortized cost. The inputs and computations of EBITDA are not consistent across all portfolio companies. EBITDA is a non-GAAP financial measure. For a particular portfolio company, EBITDA is generally defined as net income before net interest expense, income tax expense, depreciation and amortization. EBITDA amounts are estimated from the most recent portfolio company's financial statements, have not been independently verified by GCIF or its Advisor, may reflect a normalized or adjusted amounts, typically exclude expenses deemed unusual or non-recurring, and typically include add backs for items deemed appropriate to present normalized earnings. Accordingly, neither GCIF nor its Advisor makes any representation or warranty in respect of this information.
(2)Percent is calculated as a percentage of debt investment par value.
(3)Duration is a measure of a debt investment's price sensitivity to 100 basis points ("bps") change in interest rates. It represents an inverse relationship between price and the change in interest rates. For example, if a bond has a duration of 5.0 years and interest rates increase by 100 bps, then the bond price is expected to decrease by 5%. Weighted average duration is calculated using weights based on amortized cost.
(4)Percent is calculated as a percentage of the fair value of all debt investments.
(5)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. Effective portfolio yield for the total debt portfolio is calculated before considering the impact of leverage or any operating expenses, and cash, restricted cash, non-income producing assets and equity investments are excluded.
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%0.15% for the 1-month1 Month LIBOR to 1.33%0.26% for the 3-month6 Month LIBOR on September 30, 2017.2020. 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 (e.g., 1.0%).
The following table presents the maturity schedule of our debt investments, excluding unfunded commitments, based on their principal amount as of September 30, 20172020 and December 31, 2016 (dollars2019:
September 30, 2020December 31, 2019
Maturity YearPrincipal AmountPercentage of PortfolioPrincipal AmountPercentage of Portfolio
2020$— — %$2,892 0.8 %
202123,120 6.5 20,454 5.3 
202231,404 8.8 31,823 8.3 
202365,810 18.5 118,222 31.0 
202496,121 27.0 99,195 26.0 
202592,452 26.0 66,614 17.4 
202647,091 13.2 42,707 11.2 
Total$355,998 100.0 %$381,907 100.0 %
Impact of COVID-19
In late 2019 and early 2020, a novel coronavirus (SARS-CoV-2) and related respiratory disease ("COVID-19") emerged and spread rapidly across the world, including to the U.S., bringing with it one of the most volatile quarters for the leveraged loan market in thousands):history.
56

  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%
We have and continue to assess the impact of COVID-19 on our portfolio companies. We cannot predict the full impact of the COVID-19 pandemic, including its duration in the United States and worldwide, and the magnitude of the economic impact of the outbreak, including with respect to the travel restrictions, business closures and other quarantine measures imposed on service providers and other individuals by various local, state, and federal governmental authorities, as well as non-U.S. governmental authorities. As such, we are unable to predict the duration of any business disruptions, the extent to which COVID-19 will negatively affect our portfolio companies’ operating results or the impact that such disruptions may have on our results of operations and financial condition. Though the magnitude of the impact remains to be seen, we expect our portfolio companies and, by extension, our operating results to be adversely impacted by COVID-19 and depending on the duration and extent of the disruption to the operations of our portfolio companies, we expect that certain portfolio companies will experience financial distress. We also expect that some of our portfolio companies may significantly curtail business operations, furlough or lay off employees and terminate service providers, and defer capital expenditures if subjected to prolonged and severe financial distress, which could impair their business on a permanent basis. The impacts of these events may include, but are not limited to, (i) amendments and waivers being granted to borrowers permitting deferral of loan payments or allowing for payment-in-kind (“PIK”) interest payments, (ii) additional borrower defaults and non-payments on their loans or inability of borrowers to refinance their loans at maturity, or (iii) permanent business closure. Such events, to the extent experienced, could result in a decrease in the value of our investment in any such portfolio company, or interest thereon. In addition, to the extent that the impact to our portfolio companies results in reduced interest payments or permanent impairments on our investments, we could see a decrease in our net investment income which would increase the percentage of our cash flows dedicated to our debt obligations and could require us to reduce the future amount of distributions to our shareholders.
With respect to our investments, we are taking steps in actively overseeing all of our individual portfolio companies. These measures include, among other things, enhanced monitoring/credit analysis of our portfolio, assessment of each portfolio company’s operational and liquidity exposure and outlook, and frequent communication with our portfolio company management teams, industry consultants, and other lenders to understand the expected financial performance impact of the COVID-19 pandemic.

We expect that the market and business disruption created by the COVID-19 pandemic will impact certain aspects of our liquidity, and we are therefore continuously monitoring our operating results, liquidity and anticipated capital requirements. As of September 30, 2020, we were in compliance with our asset coverage requirements under the 1940 Act, as well as, all financial covenants within its credit facilities as of September 30, 2020. Any breach of these requirements may adversely affect our access to sufficient debt and equity capital.

The reduction in our net asset value as of September 30, 2020 as compared to our net asset value as of December 31, 2019 is the result of significant unrealized depreciation across the fair value of our investments due primarily to the negative economic impact and the increased uncertainty caused by COVID-19 pandemic.
Results of Operations
Operating results for the three and nine months ended September 30, 2017 2020and September 30, 20162019 were as follows (dollars in thousands):follows:
For the Three Months Ended September 30,For the Nine Months Ended September 30,
2020201920202019
Total investment income$6,696 $9,162 $22,005 $27,199 
Total expenses3,390 4,595 11,085 13,631 
Net investment income3,306 4,567 10,920 13,568 
Net realized gains (losses)81 952 658 (5,893)
Net change in unrealized appreciation (depreciation)6,299 (5,926)(14,335)221 
Net increase (decrease) in net assets resulting from operations$9,686 $(407)$(2,757)$7,896 
57

  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
Investment Income
InvestmentInterest and dividend income consisted of the following components for the three and nine months ended September 30, 20172020 and September 30, 2016 (dollars2019:
For the Three Months Ended September 30,For the Nine Months Ended September 30,
2020201920202019
Interest income on debt securities:
    Cash interest$5,732 $8,398 $19,136 $24,834 
    PIK interest395 66 930 154 
Net accretion/amortization of discounts/premiums305 446 987 1,153 
Total interest on debt securities6,432 8,910 21,053 26,141 
PIK dividend214 244 670 783 
Total interest and dividend income$6,646 $9,154 $21,723 $26,924 
Average Investments at cost$357,399 $383,741 $358,407 $389,634 
Average Income Generating Investments at cost (1)
$345,384 $373,651 $343,637 $380,972 
Income return (2)
1.9 %2.4 %6.3 %7.1 %
_________________
(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
The increase in investmentinterest and dividend income was mainly driven by (i) the growthdecrease in the size of our portfolioincome generating investments and (ii) an increasedecrease in the yield on our portfolio of investments. For the three and nine months endedAs of September 30, 2017, average2020and September 30, 2019, yield on debt investments at cost was $375.7 million7.6% and $337.8 million, respectively. For the three and nine months ended September 30, 2016, average investments at cost was $184.7 million and $136.6 million, respectively.
For the three and nine months ended September 30, 2017, yield on all investments at cost (computed as investment income divided by average investment cost in the period) was 8.9% and 8.8%9.2%, respectively. For the three and nine months ended September 30, 2016, yield on all investments at cost was 8.0% and 7.2%, respectively.
For the nine months ended September 30, 2016,PIK dividend income consisted of PIKpertains to dividends on one preferred stock investment. The issuer of the preferred stock ceased paying preferred dividends beginning in April 2016.investments.
Our fee income is comprised of the following fee classifications and is considered nonrecurringnon-recurring income (dollars in thousands):for the three and nine months ended September 30, 2020 and September 30, 2019:
For the Three Months Ended September 30,For the Nine Months Ended September 30,
2020201920202019
Capital structuring fees$— $— $— $136 
Administrative agency fees10 8 26 24 
Amendment fees and other40 — 256 115 
Total fee income$50 $8 $282 $275 
58
  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 nine months ended September 30, 2017 2020and September 30, 2016 (dollars in thousands):2019:
For the Three Months Ended September 30,For the Nine Months Ended September 30,
2020201920202019
Fixed operating expenses:
Related party reimbursements (1)
$151 $203 $499 $623 
Trustees fees88 92 262 252 
Professional services fees (2)
218 214 651 703 
Other expenses67 58 200 183 
Total fixed operating expenses524 567 1,612 1,761 
Variable operating expenses:
Interest expense (3)
1,255 2,196 4,559 6,465 
Administrative services (4)
39 50 132 151 
Management fee1,549 1,759 4,710 5,171 
Custody services23 23 72 72 
Total variable operating expenses2,866 4,028 9,473 11,859 
Performance-dependent expenses:
Performance-based incentive fee— — — 11 
Total performance-dependent expenses— — — 11 
Total expenses$3,390 $4,595 $11,085 $13,631 
  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
_________________
(1)Related party reimbursements decreased to due to decrease in resource allocation to Master Fund.
(2)Professional services fees includes the expenses for third party service providers such as internal and independent auditors, chief compliance officer, tax return preparer and tax consultant, third-party investment valuers, and fund legal counsel.
(2) (3)The composition of our interest expense for the three and nine months ended September 30, 2020 and September 30, 2019 is reported in Note 7. Borrowings. The decrease in interest expense is primarily due to decrease in interest rates.
(4)Administrative services fees include the expenses for third party service providers such as fund accountant, fund sub-administrator, and independent pricing vendors.
The composition of our interest expensedecrease in total expenses for the three months ended September 30, 2020 compared to the three months ended September 30, 2019 was primarily due to the decrease in interest expense associated with the Hamilton Credit Facility resulting from a decrease in interest rates. For the three months ended September 30, 2020and September 30, 2019, total borrowing costs were 3.16% and 5.13%, respectively. For the three months ended September 30, 2020 and September 30, 2019, average borrowings for the period were $155,663and$167,543, respectively.
The decrease in total expenses for the nine months ended September 30, 2017 2020 compared to the nine months ended September 30, 2019 was primarily due to the decrease in interest expense associated with the Hamilton Credit Facility resulting from a decrease in interest rates. For the nine months ended September 30, 2020and September 30, 2016, is broken down in Note 7. Borrowings. Hamilton Credit Facility features a contractual interest rate of 3-Month LIBOR+2.65%2019, total borrowing costs were 3.77% and 5.41%, which was 3.97% as ofrespectively. For the nine months ended September 30, 2017. Interest expense also includes all applicable undrawn fees2020 and unused commitment fees as described in September 30, 2019, average borrowings for the period were $158,861Note 7. Borrowings.and$157,802, respectively.
59

Net Realized Gain (Loss)Gains (Losses)
For the three months ended September 30, 2017,2020, we had dispositions and principal repayments of $30.0$9.7 million, resulting in net realized gains of $0.5 million. For the nine months ended September 30, 2017,2020, we had dispositions and principal repayments of $106.1$91.5 million, resulting in net realized losses of $(0.2) million. For the three and nine months ended September 30, 2020, we had realized gains (losses) from our foreign currency forward contracts of $3.0 million.$(0.4) million and $0.7 million, respectively, primarily due the movement of the U.S. dollar against the British pound.
For the three months ended September 30, 2016,2019, we had dispositions and principal repayments of $36.1$15.1 million, resulting in a net realized gaingains of $0.5$0.2 million. For the nine months ended September 30, 2016,2019, we had dispositions and principal repayments of $59.6$52.5 million, resulting in a net realized gainlosses of $0.5 million.$(6.6) million, which primarily pertains to the realization of previously recorded unrealized depreciation of $(6.6) million from a restructuring of one of our portfolio companies. For the three and nine months ended September 30, 2019, we had realized gains from our foreign currency forward contracts of $0.8 million and $0.6 million, respectively, primarily due the movement of the U.S. dollar against the British pound.
For the three and nine months ended September 30, 20172020 and September 30, 2016,2019, the components of total realized gains (losses) were comprised of the following (dollars in thousands):following:

 Three Months Ended September 30, Nine Months Ended September 30,For the Three Months Ended September 30,For the Nine Months Ended September 30,
 2017 2016 2017 20162020201920202019
Investments $491
 $467
 $3,021
 $474
Investments$454 $205 $(181)$(6,600)
Foreign currency forward contract (410) —
 (1,029) —
Foreign currency forward contractsForeign currency forward contracts(383)752 668 626 
Foreign currency transactions (5) —
 (116) —
Foreign currency transactions10 (5)171 81 
Net realized gains $76
 $467
 $1,876
 $474
Net realized gains (losses)Net realized gains (losses)$81 $952 $658 $(5,893)
Changes in Unrealized Appreciation and Depreciation(Depreciation)
For the three and nine months ended September 30, 20172020 and September 30, 2016,2019, the components of total net changeschange in unrealized appreciation and depreciation(depreciation) were comprised of the following (dollarsfollowing:
For the Three Months Ended September 30,For the Nine Months Ended September 30,
2020201920202019
Investments (1)
$6,901 $(6,070)$(14,227)$(285)
Foreign currency forward contracts(605)144 (110)523 
Foreign currency transactions3 — 2 (17)
Net change in unrealized appreciation (depreciation)$6,299 $(5,926)$(14,335)$221 
(1)The increase in thousands):net unrealized appreciation for the three months ended September 30, 2020 was primarily due to partial market recovery from the negative economic impact and the increased uncertainty caused by COVID-19 from the prior quarter.
60

  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 nine months ended September 30, 2017 2020and September 30, 2016,2019, 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):following:
  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
For the Three Months Ended September 30,For the Nine Months Ended September 30,
2020201920202019
Unrealized appreciation on all investments (1)
$9,763 $1,043 $34,094 $14,744 
Unrealized depreciation on all investments (1)
(2,862)(7,113)(48,321)(15,029)
Total net change in unrealized appreciation (depreciation) on all investments$6,901 $(6,070)$(14,227)$(285)
Unrealized appreciation on Level 3 investments only (1)
$3,681 $369 $13,121 $7,097 
Unrealized depreciation on Level 3 investments only (1)
(2,214)(4,410)(28,356)(7,785)
Total net change in unrealized appreciation (depreciation) on Level 3 investments only$1,467 $(4,041)$(15,235)$(688)
__________________
(1)Amount is net of any reclassification of realized gain or loss on investment.
Cash Flows for the Nine Months Ended September 30, 2017 and September 30, 2016(1)
For the nine months ended September 30, 2017 and September 30, 2016, net cash used in operating activities was $86.9 million and $139.2 million, respectively, which was concentrated in the acquisition of investments,Amounts are net of sales and paydowns.
Net cash provided by financing activities during the nine months ended September 30, 2017 was $83.0 million, which primarily consistedany reclassification of equity capital raise of $70.7 million, credit facility borrowings of $24.0 million reduced by distributions of $10.4 million to shareholders.realized gains or losses on investments.
Net cash provided by financing activities during the nine months ended September 30, 2016 was $143.5 million, which primarily consisted of equity capital raise of $88.9 million and credit facility borrowings of $58.0 million.
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%16.44% increase in the value of their initial investment, in our Shares, or an annualized return of 2.11%2.66%, assuming reinvestment of distributions.
The table below presents returns for our shareholders for the nine months ended September 30, 2017 2020and September 30, 2016,2019, and the period from commencement to September 30, 2017.2020. Our performance changes over time and currently may be different than that shown below. Past performance is no guarantee of future results. The returns for shareholders of the affiliated Feeder Funds are different from the returns for our direct shareholders.

 
Total Investment Return-Net Asset Value(1)
Total Investment Return-Net Asset Value(1)
 Nine Months Ended September 30, Since CommencementFor the Nine Months Ended September 30,Since Commencement
Company 
Date Operations Commenced (2)
 2017 2016 Cumulative AnnualizedCompany
Date Operations Commenced (2)
20202019CumulativeAnnualized
Guggenheim Credit Income Fund December 19, 2014 5.49% 6.64% 6.02% 2.11%Guggenheim Credit Income Fund12/19/2014(1.03)%3.38 %16.44 %2.66 %
___________________
(1)
(1)Total investment return is a measure of total return for shareholders, assuming the purchase of our Common Shares at the beginning of the period and the reinvestment of all distributions declared during the period. More specifically, total investment return is based on (i) the purchase of Common Shares at net asset value on the first day of the period, (ii) the sale of Common Shares at the net asset value per share on the last day of the period, of (A) all purchased Common Shares plus (B) any fractional Common Shares issued in connection with the reinvestment of distributions, and (iii) distributions payable relating to the ownership of Common Shares, if any, on the last day of the period. The total investment return calculation assumes that cash distributions are reinvested concurrent with the issuance of Common Shares at the most recent transaction price on or prior to each distribution payment date. Since there is no public market for our Common Shares, then the terminal sales price per common share is assumed to be equal to net asset value per common share on the last day of the period.
(2)Commencement of operations represents the date the company's initial Common Shares were sold.
The following table reflects the sources of the period, (ii) the sale of Common Shares at the net asset value per share on the last day of the period, of (A) all purchased Common Shares plus (B) any fractional Common Shares issued in connection with the reinvestment of distributions and (iii) distributions payable relating to the ownership of Common Shares, if any, on the last day of the period. The total investment return calculation assumes that cash distributions thatare reinvested concurrent with the Master Fund has paid on itsissuance of Common Shares duringat the nine months ended September 30, 2017 and September 30, 2016 (dollars in thousands):most recent transaction price on or prior to each distribution payment date. Since there is no public market for our Common Shares, then the terminal sales price per common share is assumed to be equal to net asset value per common share on the last day of the period.
(2)Commencement of operations represents the date that we sold our initial Common Shares.
61
  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)
(1)Source of distribution is calculated annually on a tax basis. Amounts shown in this Report are estimates and the final conclusion of the Master Fund's sources of distribution will be determined at year end and disclosed in the Master Fund's Form 10-K.
(2)Other sources of distribution may include, but are not limited to, borrowings and proceeds from the sales of Common Shares, if any.
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 September 30, 2017,2020, we had sixteentwenty two unfunded commitments totaling $8.5$10.9 million as compared to eightnineteen unfunded commitments totaling $11.7$8.1 million as of December 31, 2016.2019. See Note 8. Commitments and Contingencies for specific identification of the unfunded commitments. We believe we maintain sufficient liquidity in the form of cash (including restricted cash), receivables and borrowing capacity to fund these unfunded commitments should the need arise. See Financial Condition, Liquidity and Capital Resources.Resources.
Financial Condition, Liquidity and Capital Resources
Our primary sources of cash 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 may 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.
AsLiquidity
Operating liquidity is our ability to meet our short term liquidity needs. The following table presents our operating liquidity position as of September 30, 2017 we had $21.9 million2020 and December 31, 2019:
As of
September 30, 2020December 31, 2019
Cash$8,099 $1,454 
Restricted cash (1)
8,634 7,512 
Unused borrowing capacity24,000 3,000 
Principal receivable1,215 — 
Unfunded investment commitments(10,853)(8,129)
Payable for investments purchased(729)— 
Other net working capital (2)
131 703 
Total operational liquidity$30,497 $4,540 
__________________
(1)Restricted cash consists of demand deposits held at a major U.S. financial institution on behalf of Hamilton. Hamilton may be restricted in the distribution of cash (including restricted cash but excluding cash pledgedto the Master Fund, as governed by the terms of the Hamilton Credit Facility (see Note 7. Borrowings).
(2)Other net working capital is the sum of collateral in connection with ourdeposits/payable for foreign currency forward contracts) on handcontracts, interest and approximately $25.0 million of unused borrowing capacitydividend income receivable and receivable from related parties less accrued management fee, payable to cover $8.5 million in unfunded investment commitments.related parties, distributions payable, and accounts payable, accrued expenses and other liabilities.
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.
62

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 (dollarsperiods:
September 30, 2020
Total< 1 year1-3 years3-5 years> 5 years
Financings-Hamilton Credit Facility:
Debt - principal repayment$151,000 $— $151,000 $— $— 
Interest on borrowings (1) (2)
9,445 4,204 5,241 — — 
Unused commitment fee (1)
303 243 60 — — 
Total - Financings$160,748 $4,447 $156,301 $— $— 
Liquidation of Feeder Funds' Investments:
GCIF 2016T (3)
$128,829 $— $128,829 $— $— 
GCIF 2019 (3)
39,598 — — — 39,598 
Total Liquidation of Feeder Funds' Investments$168,427 $— $128,829 $— $39,598 
______________
(1)Interest on borrowings and unused commitment fees are based on the amount drawn on the Hamilton Credit Facility as of September 30, 2020 and consideration of (i) contractual minimum utilization commitments and (ii) the maximum commitment amount. Incremental borrowings after September 30, 2020 would (i) increase interest expense and (ii) reduce unused commitment fees. See Note 7. Borrowings for a detailed description of undrawn and unused commitment fees.
(2)The forecast of interest expense on borrowings is based on the prevailing interest rate as of the most recent interest reset date (LIBOR+2.50%) and it is subject to quarterly base interest rate changes.
(3)The Feeder Fund investment liquidity amounts are based on the net asset value of each Feeder Fund's ownership interest in thousands):the Master Fund as of September 30, 2020. GCIF 2016T and GCIF 2019 have declared that they intend to provide liquidity to their shareholders from a liquidation of their ownership interest of the Master Fund on or before December 31, 2021 and December 31, 2026, respectively, subject to each Feeder Fund's pursuit of other liquidity alternatives and timing adjustments.
  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)
Interest on borrowings, undrawn fees, and unused commitment fees are based on the amount drawn on the Hamilton Credit Facility as of September 30, 2017 and consideration of (i) contractual minimum utilization commitments and (ii) the maximum commitment amount. Incremental borrowings after September 30, 2017, would (i) increase interest expense and (ii) reduce undrawn and unused commitment fees. See Note 7. Borrowings for a detailed description of undrawn and unused commitment fees.
(2)The forecast of interest expense on borrowings is based on the prevailing interest rate as of the most recent interest reset date (LIBOR+2.65%) and it is subject to quarterly base interest rate changes.
(3)The Feeder Fund liquidity amounts are based on the net asset value of each Feeder Fund's ownership interest in the Master Fund as of September 30, 2017. The liquidity provisions for GCIF 2016T and GCIF-I stipulate that they intend to provide liquidity to their shareholders from a liquidation of their ownership interest of the Master Fund on or before December 31, 2021 and December 31, 2040, respectively, subject to each Feeder Fund's pursuit of other liquidity alternatives and timing adjustments.

As of September 30, 2017,2020, GCIF 2016T owned 64.6%65.6% of our outstanding Common Shares and GCIF-IGCIF 2019 owned 16.3%20.2% of our outstanding Common Shares. The two initial investors accounted for the remaining 19.1% 14.2%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. SeeNote 3. Investments for more information on our investments. As described more fully in Note 2. Significant Accounting Policies andNote 5. Fair Value of Financial Instruments, a valuation hierarchy based on the level of independent, objective evidence available regarding value is used to measure the fair value of our investments. 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 our portfolio investments for which market quotations are not readily available, our Board of Trustees is responsible for determining in good faith the fair value of our portfolio investments in accordance with, and through the consistent application of, the valuation policy and procedures approved by our Board of Trustees, based on, among other things, the input of Guggenheim and any independent third-party valuation firms.
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 us

for other types of assets that are classified as Level 3 investments are described inNote 2. Significant Accounting Policies. The unobservable inputs and assumptions may differ by asset and in the application of our valuation methodologies. The reported fair value estimates could vary materially if we had chosen to incorporate different unobservable inputs and assumptions.
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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'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 September 30, 20172020 and December 31, 2016 (dollars in thousands):2019:
 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 value81.6% 48.4%
% of total assets classified as Level 3 fair value76.4% 43.6%
As of
September 30, 2020December 31, 2019
Investments classified as Level 3 fair value$230,718 $260,073 
Total investments at fair value$329,201 $372,193 
Total assets$349,802 $384,100 
Percentage of investment portfolio classified as Level 3 fair value70.1 %69.9 %
Percentage of total assets classified as Level 3 fair value66.0 %67.7 %
The ranges of unobservable inputs used in the fair value measurement of our investments classified as Level 3 fair valued as of September 30, 20172020 and December 31, 20162019 are presented inNote 5. Fair Value of Financial Instruments, as well as the directional impact to the investments' valuation from an increase or decrease in the associated unobservable inputs.
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 offor the periods ended September 30, 2017, assuming all other estimates remain unchanged, would result2020 and September 30, 2019:
September 30, 2020September 30, 2019
Fair Value of Level 3 Investments at Period End$230,718 $256,430 
Fair Value Assuming a 5% Increase in Value242,254 269,252 
Increase in unrealized appreciation11,536 12,822 
(Increase) in management fees (1)
(152)(167)
(Increase) in performance based incentive fee (2)
(2,307)(2,564)
Increase in net assets resulting from operations$9,077 $10,091 
Weighted average Common Shares outstanding (basic and diluted)27,224,991 28,997,077 
Common Shares outstanding at the end of the period27,014,903 28,613,345 
Increase in earnings per Common Share$0.33 $0.35 
Increase in net asset value per Common Share$0.34 $0.35 
_______________
(1)Increases in a $15.5 million increase in netmanagement fees for the periods ended September 30, 2020 and September 30, 2019 represent only nine months' worth of the change in unrealized appreciation on investments, a less than $0.1 million increase into the investment advisory fee payable to Guggenheim, a $3.1 million increaseMaster Fund's management fees.
(2)Increase in performance-based incentive fee recorded onis calculated as 20% of 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, 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.appreciation.
Management
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Investment Advisory Fees
SeeNote 2. Significant Accounting Policies.
NewRecent Accounting Standards
SeeNote 2. Significant Accounting Policies.
Contractual Obligations
We have entered into certain agreements under which we have material future commitments.
In 2015, we initially entered into the PriorThe 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. SeeNote 6. Related Party Agreements and Transactions for a more detailed description of these investment advisory agreements.
Due to CCA's resignation as investment advisor on August 10, 2017, we have incurred transition costs in connection with the CCA resignation and the process of reviewing and selecting Guggenheim as the successor investment advisor. As of September 30, 2017, we have incurred approximately $0.7 million in transition costs, all of which are to be reimbursed by WPC and Guggenheim.
Investment Advisory Agreement. If the new Interim Investment Advisory Agreement is terminated, our costs may increase under any replacement investment advisory agreement that we subsequently enter into. We would also likely incur expenses in identifying and evaluating candidates to provide the services we expect to receive under any successor investment advisory agreement and administrative services agreement. Any successor investment advisory agreement would also be subject to approval by our shareholders.


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. The Hamilton Credit Facility provides for delayed-draw borrowings in an aggregate principal amount of $175.0 million on a committed basis duringbasis. On June 29, 2018, the initial three years ofHamilton Credit facility was amended to extend the four-year credit facility term.term from December 17, 2019 to December 29, 2022 and to extend the draw-down term from December 17, 2018 to December 29, 2021 among other things. As of September 30, 20172020 and December 31, 2016,2019, we had borrowed $150.0$151.0 million and $126.0$172.0 million, respectively, and such amounts are due and payable no later than December 17, 2019.29, 2022. SeeNote 7. Borrowings.
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. SeeNote 6. Related Party Agreements and Transactions for a discussion of related partytransactions, investment advisory feefees and reimbursement of administrative services expenses.
Organization and Offering Expenses and Reimbursement Arrangements with Guggenheim
See Note 6. Related Party Agreements and Transactions.
Reimbursement for Guggenheim Administrative Services Expenses
CCA served as the Master Fund's administrator from inception until September 11, 2017. 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 Exemptive Relief
On June 28, 2016, theThe 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.of Guggenheim.
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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 September 30, 2017, 90.4%2020, 97.5% of our debt investments (95.0% of our total investments), or $344.2$312.6 million measured at fair value, are subject to variablefloating interest rates. Our sole credit facility is also subject to changes in its 3 Month3-Month LIBOR base interest rate. A rise in the general level of interest rates can be expected to lead to (i) higher interest income from our variablefloating rate debt investments, (ii) value declines for fixed interest rate investments we may hold and (iii) higher interest expense in connection with our floating rate credit facility. To the extent thatSince a majority of our investments may be in variableconsist of floating rate investments, an increase in interest rates could also make it more difficult for borrowers to repay their loans, and a rise in interest rates may also make it easier for Guggenheim to meet or exceed the quarterly threshold for performance basedperformance-based incentive fees as described inNote 6. Related Party Agreements and Transactions.
Based on our consolidated statements of assets and liabilities and investment holdings as of September 30, 2017, theThe following table presents the approximate annualized increase (decrease) in (i) interest income from our investment portfolio, (ii) annualized interest expense associated with our floating rate credit facility and (iii) the annualized net increase or decrease of interest-related income and expense, directly resulting from hypothetical changes in base interest rates (e.g., LIBOR), assuming no changes in the composition of our investment portfolio and capital structure (in thousands):as of September 30, 2020.
Basis Points (bps)
Increase		Annualized
Interest Income Increase (Decrease)		Annualized
Interest Expense Increase (Decrease)		Annualized
Net Increase (Decrease)		Net Increase (Decrease)
per Share
 -50 bps$(417)$(755)$338 $0.01 
 +50 bps425 755 (330)(0.01)
 +100 bps1,337 1,510 (173)(0.01)
 +150 bps2,984 2,265 719 0.03 
 +200 bps4,675 3,020 1,655 0.06 
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.
66
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



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 September 30, 2017,2020, have concluded that our disclosure controls and procedures, as defined in Rule 13a-15(e) under the Exchange Act, were effective as of September 30, 20172020 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, 2017,10, 2020, neither we, nor any of our subsidiaries,subsidiary, were subject to any material legal proceedings, nor, to our knowledge, is any material legal proceeding threatened against us or our subsidiaries.subsidiary.
From time to time, we, our subsidiaries, our Advisorsubsidiary, 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.
Item 1A. Risk Factors.
As of September 30, 2017,2020, there have been no material changes from the risk factors set forth in our annual report on Form 10-K dated March 21, 2017.13, 2020, except for the additional risk disclosures related to COVID-19 included in the following sections.
Cybersecurity risks and cyber incidents may adversely affect our business by causing a disruption to our operations, a compromise or corruption of our confidential information and/or damage to our business relationships, all of which could negatively impact our business, results of operations or financial condition.
A cyber incident is considered to be any adverse event that threatens the confidentiality, integrity or availability of our information resources. These incidents may be an intentional attack or an unintentional event and could involve gaining unauthorized access to our information systems for purposes of misappropriating assets, stealing confidential information, corrupting data or causing operational disruption. The result of these incidents may include disrupted operations, misstated or unreliable financial data, liability for stolen information, misappropriation of assets, increased cybersecurity protection and insurance costs, litigation and damage to our business relationships. Any such attack could result in significant losses, reputational damage, litigation, regulatory fines or penalties, or otherwise adversely affect our business, financial condition or results of operations. In addition, we may be required to expend significant additional resources to modify our protective measures and to investigate and remediate vulnerabilities or other exposures arising from operational and security risks. We face risks posed to our information systems, both internal and those provided to us by third-party service providers. We, our Advisor and its affiliates have implemented processes, procedures and internal controls to help mitigate cybersecurity risks and cyber intrusions, but these measures, as well as our increased awareness of the nature and extent of a risk of a cyber incident, may be ineffective and do not guarantee that a cyber incident will not occur or that our financial results, operations or confidential information will not be negatively impacted by such an incident.
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Third parties with which we do business (including those that provide services to us) may also be sources or targets of cybersecurity or other technological risks. We outsource certain functions and these relationships allow for the storage and processing of our information and assets, as well as certain investor, counterparty, employee and borrower information. While we engage in actions to reduce our exposure resulting from outsourcing, ongoing threats may result in unauthorized access, loss, exposure or destruction of data, or other cybersecurity incidents, with increased costs and other consequences, including those described above. Privacy and information security laws and regulation changes, and compliance with those changes, may also result in cost increases due to system changes and the development of new administrative processes. The Company and its service providers are currently impacted by quarantines and similar measures being enacted by governments in response to COVID-19, which are obstructing the regular functioning of business workforces (including requiring employees to work from external locations and their homes). Accordingly, the risks described above are heightened under current conditions.
Global capital markets could enter a period of severe disruption and instability. These conditions have historically affected and could again materially and adversely affect debt and equity capital markets in the United States and around the world and could negatively impact our business, financial condition and results of operations.
Market and macro-economic disruptions may, in the future, affect the U.S. capital markets, which could adversely affect our business and that of our portfolio companies. These market disruptions may also affect the broader financial and credit markets and may reduce the availability of debt and equity capital for the market as a whole and to financial firms, in particular. At various times, these macro-disruptions have resulted in, and may in the future result in, a lack of liquidity in parts of the debt capital markets, significant write-offs in the financial services sector and the repricing of credit risk. These conditions may reoccur for a prolonged period of time again or materially worsen in the future, including as a result of further downgrades to the U.S. government’s sovereign credit rating or the perceived credit worthiness of the United States or other large global economies. Unfavorable macro-economic conditions, including future recessions, also could increase our funding costs, limit our access to the capital markets or result in a decision by lenders not to extend credit to us. We may in the future have difficulty accessing debt and equity capital on attractive terms, or at all, and a severe disruption and instability in the global financial markets or deteriorations in credit and financing conditions may cause us to reduce the volume of loans we originate and/or fund, adversely affect the value of our portfolio investments or otherwise have a material adverse effect on our business, financial condition, results of operations and cash flows. There has been ongoing discussion and commentary regarding potential significant changes to U.S. trade policies, treaties and tariffs. The current U.S. presidential administration, along with the U.S. Congress, has created significant uncertainty about the future relationship between the United States and other countries with respect to trade policies, treaties and tariffs. These developments, or the perception that any of them could occur, may have a material adverse effect on global economic conditions and the stability of global financial markets, and may significantly reduce global trade and, in particular, trade between the impacted nations and the United States. The spread of an epidemic or pandemic and efforts to contain it may result in severe disruptions to financial markets, supply chains, availability of raw materials, goods, and services. For example, the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes, including by providing direct capital infusions into companies, introducing new monetary programs and considerably lowering interest rates, which, in some cases resulted in negative interest rates. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, heighten investor uncertainty and adversely affect the value of our investments and our overall performance. In addition, uncertainty arising from the United Kingdom's decision to leave the European Union ("Brexit") could lead to further market disruptions and currency volatility, potentially weakening consumer, corporate and financial confidence and resulting in lower economic growth for companies that rely significantly on Europe for their business activities and revenues. Any of these factors could depress economic activity and restrict our portfolio companies' access to suppliers or customers and have a material adverse effect on their business, financial condition and results of operations, which in turn would negatively impact us.
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The lack of liquidity in our investments may adversely affect our business.
We may acquire a significant percentage of our portfolio company investments from privately-held companies in directly negotiated transactions. The securities of private companies are not publicly traded or actively traded on the secondary market and are, instead, traded on a privately-negotiated, over-the-counter secondary market for institutional investors, if at all. These over-the-counter secondary markets may be inactive during an economic downturn or a credit crisis. In addition, the securities in these companies will be subject to legal and other restrictions on resale or will otherwise be less liquid than publicly-traded securities. We typically would be unable to exit these investments unless and until the portfolio company has a liquidity event such as a sale, refinancing, or initial public offering.
The illiquidity of our investments may make it difficult or impossible for us to sell such investments if the need arises. In addition, if we are required to liquidate all or a portion of our portfolio quickly, we may realize significantly less than the value at which we have previously recorded our investments, which could have a material adverse effect on our business, financial condition, and results of operations.
Moreover, securities purchased by us that are liquid at the time of purchase may subsequently become illiquid due to events relating to the issuer of the securities, market events, economic conditions, or investor perceptions.
We may also face other restrictions on our ability to liquidate an investment in a portfolio company to the extent that we, Guggenheim, or any of its affiliates have material nonpublic information regarding such portfolio company, or where the sale would be an impermissible joint transaction. The reduced liquidity of our investments may make it difficult for us to dispose of them at a favorable price, and, as a result, we may suffer losses.
Dislocations in certain parts of markets are resulting in reduced liquidity for certain investments. It is uncertain when financial markets will improve. Liquidity of financial markets may also be affected by government intervention.
We may not have the funds or ability to make additional investments in our portfolio companies or to fund our unfunded commitments.
After our initial investment in a portfolio company, we may be called upon from time to time to provide additional funds to such company or have the opportunity to increase our investment through the exercise of a warrant or other right to purchase common stock. There is no assurance that we will make, or will have sufficient funds to make, follow-on investments. Even if we have sufficient capital to make a desired follow-on investment, we may elect not to make a follow-on investment because we may not want to increase our level of risk, we prefer other opportunities, we are limited in our ability to do so by compliance with BDC requirements, or we desire to maintain our RIC status. Our ability to make follow-on investments may also be limited by our Advisor's allocation policies. Any decisions not to make a follow-on investment or any inability on our part to make such an investment may have a negative impact on a portfolio company in need of such an investment, may result in a missed opportunity for us to increase our participation in a successful operation, or may reduce the expected return on the investment. During periods of market disruption, portfolio companies may be more likely to seek to draw on unfunded commitments we have made, and the risk of being unable to fund such commitments is heightened during such periods.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
(a)We sold 219,838 of unregistered Shares to GCIF-I and GCIF 2016T on August 4, 2017 for total and net consideration of $1.9 million. The proceeds were employed for operating and investment purposes.
(b)Not applicable.
(c)The following table provides information concerning our repurchase of Common Shares pursuant to our share repurchase program during the quarter ended September 30, 2017:
(a) None.
(b) Not applicable.
(c) The Master Fund has implemented a share repurchase program, whereby it conducts tender offers each calendar quarter. The Master Fund's Board may amend, suspend or terminate the share repurchase program.
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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 —
The following table provides information concerning our repurchases of Common Shares for the quarter ended September 30, 2020:
(1)The maximum number of Shares available for repurchase on September 26, 2017 , the termination date of the quarterly share repurchase program that was conducted in the quarter ended September 3, 2017, was 529,180.
PeriodTotal Number of Shares PurchasedPrice Paid per ShareTotal 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 to July 31, 2020— — — — 
August 1 to August 31, 2020— — — — 
September 1 to September 30, 2020(1)227,625 7.24 227,625 — 
Total227,625 227,625 — 
___________________
(1)The maximum number of shares available for repurchase on September 14, 2020 was 227,625 shares.
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 FUNDGuggenheim Credit Income Fund
Date:November 7, 201716, 2020By:/s/ Matthew S. Bloom
  MATTHEW S. BLOOM
 President and Chief Executive Officer and President
 (Principal Executive Officer)
Date:November 7, 201716, 2020By:/s/ Paul S. Saint-PierreCielo M. Ordonez 
  PAUL S. SAINT-PIERRECIELO M. ORDONEZ
 Chief Financial Officer
 (Principal Financial Officer)

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EXHIBIT INDEX

The following exhibits are filed or incorporated as part of this report.
Report.
3.1
Certificate of Trust of the Registrant. (Incorporated by reference to Exhibit 3.1 filed with the Registrant's Form 10 as filed on November 5, 2014.)
3.2
  
Amended and Restated Declaration of Trust of the Registrant. (Incorporated by reference to Exhibit 3.2 filed with the Registrant's Form 8-K (File No. 814-01117) as filed on March 16, 2016.)
3.3
Certificate of Amendment to Certificate of Trust (Incorporated by reference to Exhibit 3.1 filed with the Registrant's Form 8-K (File No. 814-01117) as filed October 23, 2017.)
3.4
  
Amended and Restated Bylaws of the Registrant. (IncorporatedRegistrant (Incorporated by reference to Exhibit 3.3 filed with the Registrant's Form 8-K (File No. 814-01117) as filed on March 16, 2016.)
10.1
  
Amended and Restated Investment Advisory Agreement by and between the Registrant and Carey Credit Advisors, LLC. (Incorporated by reference to Exhibit 99 (g)(1) filed with Post-Effective Amendment No. 5 to CareyGuggenheim Credit Income Fund - I's registration statement on Form N-2 (File No. 333-198667) filed on April 25, 2017.) *
10.2
  
Amended and Restated Investment Sub-Advisory Agreement by and among the Registrant, Carey Credit Advisors, LLC and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 99 (g)(2) filed with Post-Effective Amendment No. 5 to CareyGuggenheim Credit Income Fund - I's registration statement on Form N-2 (File No. 333-198667) filed on April 25, 2017.) *
10.3
Interim Investment Advisory Agreement between Registrant and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 99.1 filed with Form 8-K on August 15, 2017.)
10.4
Investment Advisory Agreement by and between the Registrant and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 99.1 filed with the Registrant's Form 8-K (File No. 814-01117) as filed October 23, 2017.)
10.5
  
Amended and Restated Administrative Services Agreement by and between the Registrant and Carey Credit Advisors, LLC. (Incorporated by reference to Exhibit 10.3 filed with the Registrant's Form 10-Q as filed on May 12, 2017.) *
10.6
Administrative Services Agreement by and between Registrant and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 99.2 filed with Form 8-K on August 15, 2017.)
10.7
CustodyAmendment No 1. to Administrative Services Agreement by and between the Registrant, CareyGuggenheim Credit Income Fund, 2015 A, Carey Credit Income Fund 2015 T, and U.S. Bank National Association.Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit (j)10.7 filed with Pre-Effective Amendment No. 3 to Carey Credit Income Fund 2015 T's registration statement onthe Registrants Form N-210-K (File No. 333-198882)814-01117) as filed on May 4, 2015.March 12, 2019.)
10.8
Second Amended and Restated Dealer Manager Agreement by and among the Registrant, CareyGuggenheim Credit Income Fund 2016 T and Carey Financial, LLC. (Incorporated by reference to Exhibit 10.4 filed with CareyGuggenheim Credit Income Fund 2016 T's Form 10-K (File No. 814-01094) filed on April 17, 2017.)
10.9
Assignment and Assumption Agreement for Dealer Manager Agreement by and among the Registrant, Carey Financial, LLC, and Guggenheim Funds Distributors, LLC. (Incorporated by reference to Exhibit 99.4 filed with Form 8-K on August 15, 2017.)
10.10
Form of Organization and Offering Expense Reimbursement Agreement by and among the Registrant, Carey Credit Advisors, LLC, and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 99 (k)(4) filed with Pre-Effective Amendment No. 4 to CareyGuggenheim Credit Income Fund 2016 T's registration statement on Form N-2 (File 333-198882) filed on July 17, 2015.) *
10.11
Form of Amended and Restated Organization and Offering Expense Reimbursement Agreement by and among the Registrant, Carey Credit Advisors, LLC and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 99.3 filed with Form 8-K on August 15, 2017.)
10.12
Second Amended and Restated Loan Agreement, dated as of December 17, 2015, AmendedJune 29, 2018, by and restated as of June 27, 2016 among Hamilton Finance LLC, the Financing Providers party hereto, US Bank National Association as the Collateral Administrator, Collateral Agent and Securities Intermediary party hereto, andborrower, JPMorgan Chase Bank, National Association, as Administrative Agent.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. (Incorporated by reference to Exhibit 10.910.1 filed with Registrant's Form 10-Q filed8-K on August 12, 2016.July 6, 2018.)
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10.1314.1 
Code of Ethics of the Registrant. (Filed herewith.)
14.2 
Code of Ethics of Guggenheim Partners Investment Management, LLC. (Filed herewith).
31.1   
Amendment to Amended and Restated Loan Agreement and Investment Management Agreement dated as of August 24, 2017 (Filed herewith.)
31.1
Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)

31.2
  
Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)
32
  
Certification of Chief Executive Officer and Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)
*These items were effective during a portion of the reporting period; however, as of the date of this filing, these items are no longer effective with respect to the Company.


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